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: | 655 Broad Street 17th FL | |
| Newark, New Jersey 07102 | ||
| Name and address of agent for service: | Deborah A. Docs | |
| 655 Broad Street 17th FL | ||
| Newark, New Jersey 07102 | ||
| Registrant’s telephone number, including area code: | 973-367-7521 | |
| Date of fiscal year end: | 12/31/2015 | |
| Date of reporting period: | 6/30/2015 | |
Item 1 – Reports to Stockholders
The MEDLEY Program
SEMIANNUAL REPORT • JUNE 30, 2015
| The Prudential MEDLEY Program
Table of Contents |
Semiannual Report | June 30, 2015 |
| 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, 2015 |
| 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 President, The Prudential Variable Contract Accounts 10 & 11 |
Timothy S. Cronin President, The Prudential Series Fund |
July 31, 2015
| Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24)
Presentation of Portfolio Holdings — unaudited |
June 30, 2015 |
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, 2015
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2015
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2015
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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | 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, 2015 in valuing such portfolio securities:
| Investments in Securities |
Level 1 |
Level 2 |
Level 3 |
|||||||||
| Common Stocks |
||||||||||||
| Aerospace & Defense |
$ | 2,402,076 | $ | — | $ | — | ||||||
| Airlines |
947,183 | — | — | |||||||||
| Auto Components |
1,873,058 | — | — | |||||||||
| Automobiles |
3,010,510 | — | — | |||||||||
| Banks |
15,586,710 | — | — | |||||||||
| Biotechnology |
7,356,899 | — | — | |||||||||
| Capital Markets |
5,347,272 | — | — | |||||||||
| Chemicals |
1,581,545 | — | — | |||||||||
| Communications Equipment |
1,869,164 | — | — | |||||||||
| Consumer Finance |
5,948,175 | — | — | |||||||||
| Diversified Financial Services |
1,895,837 | — | — | |||||||||
| Electric Utilities |
2,573,631 | — | — | |||||||||
| Electrical Equipment |
1,744,751 | — | — | |||||||||
| Electronic Equipment & Instruments |
1,188,330 | — | — | |||||||||
| Energy Equipment & Services |
1,711,602 | — | — | |||||||||
| Food Products |
4,410,033 | — | — | |||||||||
| Health Care Equipment & Supplies |
1,224,468 | — | — | |||||||||
| Health Care Providers & Services |
4,613,345 | — | — | |||||||||
| Hotels, Restaurants & Leisure |
6,499,014 | — | — | |||||||||
| Insurance |
4,321,331 | — | — | |||||||||
| Internet & Catalog Retail |
7,017,058 | — | — | |||||||||
| Internet Software & Services |
12,821,910 | — | — | |||||||||
| IT Services |
5,126,334 | — | — | |||||||||
| Machinery |
1,522,941 | — | — | |||||||||
| Media |
10,175,693 | — | — | |||||||||
| Multiline Retail |
2,284,334 | — | — | |||||||||
| Multi-Utilities |
1,430,087 | — | — | |||||||||
| Oil, Gas & Consumable Fuels |
8,949,277 | — | — | |||||||||
| Pharmaceuticals |
19,614,013 | — | — | |||||||||
| Road & Rail |
2,470,346 | — | — | |||||||||
| Semiconductors & Semiconductor Equipment |
1,691,360 | — | — | |||||||||
| Software |
6,321,797 | — | — | |||||||||
| Technology Hardware, Storage & Peripherals |
9,666,743 | — | — | |||||||||
| Textiles, Apparel & Luxury Goods |
4,520,788 | — | — | |||||||||
| Wireless Telecommunication Services |
1,631,210 | — | — | |||||||||
| Affiliated Money Market Mutual Fund |
3,133,554 | — | — | |||||||||
| Total |
$ | 174,482,379 | $ | — | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2015
The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2015 was as follows:
The Account invested in derivative instruments (rights offerings) during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Account’s financial position and financial performance as reflected on the Statement of Net Assets and Statement of Operations is presented in the summary below.
For the six months ended June 30, 2015, 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, 2015
| INVESTMENT INCOME |
||||
| Unaffiliated Dividend Income (net of $42,679 foreign withholding tax) |
$ | 1,492,559 | ||
| Affiliated Dividend Income |
3,763 | |||
| Total Income |
1,496,322 | |||
| EXPENSES |
||||
| Fees Charged to Participants for Investment Management Services |
(219,692 | ) | ||
| Fees Charged to Participants for Administrative Expenses: |
||||
| Standard Contract |
(592,177 | ) | ||
| 0.50% Contract |
(4,883 | ) | ||
| 0.45% Contract |
(10,899 | ) | ||
| Total Expenses . |
(827,651 | ) | ||
| NET INVESTMENT INCOME |
668,671 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
||||
| Net Realized Gain on Investment Transactions |
4,260,145 | |||
| Net Change in Unrealized Appreciation (Depreciation) on Investments |
110,998 | |||
| NET GAIN ON INVESTMENTS |
4,371,143 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 5,039,814 | ||
| STATEMENT OF CHANGES IN NET ASSETS (Unaudited) | ||||||
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||
| OPERATIONS |
||||||||
| Net Investment Income |
$ | 668,671 | $ | 581,392 | ||||
| Net Realized Gain on Investment Transactions |
4,260,145 | 17,000,496 | ||||||
| Net Change In Unrealized Appreciation (Depreciation) on Investments |
110,998 | 711,791 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
5,039,814 | 18,293,679 | ||||||
| CAPITAL TRANSACTIONS |
||||||||
| Purchase Payments and Transfers In |
770,285 | 2,800,566 | ||||||
| Withdrawals and Transfers Out |
(8,608,681 | ) | (19,564,364 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS |
(7,838,396 | ) | (16,763,798 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS |
(9,075 | ) | (3,501 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS |
(2,807,657 | ) | 1,526,380 | |||||
| NET ASSETS |
||||||||
| Beginning of period |
177,468,265 | 175,941,885 | ||||||
| End of period |
$ | 174,660,608 | $ | 177,468,265 | ||||
Accumulation Unit Values and Equity of Participants as of June 30, 2015
| Standard Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $159,765,349 / 10,179,864 outstanding Accumulation Units |
$ | 15.6943 | ||
| 0.50% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $3,887,807 / 225,299 outstanding Accumulation Units |
$ | 17.2562 | ||
| 0.45% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $11,034,740 / 638,059 outstanding Accumulation Units |
$ | 17.2942 | ||
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, 2015 |
Year Ended December 31, 2014 |
|||||||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract |
Standard Contract |
0.50% Contract |
0.45% Contract |
|||||||||||||||||||
| Investment Income |
$ | .1321 | $ | .1450 | $ | .1453 | $ | .1871 | $ | .2046 | $ | .2049 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0191 | ) | (.0211 | ) | (.0212 | ) | (.0362 | ) | (.0397 | ) | (.0398 | ) | ||||||||||||
| Administrative expenses |
(.0576 | ) | (.0211 | ) | (.0169 | ) | (.1086 | ) | (.0397 | ) | (.0318 | ) | ||||||||||||
| Net Investment Income |
.0554 | .1028 | .1072 | .0423 | .1252 | .1333 | ||||||||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized and unrealized gain (loss) on investment transactions |
.3828 | .4202 | .4210 | 1.4515 | 1.5879 | 1.5907 | ||||||||||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
.4382 | .5230 | .5282 | 1.4938 | 1.7131 | 1.7240 | ||||||||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of period |
15.2561 | 16.7332 | 16.7660 | 13.7623 | 15.0201 | 15.0420 | ||||||||||||||||||
| End of period |
$ | 15.6943 | $ | 17.2562 | $ | 17.2942 | $ | 15.2561 | $ | 16.7332 | $ | 16.7660 | ||||||||||||
| Total Return** |
2.87 | % | 3.13 | % | 3.15 | % | 10.85 | % | 11.41 | % | 11.46 | % | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | %†† | .50 | %†† | .45 | %†† | 1.00 | % | .50 | % | .45 | % | ||||||||||||
| Ratio of Net Investment Income To Average Net Assets*** |
.72 | %†† | 1.21 | %†† | 1.26 | %†† | .29 | % | .78 | % | .83 | % | ||||||||||||
| Portfolio Turnover Rate |
25 | %††† | 25 | %††† | 25 | %††† | 70 | % | 70 | % | 70 | % | ||||||||||||
| Number of Accumulation Units Outstanding |
10,180 | 225 | 638 | 10,646 | 242 | 657 | ||||||||||||||||||
| * | 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 year 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. |
| †† | Annualized. |
| ††† | Not Annualized. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract |
Standard Contract |
0.50% Contract |
0.45% Contract |
|||||||||||||||||||
| Investment Income |
$ | .1792 | $ | .1950 | $ | .1952 | $ | .1825 | $ | .1975 | $ | .1976 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0303 | ) | (.0330 | ) | (.0330 | ) | (.0251 | ) | (.0272 | ) | (.0272 | ) | ||||||||||||
| Administrative expenses |
(.0906 | ) | (.0330 | ) | (.0264 | ) | (.0752 | ) | (.0272 | ) | (.0218 | ) | ||||||||||||
| Net Investment Income |
.0583 | .1290 | .1358 | .0822 | .1431 | .1486 | ||||||||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized and unrealized gain (loss) on investment transactions |
3.1834 | 3.4658 | 3.4700 | 1.0786 | 1.1677 | 1.1686 | ||||||||||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
3.2417 | 3.5948 | 3.6058 | 1.1608 | 1.3108 | 1.3172 | ||||||||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of year |
10.5206 | 11.4253 | 11.4362 | 9.3598 | 10.1145 | 10.1190 | ||||||||||||||||||
| End of year |
$ | 13.7623 | $ | 15.0201 | $ | 15.0420 | $ | 10.5206 | $ | 11.4253 | $ | 11.4362 | ||||||||||||
| Total Return** |
30.81 | % | 31.46 | % | 31.53 | % | 12.40 | % | 12.96 | % | 13.02 | % | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
| Ratio of Net Investment Income To Average Net Assets*** |
.48 | % | .98 | % | 1.03 | % | .82 | % | 1.32 | % | 1.37 | % | ||||||||||||
| Portfolio Turnover Rate |
69 | % | 69 | % | 69 | % | 44 | % | 44 | % | 44 | % | ||||||||||||
| Number of Accumulation Units Outstanding |
11,720 | 224 | 751 | 13,204 | 205 | 891 | ||||||||||||||||||
| * | 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. |
| *** | 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.
FINANCIAL HIGHLIGHTS FOR VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Year/Period Ended December 31, 2011 |
Year Ended December 31, 2010 |
|||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract† |
||||||||||||||
| Investment Income |
$ | .1448 | $ | .1559 | $ | .1203 | $ | .1531 | ||||||||
| Expenses |
||||||||||||||||
| Investment management fee |
(.0250 | ) | (.0270 | ) | (.0200 | ) | (.0227 | ) | ||||||||
| Administrative expenses |
(.0749 | ) | (.0270 | ) | (.0160 | ) | (.0678 | ) | ||||||||
| Net Investment Income |
.0449 | .1019 | .0843 | .0626 | ||||||||||||
| Capital Changes |
||||||||||||||||
| Net realized and unrealized gain (loss) on |
(.7945 | ) | (.8579 | ) | (1.5558 | ) | .9846 | |||||||||
| Net Increase (Decrease) in Accumulation |
(.7496 | ) | (.7560 | ) | (1.4715 | ) | 1.0472 | |||||||||
| Accumulation Unit Value |
||||||||||||||||
| Beginning of period |
10.1094 | 10.8705 | 11.5905 | 9.0708 | ||||||||||||
| End of period |
$ | 9.3598 | $ | 10.1145 | $ | 10.1190 | $ | 10.1180 | ||||||||
| Total Return** |
(7.41 | %) | (6.95 | %) | (12.70 | %) | 11.54 | % | ||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | %†† | 1.00 | % | ||||||||
| Ratio of Net Investment Income To Average |
.44 | % | .94 | % | 1.03 | %†† | .69 | % | ||||||||
| Portfolio Turnover Rate |
56 | % | 56 | % | 56 | %††† | 70 | % | ||||||||
| Number of Accumulation Units Outstanding |
15,386 | 205 | 1,001 | 18,330 | ||||||||||||
| * | Calculated by accumulating the actual per unit amounts daily. |
| ** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-10. |
| † | Inception Date — April 1, 2011. |
| †† | Annualized. |
| ††† | Not Annualized. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-10 (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: | Accounting Policies |
The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.
Security Valuation: The Account holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the
vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Account securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Rights: The Account may hold rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such rights are held as long positions by the Account until exercised, sold or expired. Rights are valued at fair value in accordance with the Committee Members’ approved fair valuation procedures.
Restricted and Illiquid Securities: The Account may hold up to 15% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements are valued pursuant to the valuation procedures noted above.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income and realized and unrealized gain or losses (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.
| Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PI pays for the services of Jennison.
VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.
PICA, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the year ended by cancelling Units.
| Note 4: | Other Transactions with Affiliates |
During the six months ended June 30, 2015, 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, 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, 2015, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $41,916,872 and $45,825,601, respectively.
| Note 6: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the six months ended June 30, 2015 and the year ended December 31, 2014, respectively, are as follows:
| Standard Contracts |
Units |
Amount |
||||||
| Six months ended June 30, 2015: |
||||||||
| Account units issued |
44,593 | $ | 691,531 | |||||
| Account units redeemed |
(510,912 | ) | (7,918,539 | ) | ||||
| Net increase (decrease) in units outstanding |
(466,319 | ) | $ | (7,227,008 | ) | |||
| Year ended December 31, 2014: |
||||||||
| Account units issued |
172,446 | $ | 2,481,094 | |||||
| Account units redeemed |
(1,246,510 | ) | (18,029,348 | ) | ||||
| Net increase (decrease) in units outstanding |
(1,074,064 | ) | $ | (15,548,254 | ) | |||
| 0.50 % Contracts |
Units |
Amount |
||||||
| Six months ended June 30, 2015: |
||||||||
| Account units issued |
4,638 | $ | 78,754 | |||||
| Account units redeemed |
(21,503 | ) | (367,590 | ) | ||||
| Net increase (decrease) in units outstanding |
(16,865 | ) | $ | (288,836 | ) | |||
| Year ended December 31, 2014: |
||||||||
| Account units issued |
20,355 | $ | 319,472 | |||||
| Account units redeemed |
(2,392 | ) | (37,293 | ) | ||||
| Net increase (decrease) in units outstanding |
17,963 | $ | 282,179 | |||||
| 0.45 % Contracts |
Units |
Amount |
||||||
| Six months ended June 30, 2015: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(18,889 | ) | 322,552 | |||||
| Net increase (decrease) in units outstanding |
(18,889 | ) | $ | 322,552 | ||||
| Year ended December 31, 2014: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(93,613 | ) | (1,497,723 | ) | ||||
| Net increase (decrease) in units outstanding |
(93,613 | ) | $ | (1,497,723 | ) | |||
| 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, 2015, $41,436 in participant loans were withdrawn from VCA-10 and $73,383 of principal and interest was repaid to VCA-10. For the year ended December 31, 2014, $95,927 in participant loans were withdrawn from VCA-10 and $155,348 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, 2015, PICA has advised the Account that it received $579 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 Pronouncement |
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2015
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2015
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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | 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, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Certificates of Deposit |
$ | — | $ | 6,015,071 | $ | — | ||||||
| Commercial Paper |
— | 4,379,446 | — | |||||||||
| Other Corporate Obligations |
— | 5,396,855 | — | |||||||||
| Repurchase Agreement |
— | 2,446,000 | — | |||||||||
| U.S. Government Agency Obligations |
— | 7,996,528 | — | |||||||||
| U.S. Treasury Obligation |
— | 500,687 | ||||||||||
| Total |
$ | — | $ | 26,734,587 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2015
The industry classification of investments and liabilities in excess of other assets shown as a percentage on net assets as of June 30, 2015 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF OPERATIONS (Unaudited) | ||||||
Six Months Ended June 30, 2015
| INVESTMENT INCOME |
||||
| Unaffiliated Interest Income |
$ | 23,923 | ||
| EXPENSES |
||||
| Fees Charged to Participants for Investment Management Services |
(33,036 | ) | ||
| Fees Charged to Participants for Administrative Expenses: |
||||
| Standard Contract |
(88,722 | ) | ||
| 0.50% Contract |
(2,035 | ) | ||
| 0.45% Contract |
(1,141 | ) | ||
| Total Expenses |
(124,934 | ) | ||
| NET INVESTMENT LOSS |
(101,011 | ) | ||
| Realized Gain on Investment Transactions |
155 | |||
| NET DECREASE IN NET ASSETS FROM OPERATIONS |
$ | (100,856 | ) | |
| STATEMENT OF CHANGES IN NET ASSETS (Unaudited) | ||||||
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||
| OPERATIONS |
||||||||
| Net Investment Loss |
$ | (101,011 | ) | $ | (227,187 | ) | ||
| Net Realized Gain on Investment Transactions |
155 | 385 | ||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
(100,856 | ) | (226,802 | ) | ||||
| CAPITAL TRANSACTIONS |
||||||||
| Purchase Payments and Transfers In |
801,620 | 2,323,349 | ||||||
| Withdrawals and Transfers Out |
(1,913,058 | ) | (5,249,447 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS |
(1,111,438 | ) | (2,926,098 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS |
(1,331 | ) | (21 | ) | ||||
| TOTAL DECREASE IN NET ASSETS |
(1,213,625 | ) | (3,152,921 | ) | ||||
| NET ASSETS |
||||||||
| Beginning of period |
27,437,576 | 30,590,497 | ||||||
| End of period |
$ | 26,223,951 | $ | 27,437,576 | ||||
Accumulation Unit Values and Equity of Participants as of June 30, 2015
| Standard Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $23,426,866 / 7,300,429 outstanding Accumulation Units |
$ | 3.2090 | ||
| 0.50% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $1,663,404 / 475,430 outstanding Accumulation Units |
$ | 3.4987 | ||
| 0.45% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $1,134,765 / 323,623 outstanding Accumulation Units |
$ | 3.5064 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract |
Standard Contract |
0.50% Contract |
0.45% Contract |
|||||||||||||||||||
| Investment Income |
$ | 0.0030 | $ | .0031 | $ | .0031 | $ | .0052 | $ | .0056 | $ | .0056 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0040 | ) | (.0043 | ) | (.0043 | ) | (.0081 | ) | (.0088 | ) | (.0088 | ) | ||||||||||||
| Administrative expenses |
(.0119 | ) | (.0043 | ) | (.0035 | ) | (.0242 | ) | (.0088 | ) | (.0070 | ) | ||||||||||||
| Net Investment Loss |
(.0129 | ) | (.0055 | ) | (.0047 | ) | (.0271 | ) | (.0120 | ) | (.0102 | ) | ||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized gain (loss) on investment transactions |
.0000 | †† | .0000 | †† | .0000 | †† | .0000 | †† | .0000 | †† | .0000 | †† | ||||||||||||
| Net Decrease in Accumulation Unit Value |
(.0129 | ) | (.0055 | ) | (.0047 | ) | (.0271 | ) | (.0120 | ) | (.0102 | ) | ||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of period |
3.2219 | 3.5042 | 3.5111 | 3.2490 | 3.5162 | 3.5213 | ||||||||||||||||||
| End of period |
$ | 3.2090 | $ | 3.4987 | $ | 3.5064 | $ | 3.2219 | $ | 3.5042 | $ | 3.5111 | ||||||||||||
| Total Return** |
(.40 | %) | (.16 | %) | (.13 | %) | (.83 | %) | (.34 | %) | (.29 | %) | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
| Ratio of Net Investment Loss To Average Net Assets*** |
(.81 | %) | (.32 | %) | (.27 | %) | (.84 | %) | (.34 | %) | (.29 | %) | ||||||||||||
| Number of Accumulation Units Outstanding |
7,300 | 475 | 324 | 7,653 | 458 | 335 | ||||||||||||||||||
| * | 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 year 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. |
| †† | Less than $.00005. |
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.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract |
Standard Contract |
0.50% Contract |
0.45% Contract |
|||||||||||||||||||
| Investment Income |
$ | .0060 | $ | .0063 | $ | .0064 | $ | .0081 | $ | .0085 | $ | .0086 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0081 | ) | (.0087 | ) | (.0087 | ) | (.0083 | ) | (.0088 | ) | (.0088 | ) | ||||||||||||
| Administrative expenses |
(.0244 | ) | (.0087 | ) | (.0071 | ) | (.0246 | ) | (.0088 | ) | (.0071 | ) | ||||||||||||
| Net Investment Income (Loss) |
(.0265 | ) | (.0111 | ) | (.0094 | ) | (.0248 | ) | (.0091 | ) | (.0073 | ) | ||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized gain (loss) on investment transactions |
.0001 | .0001 | .0001 | .0001 | .0001 | .0001 | ||||||||||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
(.0264 | ) | (.0110 | ) | (.0093 | ) | (.0247 | ) | (.0090 | ) | (.0072 | ) | ||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of year |
3.2754 | 3.5272 | 3.5306 | 3.3001 | 3.5362 | 3.5378 | ||||||||||||||||||
| End of year |
$ | 3.2490 | $ | 3.5162 | $ | 3.5213 | $ | 3.2754 | $ | 3.5272 | $ | 3.5306 | ||||||||||||
| Total Return** |
(.81 | %) | (.31 | %) | (.26 | %) | (.75 | %) | (.25 | %) | (.20 | %) | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
| Ratio of Net Investment Income (Loss) To Average Net Assets*** |
(.81 | %) | (.32 | %) | (.27 | %) | (.75 | %) | (.26 | %) | (.21 | %) | ||||||||||||
| Number of Accumulation Units Outstanding |
8,446 | 502 | 393 | 9,435 | 500 | 433 | ||||||||||||||||||
| * | 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. |
| *** | 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.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Year/Period Ended December 31, 2011 |
Year Ended December 31, 2010 |
|||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract† |
||||||||||||||
| Investment Income |
$ | .0070 | $ | .0073 | $ | .0051 | $ | .0136 | ||||||||
| Expenses |
||||||||||||||||
| Investment management fee |
(.0083 | ) | (.0088 | ) | (.0067 | ) | (.0083 | ) | ||||||||
| Administrative expenses |
(.0248 | ) | (.0088 | ) | (.0053 | ) | (.0249 | ) | ||||||||
| Net Investment Income (Loss) |
(.0261 | ) | (.0103 | ) | (.0069 | ) | (.0196 | ) | ||||||||
| Capital Changes |
||||||||||||||||
| Net realized gain (loss) on investment transactions |
.0001 | .0001 | .0000 | †† | — | |||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
(.0260 | ) | (.0102 | ) | (.0069 | ) | (.0196 | ) | ||||||||
| Accumulation Unit Value |
||||||||||||||||
| Beginning of period |
3.3261 | 3.5464 | 3.5447 | 3.3520 | ||||||||||||
| End of period |
$ | 3.3001 | $ | 3.5362 | $ | 3.5378 | $ | 3.3324 | ||||||||
| Total Return** |
(.78 | %) | (.29 | %) | (.19 | %) | (.58 | %) | ||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | %††† | 1.00 | % | ||||||||
| Ratio of Net Investment Income (Loss) To Average Net Assets*** |
(.79 | %) | (.29 | %) | (.23 | %)††† | (.71 | %) | ||||||||
| Number of Accumulation Units Outstanding |
10,650 | 495 | 458 | 12,886 | ||||||||||||
| * | Calculated by accumulating the actual per unit amounts daily. |
| ** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-11. |
| † | Inception Date — April 1, 2011. |
| †† | Less than $.00005. |
| ††† | Annualized. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-11 (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: | Accounting Policies |
The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.
Security Valuation: The Account holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
The Account values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost at the time of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy. If the amortized cost method is determined not to represent fair value, the fair value shall be determined by or under the direction of the Accounts’ Committee Members.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
The Account may hold up to 5% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements, are valued pursuant to the valuation procedures noted above.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Account’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase agreement exceeds one business day, the value of collateral is marked-to-market on a daily basis to ensure adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Account may be delayed or limited.
Master Netting Arrangements: The Account may be subject to various Master Agreements, or netting arrangements, with select counterparties. A master netting arrangement between the Account and the counterparty permits the Account to offset amounts payable by the Account to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Account to cover the Account’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforcable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right to set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from security transactions are calculated on the identified cost basis. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Net investment income (other than administration fees) is allocated to the Participants and PICA on a daily basis in proportion to their respective ownership or investment in VCA-11.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-11 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-11 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-11 has not been reduced by federal income taxes.
| Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with Prudential Investments LLC (“PI”). Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). The subadvisory agreement provides that PIM will furnish investment advisory services in connection with management of the Account. PI pays for the services of PIM.
VCA-11 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.
PICA, PI and PIM are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the end of the fiscal year by cancelling Units.
| Note 4: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the six months ended June 30, 2015 and the year ended December 31, 2014, respectively, are as follows:
| Standard Contract |
Units |
Amount |
||||||
| Six months ended June 30, 2015: |
||||||||
| Account units issued |
219,545 | $ | 705,974 | |||||
| Account units redeemed |
(571,804 | ) | (1,838,911 | ) | ||||
| Net increase (decrease) in units outstanding |
(352,259 | ) | (1,132,937 | ) | ||||
| Year ended December 31, 2014: |
||||||||
| Account units issued |
661,807 | $ | 2,141,745 | |||||
| Account units redeemed |
(1,454,946 | ) | (4,708,132 | ) | ||||
| Net increase (decrease) in units outstanding |
(793,139 | ) | (2,566,387 | ) | ||||
| 0.50% Contract |
||||||||
| Six months ended June 30, 2015: |
||||||||
| Account units issued |
27,312 | $ | 95,646 | |||||
| Account units redeemed |
(9,867 | ) | (34,544 | ) | ||||
| Net increase (decrease) in units outstanding |
17,445 | 61,102 | ||||||
| Year ended December 31, 2014: |
||||||||
| Account units issued |
51,736 | $ | 181,605 | |||||
| Account units redeemed |
(95,589 | ) | (335,583 | ) | ||||
| Net increase (decrease) in units outstanding |
(43,853 | ) | (153,978 | ) | ||||
| 0.45% Contract |
||||||||
| Six months ended June 30, 2015: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(11,286 | ) | (39,603 | ) | ||||
| Net increase (decrease) in units outstanding |
(11,286 | ) | (39,603 | ) | ||||
| Year ended December 31, 2014: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(58,508 | ) | (205,731 | ) | ||||
| Net increase (decrease) in units outstanding |
(58,508 | ) | (205,731 | ) | ||||
| 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, 2015, $18,364 in participant loans were withdrawn from VCA-11 and $26,226 of principal and interest was repaid to VCA-11. For the year ended December 31, 2014, $56,132 in participant loans were withdrawn from VCA-11 and $77,068 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, 2015, PICA has advised the Account that it received $298 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 Pronouncement |
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures 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, 2015 |
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, 2015 through June 30, 2015.
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, 2015 |
Ending Account Value June 30, 2015 |
Annualized Expense Ratio based on the Six-Month period |
Expenses Paid During the Six-Month period* |
||||||||||||||
| Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,005.30 | 0.58 | % | $ | 2.88 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.92 | 0.58 | % | $ | 2.91 | ||||||||||
| Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 997.40 | 0.44 | % | $ | 2.18 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.61 | 0.44 | % | $ | 2.21 | ||||||||||
| Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,031.90 | 0.47 | % | $ | 2.37 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.46 | 0.47 | % | $ | 2.36 | ||||||||||
| Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,030.00 | 0.87 | % | $ | 4.38 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||||
| Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,008.40 | 0.63 | % | $ | 3.14 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||||
| Global (Class I) | Actual | $ | 1,000.00 | $ | 1,044.70 | 0.81 | % | $ | 4.11 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.78 | 0.81 | % | $ | 4.06 | ||||||||||
| Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,001.70 | 0.49 | % | $ | 2.43 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.36 | 0.49 | % | $ | 2.46 | ||||||||||
| Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,010.80 | 0.32 | % | $ | 1.60 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.21 | 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 181 days in the six-month period ended June 30, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (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 | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| ASSET-BACKED SECURITIES — 3.5% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Collateralized Debt Obligation |
||||||||||||||
| Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A |
0.537% | (b) | 04/25/19 | 368 | $ | 363,259 | ||||||||
| Collateralized Loan Obligations — 1.6% |
||||||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.455% | (b) | 04/20/25 | 2,100 | 2,080,640 | |||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A |
3.360% | 04/20/25 | 250 | 246,054 | ||||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.466% | (b) | 07/13/25 | 2,400 | 2,377,537 | |||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A |
1.779% | (b) | 04/28/26 | 400 | 399,204 | |||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A |
1.875% | (b) | 10/15/26 | 2,000 | 2,002,250 | |||||||||
| Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A |
1.822% | (b) | 04/18/27 | 250 | 248,661 | |||||||||
| Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A |
1.815% | (b) | 10/15/26 | 600 | 599,478 | |||||||||
| Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A |
1.874% | (b) | 10/17/26 | 250 | 250,283 | |||||||||
| Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A |
1.791% | (b) | 04/18/27 | 1,000 | 1,000,148 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Collateralized Loan Obligation (continued) |
||||||||||||||
| Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A |
1.475% | (b) | 07/15/24 | 1,000 | $ | 990,823 | ||||||||
| Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.424% | (b) | 04/17/25 | 2,200 | 2,177,965 | |||||||||
| Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A |
1.825% | (b) | 04/20/26 | 1,650 | 1,648,137 | |||||||||
| Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A |
1.785% | (b) | 10/18/26 | 250 | 249,224 | |||||||||
| Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.674% | (b) | 01/17/26 | 250 | 249,268 | |||||||||
| Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A |
0.526% | (b) | 07/22/20 | 235 | 233,655 | |||||||||
| Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A |
0.756% | (b) | 03/15/20 | 521 | 520,055 | |||||||||
| Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A |
1.745% | (b) | 10/15/26 | 750 | 747,348 | |||||||||
| Highbridge Loan Management (Cayman Islands), Series 2015-6A, Class A, 144A |
1.271% | (b) | 05/05/27 | 250 | 249,219 | |||||||||
| ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A |
3.320% | 01/25/27 | 750 | 750,943 | ||||||||||
| Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A |
1.814% | (b) | 04/15/27 | 250 | 250,094 | |||||||||
| KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A |
1.864% | (b) | 05/15/26 | 250 | 250,182 | |||||||||
| Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A |
1.697% | (b) | 07/25/26 | 2,000 | 1,988,908 | |||||||||
| Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A |
1.725% | (b) | 01/18/27 | 500 | 497,675 | |||||||||
| Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, |
2.377% | (b) | 07/25/23 | 250 | 250,467 | |||||||||
| Neuberger Berman CLO XVI Ltd. (Cayman Islands), |
1.745% | (b) | 04/15/26 | 500 | 498,429 | |||||||||
| OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A |
1.425% | (b) | 07/22/25 | 1,000 | 989,148 | |||||||||
| Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A |
1.586% | (b) | 12/15/22 | 449 | 445,817 | |||||||||
| Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A |
1.525% | (b) | 02/20/25 | 250 | 248,353 | |||||||||
| Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A |
1.754% | (b) | 07/17/26 | 500 | 499,979 | |||||||||
| Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A |
4.350% | 07/17/26 | 500 | 499,568 | ||||||||||
| Shackleton CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A |
1.685% | (b) | 10/20/23 | 500 | 499,026 | |||||||||
| Shackleton CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A |
1.754% | (b) | 07/17/26 | 1,500 | 1,499,938 | |||||||||
| Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.325% | (b) | 04/15/25 | 2,600 | 2,558,392 | |||||||||
| Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A |
2.926% | (b) | 08/17/22 | 500 | 498,682 | |||||||||
| Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A |
2.975% | (b) | 10/20/23 | 900 | 897,825 | |||||||||
| THL Credit Wind River Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A |
1.896% | (b) | 01/22/27 | 1,750 | 1,751,833 | |||||||||
| Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A |
1.761% | (b) | 04/20/27 | 1,500 | 1,497,470 | |||||||||
| Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.395% | (b) | 07/15/25 | 2,200 | 2,173,983 | |||||||||
| Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A |
1.885% | (b) | 04/20/26 | 2,500 | 2,501,836 | |||||||||
| Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.415% | (b) | 04/15/24 | 1,500 | 1,479,788 | |||||||||
| Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A |
1.775% | (b) | 04/20/26 | 1,300 | 1,297,377 | |||||||||
| Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A |
4.250% | 04/20/26 | 500 | 494,675 | ||||||||||
| 40,590,337 | ||||||||||||||
| Non-Residential Mortgage-Backed Securities — 1.3% |
||||||||||||||
| American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A |
0.986% | (b) | 05/15/20 | 2,700 | 2,712,466 | |||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A |
1.920% | 09/20/19 | 1,475 | 1,470,252 | ||||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A |
2.500% | 07/20/21 | 4,800 | 4,770,749 | ||||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A |
2.630% | 12/20/21 | 3,800 | 3,790,249 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Non-Residential Mortgage-Backed Securities (continued) |
||||||||||||||
| Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A |
2.260% | 11/15/25 | 1,500 | $ | 1,518,553 | |||||||||
| Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A |
2.310% | 04/15/26 | 2,400 | 2,426,556 | ||||||||||
| GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A |
0.686% | (b) | 05/15/20 | 1,600 | 1,600,666 | |||||||||
| Hertz Corp., Series 2015-1A, Class A |
2.730% | 03/25/21 | 4,200 | 4,179,000 | ||||||||||
| OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A |
2.570% | 07/18/25 | 3,600 | 3,602,736 | ||||||||||
| Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A |
2.200% | 10/20/30 | 2,337 | 2,344,318 | ||||||||||
| Springleaf Funding Trust, Series 2015-AA, Class A, 144A |
3.160% | 11/15/24 | 2,865 | 2,898,987 | ||||||||||
| SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A |
2.000% | 09/20/29 | 836 | 827,340 | ||||||||||
| 32,141,872 | ||||||||||||||
| Residential Mortgage-Backed Securities — 0.6% |
||||||||||||||
| CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 |
1.837% | (b) | 03/25/33 | 287 | 271,250 | |||||||||
| Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 |
3.996% | (b) | 07/25/35 | 375 | 360,708 | |||||||||
| CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1 |
0.937% | (b) | 03/25/34 | 2,336 | 2,228,010 | |||||||||
| Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 |
4.942% | (b) | 07/25/34 | 425 | 403,695 | |||||||||
| Fremont Home Loan Trust, Series 2004-2, Class M1 |
1.042% | (b) | 07/25/34 | 506 | 454,876 | |||||||||
| HSBC Home Equity Loan Trust USA, Series 2006-4, Class A4 |
0.417% | (b) | 03/20/36 | 2,966 | 2,943,298 | |||||||||
| Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 |
0.982% | (b) | 06/25/34 | 582 | 561,323 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 |
1.387% | (b) | 05/25/33 | 153 | 143,702 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 |
1.237% | (b) | 12/25/33 | 853 | 823,186 | |||||||||
| Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 |
1.087% | (b) | 07/25/32 | 373 | 357,060 | |||||||||
| Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 |
1.462% | (b) | 09/25/32 | 576 | 567,907 | |||||||||
| Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 |
0.952% | (b) | 02/25/34 | 945 | 887,646 | |||||||||
| VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A |
3.375% | 02/25/55 | 1,419 | 1,414,982 | ||||||||||
| VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A |
3.250% | 02/25/55 | 3,568 | 3,552,981 | ||||||||||
| 14,970,624 | ||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
88,066,092 | ||||||||||||
| BANK LOANS(b) — 0.2% | ||||||||||||||
| Automotive |
||||||||||||||
| Schaeffler AG (Germany) |
4.250% | 05/15/20 | 531 | 532,981 | ||||||||||
| Cable |
||||||||||||||
| Virgin Media Investment Holdings Ltd. (United Kingdom) |
3.500% | 06/30/23 | 673 | 666,062 | ||||||||||
| Foods |
||||||||||||||
| ARAMARK Corp. |
3.250% | 09/07/19 | 437 | 435,643 | ||||||||||
| Healthcare & Pharmaceutical — 0.1% |
||||||||||||||
| Grifols Worldwide Operations USA, Inc. |
3.281% | 02/26/21 | 247 | 246,721 | ||||||||||
| RPI Finance Trust (Luxembourg) |
3.250% | 11/09/18 | 871 | 871,984 | ||||||||||
| 1,118,705 | ||||||||||||||
| Retailers |
||||||||||||||
| Staples, Inc. |
3.500% | 02/28/22 | 595 | 593,843 | ||||||||||
| Technology — 0.1% |
||||||||||||||
| First Data Corp. |
3.687% | 03/26/18 | 1,055 | 1,051,227 | ||||||||||
| Trans Union LLC |
3.750% | 04/09/21 | 395 | 391,050 | ||||||||||
| 1,442,277 | ||||||||||||||
| TOTAL BANK LOANS |
|
4,789,511 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.1% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 |
5.369% | 10/10/45 | 3,400 | $ | 3,423,919 | |||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A |
5.732% | (b) | 04/10/49 | 2,997 | 3,166,119 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 |
5.899% | (b) | 12/10/49 | 800 | 855,724 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 |
2.815% | 04/10/46 | 900 | 891,744 | ||||||||||
| Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 |
3.575% | 05/10/47 | 2,090 | 2,154,245 | ||||||||||
| COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 |
5.223% | 08/15/48 | 835 | 868,098 | ||||||||||
| Commercial Mortgage Trust, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 1,000 | 978,845 | ||||||||||
| Commercial Mortgage Trust, Series 2013-CR7, Class A3 |
2.929% | 03/10/46 | 1,400 | 1,399,320 | ||||||||||
| Commercial Mortgage Trust, Series 2014-CR15, Class A2 |
2.928% | 02/10/47 | 2,000 | 2,063,788 | ||||||||||
| Commercial Mortgage Trust, Series 2014-CR18, Class A4 |
3.550% | 07/15/47 | 2,100 | 2,156,469 | ||||||||||
| Commercial Mortgage Trust, Series 2014-LC17, Class A4 |
3.648% | 10/10/47 | 5,000 | 5,182,985 | ||||||||||
| Commercial Mortgage Trust, Series 2014-UBS3, Class A2 |
2.844% | 06/10/47 | 1,700 | 1,748,860 | ||||||||||
| Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A |
3.178% | 02/10/35 | 4,500 | 4,416,759 | ||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 |
5.609% | (b) | 02/15/39 | 2,544 | 2,563,175 | |||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.639% | (b) | 02/15/39 | 530 | 538,138 | |||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A |
5.297% | 12/15/39 | 2,385 | 2,489,032 | ||||||||||
| Federal National Mortgage Assoc., Series 2014-M2, Class A2 |
3.513% | (b) | 12/25/23 | 1,925 | 2,026,340 | |||||||||
| Federal National Mortgage Assoc., Series 2015-M10, Class A2 |
3.092% | (b) | 04/25/27 | 4,700 | 4,652,765 | |||||||||
| Federal National Mortgage Assoc., Series 2015-M8, Class AB2 |
2.829% | 01/25/25 | 4,100 | 4,057,708 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.596% | (b) | 05/25/22 | 20,824 | 1,680,010 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.632% | (b) | 06/25/22 | 5,757 | 479,827 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.734% | (b) | 08/25/16 | 4,736 | 57,872 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.906% | (b) | 05/25/19 | 16,555 | 966,589 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.826% | (b) | 07/25/19 | 17,144 | 975,365 | |||||||||
| Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5 |
5.224% | (b) | 04/10/37 | 629 | 629,795 | |||||||||
| Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class AM |
5.277% | (b) | 04/10/37 | 3,500 | 3,525,074 | |||||||||
| GS Mortgage Securities Trust, Series 2015-GC28, Class A4 |
3.136% | 02/10/48 | 3,000 | 2,964,726 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 |
3.408% | 11/15/47 | 1,100 | 1,117,367 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 |
2.920% | 02/15/48 | 5,000 | 4,852,790 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM |
4.999% | (b) | 10/15/42 | 1,170 | 1,170,745 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB |
5.523% | 05/12/45 | 352 | 355,830 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 |
3.139% | 06/15/45 | 1,629 | 1,677,658 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 |
2.611% | 12/15/47 | 1,500 | 1,473,722 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 |
2.875% | 12/15/47 | 3,200 | 3,189,142 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 |
3.070% | 12/15/46 | 1,700 | 1,763,877 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 |
2.694% | 04/15/46 | 1,100 | 1,078,705 | ||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM |
5.263% | (b) | 11/15/40 | 1,390 | 1,393,055 | |||||||||
| Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM |
5.865% | (b) | 05/12/39 | 780 | 801,531 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM |
5.700% | (b) | 02/12/39 | 440 | 448,324 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 |
6.059% | (b) | 06/12/46 | 2,042 | 2,091,133 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 |
5.331% | 03/12/51 | 1,597 | 1,613,908 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 |
2.863% | 12/15/48 | 1,200 | 1,193,960 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 |
3.451% | 07/15/50 | 4,000 | 4,036,116 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 |
5.845% | (b) | 10/15/42 | 1,622 | $ | 1,633,170 | ||||||||
| Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB |
5.444% | 02/12/44 | 1,219 | 1,218,455 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 1,400 | 1,385,523 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 |
2.920% | 03/10/46 | 3,200 | 3,177,638 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 |
2.971% | 04/10/46 | 1,500 | 1,492,320 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 |
5.897% | (b) | 05/15/43 | 2,739 | 2,781,976 | |||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A |
5.608% | (b) | 05/15/46 | 4,195 | 4,425,559 | |||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
101,285,795 | ||||||||||||
| CORPORATE BONDS — 9.7% | ||||||||||||||
| Airlines — 0.2% |
||||||||||||||
| American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a) |
3.375% | 05/01/27 | 2,635 | 2,602,062 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A |
6.648% | 09/15/17 | 63 | 64,518 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 |
6.703% | 06/15/21 | 124 | 132,144 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A |
7.250% | 11/10/19 | 542 | 627,587 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A |
4.750% | 01/12/21 | 587 | 624,192 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a) |
4.000% | 10/29/24 | 373 | 380,297 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, |
6.821% | 08/10/22 | 303 | 347,190 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, |
4.950% | 05/23/19 | 438 | 464,595 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, |
5.300% | 04/15/19 | 729 | 784,069 | ||||||||||
| 6,026,654 | ||||||||||||||
| Automotive — 0.2% |
||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
4.207% | 04/15/16 | 1,890 | 1,932,971 | ||||||||||
| General Motors Co., Sr. Unsec’d. Notes |
6.250% | 10/02/43 | 1,065 | 1,188,066 | ||||||||||
| Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A |
2.700% | 03/15/17 | 380 | 388,517 | ||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
5.500% | 01/15/16 | 235 | 240,903 | ||||||||||
| 3,750,457 | ||||||||||||||
| Banking — 3.0% |
||||||||||||||
| American Express Co., Jr. Sub. Notes |
5.200% | (b) | 12/31/49 | 475 | 471,485 | |||||||||
| Bank of America Corp., Series K, Jr. Sub. Notes |
8.000% | (b) | 12/29/49 | 2,100 | 2,215,500 | |||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
5.700% | 01/24/22 | 1,290 | 1,464,358 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
6.000% | 09/01/17 | 1,330 | 1,447,258 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
3.300% | 01/11/23 | 360 | 354,541 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
4.000% | 04/01/24 | 745 | 758,093 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
5.650% | 05/01/18 | 105 | 115,343 | ||||||||||
| Bank of America Corp., Sub. Notes, MTN(a) |
4.000% | 01/22/25 | 1,700 | 1,656,300 | ||||||||||
| Bank of America NA, Sub. Notes |
5.300% | 03/15/17 | 850 | 900,289 | ||||||||||
| Bank of America NA, Sub. Notes(a) |
6.000% | 10/15/36 | 805 | 956,415 | ||||||||||
| Bank of Nova Scotia (Canada), Covered Bonds, 144A |
1.650% | 10/29/15 | 1,265 | 1,269,863 | ||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
5.300% | 10/30/15 | 550 | 557,865 | ||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
6.400% | 10/02/17 | 270 | 297,158 | ||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
7.250% | 02/01/18 | 1,135 | 1,285,757 | ||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
3.200% | 02/05/25 | 1,070 | 1,012,100 | ||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
3.750% | 04/24/24 | 2,170 | 2,160,016 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(a) |
3.875% | 10/25/23 | 1,730 | 1,765,500 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
4.500% | 01/14/22 | 1,125 | 1,211,803 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.125% | 07/15/39 | 850 | 1,220,058 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Banking (continued) |
||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.500% | 05/22/19 | 1,195 | $ | 1,457,538 | |||||||||
| Compass Bank, Sr. Unsec’d. Notes |
1.850% | 09/29/17 | 1,050 | 1,048,740 | ||||||||||
| Discover Bank, Sr. Unsec’d. Notes |
4.250% | 03/13/26 | 595 | 587,850 | ||||||||||
| Discover Bank, Sub. Notes |
7.000% | 04/15/20 | 485 | 564,462 | ||||||||||
| Discover Financial Services, Sr. Unsec’d. Notes |
3.850% | 11/21/22 | 900 | 893,606 | ||||||||||
| Goldman Sachs Group, Inc. (The), Jr. Sub. Notes |
5.375% | (b) | 12/31/49 | 1,800 | 1,778,220 | |||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.250% | 07/27/21 | 2,305 | 2,559,744 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.750% | 01/24/22 | 1,250 | 1,421,836 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 02/01/41 | 220 | 260,380 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
5.625% | 01/15/17 | 765 | 810,071 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
6.750% | 10/01/37 | 1,100 | 1,290,243 | ||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a) |
4.875% | 01/14/22 | 1,230 | 1,356,374 | ||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
5.100% | 04/05/21 | 920 | 1,025,540 | ||||||||||
| Huntington Bancshares, Inc., Sub. Notes(a) |
7.000% | 12/15/20 | 150 | 178,669 | ||||||||||
| Intesa Sanpaolo SpA (Italy), Gtd. Notes |
3.125% | 01/15/16 | 1,145 | 1,153,728 | ||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes(a) |
6.100% | (b) | 12/31/49 | 1,175 | 1,179,112 | |||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes |
7.900% | (b) | 04/29/49 | 2,000 | 2,115,500 | |||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
4.250% | 10/15/20 | 1,660 | 1,774,977 | ||||||||||
| JPMorgan Chase & Co., Sub. Notes |
3.875% | 09/10/24 | 3,525 | 3,468,269 | ||||||||||
| JPMorgan Chase & Co., Sub. Notes |
5.625% | 08/16/43 | 185 | 197,295 | ||||||||||
| Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A |
5.800% | 01/13/20 | 1,770 | 2,022,213 | ||||||||||
| Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes |
2.900% | 02/06/25 | 2,385 | 2,254,097 | ||||||||||
| Morgan Stanley, Jr. Sub. Notes |
5.450% | (b) | 12/31/49 | 640 | 635,200 | |||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
3.750% | 02/25/23 | 605 | 611,740 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes(a) |
6.375% | 07/24/42 | 640 | 785,787 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.450% | 01/09/17 | 1,530 | 1,621,341 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.500% | 07/28/21 | 840 | 947,595 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
6.625% | 04/01/18 | 100 | 112,206 | ||||||||||
| Morgan Stanley, Sub. Notes, MTN |
4.350% | 09/08/26 | 3,050 | 2,988,634 | ||||||||||
| MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes |
6.346% | (b) | 07/29/49 | 800 | 837,600 | |||||||||
| National City Corp., Sub. Notes |
6.875% | 05/15/19 | 2,687 | 3,116,184 | ||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
3.650% | 12/06/22 | 1,195 | 1,187,567 | ||||||||||
| PNC Bank NA, Sub. Notes |
3.800% | 07/25/23 | 480 | 491,739 | ||||||||||
| PNC Funding Corp., Gtd. Notes |
6.700% | 06/10/19 | 390 | 454,740 | ||||||||||
| Royal Bank of Canada (Canada), Covered Bonds |
2.200% | 09/23/19 | 2,240 | 2,256,484 | ||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
3.000% | 09/24/15 | 780 | 782,153 | ||||||||||
| Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes |
2.450% | 01/10/19 | 925 | 935,067 | ||||||||||
| Synchrony Financial, Sr. Unsec’d. Notes |
2.700% | 02/03/20 | 2,175 | 2,148,498 | ||||||||||
| Toronto-Dominion Bank (The) (Canada), Covered Bonds, 144A |
1.950% | 04/02/20 | 3,360 | 3,334,061 | ||||||||||
| US Bancorp, Sub. Notes, MTN |
2.950% | 07/15/22 | 915 | 900,623 | ||||||||||
| Westpac Banking Corp. (Australia), Covered Bonds, 144A |
2.000% | 05/21/19 | 870 | 878,057 | ||||||||||
| 75,543,442 | ||||||||||||||
| Brokerage — 0.1% |
||||||||||||||
| Jefferies Group LLC, Sr. Unsec’d. Notes |
6.500% | 01/20/43 | 465 | 454,309 | ||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) |
5.250% | 02/06/12 | 1,850 | 201,188 | ||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) |
6.875% | 05/02/18 | 700 | 80,500 | ||||||||||
| Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN |
2.000% | 09/13/16 | 680 | 684,954 | ||||||||||
| 1,420,951 | ||||||||||||||
| Building Materials & Construction — 0.1% |
||||||||||||||
| Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A |
5.375% | 11/15/24 | 1,135 | 1,114,400 | ||||||||||
| D.R. Horton, Inc., Gtd. Notes |
3.625% | 02/15/18 | 375 | 382,031 | ||||||||||
| Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A |
5.250% | 06/27/29 | 530 | 397,606 | ||||||||||
| 1,894,037 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Cable — 0.3% |
||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
8.625% | 09/15/17 | 900 | $ | 981,000 | |||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A |
5.375% | 05/01/25 | 720 | 701,100 | ||||||||||
| Comcast Cable Holdings LLC, Gtd. Notes |
9.875% | 06/15/22 | 1,440 | 1,919,520 | ||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.500% | 03/01/16 | 605 | 614,425 | ||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
5.150% | 03/15/42 | 520 | 489,217 | ||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
5.850% | 05/01/17 | 1,240 | 1,324,157 | ||||||||||
| Videotron Ltd. (Canada), Gtd. Notes |
5.000% | 07/15/22 | 850 | 847,875 | ||||||||||
| 6,877,294 | ||||||||||||||
| Capital Goods — 0.3% |
||||||||||||||
| Actuant Corp., Gtd. Notes |
5.625% | 06/15/22 | 1,040 | 1,058,200 | ||||||||||
| Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes |
7.875% | 12/01/17 | 1,100 | 1,204,500 | ||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.375% | 10/15/17 | 1,198 | 1,316,918 | ||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
7.000% | 10/15/37 | 390 | 476,716 | ||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.125% | 10/09/42 | 180 | 173,188 | ||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.500% | 03/11/44 | 260 | 264,053 | ||||||||||
| SPX Corp., Gtd. Notes |
6.875% | 09/01/17 | 810 | 872,775 | ||||||||||
| United Rentals North America, Inc., Gtd. Notes |
7.375% | 05/15/20 | 725 | 773,568 | ||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/21 | 1,060 | 1,148,311 | ||||||||||
| 7,288,229 | ||||||||||||||
| Chemicals — 0.3% |
|
|||||||||||||
| Celanese US Holdings LLC, Gtd. Notes(a) |
5.875% | 06/15/21 | 1,160 | 1,241,200 | ||||||||||
| CF Industries, Inc., Gtd. Notes |
5.375% | 03/15/44 | 445 | 442,487 | ||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes(a) |
4.625% | 10/01/44 | 5 | 4,667 | ||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
9.400% | 05/15/39 | 30 | 45,152 | ||||||||||
| Koppers, Inc., Gtd. Notes |
7.875% | 12/01/19 | 1,050 | 1,060,500 | ||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
4.625% | 02/26/55 | 955 | 841,014 | ||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
5.000% | 04/15/19 | 800 | 866,612 | ||||||||||
| Monsanto Co., Sr. Unsec’d. Notes |
4.400% | 07/15/44 | 180 | 161,185 | ||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.450% | 11/15/33 | 265 | 282,086 | ||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.625% | 11/15/43 | 860 | 916,254 | ||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
7.500% | 06/01/25 | 500 | 623,055 | ||||||||||
| 6,484,212 | ||||||||||||||
| Consumer — 0.1% |
|
|||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
6.250% | 04/15/18 | 1,600 | 1,773,398 | ||||||||||
| Electric — 0.4% |
|
|||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
6.250% | 08/01/16 | 170 | 179,582 | ||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
6.350% | 10/01/36 | 530 | 662,870 | ||||||||||
| Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes |
6.125% | 04/01/36 | 340 | 400,541 | ||||||||||
| CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2 |
6.950% | 03/15/33 | 300 | 393,186 | ||||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C |
5.500% | 12/01/39 | 145 | 165,789 | ||||||||||
| Dominion Gas Holdings LLC, Sr. Unsec’d. Notes |
4.800% | 11/01/43 | 45 | 44,424 | ||||||||||
| Duke Energy Carolinas LLC, First Mortgage |
6.050% | 04/15/38 | 530 | 652,899 | ||||||||||
| Dynegy, Inc., Gtd. Notes, 144A |
6.750% | 11/01/19 | 345 | 358,972 | ||||||||||
| Dynegy, Inc., Gtd. Notes, 144A |
7.375% | 11/01/22 | 255 | 267,113 | ||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
6.000% | 05/15/35 | 845 | 993,511 | ||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
8.625% | 08/01/15 | 1,020 | 1,025,712 | ||||||||||
| Eversource Energy, Sr. Unsec’d. Notes |
4.500% | 11/15/19 | 605 | 661,015 | ||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
6.250% | 10/01/39 | 1,375 | 1,517,240 | ||||||||||
| FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A |
5.450% | 07/15/44 | 265 | 275,863 | ||||||||||
| Florida Power & Light Co., First Mortgage |
5.950% | 10/01/33 | 380 | 462,826 | ||||||||||
| Iberdrola International BV (Spain), Gtd. Notes |
6.750% | 09/15/33 | 140 | 160,236 | ||||||||||
| Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A |
4.881% | 08/15/19 | 545 | 598,093 | ||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
7.950% | 05/15/18 | 135 | 157,096 | ||||||||||
| Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN |
5.800% | 05/01/37 | 515 | 620,862 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Electric (continued) |
|
|||||||||||||
| Southern California Edison Co., First Mortgage |
3.600% | 02/01/45 | 690 | $ | 615,053 | |||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
4.800% | 09/15/41 | 480 | 497,789 | ||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
5.613% | 04/01/17 | 263 | 281,869 | ||||||||||
| 10,992,541 | ||||||||||||||
| Energy – Integrated |
||||||||||||||
| Reliance Holding USA, Inc. (India), Gtd. Notes, 144A |
5.400% | 02/14/22 | 400 | 431,331 | ||||||||||
| Energy – Other — 0.3% |
||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
4.677% | (f) | 10/10/36 | 1,000 | 400,000 | |||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.450% | 09/15/36 | 305 | 351,933 | ||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.950% | 06/15/19 | 225 | 261,356 | ||||||||||
| Devon Financing Corp. LLC, Gtd. Notes |
7.875% | 09/30/31 | 1,350 | 1,740,151 | ||||||||||
| EOG Resources, Inc., Sr. Unsec’d. Notes(a) |
3.900% | 04/01/35 | 830 | 785,718 | ||||||||||
| Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a) |
4.650% | 03/15/25 | 1,555 | 1,605,208 | ||||||||||
| Nabors Industries, Inc., Gtd. Notes |
4.625% | 09/15/21 | 890 | 884,189 | ||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
5.375% | 01/26/19 | 350 | 287,525 | ||||||||||
| Phillips 66, Gtd. Notes |
2.950% | 05/01/17 | 415 | 426,568 | ||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
6.875% | 05/01/18 | 1,450 | 1,628,092 | ||||||||||
| Valero Energy Corp., Sr. Unsec’d. Notes |
4.900% | 03/15/45 | 225 | 210,847 | ||||||||||
| 8,581,587 | ||||||||||||||
| Foods — 0.1% |
||||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
8.500% | 06/15/19 | 860 | 1,039,626 | ||||||||||
| Tyson Foods, Inc., Gtd. Notes |
6.600% | 04/01/16 | 785 | 815,003 | ||||||||||
| 1,854,629 | ||||||||||||||
| Gaming — 0.1% |
||||||||||||||
| GLP Capital LP/GLP Financing II, Inc., Gtd. Notes |
4.875% | 11/01/20 | 800 | 814,000 | ||||||||||
| Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., Gtd. Notes, 144A |
5.500% | 03/01/25 | 900 | 857,250 | ||||||||||
| 1,671,250 | ||||||||||||||
| Healthcare & Pharmaceutical — 0.9% |
||||||||||||||
| AbbVie, Inc., Sr. Unsec’d. Notes |
3.600% | 05/14/25 | 950 | 938,975 | ||||||||||
| AbbVie, Inc., Sr. Unsec’d. Notes |
4.500% | 05/14/35 | 1,595 | 1,560,393 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
3.800% | 03/15/25 | 805 | 790,769 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
4.550% | 03/15/35 | 1,305 | 1,240,758 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
4.750% | 03/15/45 | 480 | 456,986 | ||||||||||
| Actavis, Inc., Gtd. Notes |
6.125% | 08/15/19 | 440 | 496,758 | ||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
5.150% | 11/15/41 | 1,365 | 1,401,786 | ||||||||||
| Becton Dickinson & Co., Sr. Unsec’d. Notes(a) |
3.734% | 12/15/24 | 805 | 802,292 | ||||||||||
| CHS/Community Health Systems, Inc., Sr. Sec’d. Notes |
5.125% | 08/15/18 | 900 | 922,500 | ||||||||||
| Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A |
4.125% | 10/15/20 | 1,235 | 1,250,438 | ||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
5.650% | 12/01/41 | 140 | 160,407 | ||||||||||
| HCA, Inc., Sr. Sec’d. Notes |
5.000% | 03/15/24 | 900 | 915,750 | ||||||||||
| HCA, Inc., Sr. Sec’d. Notes |
5.250% | 04/15/25 | 350 | 364,000 | ||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
3.200% | 02/01/22 | 160 | 157,743 | ||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
5.625% | 12/15/15 | 560 | 571,277 | ||||||||||
| Medtronic, Inc., Sr. Unsec’d. Notes, 144A |
3.500% | 03/15/25 | 2,515 | 2,506,416 | ||||||||||
| Medtronic, Inc., Sr. Unsec’d. Notes, 144A |
4.375% | 03/15/35 | 1,065 | 1,056,826 | ||||||||||
| Merck & Co., Inc., Sr. Unsec’d. Notes |
2.750% | 02/10/25 | 340 | 326,038 | ||||||||||
| Merck & Co., Inc., Sr. Unsec’d. Notes |
3.700% | 02/10/45 | 1,105 | 987,172 | ||||||||||
| Mylan, Inc., Gtd. Notes |
1.800% | 06/24/16 | 355 | 355,178 | ||||||||||
| New York & Presbyterian Hospital (The), Unsec’d. Notes |
4.024% | 08/01/45 | 340 | 310,151 | ||||||||||
| Novartis Capital Corp. (Switzerland), Gtd. Notes |
4.400% | 05/06/44 | 1,010 | 1,041,236 | ||||||||||
| Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A |
2.875% | 09/29/21 | 4,385 | 4,421,141 | ||||||||||
| Zoetis, Inc., Sr. Unsec’d. Notes |
4.700% | 02/01/43 | 90 | 85,807 | ||||||||||
| 23,120,797 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Healthcare Insurance — 0.2% |
||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.625% | 06/15/36 | 480 | $ | 589,561 | |||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.750% | 12/15/37 | 1,050 | 1,321,236 | ||||||||||
| Anthem, Inc., Sr. Unsec’d. Notes |
4.625% | 05/15/42 | 330 | 301,639 | ||||||||||
| Anthem, Inc., Sr. Unsec’d. Notes |
4.650% | 01/15/43 | 260 | 238,358 | ||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.875% | 03/15/41 | 540 | 614,428 | ||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
6.150% | 11/15/36 | 640 | 738,337 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
3.950% | 10/15/42 | 440 | 398,107 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.000% | 06/15/17 | 115 | 125,214 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.625% | 11/15/37 | 410 | 525,615 | ||||||||||
| 4,852,495 | ||||||||||||||
| Insurance — 0.9% |
||||||||||||||
| Allied World Assurance Co. Holdings Ltd., Gtd. Notes |
5.500% | 11/15/20 | 480 | 534,931 | ||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
4.500% | 06/15/43 | 125 | 126,123 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
4.500% | 07/16/44 | 1,910 | 1,816,878 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
6.400% | 12/15/20 | 910 | 1,081,849 | ||||||||||
| Axis Specialty Finance LLC, Gtd. Notes |
5.875% | 06/01/20 | 990 | 1,120,448 | ||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a) |
6.375% | (b) | 03/29/67 | 1,260 | 1,321,740 | |||||||||
| Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A |
5.100% | (b) | 12/29/49 | 375 | 395,625 | |||||||||
| Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes |
5.125% | 04/15/22 | 635 | 704,232 | ||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
6.500% | 05/01/42 | 215 | 250,886 | ||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
7.000% | 03/15/34 | 910 | 1,103,188 | ||||||||||
| Lincoln National Corp., Jr. Sub. Notes(a) |
6.050% | (b) | 04/20/67 | 250 | 226,250 | |||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
6.300% | 10/09/37 | 876 | 1,032,275 | ||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
7.000% | 06/15/40 | 660 | 827,814 | ||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
8.750% | 07/01/19 | 505 | 619,154 | ||||||||||
| Markel Corp., Sr. Unsec’d. Notes |
5.000% | 03/30/43 | 165 | 162,230 | ||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
5.700% | 06/15/35 | 960 | 1,117,045 | ||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
6.375% | 06/15/34 | 85 | 104,878 | ||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
6.750% | 06/01/16 | 270 | 284,042 | ||||||||||
| New York Life Insurance Co., Sub. Notes, 144A |
6.750% | 11/15/39 | 650 | 853,020 | ||||||||||
| Nippon Life Insurance Co. (Japan), Sub. Notes, 144A |
5.100% | (b) | 10/16/44 | 1,505 | 1,574,606 | |||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A |
6.063% | 03/30/40 | 350 | 418,525 | ||||||||||
| Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A |
6.375% | 04/30/20 | 640 | 728,467 | ||||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
9.250% | 06/15/39 | 695 | 1,037,882 | ||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
4.625% | 09/15/42 | 105 | 101,086 | ||||||||||
| Progressive Corp. (The), Jr. Sub. Notes |
6.700% | (b) | 06/15/37 | 715 | 745,387 | |||||||||
| Progressive Corp. (The), Sr. Unsec’d. Notes |
3.700% | 01/26/45 | 570 | 503,208 | ||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
6.850% | 12/16/39 | 1,430 | 1,790,579 | ||||||||||
| Unum Group, Sr. Unsec’d. Notes |
5.625% | 09/15/20 | 315 | 354,456 | ||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
6.150% | 08/15/19 | 575 | 648,358 | ||||||||||
| 21,585,162 | ||||||||||||||
| Lodging — 0.2% |
||||||||||||||
| Choice Hotels International, Inc., Gtd. Notes |
5.750% | 07/01/22 | 955 | 1,034,981 | ||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.000% | 03/01/19 | 490 | 502,434 | ||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.250% | 09/15/22 | 805 | 793,713 | ||||||||||
| Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes |
6.750% | 05/15/18 | 2,700 | 3,020,817 | ||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
2.500% | 03/01/18 | 405 | 406,042 | ||||||||||
| 5,757,987 | ||||||||||||||
| Media & Entertainment — 0.2% |
||||||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
6.150% | 03/01/37 | 250 | 289,073 | ||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
6.900% | 08/15/39 | 35 | 43,776 | ||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
7.625% | 11/30/28 | 1,265 | 1,636,890 | ||||||||||
| CBS Corp., Gtd. Notes |
4.850% | 07/01/42 | 115 | 105,938 | ||||||||||
| Historic TW, Inc., Gtd. Notes |
9.150% | 02/01/23 | 625 | 825,641 | ||||||||||
| Myriad International Holdings BV (South Africa), Gtd. Notes, RegS |
6.375% | 07/28/17 | 750 | 793,125 | ||||||||||
| Time Warner, Inc., Gtd. Notes |
6.200% | 03/15/40 | 175 | 198,808 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Media & Entertainment (continued) |
||||||||||||||
| Time Warner, Inc., Gtd. Notes |
6.250% | 03/29/41 | 495 | $ | 566,423 | |||||||||
| Time Warner, Inc., Gtd. Notes |
7.625% | 04/15/31 | 75 | 97,525 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.500% | 02/27/42 | 50 | 41,805 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.875% | 06/15/43 | 150 | 134,271 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
5.850% | 09/01/43 | 325 | 323,486 | ||||||||||
| 5,056,761 | ||||||||||||||
| Metals — 0.1% |
||||||||||||||
| BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes |
5.000% | 09/30/43 | 700 | 726,624 | ||||||||||
| Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A |
2.050% | 10/23/15 | 905 | 907,317 | ||||||||||
| Newmont Mining Corp., Gtd. Notes |
6.250% | 10/01/39 | 15 | 14,699 | ||||||||||
| Southern Copper Corp. (Peru), Sr. Unsec’d. Notes |
5.875% | 04/23/45 | 400 | 380,480 | ||||||||||
| Southern Copper Corp. (Peru), Sr. Unsec’d. Notes |
7.500% | 07/27/35 | 370 | 414,378 | ||||||||||
| 2,443,498 | ||||||||||||||
| Non-Captive Finance — 0.1% |
||||||||||||||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A |
3.750% | 05/15/19 | 600 | 593,250 | ||||||||||
| General Electric Capital Corp., Gtd. Notes, MTN |
5.875% | 01/14/38 | 580 | 693,697 | ||||||||||
| General Electric Capital Corp., Gtd. Notes, MTN |
6.875% | 01/10/39 | 1,085 | 1,456,801 | ||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/16 | 230 | 235,750 | ||||||||||
| Navient Corp., Sr. Unsec’d. Notes, MTN |
8.450% | 06/15/18 | 295 | 327,834 | ||||||||||
| 3,307,332 | ||||||||||||||
| Packaging |
||||||||||||||
| Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes |
4.500% | 01/15/23 | 1,000 | 944,380 | ||||||||||
| Paper — 0.1% |
||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A |
5.400% | 11/01/20 | 275 | 306,977 | ||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
6.000% | 11/15/41 | 1,270 | 1,369,221 | ||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.950% | 06/15/18 | 460 | 537,098 | ||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.900% | 03/01/22 | 675 | 726,827 | ||||||||||
| 2,940,123 | ||||||||||||||
| Pipelines & Other — 0.3% |
||||||||||||||
| DCP Midstream LLC, Sr. Unsec’d. Notes, 144A |
4.750% | 09/30/21 | 600 | 592,862 | ||||||||||
| DCP Midstream LLC, Sr. Unsec’d. Notes, 144A |
5.350% | 03/15/20 | 1,125 | 1,156,483 | ||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
4.650% | 06/01/21 | 610 | 626,070 | ||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) |
4.900% | 03/15/35 | 200 | 180,462 | ||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) |
5.150% | 03/15/45 | 500 | 441,777 | ||||||||||
| EnLink Midstream Partners LP, Sr. Unsec’d. Notes |
4.150% | 06/01/25 | 665 | 647,477 | ||||||||||
| Enterprise Products Operating LLC, Gtd. Notes |
3.750% | 02/15/25 | 1,055 | 1,033,976 | ||||||||||
| Kinder Morgan Energy Partners LP, Gtd. Notes |
5.950% | 02/15/18 | 530 | 579,169 | ||||||||||
| MPLX LP, Sr. Unsec’d. Notes |
4.000% | 02/15/25 | 1,140 | 1,112,265 | ||||||||||
| NiSource Finance Corp., Gtd. Notes |
5.450% | 09/15/20 | 500 | 563,061 | ||||||||||
| ONEOK Partners LP, Gtd. Notes |
6.650% | 10/01/36 | 130 | 135,998 | ||||||||||
| 7,069,600 | ||||||||||||||
| Railroads — 0.1% |
||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
3.450% | 09/15/21 | 1,180 | 1,219,002 | ||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
6.700% | 08/01/28 | 735 | 930,140 | ||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
6.150% | 05/01/37 | 690 | 820,985 | ||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
5.590% | 05/17/25 | 120 | 138,151 | ||||||||||
| 3,108,278 | ||||||||||||||
| Real Estate Investment Trusts — 0.2% |
||||||||||||||
| Mack-Cali Realty LP, Sr. Unsec’d. Notes |
7.750% | 08/15/19 | 685 | 788,484 | ||||||||||
| Prologis LP, Gtd. Notes |
6.875% | 03/15/20 | 68 | 78,552 | ||||||||||
| Select Income REIT, Sr. Unsec’d. Notes |
2.850% | 02/01/18 | 550 | 557,425 | ||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
2.800% | 01/30/17 | 235 | 240,532 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Real Estate Investment Trusts (continued) |
||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
3.375% | 03/15/22 | 190 | $ | 192,850 | |||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
6.125% | 05/30/18 | 2,925 | 3,286,498 | ||||||||||
| 5,144,341 | ||||||||||||||
| Retailers — 0.1% |
||||||||||||||
| CVS Health Corp., Sr. Unsec’d. Notes(a) |
5.300% | 12/05/43 | 170 | 185,247 | ||||||||||
| Home Depot, Inc. (The), Sr. Unsec’d. Notes(a) |
4.400% | 03/15/45 | 565 | 564,186 | ||||||||||
| L Brands, Inc., Gtd. Notes |
5.625% | 02/15/22 | 1,300 | 1,368,250 | ||||||||||
| Lowe’s Cos., Inc., Sr. Unsec’d. Notes |
6.500% | 03/15/29 | 345 | 433,913 | ||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
3.875% | 01/15/22 | 300 | 311,066 | ||||||||||
| Target Corp., Sr. Unsec’d. Notes |
3.500% | 07/01/24 | 265 | 270,511 | ||||||||||
| 3,133,173 | ||||||||||||||
| Technology |
||||||||||||||
| Oracle Corp., Sr. Unsec’d. Notes |
4.300% | 07/08/34 | 700 | 690,300 | ||||||||||
| Seagate HDD Cayman, Gtd. Notes |
3.750% | 11/15/18 | 455 | 474,353 | ||||||||||
| 1,164,653 | ||||||||||||||
| Telecommunications — 0.6% |
||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
6.125% | 03/30/40 | 300 | 347,379 | ||||||||||
| AT&T Corp., Gtd. Notes |
8.000% | 11/15/31 | 18 | 24,425 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
3.400% | 05/15/25 | 3,130 | 2,985,106 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.500% | 05/15/35 | 350 | 321,750 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.750% | 05/15/46 | 560 | 509,585 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.800% | 06/15/44 | 305 | 284,107 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
5.350% | 09/01/40 | 1,133 | 1,115,458 | ||||||||||
| British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes |
9.625% | 12/15/30 | 350 | 519,461 | ||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.082% | 06/01/16 | 325 | 337,977 | ||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.995% | 06/01/36 | 365 | 404,675 | ||||||||||
| Sprint Communications, Inc., Sr. Unsec’d. Notes |
6.000% | 12/01/16 | 950 | 976,125 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes(a) |
3.500% | 11/01/24 | 1,220 | 1,186,644 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
4.862% | 08/21/46 | 1,053 | 985,520 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
5.012% | 08/21/54 | 2,349 | 2,155,412 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A |
4.522% | 09/15/48 | 1,182 | 1,038,407 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A |
4.672% | 03/15/55 | 2,288 | 1,990,455 | ||||||||||
| 15,182,486 | ||||||||||||||
| Tobacco — 0.2% |
||||||||||||||
| Altria Group, Inc., Gtd. Notes |
4.000% | 01/31/24 | 1,585 | 1,609,531 | ||||||||||
| Altria Group, Inc., Gtd. Notes |
9.950% | 11/10/38 | 42 | 67,630 | ||||||||||
| Altria Group, Inc., Gtd. Notes |
10.200% | 02/06/39 | 274 | 451,204 | ||||||||||
| Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A |
2.050% | 02/11/18 | 1,680 | 1,672,284 | ||||||||||
| RJ Reynolds Tobacco Co., Gtd. Notes |
8.125% | 06/23/19 | 290 | 343,556 | ||||||||||
| 4,144,205 | ||||||||||||||
| TOTAL CORPORATE BONDS |
|
243,545,283 | ||||||||||||
| MUNICIPAL BONDS — 0.5% | ||||||||||||||
| California — 0.2% |
||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
6.263% | 04/01/49 | 1,305 | 1,688,435 | ||||||||||
| State of California, GO, BABs |
7.300% | 10/01/39 | 1,250 | 1,736,312 | ||||||||||
| State of California, GO, BABs |
7.500% | 04/01/34 | 350 | 484,761 | ||||||||||
| State of California, GO, BABs |
7.550% | 04/01/39 | 245 | 354,253 | ||||||||||
| State of California, GO, BABs |
7.625% | 03/01/40 | 205 | 295,893 | ||||||||||
| 4,559,654 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| MUNICIPAL BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Colorado |
||||||||||||||
| Regional Transportation District, Revenue Bonds, Series 2010-B, BABs |
5.844% | 11/01/50 | 565 | $ | 704,035 | |||||||||
| Illinois — 0.1% |
||||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
6.395% | 01/01/40 | 970 | 1,186,950 | ||||||||||
| New Jersey — 0.1% |
||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs |
7.414% | 01/01/40 | 1,000 | 1,388,710 | ||||||||||
| New York — 0.1% |
||||||||||||||
| New York City Transitional Finance Authority, Revenue Bonds, BABs |
5.767% | 08/01/36 | 1,100 | 1,319,835 | ||||||||||
| Ohio |
||||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
4.910% | 06/01/40 | 415 | 458,438 | ||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
4.879% | 12/01/34 | 275 | 306,449 | ||||||||||
| 764,887 | ||||||||||||||
| Oregon |
||||||||||||||
| Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs |
5.834% | 11/15/34 | 425 | 518,934 | ||||||||||
| Pennsylvania |
||||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs |
5.511% | 12/01/45 | 505 | 570,993 | ||||||||||
| Tennessee |
||||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
6.731% | 07/01/43 | 945 | 1,169,457 | ||||||||||
| Texas |
||||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Series B, BABs |
5.028% | 04/01/26 | 305 | 347,651 | ||||||||||
| TOTAL MUNICIPAL BONDS |
|
12,531,106 | ||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.8% | ||||||||||||||
| CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
3.150% | 07/24/24 | 1,300 | 1,309,023 | ||||||||||
| Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A |
4.875% | 01/15/24 | 490 | 501,025 | ||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
5.125% | 06/29/20 | 265 | 297,022 | ||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
9.250% | 04/23/19 | 695 | 771,450 | ||||||||||
| International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d. Notes |
2.250% | 06/24/21 | 3,295 | 3,362,050 | ||||||||||
| KFW (Germany), Gov’t. Gtd. Notes, MTN |
2.750% | 10/01/20 | 2,645 | 2,760,370 | ||||||||||
| Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A |
1.125% | 05/23/18 | 2,634 | 2,626,003 | ||||||||||
| Petrobras Global Finance BV (Brazil), Gtd. Notes |
2.000% | 05/20/16 | 1,400 | 1,383,438 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes(a) |
3.500% | 01/30/23 | 705 | 668,833 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
4.875% | 01/18/24 | 375 | 384,375 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
5.500% | 01/21/21 | 1,970 | 2,136,465 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
6.625% | 06/15/35 | 453 | 483,578 | ||||||||||
| Petroleos Mexicanos (Mexico), Sr. Unsec’d. Notes |
8.625% | 12/01/23 | 350 | 430,150 | ||||||||||
| Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
6.299% | 05/15/17 | 560 | 565,600 | ||||||||||
| Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A |
1.750% | 04/10/17 | 1,035 | 1,035,590 | ||||||||||
| Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A |
2.500% | 04/28/20 | 1,000 | 984,940 | ||||||||||
| State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A |
2.750% | 05/07/19 | 500 | 505,050 | ||||||||||
| TOTAL NON-CORPORATE FOREIGN AGENCIES |
|
20,204,962 | ||||||||||||
| NON-CORPORATE SOVEREIGNS — 0.5% | ||||||||||||||
| Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a) |
4.250% | 01/07/25 | 2,270 | 2,191,685 | ||||||||||
| Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes |
4.000% | 02/26/24 | 920 | 915,400 | ||||||||||
| Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes |
4.000% | 03/25/19 | 392 | 404,662 | ||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) |
5.875% | 03/13/20 | 770 | 856,625 | ||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) |
5.875% | 01/15/24 | 750 | 828,750 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| NON-CORPORATE SOVEREIGNS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A |
6.875% | 01/17/18 | 745 | $ | 833,826 | |||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes |
3.625% | 03/15/22 | 550 | 556,600 | ||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN |
4.750% | 03/08/44 | 766 | 727,700 | ||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes |
3.750% | 03/16/25 | 490 | 482,650 | ||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes |
4.000% | 09/22/24 | 395 | 396,975 | ||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes |
5.200% | 01/30/20 | 375 | 413,250 | ||||||||||
| Province of British Columbia (Canada), Sr. Unsec’d. Notes |
2.000% | 10/23/22 | 1,975 | 1,934,506 | ||||||||||
| Romanian Government International Bond (Romania), |
4.875% | 01/22/24 | 140 | 148,050 | ||||||||||
| Romanian Government International Bond (Romania), |
6.125% | 01/22/44 | 350 | 392,700 | ||||||||||
| Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes |
7.000% | 06/05/20 | 1,260 | 1,438,245 | ||||||||||
| TOTAL NON-CORPORATE SOVEREIGNS |
|
12,521,624 | ||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3% | ||||||||||||||
| Alternative Loan Trust, Series 2004-18CB, Class 3A1 |
5.250% | 09/25/19 | 298 | 303,839 | ||||||||||
| Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 |
6.000% | 01/25/36 | 1,404 | 1,183,211 | ||||||||||
| Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A |
3.500% | (b) | 01/01/30 | 2,114 | 2,121,025 | |||||||||
| Banc of America Mortgage Trust, Series 2005-A, Class 2A1 |
2.673% | (b) | 02/25/35 | 311 | 303,459 | |||||||||
| Banc of America Mortgage Trust, Series 2005-B, Class 2A1 |
2.732% | (b) | 03/25/35 | 362 | 334,024 | |||||||||
| Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 |
2.553% | (b) | 02/25/37 | 707 | 687,381 | |||||||||
| Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1 |
2.137% | (b) | 11/25/24 | 3,114 | 3,137,733 | |||||||||
| Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1 |
1.687% | (b) | 02/25/25 | 1,031 | 1,032,634 | |||||||||
| Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1 |
1.335% | (b) | 05/25/25 | 4,974 | 4,946,635 | |||||||||
| Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 |
1.087% | (b) | 10/25/27 | 6,402 | 6,388,608 | |||||||||
| JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 |
2.595% | (b) | 07/25/35 | 375 | 375,787 | |||||||||
| LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A |
3.284% | (b) | 09/01/21 | 4,695 | 4,719,316 | |||||||||
| LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A |
2.184% | (b) | 04/01/20 | 2,337 | 2,327,876 | |||||||||
| LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A |
2.184% | (b) | 05/01/20 | 4,139 | 4,108,998 | |||||||||
| MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 |
5.000% | 04/25/19 | 72 | 72,882 | ||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
2.637% | (b) | 02/25/34 | 427 | 425,048 | |||||||||
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A |
5.000% | 03/25/20 | 197 | 197,280 | ||||||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
|
32,665,736 | ||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.4% | ||||||||||||||
| Federal Home Loan Banks |
0.375% | 08/28/15 | 335 | 335,144 | ||||||||||
| Federal Home Loan Banks(g) |
5.500% | 07/15/36 | 850 | 1,099,677 | ||||||||||
| Federal Home Loan Mortgage Corp. |
0.750% | 01/12/18 | 407 | 404,973 | ||||||||||
| Federal Home Loan Mortgage Corp. |
2.236% | (b) | 12/01/35 | 315 | 334,349 | |||||||||
| Federal Home Loan Mortgage Corp. |
2.292% | (b) | 06/01/36 | 294 | 312,755 | |||||||||
| Federal Home Loan Mortgage Corp.(a) |
2.375% | 01/13/22 | 3,700 | 3,746,139 | ||||||||||
| Federal Home Loan Mortgage Corp. |
2.500% | 03/01/30 | 978 | 990,718 | ||||||||||
| Federal Home Loan Mortgage Corp.(l) |
3.000% | TBA | 7,000 | 6,958,164 | ||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | 10/01/28-01/01/43 | 3,975 | 4,073,473 | ||||||||||
| Federal Home Loan Mortgage Corp.(l) |
3.500% | TBA | 7,500 | 7,695,557 | ||||||||||
| Federal Home Loan Mortgage Corp.(l) |
3.500% | TBA | 500 | 526,848 | ||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | 08/01/26 | 1,355 | 1,432,207 | ||||||||||
| Federal Home Loan Mortgage Corp.(l) |
4.000% | TBA | 2,500 | 2,643,799 | ||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 3,971 | 4,221,490 | ||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 11,174 | 12,080,210 | ||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-05/01/39 | 3,254 | 3,538,905 | ||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 3,042 | 3,410,630 | ||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-08/01/39 | 1,198 | 1,365,212 | ||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 09/01/16 | 1 | 1,041 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 05/01/31-10/01/31 | 314 | $ | 358,011 | |||||||||
| Federal National Mortgage Assoc.(a)(g)(h) |
1.500% | 06/22/20 | 4,835 | 4,777,662 | ||||||||||
| Federal National Mortgage Assoc. |
1.625% | 01/21/20 | 1,365 | 1,363,108 | ||||||||||
| Federal National Mortgage Assoc. |
1.875% | 02/19/19 | 156 | 158,940 | ||||||||||
| Federal National Mortgage Assoc. |
1.959% | (b) | 07/01/33 | 421 | 443,914 | |||||||||
| Federal National Mortgage Assoc. |
2.059% | (b) | 06/01/37 | 74 | 74,794 | |||||||||
| Federal National Mortgage Assoc. |
2.151% | (b) | 07/01/37 | 465 | 491,582 | |||||||||
| Federal National Mortgage Assoc.(l) |
2.500% | TBA | 1,000 | 1,012,114 | ||||||||||
| Federal National Mortgage Assoc. |
2.500% | 01/01/28-10/01/43 | 2,615 | 2,605,186 | ||||||||||
| Federal National Mortgage Assoc.(a) |
2.625% | 09/06/24 | 130 | 130,050 | ||||||||||
| Federal National Mortgage Assoc.(l) |
3.000% | TBA | 26,000 | 25,903,007 | ||||||||||
| Federal National Mortgage Assoc. |
3.000% | 02/01/27 | 3,899 | 4,049,237 | ||||||||||
| Federal National Mortgage Assoc.(l) |
3.500% | TBA | 500 | 527,320 | ||||||||||
| Federal National Mortgage Assoc.(l) |
3.500% | TBA | 3,000 | 3,083,672 | ||||||||||
| Federal National Mortgage Assoc. |
3.500% | 07/01/27-03/01/43 | 30,896 | 32,006,763 | ||||||||||
| Federal National Mortgage Assoc.(l) |
4.000% | TBA | 16,000 | 16,914,186 | ||||||||||
| Federal National Mortgage Assoc.(l) |
4.000% | TBA | 7,500 | 7,946,103 | ||||||||||
| Federal National Mortgage Assoc. |
4.000% | 09/01/44 | 6,570 | 6,963,812 | ||||||||||
| Federal National Mortgage Assoc. |
4.500% | 11/01/18-03/01/41 | 7,817 | 8,488,473 | ||||||||||
| Federal National Mortgage Assoc.(l) |
5.000% | TBA | 3,500 | 3,866,406 | ||||||||||
| Federal National Mortgage Assoc. |
5.000% | 10/01/18-05/01/36 | 2,364 | 2,603,483 | ||||||||||
| Federal National Mortgage Assoc. |
5.500% | 03/01/16-04/01/37 | 4,590 | 5,157,888 | ||||||||||
| Federal National Mortgage Assoc. |
6.000% | 09/01/17-06/01/38 | 5,110 | 5,828,235 | ||||||||||
| Federal National Mortgage Assoc. |
6.500% | 07/01/17-01/01/37 | 1,956 | 2,258,372 | ||||||||||
| Federal National Mortgage Assoc. |
7.000% | 02/01/32-07/01/32 | 212 | 247,383 | ||||||||||
| Federal National Mortgage Assoc. |
7.500% | 05/01/32 | 41 | 43,476 | ||||||||||
| Government National Mortgage Assoc.(l) |
3.000% | TBA | 2,000 | 2,018,750 | ||||||||||
| Government National Mortgage Assoc.(l) |
3.000% | TBA | 4,000 | 4,037,812 | ||||||||||
| Government National Mortgage Assoc.(l) |
3.500% | TBA | 18,000 | 18,681,331 | ||||||||||
| Government National Mortgage Assoc. |
3.500% | 05/20/43-04/20/45 | 3,886 | 4,051,792 | ||||||||||
| Government National Mortgage Assoc. |
4.000% | 06/15/40-04/20/45 | 9,216 | 9,784,493 | ||||||||||
| Government National Mortgage Assoc.(l) |
4.500% | TBA | 1,000 | 1,085,781 | ||||||||||
| Government National Mortgage Assoc. |
4.500% | 04/15/40-12/20/44 | 9,455 | 10,277,573 | ||||||||||
| Government National Mortgage Assoc. |
5.500% | 08/15/33-04/15/36 | 2,187 | 2,492,387 | ||||||||||
| Government National Mortgage Assoc. |
6.000% | 11/15/23-07/15/34 | 853 | 980,739 | ||||||||||
| Government National Mortgage Assoc. |
6.500% | 10/15/23-09/15/36 | 1,613 | 1,865,817 | ||||||||||
| Government National Mortgage Assoc. |
8.000% | 01/15/24-07/15/24 | 25 | 27,561 | ||||||||||
| Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes |
2.503% | 10/30/20 | 566 | 584,397 | ||||||||||
| Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes |
2.578% | 06/30/22 | 3,910 | 3,929,550 | ||||||||||
| Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes |
3.000% | 06/30/25 | 1,115 | 1,117,787 | ||||||||||
| Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO |
1.825% | (f) | 10/15/19 | 1,105 | 1,019,930 | |||||||||
| Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO |
2.066% | (f) | 07/15/20 | 3,351 | 3,032,843 | |||||||||
| Tennessee Valley Authority, Sr. Unsec’d. Notes |
5.880% | 04/01/36 | 76 | 98,636 | ||||||||||
| Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes |
1.847% | 05/29/20 | 3,665 | 3,667,888 | ||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
261,229,535 | ||||||||||||
| U.S. TREASURY OBLIGATIONS — 2.5% | ||||||||||||||
| U.S. Treasury Bonds(a) |
2.500% | 02/15/45 | 1,260 | 1,108,901 | ||||||||||
| U.S. Treasury Bonds |
2.750% | 08/15/42-11/15/42 | 2,850 | 2,651,489 | ||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.125% | 04/15/20 | 5,824 | 5,871,016 | ||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
1.375% | 01/15/20 | 9,436 | 10,087,863 | ||||||||||
| U.S. Treasury Notes |
1.500% | 10/31/19 | 1,745 | 1,745,954 | ||||||||||
| U.S. Treasury Notes(h) |
2.125% | 09/30/21 | 27,615 | 27,891,150 | ||||||||||
| U.S. Treasury Notes |
3.125% | 05/15/19 | 3,065 | 3,270,689 | ||||||||||
| U.S. Treasury Strips Coupon |
2.184% | (f) | 02/15/28 | 2,115 | 1,496,130 | |||||||||
| U.S. Treasury Strips Coupon |
2.241% | (f) | 05/15/28 | 1,055 | 740,111 | |||||||||
| U.S. Treasury Strips Coupon |
2.280% | (f) | 02/15/29 | 1,055 | 718,154 | |||||||||
| U.S. Treasury Strips Coupon |
2.363% | (f) | 08/15/30 | 3,150 | 2,027,349 | |||||||||
| U.S. Treasury Strips Coupon |
2.384% | (f) | 05/15/29 | 2,175 | 1,466,011 | |||||||||
| U.S. Treasury Strips Coupon |
2.519% | (f) | 08/15/25 | 1,930 | 1,496,877 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| U.S. TREASURY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| U.S. Treasury Strips Coupon |
3.103% | (f) | 11/15/34 | 1,430 | $ | 783,950 | ||||||||
| U.S. Treasury Strips Principal |
2.351% | (f) | 05/15/43 | 1,180 | 474,287 | |||||||||
| U.S. Treasury Strips Principal |
3.577% | (f) | 05/15/44 | 1,780 | 696,774 | |||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
62,526,705 | ||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
2,120,750,629 | ||||||||||||
| SHORT-TERM INVESTMENTS — 21.3% | ||||||||||||||
| Shares |
||||||||||||||
| AFFILIATED MUTUAL FUNDS — 20.9% | ||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
10,486,362 | 97,942,621 | ||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
425,643,804 | 425,643,804 | ||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
523,586,425 | ||||||||||||
| Principal Amount (000)# |
||||||||||||||
| U.S. TREASURY OBLIGATION — 0.4% | ||||||||||||||
| U.S. Treasury Bills(g) |
0.152%(i) | 09/17/15 | 10,650 | 10,650,000 | ||||||||||
| Notional Amount (000)# |
||||||||||||||
| OPTIONS PURCHASED* | ||||||||||||||
| Call Options |
||||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00 |
27,200 | 467,500 | ||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00 |
13,600 | 29,750 | ||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00 |
13,600 | 10,625 | ||||||||||||
| TOTAL OPTIONS PURCHASED |
|
507,875 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
534,744,300 | ||||||||||||
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.1% |
|
2,655,494,929 | ||||||||||||
| OPTIONS WRITTEN* | ||||||||||||||
| Call Options |
||||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00 |
27,200 | (174,250 | ) | |||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00 |
27,200 | (102,000 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN |
|
(276,250 | ) | |||||||||||
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.1% |
|
2,655,218,679 | ||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.1)% |
|
(152,651,453 | ) | |||||||||||
| NET ASSETS — 100.0% |
|
$ | 2,502,567,226 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
See the Glossary for abbreviations used in the Portfolio descriptions.
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $57,070,426; cash collateral of $58,627,635 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015. |
| (c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $4,272,642. The aggregate value of $4,355,269 is approximately 0.2% of net assets. |
| (d) | Indicates a security that has been deemed illiquid. |
| (e) | Represents issuer in default on interest payments and/or principal re-payments;.non-income producing security. Such securities may be post maturity. |
| (f) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (i) | Rate quoted represents yield-to-maturity as of purchase date. |
| (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) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $100,000,000 is approximately 4.0% of net assets. |
| (m) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation (Depreciation)(1) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 91 | 2 Year U.S. Treasury Notes | Sep. 2015 | $ | 19,930,551 | $ | 19,923,313 | $ | (7,238 | ) | |||||||||
| 666 | 5 Year U.S. Treasury Notes | Sep. 2015 | 78,964,065 | 79,425,703 | 461,638 | |||||||||||||
| 218 | 10 Year U.S. Treasury Notes | Sep. 2015 | 27,425,071 | 27,505,469 | 80,398 | |||||||||||||
| 87 | DAX Index | Sep. 2015 | 26,619,996 | 26,676,473 | 56,477 | |||||||||||||
| 691 | DJ Euro STOXX 50 | Sep. 2015 | 26,453,417 | 26,469,665 | 16,248 | |||||||||||||
| 221 | IBEX 35 Index | Jul. 2015 | 26,419,156 | 26,547,447 | 128,291 | |||||||||||||
| 16 | MSCI EAFE Mini Futures | Sep. 2015 | 1,506,518 | 1,467,200 | (39,318 | ) | ||||||||||||
| 59 | S&P 500 E-Mini Futures | Sep. 2015 | 6,155,981 | 6,060,480 | (95,501 | ) | ||||||||||||
| 62 | S&P 500 Index Futures | Sep. 2015 | 32,439,964 | 31,843,200 | (596,764 | ) | ||||||||||||
| 227 | U.S. Ultra Bonds | Sep. 2015 | 35,813,459 | 34,972,188 | (841,271 | ) | ||||||||||||
| (837,040 | ) | |||||||||||||||||
| Short Position: | ||||||||||||||||||
| 194 | U.S. Long Bonds | Sep. 2015 | 29,872,710 | 29,263,688 | 609,022 | |||||||||||||
| $ | (228,018 | ) | ||||||||||||||||
| (1) | A U.S. Treasury Obligation with a market value of $10,650,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $1,926,660 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
Interest rate swap agreements outstanding at June 30, 2015:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: |
|||||||||||||||||||||||||
| 2,634 | 05/17/18 | 0.989% | 3 Month LIBOR(1) |
$ | 13,942 | $ | — | $ | 13,942 | Credit Suisse First Boston Corp. | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Interest rate swap agreements outstanding at June 30, 2015 (continued):
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
|||||||||||||||||||||||
| 12,735 | 12/31/21 | 1.831% | 3 Month LIBOR(1) |
$ | 8,825 | $ | 171,024 | $ | 162,199 | |||||||||||||||
| 26,880 | 12/31/21 | 1.950% | 3 Month LIBOR(1) |
73,934 | 163,044 | 89,110 | ||||||||||||||||||
| 40,475 | 05/31/22 | 2.200% | 3 Month LIBOR(1) |
(56,569 | ) | (44,834 | ) | 11,735 | ||||||||||||||||
| $ | 26,190 | $ | 289,234 | $ | 263,044 | |||||||||||||||||||
| (1) | Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at June 30, 2015:
| Reference Entity/ Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Value at Trade Date |
Value at June 30, 2015(4) |
Unrealized Appreciation |
||||||||||||||||||
| Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
|
|||||||||||||||||||||||
| CDX.NA.IG.24.V1 |
06/20/20 | 1.000% | 53,000 | $ | (997,536 | ) | $ | (756,174 | ) | $ | 241,362 | |||||||||||||
| Reference Entity/ |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Fair Value(4) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Sell Protection(2): |
|
|||||||||||||||||||||||||
| CDX.NA.HY.17.V9 |
12/20/16 | 5.000% | 1,150 | $ | 63,809 | $ | 47,923 | $ | 15,886 | Credit Suisse First Boston Corp. | ||||||||||||||||
| CDX.NA.HY.17.V9 |
12/20/16 | 5.000% | 2,990 | 165,903 | 128,338 | 37,565 | Deutsche Bank AG | |||||||||||||||||||
| CDX.NA.HY.17.V9 |
12/20/16 | 5.000% | 4,140 | 229,713 | 181,413 | 48,300 | Deutsche Bank AG | |||||||||||||||||||
| $ | 459,425 | $ | 357,674 | $ | 101,751 | |||||||||||||||||||||
A U.S. Government Agency Obligation and a U.S. Treasury Obligation with a combined market value of $3,538,677 have been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at June 30, 2015.
The Portfolio entered into credit default swap (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (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 less the recovery value of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | 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, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 1,132,886,509 | $ | 145,284,697 | $ | — | ||||||
| Exchange Traded Fund |
1,144,471 | — | — | |||||||||
| Preferred Stocks |
519,200 | 1,549,403 | — | |||||||||
| Asset-Backed Securities |
||||||||||||
| Collateralized Debt Obligation |
— | 363,259 | — | |||||||||
| Collateralized Loan Obligations |
— | 40,590,337 | — | |||||||||
| Non-Residential Mortgage-Backed Securities |
— | 24,360,136 | 7,781,736 | |||||||||
| Residential Mortgage-Backed Securities |
— | 14,970,624 | — | |||||||||
| Bank Loans |
— | 4,789,511 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 101,285,795 | — | |||||||||
| Corporate Bonds |
— | 243,480,765 | 64,518 | |||||||||
| Municipal Bonds |
— | 12,531,106 | — | |||||||||
| Non-Corporate Foreign Agencies |
— | 20,204,962 | — | |||||||||
| Non-Corporate Sovereigns |
— | 12,521,624 | — | |||||||||
| Residential Mortgage-Backed Securities |
— | 32,665,736 | — | |||||||||
| U.S. Government Agency Obligations |
— | 261,229,535 | — | |||||||||
| U.S. Treasury Obligations |
— | 73,176,705 | — | |||||||||
| Affiliated Mutual Funds |
523,586,425 | — | — | |||||||||
| Options Purchased |
507,875 | — | — | |||||||||
| Options Written |
(276,250 | ) | — | — | ||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(228,018 | ) | — | — | ||||||||
| Over-the-counter interest rate swap |
— | 13,942 | — | |||||||||
| Exchange-traded interest rate swaps |
— | 263,044 | — | |||||||||
| Exchange-traded credit default swap |
— | 241,362 | — | |||||||||
| Over-the-counter credit default swaps |
— | 459,425 | — | |||||||||
| Total |
$ | 1,658,140,212 | $ | 989,981,968 | $ | 7,846,254 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (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, 2015 as presented in the Statement of Assets and Liabilities:
| Derivatives not accounted for as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Credit contracts |
Premiums paid for swap agreements | $ | 357,674 | — | $ | — | ||||||
| Credit contracts |
Due from/to broker — variation margin swaps | 241,362 | * | — | — | |||||||
| Credit contracts |
Unrealized appreciation on over-the-counter swap agreements | 101,751 | — | — | ||||||||
| Equity Contracts |
Due from/to broker — variation margin futures | 201,016 | * | Due from/to broker — variation margin futures | 731,583 | * | ||||||
| Interest rate contracts |
Due from/to broker — variation margin futures | 1,151,058 | * | Due from/to broker — variation margin futures | 848,509 | * | ||||||
| Interest rate contracts |
Due from/to broker — variation margin swaps | 263,044 | * | — | — | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| Derivatives not accounted for as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Interest rate contracts |
Unrealized appreciation on over-the-counter swap agreements | $ | 13,942 | — | $ | — | ||||||
| Interest rate contracts |
Unaffiliated investments | 507,875 | Options written outstanding, at value | 276,250 | ||||||||
| Total |
$ | 2,837,722 | $ | 1,856,342 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not accounted for as hedging |
Rights* |
Options Purchased* |
Options Written |
Futures |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | (512,220 | ) | $ | (512,220 | ) | ||||||||||
| Equity contracts |
6,783 | — | — | 5,744,856 | — | 5,751,639 | ||||||||||||||||||
| Interest rate contracts |
— | (1,084,032 | ) | 299,296 | 880,255 | 8,398 | 103,917 | |||||||||||||||||
| $ | 6,783 | $ | (1,084,032 | ) | $ | 299,296 | $ | 6,625,111 | $ | (503,822 | ) | $ | 5,343,336 | |||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||
| Derivatives not accounted for as hedging |
Options Purchased* |
Options Written |
Futures |
Swaps |
Total |
|||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | 364,634 | $ | 364,634 | ||||||||||
| Equity contracts |
— | — | (5,108,672 | ) | — | (5,108,672 | ) | |||||||||||||
| Interest rate contracts |
61,024 | (60,445 | ) | (315,501 | ) | 307,262 | (7,660 | ) | ||||||||||||
| Total |
$ | 61,024 | $ | (60,445 | ) | $ | (5,424,173 | ) | $ | 671,896 | $ | (4,751,698 | ) | |||||||
| * | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
|
Options Purchased(1) |
Options Written(2) |
Futures Contracts— |
Futures Contracts— | |||
| $256,036 | $91,067 | $254,361,154 | $22,231,478 |
| Interest Rate
Swap |
Credit Default |
Credit Default | ||
| $76,936 | $57,643 | $8,401 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000). |
| (3) | Value at Trade Date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
| Counterparty |
Gross amounts of recognized assets(1) |
Gross amounts available for offset |
Collateral Received(3) |
Net Amount |
||||||||||||
| Credit Suisse First Boston Corp. |
$ | 77,751 | $ | — | $ | — | $ | 77,751 | ||||||||
| Deutsche Bank AG |
395,616 | — | (521,616 | ) | — | |||||||||||
| $ | 473,367 | |||||||||||||||
| Counterparty |
Gross amounts
of recognized liabilities(2) |
Gross amounts available for offset |
Collateral Pledged(3) |
Net Amount |
||||||||||||
| Credit Suisse First Boston Corp. |
$ | — | $ | — | $ | — | $ | — | ||||||||
| Deutsche Bank AG |
— | — | — | — | ||||||||||||
| $ | — | |||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS |
||||||||
| Net investment income |
$ | 22,537,970 | $ | 42,111,812 | ||||
| Net realized gain on investment and foreign currency transactions |
91,328,668 | 120,488,994 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(98,586,135 | ) | 50,456,589 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
15,280,503 | 213,057,395 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
| Series shares sold [155,045 and 657,128 shares, respectively] |
3,531,071 | 14,068,708 | ||||||
| Series shares repurchased [3,986,192 and 7,335,062 shares, respectively] |
(90,599,574 | ) | (157,169,187 | ) | ||||
| NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS |
(87,068,503 | ) | (143,100,479 | ) | ||||
| TOTAL INCREASE (DECREASE) | (71,788,000 | ) | 69,956,916 | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
2,574,355,226 | 2,504,398,310 | ||||||
| End of period |
$ | 2,502,567,226 | $ | 2,574,355,226 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| DIVERSIFIED BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| LONG-TERM INVESTMENTS — 90.1% ASSET-BACKED SECURITIES — 13.8% |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Collateralized Loan Obligations — 4.4% |
||||||||||||||
| A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A |
1.725% | (a) | 07/15/26 | 500 | $ | 497,885 | ||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.455% | (a) | 04/20/25 | 3,300 | 3,269,578 | |||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A |
3.360% | 04/20/25 | 500 | 492,107 | ||||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A |
1.888% | (a) | 10/15/26 | 1,750 | 1,751,969 | |||||||||
| Battalion VII CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A |
1.675% | (a) | 10/22/25 | 1,300 | 1,296,433 | |||||||||
| Battalion VII CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A |
1.874% | (a) | 10/17/26 | 2,750 | 2,753,115 | |||||||||
| Benefit Street Partners II CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A |
1.475% | (a) | 07/15/24 | 900 | 891,741 | |||||||||
| Benefit Street Partners V CLO Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A |
1.875% | (a) | 10/20/26 | 1,250 | 1,251,118 | |||||||||
| Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A |
0.551% | (a) | 06/20/17 | 255 | 255,089 | |||||||||
| Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.755% | (a) | 01/15/26 | 700 | 700,033 | |||||||||
| Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.424% | (a) | 04/17/25 | 2,600 | 2,573,959 | |||||||||
| Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A |
1.737% | (a) | 07/27/26 | 250 | 249,773 | |||||||||
| ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A |
1.725% | (a) | 07/15/26 | 1,500 | 1,493,603 | |||||||||
| Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A |
1.745% | (a) | 01/20/26 | 2,500 | 2,492,493 | |||||||||
| Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.670% | (a) | 01/17/26 | 1,250 | 1,246,341 | |||||||||
| ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.415% | (a) | 04/15/24 | 4,200 | 4,143,406 | |||||||||
| Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A |
1.763% | (a) | 04/15/27 | 2,250 | 2,250,849 | |||||||||
| KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A |
1.825% | (a) | 07/15/26 | 250 | 249,872 | |||||||||
| Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A |
1.755% | (a) | 04/15/26 | 250 | 249,306 | |||||||||
| Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A |
—% | (a)(k) | 07/20/27 | 1,000 | 998,100 | |||||||||
| Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A |
1.837% | (a) | 10/25/26 | 4,375 | 4,374,087 | |||||||||
| Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A |
3.440% | 04/15/25 | 700 | 680,883 | ||||||||||
| Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.325% | (a) | 04/15/25 | 7,300 | 7,183,177 | |||||||||
| Sound Point VI CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A |
1.635% | (a) | 10/20/26 | 750 | 743,555 | |||||||||
| THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A |
1.725% | (a) | 01/18/26 | 3,300 | 3,296,421 | |||||||||
| Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.395% | (a) | 07/15/25 | 300 | 296,452 | |||||||||
| 45,681,345 | ||||||||||||||
| Non-Residential Mortgage-Backed Securities — 1.6% |
||||||||||||||
| GE Business Loan Trust, Series 2006-1A, Class D, 144A |
1.186% | (a) | 05/15/34 | 129 | 106,464 | |||||||||
| Hertz, Series 2015-1A, Class A |
2.730% | 03/25/21 | 5,600 | 5,572,000 | ||||||||||
| Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A |
3.540% | 10/20/32 | 1,961 | 2,020,853 | ||||||||||
| Onemain Financial Issuance Trust, Series 2015-2A, Class A, 144A |
2.570% | 07/18/25 | 3,900 | 3,902,964 | ||||||||||
| Springleaf Funding Trust, Series 2015-AA, Class A, 144A |
3.160% | 11/15/24 | 4,600 | 4,654,570 | ||||||||||
| 16,256,851 | ||||||||||||||
| Residential Mortgage-Backed Securities — 7.8% |
||||||||||||||
| ABFC Trust, Series 2004-OPT1, Class M1 |
1.237% | (a) | 08/25/33 | 1,258 | 1,190,269 | |||||||||
| ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 |
1.087% | (a) | 09/25/33 | 1,343 | 1,258,197 | |||||||||
| Alternative Loan Trust, Series 2004-18CB, Class 3A1 |
5.250% | 09/25/19 | 368 | 375,801 | ||||||||||
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 |
1.147% | (a) | 09/25/34 | 950 | 947,173 | |||||||||
| Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 |
3.112% | (a) | 10/25/31 | 407 | 387,229 | |||||||||
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1 |
1.012% | (a) | 05/25/34 | 1,432 | 1,368,202 | |||||||||
| Argent Securities, Inc., Series 2003-W2, Class M4 |
5.812% | (a) | 09/25/33 | 2,400 | 2,243,040 | |||||||||
| Argent Securities, Inc., Series 2004-W10, Class A2 |
0.967% | (a) | 10/25/34 | 1,802 | 1,750,084 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 |
1.431% | (a) | 06/15/33 | 1,142 | $ | 1,089,673 | ||||||||
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 |
1.236% | (a) | 01/15/34 | 204 | 193,823 | |||||||||
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 |
1.087% | (a) | 08/25/34 | 1,728 | 1,669,589 | |||||||||
| Bayview Opportunity Master Fund IIIb NPL Trust, Series 2015-NPLA, Class A, 144A |
3.721% | (a) | 07/28/35 | 5,000 | 5,000,000 | |||||||||
| Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 |
1.087% | (a) | 03/25/34 | 3,612 | 3,441,928 | |||||||||
| Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 |
1.912% | (a) | 04/25/34 | 1,935 | 1,767,522 | |||||||||
| CDC Mortgage Capital Trust, Series 2002-HE3, Class M2 |
3.562% | (a) | 03/25/33 | 189 | 127,653 | |||||||||
| Centex Home Equity Loan Trust, Series 2004-B, Class AF6 |
4.686% | (a) | 03/25/34 | 1,094 | 1,123,543 | |||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2 |
2.437% | (a) | 08/25/32 | 66 | 56,485 | |||||||||
| Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 |
4.942% | 07/25/34 | 538 | 510,699 | ||||||||||
| Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1 |
1.687% | (a) | 02/25/25 | 1,375 | 1,376,845 | |||||||||
| FBR Securitization Trust, Series 2005-2, Class M1 |
0.907% | (a) | 09/25/35 | 3,205 | 3,178,190 | |||||||||
| Fremont Home Loan Trust, Series 2003-B, Class M1 |
1.237% | (a) | 12/25/33 | 193 | 184,446 | |||||||||
| GSAMP Trust, Series 2004-FM1, Class M1 |
1.162% | (a) | 11/25/33 | 1,852 | 1,794,373 | |||||||||
| GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A |
0.327% | (a) | 01/26/37 | 4,809 | 4,617,911 | |||||||||
| GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A |
0.327% | (a) | 01/26/37 | 1,400 | 1,109,360 | |||||||||
| GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A |
0.325% | (a) | 03/26/37 | 3,750 | 3,567,000 | |||||||||
| GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A |
0.325% | (a) | 03/26/37 | 700 | 533,330 | |||||||||
| Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 |
0.937% | (a) | 02/25/34 | 3,926 | 3,732,501 | |||||||||
| LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A |
2.184% | (a) | 05/01/20 | 6,677 | 6,628,206 | |||||||||
| MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 |
5.000% | 04/25/19 | 72 | 72,882 | ||||||||||
| MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 |
0.967% | (a) | 02/25/34 | 1,995 | 1,896,081 | |||||||||
| Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 |
1.387% | (a) | 08/25/35 | 614 | 580,298 | |||||||||
| Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A |
0.707% | (a) | 06/25/35 | 1,628 | 1,560,647 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 |
1.387% | (a) | 05/25/33 | 1,141 | 1,070,576 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 |
1.207% | (a) | 10/25/33 | 866 | 807,803 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 |
1.237% | (a) | 12/27/33 | 693 | 668,839 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 |
1.057% | (a) | 11/25/34 | 3,688 | 3,362,692 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 |
1.117% | (a) | 06/25/34 | 2,009 | 1,943,430 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 |
1.102% | (a) | 07/25/34 | 1,549 | 1,477,153 | |||||||||
| New Century Home Equity Loan Trust, Series 2003-4, Class M1 |
1.312% | (a) | 10/25/33 | 2,728 | 2,619,098 | |||||||||
| New Century Home Equity Loan Trust, Series 2004-4, Class M1 |
0.952% | (a) | 02/25/35 | 3,048 | 2,831,336 | |||||||||
| Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2 |
1.387% | (a) | 12/25/34 | 175 | 173,370 | |||||||||
| Residential Asset Securities Corp., Series 2004-KS1, Class AI5 |
5.221% | 02/25/34 | 1,000 | 1,037,136 | ||||||||||
| Saxon Asset Securities Trust, Series 2002-3, Class M1 |
1.312% | (a) | 12/25/32 | 199 | 185,575 | |||||||||
| Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 |
0.967% | (a) | 02/25/34 | 3,034 | 2,821,591 | |||||||||
| Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 |
0.952% | (a) | 02/25/35 | 1,038 | 952,924 | |||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
2.637% | (a) | 02/25/34 | 1,197 | 1,190,134 | |||||||||
| Structured Asset Investment Loan Trust, Series 2004-2, Class A4 |
0.892% | (a) | 03/25/34 | 2,297 | 2,127,577 | |||||||||
| Structured Asset Investment Loan Trust, Series 2004-7, Class A8 |
1.387% | (a) | 08/25/34 | 1,400 | 1,277,209 | |||||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 |
3.187% | (a) | 07/25/32 | 725 | 679,767 | |||||||||
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A |
5.000% | 03/25/20 | 302 | 302,646 | ||||||||||
| 80,861,836 | ||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
142,800,032 | ||||||||||||
| BANK LOANS(a) — 3.0% | ||||||||||||||
| Aerospace & Defense — 0.2% |
||||||||||||||
| Transdigm, Inc. |
3.500% | 05/13/22 | 1,995 | 1,969,588 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| BANK LOANS(a) (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Automotive — 0.2% |
||||||||||||||
| Chrysler Group LLC |
3.250% | 12/31/18 | 997 | $ | 994,482 | |||||||||
| Chrysler Group LLC |
3.500% | 05/24/17 | 1,335 | 1,332,117 | ||||||||||
| 2,326,599 | ||||||||||||||
| Chemicals — 0.1% |
||||||||||||||
| Axalta Coating Systems US Holdings |
3.750% | 02/01/20 | 709 | 708,156 | ||||||||||
| CeramTec GmbH (Germany) |
4.250% | 08/30/20 | EUR | 900 | 1,002,740 | |||||||||
| 1,710,896 | ||||||||||||||
| Financials — 0.2% |
||||||||||||||
| Scandlines GmbH (Germany) |
4.500% | 11/04/20 | EUR | 1,675 | 1,876,283 | |||||||||
| Foods — 0.1% |
||||||||||||||
| Pinnacle Foods Finance LLC |
3.000% | 04/29/20 | 697 | 693,256 | ||||||||||
| Gaming — 0.2% |
||||||||||||||
| CCM Merger, Inc. |
4.500% | 08/06/21 | 2,244 | 2,245,980 | ||||||||||
| Healthcare & Pharmaceutical — 0.9% |
||||||||||||||
| Capsugel Holdings US, Inc. |
3.500% | 08/01/18 | 928 | 926,954 | ||||||||||
| Davita Healthcare Partners, Inc. |
3.500% | 06/24/21 | 1,485 | 1,483,453 | ||||||||||
| Grifols SA |
3.281% | 02/26/21 | 1,485 | 1,483,663 | ||||||||||
| Mallinckrodt International Finance SA |
3.500% | 03/19/21 | 1,514 | 1,508,097 | ||||||||||
| Nima ACQ LLC |
3.250% | 02/26/21 | 684 | 683,361 | ||||||||||
| Ortho Clinical Diagnostics |
4.750% | 06/30/21 | 495 | 484,344 | ||||||||||
| RPI Finance Trust (Luxembourg) |
3.500% | 11/09/20 | 1,696 | 1,695,739 | ||||||||||
| Valeant Pharmaceutiicals International, Inc. |
4.000% | 04/01/22 | 1,147 | 1,146,082 | ||||||||||
| 9,411,693 | ||||||||||||||
| Media & Entertainment — 0.1% |
||||||||||||||
| CBS Outdoor Americas CAP Co. |
3.000% | 02/01/21 | 1,000 | 995,833 | ||||||||||
| Technology — 0.9% |
||||||||||||||
| BMC Software Finance, Inc. |
5.000% | 09/10/20 | 495 | 464,830 | ||||||||||
| First Data Corp. |
3.687% | 03/26/18 | 2,411 | 2,401,848 | ||||||||||
| First Data Corp. |
4.187% | 03/24/21 | 183 | 183,180 | ||||||||||
| Freescale Semiconductor, Inc. |
4.250% | 02/28/20 | 1,711 | 1,711,891 | ||||||||||
| Interactive Data Corp. |
4.750% | 05/03/21 | 1,188 | 1,190,475 | ||||||||||
| RBS WorldPay, Inc. (United Kingdom) |
5.750% | 11/29/19 | GBP | 900 | 1,415,294 | |||||||||
| TransUnion LLC/TransUnion Financing Corp. |
3.750% | 04/09/21 | 198 | 195,525 | ||||||||||
| Vantiv LLC |
2.282% | 06/13/19 | 1,425 | 1,407,188 | ||||||||||
| 8,970,231 | ||||||||||||||
| Telecommunications — 0.1% |
||||||||||||||
| SBA Senior Finance II LLC |
3.250% | 03/24/21 | 1,139 | 1,127,273 | ||||||||||
| TOTAL BANK LOANS |
|
31,327,632 | ||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.7% | ||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2 |
5.317% | 09/10/47 | 195 | 195,177 | ||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2 |
5.309% | 10/10/45 | 334 | 334,384 | ||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4 |
5.356% | 10/10/45 | 800 | 819,120 | ||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A |
5.732% | (a) | 04/10/49 | 1,359 | 1,435,307 | |||||||||
| CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A |
2.036% | (a) | 12/15/27 | 5,000 | 4,988,385 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 |
3.575% | 05/10/47 | 3,200 | 3,298,365 | ||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 |
5.293% | 12/11/49 | 235 | 236,575 | ||||||||||
| COMM Mortgage Trust, Series 2014-UBS4, Class A4 |
3.420% | 08/10/47 | 3,200 | 3,242,291 | ||||||||||
| COMM Mortgage Trust, Series 2015-DC1, Class A4 |
3.078% | 02/10/48 | 5,000 | 4,918,060 | ||||||||||
| COMM Mortgage Trust, Series 2015-LC21, Class A4 |
3.708% | 07/10/48 | 5,000 | 5,126,155 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 2,000 | $ | 1,957,690 | |||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 |
2.929% | 03/10/46 | 3,900 | 3,898,105 | ||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.639% | (a) | 02/15/39 | 970 | 984,894 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O |
1.798% | (a) | 06/25/20 | 9,304 | 583,245 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.596% | (a) | 05/25/22 | 28,573 | 2,305,130 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.632% | (a) | 06/25/22 | 16,295 | 1,358,155 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O |
1.022% | (a) | 10/25/22 | 11,151 | 586,257 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, I/O |
0.757% | (a) | 01/25/25 | 83,962 | 4,914,970 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.734% | (a) | 08/25/16 | 9,250 | 113,031 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.906% | (a) | 05/25/19 | 22,885 | 1,336,167 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.826% | (a) | 07/25/19 | 27,431 | 1,560,584 | |||||||||
| GS Mortgage Securities Trust, Series 2013-GC12, Class A3 |
2.860% | 06/10/46 | 4,600 | 4,574,447 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
4.999% | (a) | 10/15/42 | 1,820 | 1,821,159 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
6.136% | (a) | 02/15/51 | 489 | 489,428 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
2.611% | 12/15/47 | 2,000 | 1,964,962 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
2.875% | 12/15/47 | 4,600 | 4,584,392 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
2.694% | 04/15/46 | 4,600 | 4,510,949 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
3.493% | 08/15/47 | 3,200 | 3,274,550 | ||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM |
5.263% | (a) | 11/15/40 | 2,100 | 2,104,616 | |||||||||
| LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2 |
5.300% | 11/15/38 | 539 | 542,726 | ||||||||||
| Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 |
6.029% | (a) | 06/12/50 | 136 | 136,313 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, I/O, 144A |
1.979% | (a) | 08/15/45 | 52,935 | 4,051,976 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 |
2.863% | 12/15/48 | 1,700 | 1,691,444 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 |
2.834% | 05/15/46 | 2,300 | 2,277,299 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 |
4.103% | (a) | 07/15/46 | 4,800 | 5,144,582 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 |
3.766% | 11/15/46 | 4,000 | 4,214,908 | ||||||||||
| Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB |
5.654% | (a) | 04/15/49 | 2,143 | 2,178,972 | |||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 2,300 | 2,276,216 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 |
2.920% | 03/10/46 | 4,600 | 4,567,855 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 |
2.971% | 04/10/46 | 3,800 | 3,780,544 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX |
5.179% | (a) | 07/15/42 | 108 | 108,332 | |||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(b) |
5.509% | 04/15/47 | 5,150 | 5,388,167 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A |
5.903% | (a) | 06/15/49 | 2,497 | 2,638,192 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4 |
3.548% | 08/15/50 | 4,300 | $ | 4,420,968 | |||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
110,935,044 | ||||||||||||
| CORPORATE BONDS — 50.2% | ||||||||||||||
| Aerospace & Defense — 0.3% |
||||||||||||||
| Textron, Inc., Sr. Unsec’d. Notes |
7.250% | 10/01/19 | 2,350 | 2,750,569 | ||||||||||
| Airlines — 0.6% |
||||||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 |
6.703% | 06/15/21 | 2 | 2,493 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B |
7.373% | 12/15/15 | 394 | 401,267 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A |
5.983% | 04/19/22 | 1,496 | 1,667,754 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A |
4.750% | 01/12/21 | 448 | 475,575 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A |
6.821% | 08/10/22 | 1,123 | 1,288,074 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A |
4.950% | 05/23/19 | 508 | 538,128 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A |
5.300% | 04/15/19 | 544 | 584,613 | ||||||||||
| United Airlines Pass-Through Trust, Pass-Through Certificates, |
6.636% | 07/02/22 | 824 | 884,273 | ||||||||||
| 5,842,177 | ||||||||||||||
| Automotive — 1.1% |
||||||||||||||
| Ford Motor Co., Sr. Unsec’d. Notes(b) |
4.750% | 01/15/43 | 750 | 727,201 | ||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
1.700% | 05/09/16 | 4,620 | 4,626,020 | ||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
2.375% | 01/16/18 | 2,225 | 2,245,684 | ||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
3.984% | 06/15/16 | 375 | 383,765 | ||||||||||
| General Motors Co., Sr. Unsec’d. Notes |
4.875% | 10/02/23 | 1,350 | 1,423,269 | ||||||||||
| General Motors Co., Sr. Unsec’d. Notes |
6.250% | 10/02/43 | 1,885 | 2,102,821 | ||||||||||
| 11,508,760 | ||||||||||||||
| Banking — 12.7% |
||||||||||||||
| Ally Financial, Inc., Sr. Unsec’d. Notes |
4.125% | 02/13/22 | 3,000 | 2,880,000 | ||||||||||
| American Express Co., Jr. Sub. Notes |
5.200% | (a) | 12/31/49 | 655 | 650,153 | |||||||||
| Bank of America Corp., Jr. Sub Notes, Series K |
8.000% | (a) | 12/29/49 | 3,500 | 3,692,500 | |||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
5.700% | 01/24/22 | 1,775 | 2,014,911 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
6.000% | 09/01/17 | 4,590 | 4,994,673 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
3.300% | 01/11/23 | 4,275 | 4,210,178 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
4.000% | 04/01/24 | 1,150 | 1,170,211 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
4.125% | 01/22/24 | 3,750 | 3,843,259 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Series 1 |
3.750% | 07/12/16 | 1,340 | 1,373,686 | ||||||||||
| Bank of America NA, Sub. Notes |
5.300% | 03/15/17 | 790 | 836,740 | ||||||||||
| Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(b) |
3.750% | 05/15/24 | 3,375 | 3,389,695 | ||||||||||
| Branch Banking & Trust Co., Sr. Unsec’d. Notes |
2.850% | 04/01/21 | 3,700 | 3,721,786 | ||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
3.750% | 04/24/24 | 2,400 | 2,388,958 | ||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
5.250% | 02/21/17 | 2,460 | 2,610,749 | ||||||||||
| Capital One Financial Corp., Sub. Notes |
6.150% | 09/01/16 | 700 | 738,840 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
6.125% | 11/21/17 | 2,050 | 2,254,943 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.125% | 07/15/39 | 4,120 | 5,913,691 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.500% | 05/22/19 | 1,375 | 1,677,083 | ||||||||||
| Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN(b) |
3.625% | 09/09/24 | 1,050 | 1,043,762 | ||||||||||
| Deutsche Bank AG (Germany), Sr. Unsec’d. Notes(b) |
3.700% | 05/30/24 | 1,650 | 1,629,436 | ||||||||||
| Discover Bank, Sr. Unsec’d. Notes |
4.250% | 03/13/26 | 1,150 | 1,136,180 | ||||||||||
| Discover Bank, Sub. Notes |
7.000% | 04/15/20 | 2,005 | 2,333,499 | ||||||||||
| Fifth Third Bank, Sr. Unsec’d. Notes |
1.450% | 02/28/18 | 3,275 | 3,250,880 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Banking (continued) |
||||||||||||||
| Fifth Third Bank, Sr. Unsec’d. Notes |
2.375% | 04/25/19 | 425 | $ | 425,575 | |||||||||
| Goldman Sachs Group, Inc. (The), Jr. Sub. Notes |
5.375% | (a) | 12/29/49 | 1,950 | 1,926,405 | |||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(c) |
5.750% | 01/24/22 | 4,200 | 4,777,370 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.150% | 04/01/18 | 1,355 | 1,506,597 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 09/01/17 | 3,195 | 3,497,745 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 02/01/41 | 2,195 | 2,597,883 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D |
6.000% | 06/15/20 | 2,420 | 2,765,397 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
6.750% | 10/01/37 | 440 | 516,097 | ||||||||||
| Huntington Bancshares, Inc., Sub. Notes(b) |
7.000% | 12/15/20 | 260 | 309,693 | ||||||||||
| ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A |
7.250% | (a) | 08/29/49 | 2,380 | 2,436,644 | |||||||||
| ING Bank NV (Netherlands), Sr. Unsec’d. Notes, 144A |
2.000% | 09/25/15 | 770 | 772,037 | ||||||||||
| Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes |
3.125% | 01/15/16 | 1,625 | 1,637,387 | ||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Series 1 |
7.900% | (a) | 04/29/49 | 6,130 | 6,484,007 | |||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Series X(b) |
6.100% | (a) | 12/31/49 | 1,450 | 1,455,075 | |||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes(b) |
2.750% | 06/23/20 | 5,400 | 5,405,756 | ||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
3.150% | 07/05/16 | 2,245 | 2,290,461 | ||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
3.250% | 09/23/22 | 500 | 496,757 | ||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
4.250% | 10/15/20 | 600 | 641,558 | ||||||||||
| JPMorgan Chase & Co., Sub. Notes |
5.625% | 08/16/43 | 675 | 719,861 | ||||||||||
| KeyCorp, Sr. Unsec’d. Notes, MTN(b) |
5.100% | 03/24/21 | 1,155 | 1,281,446 | ||||||||||
| Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A |
5.800% | 01/13/20 | 2,650 | 3,027,606 | ||||||||||
| Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A |
1.850% | 03/21/18 | 1,125 | 1,126,627 | ||||||||||
| Morgan Stanley, Jr. Sub. Notes, Series H |
5.450% | (a) | 12/31/49 | 975 | 967,688 | |||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
3.750% | 02/25/23 | 1,535 | 1,552,100 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
5.750% | 01/25/21 | 1,920 | 2,187,487 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, GMTN |
5.450% | 01/09/17 | 4,035 | 4,275,889 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, GMTN |
5.500% | 07/28/21 | 2,080 | 2,346,425 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.625% | 09/23/19 | 2,635 | 2,952,765 | ||||||||||
| Morgan Stanley, Sub. Notes, GMTN |
4.350% | 09/08/26 | 750 | 734,910 | ||||||||||
| Northern Trust Corp., Sub. Notes(b) |
3.950% | 10/30/25 | 3,025 | 3,125,611 | ||||||||||
| People’s United Bank, Sub. Notes |
4.000% | 07/15/24 | 550 | 544,594 | ||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
3.650% | 12/06/22 | 1,675 | 1,664,581 | ||||||||||
| PNC Financial Services Group, Inc. (The), Sub. Notes |
3.900% | 04/29/24 | 975 | 984,950 | ||||||||||
| Royal Bank of Scotland Group PLC (The) (United Kingdom), |
2.550% | 09/18/15 | 625 | 626,748 | ||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
3.000% | 09/24/15 | 950 | 952,622 | ||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
4.625% | 04/19/16 | 525 | 538,089 | ||||||||||
| State Street Corp., Jr. Sub. Debs. |
4.956% | 03/15/18 | 3,025 | 3,251,811 | ||||||||||
| Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes |
2.450% | 01/10/19 | 625 | 631,802 | ||||||||||
| 131,191,869 | ||||||||||||||
| Beverages — 0.1% |
||||||||||||||
| Cott Beverages, Inc. (Canada), Gtd. Notes, 144A |
6.750% | 01/01/20 | 1,250 | 1,296,875 | ||||||||||
| Brokerage — 0.2% |
||||||||||||||
| Jefferies Group LLC, Sr. Unsec’d. Notes |
6.500% | 01/20/43 | 650 | 635,056 | ||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) |
6.875% | 05/02/18 | 2,740 | 315,100 | ||||||||||
| Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN |
2.000% | 09/13/16 | 950 | 956,922 | ||||||||||
| 1,907,078 | ||||||||||||||
| Building Materials & Construction — 1.3% |
||||||||||||||
| Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A |
6.125% | 07/01/22 | 2,000 | 1,970,000 | ||||||||||
| Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A |
5.375% | 11/15/24 | 3,000 | 2,945,550 | ||||||||||
| Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, RegS |
9.875% | 04/30/19 | 1,233 | 1,349,148 | ||||||||||
| Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A |
9.875% | 04/30/19 | 1,360 | 1,488,112 | ||||||||||
| Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A |
4.750% | 01/11/22 | EUR | 900 | 1,006,327 | |||||||||
| Mohawk Industries, Inc., Sr. Unsec’d. Notes |
3.850% | 02/01/23 | 294 | 293,583 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Building Materials & Construction (continued) |
||||||||||||||
| Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A |
5.250% | 06/27/29 | 1,275 | $ | 956,505 | |||||||||
| Standard Pacific Corp., Gtd. Notes |
6.250% | 12/15/21 | 3,500 | 3,710,000 | ||||||||||
| 13,719,225 | ||||||||||||||
| Cable — 2.1% |
||||||||||||||
| British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A |
6.100% | 02/15/18 | 210 | 230,668 | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes |
7.000% | 01/15/19 | 878 | 912,022 | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes |
7.375% | 06/01/20 | 1,100 | 1,161,875 | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A |
5.875% | 05/01/27 | 1,000 | 976,250 | ||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes |
6.750% | 11/15/21 | 2,225 | 2,347,375 | ||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes(b) |
8.625% | 02/15/19 | 1,610 | 1,825,337 | ||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.500% | 03/01/16 | 2,825 | 2,869,011 | ||||||||||
| DISH DBS Corp., Gtd. Notes |
4.250% | 04/01/18 | 2,850 | 2,899,875 | ||||||||||
| NBCUniversal Media LLC, Gtd. Notes |
4.450% | 01/15/43 | 290 | 278,718 | ||||||||||
| TCI Communications, Inc., Sr. Unsec’d. Notes |
7.875% | 02/15/26 | 750 | 1,011,499 | ||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
6.750% | 07/01/18 | 2,620 | 2,921,177 | ||||||||||
| UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A |
5.375% | 01/15/25 | 1,140 | 1,088,130 | ||||||||||
| UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A |
7.250% | 11/15/21 | 1,035 | 1,117,800 | ||||||||||
| Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A |
6.000% | 04/15/21 | GBP | 945 | 1,544,215 | |||||||||
| 21,183,952 | ||||||||||||||
| Capital Goods — 1.7% |
||||||||||||||
| Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A |
6.500% | 07/15/22 | 1,375 | 1,457,500 | ||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.700% | 06/01/34 | 920 | 1,119,540 | ||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
7.000% | 10/15/37 | 770 | 941,209 | ||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.125% | 10/09/42 | 500 | 481,076 | ||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.500% | 03/11/44 | 740 | 751,537 | ||||||||||
| Hertz Corp. (The), Gtd. Notes |
6.750% | 04/15/19 | 1,500 | 1,547,850 | ||||||||||
| Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes |
5.750% | 06/15/43 | 425 | 467,685 | ||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A |
2.500% | 03/15/16 | 2,025 | 2,039,157 | ||||||||||
| Pentair Finance SA, Gtd. Notes |
1.875% | 09/15/17 | 625 | 627,344 | ||||||||||
| Rockwell Automation, Inc., Sr. Unsec’d. Notes |
5.200% | 01/15/98 | 1,100 | 1,089,476 | ||||||||||
| United Rentals North America, Inc., Gtd. Notes |
5.500% | 07/15/25 | 650 | 628,062 | ||||||||||
| United Rentals North America, Inc., Gtd. Notes |
7.625% | 04/15/22 | 2,700 | 2,922,750 | ||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes |
4.500% | 06/01/42 | 1,675 | 1,701,624 | ||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/21 | 1,960 | 2,123,292 | ||||||||||
| 17,898,102 | ||||||||||||||
| Chemicals — 1.8% |
||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
4.900% | 06/01/43 | 870 | 837,521 | ||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
5.250% | 01/15/45 | 420 | 424,163 | ||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
6.125% | 01/15/41 | 450 | 506,292 | ||||||||||
| Ashland, Inc., Sr. Unsec’d. Notes |
6.875% | 05/15/43 | 3,000 | 3,045,000 | ||||||||||
| CF Industries, Inc., Gtd. Notes |
4.950% | 06/01/43 | 675 | 631,581 | ||||||||||
| CF Industries, Inc., Gtd. Notes |
5.375% | 03/15/44 | 700 | 696,047 | ||||||||||
| CF Industries, Inc., Gtd. Notes |
6.875% | 05/01/18 | 380 | 427,782 | ||||||||||
| CF Industries, Inc., Gtd. Notes |
7.125% | 05/01/20 | 300 | 356,368 | ||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes(b) |
4.625% | 10/01/44 | 125 | 116,677 | ||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
9.400% | 05/15/39 | 1,002 | 1,508,060 | ||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
6.000% | 11/15/21 | 3,550 | 4,063,529 | ||||||||||
| Mexichem SAB de CV (Mexico), Gtd. Notes, 144A |
6.750% | 09/19/42 | 1,065 | 1,095,352 | ||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.450% | 11/15/33 | 465 | 494,981 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Chemicals (continued) |
||||||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.625% | 11/15/43 | 155 | $ | 165,139 | |||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
7.875% | 04/01/23 | 3,058 | 3,753,667 | ||||||||||
| 18,122,159 | ||||||||||||||
| Consumer — 0.2% |
||||||||||||||
| Service Corp. International, Sr. Unsec’d. Notes |
7.625% | 10/01/18 | 2,000 | 2,280,000 | ||||||||||
| Diversified Telecommunication Services — 0.3% |
||||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
3.400% | 05/15/25 | 2,320 | 2,212,603 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.500% | 05/15/35 | 300 | 275,786 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.750% | 05/15/46 | 850 | 773,478 | ||||||||||
| 3,261,867 | ||||||||||||||
| Electric — 3.5% |
||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
5.500% | 04/15/25 | 5,000 | 4,750,000 | ||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
3.350% | 07/01/23 | 550 | 553,318 | ||||||||||
| Calpine Corp., Sr. Unsec’d. Notes(b) |
5.375% | 01/15/23 | 800 | 786,000 | ||||||||||
| Calpine Corp., Sr. Unsec’d. Notes |
5.750% | 01/15/25 | 850 | 826,625 | ||||||||||
| Covanta Holding Corp., Sr. Unsec’d. Notes |
7.250% | 12/01/20 | 2,500 | 2,625,000 | ||||||||||
| Duke Energy Corp., Sr. Unsec’d. Notes |
2.100% | 06/15/18 | 3,775 | 3,812,116 | ||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
6.000% | 05/15/35 | 2,325 | 2,733,626 | ||||||||||
| Enel Finance International NV (Netherlands), Gtd. Notes, 144A |
6.000% | 10/07/39 | 1,450 | 1,610,118 | ||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
6.200% | 10/01/17 | 1,930 | 2,110,117 | ||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
6.250% | 10/01/39 | 1,900 | 2,096,549 | ||||||||||
| FirstEnergy Corp., Series A, Sr. Unsec’d. Notes |
2.750% | 03/15/18 | 1,800 | 1,826,509 | ||||||||||
| FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A |
5.450% | 07/15/44 | 400 | 416,398 | ||||||||||
| Iberdrola International BV (Spain), Gtd. Notes |
6.750% | 09/15/33 | 1,150 | 1,316,222 | ||||||||||
| NRG Energy, Inc., Gtd. Notes(b) |
6.625% | 03/15/23 | 2,750 | 2,832,500 | ||||||||||
| Pacific Gas & Electric Co., Sr. Unsec’d. Notes |
4.600% | 06/15/43 | 1,950 | 1,964,102 | ||||||||||
| South Carolina Electric & Gas Co., First Mortgage |
4.600% | 06/15/43 | 2,025 | 2,001,887 | ||||||||||
| TransAlta Corp. (Canada), Sr. Unsec’d. Notes |
6.650% | 05/15/18 | 1,953 | 2,158,307 | ||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
5.613% | 04/01/17 | 1,947 | 2,086,689 | ||||||||||
| 36,506,083 | ||||||||||||||
| Energy – Integrated — 0.7% |
||||||||||||||
| Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A |
7.250% | 11/05/19 | 1,300 | 1,370,200 | ||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
5.375% | 01/26/19 | 870 | 714,705 | ||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
7.250% | 12/12/21 | 1,040 | 852,800 | ||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Sr. Unsec’d. Notes, RegS |
7.250% | 12/12/21 | 1,540 | 1,262,800 | ||||||||||
| Reliance Holding USA, Inc. (India), Gtd. Notes, 144A |
5.400% | 02/14/22 | 510 | 549,947 | ||||||||||
| Sasol Financing International PLC (South Africa), Gtd. Notes |
4.500% | 11/14/22 | 2,725 | 2,748,844 | ||||||||||
| 7,499,296 | ||||||||||||||
| Energy – Other — 1.1% |
||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
4.677% | (g) | 10/10/36 | 2,000 | 800,000 | |||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.375% | 09/15/17 | 3,265 | 3,583,024 | ||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.450% | 09/15/36 | 340 | 392,319 | ||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.950% | 06/15/19 | 250 | 290,395 | ||||||||||
| Cameron International Corp., Sr. Unsec’d. Notes |
7.000% | 07/15/38 | 450 | 516,663 | ||||||||||
| Nabors Industries, Inc., Gtd. Notes |
4.625% | 09/15/21 | 1,650 | 1,639,227 | ||||||||||
| Noble Energy, Inc., Sr. Unsec’d. Notes |
6.000% | 03/01/41 | 1,530 | 1,619,736 | ||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
6.875% | 05/01/18 | 1,750 | 1,964,939 | ||||||||||
| Precision Drilling Corp. (Canada), Gtd. Notes |
6.625% | 11/15/20 | 1,000 | 980,000 | ||||||||||
| 11,786,303 | ||||||||||||||
| Foods — 1.2% |
||||||||||||||
| Aramark Corp., Gtd. Notes(b) |
5.750% | 03/15/20 | 1,350 | 1,409,400 | ||||||||||
| B&G Foods, Inc., Gtd. Notes |
4.625% | 06/01/21 | 2,000 | 1,970,000 | ||||||||||
| BRF SA (Brazil), Sr. Unsec’d. Notes, 144A |
3.950% | 05/22/23 | 705 | 667,106 | ||||||||||
| BRF SA (Brazil), Sr. Unsec’d. Notes, 144A |
4.750% | 05/22/24 | 775 | 760,469 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Foods (continued) |
||||||||||||||
| Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A |
4.750% | 10/01/18 | 375 | $ | 395,396 | |||||||||
| JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A |
7.250% | 06/01/21 | 1,330 | 1,401,487 | ||||||||||
| JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A |
5.750% | 06/15/25 | 2,025 | 2,001,611 | ||||||||||
| Kraft Heinz Foods Co., Gtd. Notes, 144A |
5.000% | 07/15/35 | 725 | 733,715 | ||||||||||
| Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A |
12.250% | 02/10/22 | 725 | 797,863 | ||||||||||
| Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A |
8.000% | 06/15/22 | 1,350 | 1,351,687 | ||||||||||
| Tyson Foods, Inc., Gtd. Notes |
6.600% | 04/01/16 | 1,000 | 1,038,220 | ||||||||||
| 12,526,954 | ||||||||||||||
| Gaming — 0.8% |
||||||||||||||
| MGM Resorts International, Gtd. Notes |
6.625% | 12/15/21 | 3,325 | 3,474,625 | ||||||||||
| MTR Gaming Group, Inc., Sec’d. Notes |
11.500% | 08/01/19 | 1,650 | 1,755,187 | ||||||||||
| Pinnacle Entertainment, Inc., Gtd. Notes |
7.500% | 04/15/21 | 1,550 | 1,641,063 | ||||||||||
| Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp., Gtd. Notes, 144A(b) |
5.500% | 03/01/25 | 1,900 | 1,809,750 | ||||||||||
| 8,680,625 | ||||||||||||||
| Healthcare & Pharmaceutical — 4.2% |
||||||||||||||
| AbbVie, Inc., Sr. Unsec’d. Notes |
3.600% | 05/14/25 | 1,020 | 1,008,163 | ||||||||||
| AbbVie, Inc., Sr. Unsec’d. Notes |
4.500% | 05/14/35 | 1,715 | 1,677,790 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
3.800% | 03/15/25 | 875 | 859,532 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
4.550% | 03/15/35 | 1,500 | 1,426,158 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
4.750% | 03/15/45 | 525 | 499,828 | ||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
5.150% | 11/15/41 | 2,635 | 2,706,011 | ||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes |
7.125% | 07/15/20 | 750 | 794,625 | ||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes(b) |
8.000% | 11/15/19 | 3,400 | 3,582,750 | ||||||||||
| ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A |
8.250% | 01/15/19 | 2,300 | 2,259,750 | ||||||||||
| Davita Healthcare Partners, Inc., Gtd. Notes |
5.000% | 05/01/25 | 500 | 481,250 | ||||||||||
| Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A |
6.000% | 07/15/23 | 625 | 639,063 | ||||||||||
| Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A |
4.125% | 10/15/20 | 2,705 | 2,738,812 | ||||||||||
| HCA, Inc., Gtd. Notes |
5.375% | 02/01/25 | 5,025 | 5,106,907 | ||||||||||
| HealthSouth Corp., Gtd. Notes |
5.125% | 03/15/23 | 300 | 298,125 | ||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
3.200% | 02/01/22 | 240 | 236,615 | ||||||||||
| LifePoint Hospitals, Inc., Gtd. Notes |
6.625% | 10/01/20 | 2,000 | 2,080,000 | ||||||||||
| Medtronic, Inc., Sr. Unsec’d. Notes, 144A |
3.500% | 03/15/25 | 3,435 | 3,423,276 | ||||||||||
| Medtronic, Inc., Sr. Unsec’d. Notes, 144A |
4.375% | 03/15/35 | 1,450 | 1,438,871 | ||||||||||
| Merck & Co, Inc., Sr. Unsec’d. Notes |
4.150% | 05/18/43 | 2,075 | 2,016,954 | ||||||||||
| Pfizer, Inc., Sr. Unsec’d. Notes |
4.300% | 06/15/43 | 1,550 | 1,514,590 | ||||||||||
| Quintiles Transnational Corp., Gtd. Notes, 144A |
4.875% | 05/15/23 | 1,000 | 1,005,000 | ||||||||||
| Select Medical Corp., Gtd. Notes |
6.375% | 06/01/21 | 2,600 | 2,626,000 | ||||||||||
| Tenet Healthcare Corp., Sr. Unsec’d. Notes |
8.000% | 08/01/20 | 1,570 | 1,634,763 | ||||||||||
| Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A |
6.750% | 08/15/18 | 2,000 | 2,097,500 | ||||||||||
| Valeant Pharmaceuticals International, Inc., Sr. Unsec’d. Notes, 144A |
6.125% | 04/15/25 | 800 | 823,000 | ||||||||||
| 42,975,333 | ||||||||||||||
| Healthcare Insurance — 0.9% |
||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.750% | 12/15/37 | 1,900 | 2,390,808 | ||||||||||
| Anthem, Inc., Sr. Unsec’d. Notes |
4.650% | 01/15/43 | 385 | 352,954 | ||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
4.375% | 12/15/20 | 745 | 807,319 | ||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.375% | 03/15/17 | 2,125 | 2,270,342 | ||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.875% | 03/15/41 | 750 | 853,372 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes(b) |
4.250% | 03/15/43 | 1,200 | 1,133,930 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.500% | 06/15/37 | 760 | 958,967 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.625% | 11/15/37 | 195 | 249,987 | ||||||||||
| 9,017,679 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Insurance — 3.4% |
||||||||||||||
| Allied World Assurance Co. Ltd., Gtd. Notes |
5.500% | 11/15/20 | 430 | $ | 479,209 | |||||||||
| Allied World Assurance Co. Ltd., Gtd. Notes |
7.500% | 08/01/16 | 2,475 | 2,627,658 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
4.500% | 07/16/44 | 1,075 | 1,022,588 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
5.050% | 10/01/15 | 315 | 318,182 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
6.400% | 12/15/20 | 950 | 1,129,403 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes, MTN |
5.850% | 01/16/18 | 3,700 | 4,079,202 | ||||||||||
| Berkshire Hathaway, Inc., Sr. Unsec’d. Notes |
3.000% | 02/11/23 | 1,850 | 1,863,577 | ||||||||||
| Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(b) |
4.500% | 02/11/43 | 1,350 | 1,353,475 | ||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(b) |
6.375% | (a) | 03/29/67 | 1,775 | 1,861,975 | |||||||||
| Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A |
5.100% | (a) | 10/29/49 | 515 | 543,325 | |||||||||
| Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes |
7.000% | 07/15/34 | 1,350 | 1,584,198 | ||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes |
5.125% | 04/15/22 | 500 | 554,514 | ||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
6.500% | 03/15/35 | 1,030 | 1,204,448 | ||||||||||
| Lincoln National Corp., Jr. Sub. Notes(b) |
6.050% | (a) | 04/20/67 | 350 | 316,750 | |||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
7.000% | 06/15/40 | 1,265 | 1,586,643 | ||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
8.750% | 07/01/19 | 1,265 | 1,550,949 | ||||||||||
| Markel Corp., Sr. Unsec’d. Notes |
5.000% | 03/30/43 | 350 | 344,124 | ||||||||||
| Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A |
8.875% | 06/01/39 | 1,200 | 1,798,603 | ||||||||||
| Nippon Life Insurance Co. (Japan), Sub. Notes, 144A |
5.100% | (a) | 10/16/44 | 2,075 | 2,170,969 | |||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A |
6.063% | 03/30/40 | 500 | 597,892 | ||||||||||
| Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A |
6.375% | 04/30/20 | 850 | 967,495 | ||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
4.625% | 09/15/42 | 150 | 144,409 | ||||||||||
| Progressive Corp. (The), Jr. Sub. Notes |
6.700% | (a) | 06/15/37 | 1,015 | 1,058,137 | |||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
6.850% | 12/16/39 | 2,310 | 2,892,473 | ||||||||||
| Unum Group, Sr. Unsec’d. Notes |
5.625% | 09/15/20 | 500 | 562,629 | ||||||||||
| Willis Group Holdings PLC, Gtd. Notes |
4.125% | 03/15/16 | 1,280 | 1,306,076 | ||||||||||
| XLIT Ltd. (Ireland), Jr. Sub. Notes, Series E |
6.500% | (a) | 10/29/49 | 1,880 | 1,608,584 | |||||||||
| 35,527,487 | ||||||||||||||
| Lodging — 0.4% |
||||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.250% | 09/15/22 | 1,325 | 1,306,422 | ||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
2.950% | 03/01/17 | 2,420 | 2,456,532 | ||||||||||
| 3,762,954 | ||||||||||||||
| Media & Entertainment — 2.6% |
||||||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
6.150% | 03/01/37 | 460 | 531,895 | ||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
6.900% | 08/15/39 | 65 | 81,298 | ||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
7.625% | 11/30/28 | 1,415 | 1,830,987 | ||||||||||
| AMC Networks, Inc., Gtd. Notes |
7.750% | 07/15/21 | 3,750 | 4,050,000 | ||||||||||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., |
5.375% | 06/01/24 | 425 | 429,760 | ||||||||||
| Cinemark USA, Inc., Gtd. Notes |
4.875% | 06/01/23 | 1,508 | 1,449,565 | ||||||||||
| Gannett Co., Inc., Gtd. Notes, 144A |
4.875% | 09/15/21 | 475 | 471,438 | ||||||||||
| Historic TW, Inc., Gtd. Notes |
6.625% | 05/15/29 | 1,837 | 2,191,640 | ||||||||||
| Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes |
7.250% | 10/15/20 | 2,016 | 1,993,320 | ||||||||||
| Liberty Interactive LLC, Sr. Unsec’d. Notes(b) |
8.250% | 02/01/30 | 2,250 | 2,362,500 | ||||||||||
| Myriad International Holdings BV (South Africa), Gtd. Notes, 144A |
6.000% | 07/18/20 | 1,035 | 1,122,199 | ||||||||||
| Nielsen Finance LLC/Nielsen Finance Co. (Netherlands), Gtd. Notes, 144A |
5.000% | 04/15/22 | 1,500 | 1,470,000 | ||||||||||
| RR Donnelley & Sons Co., Sr. Unsec’d. Notes |
8.600% | 08/15/16 | 4,750 | 5,106,250 | ||||||||||
| Time Warner Cos., Inc., Gtd. Notes |
7.250% | 10/15/17 | 1,440 | 1,623,308 | ||||||||||
| Univision Communications, Inc., Sr. Unsec’d. Notes, 144A |
5.125% | 02/15/25 | 1,175 | 1,134,110 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.500% | 02/27/42 | 95 | 79,430 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.875% | 06/15/43 | 475 | 425,190 | ||||||||||
| 26,352,890 | ||||||||||||||
| Metals — 0.5% |
||||||||||||||
| Alcoa, Inc., Sr. Unsec’d. Notes(b) |
5.125% | 10/01/24 | 425 | 430,312 | ||||||||||
| CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS |
6.875% | 01/21/18 | 1,100 | 1,215,170 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Metals (continued) |
||||||||||||||
| Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes |
3.625% | 06/09/21 | 825 | $ | 820,561 | |||||||||
| Newmont Mining Corp., Gtd. Notes |
6.250% | 10/01/39 | 75 | 73,494 | ||||||||||
| Peabody Energy Corp., Gtd. Notes(b) |
6.000% | 11/15/18 | 1,600 | 768,000 | ||||||||||
| Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes |
5.875% | 04/23/45 | 270 | 256,824 | ||||||||||
| Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes |
6.750% | 04/16/40 | 990 | 1,022,413 | ||||||||||
| Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes |
7.500% | 07/27/35 | 550 | 615,967 | ||||||||||
| 5,202,741 | ||||||||||||||
| Non-Captive Finance — 1.6% |
||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes |
5.000% | 08/15/22 | 1,350 | 1,336,500 | ||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes, 144A |
5.500% | 02/15/19 | 4,000 | 4,170,000 | ||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
5.875% | 01/14/38 | 675 | 807,320 | ||||||||||
| General Electric Capital Corp., Sub. Notes |
5.300% | 02/11/21 | 1,185 | 1,332,452 | ||||||||||
| HSBC Finance Corp., Sub. Notes |
6.676% | 01/15/21 | 295 | 341,287 | ||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/16 | 1,125 | 1,153,125 | ||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes(b) |
6.250% | 05/15/19 | 1,400 | 1,513,750 | ||||||||||
| OneMain Financial Holdings, Inc., Gtd. Notes, 144A |
7.250% | 12/15/21 | 2,375 | 2,461,094 | ||||||||||
| Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A |
1.001% | (a) | 07/03/33 | 472 | 414,706 | |||||||||
| Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A |
5.875% | 09/25/22 | 1,650 | 660,186 | ||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
6.000% | 01/25/17 | 1,075 | 1,118,000 | ||||||||||
| Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A |
5.250% | 12/15/24 | 1,235 | 1,284,400 | ||||||||||
| 16,592,820 | ||||||||||||||
| Packaging — 0.4% |
||||||||||||||
| Greif Luxembourg Finance, Sr. Unsec’d. Notes, MTN |
7.375% | 07/15/21 | EUR | 1,470 | 1,927,267 | |||||||||
| Greif, Inc., Sr. Unsec’d. Notes |
7.750% | 08/01/19 | 1,815 | 2,019,188 | ||||||||||
| 3,946,455 | ||||||||||||||
| Paper — 0.5% |
||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
6.000% | 11/15/41 | 675 | 727,736 | ||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.300% | 11/15/39 | 1,000 | 1,223,880 | ||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.950% | 06/15/18 | 1,640 | 1,914,872 | ||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.450% | 03/01/19 | 1,165 | 1,236,659 | ||||||||||
| 5,103,147 | ||||||||||||||
| Pipelines & Other — 0.7% |
||||||||||||||
| AGL Capital Corp., Gtd. Notes |
4.400% | 06/01/43 | 1,050 | 1,043,945 | ||||||||||
| Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A |
6.375% | 03/30/38 | 432 | 438,317 | ||||||||||
| NiSource Finance Corp., Gtd. Notes |
4.800% | 02/15/44 | 300 | 305,894 | ||||||||||
| NiSource Finance Corp., Gtd. Notes |
5.450% | 09/15/20 | 1,345 | 1,514,634 | ||||||||||
| ONEOK Partners LP, Gtd. Notes |
2.000% | 10/01/17 | 750 | 751,577 | ||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
6.500% | 06/01/16 | 2,275 | 2,383,443 | ||||||||||
| Western Gas Partners LP, Sr. Unsec’d. Notes |
5.450% | 04/01/44 | 575 | 573,009 | ||||||||||
| 7,010,819 | ||||||||||||||
| Real Estate Investment Trusts — 0.4% |
||||||||||||||
| DuPont Fabros Technology LP, Gtd. Notes |
5.875% | 09/15/21 | 2,000 | 2,025,000 | ||||||||||
| ProLogis LP, Gtd. Notes |
6.875% | 03/15/20 | 8 | 9,241 | ||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
3.375% | 03/15/22 | 325 | 329,876 | ||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
6.125% | 05/30/18 | 40 | 44,943 | ||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
10.350% | 04/01/19 | 1,685 | 2,140,390 | ||||||||||
| 4,549,450 | ||||||||||||||
| Retailers — 0.2% |
||||||||||||||
| Limited Brands, Inc., Gtd. Notes |
5.625% | 02/15/22 | 2,200 | 2,315,500 | ||||||||||
| Software — 0.1% |
||||||||||||||
| First Data Corp., Gtd. Notes |
12.625% | 01/15/21 | 1,200 | 1,386,000 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Technology — 2.3% |
||||||||||||||
| Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A |
6.750% | 11/15/20 | 800 | $ | 846,000 | |||||||||
| Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A |
8.875% | 01/01/20 | 2,000 | 2,175,000 | ||||||||||
| Brightstar Corp., Gtd. Notes, 144A |
9.500% | 12/01/16 | 2,000 | 2,055,000 | ||||||||||
| CDW LLC/CDW Finance Corp., Gtd. Notes(b) |
5.000% | 09/01/23 | 3,050 | 2,996,625 | ||||||||||
| CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A |
6.625% | 06/01/20 | 2,500 | 2,593,750 | ||||||||||
| First Data Corp., Gtd. Notes |
11.250% | 01/15/21 | 1,750 | 1,942,500 | ||||||||||
| First Data Corp., Sr. Sec’d. Notes, 144A |
7.375% | 06/15/19 | 1,000 | 1,039,500 | ||||||||||
| Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A |
6.000% | 01/15/22 | 2,050 | 2,173,000 | ||||||||||
| Infor US, Inc., Sr. Unsec’d. Notes, 144A |
6.500% | 05/15/22 | 950 | 966,625 | ||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A |
3.750% | 06/01/18 | 1,925 | 1,939,437 | ||||||||||
| Oracle Corp., Sr. Unsec’d. Notes |
4.300% | 07/08/34 | 1,070 | 1,055,173 | ||||||||||
| Sensata Technologies BV (Netherlands), Gtd. Notes, 144A |
5.000% | 10/01/25 | 1,750 | 1,704,063 | ||||||||||
| SunGard Data Systems, Inc., Gtd. Notes |
7.625% | 11/15/20 | 1,700 | 1,776,500 | ||||||||||
| 23,263,173 | ||||||||||||||
| Telecommunications — 1.8% |
||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
6.125% | 03/30/40 | 655 | 758,444 | ||||||||||
| AT&T Corp., Gtd. Notes |
8.000% | 11/15/31 | 103 | 139,763 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.800% | 06/15/44 | 1,515 | 1,411,221 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
5.350% | 09/01/40 | 483 | 475,522 | ||||||||||
| Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A |
5.125% | 03/11/23 | 1,305 | 1,362,417 | ||||||||||
| Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A |
5.350% | 05/20/24 | 690 | 730,627 | ||||||||||
| Digicel Ltd. (Jamaica), Gtd. Notes, 144A |
6.750% | 03/01/23 | 525 | 514,658 | ||||||||||
| Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS |
11.750% | 01/31/20 | EUR | 1,400 | 1,726,502 | |||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.995% | 06/01/36 | 560 | 620,872 | ||||||||||
| Sprint Capital Corp., Gtd. Notes |
6.900% | 05/01/19 | 1,300 | 1,326,000 | ||||||||||
| Sprint Communications, Inc., Gtd. Notes, 144A |
9.000% | 11/15/18 | 1,575 | 1,778,585 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
4.750% | 11/01/41 | 745 | 697,840 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
5.012% | 08/21/54 | 3,362 | 3,084,928 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A |
4.522% | 09/15/48 | 1,799 | 1,580,452 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A |
4.672% | 03/15/55 | 2,796 | 2,432,391 | ||||||||||
| Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), |
9.125% | 04/30/18 | 200 | 214,064 | ||||||||||
| 18,854,286 | ||||||||||||||
| Tobacco — 0.5% |
||||||||||||||
| Altria Group, Inc., Gtd. Notes |
9.950% | 11/10/38 | 873 | 1,405,736 | ||||||||||
| Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A |
2.050% | 02/11/18 | 2,375 | 2,364,092 | ||||||||||
| RJ Reynolds Tobacco Co., Gtd. Notes |
3.500% | 08/04/16 | 515 | 526,554 | ||||||||||
| RJ Reynolds Tobacco Co., Gtd. Notes |
8.125% | 06/23/19 | 895 | 1,060,287 | ||||||||||
| 5,356,669 | ||||||||||||||
| TOTAL CORPORATE BONDS |
|
519,179,297 | ||||||||||||
| FOREIGN AGENCIES — 2.5% | ||||||||||||||
| CNOOC Finance 2013 Ltd. (China), Gtd. Notes |
3.000% | 05/09/23 | 750 | 710,525 | ||||||||||
| Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A |
4.875% | 01/15/24 | 875 | 894,688 | ||||||||||
| Ecopetrol SA (Colombia), Sr. Unsec’d. Notes |
4.125% | 01/16/25 | 100 | 92,280 | ||||||||||
| Ecopetrol SA (Colombia), Sr. Unsec’d. Notes(b) |
5.875% | 05/28/45 | 221 | 195,033 | ||||||||||
| Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A |
5.375% | 11/04/16 | 790 | 820,944 | ||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), |
9.250% | 04/23/19 | 1,080 | 1,198,800 | ||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
6.510% | 03/07/22 | 975 | 976,463 | ||||||||||
| KazMunayGas National Co. JSC (Kazakhstan), |
7.000% | 05/05/20 | 475 | 510,150 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| FOREIGN AGENCIES (Continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A |
9.125% | 07/02/18 | 2,910 | $ | 3,288,300 | |||||||||
| Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes |
4.625% | 11/16/21 | 600 | 664,253 | ||||||||||
| Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS(b) |
4.250% | 11/02/20 | 1,750 | 1,900,771 | ||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A |
4.750% | 07/13/21 | 1,650 | 1,827,576 | ||||||||||
| Majapahit Holding BV (Indonesia), Gtd. Notes, RegS |
7.750% | 10/17/16 | 2,500 | 2,678,125 | ||||||||||
| Majapahit Holding BV (Indonesia), Gtd. Notes, RegS |
7.750% | 01/20/20 | 1,500 | 1,734,375 | ||||||||||
| Petrobras Global Finance BV (Brazil), Gtd. Notes |
2.000% | 05/20/16 | 1,000 | 988,170 | ||||||||||
| Petrobras International Finance Co. (Brazil), Gtd. Notes(b) |
5.375% | 01/27/21 | 345 | 331,821 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes(b) |
3.500% | 01/30/23 | 1,125 | 1,067,287 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
4.875% | 01/24/22 | 2,100 | 2,183,727 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
6.500% | 06/02/41 | 745 | 774,800 | ||||||||||
| Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS |
7.390% | 12/02/24 | 1,000 | 1,308,800 | ||||||||||
| Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A |
2.500% | 04/28/20 | 1,250 | 1,231,175 | ||||||||||
| TOTAL FOREIGN AGENCIES |
|
25,378,063 | ||||||||||||
| MUNICIPAL BONDS — 1.9% | ||||||||||||||
| California — 0.7% |
||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
6.907% | 10/01/50 | 1,125 | 1,502,606 | ||||||||||
| State of California, General Obligation Unlimited, BABs |
7.300% | 10/01/39 | 2,280 | 3,167,034 | ||||||||||
| State of California, General Obligation Unlimited, BABs |
7.625% | 03/01/40 | 725 | 1,046,451 | ||||||||||
| University of California, Revenue Bonds, BABs |
5.770% | 05/15/43 | 1,400 | 1,678,474 | ||||||||||
| 7,394,565 | ||||||||||||||
| Colorado — 0.1% |
||||||||||||||
| Regional Transportation District, Revenue Bonds, Series 2010-B, BABs |
5.844% | 11/01/50 | 770 | 959,481 | ||||||||||
| Illinois — 0.2% |
||||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
6.395% | 01/01/40 | 1,380 | 1,688,651 | ||||||||||
| New Jersey — 0.4% |
||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs |
7.102% | 01/01/41 | 1,175 | 1,578,319 | ||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs |
7.414% | 01/01/40 | 2,050 | 2,846,855 | ||||||||||
| 4,425,174 | ||||||||||||||
| Ohio — 0.1% |
||||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
4.910% | 06/01/40 | 695 | 767,746 | ||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
4.879% | 12/01/34 | 450 | 501,462 | ||||||||||
| 1,269,208 | ||||||||||||||
| Oregon — 0.1% |
||||||||||||||
| Oregon State Department of Transportation, Revenue Bonds, Series A, BABs |
5.834% | 11/15/34 | 615 | 750,927 | ||||||||||
| Pennsylvania — 0.1% |
||||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs |
5.511% | 12/01/45 | 800 | 904,544 | ||||||||||
| Tennessee — 0.2% |
||||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
6.731% | 07/01/43 | 1,375 | 1,701,590 | ||||||||||
| Texas |
||||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Series B, BABs |
5.028% | 04/01/26 | 425 | 484,432 | ||||||||||
| TOTAL MUNICIPAL BONDS |
|
19,578,572 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| SOVEREIGNS — 4.9% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Brazilian Government International Bond (Brazil), |
11.000% | 06/26/17 | EUR | 2,200 | $ | 2,927,880 | ||||||||
| Colombia Government International Bond (Colombia), |
4.000% | 02/26/24 | 2,000 | 1,990,000 | ||||||||||
| Hellenic Republic Government Bond (Greece), |
5.800% | 07/14/15 | JPY | 76,200 | 339,331 | |||||||||
| Hellenic Republic Government Bond (Greece), |
5.800% | 07/14/15 | JPY | 107,100 | 476,933 | |||||||||
| Hellenic Republic Government International Bond (Greece), |
3.800% | 08/08/17 | JPY | 680,000 | 3,055,958 | |||||||||
| Hungary Government International Bond (Hungary), |
4.125% | 02/19/18 | 2,020 | 2,102,315 | ||||||||||
| Hungary Government International Bond (Hungary), |
5.375% | 02/21/23 | 436 | 471,621 | ||||||||||
| Hungary Government International Bond (Hungary), |
6.000% | 01/11/19 | EUR | 715 | 920,194 | |||||||||
| Hungary Government International Bond (Hungary), |
6.375% | 03/29/21 | 776 | 880,372 | ||||||||||
| Hungary Government International Bond (Hungary), |
7.625% | 03/29/41 | 1,000 | 1,325,140 | ||||||||||
| Indonesia Government International Bond (Indonesia), |
2.875% | 07/08/21 | EUR | 825 | 926,651 | |||||||||
| Indonesia Government International Bond (Indonesia), |
5.875% | 03/13/20 | 2,245 | 2,497,562 | ||||||||||
| Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d Notes(c) |
6.500% | 11/01/27 | EUR | 3,545 | 5,502,469 | |||||||||
| Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS |
3.450% | 03/24/17 | JPY | 170,000 | 1,446,080 | |||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes |
2.750% | 04/22/23 | EUR | 2,350 | 2,712,385 | |||||||||
| Mexico Government International Bond (Mexico), |
4.750% | 03/08/44 | 1,062 | 1,008,900 | ||||||||||
| Panama Government International Bond (Panama), |
3.750% | 03/16/25 | 450 | 443,250 | ||||||||||
| Panama Government International Bond (Panama), |
5.200% | 01/30/20 | 1,115 | 1,228,730 | ||||||||||
| Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A |
3.974% | (g) | 05/31/18 | 593 | 566,197 | |||||||||
| Philippine Government International Bond (Philippines), |
6.250% | 03/15/16 | EUR | 850 | 985,662 | |||||||||
| Philippine Government International Bond (Philippines), |
9.500% | 02/02/30 | 450 | 728,438 | ||||||||||
| Portugal Government International Bond (Portugal), |
5.125% | 10/15/24 | 800 | 816,064 | ||||||||||
| Portugal Government International Bond (Portugal), |
5.125% | 10/15/24 | 1,100 | 1,122,088 | ||||||||||
| Portugal Obrigacoes do Tesouro OT (Portugal), |
4.950% | 10/25/23 | EUR | 200 | 261,121 | |||||||||
| Portugal Obrigacoes do Tesouro OT (Portugal), |
4.750% | 06/14/19 | EUR | 4,410 | 5,561,463 | |||||||||
| Republic of Brazil (Brazil), Sr. Unsec’d. Notes |
8.250% | 01/20/34 | 510 | 633,675 | ||||||||||
| Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS |
4.875% | 05/05/21 | 1,600 | 1,698,080 | ||||||||||
| Romanian Government International Bond (Romania), |
4.875% | 01/22/24 | 1,370 | 1,448,775 | ||||||||||
| Romanian Government International Bond (Romania), |
6.125% | 01/22/44 | 300 | 336,600 | ||||||||||
| Romanian Government International Bond (Romania), |
6.125% | 01/22/44 | 300 | 336,600 | ||||||||||
| Slovenia Government International Bond (Slovenia), |
5.250% | 02/18/24 | 2,100 | 2,289,000 | ||||||||||
| Slovenia Government International Bond (Slovenia), |
5.500% | 10/26/22 | 1,300 | 1,441,635 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| SOVEREIGNS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS |
5.850% | 05/10/23 | 200 | $ | 226,290 | |||||||||
| Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A |
4.125% | 02/18/19 | 300 | 312,000 | ||||||||||
| Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes |
7.000% | 06/05/20 | 1,510 | 1,723,611 | ||||||||||
| TOTAL SOVEREIGNS |
|
50,743,070 | ||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6% | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/19 | 98 | 103,408 | ||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 10/01/33-06/01/34 | 1,447 | 1,633,772 | ||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 11/01/33-06/01/34 | 1,009 | 1,142,835 | ||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 07/01/32-09/01/32 | 787 | 907,060 | ||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 10/01/32 | 72 | 75,244 | ||||||||||
| Federal National Mortgage Assoc. |
4.000% | 05/01/19 | 68 | 71,499 | ||||||||||
| Federal National Mortgage Assoc. |
4.500% | 12/01/18-02/01/35 | 478 | 500,109 | ||||||||||
| Federal National Mortgage Assoc. |
5.500% | 03/01/17-06/01/34 | 2,044 | 2,225,686 | ||||||||||
| Federal National Mortgage Assoc. |
6.000% | 09/01/17-11/01/36 | 1,868 | 2,130,049 | ||||||||||
| Federal National Mortgage Assoc. |
6.500% | 07/01/17-11/01/33 | 1,486 | 1,725,690 | ||||||||||
| Federal National Mortgage Assoc. |
7.000% | 05/01/32-06/01/32 | 174 | 198,802 | ||||||||||
| Government National Mortgage Assoc. |
5.500% | 01/15/33-07/15/35 | 1,848 | 2,110,664 | ||||||||||
| Government National Mortgage Assoc. |
6.000% | 12/15/32-11/15/34 | 2,113 | 2,461,755 | ||||||||||
| Government National Mortgage Assoc. |
6.500% | 09/15/32-11/15/33 | 1,312 | 1,498,684 | ||||||||||
| Government National Mortgage Assoc. |
7.500% | 10/15/25-02/15/26 | 53 | 61,557 | ||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
16,846,814 | ||||||||||||
| U.S. TREASURY OBLIGATIONS — 1.4% | ||||||||||||||
| U.S. Treasury Bonds(b) |
2.500% | 02/15/45 | 235 | 206,819 | ||||||||||
| U.S. Treasury Bonds(h) |
2.875% | 05/15/43 | 1,440 | 1,372,275 | ||||||||||
| U.S. Treasury Notes(c)(h) |
1.500% | 05/31/19 | 12,730 | 12,800,613 | ||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
14,379,707 | ||||||||||||
| PREFERRED STOCK — 0.1% | Shares |
|||||||||||||
| Banking |
||||||||||||||
| Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred) |
45,000 | 1,168,200 | ||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
932,336,431 | ||||||||||||
| SHORT-TERM INVESTMENTS — 12.9% | ||||||||||||||
| AFFILIATED MUTUAL FUNDS — 12.8% |
||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
9,197,972 | 85,909,060 | ||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
47,069,648 | 47,069,648 | ||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
132,978,708 | ||||||||||||
| Counterparty |
Notional Amount (000)# |
|||||||||||||
| OPTIONS PURCHASED* — 0.1% | ||||||||||||||
| Call Options — 0.1% |
||||||||||||||
| Interest Rate Swap Options, |
||||||||||||||
| Receive a fixed rate of 1.00% and pay a floating rate based on 3 Month LIBOR, expiring 10/28/15 |
|
Citigroup Global Markets | 32,710 | 55,197 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| OPTIONS PURCHASED* (continued) |
Counterparty |
Notional Amount (000)# |
Value (Note 2) |
|||||||||
| Receive a fixed rate of 1.05% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15 |
JPMorgan Chase | 95,800 | $ | 18,060 | ||||||||
| Receive a fixed rate of 1.25% and pay a floating rate based on 3 Month LIBOR, expiring 08/19/15 |
Barclays Capital Group | 54,000 | 290,686 | |||||||||
| Receive a fixed rate of 1.35% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15 |
JPMorgan Chase | 95,800 | 99,119 | |||||||||
| Receive a fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 04/28/16 |
Citigroup Global Markets | 22,260 | 114,298 | |||||||||
| Receive a fixed rate of 1.55% and pay a floating rate based on 3 Month LIBOR, expiring 11/09/15 |
Citigroup Global Markets | 37,000 | 237,461 | |||||||||
| Receive a fixed rate of 1.76% and pay a floating rate based on 3 Month LIBOR, expiring 02/23/16 |
Citigroup Global Markets | 37,340 | 339,488 | |||||||||
| 1,154,309 | ||||||||||||
| Put Options |
||||||||||||
| 90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.75 |
17,250 | 431 | ||||||||||
| 90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.88 |
17,250 | 863 | ||||||||||
| 90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.13 |
162,250 | 16,225 | ||||||||||
| 90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.38 |
145,000 | 79,750 | ||||||||||
| 97,269 | ||||||||||||
| TOTAL OPTIONS PURCHASED |
|
1,251,578 | ||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
134,230,286 | ||||||||||
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 103.0% |
|
1,066,566,717 | ||||||||||
| OPTIONS WRITTEN* | ||||||||||||
| Call Option |
||||||||||||
| Interest Rate Swap Option, |
||||||||||||
| Pay a fixed rate of 1.20% and receive a floating rate based on 3 Month LIBOR, |
JPMorgan Chase | 191,600 | (93,659 | ) | ||||||||
| Put Options |
||||||||||||
| 90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.00 |
69,000 | (5,175 | ) | |||||||||
| 90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.25 |
272,750 | (68,187 | ) | |||||||||
| (73,362 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN |
|
(167,021 | ) | |||||||||
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 103.0% |
|
1,066,399,696 | ||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (3.0)% |
|
(31,437,973 | ) | |||||||||
| NET ASSETS — 100.0% |
|
$ | 1,034,961,723 | |||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,993,201; cash collateral of $38,015,140 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (c) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (d) | Represents issuer in default on interest payments. Non-income producing security. |
| (e) | Indicates a security or securities that has been deemed illiquid. |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| (f) | Indicates a restricted security; the aggregate original cost of the restricted securities is $20,117,055. The aggregate value of $18,631,856 is approximately 1.8% of net assets. |
| (g) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (k) | Interest rate not available as of June 30, 2015. |
| (l) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Depreciation(1) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 2,961 | 5 Year U.S. Treasury Notes | Sep. 2015 | $ | 353,273,889 | $ | 353,122,382 | $ | (151,507 | ) | |||||||||
| 1,767 | 10 Year U.S. Treasury Notes | Sep. 2015 | 223,697,346 | 222,945,703 | (751,643 | ) | ||||||||||||
| 350 | U.S. Ultra Treasury Bond | Sep. 2015 | 55,234,702 | 53,921,875 | (1,312,827 | ) | ||||||||||||
| (2,215,977 | ) | |||||||||||||||||
| Short Position: | ||||||||||||||||||
| 1,564 | 2 Year U.S. Treasury Notes | Sep. 2015 | 341,950,700 | 342,418,249 | (467,549 | ) | ||||||||||||
| $ | (2,683,526 | ) | ||||||||||||||||
| (1) | Cash of $48,350 and U.S. Treasury obligations with a combined market value of $6,403,033 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
Forward foreign currency exchange contracts outstanding at June 30, 2015:
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Brazilian Real, |
||||||||||||||||||
| Expiring 07/14/15 |
Barclays Capital Group |
BRL | 2,673 | $ | 830,500 | $ | 855,118 | $ | 24,618 | |||||||||
| British Pound, |
||||||||||||||||||
| Expiring 07/28/15 |
JPMorgan Chase |
GBP | 160 | 245,022 | 251,426 | 6,404 | ||||||||||||
| Canadian Dollar, |
||||||||||||||||||
| Expiring 07/16/15 |
JPMorgan Chase |
CAD | 406 | 323,894 | 324,955 | 1,061 | ||||||||||||
| Euro, |
||||||||||||||||||
| Expiring 07/28/15 |
JPMorgan Chase |
EUR | 209 | 233,884 | 233,097 | (787 | ) | |||||||||||
| Japanese Yen, |
||||||||||||||||||
| Expiring 07/28/15 |
Citigroup Global Markets |
JPY | 177,898 | 1,475,000 | 1,454,105 | (20,895 | ) | |||||||||||
| Mexican Peso, |
||||||||||||||||||
| Expiring 07/22/15 |
Citigroup Global Markets |
MXN | 844 | 54,641 | 53,621 | (1,020 | ) | |||||||||||
| Expiring 07/22/15 |
UBS AG |
MXN | 4,781 | 315,500 | 303,673 | (11,827 | ) | |||||||||||
| $ | 3,478,441 | $ | 3,475,995 | $ | (2,446 | ) | ||||||||||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Australian Dollar, |
||||||||||||||||||
| Expiring 07/16/15 |
JPMorgan Chase |
AUD | 1,051 | $ | 795,163 | $ | 810,193 | $ | (15,030 | ) | ||||||||
| Brazilian Real, |
||||||||||||||||||
| Expiring 07/14/15 |
Citigroup Global Markets |
BRL | 1,885 | 636,900 | 603,223 | 33,677 | ||||||||||||
| Expiring 07/14/15 |
Citigroup Global Markets |
BRL | 980 | 317,000 | 313,718 | 3,282 | ||||||||||||
| British Pound, |
||||||||||||||||||
| Expiring 07/28/15 |
Goldman Sachs & Co. |
GBP | 1,895 | 2,864,660 | 2,976,664 | (112,004 | ) | |||||||||||
| Euro, |
||||||||||||||||||
| Expiring 07/28/15 |
Bank of America |
EUR | 6,274 | 6,793,800 | 6,997,423 | (203,623 | ) | |||||||||||
| Expiring 07/28/15 |
JPMorgan Chase |
EUR | 6,274 | 6,795,003 | 6,997,422 | (202,419 | ) | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Forward foreign currency exchange contracts outstanding at June 30, 2015 (continued):
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Hungarian Forint, |
||||||||||||||||||
| Expiring 07/22/15 |
BNP Paribas |
HUF | 219,665 | $ | 787,359 | $ | 775,972 | $ | 11,387 | |||||||||
| Japanese Yen, |
||||||||||||||||||
| Expiring 07/28/15 |
Bank of America |
JPY | 26,935 | 226,719 | 220,163 | 6,556 | ||||||||||||
| Expiring 07/28/15 |
Barclays Capital Group |
JPY | 679 | 5,527 | 5,548 | (21 | ) | |||||||||||
| Expiring 07/28/15 |
Goldman Sachs & Co. |
JPY | 91,219 | 760,091 | 745,611 | 14,480 | ||||||||||||
| Expiring 07/28/15 |
JPMorgan Chase |
JPY | 88,990 | 737,700 | 727,391 | 10,309 | ||||||||||||
| Mexican Peso, |
||||||||||||||||||
| Expiring 07/22/15 |
Citigroup Global Markets |
MXN | 11,442 | 739,123 | 726,782 | 12,341 | ||||||||||||
| Expiring 07/22/15 |
Goldman Sachs & Co. |
MXN | 5,010 | 323,399 | 318,241 | 5,158 | ||||||||||||
| Polish Zloty, |
||||||||||||||||||
| Expiring 07/23/15 |
Citigroup Global Markets |
PLN | 2,314 | 620,357 | 615,010 | 5,347 | ||||||||||||
| South African Rand, |
||||||||||||||||||
| Expiring 07/20/15 |
BNP Paribas |
ZAR | 6,587 | 540,797 | 539,443 | 1,354 | ||||||||||||
| Turkish Lira, |
||||||||||||||||||
| Expiring 07/24/15 |
Deutsche Bank AG |
TRY | 568 | 210,500 | 210,299 | 201 | ||||||||||||
| Expiring 07/24/15 |
Hong Kong & Shanghai Bank |
TRY | 46,254 | 16,718,090 | 17,127,758 | (409,668 | ) | |||||||||||
| $ | 39,872,188 | $ | 40,710,861 | (838,673 | ) | |||||||||||||
| $ | (841,119 | ) | ||||||||||||||||
Interest rate swap agreements outstanding at June 30, 2015:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| AUD | 1,270 | 12/19/32 | 4.423% | 6 Month BBSW(2) |
$ | 95,617 | $ | — | $ | 95,617 | Barclays Capital Group | |||||||||||||||
| AUD | 1,620 | 12/20/32 | 4.420% | 6 Month BBSW(2) |
121,376 | — | 121,376 | Citigroup Global Markets | ||||||||||||||||||
| CLP | 610,000 | 02/25/20 | 3.910% | 1 Day CLP OIS(2) |
(2,956 | ) | — | (2,956 | ) | JPMorgan Chase | ||||||||||||||||
| COP | 185,000 | 02/13/20 | 5.050% | 1 Day COLIBOR OIS(2) |
(445 | ) | — | (445 | ) | Deutsche Bank AG | ||||||||||||||||
| COP | 685,000 | 04/17/20 | 5.050% | 1 Day COLIBOR OIS(2) |
(2,027 | ) | — | (2,027 | ) | Deutsche Bank AG | ||||||||||||||||
| COP | 1,365,000 | 04/10/25 | 6.020% | 1 Day COLIBOR OIS(2) |
(8,819 | ) | — | (8,819 | ) | JPMorgan Chase | ||||||||||||||||
| MXN | 76,000 | 06/20/18 | 6.020% | 28 Day Mexican Interbank Rate(2) |
198,130 | — | 198,130 | Credit Suisse First Boston Corp. | ||||||||||||||||||
| MXN | 73,100 | 11/09/18 | 5.410% | 28 Day Mexican Interbank Rate(2) |
99,973 | — | 99,973 | Deutsche Bank AG | ||||||||||||||||||
| 25,690 | 11/15/19 | 1.334% | 3 Month LIBOR(1) |
282,091 | — | 282,091 | Citigroup Global Markets | |||||||||||||||||||
| ZAR | 10,000 | 09/03/33 | 8.970% | 3 Month JIBAR(2) |
22,171 | — | 22,171 | Hong Kong & Shanghai Bank | ||||||||||||||||||
| $ | 805,111 | $ | — | $ | 805,111 | |||||||||||||||||||||
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
| ||||||||||||||||||||||
| AUD | 2,300 | 03/07/29 | 4.743% | 6 Month BBSW(2) |
$ | (39,329 | ) | $ | 228,532 | $ | 267,861 | |||||||||||||
| CAD | 13,250 | 01/09/20 | 1.710% | 3 Month Canadian Banker’s Acceptance(1) |
(161 | ) | (212,657 | ) | (212,496 | ) | ||||||||||||||
| EUR | 8,050 | 08/04/16 | 0.078% | 1 Day EUROIS(1) |
4,645 | (29,715 | ) | (34,360 | ) | |||||||||||||||
| EUR | 6,100 | 08/01/19 | 0.346% | 1 Day EUROIS(1) |
17,304 | (94,000 | ) | (111,304 | ) | |||||||||||||||
| GBP | 1,490 | 11/03/24 | 1.960% | 6 Month GBP LIBOR(1) |
(789 | ) | (63,321 | ) | (62,532 | ) | ||||||||||||||
| GBP | 1,600 | 01/08/25 | 1.325% | 1 Day GBP OIS(1) |
485 | 88,827 | 88,342 | |||||||||||||||||
| JPY | 115,000 | 02/26/35 | 1.194% | 6 Month JPY LIBOR(2) |
(34 | ) | (8,906 | ) | (8,872 | ) | ||||||||||||||
| JPY | 250,000 | 03/03/35 | 1.149% | 6 Month JPY LIBOR(2) |
430 | (36,480 | ) | (36,910 | ) | |||||||||||||||
| MXN | 65,000 | 12/02/15 | 5.080% | 28 Day Mexican Interbank Rate(2) |
(11,450 | ) | 29,777 | 41,227 | ||||||||||||||||
| MXN | 112,800 | 02/09/18 | 4.630% | 28 Day Mexican Interbank Rate(2) |
(2,367 | ) | 30,819 | 33,186 | ||||||||||||||||
| MXN | 70,000 | 04/18/19 | 5.480% | 28 Day Mexican Interbank Rate(2) |
(22,549 | ) | 83,907 | 106,456 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Interest rate swap agreements outstanding at June 30, 2015 (continued):
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements (continued): |
|
||||||||||||||||||||||
| MXN | 48,200 | 05/25/22 | 6.370% | 28 Day Mexican Interbank Rate(2) |
$ | (30,834 | ) | $ | 88,833 | $ | 119,667 | |||||||||||||
| MXN | 38,000 | 08/13/24 | 6.120% | 28 Day Mexican Interbank Rate(2) |
(7,005 | ) | (26,027 | ) | (19,022 | ) | ||||||||||||||
| MXN | 38,100 | 12/27/24 | 5.795% | 28 Day Mexican Interbank Rate(2) |
434 | (97,279 | ) | (97,713 | ) | |||||||||||||||
| MXN | 13,900 | 07/27/34 | 6.720% | 28 Day Mexican Interbank Rate(2) |
(436 | ) | (27,288 | ) | (26,852 | ) | ||||||||||||||
| 100,400 | 09/17/15 | 0.181% | 1 Day Overnight Fed Funds Effective Rate(2) |
175 | 5,072 | 4,897 | ||||||||||||||||||
| 85,500 | 09/17/15 | 0.185% | 1 Day Overnight Fed Funds Effective Rate(2) |
172 | 4,765 | 4,593 | ||||||||||||||||||
| 122,500 | 10/28/15 | 0.278% | 1 Day Overnight Fed Funds Effective Rate(1) |
181 | (12,619 | ) | (12,800 | ) | ||||||||||||||||
| 104,500 | 10/28/15 | 0.282% | 1 Day Overnight Fed Funds Effective Rate(1) |
176 | (11,300 | ) | (11,476 | ) | ||||||||||||||||
| 5,150 | 02/28/19 | 1.625% | 6 Month LIBOR(1) |
173 | (34,563 | ) | (34,736 | ) | ||||||||||||||||
| 19,300 | 02/28/19 | 1.806% | 3 Month LIBOR(1) |
42,047 | (255,039 | ) | (297,086 | ) | ||||||||||||||||
| 7,450 | 11/06/19 | 1.753% | 6 Month LIBOR(1) |
183 | (40,820 | ) | (41,003 | ) | ||||||||||||||||
| 9,010 | 12/02/19 | 1.639% | 6 Month LIBOR(1) |
191 | 615 | 424 | ||||||||||||||||||
| 11,160 | 03/11/20 | 1.824% | 3 Month LIBOR(1) |
195 | (64,106 | ) | (64,301 | ) | ||||||||||||||||
| 16,250 | 07/31/21 | 2.290% | 3 Month LIBOR(1) |
248 | (289,278 | ) | (289,526 | ) | ||||||||||||||||
| 220,700 | 12/31/21 | 1.787% | 3 Month LIBOR(1) |
(73,175 | ) | 3,565,408 | 3,638,583 | |||||||||||||||||
| 17,000 | 12/31/21 | 1.850% | 3 Month LIBOR(1) |
241 | 207,720 | 207,479 | ||||||||||||||||||
| 17,000 | 05/31/22 | 2.237% | 3 Month LIBOR(2) |
66,956 | 58,120 | (8,836 | ) | |||||||||||||||||
| ZAR | 20,000 | 10/22/23 | 7.625% | 3 Month JIBAR(2) |
(1,114 | ) | (56,471 | ) | (55,357 | ) | ||||||||||||||
| ZAR | 38,300 | 11/14/23 | 8.190% | 3 Month JIBAR(2) |
(26,088 | ) | (1,289 | ) | 24,799 | |||||||||||||||
| ZAR | 1,800 | 01/12/25 | 7.430% | 3 Month JIBAR(2) |
23 | (8,140 | ) | (8,163 | ) | |||||||||||||||
| ZAR | 14,500 | 01/13/25 | 7.440% | 3 Month JIBAR(2) |
20,576 | (64,769 | ) | (85,345 | ) | |||||||||||||||
| $ | (60,496 | ) | $ | 2,958,328 | $ | 3,018,824 | ||||||||||||||||||
| (1) | Portfolio pays the fixed rate and receives the floating rate. |
| (2) | Portfolio pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at June 30, 2015:
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(4) |
Implied Credit Spread at June 30, 2015(5) |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Depreciation |
Counterparty | ||||||||||||||||||||||
| Over-the-counter credit default swaps on corporate issues—Buy Protection(1): | ||||||||||||||||||||||||||||||
| American International Group, Inc. |
03/20/18 | 3.700% | 3,700 | 0.320 | % | $ | (342,728 | ) | $ | — | $ | (342,728 | ) | Deutsche Bank AG | ||||||||||||||||
| R.R. Donnelley & Sons Co. |
09/20/16 | 1.000% | 4,750 | 0.274 | % | (44,040 | ) | 229,662 | (273,702 | ) | JPMorgan Chase | |||||||||||||||||||
| $ | (386,768 | ) | $ | 229,662 | $ | (616,430 | ) | |||||||||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(4) |
Fair Value(3) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
| CDX.NA.HY.17.V9 |
12/20/16 | 5.000% | 6,440 | $ | 357,331 | $ | 270,122 | $ | 87,209 | Credit Suisse First Boston Corp. | ||||||||||||||||
| CDX.NA.HY.17.V9 |
12/20/16 | 5.000% | 12,420 | 689,138 | 567,525 | 121,613 | Deutsche Bank AG | |||||||||||||||||||
| CDX.NA.HY.17.V9 |
12/20/16 | 5.000% | 17,940 | 995,421 | 774,908 | 220,513 | Deutsche Bank AG | |||||||||||||||||||
| CDX.NA.HY.17.V9 |
12/20/16 | 5.000% | 11,500 | 638,091 | 503,924 | 134,167 | Deutsche Bank AG | |||||||||||||||||||
| $ | 2,679,981 | $ | 2,116,479 | $ | 563,502 | |||||||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(4) |
Value at Trade Date |
Value at June 30, 2015(3) |
Unrealized Appreciation |
||||||||||||||||||
| Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
| CDX.NA.IG.24.V1 |
06/20/20 | 1.000% | 207,000 | $ | (3,524,860 | ) | $ | (2,953,360 | ) | $ | 571,500 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
A U.S. Treasury obligation and a Sovereign with a combined market value of $11,964,494 have been segregated with Citigroup Global Markets to cover requirements for open exchanged-traded interest rate and credit default swap contracts at June 30, 2015.
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (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 the buyer of protection an amount equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (5) | 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 the emerging country as of 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. |
Currency swap agreements outstanding at June 30, 2015:
| Notional Amount (000)# |
Fund Receives |
Notional Amount (000)# |
Fund Pays |
Counterparty |
Termination Date |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
|
|
Over-the-counter swap agreements: |
|||||||||||||||||||||||||||||
| 502 | 3 Month LIBOR | JPY | 50,000 |
3 Month JPY LIBOR minus 54.00 bps |
Barclays Capital Group |
10/12/16 | $ | 94,093 | $ | — | $ | 94,093 | ||||||||||||||||||
| 278 | 3 Month LIBOR | EUR | 240 |
3 Month EURIBOR minus 24.50 bps |
Citigroup Global Markets |
01/16/17 | 11,256 | — | 11,256 | |||||||||||||||||||||
| 1,541 | |
3 Month LIBOR plus 432 bps |
|
JPY | 120,000 |
3.450% | Citigroup Global Markets |
03/24/17 | 604,384 | 7,475 | 596,909 | |||||||||||||||||||
| 5,882 | 3 Month LIBOR | JPY | 600,000 |
3 Month JPY LIBOR minus 31.25 bps |
Deutsche Bank AG | 05/14/17 | 967,428 | — | 967,428 | |||||||||||||||||||||
| TRY | 20,000 | 8.68% | 9,749 |
3 Month LIBOR | Hong Kong & Shanghai Bank | 09/05/15 | (1,796,160 | ) | — | (1,796,160 | ) | |||||||||||||||||||
| TRY | 23,640 | 8.69% | 11,376 |
3 Month LIBOR | Hong Kong & Shanghai Bank | 09/09/15 | (1,983,685 | ) | — | (1,983,685 | ) | |||||||||||||||||||
| 1,157 | 3 Month LIBOR | EUR | 900 |
3 Month EURIBOR minus 31.75 bps |
Hong Kong & Shanghai Bank | 09/28/17 | 155,847 | — | 155,847 | |||||||||||||||||||||
| JPY | 265,000 |
|
3 Month JPY LIBOR minus 43.35 bps |
|
2,250 |
3 Month LIBOR | JPMorgan Chase | 11/26/16 | (83,015 | ) | — | (83,015 | ) | |||||||||||||||||
| JPY | 1,060,000 |
|
3 Month JPY LIBOR minus 42.10 bps |
|
8,979 |
3 Month LIBOR | JPMorgan Chase | 11/28/16 | (311,787 | ) | — | (311,787 | ) | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Currency swap agreements outstanding at June 30, 2015 (continued):
| Notional Amount (000)# |
Fund Receives |
Notional Amount (000)# |
Fund Pays |
Counterparty |
Termination Date |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
|
|
Over-the-counter swap agreements (continued): |
|||||||||||||||||||||||||||||
| 13,099 | 3 Month LIBOR | EUR | 11,400 |
3 Month EURIBOR minus 26.95 |
JPMorgan Chase | 02/17/17 | $ | 332,197 | $ | — | $ | 332,197 | ||||||||||||||||||
| 2,250 | 3 Month LIBOR | JPY | 265,000 |
3 Month JPY LIBOR minus 69.88 bps |
JPMorgan Chase | 11/26/24 | 82,372 | — | 82,372 | |||||||||||||||||||||
| 8,979 | 3 Month LIBOR | JPY | 1,060,000 |
3 Month JPY LIBOR minus 67.32 bps |
JPMorgan Chase | 11/28/24 | 288,904 | — | 288,904 | |||||||||||||||||||||
| $ | (1,638,166 | ) | $ | 7,475 | $ | (1,645,641 | ) | |||||||||||||||||||||||
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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | 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, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
||||||||||||
| Collateralized Loan Obligations |
$ | — | $ | 44,683,245 | $ | 998,100 | ||||||
| Non-Residential Mortgage-Backed Securities |
— | 6,781,887 | 9,474,964 | |||||||||
| Residential Mortgage-Backed Securities |
— | 71,034,235 | 9,827,601 | |||||||||
| Bank Loans |
— | 31,327,632 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 110,935,044 | — | |||||||||
| Corporate Bonds |
— | 519,179,297 | — | |||||||||
| Foreign Agencies |
— | 25,378,063 | — | |||||||||
| Municipal Bonds |
— | 19,578,572 | — | |||||||||
| Sovereigns |
— | 50,743,070 | — | |||||||||
| U.S. Government Agency Obligations |
— | 16,846,814 | — | |||||||||
| U.S. Treasury Obligations |
— | 14,379,707 | — | |||||||||
| Preferred Stock |
1,168,200 | — | — | |||||||||
| Affiliated Mutual Funds |
132,978,708 | — | — | |||||||||
| Options Purchased |
97,269 | 1,154,309 | — | |||||||||
| Options Written |
(73,362 | ) | (93,659 | ) | — | |||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(2,683,526 | ) | — | — | ||||||||
| Forward Foreign Currency Exchange Contracts |
— | (841,119 | ) | — | ||||||||
| Over-the-counter interest rate swaps |
— | 805,111 | — | |||||||||
| Exchange-traded interest rate swaps |
— | 3,018,824 | — | |||||||||
| Over-the-counter credit default swaps |
— | 2,293,213 | — | |||||||||
| Exchange-traded credit default swaps |
— | 571,500 | — | |||||||||
| Currency Swap Agreements |
— | (1,638,166 | ) | — | ||||||||
| Total |
$ | 131,487,289 | $ | 916,137,579 | $ | 20,300,665 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
| Bank Loans |
Collateralized Loan Obligations |
Corporate Bonds |
Non-Residential Mortgage-Backed Securities |
Residential Mortgage-Backed Securities |
||||||||||||||||
| Balance as of December 31, 2014 |
$ | 4,745,724 | $ | — | $ | 6,610,851 | $ | — | $ | — | ||||||||||
| Realized gain (loss) |
(1,139 | ) | — | — | — | — | ||||||||||||||
| Change in unrealized appreciation (depreciation)** |
(62,693 | ) | (410 | ) | — | (25,011 | ) | (2,705 | ) | |||||||||||
| Purchases |
— | 998,510 | — | 9,499,977 | 9,915,369 | |||||||||||||||
| Sales |
(3,049,874 | ) | — | — | — | (87,569 | ) | |||||||||||||
| Accrued discount/premium |
396 | — | — | (2 | ) | 2,506 | ||||||||||||||
| Transfers into Level 3 |
— | — | — | — | — | |||||||||||||||
| Transfers out of Level 3 |
(1,632,414 | ) | — | (6,610,851 | ) | — | — | |||||||||||||
| Balance as of June 30, 2015 |
$ | — | $ | 998,100 | $ | — | $ | 9,474,964 | $ | 9,827,601 | ||||||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
| ** | Of which, $(28,126) was relating to securities held at the reporting period end. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
| Level 3 Securities |
Fair Value as of June 30, 2015 |
Valuation Methodology |
Unobservable Inputs | |||||
| Collateralized Loan Obligations |
$ | 998,100 | Market Approach | Single Broker Indicative Quote | ||||
| Non-Residential Mortgage-Backed Securities |
9,474,964 | Market Approach | Single Broker Indicative Quote | |||||
| Residential Mortgage-Backed Securities |
9,827,601 | Market Approach | Single Broker Indicative Quote | |||||
| $ | 20,300,665 | |||||||
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, securities transferred levels as follows:
| Investments in Securities |
Amount Transferred |
Level Transfer |
Logic | |||||||
| Bank Loans |
$ | 1,632,414 | L3 to L2 | Single Broker Quote to Evaluated Bid | ||||||
| Corporate Bonds |
6,610,851 | L3 to L2 | Single Broker Quote to Evaluated Bid | |||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
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, 2015 as presented in the Statement of Assets and Liabilities:
| Derivatives not designated as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Credit contracts |
Due from/to broker-variation margin swaps | $ | 571,500 | * | — | $ | — | |||||
| Credit contracts |
Premiums paid for swap agreements | 2,346,141 | — | — | ||||||||
| Credit contracts |
Unrealized appreciation on over-the-counter swap agreements | 563,502 | Unrealized depreciation on over-the-counter swap agreements | 616,430 | ||||||||
| Foreign exchange contracts |
Unrealized appreciation on forward foreign currency exchange contracts | 136,175 | Unrealized depreciation on forward foreign currency exchange contracts | 977,294 | ||||||||
| Interest rate contracts |
— | — | Due from/to broker-variation margin futures | 2,683,526 | * | |||||||
| Interest rate contracts |
Due from/to broker-variation margin swaps | 4,537,514 | * | Due from/to broker-variation margin swaps | 1,518,690 | * | ||||||
| Interest rate contracts |
Premiums paid for swap agreements | 7,475 | — | — | ||||||||
| Interest rate contracts |
Unaffiliated investments | 1,251,578 | Options written outstanding, at value | 167,021 | ||||||||
| Interest rate contracts |
Unrealized appreciation on over-the-counter swap agreements | 3,348,364 | Unrealized depreciation on over-the-counter swap agreements | 4,188,894 | ||||||||
| Total |
$ | 12,762,249 | $ | 10,151,855 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||||||
| Derivatives not accounted for as hedging |
Options Purchased* |
Options Written |
Futures |
Forward Rate Agreements |
Forward and Cross Currency Contracts** |
Swaps |
Total |
|||||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,464,571 | ) | $ | (1,464,571 | ) | ||||||||||||
| Equity contracts |
— | — | — | — | — | 99,939 | 99,939 | |||||||||||||||||||||
| Foreign exchange contracts |
— | — | — | — | 1,699,754 | — | 1,699,754 | |||||||||||||||||||||
| Interest rate contracts |
(1,141,965 | ) | 385,971 | 2,289,912 | 30,908 | — | (3,743,510 | ) | (2,178,684 | ) | ||||||||||||||||||
| $ | (1,141,965 | ) | $ | 385,971 | $ | 2,289,912 | $ | 30,908 | $ | 1,699,754 | $ | (5,108,142 | ) | $ | (1,843,562 | ) | ||||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| ** | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not accounted for as hedging |
Options Purchased* |
Options Written |
Futures |
Forward and Cross Currency Contracts** |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | 1,206,589 | $ | 1,206,589 | ||||||||||||
| Foreign exchange contracts |
— | — | — | (617,442 | ) | — | (617,442 | ) | ||||||||||||||||
| Interest rate contracts |
(72,807 | ) | 25,010 | (4,043,613 | ) | — | (1,530,441 | ) | (5,621,851 | ) | ||||||||||||||
| $ | (72,807 | ) | $ | 25,010 | $ | (4,043,613 | ) | $ | (617,442 | ) | $ | (323,852 | ) | $ | (5,032,704 | ) | ||||||||
| * | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
| ** | Included in net change in unrealized appreciation (depreciation) on foreign currencies in the Statement of Operations. |
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
|
Options |
Options |
Futures Long Positions(2) |
Futures Short Positions(2) |
Forward Foreign | ||||
| $1,057,971 | $439,783 | $441,755,729 | $174,597,241 | $37,207,782 | ||||
| Forward Foreign |
Cross |
Interest Rate |
Credit Default |
Credit Default | ||||
| $67,008,206 | $72,963 | $548,777 | $169,798 | $49,000 | ||||
| Currency |
Total |
Forward |
||||||
| $80,258 | $4,053 | $120,660 | ||||||
| (1) | Cost. |
| (2) | Value at Trade Date. |
| (3) | Value at Settlement Date. |
| (4) | Notional Amount in USD (000). |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
| Counterparty |
Gross amounts of recognized assets(1) |
Gross amounts available for offset |
Collateral Received(3) |
Net Amount |
||||||||||||
| Bank of America |
$ | 6,556 | $ | (6,556 | ) | $ | — | $ | — | |||||||
| Barclays Capital Group |
505,014 | (21 | ) | (530,474 | ) | — | ||||||||||
| BNP Paribas |
12,741 | — | — | 12,741 | ||||||||||||
| Citigroup Global Markets |
1,820,198 | (21,915 | ) | (1,734,000 | ) | 64,283 | ||||||||||
| Credit Suisse First Boston Corp. |
555,461 | — | (602,000 | ) | — | |||||||||||
| Deutsche Bank AG |
3,390,252 | (345,200 | ) | (3,050,201 | ) | — | ||||||||||
| Goldman Sachs & Co. |
19,638 | (19,638 | ) | — | — | |||||||||||
| Hong Kong & Shanghai Bank |
178,018 | (178,018 | ) | — | — | |||||||||||
| JPMorgan Chase |
1,068,088 | (992,174 | ) | — | 75,914 | |||||||||||
| UBS AG |
— | — | — | — | ||||||||||||
| $ | 7,555,966 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| Counterparty |
Gross amounts of recognized liabilities(2) |
Gross amounts available for offset |
Collateral Pledged(3) |
Net Amount |
||||||||||||
| Bank of America |
$ | (203,623 | ) | $ | 6,556 | $ | — | $ | (197,067 | ) | ||||||
| Barclays Capital Group |
(21 | ) | 21 | — | — | |||||||||||
| BNP Paribas |
— | — | — | — | ||||||||||||
| Citigroup Global Markets |
(21,915 | ) | 21,915 | — | — | |||||||||||
| Credit Suisse First Boston Corp. |
— | — | — | — | ||||||||||||
| Deutsche Bank AG |
(345,200 | ) | 345,200 | — | — | |||||||||||
| Goldman Sachs & Co. |
(112,004 | ) | 19,638 | — | (92,366 | ) | ||||||||||
| Hong Kong & Shanghai Bank |
(4,189,513 | ) | 178,018 | 3,982,881 | (28,614 | ) | ||||||||||
| JPMorgan Chase |
(992,174 | ) | 992,174 | — | — | |||||||||||
| UBS AG |
(11,827 | ) | — | — | (11,827 | ) | ||||||||||
| $ | (5,876,277 | ) | ||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
| Net investment income |
$ | 18,745,111 | $ | 40,596,712 | ||||
| Net realized gain on investment and foreign currency transactions |
6,150,039 | 19,370,419 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(27,682,411 | ) | 16,033,794 | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
(2,787,261 | ) | 76,000,925 | |||||
| DISTRIBUTIONS | — | (11,827,554 | ) | |||||
| SERIES SHARE TRANSACTIONS | ||||||||
| Series shares sold [867,418 and 2,077,773 shares, respectively] |
10,256,322 | 23,745,718 | ||||||
| Series shares issued in reinvestment of distributions [0 and 1,060,767 shares, respectively] |
— | 11,827,554 | ||||||
| Series shares repurchased [3,424,936 and 20,335,487 shares, respectively] |
(40,379,351 | ) | (229,380,709 | ) | ||||
| NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS |
(30,123,029 | ) | (193,807,437 | ) | ||||
| TOTAL DECREASE | (32,910,290 | ) | (129,634,066 | ) | ||||
| NET ASSETS: | ||||||||
| Beginning of period |
1,067,872,013 | 1,197,506,079 | ||||||
| End of period |
$ | 1,034,961,723 | $ | 1,067,872,013 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
||||||||||||
| Aerospace & Defense |
$ | 42,473,151 | $ | — | $ | — | ||||||
| Airlines |
15,393,839 | — | — | |||||||||
| Auto Components |
40,312,566 | — | — | |||||||||
| Automobiles |
59,338,071 | — | — | |||||||||
| Banks |
271,471,962 | — | — | |||||||||
| Biotechnology |
210,089,284 | — | — | |||||||||
| Capital Markets |
120,292,691 | — | — | |||||||||
| Chemicals |
47,275,825 | — | — | |||||||||
| Communications Equipment |
32,938,892 | — | — | |||||||||
| Consumer Finance |
82,766,040 | — | — | |||||||||
| Diversified Financial Services |
30,686,557 | — | — | |||||||||
| Electric Utilities |
39,841,949 | — | — | |||||||||
| Electrical Equipment |
45,254,880 | — | — | |||||||||
| Electronic Equipment, Instruments & Components |
21,403,786 | — | — | |||||||||
| Energy Equipment & Services |
58,699,529 | — | — | |||||||||
| Food & Staples Retailing |
68,437,524 | — | — | |||||||||
| Food Products |
101,195,656 | — | — | |||||||||
| Health Care Equipment & Supplies |
19,883,137 | — | — | |||||||||
| Hotels, Restaurants & Leisure |
157,623,185 | — | — | |||||||||
| Insurance |
69,533,558 | — | — | |||||||||
| Internet & Catalog Retail |
222,976,093 | — | — | |||||||||
| Internet Software & Services |
268,785,420 | 55,401,354 | — | |||||||||
| IT Services |
118,561,636 | — | — | |||||||||
| Life Sciences Tools & Services |
45,064,700 | — | — | |||||||||
| Machinery |
34,656,640 | — | — | |||||||||
| Media |
151,113,186 | — | — | |||||||||
| Multi-Utilities |
23,109,701 | — | — | |||||||||
| Multiline Retail |
51,272,864 | — | — | |||||||||
| Oil, Gas & Consumable Fuels |
190,321,505 | — | — | |||||||||
| Pharmaceuticals |
431,434,058 | — | — | |||||||||
| Road & Rail |
20,558,082 | — | — | |||||||||
| Semiconductors & Semiconductor Equipment |
39,511,092 | — | — | |||||||||
| Software |
236,911,646 | — | — | |||||||||
| Specialty Retail |
47,225,388 | — | — | |||||||||
| Technology Hardware, Storage & Peripherals |
237,238,281 | — | — | |||||||||
| Textiles, Apparel & Luxury Goods |
129,735,856 | — | — | |||||||||
| Wireless Telecommunication Services |
60,733,253 | — | — | |||||||||
| Affiliated Money Market Mutual Fund |
194,865,661 | — | — | |||||||||
| Total |
$ | 4,038,987,144 | $ | 55,401,354 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
| Six Months Ended June 30, 2015 |
Year
Ended December 31, 2014 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
| Net investment income |
$ | 17,458,766 | $ | 20,780,578 | ||||
| Net realized gain on investment and foreign currency transactions |
43,510,437 | 365,889,333 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
65,897,738 | (92,188,862 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
126,866,941 | 294,481,049 | ||||||
| SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
| Series shares sold |
5,475,644 | 12,816,469 | ||||||
| Series shares repurchased |
(145,838,191 | ) | (260,744,091 | ) | ||||
| NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS |
(140,362,547 | ) | (247,927,622 | ) | ||||
| TOTAL INCREASE (DECREASE) | (13,495,606 | ) | 46,553,427 | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
4,019,797,923 | 3,973,244,496 | ||||||
| End of period |
$ | 4,006,302,317 | $ | 4,019,797,923 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| FLEXIBLE MANAGED PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| ASSET-BACKED SECURITIES — 3.6% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Collateralized Debt Obligation |
||||||||||||||
| Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A |
0.537% | (b) | 04/25/19 | 442 | 435,911 | |||||||||
| Collateralized Loan Obligations — 1.6% |
||||||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.455% | (b) | 04/20/25 | 2,550 | 2,526,492 | |||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A |
3.360% | 04/20/25 | 500 | 492,107 | ||||||||||
| American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A |
0.986% | (b) | 05/15/20 | 3,900 | 3,918,006 | |||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.466% | (b) | 07/13/25 | 2,700 | 2,674,729 | |||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A |
1.779% | (b) | 04/28/26 | 1,500 | 1,497,014 | |||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A |
1.875% | (b) | 10/15/26 | 2,500 | 2,502,813 | |||||||||
| Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A |
1.822% | (b) | 04/18/27 | 250 | 248,661 | |||||||||
| Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A |
1.815% | (b) | 10/15/26 | 750 | 749,348 | |||||||||
| Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A |
1.874% | (b) | 10/17/26 | 250 | 250,283 | |||||||||
| Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A |
1.791% | (b) | 04/18/27 | 1,250 | 1,250,185 | |||||||||
| Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A |
1.475% | (b) | 07/15/24 | 1,200 | 1,188,987 | |||||||||
| Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.424% | (b) | 04/17/25 | 2,100 | 2,078,967 | |||||||||
| Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A |
1.825% | (b) | 04/20/26 | 2,200 | 2,197,517 | |||||||||
| Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A |
2.075% | (b) | 04/20/26 | 450 | 446,680 | |||||||||
| Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A |
1.785% | (b) | 10/18/26 | 500 | 498,448 | |||||||||
| Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A |
1.745% | (b) | 01/20/26 | 2,300 | 2,293,093 | |||||||||
| Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.674% | (b) | 01/17/26 | 500 | 498,536 | |||||||||
| Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A |
0.526% | (b) | 07/22/20 | 353 | 350,483 | |||||||||
| Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A |
0.756% | (b) | 03/15/20 | 521 | 520,055 | |||||||||
| Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A |
1.745% | (b) | 10/15/26 | 1,250 | 1,245,580 | |||||||||
| HLM (Cayman Islands), Series 2015-15, Class 6A, 144A |
1.271% | (b) | 05/05/27 | 250 | 249,219 | |||||||||
| ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A |
3.320% | 01/25/27 | 1,000 | 1,001,257 | ||||||||||
| ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.415% | (b) | 04/15/24 | 1,850 | 1,825,072 | |||||||||
| Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A |
1.814% | (b) | 04/15/27 | 500 | 500,189 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Collateralized Loan Obligations (continued) |
||||||||||||||
| KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A |
1.864% | (b) | 05/15/26 | 300 | $ | 300,218 | ||||||||
| Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A |
1.775% | (b) | 04/18/26 | 750 | 748,502 | |||||||||
| Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A |
1.697% | (b) | 07/25/26 | 3,000 | 2,983,363 | |||||||||
| Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A |
1.755% | (b) | 04/15/26 | 5,300 | 5,285,278 | |||||||||
| Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A |
1.725% | (b) | 01/18/27 | 500 | 497,675 | |||||||||
| Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A |
2.377% | (b) | 07/25/23 | 250 | 250,467 | |||||||||
| Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A |
1.745% | (b) | 04/15/26 | 500 | 498,429 | |||||||||
| OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A |
1.425% | (b) | 07/22/25 | 1,200 | 1,186,978 | |||||||||
| Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A |
1.586% | (b) | 12/15/22 | 449 | 445,817 | |||||||||
| Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A |
1.525% | (b) | 02/20/25 | 250 | 248,353 | |||||||||
| Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A |
1.754% | (b) | 07/17/26 | 800 | 799,967 | |||||||||
| Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A |
4.350% | 07/17/26 | 500 | 499,568 | ||||||||||
| Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.325% | (b) | 04/15/25 | 3,200 | 3,148,790 | |||||||||
| Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A |
2.926% | (b) | 08/17/22 | 500 | 498,682 | |||||||||
| Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A |
2.975% | (b) | 10/20/23 | 1,100 | 1,097,342 | |||||||||
| SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A |
2.000% | 09/20/29 | 1,012 | 1,001,516 | ||||||||||
| THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A |
1.896% | (b) | 01/22/27 | 2,250 | 2,252,357 | |||||||||
| Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A |
1.761% | (b) | 04/20/27 | 250 | 249,578 | |||||||||
| Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.395% | (b) | 07/15/25 | 2,700 | 2,668,070 | |||||||||
| Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A |
1.885% | (b) | 04/20/26 | 3,000 | 3,002,203 | |||||||||
| Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A |
1.775% | (b) | 04/20/26 | 1,850 | 1,846,267 | |||||||||
| Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A |
4.250% | 04/20/26 | 500 | 494,675 | ||||||||||
| 61,007,816 | ||||||||||||||
| Non-Residential Mortgage-Backed Securities — 0.8% |
||||||||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A |
1.920% | 09/20/19 | 1,700 | 1,694,527 | ||||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A |
2.500% | 07/20/21 | 6,000 | 5,963,436 | ||||||||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A |
2.630% | 12/20/21 | 4,700 | 4,687,940 | ||||||||||
| Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A |
2.260% | 11/15/25 | 2,000 | 2,024,738 | ||||||||||
| Ford Credit Auto Owner Trust, Series 2014-REV2, Class A, 144A |
2.310% | 04/15/26 | 3,200 | 3,235,408 | ||||||||||
| GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A |
0.686% | (b) | 05/15/20 | 1,800 | 1,800,749 | |||||||||
| Hertz Corp., Series 2015-1A, Class A(c) |
2.730% | 03/25/21 | 5,300 | 5,273,500 | ||||||||||
| OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A |
2.570% | 07/18/25 | 4,500 | 4,503,420 | ||||||||||
| Springleaf Funding Trust, Series 2015-AA, Class A, 144A |
3.160% | 11/15/24 | 3,495 | 3,536,461 | ||||||||||
| 32,720,179 | ||||||||||||||
| Residential Mortgage-Backed Securities — 1.2% |
||||||||||||||
| Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A |
3.500% | (b) | 01/01/30 | 2,594 | 2,603,076 | |||||||||
| CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 |
1.837% | (b) | 03/25/33 | 227 | 215,304 | |||||||||
| Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 |
3.996% | 07/25/35 | 302 | 290,225 | ||||||||||
| CSMC, Series 2015-3R, Class 10A1, 144A |
2.185% | (b) | 10/29/47 | 4,575 | 4,570,223 | |||||||||
| Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 |
4.942% | 07/25/34 | 328 | 311,283 | ||||||||||
| GSAMP Trust, Series 2004-HE2, Class A3C |
1.347% | (b) | 09/25/34 | 674 | 657,496 | |||||||||
| HSBC Home Equity Loan Trust U.S.A., Series 2006-4, Class A4 |
0.417% | (b) | 03/20/36 | 3,559 | 3,531,958 | |||||||||
| Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 |
0.982% | (b) | 06/25/34 | 582 | 561,323 | |||||||||
| LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A |
3.284% | (b) | 09/01/21 | 4,695 | 4,719,316 | |||||||||
| LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A |
2.184% | (b) | 03/01/20 | 3,918 | 3,900,254 | |||||||||
| LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A |
2.184% | (b) | 04/01/20 | 3,417 | 3,367,407 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||
| LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A |
2.184% | (b) | 04/01/20 | 2,921 | $ | 2,909,845 | ||||||||
| LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A |
2.184% | (b) | 05/01/20 | 5,150 | 5,111,790 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 |
1.387% | (b) | 05/25/33 | 383 | 359,254 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 |
1.132% | (b) | 06/25/34 | 819 | 769,466 | |||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 |
1.237% | (b) | 12/25/33 | 693 | 668,839 | |||||||||
| Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 |
1.087% | (b) | 07/25/32 | 344 | 328,871 | |||||||||
| Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 |
1.462% | (b) | 09/25/32 | 439 | 432,691 | |||||||||
| Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 |
0.952% | (b) | 02/25/34 | 754 | 708,094 | |||||||||
| Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A |
2.200% | 10/20/30 | 2,974 | 2,983,678 | ||||||||||
| VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A |
3.375% | 02/25/55 | 2,128 | 2,122,473 | ||||||||||
| VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A |
3.250% | 02/25/55 | 4,361 | 4,342,532 | ||||||||||
| 45,465,398 | ||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
139,629,304 | ||||||||||||
| BANK LOANS(b) — 0.1% | ||||||||||||||
| Automotive |
||||||||||||||
| Schaeffler AG (Germany) |
4.250% | 05/15/20 | 663 | 666,226 | ||||||||||
| Cable |
||||||||||||||
| Virgin Media Investment Holdings Ltd. (United Kingdom) |
3.500% | 06/30/23 | 673 | 666,062 | ||||||||||
| Foods |
||||||||||||||
| ARAMARK Corp. |
3.250% | 09/07/19 | 534 | 532,452 | ||||||||||
| Healthcare & Pharmaceutical |
||||||||||||||
| Grifols Worldwide Operations USA, Inc. |
3.281% | 02/26/21 | 247 | 246,721 | ||||||||||
| RPI Finance Trust (Luxembourg) |
3.250% | 11/09/18 | 1,032 | 1,033,463 | ||||||||||
| 1,280,184 | ||||||||||||||
| Retailers |
||||||||||||||
| Staples, Inc. |
3.500% | 02/28/22 | 730 | 728,581 | ||||||||||
| Technology — 0.1% |
||||||||||||||
| First Data Corp. |
3.687% | 03/26/18 | 1,134 | 1,129,976 | ||||||||||
| TransUnion LLC |
3.750% | 04/09/21 | 494 | 490,050 | ||||||||||
| 1,620,026 | ||||||||||||||
| TOTAL BANK LOANS |
|
5,493,531 | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.6% | ||||||||||||||
| Alternative Loan Trust, Series 2004-18CB, Class 3A1 |
5.250% | 09/25/19 | 235 | 239,873 | ||||||||||
| Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 |
6.000% | 01/25/36 | 1,685 | 1,419,853 | ||||||||||
| Bank of America Mortgage Trust, Series 2005-A, Class 2A1 |
2.673% | (b) | 02/25/35 | 340 | 331,782 | |||||||||
| Bank of America Mortgage Trust, Series 2005-B, Class 2A1 |
2.732% | (b) | 03/25/35 | 300 | 276,127 | |||||||||
| Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 |
2.553% | (b) | 02/25/37 | 732 | 711,931 | |||||||||
| Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1 |
2.137% | (b) | 11/25/24 | 3,893 | 3,922,166 | |||||||||
| Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1 |
1.687% | (b) | 02/25/25 | 1,238 | 1,239,160 | |||||||||
| Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1 |
1.335% | (b) | 05/25/25 | 5,968 | 5,935,961 | |||||||||
| Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 |
1.087% | (b) | 10/25/27 | 8,864 | 8,845,764 | |||||||||
| JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 |
2.595% | (b) | 07/25/35 | 405 | 405,591 | |||||||||
| MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 |
5.000% | 04/25/19 | 72 | 72,882 | ||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
2.637% | (b) | 02/25/34 | 342 | 340,038 | |||||||||
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A |
5.000% | 03/25/20 | 101 | 100,882 | ||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
23,842,010 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 |
5.369% | 10/10/45 | 3,900 | $ | 3,927,436 | |||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A |
5.732% | (b) | 04/10/49 | 5,274 | 5,572,369 | |||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3 |
5.756% | (b) | 04/10/49 | 1,500 | 1,515,281 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 |
5.899% | (b) | 12/10/49 | 1,000 | 1,069,655 | |||||||||
| Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 |
2.815% | 04/10/46 | 1,100 | 1,089,910 | ||||||||||
| Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 |
3.575% | 05/10/47 | 2,750 | 2,834,532 | ||||||||||
| Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3 |
3.356% | 07/10/47 | 2,800 | 2,834,171 | ||||||||||
| COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 |
5.223% | 08/15/48 | 1,007 | 1,046,824 | ||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 1,000 | 978,845 | ||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 |
2.929% | 03/10/46 | 1,700 | 1,699,174 | ||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2 |
2.928% | 02/10/47 | 2,700 | 2,786,114 | ||||||||||
| Commercial Mortgage Trust, Series 2005-GG5, Class A5 |
5.224% | (b) | 04/10/37 | 3,617 | 3,621,321 | |||||||||
| Commercial Mortgage Trust, Series 2005-GG5, Class AM |
5.277% | (b) | 04/10/37 | 4,500 | 4,532,238 | |||||||||
| Commercial Mortgage Trust, Series 2014-CCRE20, Class A3 |
3.326% | 11/10/47 | 5,000 | 5,031,885 | ||||||||||
| Commercial Mortgage Trust, Series 2014-CR18, Class A4 |
3.550% | 07/15/47 | 2,800 | 2,875,292 | ||||||||||
| Commercial Mortgage Trust, Series 2014-UBS3, Class A2 |
2.844% | 06/10/47 | 2,300 | 2,366,104 | ||||||||||
| Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A |
3.178% | 02/10/35 | 5,300 | 5,201,961 | ||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 |
5.609% | (b) | 02/15/39 | 2,444 | 2,462,838 | |||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.639% | (b) | 02/15/39 | 640 | 649,827 | |||||||||
| Fannie Mae-Aces, Series 2015-M10, Class A2 |
3.092% | (b) | 04/25/27 | 6,500 | 6,434,675 | |||||||||
| Federal National Mortgage Assoc., Series 2014-M2, Class A2 |
3.513% | (b) | 12/25/23 | 2,515 | 2,647,400 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 |
2.873% | 12/25/21 | 3,500 | 3,598,952 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 |
2.373% | 05/25/22 | 2,000 | 1,994,122 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.596% | (b) | 05/25/22 | 25,183 | 2,031,640 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.632% | (b) | 06/25/22 | 7,123 | 593,684 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 |
3.320% | 02/25/23 | 5,800 | 6,076,503 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 |
3.531% | (b) | 07/25/23 | 2,400 | 2,538,233 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.734% | (b) | 08/25/16 | 5,846 | 71,435 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.906% | (b) | 05/25/19 | 19,477 | 1,137,163 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.826% | (b) | 07/25/19 | 20,573 | 1,170,438 | |||||||||
| GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4 |
5.495% | (b) | 11/10/45 | 2,580 | 2,585,913 | |||||||||
| GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4 |
5.449% | (b) | 03/10/44 | 1,886 | 1,906,708 | |||||||||
| GS Mortgage Securities Trust, Series 2006-GG6, Class AAB |
5.587% | (b) | 04/10/38 | 255 | 255,480 | |||||||||
| GS Mortgage Securities Trust, Series 2015-GC28, Class A4 |
3.136% | 02/10/48 | 4,000 | 3,952,968 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 |
3.408% | 11/15/47 | 1,400 | 1,422,103 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 |
2.920% | 02/15/48 | 6,000 | 5,823,348 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM |
4.999% | (b) | 10/15/42 | 1,270 | 1,270,809 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB |
5.523% | 05/12/45 | 686 | 693,869 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 |
3.139% | 06/15/45 | 1,901 | 1,957,268 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 |
2.611% | 12/15/47 | 1,700 | 1,670,218 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 |
2.875% | 12/15/47 | 3,900 | $ | 3,886,767 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 |
3.070% | 12/15/46 | 2,700 | 2,801,452 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 |
2.694% | 04/15/46 | 1,400 | 1,372,897 | ||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM |
5.263% | (b) | 11/15/40 | 1,510 | 1,513,319 | |||||||||
| Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM |
5.865% | (b) | 05/12/39 | 930 | 955,672 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM |
5.700% | (b) | 02/12/39 | 530 | 540,027 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 |
6.059% | (b) | 06/12/46 | 1,658 | 1,698,454 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 |
5.331% | 03/12/51 | 1,775 | 1,793,231 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 |
2.863% | 12/15/48 | 1,500 | 1,492,451 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 |
3.451% | 07/15/50 | 5,000 | 5,045,145 | ||||||||||
| Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 |
5.845% | (b) | 10/15/42 | 1,622 | 1,633,170 | |||||||||
| Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31 |
5.439% | 02/12/44 | 210 | 210,242 | ||||||||||
| Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB |
5.444% | 02/12/44 | 1,275 | 1,273,839 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 1,700 | 1,682,420 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 |
2.920% | 03/10/46 | 3,900 | 3,872,747 | ||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 |
2.971% | 04/10/46 | 1,800 | 1,790,784 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 |
5.897% | (b) | 05/15/43 | 520 | 528,104 | |||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a) |
5.509% | 04/15/47 | 4,500 | 4,708,107 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A |
5.608% | (b) | 05/15/46 | 1,316 | 1,388,411 | |||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
140,115,945 | ||||||||||||
| CORPORATE BONDS — 9.2% | ||||||||||||||
| Airlines — 0.2% |
||||||||||||||
| American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a) |
3.375% | 05/01/27 | 3,260 | 3,219,250 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A |
6.648% | 09/15/17 | 69 | 70,695 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A |
7.250% | 11/10/19 | 591 | 683,853 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A |
4.750% | 01/12/21 | 683 | 726,100 | ||||||||||
| Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a) |
4.000% | 10/29/24 | 650 | 661,999 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A |
6.821% | 08/10/22 | 315 | 361,077 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A |
4.950% | 05/23/19 | 482 | 511,389 | ||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A |
5.300% | 04/15/19 | 950 | 1,021,353 | ||||||||||
| 7,255,716 | ||||||||||||||
| Automotive — 0.1% |
||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
4.207% | 04/15/16 | 2,090 | 2,137,518 | ||||||||||
| General Motors Co., Sr. Unsec’d. Notes |
6.250% | 10/02/43 | 1,395 | 1,556,199 | ||||||||||
| Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A |
2.700% | 03/15/17 | 450 | 460,086 | ||||||||||
| Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A |
4.250% | 11/15/19 | 715 | 725,725 | ||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
5.500% | 01/15/16 | 245 | 251,154 | ||||||||||
| 5,130,682 | ||||||||||||||
| Banking — 3.0% |
||||||||||||||
| American Express Co., Jr. Sub. Notes |
5.200% | (b) | 12/31/49 | 605 | 600,523 | |||||||||
| American Express Co., Sr. Unsec’d. Notes |
2.650% | 12/02/22 | 2,213 | 2,128,815 | ||||||||||
| Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A |
3.875% | 09/20/22 | 645 | 651,995 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Banking (continued) |
||||||||||||||
| Bank of America Corp., Series K, Jr. Sub. Notes |
8.000% | (b) | 12/29/49 | 2,200 | $ | 2,321,000 | ||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
5.700% | 01/24/22 | 2,155 | 2,446,272 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
6.000% | 09/01/17 | 1,075 | 1,169,776 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
3.300% | 01/11/23 | 780 | 768,173 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
4.000% | 04/01/24 | 975 | 992,136 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
4.125% | 01/22/24 | 3,820 | 3,915,000 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
5.000% | 05/13/21 | 200 | 219,553 | ||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Series 1 |
3.750% | 07/12/16 | 870 | 891,871 | ||||||||||
| Bank of America Corp., Sub. Notes |
5.750% | 08/15/16 | 1,775 | 1,858,693 | ||||||||||
| Bank of America Corp., Sub. Notes, MTN(a) |
4.000% | 01/22/25 | 2,000 | 1,948,588 | ||||||||||
| Bank of America NA, Sub. Notes |
5.300% | 03/15/17 | 930 | 985,023 | ||||||||||
| Bank of America NA, Sub. Notes(a) |
6.000% | 10/15/36 | 410 | 487,118 | ||||||||||
| Bank of Nova Scotia (Canada), Covered Notes, 144A |
1.650% | 10/29/15 | 1,535 | 1,540,901 | ||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
5.300% | 10/30/15 | 515 | 522,365 | ||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
6.400% | 10/02/17 | 330 | 363,193 | ||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
7.250% | 02/01/18 | 1,175 | 1,331,071 | ||||||||||
| Capital One Bank USA NA, Sub. Notes |
3.375% | 02/15/23 | 1,560 | 1,515,354 | ||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
3.200% | 02/05/25 | 1,830 | 1,730,975 | ||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
3.750% | 04/24/24 | 2,590 | 2,578,083 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
3.875% | 10/25/23 | 1,900 | 1,938,988 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
3.953% | 06/15/16 | 1,010 | 1,036,939 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
4.500% | 01/14/22 | 2,450 | 2,639,037 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.125% | 07/15/39 | 710 | 1,019,107 | ||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.500% | 05/22/19 | 1,895 | 2,311,326 | ||||||||||
| Compass Bank, Sr. Unsec’d. Notes |
1.850% | 09/29/17 | 1,270 | 1,268,476 | ||||||||||
| Discover Bank, Sr. Unsec’d. Notes |
4.250% | 03/13/26 | 970 | 958,344 | ||||||||||
| Discover Bank, Sub. Notes |
7.000% | 04/15/20 | 570 | 663,389 | ||||||||||
| Discover Financial Services, Sr. Unsec’d. Notes |
3.850% | 11/21/22 | 900 | 893,606 | ||||||||||
| Goldman Sachs Group, Inc. (The), Jr. Sub. Notes |
5.375% | (b) | 12/31/49 | 2,215 | 2,188,198 | |||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
3.500% | 01/23/25 | 4,100 | 3,976,155 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
3.625% | 02/07/16 | 2,000 | 2,032,398 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.250% | 07/27/21 | 2,055 | 2,282,114 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.750% | 01/24/22 | 3,620 | 4,117,638 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 02/01/41 | 270 | 319,557 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
5.625% | 01/15/17 | 1,190 | 1,260,111 | ||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
6.750% | 10/01/37 | 104 | 121,987 | ||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
4.875% | 01/14/22 | 1,910 | 2,106,239 | ||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
5.100% | 04/05/21 | 1,025 | 1,142,585 | ||||||||||
| Huntington Bancshares, Inc., Sub. Notes(a) |
7.000% | 12/15/20 | 170 | 202,491 | ||||||||||
| Intesa Sanpaolo SpA (Italy), Gtd. Notes |
3.125% | 01/15/16 | 1,395 | 1,405,634 | ||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes(a) |
6.100% | (b) | 12/31/49 | 1,275 | 1,279,463 | |||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes |
7.900% | (b) | 04/29/49 | 2,000 | 2,115,500 | |||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
4.250% | 10/15/20 | 2,930 | 3,132,941 | ||||||||||
| JPMorgan Chase & Co., Sub. Notes |
3.875% | 09/10/24 | 3,775 | 3,714,245 | ||||||||||
| JPMorgan Chase & Co., Sub. Notes(a) |
5.625% | 08/16/43 | 490 | 522,566 | ||||||||||
| Lloyds Bank PLC (United Kingdom), Gtd. Notes |
6.375% | 01/21/21 | 1,400 | 1,651,177 | ||||||||||
| Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A |
5.800% | 01/13/20 | 1,870 | 2,136,462 | ||||||||||
| Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes |
2.900% | 02/06/25 | 3,080 | 2,910,951 | ||||||||||
| Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN |
6.400% | 08/28/17 | 20 | 21,929 | ||||||||||
| Morgan Stanley, Jr. Sub. Notes(a) |
5.450% | (b) | 12/31/49 | 840 | 833,700 | |||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
3.750% | 02/25/23 | 940 | 950,472 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
5.750% | 01/25/21 | 1,400 | 1,595,042 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes(a) |
6.375% | 07/24/42 | 780 | 957,679 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.450% | 01/09/17 | 1,345 | 1,425,297 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.500% | 07/28/21 | 1,290 | 1,455,235 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.625% | 09/23/19 | 1,415 | 1,585,641 | ||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
6.625% | 04/01/18 | 105 | 117,816 | ||||||||||
| Morgan Stanley, Sub. Notes, GMTN |
4.350% | 09/08/26 | 3,825 | 3,748,041 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Banking (continued) |
||||||||||||||
| MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes |
6.346% | (b) | 07/29/49 | 800 | $ | 837,600 | ||||||||
| National City Corp., Sub. Notes |
6.875% | 05/15/19 | 3,370 | 3,908,277 | ||||||||||
| People’s United Bank, Sub. Notes |
4.000% | 07/15/24 | 465 | 460,429 | ||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
3.650% | 12/06/22 | 1,455 | 1,445,950 | ||||||||||
| PNC Bank NA, Sub. Notes |
3.800% | 07/25/23 | 270 | 276,603 | ||||||||||
| PNC Funding Corp., Gtd. Notes |
6.700% | 06/10/19 | 440 | 513,040 | ||||||||||
| Royal Bank of Canada (Canada), Covered Notes |
2.200% | 09/23/19 | 2,940 | 2,961,635 | ||||||||||
| Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes |
2.550% | 09/18/15 | 455 | 456,272 | ||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
3.000% | 09/24/15 | 955 | 957,636 | ||||||||||
| Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes |
2.450% | 01/10/19 | 1,210 | 1,223,168 | ||||||||||
| Synchrony Financial, Sr. Unsec’d. Notes |
2.700% | 02/03/20 | 2,700 | 2,667,100 | ||||||||||
| Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A |
1.950% | 04/02/20 | 4,140 | 4,108,039 | ||||||||||
| US Bancorp, Sub. Notes, MTN |
2.950% | 07/15/22 | 1,120 | 1,102,401 | ||||||||||
| Westpac Banking Corp. (Australia), Covered Notes, 144A |
2.000% | 05/21/19 | 1,130 | 1,140,465 | ||||||||||
| 117,063,569 | ||||||||||||||
| Brokerage |
||||||||||||||
| Jefferies Group LLC, Sr. Unsec’d. Notes |
6.500% | 01/20/43 | 560 | 547,125 | ||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) |
6.875% | 02/06/12 | 1,715 | 186,506 | ||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) |
6.875% | 05/02/18 | 700 | 80,500 | ||||||||||
| Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN |
2.000% | 09/13/16 | 820 | 825,975 | ||||||||||
| 1,640,106 | ||||||||||||||
| Building Materials & Construction — 0.1% |
||||||||||||||
| Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A |
5.375% | 11/15/24 | 1,400 | 1,374,590 | ||||||||||
| D.R. Horton, Inc., Gtd. Notes |
3.625% | 02/15/18 | 450 | 458,438 | ||||||||||
| Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A |
5.250% | 06/27/29 | 740 | 555,148 | ||||||||||
| Owens Corning, Inc., Gtd. Notes |
4.200% | 12/15/22 | 775 | 785,515 | ||||||||||
| 3,173,691 | ||||||||||||||
| Cable — 0.2% |
||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
8.625% | 09/15/17 | 1,000 | 1,090,000 | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A |
5.375% | 05/01/25 | 880 | 856,900 | ||||||||||
| Comcast Cable Communications Holdings, Inc., Gtd. Notes |
9.455% | 11/15/22 | 255 | 350,415 | ||||||||||
| Comcast Corp., Gtd. Notes |
6.400% | 05/15/38 | 530 | 644,920 | ||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.500% | 03/01/16 | 920 | 934,333 | ||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
5.150% | 03/15/42 | 860 | 809,090 | ||||||||||
| DISH DBS Corp., Gtd. Notes |
7.125% | 02/01/16 | 1,000 | 1,026,250 | ||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
5.850% | 05/01/17 | 1,710 | 1,826,054 | ||||||||||
| Videotron Ltd. (Canada), Gtd. Notes |
5.000% | 07/15/22 | 1,040 | 1,037,400 | ||||||||||
| 8,575,362 | ||||||||||||||
| Capital Goods — 0.3% |
||||||||||||||
| Actuant Corp., Gtd. Notes |
5.625% | 06/15/22 | 1,205 | 1,226,088 | ||||||||||
| Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes |
7.875% | 12/01/17 | 1,255 | 1,374,225 | ||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.375% | 10/15/17 | 1,302 | 1,431,242 | ||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.700% | 06/01/34 | 420 | 511,094 | ||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
7.000% | 10/15/37 | 380 | 464,493 | ||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.125% | 10/09/42 | 190 | 182,809 | ||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.500% | 03/11/44 | 280 | 284,365 | ||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A |
2.500% | 03/15/16 | 1,890 | 1,903,213 | ||||||||||
| SPX Corp., Gtd. Notes |
6.875% | 09/01/17 | 950 | 1,023,625 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Capital Goods (continued) |
||||||||||||||
| United Rentals North America, Inc., Gtd. Notes |
7.375% | 05/15/20 | 1,000 | $ | 1,066,990 | |||||||||
| United Technologies Corp., Sr. Unsec’d. Notes |
4.500% | 06/01/42 | 1,445 | 1,467,968 | ||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/21 | 1,260 | 1,364,973 | ||||||||||
| 12,301,085 | ||||||||||||||
| Chemicals — 0.2% |
||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
3.150% | 10/01/22 | 780 | 756,263 | ||||||||||
| Celanese US Holdings LLC, Gtd. Notes(a) |
5.875% | 06/15/21 | 1,500 | 1,605,000 | ||||||||||
| CF Industries, Inc., Gtd. Notes |
5.375% | 03/15/44 | 585 | 581,696 | ||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes(a) |
4.625% | 10/01/44 | 45 | 42,004 | ||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
9.400% | 05/15/39 | 347 | 522,252 | ||||||||||
| Koppers, Inc., Gtd. Notes |
7.875% | 12/01/19 | 1,300 | 1,313,000 | ||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
4.625% | 02/26/55 | 1,185 | 1,043,562 | ||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
5.000% | 04/15/19 | 1,000 | 1,083,265 | ||||||||||
| Monsanto Co., Sr. Unsec’d. Notes |
4.400% | 07/15/44 | 235 | 210,435 | ||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.450% | 11/15/33 | 345 | 367,244 | ||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.625% | 11/15/43 | 1,135 | 1,209,243 | ||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
7.500% | 06/01/25 | 460 | 573,211 | ||||||||||
| 9,307,175 | ||||||||||||||
| Consumer |
||||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
6.250% | 04/15/18 | 1,700 | 1,884,236 | ||||||||||
| Electric — 0.4% |
||||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
6.250% | 08/01/16 | 175 | 184,864 | ||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
6.350% | 10/01/36 | 550 | 687,884 | ||||||||||
| Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes |
6.125% | 04/01/36 | 310 | 365,199 | ||||||||||
| CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. |
6.950% | 03/15/33 | 590 | 773,265 | ||||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C |
5.500% | 12/01/39 | 220 | 251,542 | ||||||||||
| Duke Energy Carolinas LLC, First Mortgage |
6.050% | 04/15/38 | 550 | 677,536 | ||||||||||
| Duke Energy Carolinas LLC, First Ref. Mortgage |
4.000% | 09/30/42 | 570 | 538,888 | ||||||||||
| Dynegy, Inc., Gtd. Notes, 144A |
6.750% | 11/01/19 | 455 | 473,427 | ||||||||||
| Dynegy, Inc., Gtd. Notes, 144A |
7.375% | 11/01/22 | 345 | 361,387 | ||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
6.000% | 05/15/35 | 670 | 787,755 | ||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
8.625% | 08/01/15 | 1,295 | 1,302,252 | ||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
6.250% | 10/01/39 | 1,425 | 1,572,412 | ||||||||||
| FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A |
5.450% | 07/15/44 | 355 | 369,553 | ||||||||||
| Florida Power & Light Co., First Mortgage |
5.950% | 10/01/33 | 295 | 359,299 | ||||||||||
| Iberdrola International BV (Spain), Gtd. Notes |
6.750% | 09/15/33 | 145 | 165,958 | ||||||||||
| Nevada Power Co., Gen. Ref. Mtge. |
6.500% | 05/15/18 | 1,260 | 1,432,566 | ||||||||||
| Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A |
4.881% | 08/15/19 | 610 | 669,426 | ||||||||||
| Northeast Utilities, Sr. Unsec’d. Notes |
4.500% | 11/15/19 | 615 | 671,940 | ||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
7.950% | 05/15/18 | 140 | 162,915 | ||||||||||
| Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN |
5.800% | 05/01/37 | 535 | 644,974 | ||||||||||
| Southern California Edison Co., First Mortgage |
3.600% | 02/01/45 | 860 | 766,588 | ||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
4.800% | 09/15/41 | 480 | 497,789 | ||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
5.613% | 04/01/17 | 199 | 213,277 | ||||||||||
| 13,930,696 | ||||||||||||||
| Energy – Integrated — 0.1% |
||||||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
5.375% | 01/26/19 | 460 | 377,890 | ||||||||||
| Reliance Holding USA, Inc. (India), Gtd. Notes, 144A |
5.400% | 02/14/22 | 550 | 593,081 | ||||||||||
| Shell International Finance BV (Netherlands), Gtd. Notes |
3.250% | 05/11/25 | 3,155 | 3,124,330 | ||||||||||
| 4,095,301 | ||||||||||||||
| Energy – Other — 0.4% |
||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
4.677% | (f) | 10/10/36 | 2,000 | 800,000 | |||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.375% | 09/15/17 | 1,195 | 1,311,398 | ||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.450% | 09/15/36 | 325 | 375,011 | ||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.950% | 06/15/19 | 250 | 290,395 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Energy – Other (continued) |
||||||||||||||
| Cameron International Corp., Sr. Unsec’d. Notes |
4.500% | 06/01/21 | 2,200 | $ | 2,305,419 | |||||||||
| Devon Financing Corp. LLC, Gtd. Notes |
7.875% | 09/30/31 | 1,700 | 2,191,302 | ||||||||||
| Dominion Gas Holdings LLC, Sr. Unsec’d. Notes |
4.800% | 11/01/43 | 65 | 64,169 | ||||||||||
| EOG Resources, Inc., Sr. Unsec’d. Notes(a) |
3.900% | 04/01/35 | 1,020 | 965,581 | ||||||||||
| Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a) |
4.650% | 03/15/25 | 1,995 | 2,059,414 | ||||||||||
| Nabors Industries, Inc., Gtd. Notes |
4.625% | 09/15/21 | 1,070 | 1,063,014 | ||||||||||
| Phillips 66, Gtd. Notes |
2.950% | 05/01/17 | 490 | 503,659 | ||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes(a) |
6.875% | 05/01/18 | 1,500 | 1,684,233 | ||||||||||
| 13,613,595 | ||||||||||||||
| Foods — 0.2% |
||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes |
8.000% | 11/15/39 | 1,285 | 1,885,489 | ||||||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes |
8.200% | 01/15/39 | 250 | 372,175 | ||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
8.500% | 06/15/19 | 985 | 1,190,735 | ||||||||||
| Constellation Brands, Inc., Gtd. Notes |
4.250% | 05/01/23 | 1,400 | 1,379,000 | ||||||||||
| Kraft Heinz Foods Co., Gtd. Notes, 144A |
5.000% | 07/15/35 | 815 | 824,796 | ||||||||||
| Tyson Foods, Inc., Gtd. Notes |
6.600% | 04/01/16 | 735 | 763,092 | ||||||||||
| 6,415,287 | ||||||||||||||
| Gaming — 0.1% |
||||||||||||||
| GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a) |
4.375% | 11/01/18 | 1,000 | 1,026,250 | ||||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Gtd. Notes, 144A |
5.500% | 03/01/25 | 1,125 | 1,071,562 | ||||||||||
| 2,097,812 | ||||||||||||||
| Healthcare & Pharmaceutical — 0.8% |
||||||||||||||
| AbbVie, Inc., Sr. Unsec’d. Notes |
3.600% | 05/14/25 | 1,175 | 1,161,364 | ||||||||||
| AbbVie, Inc., Sr. Unsec’d. Notes |
4.500% | 05/14/35 | 1,910 | 1,868,559 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
3.800% | 03/15/25 | 1,000 | 982,322 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
4.550% | 03/15/35 | 1,615 | 1,535,497 | ||||||||||
| Actavis Funding SCS, Gtd. Notes |
4.750% | 03/15/45 | 595 | 566,472 | ||||||||||
| Actavis, Inc., Gtd. Notes |
6.125% | 08/15/19 | 445 | 502,403 | ||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
5.150% | 11/15/41 | 1,640 | 1,684,196 | ||||||||||
| Becton Dickinson and Co., Sr. Unsec’d. Notes(a) |
3.734% | 12/15/24 | 1,025 | 1,021,552 | ||||||||||
| CHS/Community Health Systems, Inc., Sr. Sec’d. Notes |
5.125% | 08/15/18 | 1,100 | 1,127,500 | ||||||||||
| Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A |
4.125% | 10/15/20 | 1,665 | 1,685,813 | ||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
3.500% | 02/01/25 | 1,460 | 1,462,127 | ||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
5.650% | 12/01/41 | 185 | 211,966 | ||||||||||
| HCA, Inc., Sr. Sec’d. Notes |
4.250% | 10/15/19 | 555 | 568,181 | ||||||||||
| HCA, Inc., Sr. Sec’d. Notes |
5.000% | 03/15/24 | 1,100 | 1,119,250 | ||||||||||
| HCA, Inc., Sr. Sec’d. Notes |
5.250% | 04/15/25 | 400 | 416,000 | ||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
3.200% | 02/01/22 | 190 | 187,320 | ||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
5.625% | 12/15/15 | 580 | 591,680 | ||||||||||
| Medtronic, Inc., Gtd. Notes, 144A |
3.500% | 03/15/25 | 3,205 | 3,194,061 | ||||||||||
| Medtronic, Inc., Gtd. Notes, 144A |
4.375% | 03/15/35 | 1,355 | 1,344,600 | ||||||||||
| Merck & Co, Inc., Sr. Unsec’d. Notes |
2.750% | 02/10/25 | 420 | 402,753 | ||||||||||
| Merck & Co, Inc., Sr. Unsec’d. Notes |
3.700% | 02/10/45 | 1,380 | 1,232,848 | ||||||||||
| Mylan, Inc., Gtd. Notes |
1.800% | 06/24/16 | 425 | 425,213 | ||||||||||
| New York & Presbyterian Hospital (The), Unsec’d. Notes |
4.024% | 08/01/45 | 445 | 405,933 | ||||||||||
| Novartis Capital Corp. (Switzerland), Gtd. Notes |
4.400% | 05/06/44 | 1,325 | 1,365,978 | ||||||||||
| Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A(a) |
2.875% | 09/29/21 | 5,305 | 5,348,724 | ||||||||||
| Wyeth LLC, Gtd. Notes |
6.450% | 02/01/24 | 60 | 74,049 | ||||||||||
| Zoetis, Inc., Sr. Unsec’d. Notes |
4.700% | 02/01/43 | 120 | 114,410 | ||||||||||
| 30,600,771 | ||||||||||||||
| Healthcare Insurance — 0.2% |
||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.625% | 06/15/36 | 515 | 632,550 | ||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.750% | 12/15/37 | 1,380 | 1,736,482 | ||||||||||
| Anthem, Inc., Sr. Unsec’d. Notes |
4.625% | 05/15/42 | 390 | 356,483 | ||||||||||
| Anthem, Inc., Sr. Unsec’d. Notes |
4.650% | 01/15/43 | 360 | 330,035 | ||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.875% | 03/15/41 | 650 | 739,589 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Healthcare Insurance (continued) |
||||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
6.150% | 11/15/36 | 670 | $ | 772,946 | |||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
3.950% | 10/15/42 | 720 | 651,448 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.000% | 06/15/17 | 195 | 212,319 | ||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.625% | 11/15/37 | 420 | 538,434 | ||||||||||
| 5,970,286 | ||||||||||||||
| Insurance — 0.8% |
||||||||||||||
| Allied World Assurance Co. Holdings Ltd., Gtd. Notes |
5.500% | 11/15/20 | 525 | 585,081 | ||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
4.500% | 06/15/43 | 150 | 151,347 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
4.500% | 07/16/44 | 1,980 | 1,883,465 | ||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
6.400% | 12/15/20 | 2,425 | 2,882,949 | ||||||||||
| Aon Corp., Gtd. Notes |
3.125% | 05/27/16 | 2,655 | 2,707,991 | ||||||||||
| Axis Specialty Finance LLC, Gtd. Notes |
5.875% | 06/01/20 | 1,030 | 1,165,719 | ||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a) |
6.375% | (b) | 03/29/67 | 1,300 | 1,363,700 | |||||||||
| Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A |
5.100% | (b) | 12/29/49 | 480 | 506,400 | |||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes |
5.125% | 04/15/22 | 755 | 837,315 | ||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
6.500% | 05/01/42 | 365 | 425,923 | ||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
7.000% | 03/15/34 | 850 | 1,030,450 | ||||||||||
| Lincoln National Corp., Jr. Sub. Notes(a) |
6.050% | (b) | 04/20/67 | 260 | 235,300 | |||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
6.300% | 10/09/37 | 1,272 | 1,498,920 | ||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
7.000% | 06/15/40 | 705 | 884,255 | ||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
8.750% | 07/01/19 | 605 | 741,758 | ||||||||||
| Markel Corp., Sr. Unsec’d. Notes |
5.000% | 03/30/43 | 200 | 196,642 | ||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
5.700% | 06/15/35 | 835 | 971,597 | ||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
6.375% | 06/15/34 | 400 | 493,546 | ||||||||||
| New York Life Global Funding, Sec’d. Notes, 144A |
1.950% | 02/11/20 | 3,030 | 2,985,050 | ||||||||||
| New York Life Insurance Co., Sub. Notes, 144A |
6.750% | 11/15/39 | 660 | 866,143 | ||||||||||
| Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a) |
5.100% | (b) | 10/16/44 | 1,925 | 2,014,031 | |||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A |
6.063% | 03/30/40 | 370 | 442,440 | ||||||||||
| Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A |
6.375% | 04/30/20 | 680 | 773,996 | ||||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
9.250% | 06/15/39 | 910 | 1,358,954 | ||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
4.625% | 09/15/42 | 130 | 125,154 | ||||||||||
| Progressive Corp. (The), Jr. Sub. Notes |
6.700% | (b) | 06/15/37 | 735 | 766,238 | |||||||||
| Progressive Corp. (The), Sr. Unsec’d. Notes |
3.700% | 01/26/45 | 710 | 626,803 | ||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
6.850% | 12/16/39 | 1,450 | 1,815,622 | ||||||||||
| Unum Group, Sr. Unsec’d. Notes |
5.625% | 09/15/20 | 350 | 393,840 | ||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
6.150% | 08/15/19 | 460 | 518,687 | ||||||||||
| 31,249,316 | ||||||||||||||
| Lodging — 0.2% |
||||||||||||||
| Choice Hotels International, Inc., Gtd. Notes |
5.750% | 07/01/22 | 1,000 | 1,083,750 | ||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.000% | 03/01/19 | 580 | 594,718 | ||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.250% | 09/15/22 | 980 | 966,259 | ||||||||||
| Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes |
6.750% | 05/15/18 | 2,800 | 3,132,699 | ||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
2.500% | 03/01/18 | 490 | 491,261 | ||||||||||
| 6,268,687 | ||||||||||||||
| Media & Entertainment — 0.2% |
||||||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
6.150% | 03/01/37 | 515 | 595,492 | ||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
6.150% | 02/15/41 | 1,175 | 1,364,475 | ||||||||||
| 21st Century Fox America, Inc., Gtd. Notes |
6.900% | 08/15/39 | 90 | 112,567 | ||||||||||
| CBS Corp., Gtd. Notes |
4.850% | 07/01/42 | 155 | 142,787 | ||||||||||
| Historic TW, Inc., Gtd. Notes |
9.150% | 02/01/23 | 505 | 667,118 | ||||||||||
| Myriad International Holdings BV (South Africa), Gtd. Notes, RegS |
6.375% | 07/28/17 | 1,300 | 1,374,750 | ||||||||||
| Time Warner, Inc., Gtd. Notes |
6.200% | 03/15/40 | 210 | 238,569 | ||||||||||
| Time Warner, Inc., Gtd. Notes |
6.250% | 03/29/41 | 1,465 | 1,676,383 | ||||||||||
| Time Warner, Inc., Gtd. Notes |
7.625% | 04/15/31 | 90 | 117,030 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.500% | 02/27/42 | 50 | 41,805 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.875% | 06/15/43 | 200 | 179,027 | ||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
5.850% | 09/01/43 | 425 | 423,020 | ||||||||||
| 6,933,023 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Metals — 0.1% |
||||||||||||||
| BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes |
5.000% | 09/30/43 | 920 | $ | 954,991 | |||||||||
| Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A |
2.050% | 10/23/15 | 1,110 | 1,112,843 | ||||||||||
| Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A |
2.700% | 10/25/17 | 1,220 | 1,232,650 | ||||||||||
| Newmont Mining Corp., Gtd. Notes |
6.250% | 10/01/39 | 35 | 34,297 | ||||||||||
| Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes |
5.875% | 04/23/45 | 530 | 504,136 | ||||||||||
| Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes |
7.500% | 07/27/35 | 425 | 475,975 | ||||||||||
| 4,314,892 | ||||||||||||||
| Non-Captive Finance — 0.2% |
||||||||||||||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A |
3.750% | 05/15/19 | 775 | 766,281 | ||||||||||
| General Electric Capital Corp., Gtd. Notes, MTN |
5.875% | 01/14/38 | 1,040 | 1,243,871 | ||||||||||
| General Electric Capital Corp., Gtd. Notes, MTN |
6.000% | 08/07/19 | 920 | 1,051,642 | ||||||||||
| General Electric Capital Corp., Gtd. Notes, MTN |
6.875% | 01/10/39 | 2,270 | 3,047,870 | ||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/16 | 375 | 384,375 | ||||||||||
| Navient LLC, Sr. Unsec’d. Notes, MTN |
8.450% | 06/15/18 | 240 | 266,712 | ||||||||||
| 6,760,751 | ||||||||||||||
| Packaging |
||||||||||||||
| Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes |
4.500% | 01/15/23 | 1,100 | 1,038,818 | ||||||||||
| Paper — 0.1% |
||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(c)(e) |
5.400% | 11/01/20 | 290 | 323,721 | ||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
6.000% | 11/15/41 | 1,595 | 1,719,613 | ||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.950% | 06/15/18 | 510 | 595,478 | ||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.900% | 03/01/22 | 800 | 861,424 | ||||||||||
| 3,500,236 | ||||||||||||||
| Pipelines & Other — 0.2% |
||||||||||||||
| DCP Midstream LLC, Sr. Unsec’d. Notes, 144A(a) |
4.750% | 09/30/21 | 500 | 494,052 | ||||||||||
| DCP Midstream LLC, Sr. Unsec’d. Notes, 144A |
5.350% | 03/15/20 | 1,575 | 1,619,076 | ||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
4.650% | 06/01/21 | 675 | 692,782 | ||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) |
4.900% | 03/15/35 | 250 | 225,577 | ||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) |
5.150% | 03/15/45 | 620 | 547,804 | ||||||||||
| EnLink Midstream Partners LP, Sr. Unsec’d. Notes |
4.150% | 06/01/25 | 820 | 798,393 | ||||||||||
| Enterprise Products Operating LLC, Gtd. Notes |
3.750% | 02/15/25 | 1,345 | 1,318,197 | ||||||||||
| Kinder Morgan Energy Partners LP, Gtd. Notes |
5.950% | 02/15/18 | 510 | 557,313 | ||||||||||
| MPLX LP, Sr. Unsec’d. Notes |
4.000% | 02/15/25 | 1,430 | 1,395,210 | ||||||||||
| NiSource Finance Corp., Gtd. Notes |
5.450% | 09/15/20 | 350 | 394,143 | ||||||||||
| ONEOK Partners LP, Gtd. Notes |
6.650% | 10/01/36 | 145 | 151,690 | ||||||||||
| 8,194,237 | ||||||||||||||
| Railroads |
||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
6.700% | 08/01/28 | 670 | 847,882 | ||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
6.150% | 05/01/37 | 715 | 850,731 | ||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
5.590% | 05/17/25 | 100 | 115,126 | ||||||||||
| 1,813,739 | ||||||||||||||
| Real Estate Investment Trusts (REITs) — 0.1% |
||||||||||||||
| Mack-Cali Realty LP, Sr. Unsec’d. Notes |
7.750% | 08/15/19 | 765 | 880,570 | ||||||||||
| ProLogis LP, Gtd. Notes |
6.875% | 03/15/20 | 72 | 83,172 | ||||||||||
| Select Income REIT, Sr. Unsec’d. Notes |
2.850% | 02/01/18 | 715 | 724,652 | ||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
2.800% | 01/30/17 | 295 | 301,945 | ||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
3.375% | 03/15/22 | 230 | 233,451 | ||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
6.125% | 05/30/18 | 3,080 | 3,460,654 | ||||||||||
| 5,684,444 | ||||||||||||||
| Retailers — 0.1% |
||||||||||||||
| CVS Health Corp., Sr. Unsec’d. Notes(a) |
5.300% | 12/05/43 | 225 | 245,179 | ||||||||||
| Home Depot, Inc. (The), Sr. Unsec’d. Notes(a) |
4.400% | 03/15/45 | 755 | 753,912 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Retailers (continued) |
||||||||||||||
| L Brands, Inc., Gtd. Notes |
5.625% | 02/15/22 | 1,450 | $ | 1,526,125 | |||||||||
| Lowe’s Cos., Inc., Sr. Unsec’d. Notes |
6.500% | 03/15/29 | 385 | 484,222 | ||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
3.875% | 01/15/22 | 360 | 373,280 | ||||||||||
| Target Corp., Sr. Unsec’d. Notes |
3.500% | 07/01/24 | 345 | 352,174 | ||||||||||
| 3,734,892 | ||||||||||||||
| Technology — 0.2% |
||||||||||||||
| Apple, Inc., Sr. Unsec’d. Notes(a) |
3.450% | 02/09/45 | 890 | 754,296 | ||||||||||
| Microsoft Corp., Sr. Unsec’d. Notes |
2.375% | 02/12/22 | 3,085 | 3,029,772 | ||||||||||
| Microsoft Corp., Sr. Unsec’d. Notes(a) |
2.700% | 02/12/25 | 1,380 | 1,329,823 | ||||||||||
| Oracle Corp., Sr. Unsec’d. Notes |
4.300% | 07/08/34 | 920 | 907,252 | ||||||||||
| Seagate HDD Cayman, Gtd. Notes |
3.750% | 11/15/18 | 605 | 630,733 | ||||||||||
| 6,651,876 | ||||||||||||||
| Telecommunications — 0.6% |
||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
6.125% | 03/30/40 | 480 | 555,806 | ||||||||||
| AT&T Corp., Gtd. Notes |
8.000% | 11/15/31 | 7 | 9,498 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
3.400% | 05/15/25 | 3,460 | 3,299,830 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.500% | 05/15/35 | 430 | 395,293 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.750% | 05/15/46 | 875 | 796,227 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
4.800% | 06/15/44 | 1,000 | 931,499 | ||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
5.350% | 09/01/40 | 815 | 802,381 | ||||||||||
| British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes |
9.625% | 12/15/30 | 400 | 593,669 | ||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.082% | 06/01/16 | 325 | 337,977 | ||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.995% | 06/01/36 | 480 | 532,176 | ||||||||||
| Sprint Communications, Inc., Sr. Unsec’d. Notes |
6.000% | 12/01/16 | 1,075 | 1,104,563 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes(a) |
3.500% | 11/01/24 | 1,270 | 1,235,277 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
4.862% | 08/21/46 | 1,256 | 1,175,510 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
5.012% | 08/21/54 | 3,127 | 2,869,295 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.350% | 04/01/19 | 3,165 | 3,616,782 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A |
4.522% | 09/15/48 | 1,355 | 1,190,391 | ||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A |
4.672% | 03/15/55 | 2,056 | 1,788,625 | ||||||||||
| 21,234,799 | ||||||||||||||
| Tobacco — 0.1% |
||||||||||||||
| Altria Group, Inc., Gtd. Notes(a) |
4.000% | 01/31/24 | 1,500 | 1,523,216 | ||||||||||
| Altria Group, Inc., Gtd. Notes |
9.950% | 11/10/38 | 46 | 74,071 | ||||||||||
| Altria Group, Inc., Gtd. Notes |
10.200% | 02/06/39 | 254 | 418,269 | ||||||||||
| Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A |
2.050% | 02/11/18 | 2,050 | 2,040,584 | ||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
3.500% | 08/04/16 | 465 | 475,433 | ||||||||||
| RJ Reynolds Tobacco Co., Gtd. Notes |
8.125% | 06/23/19 | 325 | 385,020 | ||||||||||
| 4,916,593 | ||||||||||||||
| TOTAL CORPORATE BONDS |
|
355,351,673 | ||||||||||||
| FOREIGN AGENCIES — 0.6% | ||||||||||||||
| CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
3.150% | 07/24/24 | 800 | 805,553 | ||||||||||
| Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A |
4.875% | 01/15/24 | 645 | 659,513 | ||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
5.125% | 06/29/20 | 400 | 448,335 | ||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
9.250% | 04/23/19 | 930 | 1,032,300 | ||||||||||
| KFW (Germany), Gov’t. Gtd. Notes, GMTN |
2.750% | 10/01/20 | 3,525 | 3,678,754 | ||||||||||
| Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A |
1.125% | 05/23/18 | 3,158 | 3,148,412 | ||||||||||
| Pemex Project Funding Master Trust (Mexico), Gtd. Notes |
6.625% | 06/15/35 | 1,624 | 1,733,620 | ||||||||||
| Pemex Project Funding Master Trust (Mexico), Sr. Unsec’d. Notes |
8.625% | 12/01/23 | 350 | 430,150 | ||||||||||
| Petrobras Global Finance BV (Brazil), Gtd. Notes |
2.000% | 05/20/16 | 1,665 | 1,645,303 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes(a) |
3.500% | 01/30/23 | 970 | 920,239 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
4.875% | 01/18/24 | 510 | 522,750 | ||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
5.500% | 01/21/21 | 2,730 | 2,960,685 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| FOREIGN AGENCIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
6.299% | 05/15/17 | 1,030 | $ | 1,040,300 | |||||||||
| Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A |
1.750% | 04/10/17 | 1,620 | 1,620,923 | ||||||||||
| Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A |
2.500% | 04/28/20 | 1,250 | 1,231,175 | ||||||||||
| State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A |
2.750% | 05/07/19 | 665 | 671,716 | ||||||||||
| TOTAL FOREIGN AGENCIES |
|
22,549,728 | ||||||||||||
| MUNICIPAL BONDS — 0.4% | ||||||||||||||
| California — 0.1% |
||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
6.263% | 04/01/49 | 1,325 | 1,714,312 | ||||||||||
| State of California, GO, BABs |
7.300% | 10/01/39 | 1,270 | 1,764,093 | ||||||||||
| State of California, GO, BABs |
7.500% | 04/01/34 | 475 | 657,889 | ||||||||||
| State of California, GO, BABs |
7.550% | 04/01/39 | 245 | 354,253 | ||||||||||
| State of California, GO, BABs |
7.625% | 03/01/40 | 215 | 310,327 | ||||||||||
| 4,800,874 | ||||||||||||||
| Colorado |
||||||||||||||
| Regional Transportation District, Revenue Bonds, Series 2010-B, BABs |
5.844% | 11/01/50 | 680 | 847,334 | ||||||||||
| Illinois — 0.1% |
||||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
6.395% | 01/01/40 | 1,030 | 1,260,370 | ||||||||||
| New Jersey — 0.1% |
||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs |
7.414% | 01/01/40 | 1,070 | 1,485,920 | ||||||||||
| New York — 0.1% |
||||||||||||||
| New York City Transitional Finance Authority, Revenue Bonds, BABs |
5.767% | 08/01/36 | 1,130 | 1,355,830 | ||||||||||
| Ohio |
||||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
4.910% | 06/01/40 | 455 | 502,625 | ||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
4.879% | 12/01/34 | 300 | 334,308 | ||||||||||
| 836,933 | ||||||||||||||
| Oregon |
||||||||||||||
| Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs |
5.834% | 11/15/34 | 445 | 543,354 | ||||||||||
| Pennsylvania |
||||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs |
5.511% | 12/01/45 | 550 | 621,874 | ||||||||||
| Tennessee |
||||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
6.731% | 07/01/43 | 1,000 | 1,237,520 | ||||||||||
| Texas |
||||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Series B, BABs |
5.028% | 04/01/26 | 335 | 381,846 | ||||||||||
| TOTAL MUNICIPAL BONDS |
|
13,371,855 | ||||||||||||
| SOVEREIGN BONDS 0.4% | ||||||||||||||
| Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a) |
4.250% | 01/07/25 | 3,275 | 3,162,012 | ||||||||||
| Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes |
4.000% | 02/26/24 | 1,475 | 1,467,625 | ||||||||||
| Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes |
4.000% | 03/25/19 | 580 | 598,734 | ||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A |
5.875% | 03/13/20 | 1,135 | 1,262,688 | ||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) |
5.875% | 01/15/24 | 950 | 1,049,750 | ||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A |
6.875% | 01/17/18 | 1,120 | 1,253,538 | ||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes |
3.625% | 03/15/22 | 700 | 708,400 | ||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN |
4.750% | 03/08/44 | 1,006 | 955,700 | ||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes |
3.750% | 03/16/25 | 600 | 591,000 | ||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes |
4.000% | 09/22/24 | 515 | 517,575 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| SOVEREIGN BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes |
5.200% | 01/30/20 | 620 | $ | 683,240 | |||||||||
| Province of British Columbia (Canada), Sr. Unsec’d. Notes |
2.000% | 10/23/22 | 1,620 | 1,586,785 | ||||||||||
| Romanian Government International Bond (Romania), Sr. Unsec’d. |
6.125% | 01/22/44 | 400 | 448,800 | ||||||||||
| Romanian Government International Bond (Romania), Sr. Unsec’d. |
4.875% | 01/22/24 | 190 | 200,925 | ||||||||||
| Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A |
4.125% | 02/18/19 | 200 | 208,000 | ||||||||||
| Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes |
7.000% | 06/05/20 | 1,710 | 1,951,903 | ||||||||||
| TOTAL SOVEREIGN BONDS |
|
16,646,675 | ||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS 9.1% | ||||||||||||||
| Federal Home Loan Bank |
0.375% | 08/28/15 | 460 | 460,197 | ||||||||||
| Federal Home Loan Bank(g)(h) |
5.500% | 07/15/36 | 1,080 | 1,397,237 | ||||||||||
| Federal Home Loan Mortgage Corp.(h) |
0.750% | 01/12/18 | 685 | 681,589 | ||||||||||
| Federal Home Loan Mortgage Corp. |
2.236% | (b) | 12/01/35 | 292 | 310,573 | |||||||||
| Federal Home Loan Mortgage Corp. |
2.292% | (b) | 06/01/36 | 441 | 469,133 | |||||||||
| Federal Home Loan Mortgage Corp.(a)(g) |
2.375% | 01/13/22 | 6,020 | 6,095,069 | ||||||||||
| Federal Home Loan Mortgage Corp. |
2.500% | 03/01/30 | 978 | 990,718 | ||||||||||
| Federal Home Loan Mortgage Corp.(i) |
3.000% | TBA | 9,000 | 8,946,211 | ||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | 10/01/28-01/01/43 | 4,855 | 4,969,527 | ||||||||||
| Federal Home Loan Mortgage Corp.(i) |
3.500% | TBA | 9,500 | 9,747,705 | ||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | 12/01/25-06/01/42 | 3,439 | 3,618,500 | ||||||||||
| Federal Home Loan Mortgage Corp.(i) |
4.000% | TBA | 4,000 | 4,230,078 | ||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 4,970 | 5,284,171 | ||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 13,359 | 14,448,165 | ||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-06/01/39 | 3,860 | 4,214,655 | ||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 3,970 | 4,445,023 | ||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-08/01/39 | 1,952 | 2,217,159 | ||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 01/01/31-10/01/32 | 275 | 318,917 | ||||||||||
| Federal National Mortgage Assoc.(a)(g) |
1.500% | 06/22/20 | 6,650 | 6,571,138 | ||||||||||
| Federal National Mortgage Assoc. |
1.625% | 01/21/20 | 225 | 224,688 | ||||||||||
| Federal National Mortgage Assoc. |
1.875% | 02/19/19 | 230 | 234,335 | ||||||||||
| Federal National Mortgage Assoc. |
1.959% | (b) | 07/01/33 | 345 | 363,739 | |||||||||
| Federal National Mortgage Assoc. |
2.059% | (b) | 06/01/37 | 138 | 139,095 | |||||||||
| Federal National Mortgage Assoc.(i) |
2.500% | TBA | 10,750 | 10,880,224 | ||||||||||
| Federal National Mortgage Assoc. |
2.500% | 01/01/28-10/01/43 | 3,922 | 3,907,778 | ||||||||||
| Federal National Mortgage Assoc.(i) |
3.000% | TBA | 35,000 | 34,869,433 | ||||||||||
| Federal National Mortgage Assoc. |
3.000% | 02/01/27-12/01/42 | 6,465 | 6,634,917 | ||||||||||
| Federal National Mortgage Assoc.(i) |
3.500% | TBA | 500 | 527,320 | ||||||||||
| Federal National Mortgage Assoc.(i) |
3.500% | TBA | 2,000 | 2,061,094 | ||||||||||
| Federal National Mortgage Assoc.(i) |
3.500% | TBA | 9,500 | 9,764,961 | ||||||||||
| Federal National Mortgage Assoc. |
3.500% | 07/01/27-03/01/43 | 38,393 | 39,771,045 | ||||||||||
| Federal National Mortgage Assoc.(i) |
4.000% | TBA | 20,500 | 21,671,301 | ||||||||||
| Federal National Mortgage Assoc.(i) |
4.000% | TBA | 11,500 | 12,184,025 | ||||||||||
| Federal National Mortgage Assoc. |
4.000% | 09/01/44 | 7,508 | 7,958,642 | ||||||||||
| Federal National Mortgage Assoc. |
4.500% | 11/01/18-05/01/44 | 10,832 | 11,752,679 | ||||||||||
| Federal National Mortgage Assoc.(i) |
5.000% | TBA | 4,000 | 4,418,750 | ||||||||||
| Federal National Mortgage Assoc. |
5.000% | 10/01/18-02/01/36 | 3,965 | 4,383,466 | ||||||||||
| Federal National Mortgage Assoc. |
5.500% | 03/01/16-08/01/37 | 5,741 | 6,451,260 | ||||||||||
| Federal National Mortgage Assoc. |
6.000% | 09/01/17-05/01/38 | 5,089 | 5,795,999 | ||||||||||
| Federal National Mortgage Assoc. |
6.500% | 07/01/17-09/01/37 | 1,883 | 2,183,743 | ||||||||||
| Federal National Mortgage Assoc. |
7.000% | 02/01/32-07/01/32 | 201 | 234,340 | ||||||||||
| Federal National Mortgage Assoc. |
7.500% | 05/01/32 | 41 | 43,476 | ||||||||||
| Financing Corp., Strips Principal, Series A-P |
1.282% | (f) | 10/06/17 | 1,570 | 1,532,201 | |||||||||
| Financing Corp., Strips Principal, Series B-P |
1.282% | (f) | 10/06/17 | 2,140 | 2,095,991 | |||||||||
| Government National Mortgage Assoc.(i) |
3.000% | TBA | 2,500 | 2,523,438 | ||||||||||
| Government National Mortgage Assoc.(i) |
3.000% | TBA | 4,500 | 4,542,539 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Government National Mortgage Assoc.(i) |
3.500% | TBA | 26,000 | $ | 26,984,144 | |||||||||
| Government National Mortgage Assoc. |
3.500% | 05/20/43-04/20/45 | 3,886 | 4,051,792 | ||||||||||
| Government National Mortgage Assoc. |
4.000% | 06/15/40-04/20/45 | 11,057 | 11,738,203 | ||||||||||
| Government National Mortgage Assoc.(i) |
4.500% | TBA | 2,000 | 2,171,562 | ||||||||||
| Government National Mortgage Assoc. |
4.500% | 04/15/40-12/20/44 | 12,483 | 13,548,014 | ||||||||||
| Government National Mortgage Assoc. |
5.500% | 11/15/32-02/15/36 | 2,457 | 2,810,923 | ||||||||||
| Government National Mortgage Assoc. |
6.000% | 02/15/33-10/15/34 | 1,186 | 1,367,608 | ||||||||||
| Government National Mortgage Assoc. |
6.500% | 10/15/23-07/15/35 | 1,396 | 1,614,740 | ||||||||||
| Government National Mortgage Assoc. |
8.000% | 01/15/24-04/15/25 | 39 | 44,176 | ||||||||||
| Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes |
2.503% | 10/30/20 | 1,378 | 1,422,789 | ||||||||||
| Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes |
2.578% | 06/30/22 | 5,450 | 5,477,250 | ||||||||||
| Residual Funding Corp. Principal Strip, Bonds |
1.825% | (f) | 10/15/19 | 1,535 | 1,416,827 | |||||||||
| Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes |
1.847% | 05/29/20 | 5,045 | 5,048,975 | ||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
354,263,247 | ||||||||||||
| U.S. TREASURY OBLIGATIONS — 2.4% | ||||||||||||||
| U.S. Treasury Bonds(a) |
2.500% | 02/15/45 | 1,285 | 1,130,903 | ||||||||||
| U.S. Treasury Bonds |
2.750% | 08/15/42-11/15/42 | 1,690 | 1,572,247 | ||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.125% | 04/15/20 | 8,077 | 8,142,025 | ||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
1.375% | 01/15/20 | 6,083 | 6,503,016 | ||||||||||
| U.S. Treasury Notes |
1.000% | 09/30/19 | 5,245 | 5,147,065 | ||||||||||
| U.S. Treasury Notes |
1.375% | 12/31/18 | 1,830 | 1,840,436 | ||||||||||
| U.S. Treasury Notes(h) |
1.500% | 01/31/19 | 10,845 | 10,944,134 | ||||||||||
| U.S. Treasury Notes |
1.500% | 05/31/19 | 6,950 | 6,988,552 | ||||||||||
| U.S. Treasury Notes |
1.625% | 04/30/19-06/30/20 | 32,513 | 32,668,053 | ||||||||||
| U.S. Treasury Notes |
2.125% | 09/30/21 | 2,755 | 2,782,550 | ||||||||||
| U.S. Treasury Notes |
2.250% | 03/31/21 | 110 | 112,372 | ||||||||||
| U.S. Treasury Notes |
3.125% | 05/15/19-05/15/21 | 1,660 | 1,771,726 | ||||||||||
| U.S. Treasury Strips Coupon |
2.184% | (f) | 02/15/28 | 5,465 | 3,865,886 | |||||||||
| U.S. Treasury Strips Coupon |
2.241% | (f) | 05/15/28 | 2,735 | 1,918,676 | |||||||||
| U.S. Treasury Strips Coupon |
2.280% | (f) | 02/15/29 | 2,735 | 1,861,756 | |||||||||
| U.S. Treasury Strips Coupon |
2.384% | (f) | 05/15/29 | 5,640 | 3,801,518 | |||||||||
| U.S. Treasury Strips Principal |
2.351% | (f) | 05/15/43 | 3,320 | 1,334,434 | |||||||||
| U.S. Treasury Strips Principal |
3.563% | (f) | 05/15/44 | 5,485 | 2,147,081 | |||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
94,532,430 | ||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
3,560,240,502 | ||||||||||||
| SHORT-TERM INVESTMENTS — 14.6% | Shares |
|||||||||||||
| AFFILIATED MUTUAL FUNDS — 14.3% |
||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
13,648,612 | 127,478,033 | ||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
424,089,504 | 424,089,504 | ||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
551,567,537 | ||||||||||||
| OPTIONS PURCHASED* | Notional Amount (000)# |
|||||||||||||
| Call Options |
||||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00 |
37,700 | 647,969 | ||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00 |
18,900 | 41,344 | ||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00 |
18,800 | 14,687 | ||||||||||||
| TOTAL OPTIONS PURCHASED |
|
704,000 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| U.S. TREASURY OBLIGATION — 0.3% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| U.S. Treasury Bill |
0.110% | (l) | 09/17/15 | 10,250 | $ | 10,250,000 | ||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
562,521,537 | ||||||||||||
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.6% |
|
4,122,762,039 | ||||||||||||
| OPTIONS WRITTEN* | Notional Amount (000)# |
|||||||||||||
| Call Options |
||||||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00 |
37,800 | (242,157 | ) | |||||||||||
| U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00 |
37,600 | (141,000 | ) | |||||||||||
| TOTAL OPTIONS WRITTEN |
|
(383,157 | ) | |||||||||||
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.6% |
|
4,122,378,882 | ||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.6)% |
|
(256,502,976 | ) | |||||||||||
| NET ASSETS — 100.0% |
|
$ | 3,865,875,906 | |||||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $103,974,613; cash collateral of $106,610,240 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015. |
| (c) | Indicates a security or securities that have been deemed illiquid. |
| (d) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
| (e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $7,364,067. The aggregate value of $7,433,654 is approximately 0.2% of net assets. |
| (f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (i) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $151,250,000 is approximately 3.91% of net assets. |
| (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) | Rate quoted represents yield-to-maturity as of purchase date. |
| (m) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation (Depreciation)(1) |
|||||||||||||||
| Long Positions: | ||||||||||||||||||||
| 97 | 2 Year U.S. Treasury Notes | Sep. 2015 | $ | 21,244,653 | $ | 21,236,938 | $ | (7,715 | ) | |||||||||||
| 666 | 5 Year U.S. Treasury Notes | Sep. 2015 | 79,286,592 | 79,425,703 | 139,111 | |||||||||||||||
| 330 | 10 Year U.S. Treasury Notes | Sep. 2015 | 41,451,438 | 41,636,719 | 185,281 | |||||||||||||||
| 109 | DAX Index | Sep. 2015 | 33,351,489 | 33,422,247 | 70,758 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Futures contracts outstanding at June 30, 2015 (continued):
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation (Depreciation)(1) |
|||||||||||||
| 869 | DJ Euro Stoxx 50 Index | Sep. 2015 | $ | 33,267,755 | $ | 33,288,188 | $ | 20,433 | ||||||||||
| 278 | IBEX 35 Index | Jul. 2015 | 33,233,147 | 33,394,526 | 161,379 | |||||||||||||
| 20 | MSCI EAFE Index Mini | Sep. 2015 | 1,883,147 | 1,834,000 | (49,147 | ) | ||||||||||||
| 257 | U.S. Ultra Bonds | Sep. 2015 | 40,668,214 | 39,594,063 | (1,074,151 | ) | ||||||||||||
| (554,051 | ) | |||||||||||||||||
| Short Position: | ||||||||||||||||||
| 150 | U.S. Long Bonds | Sep. 2015 | 23,001,715 | 22,626,563 | 375,152 | |||||||||||||
| $ | (178,899 | ) | ||||||||||||||||
| (1) | U.S. Treasury Obligation with a market value of $10,250,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency securities and a U.S Treasury Obligation with a combined market value of $2,537,005 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
Interest rate swap agreements outstanding at June 30, 2015:
| Notional Amount (000) |
Termination Date |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| 3,158 | 05/17/18 | 0.989% | 3 Month LIBOR(1) |
$ | 16,715 | $ | — | $ | 16,715 | Credit Suisse First Boston Corp. | ||||||||||||||||
| Notional Amount (000) |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
|
||||||||||||||||||||||
| 26,370 | 12/31/21 | 1.831% | 3 Month LIBOR(1) |
$ | 76,518 | $ | 354,133 | $ | 277,615 | |||||||||||||||
| 22,285 | 12/31/21 | 1.950% | 3 Month LIBOR(1) |
89,948 | 135,173 | 45,225 | ||||||||||||||||||
| 50,090 | 05/31/22 | 2.200% | 3 Month LIBOR(1) |
(70,213 | ) | (55,484 | ) | 14,729 | ||||||||||||||||
| $ | 96,253 | $ | 433,822 | $ | 337,569 | |||||||||||||||||||
| (1) | Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at June 30, 2015:
| Reference Entity/ Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)(3) |
Fair Value(4) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 1,380 | $ | 76,571 | $ | 57,883 | $ | 18,688 | Credit Suisse First Boston Corp. | ||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 3,680 | 204,189 | 158,956 | 45,233 | Deutsche Bank AG | |||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 5,060 | 280,760 | 221,727 | 59,033 | Deutsche Bank AG | |||||||||||||||||||
| $ | 561,520 | $ | 438,566 | $ | 122,954 | |||||||||||||||||||||
| Reference Entity/ Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)(3) |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation |
||||||||||||||||||
| Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
| CDX.NA.IG.24.V1 |
06/20/20 | 1.000% | 51,500 | $ | (969,274 | ) | $ | (734,773 | ) | $ | 234,501 | |||||||||||||
U.S. Government Agency Obligations with a combined market value of $3,994,958 have been segregated with Citigroup Global Markets to cover requirements for open interest rate and credit default exchange-traded swap contracts at June 30, 2015.
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (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 Series will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
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—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3—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, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 2,214,439,295 | $ | 176,487,474 | $ | — | ||||||
| Exchange Traded Fund |
1,311,069 | — | — | |||||||||
| Preferred Stocks |
571,120 | 1,635,146 | — | |||||||||
| Asset-Backed Securities |
||||||||||||
| Collateralized Debt Obligation |
— | 435,911 | — | |||||||||
| Collateralized Loan Obligations |
— | 61,007,816 | — | |||||||||
| Non-Residential Mortgage-Backed Securities |
— | 22,943,259 | 9,776,920 | |||||||||
| Residential Mortgage-Backed Securities |
— | 45,465,398 | — | |||||||||
| Bank Loans |
— | 5,493,531 | — | |||||||||
| Collateralized Mortgage Obligations |
— | 23,842,010 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 140,115,945 | — | |||||||||
| Corporate Bonds |
— | 355,280,978 | 70,695 | |||||||||
| Foreign Agencies |
— | 22,549,728 | — | |||||||||
| Municipal Bonds |
— | 13,371,855 | — | |||||||||
| Sovereign Bonds |
— | 16,646,675 | — | |||||||||
| U.S. Government Agency Obligations |
— | 354,263,247 | — | |||||||||
| U.S. Treasury Obligations |
— | 104,782,430 | — | |||||||||
| Affiliated Mutual Funds |
551,567,537 | — | — | |||||||||
| Options Purchased |
704,000 | — | — | |||||||||
| Options Written |
(383,157 | ) | — | — | ||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(178,899 | ) | — | — | ||||||||
| Over-the-counter interest rate swap |
— | 16,715 | — | |||||||||
| Exchange-traded interest rate swaps |
— | 337,569 | — | |||||||||
| Over-the-counter credit default swaps |
— | 561,520 | — | |||||||||
| Exchange-traded credit default swap |
— | 234,501 | — | |||||||||
| Total |
$ | 2,768,030,965 | $ | 1,345,471,708 | $ | 9,847,615 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (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, 2015 as presented in the Statement of Assets and Liabilities:
| Derivatives not accounted for as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Credit contracts |
Premiums paid for swap agreements | $ | 438,566 | — | $ | — | ||||||
| Credit contracts |
Unrealized appreciation on over-the-counter swap agreements | 122,954 | — | — | ||||||||
| Credit contracts |
Due from/to broker — variation margin swaps | 234,501 | * | — | — | |||||||
| Equity contacts |
Due from/to broker —variation margin futures | 252,570 | * | Due from/to broker —variation margin futures | 49,147 | * | ||||||
| Interest rate contracts |
Due from/to broker —variation margin futures | 699,544 | * | Due from/to broker —variation margin futures | 1,081,866 | * | ||||||
| Interest rate contracts |
Unaffiliated investments | 704,000 | Options written outstanding, at value | 383,157 | ||||||||
| Interest rate contracts |
Unrealized appreciation on over-the-counter swap agreements | 16,715 | — | — | ||||||||
| Interest rate contracts |
Due from/to broker —variation margin swaps | 337,569 | * | — | — | |||||||
| Total |
$ | 2,806,419 | $ | 1,514,170 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not accounted for as hedging |
Rights* |
Options Purchased* |
Options Written |
Futures |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | (514,091 | ) | $ | (514,091 | ) | ||||||||||
| Equity |
(745 | ) | — | — | 5,042,948 | — | 5,042,203 | |||||||||||||||||
| Interest rate contracts |
— | (1,323,064 | ) | 364,167 | (1,543,705 | ) | (19,947 | ) | (2,522,549 | ) | ||||||||||||||
| $ | (745 | ) | $ | (1,323,064 | ) | $ | 364,167 | $ | 3,499,243 | $ | (534,038 | ) | $ | 2,005,563 | ||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||
| Derivatives not accounted for as hedging |
Options Purchased** |
Options Written |
Futures |
Swaps |
Total |
|||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | 356,157 | $ | 356,157 | ||||||||||
| Equity contracts |
— | — | (3,149,471 | ) | — | (3,149,471 | ) | |||||||||||||
| Interest rate contracts |
82,631 | (81,620 | ) | (971,862 | ) | 395,926 | (574,925 | ) | ||||||||||||
| $ | 82,631 | $ | (81,620 | ) | $ | (4,121,333 | ) | $ | 752,083 | $ | (3,368,239 | ) | ||||||||
| ** | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
| Options Purchased(1) |
Options Written(2) |
Futures |
Futures | |||
| $341,388 | $116,867 | $255,975,686 | $13,093,134 |
| Interest Rate Swaps(2) |
Credit Default |
Credit Default | ||
| $100,123 | $56,803 | $10,267 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000). |
| (3) | Value at Trade Date. |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
| Counterparty |
Gross amounts of recognized assets(1) |
Gross amounts available for offset |
Collateral Received(3) |
Net Amount |
||||||||||||
| Credit Suisse First Boston Corp. |
$ | 93,286 | $ | — | $ | (469,000 | ) | $ | — | |||||||
| Deutsche Bank AG |
484,949 | — | (610,836 | ) | — | |||||||||||
| $ | 578,235 | |||||||||||||||
| Counterparty |
Gross amounts of recognized liabilities(2) |
Gross amounts available for offset |
Collateral Pledged(3) |
Net Amount |
||||||||||||
| Credit Suisse First Boston Corp. |
$ | — | $ | — | $ | — | $ | — | ||||||||
| Deutsche Bank AG |
— | — | — | — | ||||||||||||
| $ | — | |||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
| Net investment income |
$ | 34,953,109 | $ | 63,798,028 | ||||
| Net realized gain on investment and foreign currency transactions |
143,969,860 | 396,359,030 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(145,123,507 | ) | (57,434,131 | ) | ||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
33,799,462 | 402,722,927 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
| Series shares sold [203,374 and 562,392 shares, respectively] |
4,887,181 | 12,588,751 | ||||||
| Series shares repurchased [4,845,437 and 8,998,418 shares, respectively] |
(116,622,347 | ) | (202,125,849 | ) | ||||
| NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS |
(111,735,166 | ) | (189,537,098 | ) | ||||
| TOTAL INCREASE (DECREASE) | (77,935,704 | ) | 213,185,829 | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
3,943,811,610 | 3,730,625,781 | ||||||
| End of period |
$ | 3,865,875,906 | $ | 3,943,811,610 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| GLOBAL PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
See the Glossary for abbreviations used in the Portfolio descriptions.
| * | 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 $21,605,587; cash collateral of $22,106,732 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
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—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3—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, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
||||||||||||
| Australia |
$ | — | $ | 10,059,690 | $ | — | ||||||
| Austria |
— | 1,600,902 | — | |||||||||
| Belgium |
239,972 | 1,748,755 | — | |||||||||
| Canada |
14,071,332 | — | — | |||||||||
| China |
4,230,887 | 7,729,431 | — | |||||||||
| Denmark |
— | 5,157,143 | — | |||||||||
| Finland |
— | 4,375,142 | — | |||||||||
| France |
— | 28,646,299 | — | |||||||||
| Germany |
984,699 | 20,510,145 | — | |||||||||
| Hong Kong |
493,788 | 7,869,359 | — | |||||||||
| India |
6,721,624 | — | — | |||||||||
| Indonesia |
— | 1,768,052 | — | |||||||||
| Ireland |
4,823,350 | 970,181 | — | |||||||||
| Israel |
6,444,997 | 2,548,238 | — | |||||||||
| Italy |
— | 6,354,422 | — | |||||||||
| Japan |
512,195 | 70,480,369 | — | |||||||||
| Liechtenstein |
183,619 | — | — | |||||||||
| Netherlands |
9,824,414 | 8,450,216 | — | |||||||||
| New Zealand |
— | 1,274,910 | — | |||||||||
| Norway |
— | 3,802,705 | — | |||||||||
| Singapore |
— | 2,366,461 | — | |||||||||
| South Africa |
— | 7,117,064 | — | |||||||||
| South Korea |
— | 2,945,386 | — | |||||||||
| Spain |
— | 6,138,386 | — | |||||||||
| Sweden |
— | 10,170,431 | — | |||||||||
| Switzerland |
1,930,215 | 20,644,125 | — | |||||||||
| United Kingdom |
947,460 | 56,105,136 | — | |||||||||
| United States |
366,890,966 | — | — | |||||||||
| Rights |
29,653 | — | — | |||||||||
| Affiliated Money Market Mutual Fund |
42,709,639 | — | — | |||||||||
| Total |
$ | 461,038,810 | $ | 288,832,948 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:
| Derivatives not accounted for as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Equity contracts |
Unaffiliated investments | $ | 29,653 | $ | — | |||||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||
| Derivatives not accounted for as hedging instruments, carried at fair value |
Rights* |
|||
| Equity contracts |
$ | (1,834 | ) | |
| * | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| GLOBAL PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2015 |
Year
Ended December 31, 2014 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
| Net investment income |
$ | 6,518,159 | $ | 10,803,379 | ||||
| Net realized gain on investment and foreign currency transactions |
19,397,996 | 38,470,561 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
6,019,196 | (25,504,944 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
31,935,351 | 23,768,996 | ||||||
| SERIES SHARE TRANSACTIONS | ||||||||
| Series shares sold [165,191 and 941,874 shares, respectively] |
4,406,096 | 23,729,047 | ||||||
| Series shares repurchased [868,536 and 2,863,482 shares, respectively] |
(23,152,397 | ) | (72,868,700 | ) | ||||
| NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS |
(18,746,301 | ) | (49,139,653 | ) | ||||
| TOTAL INCREASE (DECREASE) | 13,189,050 | (25,370,657 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
719,173,071 | 744,543,728 | ||||||
| End of period |
$ | 732,362,121 | $ | 719,173,071 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| GOVERNMENT INCOME PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| LONG-TERM INVESTMENTS — 100.0% ASSET-BACKED SECURITIES — 6.1% |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Collateralized Loan Obligations — 5.6% |
||||||||||||||
| Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A |
1.853% | (a) | 10/15/26 | 750 | $ | 750,844 | ||||||||
| Ares CLO Ltd., Series 2014-31A, Class A1, 144A |
1.726% | (a) | 08/28/25 | 1,000 | 998,261 | |||||||||
| Babson CLO Ltd., Series 2013-IA, Class A, 144A |
1.375% | (a) | 04/20/25 | 1,750 | 1,735,948 | |||||||||
| Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A |
1.874% | (a) | 10/17/26 | 750 | 750,850 | |||||||||
| Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A |
1.791% | (a) | 04/18/27 | 500 | 500,074 | |||||||||
| Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A |
1.755% | (a) | 01/15/26 | 600 | 600,028 | |||||||||
| Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A |
1.674% | (a) | 01/17/26 | 250 | 249,268 | |||||||||
| Galaxy CLO Ltd., Series 2014-18A, Class A, 144A |
1.745% | (a) | 10/15/26 | 3,250 | 3,238,509 | |||||||||
| Magnetite VIII Ltd., Series 2014-8A, Class A, 144A |
1.755% | (a) | 04/15/26 | 2,260 | 2,253,722 | |||||||||
| Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A |
1.745% | (a) | 04/15/26 | 250 | 249,215 | |||||||||
| Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A |
1.685% | (a) | 10/20/23 | 500 | 499,026 | |||||||||
| Silver Spring Ltd., Series 2014-1A, Class A, 144A |
1.725% | (a) | 10/15/26 | 1,500 | 1,493,281 | |||||||||
| Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A (Cayman Islands) |
1.786% | (a) | 07/20/27 | 750 | 749,250 | |||||||||
| Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A |
1.885% | (a) | 04/20/26 | 1,500 | 1,501,101 | |||||||||
| Voya CLO Ltd., Series 2014-3A, Class A1, 144A |
1.697% | (a) | 07/25/26 | 3,000 | 2,979,567 | |||||||||
| 18,548,944 | ||||||||||||||
| Collateralized Mortgage Obligations — 0.3% |
||||||||||||||
| Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM |
5.500% | 09/15/17 | 220 | 228,317 | ||||||||||
| Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC |
5.500% | 09/15/17 | 65 | 67,238 | ||||||||||
| Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC |
5.000% | 10/15/17 | 411 | 424,594 | ||||||||||
| Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND |
5.500% | 09/25/17 | 76 | 78,657 | ||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1 |
0.807% | (a) | 10/25/28 | 45 | 42,501 | |||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
2.637% | (a) | 02/25/34 | 197 | 195,522 | |||||||||
| 1,036,829 | ||||||||||||||
| Non-Residential Mortgage-Backed Securities — 0.2% |
||||||||||||||
| Small Business Administration Participation Certificates, Series 1996-20J, Class 1 |
7.200% | 10/01/16 | 164 | 169,219 | ||||||||||
| Small Business Administration Participation Certificates, Series 1997-20A, Class 1 |
7.150% | 01/01/17 | 127 | 130,464 | ||||||||||
| Small Business Administration Participation Certificates, Series 1997-20G, Class 1 |
6.850% | 07/01/17 | 90 | 92,642 | ||||||||||
| Small Business Administration Participation Certificates, Series 1998-20I, Class 1 |
6.000% | 09/01/18 | 259 | 274,208 | ||||||||||
| 666,533 | ||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
20,252,306 | ||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 22.7% | ||||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 |
5.293% | 12/11/49 | 168 | 169,318 | ||||||||||
| COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 |
5.223% | 08/15/48 | 1,637 | 1,702,153 | ||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 1,000 | 978,845 | ||||||||||
| Commercial Mortgage Trust, Series 2005-GG5, Class AM |
5.277% | (a) | 04/10/37 | 1,500 | 1,510,746 | |||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.639% | (a) | 02/15/39 | 200 | 203,071 | |||||||||
| Fannie Mae-Aces, Series 2015-M1, Class AB2 |
2.465% | 09/25/24 | 550 | 528,651 | ||||||||||
| Fannie Mae-Aces, Series 2015-M3, Class AB2 |
2.625% | 10/25/24 | 2,730 | 2,665,004 | ||||||||||
| Fannie Mae-Aces, Series 2015-M10, Class A2 |
3.092% | (a) | 04/25/27 | 1,600 | 1,583,920 | |||||||||
| Federal National Mortgage Assoc., Series 2012-M2, Class A2 |
2.717% | 02/25/22 | 200 | 203,455 | ||||||||||
| Federal National Mortgage Assoc., Series 2012-M13, Class A2 |
2.377% | 05/25/22 | 1,850 | 1,831,914 | ||||||||||
| Federal National Mortgage Assoc., Series 2014-M2, Class A2 |
3.513% | (a) | 12/25/23 | 2,650 | 2,789,507 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 |
5.085% | 03/25/19 | 250 | 279,247 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2 |
4.186% | 08/25/19 | 4,825 | 5,246,165 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2 |
4.317% | 11/25/19 | 1,100 | 1,204,297 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O |
1.798% | (a) | 06/25/20 | 18,609 | $ | 1,166,489 | ||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, I/O |
1.866% | (a) | 03/25/22 | 18,331 | 1,705,015 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.596% | (a) | 05/25/22 | 9,201 | 742,330 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.632% | (a) | 06/25/22 | 9,757 | 813,266 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 |
2.573% | 09/25/22 | 2,000 | 2,004,902 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O |
1.022% | (a) | 10/25/22 | 27,532 | 1,447,485 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2 |
2.510% | 11/25/22 | 3,600 | 3,587,051 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 |
3.320% | 02/25/23 | 3,600 | 3,771,623 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2 |
3.310% | (a) | 05/25/23 | 2,730 | 2,849,667 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2 |
3.060% | 07/25/23 | 3,600 | 3,690,306 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 |
3.531% | 07/25/23 | 5,200 | 5,499,504 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.734% | (a) | 08/25/16 | 3,182 | 38,883 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.906% | (a) | 05/25/19 | 8,278 | 483,294 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.826% | (a) | 07/25/19 | 7,837 | 445,881 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2 |
2.615% | 01/25/23 | 1,800 | 1,793,133 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series-K044, Class A2 |
2.811% | 01/25/25 | 3,200 | 3,172,755 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2 |
3.003% | 01/15/47 | 1,700 | 1,760,056 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3 |
5.961% | (a) | 06/15/49 | 792 | 799,928 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 |
2.694% | 04/15/46 | 1,700 | 1,667,090 | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C23, Class A3 |
3.368% | 09/15/47 | 1,700 | 1,747,336 | ||||||||||
| Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM |
5.865% | (a) | 05/12/39 | 1,375 | 1,412,956 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2006-2, Class AM |
6.066% | (a) | 06/12/46 | 250 | 259,032 | |||||||||
| ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM |
5.204% | 12/12/49 | 1,500 | 1,573,281 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 |
3.451% | 07/15/50 | 1,600 | 1,614,446 | ||||||||||
| Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B |
5.284% | (a) | 09/15/42 | 800 | 799,558 | |||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 1,300 | 1,286,557 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX |
5.179% | (a) | 07/15/42 | 62 | 62,003 | |||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5 |
5.416% | (a) | 01/15/45 | 1,500 | 1,519,684 | |||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM |
5.466% | (a) | 01/15/45 | 1,700 | 1,734,809 | |||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5 |
5.896% | (a) | 05/15/43 | 2,000 | 2,051,434 | |||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3 |
5.765% | (a) | 07/15/45 | 2,294 | 2,357,227 | |||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
74,753,274 | ||||||||||||
| FOREIGN AGENCIES — 0.7% | ||||||||||||||
| CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
3.150% | 07/24/24 | 820 | 825,691 | ||||||||||
| KFW, Gov’t. Gtd., GMTN |
2.750% | 10/01/20 | 1,320 | 1,377,576 | ||||||||||
| TOTAL FOREIGN AGENCIES |
|
2,203,267 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| MUNICIPAL BOND — 0.2% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Utah |
||||||||||||||
| State of Utah, BABs, Series D |
4.554% | 07/01/24 | 630 | $ | 695,570 | |||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 50.8% | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
0.750% | 07/14/17-01/12/18 | 3,180 | 3,173,088 | ||||||||||
| Federal Home Loan Mortgage Corp. |
2.479% | (a) | 05/01/34 | 390 | 414,107 | |||||||||
| Federal Home Loan Mortgage Corp. |
2.500% | 03/01/30 | 978 | 990,718 | ||||||||||
| Federal Home Loan Mortgage Corp.(c) |
3.000% | TBA | 1,000 | 994,023 | ||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | 06/01/29-06/01/45 | 1,885 | 1,913,823 | ||||||||||
| Federal Home Loan Mortgage Corp.(c) |
3.500% | TBA | 4,000 | 4,104,297 | ||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | 08/01/26-01/01/27 | 886 | 936,992 | ||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 3,248 | 3,447,528 | ||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 09/01/39 | 3,167 | 3,428,732 | ||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 06/01/33-05/01/34 | 1,444 | 1,605,480 | ||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 05/01/37-05/01/38 | 911 | 1,019,388 | ||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 09/01/34-08/01/39 | 640 | 725,807 | ||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 09/01/32 | 94 | 107,914 | ||||||||||
| Federal National Mortgage Assoc. |
0.875% | 05/21/18 | 580 | 576,529 | ||||||||||
| Federal National Mortgage Assoc.(e) |
1.500% | 06/22/20 | 1,355 | 1,338,931 | ||||||||||
| Federal National Mortgage Assoc. |
1.625% | 01/21/20 | 2,415 | 2,411,653 | ||||||||||
| Federal National Mortgage Assoc. |
1.875% | 02/19/19 | 90 | 91,696 | ||||||||||
| Federal National Mortgage Assoc. |
2.104% | (a) | 04/01/34 | 160 | 170,524 | |||||||||
| Federal National Mortgage Assoc. |
2.207% | (a) | 04/01/34 | 299 | 317,581 | |||||||||
| Federal National Mortgage Assoc. |
2.261% | (a) | 07/01/33 | 1,011 | 1,069,623 | |||||||||
| Federal National Mortgage Assoc. |
2.350% | (a) | 06/01/34 | 281 | 299,314 | |||||||||
| Federal National Mortgage Assoc. |
2.392% | (a) | 08/01/33 | 688 | 729,712 | |||||||||
| Federal National Mortgage Assoc.(c) |
2.500% | TBA | 250 | 253,028 | ||||||||||
| Federal National Mortgage Assoc.(b)(e) |
2.625% | 09/06/24 | 850 | 850,328 | ||||||||||
| Federal National Mortgage Assoc.(c) |
3.000% | TBA | 14,500 | 14,445,908 | ||||||||||
| Federal National Mortgage Assoc. |
3.000% | 08/01/28 | 1,951 | 2,025,813 | ||||||||||
| Federal National Mortgage Assoc.(c) |
3.500% | TBA | 500 | 527,320 | ||||||||||
| Federal National Mortgage Assoc.(c) |
3.500% | TBA | 500 | 515,273 | ||||||||||
| Federal National Mortgage Assoc.(c) |
3.500% | TBA | 35,000 | 35,976,173 | ||||||||||
| Federal National Mortgage Assoc. |
3.500% | 03/01/27-06/01/39 | 1,477 | 1,548,653 | ||||||||||
| Federal National Mortgage Assoc.(c) |
4.000% | TBA | 11,000 | 11,654,284 | ||||||||||
| Federal National Mortgage Assoc.(c) |
4.000% | TBA | 6,500 | 6,871,388 | ||||||||||
| Federal National Mortgage Assoc. |
4.000% | 09/01/40-09/01/44 | 5,135 | 5,459,742 | ||||||||||
| Federal National Mortgage Assoc.(c) |
4.500% | TBA | 500 | 540,547 | ||||||||||
| Federal National Mortgage Assoc. |
4.500% | 05/01/40 | 3,708 | 4,048,915 | ||||||||||
| Federal National Mortgage Assoc.(c) |
5.000% | TBA | 3,500 | 3,866,406 | ||||||||||
| Federal National Mortgage Assoc. |
5.000% | 07/01/18-05/01/36 | 2,425 | 2,647,089 | ||||||||||
| Federal National Mortgage Assoc. |
5.500% | 01/01/17-11/01/35 | 6,189 | 7,000,646 | ||||||||||
| Federal National Mortgage Assoc. |
6.000% | 05/01/21-05/01/38 | 1,193 | 1,352,010 | ||||||||||
| Federal National Mortgage Assoc. |
6.500% | 07/01/32-10/01/37 | 1,429 | 1,675,724 | ||||||||||
| Federal National Mortgage Assoc. |
7.000% | 12/01/31-01/01/36 | 203 | 232,058 | ||||||||||
| Federal National Mortgage Assoc. |
8.000% | 03/01/22-02/01/26 | 9 | 9,498 | ||||||||||
| Federal National Mortgage Assoc. |
9.000% | 02/01/25-04/01/25 | 30 | 34,500 | ||||||||||
| Financing Corp. Strips Principal, Series 4-P |
1.390% | (d) | 10/06/17 | 2,700 | 2,644,472 | |||||||||
| Financing Corp. Strips Principal, Series D-P |
2.224% | (d) | 09/26/19 | 1,370 | 1,269,961 | |||||||||
| Government National Mortgage Assoc.(c) |
3.000% | TBA | 3,000 | 3,028,125 | ||||||||||
| Government National Mortgage Assoc.(c) |
3.500% | TBA | 3,000 | 3,113,555 | ||||||||||
| Government National Mortgage Assoc. |
3.500% | 02/20/45-04/20/45 | 3,916 | 4,084,717 | ||||||||||
| Government National Mortgage Assoc. |
4.000% | 06/15/40-01/20/45 | 3,426 | 3,633,951 | ||||||||||
| Government National Mortgage Assoc.(c) |
4.500% | TBA | 2,000 | 2,171,562 | ||||||||||
| Government National Mortgage Assoc. |
4.500% | 02/20/41-03/20/41 | 2,512 | 2,740,633 | ||||||||||
| Government National Mortgage Assoc. |
5.000% | 07/15/33-04/15/34 | 794 | 885,392 | ||||||||||
| Government National Mortgage Assoc. |
5.500% | 03/15/34-03/15/36 | 668 | 768,563 | ||||||||||
| Government National Mortgage Assoc. |
6.500% | 07/15/32-08/15/32 | 221 | 258,397 | ||||||||||
| Government National Mortgage Assoc. |
7.000% | 03/15/23-08/15/28 | 490 | 544,335 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||
| Government National Mortgage Assoc. |
7.500% | 12/15/25-02/15/26 | 78 | $ | 88,754 | |||||||||
| Government National Mortgage Assoc. |
8.500% | 09/15/24-04/15/25 | 165 | 188,464 | ||||||||||
| Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes |
2.503% | 10/30/20 | 937 | 967,455 | ||||||||||
| Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes |
2.578% | 06/30/22 | 1,520 | 1,527,600 | ||||||||||
| Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes |
3.000% | 06/30/25 | 1,040 | 1,042,600 | ||||||||||
| Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO |
1.825% | (d) | 10/15/19 | 2,745 | 2,533,673 | |||||||||
| Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO |
2.066% | (d) | 07/15/20 | 1,545 | 1,398,312 | |||||||||
| Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes |
1.847% | 05/29/20 | 3,480 | 3,482,742 | ||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
167,776,026 | ||||||||||||
| U.S. TREASURY OBLIGATIONS — 19.5% | ||||||||||||||
| U.S. Treasury Bonds |
2.750% | 08/15/42-11/15/42 | 5,265 | 4,898,114 | ||||||||||
| U.S. Treasury Bonds |
2.875% | 05/15/43 | 1,185 | 1,129,268 | ||||||||||
| U.S. Treasury Bonds |
4.625% | 02/15/40 | 830 | 1,058,444 | ||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.125% | 04/15/20 | 4,536 | 4,572,569 | ||||||||||
| U.S. Treasury Notes |
0.750% | 06/30/17 | 340 | 340,664 | ||||||||||
| U.S. Treasury Notes(f) |
1.250% | 11/30/18 | 3,365 | 3,373,412 | ||||||||||
| U.S. Treasury Notes(e) |
1.375% | 12/31/18-03/31/20 | 7,295 | 7,296,337 | ||||||||||
| U.S. Treasury Notes(e) |
1.500% | 12/31/18 | 11,905 | 12,022,193 | ||||||||||
| U.S. Treasury Notes |
1.500% | 05/31/19-10/31/19 | 5,560 | 5,565,841 | ||||||||||
| U.S. Treasury Notes(e) |
1.625% | 04/30/19 | 8,680 | 8,776,973 | ||||||||||
| U.S. Treasury Notes |
2.125% | 09/30/21 | 3,940 | 3,979,400 | ||||||||||
| U.S. Treasury Notes |
3.125% | 05/15/19 | 425 | 453,521 | ||||||||||
| U.S. Treasury Strips Coupon |
2.037% | (d) | 02/15/22 | 2,280 | 1,982,348 | |||||||||
| U.S. Treasury Strips Coupon |
2.184% | (d) | 02/15/28 | 550 | 389,065 | |||||||||
| U.S. Treasury Strips Coupon |
2.241% | (d) | 05/15/28 | 275 | 192,920 | |||||||||
| U.S. Treasury Strips Coupon |
2.280% | (d) | 02/15/29 | 275 | 187,197 | |||||||||
| U.S. Treasury Strips Coupon |
2.384% | (d) | 05/15/29 | 565 | 380,826 | |||||||||
| U.S. Treasury Strips Coupon(f) |
2.404% | (d) | 08/15/21 | 3,370 | 2,974,103 | |||||||||
| U.S. Treasury Strips Coupon |
4.138% | (d) | 02/15/42 | 5,000 | 2,079,740 | |||||||||
| U.S. Treasury Strips Principal |
2.351% | (d) | 05/15/43 | 1,500 | 602,907 | |||||||||
| U.S. Treasury Strips Principal |
3.371% | (d) | 05/15/44 | 4,510 | 1,765,421 | |||||||||
| U.S. Treasury Strips Principal |
3.879% | (d) | 02/15/44 | 715 | 282,147 | |||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
64,303,410 | ||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
329,983,853 | ||||||||||||
| SHORT-TERM INVESTMENTS — 26.9% | ||||||||||||||
| Shares |
||||||||||||||
| AFFILIATED MUTUAL FUNDS — 26.8% |
| |||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
5,648,746 | 52,759,283 | ||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
35,782,813 | 35,782,813 | ||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
88,542,096 | ||||||||||||
| Notional Amount (000)# |
||||||||||||||
| OPTIONS PURCHASED* — 0.1% | ||||||||||||||
| Call Options |
||||||||||||||
| U.S. Treasury Long Bond Futures |
21,200 | 364,375 | ||||||||||||
| U.S. Treasury Long Bond Futures |
10,600 | 23,188 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| OPTIONS PURCHASED* (continued) |
Notional Amount (000)# |
Value (Note 2) |
||||||||||
| Call Options (continued) |
||||||||||||
| U.S. Treasury Long Bond Futures |
10,600 | $ | 8,281 | |||||||||
| TOTAL OPTIONS PURCHASED |
|
395,844 | ||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
88,937,940 | ||||||||||
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 126.9% |
|
418,921,793 | ||||||||||
| OPTIONS WRITTEN* | ||||||||||||
| Call Options |
||||||||||||
| U.S. Treasury Long Bond Futures |
21,200 | (135,812 | ) | |||||||||
| U.S. Treasury Long Bond Futures |
21,200 | (79,500 | ) | |||||||||
| TOTAL OPTIONS WRITTEN |
|
(215,312 | ) | |||||||||
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 126.9% |
|
418,706,481 | ||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (26.9)% |
|
(88,703,774 | ) | |||||||||
| NET ASSETS 100.0% |
|
$ | 330,002,707 | |||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
| * | Non-income producing security. |
| # | Principal or notional 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, 2015. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $327,898; cash collateral of $335,198 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
| (c) | All or partial amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $85,250,000 is approximately 26% of net assets. |
| (d) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (e) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (f) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (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. |
| (j) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation (Depreciation)(1) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 39 | 2 Year U.S. Treasury Notes | Sep. 2015 | $ | 8,541,665 | $ | 8,538,563 | $ | (3,102 | ) | |||||||||
| 90 | 5 Year U.S. Treasury Notes | Sep. 2015 | 10,669,507 | 10,733,203 | 63,696 | |||||||||||||
| 346 | 10 Year U.S. Treasury Notes | Sep. 2015 | 43,482,602 | 43,655,468 | 172,866 | |||||||||||||
| 233,460 | ||||||||||||||||||
| Short Positions: | ||||||||||||||||||
| 7 | U.S. Long Bonds | Sep. 2015 | 1,053,258 | 1,055,906 | (2,648 | ) | ||||||||||||
| 5 | U.S. Ultra Bonds | Sep. 2015 | 769,836 | 770,312 | (476 | ) | ||||||||||||
| (3,124 | ) | |||||||||||||||||
| $ | 230,336 | |||||||||||||||||
| (1) | U.S. Treasury securities with a combined market value of $1,167,445 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Interest rate swap agreements outstanding at June 30, 2015:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| 1,360 | 11/30/16 | 0.945% | 3 Month LIBOR(1) |
$ | (6,149 | ) | $ | — | $ | (6,149 | ) | Citigroup Global Markets | ||||||||||||||
| 4,700 | 02/15/19 | 1.656% | 3 Month LIBOR(1) |
(65,102 | ) | — | (65,102 | ) | Citigroup Global Markets | |||||||||||||||||
| 4,700 | 02/15/19 | 1.794% | 3 Month LIBOR(2) |
90,555 | — | 90,555 | JPMorgan Chase | |||||||||||||||||||
| $ | 19,304 | $ | — | $ | 19,304 | |||||||||||||||||||||
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
|
||||||||||||||||||||||
| 100 | 02/21/16 | 0.429% | 3 Month LIBOR(1) |
$ | 150 | $ | (24 | ) | $ | (174 | ) | |||||||||||||
| 7,855 | 09/17/21 | 2.358% | 3 Month LIBOR(2) |
197 | 162,242 | 162,045 | ||||||||||||||||||
| 10,555 | 12/31/21 | 1.831% | 3 Month LIBOR(1) |
17,669 | 141,747 | 124,078 | ||||||||||||||||||
| 16,300 | 12/31/21 | 1.950% | 3 Month LIBOR(1) |
47,095 | 98,870 | 51,775 | ||||||||||||||||||
| 5,100 | 01/13/22 | 2.351% | 3 Month LIBOR(1) |
181 | (91,301 | ) | (91,482 | ) | ||||||||||||||||
| 4,850 | 01/13/22 | 2.480% | 3 Month LIBOR(1) |
179 | (125,854 | ) | (126,033 | ) | ||||||||||||||||
| 1,710 | 01/22/22 | 2.467% | 3 Month LIBOR(1) |
160 | (42,677 | ) | (42,837 | ) | ||||||||||||||||
| 27,675 | 05/31/22 | 2.200% | 3 Month LIBOR(1) |
(38,559 | ) | (30,655 | ) | 7,904 | ||||||||||||||||
| 8,720 | 12/20/23 | 2.932% | 3 Month LIBOR(1) |
220 | (424,777 | ) | (424,997 | ) | ||||||||||||||||
| 11,725 | 08/18/24 | 2.750% | 3 Month LIBOR(2) |
168 | 364,343 | 364,175 | ||||||||||||||||||
| 5,290 | 09/17/24 | 2.732% | 3 Month LIBOR(1) |
110 | (153,980 | ) | (154,090 | ) | ||||||||||||||||
| 230 | 09/17/29 | 3.070% | 3 Month LIBOR(2) |
11 | 10,535 | 10,524 | ||||||||||||||||||
| $ 27,581 | $ | (91,531 | ) | $ | (119,112 | ) | ||||||||||||||||||
U.S. Treasury obligations with a combined market value of $1,090,217 and U.S. Government Agency obligations with a combined market value of $1,023,418 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate swap contracts at June 30, 2015.
| (1) | The Portfolio pays the fixed rate and receives the floating rate. |
| (2) | The Portfolio pays the floating rate and receives the fixed 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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— | 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, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
||||||||||||
| Collateralized Loan Obligations |
$ | — | $ | 17,799,694 | $ | 749,250 | ||||||
| Collateralized Mortgage Obligations |
— | 1,036,829 | — | |||||||||
| Non-Residential Mortgage-Backed Securities |
— | 666,533 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 74,753,274 | — | |||||||||
| Foreign Agencies |
— | 2,203,267 | — | |||||||||
| Municipal Bond |
— | 695,570 | — | |||||||||
| U.S. Government Agency Obligations |
— | 167,776,026 | — | |||||||||
| U.S. Treasury Obligations |
— | 64,303,410 | — | |||||||||
| Affiliated Mutual Funds |
88,542,096 | — | — | |||||||||
| Options Purchased |
395,844 | — | — | |||||||||
| Options Written |
(215,312 | ) | — | — | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
$ | 230,336 | $ | — | $ | — | ||||||
| Over-the-counter interest rate swaps |
— | 19,304 | — | |||||||||
| Exchange-traded interest rate swaps |
— | (119,112 | ) | — | ||||||||
| Total |
$ | 88,952,964 | $ | 329,134,795 | $ | 749,250 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 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, 2015 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 futures |
$ | 236,562 | * | Due from broker — variation margin futures |
$ | 6,226 | * | ||||
| Interest rate contracts |
Due from broker — variation margin swaps |
720,501 | * | Due from broker — variation margin swaps |
839,613 | * | ||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements |
90,555 | Unrealized depreciation on swap agreements |
71,251 | ||||||||
| Interest rate contracts |
Unaffiliated investments | 395,844 | Options written outstanding, at value | 215,312 | ||||||||
| Total |
$ | 1,443,462 | $ | 1,132,402 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||
| Derivatives not designated as hedging |
Options Purchased* |
Options Written |
Futures |
Swaps |
Total |
|||||||||||||||
| Interest rate contracts |
$ | (772,677 | ) | $ | 221,537 | $ | (526,005 | ) | $ | (153,461 | ) | $ | (1,230,606 | ) | ||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||
| Derivatives not designated as hedging |
Options Purchased* |
Options Written |
Futures |
Swaps |
Total |
|||||||||||||||
| Interest rate contracts |
$ | 50,648 | $ | (50,430 | ) | $ | (1,824 | ) | $ | 208,850 | $ | 207,244 | ||||||||
| * | Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
| Options Purchased(1) |
Options Written(2) |
Futures Contracts— |
Futures Contracts— |
Interest Rate
Swap | ||||
| $194,585 | $70,400 | $69,944,539 | $8,957,393 | $119,583 |
| (1) | Cost. |
| (2) | Notional Amount in USD (000). |
| (3) | Value at Trade Date. |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
| Counterparty |
Gross amounts of recognized assets(1) |
Gross amounts available for offset |
Collateral Received(3) |
Net Amount |
||||||||||||
| Citigroup Global Markets |
$ | — | $ | — | $ | — | $ | — | ||||||||
| JPMorgan Chase |
90,555 | — | — | 90,555 | ||||||||||||
| $ | 90,555 | |||||||||||||||
| Counterparty |
Gross amounts of recognized liabilities(2) |
Gross amounts available for offset |
Collateral Pledged(3) |
Net Amount |
||||||||||||
| Citigroup Global Markets |
$ | (71,251 | ) | $ | — | $ | — | $ | (71,251 | ) | ||||||
| JPMorgan Chase |
— | — | — | — | ||||||||||||
| $ | (71,251 | ) | ||||||||||||||
| (1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
| (2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
| (3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS |
||||||||
| Net investment income |
$ | 2,402,813 | $ | 5,901,363 | ||||
| Net realized gain on investment transactions |
890,209 | 7,472,234 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
(2,643,366 | ) | 5,994,740 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
649,656 | 19,368,337 | ||||||
| DISTRIBUTIONS | — | (1,210,720 | ) | |||||
| SERIES SHARE TRANSACTIONS | ||||||||
| Series shares sold [165,541 and 449,768 shares, respectively] |
1,991,940 | 5,246,081 | ||||||
| Series shares issued in reinvestment of distributions [0 and 105,280 shares, respectively] |
— | 1,210,720 | ||||||
| Series shares repurchased [982,647 and 2,279,485 shares, respectively] |
(11,819,420 | ) | (26,512,995 | ) | ||||
| NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS |
(9,827,480 | ) | (20,056,194 | ) | ||||
| TOTAL DECREASE | (9,177,824 | ) | (1,898,577 | ) | ||||
| NET ASSETS: | ||||||||
| Beginning of period |
339,180,531 | 341,079,108 | ||||||
| End of period |
$ | 330,002,707 | $ | 339,180,531 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| STOCK INDEX PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
Futures contracts outstanding at June 30, 2015:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2015 |
Unrealized Depreciation(1) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 41 | S&P 500 E-mini | Sep. 2015 | $ | 4,278,165 | $ | 4,211,520 | $ | (66,645 | ) | |||||||||
| 201 | S&P 500 Index | Sep. 2015 | 104,944,702 | 103,233,600 | (1,711,102 | ) | ||||||||||||
| $ | (1,777,747 | ) | ||||||||||||||||
| (1) | A U.S. Government Treasury security with a market value of $6,000,000 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2015. |
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—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3—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, 2015 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
||||||||||||
| Aerospace & Defense |
$ | 88,348,761 | $ | — | $ | — | ||||||
| Air Freight & Logistics |
24,027,630 | — | — | |||||||||
| Airlines |
15,454,405 | — | — | |||||||||
| Auto Components |
14,407,648 | — | — | |||||||||
| Automobiles |
21,376,176 | — | — | |||||||||
| Banks |
207,949,960 | — | — | |||||||||
| Beverages |
70,323,276 | — | — | |||||||||
| Biotechnology |
107,678,677 | — | — | |||||||||
| Building Products |
2,760,008 | — | — | |||||||||
| Capital Markets |
78,348,479 | — | — | |||||||||
| Chemicals |
79,848,012 | — | — | |||||||||
| Commercial Services & Supplies |
13,842,445 | — | — | |||||||||
| Communications Equipment |
51,874,079 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities (continued) |
||||||||||||
| Common Stocks (continued) |
||||||||||||
| Construction & Engineering |
$ | 3,562,054 | $ | — | $ | — | ||||||
| Construction Materials |
3,683,650 | — | — | |||||||||
| Consumer Finance |
27,533,821 | — | — | |||||||||
| Containers & Packaging |
6,932,892 | — | — | |||||||||
| Distributors |
2,526,984 | — | — | |||||||||
| Diversified Consumer Services |
1,509,185 | — | — | |||||||||
| Diversified Financial Services |
66,796,441 | — | — | |||||||||
| Diversified Telecommunication Services |
75,892,662 | — | — | |||||||||
| Electric Utilities |
53,735,292 | — | — | |||||||||
| Electrical Equipment |
18,341,945 | — | — | |||||||||
| Electronic Equipment, Instruments & Components |
13,545,312 | — | — | |||||||||
| Energy Equipment & Services |
43,372,610 | — | — | |||||||||
| Food & Staples Retailing |
79,956,361 | — | — | |||||||||
| Food Products |
56,439,580 | — | — | |||||||||
| Gas Utilities |
1,044,667 | — | — | |||||||||
| Health Care Equipment & Supplies |
73,742,393 | — | — | |||||||||
| Health Care Providers & Services |
99,678,270 | — | — | |||||||||
| Health Care Technology |
3,888,078 | — | — | |||||||||
| Hotels, Restaurants & Leisure |
59,173,581 | — | — | |||||||||
| Household Durables |
15,176,815 | — | — | |||||||||
| Household Products |
58,970,209 | — | — | |||||||||
| Independent Power & Renewable Electricity Producers |
3,075,436 | — | — | |||||||||
| Industrial Conglomerates |
80,037,415 | — | — | |||||||||
| Insurance |
84,938,816 | — | — | |||||||||
| Internet & Catalog Retail |
52,521,107 | — | — | |||||||||
| Internet Software & Services |
113,637,655 | — | — | |||||||||
| IT Services |
114,206,404 | — | — | |||||||||
| Leisure Products |
3,163,824 | — | — | |||||||||
| Life Sciences Tools & Services |
14,982,212 | — | — | |||||||||
| Machinery |
50,660,817 | — | — | |||||||||
| Media |
123,791,907 | — | — | |||||||||
| Metals & Mining |
11,450,625 | — | — | |||||||||
| Multiline Retail |
26,746,258 | — | — | |||||||||
| Multi-Utilities |
37,232,863 | — | — | |||||||||
| Oil, Gas & Consumable Fuels |
220,563,954 | — | — | |||||||||
| Paper & Forest Products |
3,715,208 | — | — | |||||||||
| Personal Products |
3,570,392 | — | — | |||||||||
| Pharmaceuticals |
218,363,419 | — | — | |||||||||
| Professional Services |
7,352,009 | — | — | |||||||||
| Real Estate Investment Trusts (REITs) |
78,979,155 | — | — | |||||||||
| Real Estate Management & Development |
1,935,100 | — | — | |||||||||
| Road & Rail |
29,079,867 | — | — | |||||||||
| Semiconductors & Semiconductor Equipment |
80,657,700 | — | — | |||||||||
| Software |
124,930,949 | — | — | |||||||||
| Specialty Retail |
79,279,704 | — | — | |||||||||
| Technology Hardware, Storage & Peripherals |
162,972,505 | — | — | |||||||||
| Textiles, Apparel & Luxury Goods |
30,508,806 | — | — | |||||||||
| Thrifts & Mortgage Finance |
869,440 | — | — | |||||||||
| Tobacco |
46,287,395 | — | — | |||||||||
| Trading Companies & Distributors |
6,288,984 | — | — | |||||||||
| Affiliated Money Market Mutual Fund |
208,948,664 | — | — | |||||||||
| U.S. Treasury Obligation |
— | 6,000,000 | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(1,777,747 | ) | — | — | ||||||||
| Total |
$ | 3,560,713,201 | $ | 6,000,000 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:
| Derivatives not accounted for as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Equity contracts |
Due from/to broker — variation margin futures | $ | — | Due from/to broker — variation margin futures | $ | 1,777,747 | * | |||||
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||
| Derivatives not accounted for as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | 7,070,392 | ||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||
| Derivatives not accounted for as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | (5,795,603 | ) | |
For the six months ended June 30, 2015, the Fund’s average value at trade date for futures long positions was $106,999,805.
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| STOCK INDEX PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2015 |
Year Ended December 31, 2014 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
| Net investment income |
$ | 29,424,701 | $ | 51,495,446 | ||||
| Net realized gain on investment transactions |
41,940,251 | 41,942,935 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
(34,165,709 | ) | 295,725,505 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
37,199,243 | 389,163,886 | ||||||
| DISTRIBUTIONS | (93,414,310 | ) | (225,034,357 | ) | ||||
| SERIES SHARE TRANSACTIONS | ||||||||
| Series shares sold [4,255,287 and 5,571,572 shares, respectively] |
211,647,212 | 260,144,327 | ||||||
| Series shares issued in reinvestment of distributions [1,896,737 and 4,895,244 shares, respectively] |
93,414,310 | 225,034,357 | ||||||
| Series shares repurchased [2,010,192 and 4,786,716 shares, respectively] |
(100,589,305 | ) | (227,184,200 | ) | ||||
| NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS |
204,472,217 | 257,994,484 | ||||||
| TOTAL INCREASE | 148,257,150 | 422,124,013 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period |
3,312,673,798 | 2,890,549,785 | ||||||
| End of period |
$ | 3,460,930,948 | $ | 3,312,673,798 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| GLOSSARY | ||||||
| SCHEDULE OF INVESTMENTS | As of June 30, 2015 (Unaudited) | |||||
The following abbreviations are used in the preceding Portfolios’ descriptions:
Currency
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CLP | Chilean Peso | |
| COP | Colombian Peso | |
| EUR | Euro | |
| GBP | British Pound | |
| HUF | Hungarian Forint | |
| JPY | Japanese Yen | |
| MXN | Mexican Peso | |
| PLN | Polish Zloty | |
| TRY | Turkish Lira | |
| ZAR | South African Rand |
Index
| CDX | Credit Derivative Index | |
| DAX | German Stock Index | |
| IBEX | Spanish Stock Index | |
| STOXX | Stock Index of Eurozone |
Other
| 144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
| RegS | Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
| ABS | Asset-Backed Security | |
| ADR | American Depositary Receipt | |
| AID | Agency for International Development | |
| BABs | Build America Bonds | |
| BBSW | Australian Bank Bill Swap Reference Rate | |
| bps | Basis Points | |
| CDO | Collateralized Debt Obligation | |
| CLO | Collateralized Loan Obligation | |
| CMBS | Collateralized Mortgage-Backed Security | |
| COLIBOR | Columbia Interbank Offered Rate | |
| CVA | Certificate Van Aandelen (Bearer) | |
| EMTN | Euro Medium Term Note | |
| EUROIS | Euro Overnight Index Swap | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| GMTN | Global Medium Term Note | |
| GO | General Obligation | |
| I/O | Interest Only | |
| JIBAR | Johannesburg Interbank Agreed Rate | |
| LIBOR | London Interbank Offered Rate | |
| MSCI | Morgan Stanley Capital International | |
| MTN | Medium Term Note | |
| OIS | Overnight Index Swap | |
| PIK | Payment-in-Kind | |
| PO | Principle Only | |
| PRFC | Preference Shares | |
| REIT | Real Estate Investment Trust | |
| REMICS | Real Estate Mortgage Investment Conduit Service | |
| STRIPS | Separate Trading of Registered Interest and Principle of Securities | |
| SWX | Swiss Exchange | |
| TBA | To Be Announced | |
| TIPS | Treasury Inflation Protected Securities | |
| USAID | United States Agency for International Development |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
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, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the seven Portfolios which are listed below along with each Portfolio’s investment objective.
Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.
Equity Portfolio: Long-term growth of capital.
Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.
Global Portfolio: Long-term growth of capital.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
| Note 2: | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
B1
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
Portfolio securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may invest 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. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
B2
Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do 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 Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, forward currency contracts, disposition 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 Portfolios’ 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.
Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.
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. Certain Portfolios 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. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
Cross Currency Exchange Contracts: A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Short Sales: Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain or loss. When the contract expires or is closed, the gain or loss is realized and is presented in the Statement of Operations as net realized gain or loss on financial futures contracts.
B3
Certain Portfolios invested in 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, the value of equities or foreign currency exchange rates. The Portfolio may also use futures to gain additional 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. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Options: Certain Portfolios purchased and 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. 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. The Portfolio, as a purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options, and guarantees the options contracts against default.
Swap Agreements: Certain Portfolios entered into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange-traded”). Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Exchange-traded swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps: Credit default swaps (“CDS”) involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. Certain Portfolios are subject to credit risk in the normal course of pursuing their
B4
investment objectives. Certain Portfolios may enter into credit default swaps to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the 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. This potential amount 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 which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
Total Return Swaps: In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. The Portfolio is subject to risk exposures associated with the referenced asset in the normal course of pursuing its investment objectives. Certain Portfolios entered into total return swaps to manage its exposure to a security or an index. The Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Fund’s favor, from the point of entering into the contract.
Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are arrangements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
B5
Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian, and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of June 30, 2015, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Securities Lending: Each Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
B6
Dollar Rolls: Certain Portfolios enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.
When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.
For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio 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 the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders 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 Portfolio’s understanding of the applicable country’s tax rules and regulations.
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. 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 subadvisers’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisers, cost of 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.
B7
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 | 0.74 | * | |||
| Government Income Portfolio |
0.40 | 0.40 | ||||
| Stock Index Portfolio |
0.35% up to $4 billion 0.30% over $4 billion |
0.30 | ** | |||
| * | PI has contractually agreed, through March 31, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio. Effective April 1, 2015, PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio. |
| ** | PI has contractually agreed, through June 30, 2016, 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, 2015, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:
| Portfolio |
Subadviser(s) | |
| Conservative Balanced Portfolio |
PIM, QMA | |
| Diversified Bond Portfolio |
PIM | |
| Equity Portfolio |
Jennison | |
| Flexible Managed Portfolio |
PIM, QMA | |
| Global Portfolio |
Brown, LSV, QMA, T. Rowe & William Blair | |
| Government Income Portfolio |
PIM | |
| Stock Index Portfolio |
QMA |
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2015, brokerage commission recaptured under these agreements was as follows:
| Portfolio |
Amount |
|||
| Equity Portfolio |
$ | 176,026 | ||
| Global Portfolio |
12,946 | |||
B8
| Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
PIM also serves as the Series Fund’s securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated for the securities lending as follows:
| Portfolio |
Amount |
|||
| Conservative Balanced Portfolio |
$ | 34,257 | ||
| Diversified Bond Portfolio |
10,242 | |||
| Equity Portfolio |
42,269 | |||
| Flexible Managed Portfolio |
31,773 | |||
| Global Portfolio |
3,706 | |||
| Government Income Portfolio |
4,145 | |||
| Stock Index Portfolio |
40,250 | |||
Certain Portfolios invest in the Prudential Core Short-Term Bond Fund and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, 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, 2015 were as follows:
| Portfolio |
Cost of Purchases |
Proceeds from Sales |
||||||
| Conservative Balanced Portfolio |
$ | 1,890,866,083 | $ | 1,979,635,655 | ||||
| Diversified Bond Portfolio |
202,903,490 | 138,157,957 | ||||||
| Equity Portfolio |
629,127,960 | 751,646,232 | ||||||
| Flexible Managed Portfolio |
3,375,981,936 | 3,516,590,583 | ||||||
| Global Portfolio |
116,907,055 | 130,673,102 | ||||||
| Government Income Portfolio |
1,043,483,955 | 1,028,889,951 | ||||||
| Stock Index Portfolio |
235,291,565 | 95,779,442 | ||||||
Options written transactions, during the six months ended June 30, 2015, were as follows:
| Conservative Balanced Portfolio |
Notional Amount (000) |
Premiums |
||||||
| Balance as of December 31, 2014 |
84,000 | $ | 38,632 | |||||
| Options written |
530,100 | 775,130 | ||||||
| Options closed |
(268,000 | ) | (415,369 | ) | ||||
| Options expired |
(291,700 | ) | (157,081 | ) | ||||
| Balance as of June 30, 2015 |
54,400 | $ | 241,312 | |||||
| Diversified Bond Portfolio |
Notional Amount (000) |
Premiums |
||||||
| Balance as of December 31, 2014 |
649,000 | $ | 455,618 | |||||
| Options written |
132,238,850 | 934,850 | ||||||
| Options closed |
(131,705,000 | ) | (391,476 | ) | ||||
| Options expired |
(649,500 | ) | (727,831 | ) | ||||
| Balance as of June 30, 2015 |
533,350 | $ | 271,161 | |||||
B9
| Flexible Managed Portfolio |
Notional Amount (000) |
Premiums |
||||||
| Balance as of December 31, 2014 |
108,800 | $ | 50,037 | |||||
| Options written |
661,100 | 987,732 | ||||||
| Options closed |
(329,700 | ) | (506,869 | ) | ||||
| Options expired |
(364,800 | ) | (196,326 | ) | ||||
| Balance as of June 30, 2015 |
75,400 | $ | 334,574 | |||||
| Government Income Portfolio |
Notional Amount (000) |
Premiums |
||||||
| Balance as of December 31, 2014 |
76,400 | $ | 35,136 | |||||
| Options written |
384,000 | 576,773 | ||||||
| Options closed |
(199,500 | ) | (307,761 | ) | ||||
| Options expired |
(218,500 | ) | (116,067 | ) | ||||
| Balance as of June 30, 2015 |
42,400 | $ | 188,081 | |||||
| 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. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Management has analyzed the Portfolios’ tax positions taken on federal, state and local 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 reporting period. The Portfolios’ federal, state and local 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, 2015, the Equity Portfolio has Class II shares outstanding.
B10
Transactions in shares of beneficial interest of the Equity Portfolio were as follows:
Equity Portfolio:
| Class I |
Shares |
Amount |
||||||
| Six months ended June 30, 2015: |
||||||||
| Series shares sold |
139,289 | $ | 5,459,082 | |||||
| Series shares repurchased |
(3,706,537 | ) | (145,555,630 | ) | ||||
| Net increase (decrease) in shares outstanding |
(3,567,248 | ) | $ | (140,096,548 | ) | |||
| Year ended December 31, 2014: |
||||||||
| Series shares sold |
334,797 | $ | 12,282,548 | |||||
| Series shares repurchased |
(7,032,156 | ) | (259,927,615 | ) | ||||
| Net increase (decrease) in shares outstanding |
(6,697,359 | ) | $ | (247,645,067 | ) | |||
| Class II |
||||||||
| Six months ended June 30, 2015: |
||||||||
| Series shares sold |
412 | $ | 16,562 | |||||
| Series shares repurchased |
(7,152 | ) | (282,561 | ) | ||||
| Net increase (decrease) in shares outstanding |
(6,740 | ) | $ | (265,999 | ) | |||
| Year ended December 31, 2014: |
||||||||
| Series shares sold |
14,613 | $ | 533,921 | |||||
| Series shares repurchased |
(21,926 | ) | (816,476 | ) | ||||
| Net increase (decrease) in shares outstanding |
(7,313 | ) | $ | (282,555 | ) | |||
| 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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% 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 Portfolios utilized the SCA during the six months ended June 30, 2015. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.
| Portfolio |
Approximate Average Balance Outstanding |
Number of Days Outstanding |
Weighted Average Interest Rates |
Maximum Balance Outstanding |
Amount Outstanding at June 30, 2015 |
|||||||||||||||
| Diversified Bond Portfolio |
$ | 223,600 | 5 | 1.43 | % | $ | 391,000 | — | ||||||||||||
| Global Portfolio |
351,333 | 3 | 1.43 | % | 471,000 | — | ||||||||||||||
| Note 9: | Ownership and Affiliates |
As of June 30, 2015, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
| Note 10: | New Accounting Pronouncement |
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
B11
(Unaudited)
| Conservative Balanced Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015(a) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014(a) |
2013(a) |
2012 |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | $ | 14.65 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.20 | .36 | .35 | .38 | .36 | .37 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(.08 | ) | 1.46 | 2.51 | 1.43 | .37 | 1.31 | |||||||||||||||||
| Total from investment operations |
.12 | 1.82 | 2.86 | 1.81 | .73 | 1.68 | ||||||||||||||||||
| Less Distributions |
— | — | — | (.36 | ) | (.37 | ) | (.37 | ) | |||||||||||||||
| Net Asset Value, end of period |
$ | 22.57 | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | ||||||||||||
| Total Return(b) |
.53 | % | 8.82 | % | 16.09 | % | 11.23 | % | 4.60 | % | 11.74 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 2,502.6 | $ | 2,574.4 | $ | 2,504.4 | $ | 2,287.0 | $ | 2,191.6 | $ | 2,234.7 | ||||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursement |
.58 | %(e) | .58 | % | .58 | % | .58 | % | .59 | % | .59 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursement |
.58 | %(e) | .58 | % | .58 | % | .58 | % | .59 | % | .59 | % | ||||||||||||
| Net investment income |
1.77 | %(e) | 1.66 | % | 1.84 | % | 2.11 | % | 2.12 | % | 2.32 | % | ||||||||||||
| Portfolio turnover rate(d) |
109 | %(f) | 134 | % | 196 | % | 188 | % | 215 | % | 185 | % | ||||||||||||
| Diversified Bond Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015(a) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014(a) |
2013 |
2012(a) |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | $ | 11.67 | $ | 11.16 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.21 | .43 | .48 | .54 | .56 | .52 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(.24 | ) | .34 | (.56 | ) | .66 | .30 | .63 | ||||||||||||||||
| Total from investment operations |
(.03 | ) | .77 | (.08 | ) | 1.20 | .86 | 1.15 | ||||||||||||||||
| Less Distributions |
— | (.12 | ) | (.79 | ) | (1.06 | ) | (.79 | ) | (.64 | ) | |||||||||||||
| Net Asset Value, end of period |
$ | 11.63 | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | $11.67 | |||||||||||||
| Total Return(b) |
(.26 | )% | 7.09 | % | (.71 | )% | 10.68 | % | 7.51 | % | 10.57 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 1,035.0 | $ | 1,067.9 | $ | 1,197.5 | $ | 1,305.9 | $ | 1,556.9 | $ | 1,522.9 | ||||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursement |
.44 | %(e) | .44 | % | .44 | % | .44 | % | .42 | % | .46 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursement |
.44 | %(e) | .44 | % | .44 | % | .44 | % | .42 | % | .46 | % | ||||||||||||
| Net investment income |
3.55 | %(e) | 3.73 | % | 4.10 | % | 4.57 | % | 4.76 | % | 4.46 | % | ||||||||||||
| Portfolio turnover rate |
37 | %(f) | 50 | % | 111 | % | 144 | % | 167 | % | 191 | % | ||||||||||||
| (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 fee waivers and/or expense reimbursements. In the absence of 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) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover. |
| (e) | Annualized. |
| (f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(Unaudited)
| Equity Portfolio |
||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015(c) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014(c) |
2013 |
2012(c) |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | $ | 22.30 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.17 | .19 | .27 | .27 | .13 | .15 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.06 | 2.56 | 8.73 | 2.96 | (.98 | ) | 2.48 | |||||||||||||||||
| Total from investment operations |
1.23 | 2.75 | 9.00 | 3.23 | (.85 | ) | 2.63 | |||||||||||||||||
| Less Distributions: |
— | — | — | (.15 | ) | (.17 | ) | (.18 | ) | |||||||||||||||
| Net Asset Value, end of period |
$ | 39.79 | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | ||||||||||||
| Total Return(a) |
3.19 | % | 7.68 | % | 33.57 | % | 13.69 | % | (3.47 | )% | 11.90 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 4,004.3 | $ | 4,017.6 | $ | 3,970.9 | $ | 3,167.0 | $ | 2,997.5 | $ | 3,324.3 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursement |
.47 | %(d) | .47 | % | .47 | % | .47 | % | .48 | % | .48 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursement |
.47 | %(d) | .47 | % | .47 | % | .47 | % | .48 | % | .48 | % | ||||||||||||
| Net investment income |
.87 | %(d) | .52 | % | .86 | % | 1.04 | % | .58 | % | .71 | % | ||||||||||||
| Portfolio turnover rate |
16 | %(e) | 51 | % | 45 | % | 48 | % | 49 | % | 68 | % | ||||||||||||
| Equity Portfolio |
||||||||||||||||||||||||
| Class II |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015(c) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014(c) |
2013 |
2012(c) |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | $ | 22.46 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.09 | .04 | .13 | .17 | .06 | .04 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.07 | 2.57 | 8.82 | 3.00 | (1.03 | ) | 2.54 | |||||||||||||||||
| Total from investment operations |
1.16 | 2.61 | 8.95 | 3.17 | (.97 | ) | 2.58 | |||||||||||||||||
| Less Distributions: |
— | — | — | (.06 | ) | (.04 | ) | (.04 | ) | |||||||||||||||
| Net Asset Value, end of period |
$ | 39.82 | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | ||||||||||||
| Total Return(a) |
3.00 | % | 7.24 | % | 33.03 | % | 13.23 | % | (3.87 | )% | 11.50 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 2.0 | $ | 2.2 | $ | 2.3 | $ | 1.8 | $ | 2.0 | $ | 1.9 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursement |
.87 | %(d) | .87 | % | .87 | % | .87 | % | .88 | % | .88 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursement |
.87 | %(d) | .87 | % | .87 | % | .87 | % | .88 | % | .88 | % | ||||||||||||
| Net investment income |
.48 | %(d) | .11 | % | .47 | % | .63 | % | .19 | % | .34 | % | ||||||||||||
| Portfolio turnover rate |
16 | %(e) | 51 | % | 45 | % | 48 | % | 49 | % | 68 | % | ||||||||||||
| (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 fee waivers and/or expense reimbursements. In the absence of 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 portfolio in which the Portfolio invests. |
| (c) | Calculated based on average shares outstanding during the period. |
| (d) | Annualized. |
| (e) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(Unaudited)
| Flexible Managed Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015(a) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014(a) |
2013(a) |
2012 |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | $ | 14.28 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.21 | .37 | .36 | .37 | .33 | .31 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(.01 | ) | 1.99 | 3.22 | 1.74 | .34 | 1.37 | |||||||||||||||||
| Total from investment operations |
.20 | 2.36 | 3.58 | 2.11 | .67 | 1.68 | ||||||||||||||||||
| Less Distributions |
— | — | — | (.33 | ) | (.31 | ) | (.33 | ) | |||||||||||||||
| Net Asset Value, end of period |
$ | 23.91 | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | ||||||||||||
| Total Return(b) |
.84 | % | 11.05 | % | 20.15 | % | 13.37 | % | 4.34 | % | 12.03 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 3,865.9 | $ | 3,943.8 | $ | 3,730.6 | $ | 3,265.8 | $ | 3,036.8 | $ | 3,077.3 | ||||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursement |
.63 | %(e) | .63 | % | .63 | % | .63 | % | .63 | % | .64 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursement |
.63 | %(e) | .63 | % | .63 | % | .63 | % | .63 | % | .64 | % | ||||||||||||
| Net investment income |
1.79 | %(e) | 1.66 | % | 1.86 | % | 2.05 | % | 2.01 | % | 2.06 | % | ||||||||||||
| Portfolio turnover rate(d) |
108 | %(f) | 161 | % | 210 | % | 214 | % | 246 | % | 205 | % | ||||||||||||
| Global Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015(a) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014(a) |
2013 |
2012 |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | $ | 16.68 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.24 | .37 | .31 | .36 | .29 | .28 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.90 | .44 | 5.03 | 2.57 | (1.56 | ) | 1.79 | |||||||||||||||||
| Total from investment operations |
1.14 | .81 | 5.34 | 2.93 | (1.27 | ) | 2.07 | |||||||||||||||||
| Less Distributions |
— | — | — | (.30 | ) | (.28 | ) | (.26 | ) | |||||||||||||||
| Net Asset Value, end of period |
$ | 26.86 | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | ||||||||||||
| Total Return(b) |
4.43 | % | 3.25 | % | 27.29 | % | 17.52 | % | (6.97 | )% | 12.74 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 732.4 | $ | 719.2 | $ | 744.5 | $ | 611.2 | $ | 564.2 | $ | 648.5 | ||||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursements |
.81 | %(e) | .81 | % | .84 | % | .84 | % | .84 | % | .87 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursements |
.82 | %(e) | .82 | % | .84 | % | .84 | % | .84 | % | .87 | % | ||||||||||||
| Net investment income |
1.78 | %(e) | 1.45 | % | 1.29 | % | 1.82 | % | 1.54 | % | 1.60 | % | ||||||||||||
| Portfolio turnover rate |
17 | %(f) | 37 | % | 70 | % | 57 | % | 69 | % | 69 | % | ||||||||||||
| (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 fee waivers and/or expense reimbursements. In the absence of 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) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
| (e) | Annualized. |
| (f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
(Unaudited)
| Government Income Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014 |
2013 |
2012 |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | $ | 11.86 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.09 | .21 | .21 | .25 | .30 | .35 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(.07 | ) | .45 | (.49 | ) | .19 | .60 | .47 | ||||||||||||||||
| Total from investment operations |
.02 | .66 | (.28 | ) | .44 | .90 | .82 | |||||||||||||||||
| Less Distributions |
— | (.04 | ) | (.57 | ) | (.66 | ) | (.56 | ) | (.65 | ) | |||||||||||||
| Net Asset Value, end of period |
$ | 11.94 | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | ||||||||||||
| Total Return(a) |
.17 | % | 5.86 | % | (2.34 | )% | 3.63 | % | 7.63 | % | 6.99 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 330.0 | $ | 339.2 | $ | 341.1 | $ | 382.9 | $ | 416.7 | $ | 399.2 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursements |
.48 | %(d) | .47 | % | .49 | % | .48 | % | .46 | % | .50 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursement |
.48 | %(d) | .47 | % | .49 | % | .48 | % | .46 | % | .50 | % | ||||||||||||
| Net investment income |
1.43 | %(d) | 1.73 | % | 1.78 | % | 1.96 | % | 2.48 | % | 2.87 | % | ||||||||||||
| Portfolio turnover rate(c) |
341 | %(e) | 830 | % | 1135 | % | 1154 | % | 1554 | % | 1122 | % | ||||||||||||
| Stock Index Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2015 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2014(f) |
2013(f) |
2012 |
2011 |
2010 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | $ | 27.89 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.43 | .79 | .73 | .68 | .54 | .48 | ||||||||||||||||||
| Net realized and unrealized gain on investments |
.13 | 5.20 | 10.64 | 4.19 | .07 | 3.51 | ||||||||||||||||||
| Total from investment operations |
.56 | 5.99 | 11.37 | 4.87 | .61 | 3.99 | ||||||||||||||||||
| Less Distributions |
(1.34 | ) | (3.68 | ) | — | (.69 | ) | (.51 | ) | (.51 | ) | |||||||||||||
| Net Asset Value, end of period |
$ | 48.55 | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | ||||||||||||
| Total Return(a) |
1.10 | % | 13.31 | % | 31.89 | % | 15.68 | % | 1.95 | % | 14.59 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 3,460.9 | $ | 3,312.7 | $ | 2,890.5 | $ | 2,340.3 | $ | 2,162.4 | $ | 2,277.6 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses after waivers and/or expense reimbursements |
.32 | %(d) | .32 | % | .32 | % | .32 | % | .33 | % | .36 | % | ||||||||||||
| Expenses before waivers and/or expense reimbursements |
.37 | %(d) | .37 | % | .37 | % | .37 | % | .38 | % | .38 | % | ||||||||||||
| Net investment income |
1.72 | %(d) | 1.67 | % | 1.77 | % | 1.97 | % | 1.74 | % | 1.70 | % | ||||||||||||
| Portfolio turnover rate |
3 | %(e) | 5 | % | 3 | % | 2 | % | 2 | % | 4 | % | ||||||||||||
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each 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 fee waivers and/or expense reimbursements. In the absence of 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) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
| (d) | Annualized. |
| (e) | Not annualized. |
| (f) | Calculated based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
The Prudential Variable Contract Account — 10
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 Committee 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 9-11, 2015 and approved the renewal of the agreements through July 31, 2016, 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 subadviser, 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 9-11, 2015.
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 considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-10 and Jennison, and also considered 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
PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.
The Committee received and discussed information concerning economies of scale that PI may realize as VCA-10’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-10, the management fees of VCA-10 compared to those of similarly managed funds and PI’s investment in VCA-10 over time. The Committee noted that economies of scale, if any, may be shared with VCA-10 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-10 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.
The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’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.
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, 2014. 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, 2014. 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 Committee, 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 Committee.
|
Performance |
1 Year |
3 Years | 5 Years | 10 Years | ||||
| 2nd Quartile | 4th Quartile | 4th Quartile | 2nd Quartile | |||||
| Actual Management Fees: 1st Quartile | ||||||||
| Net Total Expenses: 4th Quartile | ||||||||
| • | The Committee noted that VCA-10 outperformed its benchmark index over the ten-year period, though it underperformed over the other periods. |
| • | The Committee noted PI’s explanation that underperformance against the benchmark index was primarily attributable to VCA-10’s value and growth components. The Committee also considered PI’s explanation that the portfolio manager responsible for the value component had been replaced in 2014, resulting in changes in the securities selection process for value stocks, and that VCA-10’s value holdings had not fully repositioned under the new portfolio manager until the end of 2014. |
| • | The Committee considered that, following the replacement of the value component’s portfolio manager, VCA-10’s performance had shown significant improvement, with VCA-10 ranking in the second quartile of its Peer Universe and outperforming its benchmark index during the first quarter of 2015. |
| • | The Committee concluded that, in light of the above, it would be in the best interests of VCA-10 and its investors to continue to monitor performance and 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. |
The Prudential Variable Contract Account — 11
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 Committee 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 9-11, 2015 and approved the renewal of the agreements through July 31, 2016, 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 9-11, 2015.
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 considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-11 and PIM, and also considered 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
PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.
The Committee received and discussed information concerning economies of scale that PI may realize as VCA-11’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-11, the management fees of VCA-11 compared to those of similarly managed funds and PI’s investment in VCA-11 over time. The Committee noted that economies of scale, if any, may be shared with VCA-11 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-11 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.
The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’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.
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 Committee 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, 2014. 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, 2014. 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 Committee.
|
Performance |
1 Year |
3 Years | 5 Years | 10 Years | ||||
| 2nd Quartile | 3rd Quartile | 3rd Quartile | 2nd Quartile | |||||
| Actual Management Fees: 4th Quartile | ||||||||
| Net Total Expenses: 4th Quartile | ||||||||
| • | The Committee noted that VCA-11 outperformed its Peer Universe for the ten-year period, performed in-line with its Peer Universe over the one-year period, and underperformed by less than three basis points for the three- and five-year periods. |
| • | The Committee noted PI’s assertion that VCA-11’s underperformance was primarily attributable to its conservative positioning and shorter-than-peer group Weighted Average Maturity. |
| • | The Committee noted the challenging money market and interest rate environment since the financial crisis. |
| • | The Committee concluded that, in light of the above, it would be in the best interests of 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-11 and its investors.
The Prudential Series Fund
Approval of Advisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of ten individuals, nine 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, their 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the 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, 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 interest of the Trust, each Portfolio and each Portfolio’s 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 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 each Portfolio benefits 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 considered information regarding the profitability of PIM, Jennison and QMA, each of which are affiliates of PI, on a consolidated basis. 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 received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. 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.
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, 2014, except as otherwise
noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2014. 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 group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the 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 and the Board may have considered, 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 | 1st Quartile | 1st Quartile | 2nd Quartile | |||||
| Actual Management Fees: 2nd 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 above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and 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 above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and 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 | ||||
| 4th Quartile | 4th Quartile | 4th 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 ten-year period, although it underperformed its benchmark index over the one-, three- and five-year periods. |
| • | The Board noted that the Portfolio’s portfolio manager team responsible for the Portfolio’s performance record had recently been replaced, resulting in changes in the securities selection process for the Portfolio. |
| • | The Board further noted that the Portfolio’s repositioning by the new portfolio manager was not completed until the end of 2014 and that through the first quarter of 2015 the Portfolio beat its benchmark and its Peer Universe median. |
| • | The Board considered that the Portfolio’s performance had improved during the first quarter of 2015, with the Portfolio ranked in the second quartile of its Peer Universe and outperforming its benchmark index. |
| • | The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to continue to monitor the Portfolio’s performance and to renew the agreements, and 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 | 1st Quartile | 1st Quartile | 2nd 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, and 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 | ||||
| 4th Quartile | 4th Quartile | 4th Quartile | — | |||||
| Actual Management Fees: 1st Quartile | ||||||||
| Net Total Expenses: 2nd 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 considered that the Portfolio’s recent performance had improved, with the Portfolio ranked in the first quartile of its Peer Universe and outperforming its benchmark index during the first quarter of 2015. |
| • | The Board noted that PI had contractually agreed to waive of 0.011% of its management fee through June 30, 2016. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and 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 | ||||
| 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 above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and 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 | ||||
| 3rd Quartile | 3rd Quartile | 2nd Quartile | 1st Quartile | |||||
| Actual Management Fees: 4th Quartile | ||||||||
| Net Total Expenses: 4th Quartile | ||||||||
| • | The Board noted that the Portfolio’s outperformed its benchmark index over the five- and ten-year periods, although it underperformed over the one- and three-year periods. |
| • | The Board further considered that, through the first quarter of 2015, the Portfolio outperformed its benchmark and its Peer Universe median for the trailing one-, three-, five- and ten-year periods. |
| • | The Board took into account that, on a net basis, the Portfolio outperformed its Peer Universe Median for all periods. |
| • | The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016. |
| • | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and 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 beneficial 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.
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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.
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The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 |
Presorted Standard U.S. Postage PAID Prudential | |||
©2015 Prudential Financial, Inc. and its related entities. 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.
0228795-00004-00 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 17, 2015 | |
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 17, 2015 | |
| By: |
/s/ M. Sadiq Peshimam | |
| M. Sadiq Peshimam | ||
| Treasurer and Principal Financial and Accounting Officer | ||
| Date: |
August 17, 2015 | |