<PAGE>
The Prudential Series Fund, Inc.
[GRAPHIC]
Annual Report to Contract Owners
Prudential's Variable Universal Life
Pruco Life's Variable Universal Life
Pruco Life's PruSelectSM III
Pruco Life of New Jersey's PruSelectSM III
December 31, 1999
VARIABLE INVESTMENT OPTIONS
. The Prudential Series Fund, Inc.
Money Market Portfolio
Diversified Bond Portfolio
Conservative Balanced Portfolio
Flexible Managed Portfolio
High Yield Bond Portfolio
Stock Index Portfolio
Equity Income Portfolio
Equity Portfolio
Prudential Jennison Portfolio
Global Portfolio
. AIM Variable Insurance Funds, Inc.
AIM V.I. Value Fund
. American Century Variable Portfolios, Inc.
American Century VP Value Fund
. Janus Aspen Series
Janus Aspen Growth Portfolio
. MFS(R) Variable Investment TrustSM
MFS(R) Emerging Growth Series
. T. Rowe Price International Series, Inc.
International Stock Portfolio
[LOGO OF PRUDENTIAL]
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
Pruco Life Insurance Company
213 Washington Street
Newark, NJ 07102-2992
<PAGE>
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This Report may be used with the public only when preceded or accompanied by
current prospectuses for The Prudential Series Fund, Inc., the applicable
variable life product and the current Performance Data Update for the applicable
product. The Performance Data Update shows historical investment performance
after the deduction of investment management fees, investment-related expenses
and the product's mortality and expense risk charge.
For the variable life insurance products, additional contract charges include
the cost of insurance, administrative, sales and any applicable withdrawal or
surrender charges. These charges will reduce the rates of return shown on the
Performance Data Update. The prospectuses contain more information concerning
charges and expenses, including hypothetical performance illustrations that show
the effects of performance on various assumptions. The prospectus should be read
carefully before you invest or send money.
Variable Universal Life is issued by Pruco Life Insurance Company, located at
213 Washington Street, Newark, NJ 07102 and in New York, by Prudential, 751
Broad Street, Newark, NJ 07102-3777. Pruco Life Insurance Company is a
subsidiary of The Prudential Insurance Company of America, 751 Broad Street,
Newark, NJ 07102-3777.
Variable Universal Life is offered by Registered Representatives of Pruco
Securities Corporation, or by Registered Representatives of Broker Dealers with
whom Pruco Securities Corporation has a selling agreement and Prudential
Securities Incorporated, both subsidiaries of Prudential. The principal address
of Pruco Securities is 751 Broad Street, Newark, NJ 07102-3777. Prudential
Securities is located at One Seaport Plaza, New York, NY 10292.
PruSelectSM III is issued by Pruco Life Insurance Company (except in New Jersey
and New York, where it will be issued by Pruco Life of New Jersey, upon approval
of contracts in those states) and offered by Registered Representatives of Pruco
Securities Corporation, or by Registered Representatives of Broker Dealers with
whom Pruco Securities Corporation has a selling agreement. Pruco Life Insurance
Company and Pruco Life Insurance Company of New Jersey are both located at 213
Washington Street, Newark, NJ 07102-2992 and Pruco Securities Corporation is
located at 751 Broad Street, Newark, NJ, 07102-3777. All are subsidiaries of
The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-
3777. PruSelectSM III may not be available in all states.
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Table of Contents
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Letter to Contract Owners .....................................................3
Commentary and Outlook ......................................................4-7
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The Prudential Series Fund, Inc. Portfolios
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Money Market Portfolio
Diversified Bond Portfolio
Conservative Balanced Portfolio
Flexible Managed Portfolio
High Yield Bond Portfolio
Stock Index Portfolio
Equity Income Portfolio
Equity Portfolio
Prudential Jennison Portfolio
Global Portfolio
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AIM Variable Insurance Funds, Inc.
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AIM V.I. Value
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American Century Variable Portfolios, Inc.
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American Century VP Value Fund
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Janus Aspen Series
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Janus Aspen Growth Portfolio
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MFS(R) Variable Insurance TrustSM
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MFS(R) Emerging Growth Series
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T. Rowe Price International Series, Inc.
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T. Rowe Price International Stock Portfolio
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The Prudential Series Fund, Inc.
Board of Directors
JOHN R. STRANGFELD W. SCOTT McDONALD, JR., Ph.D.
Chairman, Vice President,
The Prudential Series Fund, Inc. Kaludis Consulting Group
SAUL K. FENSTER, Ph.D. JOSEPH WEBER, Ph.D.
President, Vice President,
New Jersey Institute of Technology Interclass (international corporate
learning)
<PAGE>
Letter To Contract Owners
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Year Ended December 31, 1999
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[PHOTO]
CHAIRMAN
JOHN R. STRANGFELD
"People differ in their level of comfort when the value of their investments
fluctuates. Moreover, they may prefer less volatility as they approach
retirement. We recommend that you consider your variable life insurance or
variable annuity contract in the context of your entire portfolio of
investments."
Dear Contract Owner:
This Annual Report reviews the investment strategies and performance of the
portfolios available in your Prudential variable life insurance or variable
annuity contract.
A look back at 1999
Last year, technology growth stocks far outperformed most other investments.
Around the world, the spread of computers, the Internet, and wireless
telecommunications is transforming the way people live. This resulted in
increases in the valuation of many companies in that sector. Emerging market
securities also had particularly strong returns, as the economic recovery of
Asia restored investor confidence in these countries. Meanwhile, most bond
investments did not perform well, nor did small-cap value stocks.
2000: A first glance
The new year began with a wave of profit taking, offset by good news on
inflation, only to be driven lower by renewed concerns about inflation. The
result has been significant daily market moves, both positive and negative.
These daily, monthly, and even yearly developments in the market are important,
and can be very interesting. It's equally important, however, to keep in mind
the fundamentals of investing: asset allocation, diversification, and a
systematic plan to reach long-term goals.
Know your own comfort level
People differ in their level of comfort when the value of their investments
fluctuates. Moreover, they may prefer less volatility as they approach
retirement. We recommend that you consider your variable life insurance or
variable annuity contract in the context of your entire portfolio of
investments.
Rebalancing your portfolio
After a divergent market such as the past year's, when returns were concentrated
in a narrow group of securities, you may find that the balance among your
holdings has changed. You may have a larger proportion in stocks than you are
comfortable with, or a larger proportion in growth stocks. It may be a good idea
to rebalance your holdings to restore the allocation that you had chosen to meet
your needs.
The value of professional guidance
Your financial professional can help you determine if adjustments should be
made, whether in light of today's dynamic marketplace, or if your needs have
changed. The important point is for you to be comfortable with a plan to help
reach your personal goals, rather than allowing your assets to drift with market
activity.
Sincerely,
/s/ John R. Strangfeld
John R. Strangfeld
Chairman
The Prudential Series Fund, Inc. January 26, 2000
3
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Equity Commentary
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December 31, 1999
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Global economic recovery and tech take off
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Economies around the world began to recover in 1999 as a global financial crisis
that had roiled financial markets in 1997 and 1998 subsided. A flight of capital
away from emerging market countries had resulted in economic recessions and
weakened currencies in many of these nations. But in 1999 the weaker currencies
helped boost their exports and revive their economies. Because the world economy
was more stable, investors poured money into stocks and bonds of developing
markets and stocks in Latin America, eastern Europe and Asia rose dramatically.
Japanese stocks also rallied as that nation attacked its structural, financial
and business problems.
The pickup in global economic demand boosted commodity prices. The United States
saw strong advances for industrial cyclical stocks such as basic materials and
capital goods. Booming economies, however, often lead to higher interest rates,
so investors were cautious about rising rates throughout the year.
Performance of Key Stock Market Indexes
Through December 31, 1999
[GRAPH]
Six Months 1999
S&P 500 7.7% 21.0%
S&P 500/BARRAValue -1.1 12.7
S&P 500/BARRA Growth 15.6 28.3
Russell 2000 Value -6.4 -1.5
Russell 2000 Growth 28.8 43.1
MSCI World Index Free* 25.1 24.8
MSCI Europe Index* 18.8 15.9
MSCI Japan Index* 33.8 61.5
*In U.S. currency.
Sources: Morgan Stanley Capital International (MSCI), Standard & Poor's, Frank
Russell Company and Prudential as of December 31, 1999. S&P 500 Composite,
Russell 2000, and Morgan Stanley Capital International indexes are unmanaged
indexes of stocks that provide an indication of stock price movements. Past
performance is not indicative of future results. Investors cannot invest
directly in an index. Please refer to inside back cover for benchmark
definitions.
Growth stocks are normally interest rate sensitive, because rising rates reduce
the value of future earnings. In addition, growth companies looking to expand
may borrow from banks or issue bonds. This year, however, a surging tech sector
provided an environment in which companies could raise funds relatively easily
by issuing stock. The tech-heavy Nasdaq Composite closed at a record 4,069--an
86% gain for the year. Small and mid-cap U.S. growth stocks also had strong
performances. The Russell Midcap Growth Index gained 51%; the Russell 2000
Smallcap Growth Index rose 43%.
In contrast, both small-cap value and mid-cap value stocks declined during 1999.
At the beginning of 1999, value stocks were already much cheaper than growth
stocks, and the sharp difference in performance over the course of the year
increased these disparities in relative value.
Geographically broad-based stock gains
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The improved commodities markets and lower production costs due to currency
devaluations made an excellent environment for the stocks of many developing
countries. In Latin America, Mexico benefited from the increased linkage of its
economy to the developed countries to its north; its stocks soared 82% (in U.S.
dollars). Brazil also had a strong year. Both were rebounding from severe
declines in 1998.
Among developed markets, the telecommunications sector saw considerable
jockeying for position, with merger and takeover offers common. Telecom giant
Nokia led the Nordic region to an 88% return. Developed Europe, as a whole,
trailed the global markets but picked up toward the end of the year. The
Japanese stock market rose 62% (in U.S. dollars) in part from the rise of the
yen with respect to the U.S. dollar.
Within the United States, gains were narrow
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Increases in prices of U.S. stocks were concentrated. Many technology stocks had
extraordinary returns, whether they were giant companies like Cisco Systems and
Intel or initial public offerings (IPOs) of Internet companies with no earnings.
Although some inexpensive sectors of the U.S. stock market--capital goods, basic
materials, consumer cyclicals and energy--had good returns in 1999, value stocks
overall trailed growth by a very broad margin. In the Russell 3000, which
reflects all market capitalization sectors, growth stocks returned 34% while
value stocks gained 7%.
The views expressed are as of January 26, 2000, and are subject to change based
on market and other conditions.
4
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Equity Outlook 2000
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December 31, 1999
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How long can it continue?
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The key uncertainty is whether the intense speculation in technology, Internet
and communications stocks that accelerated late in 1999 will continue this year,
or will investors turn to inexpensive industrial cyclical stocks such as capital
goods and basic materials?
Although commodity prices and basic materials shares rose about 15% to 30% in
1999, they started from a very low base and are still relatively cheap.
Commodity inventories are low, so accelerating global economic activity could
push up prices and attract more investors to basic materials stocks. Because
rising commodity prices also typically drive interest rates higher, this could
trigger a market rotation away from the techs to industrials. Many industrial
stocks have become quite inexpensive, while consolidation and restraint in
investing in new capacity have prepared them to leverage the benefits of
improving demand.
We expect continued earnings growth from many technology leaders as Internet use
and wireless telecommunications spread to relatively undeveloped markets.
Business-to-business Internet services are also growing rapidly. Despite the
tremendous average gain of technology stocks in 1999, stock selection was and
will continue to be important: When investors lost confidence in companies'
prospects, the stocks fell, whether it was Amazon.com or a start-up.
U.S. stocks are generally expensive
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Our valuation models suggest the U.S. stock market (as represented by the S&P
500) is 15% to 20% overvalued. Market valuations are at a historic extreme--the
dividend yield on the S&P 500 dropped to 1.16% and the price/earnings ratio
reached 32.0. However, earnings estimates and revisions of estimates are still
positive, which could provide the market with continued momentum.
Investors are paying more attention to earnings and trends than to valuations.
When companies have missed estimates, even by small amounts, their shares have
been punished. A broad decline in profit growth would be a danger signal.
Normally, rising interest rates pose a threat to highly valued growth companies.
In this earnings-focused market, however, it is not clear how investors will
react should both interest rates and earnings continue to rise.
Given the uncertainty, the prudent course is to be exposed to the current trend
and to alternatives--that is, to technology-intensive funds and to funds with a
heavy exposure to commodity cyclicals. Although U.S. stocks are generally
overvalued, there are still companies in many sectors that have good
fundamentals, and whose shares are relatively inexpensive.
Performance of U.S. Market Sectors Through December 31, 1999
[GRAPH]
Six Months 1999
Technology 40.4% 75.1%
Energy -0.3 19.0
Capital Goods 8.7 28.9
Utilities -9.9 -8.9
Communications Services 1.7 19.1
Basic Materials 3.4 26.4
Consumer Cylicals 8.9 22.3
Healthcare -7.9 -8.2
Consumer Staples -4.2 -6.3
Financials -7.9 -4.0
Transportation -18.9 -9.7
Source: Standard & Poor's as of December 31, 1999. The S&P 500 Index is an
unmanaged index of stocks that provides an indication of stock price movements.
Past performance is not indicative of future results. Investors cannot invest
directly in an index.
5
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Bond Commentary
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December 31, 1999
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A challenging year for U.S. bonds.
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This year proved to be the worst in the history of the 30-year U.S. Treasury
bond. An investor who purchased this Treasury bond at a 5.10% yield at the
beginning of 1999 lost more than 14% by the end of the year. Many investors sold
Treasuries, believing they no longer needed these conservative securities
because the global financial crisis had begun to fade in the first quarter of
1999. Later in the year, Treasuries sold off amid fear that inflation was
building in the domestic and global economies. Rising inflation hurts bonds by
eroding the value of their fixed interest payments.
Concerns about mounting inflation were well founded. Crude oil prices more than
doubled in 1999, albeit from their lowest level in more than a decade.
Furthermore, the lowest U.S. unemployment rate in 30 years fueled fears of
growing wage pressures. Consumers and businesses spent vigorously, threatening
to boost the prices of goods and services. With the U.S. economy growing
rapidly, the Federal Reserve was bound to increase short-term interest rates to
slow economic growth and prevent spiraling inflation. To compensate for the risk
of rising short-term rates, investors drove prices of Treasuries lower, which
caused their yields to climb. The Treasury market was down 2.56% in 1999, as
measured by the Lehman Brothers U.S. Treasury Index.
The first short-term rate hike occurred in June 1999, when the Fed raised the
federal funds rate (the rate U.S. banks charge each other for overnight loans)
by a quarter of a percentage point to 5.00%. Two more of the same magnitude
followed in August and November 1999, which left the federal funds rate at
5.50%.
In this rising interest-rate environment, other fixed-income markets in the
United States also sold off. Their prices, however, did not decline as much as
the prices of Treasuries, because investors worried less about credit risks in
1999 than during the global financial crisis of 1997 and 1998. As a result,
spreads--or the differences between the yields of other U.S. bond markets and
Treasuries--generally declined in 1999, albeit with a fair amount of volatility.
Among the U.S. bond market sectors that performed better than Treasuries in 1999
were investment-grade corporate bonds, federal government agency securities,
high-yield (junk) bonds, asset-backed securities and mortgage-backed
securities.
...but global growth aided emerging market bonds
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Although stronger-than-expected economic growth hurt bond markets in the United
States, emerging market bonds benefited from the resurgence in the global
economy.
They returned 23.07% for the year, beating all other fixed-income markets, as
measured by the Lehman Brothers Emerging Market Index. As Asian and Latin
American economies rebounded in 1999 from the global financial crisis, investors
sought the bonds of nations such as South Korea and Brazil for their higher
yields. Investors felt more confident about owning these riskier debt
securities. Indeed, Moody's Investors Service upgraded the credit ratings of
certain South Korean and Brazilian bonds.
Performance of Fixed Income Market Indexes Through December 31, 1999
[GRAPH]
Six Months 1999
Global (U.S. dollar) Index 2.3% -5.2%
U.S. Mortgage-Backed Securities 1.3 1.9
Emerging Markets 11.7 23.1
U.S. Treasuries -0.1 -2.6
U.S. Aggregate Index 0.6 -0.8
U.S. Corp. Invest. Grade 0.3 -2.0
U.S. Municipals -1.2 -2.1
U.S. Corporate High Yield 0.2 2.4
Source: Lehman Brothers as of December 31, 1999. The Lehman Brothers indexes are
unmanaged indexes of bonds that provide an indication of bond price movements.
Past performance is not indicative of future results. Investors cannot invest
directly in an index.
6
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Bond Outlook 2000
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December 31, 1999
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U.S bonds still haunted by rate-hike fears
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Uncertainty about whether the Federal Reserve will leave short-term interest
rates unchanged or increase them by a quarter or half percentage point should
heighten volatility in U.S. bond markets early in 2000.
After their most recent meeting in late December 1999, the Fed voted to hold
monetary policy steady. But the central bank issued a statement which warned
that if strong demand for goods and services continues to outstrip the potential
supply, inflation could build in the U.S. economy, despite the growth in
productivity. In other words, the Fed might need to hike short-term rates again
to cool off the economy and keep inflation in check. The U.S. central bank's
next meeting is scheduled for February 2000.
Prudential economists expect U.S. economic growth to slow substantially in the
first half of 2000. But if signs of moderating economic growth do not emerge
quickly enough, the belief that another increase in the federal funds rate is
necessary should prompt investors to push bond yields higher (and their prices
lower) early in the year. We expect the yield on the 30-year U.S. Treasury bond
to climb early in 2000 toward the upper end of our expected trading range, which
is 6.00% to 7.00%. The benchmark yield could then drift lower as it becomes
clear that the U.S. economy is losing steam. Indeed, we expect the 30-year
Treasury bond yield to end the year closer to 6.00%. Despite the uncertainty
facing the bond market early in 2000, we expect returns on U.S. investment-grade
bonds to exceed their rather dismal performance of 1999.
There is also upward pressure on European bond yields, because many economists
expect the European Central Bank (ECB) eventually to increase its 3.00%
refinancing rate (what it charges commercial banks for short-term loans) in the
first half of 2000. European economic growth has accelerated amid growing demand
for European exports, which became very competitive because of the euro's 14%
decline against the U.S. dollar in 1999.
U.S. corporate bonds expected to outperform Treasuries
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We expect both U.S. investment-grade and high-yield (junk) corporate bonds to
continue to perform better than comparable Treasuries, albeit to a lesser extent
than in 1999. We believe many investors will remain comfortable owning the debt
securities of corporations if economic growth in the United States stabilizes at
a 3.5% annualized pace this year, as expected by Prudential economists. Junk
bonds appear to be attractive in light of their higher-than-normal yields. The
average yield of the Lehman Brothers High Yield Index stood at 11.50% at the end
of 1999--its highest level in more than seven years.
Rally in emerging market bonds seen on track
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This growing appetite for higher-yielding assets should also continue to benefit
emerging market bonds. We expect crossover buyers--such as those that normally
purchase investment-grade bonds--to turn to emerging market bonds in Asia, Latin
America and eastern Europe to enhance yields on their portfolios. For example,
such investors might be attracted to Brazilian bonds because of that nation's
improving economic fundamentals, consolidating fiscal reform, increasing levels
of foreign direct investment, and better climate for Brazilian exports created
by the global economic recovery. All things considered, we anticipate further
improvement in emerging market bonds, even though we do not expect them to
replicate the hefty returns of 1999.
7
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Prudential Series Fund
Money Market Portfolio
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December 31, 1999
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INVESTMENT GOAL
Current income, stability of capital and maintenance of liquidity.
TYPES OF INVESTMENTS
Short-term money market securities that generally mature in 13 months or less.
These securities primarily consist of Certificates of Deposit (CDs), Commercial
Paper and Bankers' Acceptances, U.S. Treasury bills (T-bills) and other
instruments issued by or guaranteed by the U.S. government or its agencies.
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Seven-Day Current Net Yields
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[GRAPH]
Jun 4.56 4.23
4.58 4.23
4.63 4.27
4.73 4.32
4.73 4.34
Jul 4.77 4.37
4.84 4.39
4.82 4.41
4.83 4.41
4.85 4.46
Aug 4.88 4.49
4.9 4.55
4.95 4.58
4.96 4.6
4.98 4.64
Sep 5.03 4.66
5.09 4.67
5.11 4.71
5.11 4.74
Oct 5.14 4.77
5.16 4.8
5.19 4.81
5.24 4.87
5.28 4.91
Nov 5.29 4.98
5.38 5.01
5.46 5.07
5.56 5.12
Dec 5.65 5.16
Weekly seven-day current net yields of the Money Market Portfolio and the IBC
Taxable General Purpose, First and Second Tier Money Market Fund.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns are not annualized.
2 The Lipper Variable Insurance Products (VIP) Money Market Average is
calculated by Lipper, Inc., and reflects the investment returns of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses, but not product charges.
3 Source: IBC Financial Data, Inc. As of 12/28/99, based on 311 funds in the
IBC Taxable General Purpose, First and Second Tier Money Market Fund.
<TABLE>
<CAPTION>
Performance Summary
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Six 7-day
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year Current Net Yield
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<S> <C> <C> <C> <C> <C> <C>
Money Market Portfolio1 2.63% 4.97% 5.26% 5.36% 5.18% 5.65%
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Lipper (VIP) Money Market Avg.2 2.48% 4.75% 5.02% 5.12% 4.88% N/A
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</TABLE>
Money Market Portfolio inception date: 5/13/83. The yield quotation more closely
reflects the current earnings of the money market portfolio than the total
return quotation.
The Prudential Series Fund Money Market Portfolio returned 4.97% in 1999,
compared with a 4.75% return reported by the average money market fund as
tracked by Lipper, Inc. On December 28, 1999, the Portfolio's seven-day yield
was 5.65%, up from 4.58% on June 25, 1999.
Investors demanded higher yields on money market securities during 1999 in order
to keep pace with the Federal Reserve's three increases in a key short-term
interest rate. Under these market conditions, the Prudential Series Fund Money
Market Portfolio provided a higher-than-average return for 1999.
We managed the Portfolio's cash flow so that we had ample money to buy the
higher-yielding securities that became available after each change in U.S.
monetary policy. We also bought attractively priced adjustable-rate securities
later in the year.
(An investment in the Prudential Series Fund Money Market Portfolio is neither
insured nor guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the Portfolio seeks to preserve the value of your
investment at $10.00 per share, it is possible to lose money by investing in the
Portfolio.)
Performance Review
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Portfolio well-positioned heading into 2000. The Portfolio benefited from the
attractively priced fixed-rate money market securities that we purchased near
the end of 1999 and its higher-than-normal exposure to adjustable-rate
securities of banks and corporations.
8
<PAGE>
Strategy Session
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Portfolio performed well as interest rates rose. The brisk pace of U.S. economic
growth in 1999 threatened to boost the prices of goods and services, and a low
U.S. unemployment rate fueled fears that some employers might have to pay higher
wages to attract or keep their workers. Because of these robust economic
conditions, many investors worried that the Federal Reserve would increase the
federal funds rate (what U.S. banks charge each other for overnight loans) to
curb economic growth and prevent rising inflation. Investors pushed money market
yields higher during the first quarter of 1999 in anticipation of this change in
monetary policy. We locked in yields on one-year securities of banks and
corporations because we did not believe a short-term rate hike was imminent, nor
did we believe the Fed would move as aggressively as indicated by the rise in
yields.
Fed policy makers finally released a statement in mid-May indicating they were
leaning toward tightening monetary policy. In response to this information, we
allowed the Portfolio's weighted average maturity (WAM) to shorten. WAM is a
measurement tool that determines a fund's sensitivity to changes in the level of
interest rates. It takes into account the maturity level of each security held
by a fund. Having a shorter WAM prior to the change in monetary policy enabled
the Portfolio to have ample money to buy higher-yielding securities that became
available after the federal funds rate was increased by a quarter of a
percentage point to 5.00% in June 1999. The Fed raised the key rate by the same
amount in August and again in November 1999, leaving it at 5.50%. Before both of
these moves, we also allowed the Portfolio's WAM to shorten and then purchased
higher-yielding securities after the respective rate hikes.
Throughout the second half of 1999, we focused on money market securities whose
interest rates adjusted periodically based on a London Interbank Offered Rate.
Some corporations and banks rushed to issue these securities as worries that
computers might malfunction at the end of the year provided incentive for them
to get their year-end borrowing done early. This abnormally large supply of
adjustable-rate securities provided unusually attractive yield spreads in order
to entice investors. We took advantage of this buying opportunity.
Outlook
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Portfolio Managers Manolita Brasil, Joseph Tully
[PHOTO] [PHOTO]
We expect more short-term rate hikes.
"Continued heavy spending by consumers and a strong domestic labor market have
heightened the risk of rising inflation in the U.S. economy. Therefore, we
expect the Fed to tighten monetary policy on more than one occasion in 2000."
Portfolio Composition
as of 12/31/99
--------------
Other Corporate Obligations 36.4%
Other Commercial Paper 29.6%
Foreign Bank Obligations 15.0%
U.S. Bank Obligations 10.4%
Yankee Commercial Paper 8.1%
Funding Agreements 0.5%
Source: Prudential. 37.9% of the Portfolio holdings are adjustable rate
securities. Holdings are subject to change.
9
<PAGE>
Prudential Series Fund
Diversified Bond Portfolio
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December 31, 1999
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INVESTMENT GOAL
High level of income over the long term while providing reasonable safety of
capital.
TYPES OF INVESTMENTS
U.S. government securities, mortgage-backed bonds, both investment-grade and
high-yield ("junk bond") corporate debt and foreign securities (dollar and non-
dollar denominated).
INVESTMENT STYLE
This Portfolio seeks the highest yield while maintaining safety of capital, by
strategically allocating Portfolio assets among the above classes of bonds.
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$10,000 Invested Over Ten Years
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[GRAPH]
89 10,000 10,000 10,000
10,220 10,224 10,283
90 10,832 10,608 10,896
11,319 11,184 11,383
91 12,613 12,432 12,640
12,954 12,806 12,982
92 13,519 13,401 13,575
14,497 14,527 14,511
93 14,889 15,049 14,899
14,321 14,282 14,323
94 14,408 14,373 14,464
16,148 16,173 16,120
95 17,395 17,346 17,136
17,128 17,061 16,928
96 18,160 18,034 17,759
18,906 18,609 18,308
97 19,716 19,885 19,473
20,590 20,697 20,238
98 21,126 21,323 21,165
20,779 20,832 20,875
99 20,971 20,884 20,991
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risk of currency fluctuation and the impact of social, political and
economic change.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns are not annualized.
2 The Lipper Variable Insurance Products (VIP) Corporate Debt BBB Average is
calculated by Lipper, Inc., and reflects the investment returns of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses, but not product charges.
3 The Lehman Aggregate Bond Index (LAI) is comprised of more than 5,000
government and corporate bonds. The LAI is an unmanaged index that includes
the reinvestment of all interest, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the LAI may differ substantially
from the securities in the Portfolio. The LAI is not the only index that
may be used to characterize performance of income funds, and other indexes
may portray different comparative performance.
<TABLE>
<CAPTION>
Performance Summary
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Diversified Bond Portfolio1 0.92% -0.74% 4.91% 7.80% 7.69%
- ------------------------------------------------------------------------------------
Lipper (VIP) Corp. Debt BBB Avg.2 0.23% -1.62% 5.15% 7.83% 7.62%
- ------------------------------------------------------------------------------------
Lehman Aggregate Bond Index3 0.56% -0.82% 5.73% 7.73% 7.70%
- ------------------------------------------------------------------------------------
</TABLE>
Diversified Bond Portfolio inception date: 5/13/83.
For 1999, the Prudential Series Fund Diversified Bond Portfolio's decline of
0.74% still outperformed the 1.62% drop on the Lipper (VIP) Corporate Debt BBB
Average.
The Portfolio had a disappointing year in 1999, as did the bond market as a
whole, primarily because of inflation fears along with the resurgence of the
global economy sending interest rates higher. Anticipating that the Federal
Reserve would have to raise the federal funds rate to slow the U.S. economy and
quell inflation fears, investors drove yields of many debt securities higher and
their prices, which move in the opposite direction, lower.
Among the debt securities affected were U.S. Treasuries and investment-grade
corporate bonds. The federal funds rate was indeed increased on June 30, 1999,
as well as on August 24, 1999, and November 16, 1999. Each increase was 25 basis
points (one quarter of 1 percent).
Performance Review
- --------------------------------------------------------------------------------
The Portfolio's performance was affected by its fairly large exposure to
investment-grade corporate bonds, particularly early in the year, and the sell-
off in U.S. Treasuries.
The corporate bond market still performed better than U.S. Treasuries in 1999 as
corporate bond spreads recovered from their 1998 wide levels. As the year
progressed, the market became soft, and prices of long-term, investment-grade
corporate bonds, which we mostly held, fell further than those with a shorter
duration stance. The Lehman Brothers Government/Corporate Bond Index fell 2.15%
overall in 1999, with a 0.39% gain in intermediate-term securities, but a 7.65%
drop in long-term securities.
10
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
A tough time for bonds. The U.S. economy continued its strong growth cycle in
1999, and the global economy sustained its rebound throughout the year. Under
this scenario, inflation fears grew, and investors drove the yields on many
fixed-income securities higher and their prices lower. Lower-rated fixed-income
securities that offer a large incremental yield over U.S. Treasuries, such as
high-yield corporate bonds and emerging market bonds, fared better in this
market environment. By contrast, the general safety of investment-grade
corporate bonds and U.S. Treasuries, which the Portfolio mostly holds, was not
sought after by investors, and these sectors performed poorly.
We began 1999 holding more corporate bonds than our competitive universe.
Furthermore, the corporate bonds we held had longer-than-average maturities than
that of the average bond portfolio. As the year progressed, investors decided
the world was now a safer place to invest their money and sold out of U.S.
Treasuries and investment-grade corporate bonds. By doing this, they drove the
prices of these securities lower and their yields higher. Additionally, the
prices of securities that had a longer-than-average duration fell substantially
compared to those with a shorter duration. Duration is a measure of sensitivity
to interest rate changes. We did cut back on our investment-grade corporate bond
holdings in the spring, especially longer-maturity issues, to realize spread
profits from prior purchases. We moved to pull the Portfolio's duration closer
to a neutral stance throughout the year, which stabilized its performance.
After selling our longer-duration, investment-grade corporate bonds to cut our
duration stance and help performance, we bought U.S. Treasuries that mostly had
shorter-term maturities. We did this to position the Portfolio for the
anticipated interest-rate hike by the Federal Reserve. The Fed did raise the
federal funds rate (the rate that banks charge each other for overnight loans)
25 basis points, or 0.25%, on June 30, 1999. By using this strategy, we were
able to find good bargains in Treasuries because they were fairly cheap, and
bring some safety and liquidity back into the Portfolio. Furthermore, the
corporate bond market, overall, became soft reflecting the continued heavy new-
issue calendar it had.
Bolstered by Asia's continued economic turnaround, emerging market fixed-income
securities began to perform nicely, and their countries' economic fundamentals
strengthened as well. Many of the countries in this sector (Malaysia, Mexico,
Bulgaria and Brazil) had their bonds upgraded. Therefore, we were able to add
emerging market, dollar-denominated bonds to the Portfolio at cheap levels. This
greatly increased our exposure to these bonds and benefited the Portfolio's
performance.
Outlook
- --------------------------------------------------------------------------------
Portfolio Manager Steven Kellner
[PHOTO]
U.S. economic expansion could moderate.
"Although economic activity in 1999 was stronger than expected, we still may not
see significantly higher Treasury yields than where they are currently
positioned. We also believe the U.S. economic expansion could moderate in 2000.
If the economy behaves as expected, the 30-year Treasury bond yield could
fluctuate in a range of 6% to 7%."
Portfolio Composition
as of 12/31/99
--------------
Corporate Bonds 80.4%
U.S. Treasuries 9.8%
Asset-Backed 5.3%
Mortgages 2.0%
Cash/Other 2.0%
U.S. Government Agencies 0.5%
Source: Prudential. Holdings are subject to change.
Credit Quality
as of 12/31/99
--------------
U.S. Government Agencies 10.3%
AAA 7.6%
AA 6.6%
A 24.0%
BBB 38.7%
BB 11.2%
Short-Term/Cash 1.6%
Average Credit Quality A
Duration 5.30 years
Average Maturity 9.42 years
Source: Prudential. Holdings are subject to change.
11
<PAGE>
Prudential Series Fund
Conservative Balanced Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
Favorable total return consistent with a more conservatively managed diversified
portfolio
TYPES OF INVESTMENTS
Money market instruments, bonds and common stocks of both established and
smaller companies.
INVESTMENT STYLE
The Portfolio management team holds a baseline allocation of 35% stocks and 65%
debt obligations and money market securities.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
- --------------------------------------------------------------------------------
[GRAPH]
89 10,000 10,000 10,000 10,000
10,336 10,209 10,242 10,308
90 10,527 10,134 10,828 9,689
11,386 10,975 11,288 11,068
91 12,535 12,197 12,575 12,635
12,647 12,320 12,888 12,550
92 13,406 13,198 13,528 13,596
14,456 13,983 14,582 14,257
93 15,042 14,678 15,020 14,963
14,691 14,059 14,369 14,457
94 14,896 14,298 14,493 15,160
16,362 16,278 16,203 18,220
95 17,469 17,732 17,282 20,850
18,350 18,525 16,957 22,953
96 19,675 19,933 17,784 25,634
21,208 21,906 18,272 30,914
97 22,322 23,605 19,519 34,183
24,112 25,925 20,333 40,241
98 24,941 27,134 21,368 43,959
25,949 28,972 20,881 49,400
99 26,611 30,228 20,909 53,205
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risk of currency fluctuation and the impact of social, political and
economic change.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) Balanced Funds Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses, but not product charges.
3 The S&P 500 Composite Stock Price Index is a capital-weighted index
representing the aggregate market value of the common equity of 500 stocks
primarily traded on the New York Stock Exchange. The S&P 500 is an
unmanaged index that includes the reinvestment of all dividends, but does
not reflect the payment of transaction costs and advisory fees associated
with an investment in the Portfolio. The securities that comprise the S&P
500 may differ substantially from the securities in the Portfolio.
4 The Lehman Government/Corporate Bond Index is comprised of government and
corporate bonds. The Index is an unmanaged index that includes the
reinvestment of all interest, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the index may differ substantially
from the securities in the Portfolio. The Lehman Gov't./Corp. Bond Index is
not the only index that may be used to characterize performance of income
funds, and other indexes may portray different comparative performance.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- --------------------------------------------------------------------------------
Conservative Balanced Portfolio1 2.55% 6.69% 10.59% 12.30% 10.28%
- --------------------------------------------------------------------------------
Lipper (VIP) Balanced Funds Avg.2 2.48% 8.58% 14.28% 15.99% 11.65%
- --------------------------------------------------------------------------------
S&P 500 Index3 7.70% 21.03% 27.56% 28.54% 18.19%
- --------------------------------------------------------------------------------
Lehman Gov't./Corp. Bond Index4 0.04% -2.23% 5.58% 7.44% 7.71%
- --------------------------------------------------------------------------------
Conservative Balanced Portfolio inception date: 5/13/83.
The Prudential Series Fund Conservative Balanced Portfolio--which invests in a
conservative mix of bonds, stocks and money market securities--returned 6.69% in
1999, well above the average bond return, because this was a strong year for
stocks and a very poor one for bonds. It trailed the 8.58% return of the Lipper
(VIP) Balanced Fund Average because the Portfolio's conservative mandate
requires a smaller proportion of equities in the asset allocation than the
typical balanced portfolio.
In 1999, stock allocations were kept somewhat above the Portfolio's normal 35%,
adding to the benefit of the strong stock market performance. However, the
portion of our stocks that were actively managed in a value style substantially
trailed the S&P 500, because the index return was boosted by the exceptionally
high returns of technology growth stocks. Moreover, the benefit of the larger
stock allocation was offset by the impact of shifting most of the normal money
market allocation into intermediate bonds. Although the Portfolio's bonds
outperformed their intermediate-bond benchmark, 1999 was a very poor year for
bonds.
Performance Review
- --------------------------------------------------------------------------------
The normal allocation of the Conservative Balanced Portfolio is approximately
equal holdings of stocks, bonds and money market instruments. This balance is
intended to provide better performance than a portfolio consisting only of
bonds, but with less annual volatility. For the past several years, we shifted
most of the money market allocation to intermediate-term bonds to improve the
Portfolio's return. Although that strategy was rewarded in preceding years, 1999
was a particularly poor year for bonds. Our long-term bonds faced only the
second year of negative performance for the bond market (as measured by the
Lehman Brothers U.S. Aggregate Index) since the index began in 1976. The
intermediate-term bonds, though they turned in a positive performance,
contributed less than in previous years.
Another poor year for value stocks. A portion of our stocks is managed with an
active style that has a significant exposure to stocks of mid-sized companies
trading at attractive values. These stocks did not participate in the technology
stock market rally. Consumer cyclical stocks, such as that of housing-related
Owens Corning (insulation and glass), performed poorly. The insurance industry
also had a weak year, which hurt the financial holdings, but brokerages and
integrated financial service companies, such as Lehman Brothers, Morgan Stanley
Dean Witter, and Citigroup, made a substantial contribution to the Portfolio's
return.
12
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
Active asset allocation. We use a mathematical model to compare the expected
return on the entire stock market (determined primarily by prices and estimated
earnings) to interest rates on bonds. We try to increase the proportion of the
asset class (e.g., stocks or bonds) that offers the best value at any given
time.
Because asset class has a greater impact on returns over the long term than
selection of individual securities, these shifts in allocation may affect
returns significantly. However, such shifts are made less frequently than in the
Flexible Managed Portfolio. The equity allocation is shared between a portion
managed to mirror the behavior of the S&P 500 Index and a part actively managed
in a value style. We continue to invest much of the money market allocation in
intermediate bonds.
Bond strategy: no change. As the global economy speeds up with the recovery of
Asia and the acceleration of Europe, the outlook for corporate profit growth is
good. The higher yields of corporate bonds over government issues make them more
attractive, and we have thus overweighted them.
Value investing. Industrials are our largest focus. Alcoa, the aluminum company,
made a substantial contribution to our return. Demand is high, and Alcoa owns a
large part of the world's supply of alumina, the ore from which aluminum comes.
Paper companies, such as Boise Cascade, Champion International, Mead, and
Georgia Pacific, are benefiting from a slowdown in new capacity.
Outlook
- --------------------------------------------------------------------------------
Portfolio Manager Mark Stumpp
[PHOTO]
On average, stocks are expensive.
"Our asset allocation technology does not attempt to predict the future, but
rather attempts to react to pricing variations as they occur in the market. At
the beginning of the year 2000, our models suggest that stocks are still
somewhat expensive, because today's higher interest rates reduce the value
implicit in strongly rising earnings. Although we believe our models may
somewhat undervalue the growth stocks that have become a larger share of the
stock market, we think, nonetheless, that the risks associated with stocks at
these prices are greater than the potential rewards. We will wait for either a
break in interest rates or falling stock prices before significantly
overweighting stocks compared with our normal levels."
Portfolio Composition (Long Term)
as of 12/31/99
--------------
Bonds 56.2%
Stocks 42.4%
Money Market 1.4%
Source: Prudential. Holdings subject to change.
Sector Breakdown--Stock
as of 12/31/99
--------------
Technology 25.3%
Consumer Growth & Staples 21.0%
Industrials 14.9%
Financials 14.6%
Consumer Cyclicals 9.4%
Utilities 8.6%
Energy 5.8%
Miscellaneous 0.4%
Sector Breakdown--Bond
as of 12/31/99
--------------
Corporate Bonds 87.6%
U.S. Treasuries 5.1%
Asset-Backed 4.1%
Short-Term/Cash 1.9%
Equity Securities 1.1%
Miscellaneous 0.2%
Source: Prudential. Holdings subject to change.
13
<PAGE>
Prudential Series Fund
Flexible Managed Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
High total return consistent with a more aggressively managed portfolio.
TYPES OF INVESTMENTS
Money market instruments, bonds and common stocks of both established and
smaller companies.
INVESTMENT STYLE
The Portfolio management team holds a baseline allocation of 60% stocks and 40%
bonds.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
- --------------------------------------------------------------------------------
89 10,000 10,000 10,000 10,000
10,198 10,266 10,242 10,308
90 10,191 10,101 10,828 9,689
11,078 11,230 11,288 11,068
91 12,783 12,734 12,575 12,635
12,507 12,749 12,888 12,550
92 13,756 13,750 13,528 13,596
14,982 14,597 14,582 14,257
93 15,899 15,389 15,020 14,963
15,032 14,771 14,369 14,457
94 15,396 15,138 14,493 15,160
17,268 17,286 16,203 18,220
95 19,111 19,044 17,282 20,850
20,087 20,122 16,957 22,953
96 21,717 21,797 17,784 25,634
23,916 24,141 18,272 30,914
97 25,618 26,141 19,519 34,183
28,073 28,951 20,333 40,241
98 28,240 30,260 21,368 43,959
30,091 32,174 20,881 49,400
99 30,436 34,262 20,909 53,205
The Portfolio may invest in foreign securities. Foreign investments are
subject to the risk of currency fluctuation and the impact of social,
political and economic change.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) Flexible Average is calculated
by Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses, but not product charges.
3 The S&P 500 Composite Stock Price Index is a capital-weighted index
representing the aggregate market value of the common equity of 500 stocks
primarily traded on the New York Stock Exchange. The S&P 500 is an
unmanaged index that includes the reinvestment of all dividends, but does
not reflect the payment of transaction costs and advisory fees associated
with an investment in the Portfolio. The securities that comprise the S&P
500 may differ substantially from the securities in the Portfolio.
4 The Lehman Government/Corporate Bond Index is comprised of government and
corporate bonds. The Index is an unmanaged index that includes the
reinvestment of all interest, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the index may differ substantially
from the securities in the Portfolio. The Lehman Gov't./Corp. Bond Index is
not the only index that may be used to characterize performance of income
funds, and other indexes may portray different comparative performance.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- --------------------------------------------------------------------------------
Flexible Managed Portfolio1 1.15% 7.78% 11.91% 14.60% 11.77%
- --------------------------------------------------------------------------------
Lipper (VIP) Flexible Avg.2 5.63% 12.07% 15.17% 17.11% 12.94%
- --------------------------------------------------------------------------------
S&P 500 Index3 7.70% 21.03% 27.56% 28.54% 18.19%
- --------------------------------------------------------------------------------
Lehman Gov't./Corp. Bond Index4 0.04% -2.23% 5.58% 7.44% 7.71%
- --------------------------------------------------------------------------------
Flexible Managed Portfolio inception date: 5/13/83.
The Prudential Series Fund Flexible Managed Portfolio--which invests in an
actively managed mix of stocks, bonds and money market securities--had an
overall return of 7.78%. The gain was a result of the strong performance of
stocks in 1999, while the bond market (as measured by the Lehman Brothers U.S.
Aggregate Index) had only the second year of negative performance since the
Index began in 1976. The Portfolio trailed the 12.07% Lipper (VIP) Flexible Fund
Average, primarily because the portion of our stocks that were actively managed
in a value style substantially trailed that of the S&P 500.
In addition, our models indicated that stocks were overvalued for much of the
year, so we were slightly below our 60% norm and did not participate as fully,
as we might have, when markets rose. Although the bond market lost ground
overall in 1999, our bond holdings held up considerably better than their
benchmark.
Performance Review
- --------------------------------------------------------------------------------
A tightly focused market. Our asset pricing model compares the current price of
stocks and bonds, considering earnings, earnings growth, and interest rates. In
1999, stocks looked overvalued, but the threat of rising interest rates and a
strong enthusiasm for technology stocks pulled investors to the stock market
nonetheless. The portion of our portfolio allocated to the broad stock market
performed best. We had significant exposure to stocks throughout the period, but
had slightly underweighted them relative to our normal position. As a result,
the benefit from the rising market was somewhat less than it might have been.
Over the year, rising interest rates pushed down bond prices. Our bond portfolio
had a focus on corporate bonds instead of U.S. Treasuries, and the impact of
falling interest rates was mostly offset by the higher yields on corporates and
by the fact that their prices held up better than those of Treasuries. They
began the year being relatively inexpensive because during the financial crisis
of 1997-98, investors strongly preferred the greater safety of U.S. government
bonds. As the world appeared a safer place, the higher yields on corporates
attracted more investors.
Another poor year for value stocks. Half of our stocks are managed with an
active style that has a significant exposure to stocks of mid-sized companies
trading at attractive values. These stocks did not participate in the technology
stock market rally. Consumer cyclical stocks, such as those of housing-related
Owens Corning (insulation and glass) and Oakwood (manufactured housing),
performed poorly. The insurance industry had a poor year, which hurt the
financial holdings, but brokerages and integrated financial service companies,
such as Lehman Brothers, Morgan Stanley Dean Witter, and Citigroup, made a
substantial contribution to the Portfolio's return.
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
Active asset allocation. We use a mathematical model to compare the expected
return on the entire stock market (determined primarily by prices and estimated
earnings) to interest rates on bonds. We try to increase the proportion of the
asset class (e.g., stocks or bonds) that offers the best value at any time.
Because asset class has a greater impact on returns over the long term than
selection of individual securities, these shifts in allocation may affect
returns significantly. Your equity allocation is shared between a portion
managed to mirror the behavior of the S&P 500 Index and a part actively managed
in a value style.
Value investing. Industrials are our largest focus. Alcoa, the aluminum company,
made a substantial contribution to our return. Demand is high, and Alcoa owns a
large part of the world's supply of alumina, the ore from which aluminum comes.
Paper companies, such as Boise Cascade, Champion International, Mead, and
Georgia Pacific, are benefiting from a slowdown in new capacity.
Bond strategy: no change. As the global economy speeds up with the recovery of
Asia and the acceleration of Europe, the outlook for corporate profit growth is
good. The higher yields of corporate bonds over government issues make them more
attractive, and we have thus overweighted them.
Outlook
- --------------------------------------------------------------------------------
Portfolio Manager Mark Stumpp
[PHOTO]
On average, stocks are expensive.
"Our asset allocation technology does not attempt to predict the future, but
rather attempts to react to pricing variations as they occur in the market. At
the beginning of the year 2000, our models suggest that stocks are still
somewhat expensive, because today's higher interest rates reduce the value
implicit in strongly rising earnings. Although we believe our models may
somewhat undervalue the growth stocks that have become a larger share of the
stock market, we think, nonetheless, that the risks associated with stocks at
these prices are greater than the potential rewards. We will wait for either a
break in interest rates or falling stock prices before significantly
overweighting stocks compared with our normal levels."
Portfolio Composition (Long Term)
as of 12/31/99
--------------
Stocks 57.4%
Bonds 41.8%
Money Market 0.8%
Source: Prudential. Holdings subject to change.
Sector Breakdown--Stock
as of 12/31/99
--------------
Industrials 21.9%
Consumer Growth & Staples 18.6%
Technology 17.9%
Financials 17.0%
Consumer Cyclicals 11.9%
Utilities 6.5%
Energy 5.9%
Miscellaneous 0.3%
Sector Breakdown--Bond
as of 12/31/99
--------------
Corporate Bonds 78.5%
U.S. Treasuries 13.0%
Asset-Backed 5.3%
Short-Term/Cash 1.7%
Equity Securities 1.3%
U.S. Government Agencies 0.2%
Source: Prudential. Holdings subject to change.
<PAGE>
Prudential Series Fund
High Yield Bond Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
High total return.
TYPES OF INVESTMENTS
Primarily noninvestment-grade bonds. These bonds have speculative
characteristics and are subject to greater credit and market risk than higher-
quality securities.
INVESTMENT STYLE
Concentrates primarily on junk bonds that appear to offer an attractive
combination of high current income and attractive total return.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
- --------------------------------------------------------------------------------
[GRAPH]
89 10,000 10,000 10,000
10,114 10,146 10,249
90 8,816 9,302 9,041
11,044 11,294 11,718
91 12,253 12,595 13,217
13,568 13,923 14,585
92 14,401 14,675 15,299
16,037 16,353 16,911
93 17,176 17,446 17,917
16,988 17,033 17,511
94 16,709 16,924 17,733
18,302 18,762 19,934
95 19,643 20,058 21,133
20,583 20,990 21,863
96 21,881 22,725 23,532
23,166 24,065 24,901
97 24,897 25,677 26,535
26,191 26,791 27,729
98 24,310 25,455 27,030
25,160 26,200 27,625
99 25,431 26,405 27,677
The Portfolio may invest in foreign securities. Foreign investments are
subject to the risk of currency fluctuation and the impact of social,
political and economic change.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) High Current Yield Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses, but not product charges.
3 The Lehman Corporate High Yield Index (LHYI) is comprised of over 700
noninvestment-grade bonds. The LHYI is an unmanaged index that includes the
reinvestment of all interest, but does not reflect the payment of
transaction costs and advisory fees associated with an investment in the
Portfolio. The securities that comprise the LHYI may differ substantially
from the securities in the Portfolio. The LHYI is not the only index that
may be used to characterize performance of income funds, and other indexes
may portray different comparative performance.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- --------------------------------------------------------------------------------
High Yield Bond Portfolio1 1.08% 4.61% 5.14% 8.76% 9.78%
- --------------------------------------------------------------------------------
Lipper (VIP) High Current Yield Avg.2 0.66% 3.83% 5.72% 9.48% 10.15%
- --------------------------------------------------------------------------------
Lehman Corporate High Yield Index3 0.19% 2.39% 5.56% 9.31% 10.72%
- --------------------------------------------------------------------------------
High Yield Bond Portfolio inception date: 2/3/87.
The Prudential Series Fund High Yield Bond Portfolio provided a 4.61% return in
1999 that beat the 3.83% return of the average variable investment product high
current yield fund as measured by Lipper, Inc.
The Portfolio outperformed its benchmark Lipper Average largely because of its
exposure to the bonds of U.S. telecommunications companies and cable television
firms, both of which performed extremely well during the year.
Overall, 1999 was a challenging year for all U.S. fixed-income markets,
including high-yield (junk) bonds. Investors demanded higher yields and lower
prices on U.S. bonds in order to keep pace with the Federal Reserve's three
increases in a key short-term interest rate. Under these bearish market
conditions, the Lehman Brothers Corporate High Yield Index still posted a 2.39%
return in 1999 that beat all other U.S. debt securities markets.
Performance Review
- --------------------------------------------------------------------------------
Bonds rated single-B or lower benefited the Portfolio. The Portfolio held a
larger percentage of high-yield bonds rated single-B and below than the Lehman
Brothers U.S. Corporate High Yield Index. These were the best performing quality
tiers of the high-yield bond market in 1999.
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
Portfolio focused on bonds of the telecommunications and cable television
sectors. Several factors affected the U.S. high-yield bond market during 1999--a
rising interest rate environment, an increase in the number of companies that
failed to make timely interest payments on their junk bonds, and residual
concern about a global financial crisis that occurred in 1997 and 1998.
The Federal Reserve increased the federal funds rate (what banks charge each
other for overnight loans) by a quarter of a percentage point in June, August,
and November 1999, which left the rate at 5.50%. By hiking this key rate, the
Fed hoped that higher borrowing costs for businesses and consumers would slow
the brisk pace of U.S. economic growth and prevent a build-up in inflation. In
this rising interest rate environment, investors required higher yields (and
lower prices) on U.S. debt securities, including junk bonds. High-yield bonds
also sold off amid concern about the growing number of companies that did not
make scheduled interest payments on their junk bonds in 1999.
The Portfolio emphasized bonds of telecommunications companies and cable
television firms amid this bearish trend. The strong performance of these bonds
relative to most other sectors of the high-yield market helped the Portfolio
beat its benchmark Lipper average. We believe both industries offer solid
potential for earnings growth as well as potential for positive event risk, such
as acquisitions or business combinations. Examples include Microsoft's
investment in Comcast Corp. and Charter Communications acquisition of several
small cable companies, whose bonds are held by the Portfolio. We increased
telecommunications bonds to 22.6% of the Portfolio's total investments as of
December 31, 1999. Meanwhile, we trimmed the Portfolio's exposure to health care
bonds, as this was one of the worst performing sectors of the high-yield market
in 1999.
Throughout the year, we also focused on adding larger bond issues to the
Portfolio. They are more liquid or easier to buy and sell than smaller bond
issues. During the global financial crisis of 1997 and 1998, many investors
favored the most liquid bonds. Even though the world economy began recovering
from the global financial crisis in 1999, there was a strong preference for the
most liquid junk bonds within the market for high-yield debt securities.
Outlook
- --------------------------------------------------------------------------------
Portfolio Managers Casey Walsh, and George W. Edwards, CFA
[PHOTO]
[PHOTO]
We see good value in the high-yield bond market.
"With the rise in interest rates, the yields offered by junk bonds appear to be
attractive, and volatility has been lower in the high-yield bond market than in
most other fixed-income markets. The continued expansion of the U.S. economy is
another positive for high-yield bonds."
Top Industries
as of 12/31/99
--------------
Telecommunications 22.6%
Cable 8.1%
Media 6.2%
Capital Goods 5.8%
Retail 5.6%
Top Issuers
as of 12/31/99
--------------
Nextel Communications, Inc. 1.9%
Intermedia Communications 1.4%
Allied Waste 1.2%
United Pan-Europe 1.2%
Adelphia Communications 1.0%
Source: Prudential. Holdings are subject to change.
Credit Quality
as of 12/31/99
--------------
Baa 0.7%
Ba 8.0%
B 56.2%
Caa 10.6%
Ca 0.6%
C 0.5%
Not-Rated 8.9%
Equity 9.3%
Cash 5.2%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Stock Index Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
Seeks results that correspond to the price and yield performance of the S&P 500
Index.3
TYPES OF INVESTMENTS
Primarily stocks in the S&P 500 Index.
INVESTMENT STYLE
The Portfolio attempts to hold the same stocks as the S&P 500 Index, in approxi-
mately the same proportions. The Portfolio thus tends to reflect the general
trends of the overall U.S. equity market.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
- --------------------------------------------------------------------------------
[GRAPH]
89 10,000 10,000 10,000
10,267 10,224 10,308
90 9,637 9,579 9,689
10,980 10,993 11,068
91 12,501 12,487 12,635
12,390 12,370 12,550
92 13,393 13,403 13,596
14,015 14,104 14,257
93 14,687 14,783 14,963
14,168 14,266 14,457
94 14,835 14,911 15,160
17,797 17,875 18,220
95 20,334 20,398 20,850
22,357 22,418 22,953
96 24,923 25,028 25,634
29,986 30,040 30,914
97 33,105 33,146 34,183
38,890 38,925 40,241
98 42,515 42,487 43,959
47,656 47,627 49,400
99 51,249 51,200 53,205
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) S&P 500 Index Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses, but not product charges.
3 The S&P 500 Composite Stock Price Index is a capital-weighted index
representing the aggregate market value of the common equity of 500 stocks
primarily traded on the New York Stock Exchange. The S&P 500 is an
unmanaged index that includes the reinvestment of all dividends, but does
not reflect the payment of transaction costs and advisory fees associated
with an investment in the Portfolio.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- --------------------------------------------------------------------------------
Stock Index Portfolio1 7.54% 20.54% 27.16% 28.14% 17.75%
- --------------------------------------------------------------------------------
Lipper (VIP) S&P 500 Index Avg.2 7.48% 20.48% 27.07% 28.07% 17.74%
- --------------------------------------------------------------------------------
S&P 500 Index3 7.70% 21.03% 27.56% 28.54% 18.19%
- --------------------------------------------------------------------------------
Stock Index Portfolio inception date: 10/19/87.
The Prudential Series Fund Stock Index Portfolio returned 20.54%, a half
percentage point below the S&P 500 Index, reflecting the inclusion of
transaction costs and fees for the Portfolio.
The S&P 500 Index notched the fifth consecutive year of returns above 20% with a
21.03% performance. Most of the gains came in the technology sector, which
averaged a 75% return, led by electronic instruments and communication
equipment. However, consumer staples, health care, transportation, and utilities
all had negative annual returns.
The Standard & Poor's 500 Index is an unmanaged index. Standard & Poor's neither
sponsors nor endorses the Stock Index Portfolio. Investors cannot directly
invest in any index, including the S&P 500 Index.
Performance Review
- --------------------------------------------------------------------------------
The revival of Asian economies contributed to the rise of U.S. capital goods and
basic materials stocks, as these are the sectors to growing economies. Both
sectors had languished during the Asian recession, and so could bounce up from
low share prices. Aluminum, other metals, and oil and gas all were among the
best-performing groups.
However, this revival of cyclical stocks was dwarfed by the enthusiasm for
technology, including telecommunications equipment companies. The market leader
over the year was the remarkable 2,619% return on Qualcomm, a manufacturer of
cellular telephones. The technology sector had a 75% average return, compared to
29% for the second-highest performing capital goods sector.
The strong market focus on technology was reflected in disinterest in stocks in
other sectors, including utilities, health care, and consumer staples. All had
negative average returns.
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
The Stock Index Portfolio attempts to hold all 500 stocks included in the S&P
500 Index and to duplicate its performance. Portfolio Manager John W.
Moschberger manages the Portfolio by investing funds received while trying to
minimize commissions and transaction costs.
Outlook
- --------------------------------------------------------------------------------
Portfolio Manager John W. Moschberger
[PHOTO]
Will momentum continue?
"Nineteen ninety-nine saw a strange mix of stock performances. Often, either
growth or value stocks do well, but not both. Last year, technology growth
stocks led the market by a large margin, but they were followed by value
sectors, capital goods and basic materials.
"Aluminum, which had been an inexpensive commodity industry, returned more than
90%. It was not a combination of returns likely to have been predicted, which is
why an index portfolio was a good place to be.
"Technology and telecommunications stocks have gotten very expensive compared
with both historical price/earnings ratios and the market averages. But, given
investors' apparent obliviousness to price over the past year, it would be
foolhardy to try to forecast when the market will correct. The Prudential Stock
Index Portfolio continues to include both the inexpensive commodity stocks and
the high-momentum technology stocks. Whether the market corrects or not, you'll
have a piece of the action."
S&P 500 Index--
Total Return by Sector
as of 12/31/99
--------------
Technology 75.1%
Capital Goods 28.9%
Basic Materials 26.4%
Consumer Cyclicals 22.3%
Communication Services 19.1%
Energy 19.0%
Financials 4.0%
Consumer Staples -6.3%
Health Care -8.2%
Utilities -8.9%
Transportation -9.7%
S&P 500 Index 21.0%
Source: Standard & Poor's.
S&P 500 Index Composition
as of 12/31/99
--------------
Technology 29.8%
Financials 13.1%
Consumer Staples 11.1%
Consumer Cyclicals 9.2%
Health Care 9.0%
Capital Goods 8.4%
Communication Services 7.6%
Energy 5.5%
Basic Materials 3.0%
Utilities 2.3%
Transportation 1.0%
Source: Standard & Poor's. Holdings are subject to change.
Top Ten Holdings (% of Portfolio)
as of 12/31/99
--------------
Microsoft Corp. 4.8%
General Electric Co. 4.1%
Cisco Systems, Inc. 2.8%
Wal-Mart Stores, Inc. 2.5%
Exxon Mobil Corp. 2.2%
Intel Corp. 2.2%
Lucent Technologies, Inc. 1.9%
IBM 1.6%
Citigroup, Inc. 1.5%
America Online, Inc. 1.4%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Equity Income Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
Current income and capital appreciation.
TYPES OF INVESTMENTS
Primarily stocks and convertible securities with prospects for income returns
above those of the S&P 500 Index3
INVESTMENT STYLE
The Portfolio uses a "value" investment approach to companies that are
attractively priced relative to book value, earnings, discretionary cash flow,
sales and other measures of value.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
- --------------------------------------------------------------------------------
[GRAPH]
89 10,000 10,000 10,000
9,936 10,062 10,308
90 9,627 9,230 9,689
10,949 10,364 11,068
91 12,275 11,630 12,635
12,438 11,739 12,550
92 13,520 12,802 13,596
15,628 13,892 14,257
93 16,533 14,702 14,963
16,363 14,249 14,457
94 16,770 14,727 15,160
19,137 17,390 18,220
95 20,410 19,418 20,850
21,849 20,702 22,953
96 24,847 23,128 25,634
29,188 27,441 30,914
97 33,943 30,524 34,183
37,302 34,225 40,241
98 33,134 34,940 43,959
39,189 39,081 49,400
99 37,284 39,858 53,205
The Portfolio may invest in foreign securities. Foreign investments are
subject to the risk of currency fluctuation and the impact of social,
political and economic change.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) Equity Income Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns and
rankings are net of investment fees and fund expenses, but not product
charges.
3 The S&P 500 Composite Stock Price Index is a capital-weighted index
representing the aggregate market value of the common equity of 500 stocks
primarily traded on the New York Stock Exchange. The S&P 500 is an
unmanaged index that includes the reinvestment of all dividends, but does
not reflect the payment of transaction costs and advisory fees associated
with an investment in the Portfolio. The securities that comprise the S&P
500 may differ substantially from the securities in the Portfolio.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- --------------------------------------------------------------------------------
Equity Income Portfolio1 -4.86% 12.52% 14.49% 17.33% 14.06%
- --------------------------------------------------------------------------------
Lipper (VIP) Equity Income Avg.2 -1.14% 9.78% 16.38% 20.59% 14.64%
- --------------------------------------------------------------------------------
S&P 500 Index3 7.70% 21.03% 27.56% 28.54% 18.19%
- --------------------------------------------------------------------------------
Equity Income Portfolio inception date: 2/19/88.
Over the past year, the Prudential Series Fund Equity Income Portfolio gained
12.52%, while the Lipper (VIP) Equity Income Average gained 9.78%. As the global
economy improved, our industrial stocks--aluminum, paper, and chemicals--
performed well.
The strong stock market helped our financial services companies, particularly
Lehman Brothers. Although we had strong returns on our telecommunications
holdings, including two Latin American firms, we continued to be hurt by owning
very little technology, where this year's largest stock market gains were
focused. As value investors, we did not find attractive opportunities there.
Performance Review
- --------------------------------------------------------------------------------
Industrials benefited from global growth. Industrials are our largest focus.
Aluminum companies--Alcoa and Reynolds Metals--made substantial contributions to
our return. Alcoa, our largest holding, returned 126% over the year.
Dow Chemical, Georgia Pacific (paper), and USX US Steel Group also had strong
performances. Our largest energy holding, McDermott International, fell when oil
was cheap, but the jump in prices, together with falling oil reserves, bode well
for its prospects.
Mid-cap value hurt. The less-expensive mid-size companies that we favor lost
market favor. Not only did mid-cap stocks trail both larger and smaller
companies, but the differential between growth and value styles among mid-cap
stocks was unusually large.
Missed the tech run. Less than 1% of our assets were in technology companies,
which is where the market gains were concentrated. The technology-heavy Nasdaq
Composite rose by more than 50% just in the last 10 1/2 weeks of 1999.
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
Industrials respond to global growth. Industrials made up more than a third of
our assets at period end. Aluminum (Alcoa and Reynolds Metals) accounted for
13%. Many of the basic materials companies became proficient cost-cutters when
they were in a difficult environment; they are now poised to benefit fully from
rising demand.
Consolidation in the industry is concentrating market power and helping prevent
the construction of additional capacity. More business, greater pricing power,
and lower costs are a very powerful recipe for profit growth. We took some of
our profits on the oil company Elf Aquitaine.
Financials bounced back. Financial stocks had suffered in the 1998 crisis
because investors feared they might be exposed to the emerging markets or to
other financial companies that had such exposure. When global financial markets
stabilized and U.S. stock markets resumed their climb, the beaten-down
brokerages recovered. Lehman Brothers was our second-largest holding at year
end; it almost doubled in value over the year. We also had substantial holdings
in Paine Webber Group and Bear Stearns.
Consumer cyclicals are inexpensive. We own a variety of consumer cyclical stocks
(which sell products that consumers are more likely to buy in a growing
economy), including Hanson PLC (building materials), automakers and retailers.
By and large, these did not do well in 1999.
Outlook
- --------------------------------------------------------------------------------
Portfolio Manager Warren E. Spitz
[PHOTO]
Inexpensive growth potential.
"We understand that technological developments may be driving economic growth,
but technology companies are competing against one another. There are likely to
be substantial losers even in a booming market. Moreover, if a firm's profits
are only modest, it is hard to justify the large premiums now being paid for
technology stocks. By contrast, many of the firms we own dominate their markets
and demand for their products is likely to rise over the long term.
"In addition, as European and Asian economies accelerate, the profits of our
holdings may increase substantially. We believe they also have much less risk of
a profitless future than many technology companies."
Portfolio Composition
as of 12/31/99
--------------
Industrials 38.4%
Financials 25.6%
Consumer Cyclicals 13.8%
Consumer Growth & Staples 9.0%
Energy 7.0%
Utilities 3.8%
Cash & Equivalents 2.1%
Technology 0.3%
Source: Prudential. Holdings are subject to change.
Top Ten Holdings (% of Portfolio)
as of 12/31/99
--------------
ALCOA, Inc. 8.1%
Lehman Brothers Holdings, Inc. 6.6%
Dow Chemical Co. 5.1%
Reynolds Metals Co. 4.0%
Hanson, PLC, ADR (U.K.) 4.0%
USX-U.S. Steel Group 3.4%
Equity Residential Properties Trust 3.3%
AMR Corp. 3.1%
Crescent Real Estate Equities Co. 2.5%
PaineWebber Group, Inc. 2.4%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Equity Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
Capital appreciation.
TYPES OF INVESTMENTS
Primarily stocks of major, established companies.
INVESTMENT STYLE
The Portfolio uses a "deep value" investment approach to invest in stocks
believed to be temporarily undervalued relative to the companies' sales,
earnings, book value and cash flow.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
- --------------------------------------------------------------------------------
[GRAPH]
89 10,000 10,000 10,000
10,043 10,427 10,308
90 9,479 9,526 9,689
11,430 10,988 11,068
91 11,944 12,948 12,635
12,733 12,475 12,550
92 13,637 14,029 13,596
15,365 14,773 14,257
93 16,619 15,938 14,963
16,299 14,934 14,457
94 17,081 15,692 15,160
19,914 18,680 18,220
95 22,426 21,009 20,850
24,066 23,057 22,953
96 26,579 25,256 25,634
30,104 29,175 30,914
97 33,133 32,142 34,183
37,265 37,573 40,241
98 36,229 40,530 43,959
41,833 45,550 49,400
99 40,752 53,011 53,205
The Portfolio may invest in foreign securities. Foreign investments are
subject to the risk of currency fluctuation and the impact of social,
political and economic change.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) Growth Fund Average is
calculated by Lipper, Inc., and reflects the investment return of certain
portfolios underlying variable life and annuity products. These returns are
net of investment fees and fund expenses, but not product charges.
3 The S&P 500 Composite Stock Price Index is a capital-weighted index
representing the aggregate market value of the common equity of 500 stocks
primarily traded on the New York Stock Exchange. The S&P 500 is an
unmanaged index that includes the reinvestment of all dividends, but does
not reflect the payment of transaction costs and advisory fees associated
with an investment in the Portfolio. The securities that comprise the S&P
500 may differ substantially from the securities in the Portfolio.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- --------------------------------------------------------------------------------
Equity Class 1 Portfolio1 -2.58% 12.49% 15.31% 18.99% 15.08%
- --------------------------------------------------------------------------------
Lipper (VIP) Growth Fund Avg.2 16.27% 31.48% 26.38% 26.45% 17.79%
- --------------------------------------------------------------------------------
S&P 500 Index3 7.70% 21.03% 27.56% 28.54% 18.19%
- --------------------------------------------------------------------------------
Equity Portfolio inception date: 5/13/83.
The Prudential Series Fund Equity Portfolio returned 12.49% in 1999, trailing
the Lipper (VIP) Growth Fund Average of 31.48% for the period. Its value-style
focus on companies with good earnings growth at attractive prices trailed a
technology-euphoric market. Nonetheless, it had strong returns on its industrial
commodities and investment banks. Tandy, a large holding, also performed very
well. Its hospital management and tobacco companies performed poorly.
Performance Review
- --------------------------------------------------------------------------------
A technology market. The Portfolio's return was in line with the historical
average for the S&P 500, but it trailed this year's large-cap return, because it
had less technology than the overall market, and technology stocks were far and
away the best-performing sector. Its hospital management companies--such as
Tenet Healthcare--tobacco, and insurers performed poorly.
Industrial commodities revived. Industrial stocks often become value priced when
investors are fearful about the economy, and move up rapidly when investors
become more optimistic. That happened this year. The Portfolio's holdings in
Alcoa (aluminum), which also benefited from a tight alumina market and excellent
management, had very strong returns. The Portfolio's performance also was
enhanced by its paper companies--such as Georgia Pacific, Mead, Willamette, and
Weyerhauser--and its integrated oil companies--such as Elf Aquitaine, Atlantic
Richfield, and Kerr McGee.
Tandy: classic value. Tandy Corporation, which owns the Radio Shack chain, was
believed to be undervalued when we bought it. It started as a supply shop for
electronic hobbyists. Now it is a retail location for the hot computer and
cellular telephone markets; its stock rose 140% in 1999.
Stock market activity is good for broker/investment banks. The high rate of
stock issuance and merger and acquisition activity, as well as strong investor
activity in the markets, benefited our shares in Morgan Stanley Dean Witter,
Citigroup, and Lehman Brothers.
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
Taking profits on Tandy. Tandy, whose extraordinary return was driven by two
years of double-digit increases in same-store sales and by strong profit growth,
had a very good stock run. We bought Tandy when its price was depressed because
of unwise investments in new businesses in which it had no competitive
advantage. We thought its superb Radio Shack retail distribution system was
undervalued. Tandy management came around to our view, to the benefit of their
earnings and stock price. We have taken some profits.
Paper: good supply/demand prospects. Our largest industry focus is paper
companies. Asia has been a major importer of forest products, and we expected
demand to rebound. Moreover, the additional Asian consumption will be building
on an already high level of demand from the continued strength of the U.S.
market. Moreover, worldwide growth in capacity has slowed, because company
managers are more reluctant than in the past to build without seeing a
respectable return on their investment. Another factor is the restructuring
under way in this industry, separating land ownership from processing. These all
bode well for earnings.
Taking profits on financials. Our diversified financial services and investment
banks had a good year and we took some profits. We sold our holdings in American
Express and reduced our holdings in Citigroup, Morgan Stanley Dean Witter and
Lehman Brothers. With rising interest rates and stocks at all-time highs, it
seemed reasonable to take some of your money off the table.
Eastman Kodak added. Eastman Kodak was selling for very little compared with
broad market levels. It has been perceived as "old economy" when investors are
narrowly focused on new technology. But Kodak has a very strong franchise in
photography and is adding digital imaging to its product line while increasing
sales and earnings. It has been focused on becoming more cost-competitive. We
think the expanding market in the U.S. for digital photography and the expanding
global market for film, which is much cheaper, mean strong earnings growth for
this undervalued company.
Outlook
- --------------------------------------------------------------------------------
Portfolio Manager Thomas R. Jackson
Style consistency.
"In a cold winter during the American Revolution, Thomas Paine wrote, 'These are
the times that try men's souls.' Well, these are times that try the souls of
value investors. Stocks that had been expensive have become even more expensive,
and still investors are buying them as if price were of no consequence. But we
have begun to see gains in inexpensive industrial stocks, a sign that at least
some investors are regaining interest in current earnings, visible sources of
growth, and low prices. Expanding economies and rising interest rates
historically have been associated with good performance for value stocks. In
1999, U.S. investors had a very narrow focus; we expect them to broaden their
interests. We're maintaining our discipline; in a generally expensive market,
our stocks are very inexpensive."
Portfolio Composition
as of 12/31/99
--------------
Consumer Growth & Staples 21.6%
Industrials 20.3%
Financials 17.8%
Cash & Equivalents 10.5%
Technology 10.2%
Consumer Cyclicals 8.7%
Utilities 5.8%
Energy 5.1%
Source: Prudential. Holdings are subject to change.
Top Ten Holdings (% of Portfolio)
as of 12/31/99
--------------
Eastman Kodak Co. 3.2%
Georgia Pacific Corp. 2.8%
Tenet Healthcare 2.8%
Columbia HCA Healthcare 2.7%
Well Point Health Networks 2.7%
Alcoa, Inc. 2.5%
Total Fina S.A. -Spon ADR 2.3%
Darden Restaurants 2.3%
Seagate Tech & Inc. 2.2%
Hewlett-Packard Co. 2.0%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Prudential Jennison Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
Long-term growth of capital.
TYPES OF INVESTMENTS
Primarily common stocks of established companies with above-average growth
prospects
INVESTMENT STYLE
The Portfolio uses a "growth" investment style to invest in the common stocks of
both mid-sized and large companies.
- --------------------------------------------------------------------------------
$10,000 Invested Since Inception*
- --------------------------------------------------------------------------------
[GRAPH]
95 10,000 10,000 10,000
11,276 10,783 10,640
12,556 12,108 12,176
96 13,494 13,368 13,405
14,362 14,588 14,970
97 16,801 16,789 18,053
18,916 18,558 19,962
98 22,841 21,653 23,500
26,002 23,196 25,671
29,972 25,951 28,849
99 36,883 29,939 31,071
* Lipper provides data on a monthly basis, so for comparative purposes the
Lipper Average and S&P 500 Index since inception returns reflect the
Portfolio's closest calendar month-end performance of 4/30/95.
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) Growth Average is calculated
by Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses, but not product charges.
3 The S&P 500 Composite Stock Price Index is a capital-weighted index
representing the aggregate market value of the common equity of 500 stocks
primarily traded on the New York Stock Exchange. The S&P 500 is an
unmanaged index that includes the reinvestment of all dividends, but does
not reflect the payment of transaction costs and advisory fees associated
with an investment in the Portfolio. The securities that comprise the S&P
500 may differ substantially from the securities in the Portfolio.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six Since
Average Annual Returns Months 1-Year 3-Year Inception*
- --------------------------------------------------------------------------------
Prudential Jennison Portfolio1 22.98% 41.76% 36.92% 32.11%
- --------------------------------------------------------------------------------
Lipper (VIP) Growth Avg.2 16.27% 31.48% 26.38% 25.81%
- --------------------------------------------------------------------------------
S&P 500 Index3 7.70% 21.03% 27.56% 27.48%
- --------------------------------------------------------------------------------
Prudential Jennison Portfolio inception date:4/25/95.
Over the past year, the Prudential Series Fund Prudential Jennison Portfolio
gained 41.76%, more than 10 percentage points ahead of the 31.48% Lipper (VIP)
Growth Average. The Portfolio benefited from its heavy representation of
technology firms because technology stocks far outperformed the rest of the
market over the past 12-month period. Its performance was also helped by its
holdings in media and advertising and in telecommunications. However, its drug
stocks, which had a strong run earlier, fell back somewhat; concerns about
Medicare reimbursements for drugs discouraged investors.
Performance Review
- --------------------------------------------------------------------------------
A technology market. The primary reason for the Portfolio's solid performance
was its strong focus on the technology sector. Cisco Systems, Nokia, Texas
Instruments, and Microsoft were among the largest contributors to its return.
Our substantial financial holdings had been hurt in the 1998 global financial
crisis, but Citigroup and Morgan Stanley Dean Witter rebounded strongly early in
our reporting period and had strong performances over the year. We sold our
holdings in Charles Schwab.
We also were helped by our media companies, such as CBS, which benefited from
the strong economy, high profit margins, and an Internet-related advertising
boom.
On the negative side, our health care stocks had risen to somewhat expensive
levels, and when uncertainty about Medicare reimbursement for drugs raised
questions about their earnings prospects, the stocks fell. American Home and Eli
Lilly were among the poorest performers in our Portfolio.
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
Technology. About a third of our Portfolio, including our three largest
holdings, are technology companies. For example, we increased our position in
Cisco Systems, which provides the networking equipment that makes up the
Internet infrastructure, Texas Instruments, and Microsoft. During the year, we
added JDS Uniphase, Sun Microsystems, and Motorola. We sold 3Com, among our
worst performers, which has been losing ground in the networking market. We also
sold our holdings in Oracle and Intuit.
In telecommunications, we own wireless hardware (Nokia) and services (Vodafone
Airtouch), large multiservice companies (MCI/WorldCom), and emerging providers
(Qwest Communications, NextLink Communications and Allegiance Telecom). They are
providing the infrastructure for the communications age, with tremendous long-
term growth potential. During this reporting period, we added NextLink and
acquired Vodafone shares in exchange for our Airtouch stock when the firm was
acquired.
Financials. After their sharp rebound at the beginning of our reporting period,
we decided that financial stocks had reached a price that fully reflected the
value of the companies. Moreover, we thought it was more likely that the Federal
Reserve would increase interest rates--which tends to hurt financials--than cut
them. We reduced our commitment to the sector by the end of the first quarter of
1999. It peaked in April, so we avoided the worst of their subsequent fall-off.
We still have a large commitment, primarily to the global consolidators in this
rapidly changing industry.
Health Care. Drug companies held up well in the 1998 market drop, but shared,
nonetheless, in the steep rise afterward through the first quarter of 1999,
making them somewhat expensive. When concerns arose about Medicare reimbursement
for drugs, the sector corrected. American Home Products, and Eli Lilly were
among the largest negative contributors to our performance. We sold Pfizer,
Lilly, and Merck. We added Johnson & Johnson and Bristol-Myers Squibb.
Outlook
- --------------------------------------------------------------------------------
Portfolio Managers Jim Kannry, Kathleen McCarragher, and Spiros Segalas
[PHOTO] [PHOTO] [PHOTO]
Strong corporate earnings.
"We expect U.S. economic growth to continue, although at a somewhat slower rate.
We think inflation will remain quiescent, helped by a watchful Federal Reserve.
With corporate earnings strong, risk premiums--the additional price investors
have been willing to pay for companies with steady earnings growth--are unlikely
to shrink in this environment. However, if interest rates rise somewhat in order
to slow growth, investors are unlikely to be willing to pay even higher
multiples of earnings for a company's shares. We continue to believe this is an
excellent environment for companies with good levels of sustainable earnings
growth. We think we are well positioned with our broad selection of rapidly
growing companies."
Portfolio Composition
as of 12/31/99
--------------
Telecommunications 18.7%
Computer Services 13.8%
Electronics 10.6%
Retail 10.2%
Drugs & Medical Supplies 9.9%
Media 8.0%
Computers 6.6%
Financial Services 6.4%
Cash 4.4%
Diversified Operations 3.5%
Insurance 2.7%
Banks and Savings & Loans 1.6%
Business Services 1.6%
Restaurants 1.2%
Cosmetics & Soaps 0.8%
Source: Prudential. Holdings are subject to change.
Top Ten Holdings (% of Portfolio)
as of 12/31/99
--------------
Microsoft Corp. 4.9%
Cisco Systems, Inc. 4.2%
The Home Depot, Inc. 3.8%
General Electric Co. 3.5%
Nokia Corp. 3.3%
CBS Corp. 3.2%
Citigroup, Inc. 3.1%
American International Group, Inc. 2.7%
Texas Instruments, Inc. 2.6%
Hewlett-Packard Co. 2.5%
Source: Prudential. Holdings are subject to change.
<PAGE>
Prudential Series Fund
Global Portfolio
- --------------------------------------------------------------------------------
December 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT GOAL
Long-term growth of capital.
TYPES OF INVESTMENTS
Primarily common stock and common stock equivalents of U.S. and foreign cor-
porations.
INVESTMENT STYLE
The Portfolio uses a "growth" investment approach, coupled with a theme-oriented
view of the markets, to identify companies that seem best positioned to take
advantage of global changes.
- --------------------------------------------------------------------------------
$10,000 Invested Over Ten Years
- --------------------------------------------------------------------------------
[GRAPH]
89 10,000 10,000 10,000
9,632 10,300 9,257
90 8,709 9,405 8,298
9,081 9,898 8,804
91 9,701 10,977 9,815
9,692 11,134 9,175
92 9,369 11,021 9,303
10,651 12,504 10,713
93 13,411 14,545 11,396
12,890 14,214 11,809
94 12,756 14,382 11,974
13,961 15,305 13,069
95 14,781 16,495 14,455
16,296 17,883 15,479
96 17,692 19,205 16,404
19,900 21,699 18,927
97 18,926 21,516 18,990
22,586 24,408 22,150
98 23,672 23,888 23,611
25,978 26,031 25,621
99 35,098 30,993 29,499
1 Past performance is not predictive of future performance. Portfolio
performance is net of investment fees and fund expenses, but not product
charges. Source: Prudential. Six-month returns not annualized.
2 The Lipper Variable Insurance Products (VIP) Global Average is calculated
by Lipper, Inc., and reflects the investment return of certain portfolios
underlying variable life and annuity products. These returns are net of
investment fees and fund expenses, but not product charges.
3 The Morgan Stanley World Index is a weighted index comprised of
approximately 1,500 companies listed on the stock exchanges of the United
States, Europe, Canada, Australia, New Zealand and the Far East. The
combined market capitalization of these companies represents approximately
60% of the aggregate market value of the stock exchanges in the countries
comprising the World Index. The World Index is an unmanaged index that
includes the reinvestment of all dividends, but does not reflect the
payment of transaction costs and advisory fees associated with an
investment in the Portfolio. The securities that comprise the World Index
may differ substantially from the securities in the Portfolio. The World
Index is not the only index that may be used to characterize performance of
global funds, and other indexes may portray different comparative
performance.
Performance Summary
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Six
Average Annual Returns Months 1-Year 3-Year 5-Year 10-Year
- --------------------------------------------------------------------------------
Global Portfolio1 35.11% 48.27% 25.65% 22.44% 13.38%
- --------------------------------------------------------------------------------
Lipper (VIP) Global Avg.2 27.82% 44.18% 22.67% 19.42% 11.73%
- --------------------------------------------------------------------------------
Morgan Stanley World Index3 15.14% 24.93% 21.61% 19.76% 11.42%
- --------------------------------------------------------------------------------
Global Portfolio inception date: 9/19/88.
The Prudential Series Fund Global Portfolio returned 48.27% in 1999, four
percentage points above the 44.18% gain of the Lipper (VIP) Global Average. The
Portfolio's strong global focus on telecommunications and technology helped its
return. Its holdings in Japan and the United States had particularly strong
performances.
The Portfolio may invest in foreign securities. Foreign investments are subject
to the risks of currency fluctuation, political and social risks and
illiquidity.
Performance Review
- --------------------------------------------------------------------------------
Technology. We continue to maintain our largest industry focus in technology and
telecommunications services. In 1999, these sectors were the market favorites.
Some of the largest contributors to our return were technology stocks, including
Texas Instruments (semiconductors), PMC-Sierra (semiconductors), Oracle
(software), Microsoft (software), and Solectron (contract manufacturing).
Telecommunications equipment firms, such as Nokia, and mobile telecommunications
network operators, such as NTT Mobile Communications, Mannesmann, and Vodafone,
also were among our strong performers.
Media. Stock investors have been increasingly aware of the value of content. Our
holdings in USA networks, prime manufacturer's of content, contributed to our
strong performance.
Consumer focus pays off. We continue to benefit from Hennes & Mauritz, whose
emphasis on providing consumer value makes it a leader in the increasingly
competitive retail business. European economic integration has helped, but the
firm is also expanding to the United States.
Health care hurt. Our drug and health care companies, including Glaxo Wellcome,
and Healthsouth, detracted somewhat from our return. The sector was out of
favor, as service companies struggled with their pricing, while drug stocks had
become relatively expensive and faced concerns about future government pricing
pressure should Medicare in the United States extend coverage to include drugs.
<PAGE>
Strategy Session
- --------------------------------------------------------------------------------
The United States is the Internet model. We think the explosion of Internet
usage in the United States is a model for what can take place in the rest of the
world. We have positioned the Portfolio to benefit from greater Internet use,
focusing on companies that provide the hardware and software infrastructure.
Competition among Internet sites will be fierce, but leadership among the
infrastructure providers is already established. We own networking, database,
cable, and semiconductor companies.
Mobile communications models are found abroad. The United States trails Europe
in cellular telephone usage. It is a market with enormous potential. So is
Japan. We have seen in Europe how mobile telephones can control automated
functions in the home, link to e-mail, and transform the way people communicate
with one another while Japanese companies are now leading in next-generation
technology. We own Nokia, the leading handset manufacturer, as well as service
providers based in Europe, Japan, and the United States.
Outlook
- --------------------------------------------------------------------------------
Portfolio Managers Daniel J. Duane, Ingrid Holm, and Michelle Picker
[PHOTO] [PHOTO] [PHOTO]
Room for growth.
"We think global investors may have underestimated the impact and growth
potential of technology companies, despite their strong performance in 1999. The
application of new, life-style transforming technologies around the world in one
sweep is rare, if not unprecedented. Wireless telecommunications and Internet
communications (both personal and business to business) are rapidly penetrating
even the most distant markets. So the earnings growth potential of the leaders
in these technologies is enormous. That's what underlies the increasing share
prices. We believe they still have some way to go."
Geographic Allocation
as of 12/31/99
--------------
United States 39.1%
Continental Europe 33.2%
Japan 18.4%
Cash & Equivalents 4.1%
Pacific Basin 3.2%
Latin America 1.0%
Asia 1.0%
Source: Prudential. Holdings are subject to change.
Top Ten Holdings (% of Portfolio)
as of 12/31/99
--------------
PMC-Sierra, Inc. 4.2%
Oracle Systems Corp. 3.6%
Softbank Corp. 3.1%
Fujitsu Ltd. 3.0%
NTT Mobile Communications Network, Inc. 2.7%
Nokia Corp. 2.7%
Solectron Corp. 2.7%
CSK Corp. 2.5%
Time Warner, Inc. 2.3%
Texas Instruments, Inc. 2.2%
Source: Prudential. Holdings are subject to change.
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $1,328,719,634)................... $1,328,719,634
Cash....................................... 27,534
Receivable for capital stock sold.......... 855,542
Interest receivable........................ 10,419,510
--------------
Total Assets............................. 1,340,022,220
--------------
LIABILITIES
Payable for capital stock repurchased...... 3,156,075
Payable to investment adviser.............. 1,302,069
Accrued expenses........................... 89,854
--------------
Total Liabilities........................ 4,547,998
--------------
NET ASSETS................................... $1,335,474,222
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,335,474
Paid-in capital, in excess of par........ 1,334,138,748
--------------
Net assets................................. $1,335,474,222
==============
Net asset value and redemption price per
share, 133,547,422 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 10.00
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Interest................................... $ 58,660,531
---------------
EXPENSES
Investment advisory fee.................... 4,400,851
Shareholders' reports...................... 150,000
Accounting fees............................ 50,000
Custodian's fees and expenses.............. 36,000
Audit fee and expenses..................... 15,500
Transfer agent's fees and expenses......... 8,000
Legal fees and expenses.................... 5,000
Directors' fees............................ 4,000
Miscellaneous.............................. 7,850
---------------
Total expenses........................... 4,677,201
Less: custodian fee credit................. (22,116)
---------------
Net expenses............................. 4,655,085
---------------
NET INVESTMENT INCOME...................... 54,005,446
---------------
NET REALIZED GAIN ON INVESTMENTS............. 10,627
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 54,016,073
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 54,005,446 $ 42,343,388
Net realized gain on investments........................ 10,627 16,489
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 54,016,073 42,359,877
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (54,005,446) (42,343,388)
Distributions from net realized capital gains........... (10,627) (16,489)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (54,016,073) (42,359,877)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [122,718,909 and 76,618,642 shares,
respectively].......................................... 1,227,189,093 766,186,419
Capital stock issued in reinvestment of dividends and
distributions [5,401,607 and 4,235,988 shares,
respectively].......................................... 54,016,073 42,359,877
Capital stock repurchased [(86,592,293) and (54,581,645)
shares, respectively].................................. (865,922,932) (545,816,448)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... 415,282,234 262,729,848
--------------- ---------------
TOTAL INCREASE IN NET ASSETS.............................. 415,282,234 262,729,848
NET ASSETS:
Beginning of year....................................... 920,191,988 657,462,140
--------------- ---------------
End of year............................................. $ 1,335,474,222 $ 920,191,988
=============== ===============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A1
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
DIVERSIFIED BOND PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $1,297,259,294)................... $1,253,503,398
Cash....................................... 857
Interest receivable........................ 21,864,296
Receivable for capital stock sold.......... 84,272
--------------
Total Assets............................. 1,275,452,823
--------------
LIABILITIES
Payable for investments purchased.......... 19,689,306
Payable to investment adviser.............. 1,265,637
Payable for capital stock repurchased...... 506,980
Accrued expenses........................... 83,825
Due to broker -- variation margin.......... 75,125
--------------
Total Liabilities........................ 21,620,873
--------------
NET ASSETS................................... $1,253,831,950
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,145,550
Paid-in capital, in excess of par........ 1,248,882,163
--------------
1,250,027,713
Undistributed net investment income........ 76,304,703
Accumulated net realized loss on
investments.............................. (28,197,726)
Net unrealized depreciation on
investments.............................. (44,302,740)
--------------
Net assets, December 31, 1999.............. $1,253,831,950
==============
Net asset value and redemption price per
share, 114,554,992 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 10.95
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Interest................................... $ 81,500,023
---------------
EXPENSES
Investment advisory fee.................... 4,880,364
Shareholders' reports...................... 140,000
Accounting fees............................ 110,000
Custodian's fees and expenses.............. 50,000
Audit fee and expenses..................... 15,000
Transfer agent's fees and expenses......... 8,100
Legal fees and expenses.................... 6,000
Directors' fees............................ 4,000
Miscellaneous.............................. 23,769
---------------
Total expenses........................... 5,237,233
Less: custodian fee credit................. (41,913)
---------------
Net expenses............................. 5,195,320
---------------
NET INVESTMENT INCOME........................ 76,304,703
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments.............................. (26,270,908)
Futures.................................. 48,764
---------------
(26,222,144)
---------------
Net change in unrealized depreciation on:
Investments.............................. (58,177,006)
Futures.................................. (546,844)
---------------
(58,723,850)
---------------
NET LOSS ON INVESTMENTS...................... (84,945,994)
---------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ (8,641,291)
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 76,304,703 $ 60,710,670
Net realized gain (loss) on investments................. (26,222,144) 1,484,118
Net change in unrealized appreciation
(depreciation) on investments.......................... (58,723,850) 2,237,978
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. (8,641,291) 64,432,766
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... -- (60,939,829)
Distributions from net realized capital gains........... (3,302,269) (3,466,261)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (3,302,269) (64,406,090)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [26,987,966 and 29,994,210 shares,
respectively].......................................... 296,061,460 334,707,738
Capital stock issued in reinvestment of dividends and
distributions [298,578 and 5,809,428 shares,
respectively].......................................... 3,302,269 64,406,090
Capital stock repurchased [(14,272,876) and (8,361,173)
shares, respectively].................................. (156,161,922) (93,273,532)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS.............................................. 143,201,807 305,840,296
--------------- ---------------
TOTAL INCREASE IN NET ASSETS.............................. 131,258,247 305,866,972
NET ASSETS:
Beginning of year....................................... 1,122,573,703 816,706,731
--------------- ---------------
End of year(a).......................................... $ 1,253,831,950 $ 1,122,573,703
=============== ===============
(a) Includes undistributed net investment income of:.... $ 76,304,703 $ --
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A2
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
CONSERVATIVE BALANCED PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value (cost:
$4,474,325,684).......................... $4,854,781,493
Cash....................................... 1,422,807
Receivable for securities lending,
income................................... 4,689,111
Interest and dividends receivable.......... 42,739,444
Receivable for investments sold............ 166,868
Receivable for capital stock sold.......... 39,860
--------------
Total Assets............................. 4,903,839,583
--------------
LIABILITIES
Collateral for securities on loan.......... 504,046,862
Payable to investment adviser.............. 6,028,201
Securities lending rebate payable.......... 2,965,737
Payable for investments purchased.......... 2,020,467
Payable for capital stock repurchased...... 1,222,854
Accrued expenses........................... 290,137
Due to broker -- variation margin.......... 125,094
--------------
Total Liabilities........................ 516,699,352
--------------
NET ASSETS................................... $4,387,140,231
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 2,856,249
Paid-in capital, in excess of par........ 4,013,577,042
--------------
4,016,433,291
Undistributed net investment income........ 392,041
Distributions in excess of net realized
gains on investments..................... (9,619,315)
Net unrealized appreciation on
investments.............................. 379,934,214
--------------
Net assets, December 31, 1999.............. $4,387,140,231
==============
Net asset value and redemption price per
share, 285,624,853 outstanding shares of
common stock (authorized 370,000,000
shares).................................. $ 15.36
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Dividends (net of $286,950 foreign
withholding tax)......................... $ 27,413,849
Interest................................... 181,248,101
Income from securities loaned, net......... 1,820,729
---------------
210,482,679
---------------
EXPENSES
Investment advisory fee.................... 25,195,056
Shareholders' reports...................... 493,000
Accounting fees............................ 260,000
Custodian's fees and expenses.............. 210,000
Audit fee and expenses..................... 45,000
Legal fees and expenses.................... 21,200
Transfer agent's fees and expenses......... 8,000
Directors' fees............................ 4,000
Miscellaneous.............................. 94,076
---------------
Total expenses........................... 26,330,332
Less: custodian fee credit................. (80,190)
---------------
Net expenses............................. 26,250,142
---------------
NET INVESTMENT INCOME........................ 184,232,537
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)ON
INVESTMENTS
Net realized gain (loss) on:
Investments.............................. 938,110
Futures.................................. (493,916)
---------------
444,194
---------------
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. 114,039,471
Futures.................................. (3,001,308)
---------------
111,038,163
---------------
NET GAIN ON INVESTMENTS...................... 111,482,357
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 295,714,894
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 184,232,537 $ 200,201,254
Net realized gain on investments........................ 444,194 263,079,117
Net change in unrealized appreciation on investments.... 111,038,163 66,472,901
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 295,714,894 529,753,272
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (183,840,496) (201,150,300)
Distributions from net realized capital gains........... (16,406,123) (284,059,981)
Distributions in excess of net realized capital gains... (9,619,315) --
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (209,865,934) (485,210,281)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [3,595,334 and 4,155,780 shares,
respectively].......................................... 54,694,876 64,306,807
Capital stock issued in reinvestment of dividends and
distributions [13,845,674 and 32,017,520 shares,
respectively].......................................... 209,865,934 485,210,281
Capital stock repurchased [(49,920,477) and (34,980,138)
shares, respectively].................................. (759,229,309) (542,332,348)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS............................. (494,668,499) 7,184,740
--------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS................... (408,819,539) 51,727,731
NET ASSETS:
Beginning of year....................................... 4,795,959,770 4,744,232,039
--------------- ---------------
End of year (a)......................................... $ 4,387,140,231 $ 4,795,959,770
=============== ===============
(a) Includes undistributed net investment income of..... $ 392,041 $ --
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A3
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
FLEXIBLE MANAGED PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $5,219,625,332)................... $5,631,103,413
Cash....................................... 2,947,562
Interest and dividends receivable.......... 36,766,337
Receivable for securities lending income... 3,251,757
Receivable for investments sold............ 488,542
Receivable for capital stock sold.......... 2,875
--------------
Total Assets............................. 5,674,560,486
--------------
LIABILITIES
Collateral for securities on loan.......... 526,881,461
Payable to investment adviser.............. 7,566,477
Payable for investments purchased.......... 5,161,402
Payable from broker........................ 4,214,978
Securities lending rebate payable.......... 2,877,006
Payable for capital stock repurchased...... 1,500,619
Due from broker -- variation margin........ 598,738
Accrued expenses........................... 495,510
--------------
Total Liabilities........................ 549,296,191
--------------
NET ASSETS................................... $5,125,264,295
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 2,904,882
Paid-in capital, in excess of par........ 4,494,235,963
--------------
4,497,140,845
Undistributed net investment income........ 168,078,194
Accumulated net realized gain on
investments.............................. 50,083,953
Net unrealized appreciation on
investments.............................. 409,961,303
--------------
Net assets................................. $5,125,264,295
==============
Net asset value and redemption price per
share, 290,488,231 outstanding shares of
common stock (authorized 370,000,000
shares).................................. $ 17.64
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Dividends (net of $611,104 foreign
withholding tax)......................... $ 43,655,429
Income from securities loaned, net......... 1,727,448
Interest................................... 155,468,167
---------------
200,851,044
---------------
EXPENSES
Investment advisory fee.................... 31,532,667
Shareholders' reports...................... 577,000
Accounting fees............................ 240,000
Custodian's fees and expenses.............. 225,000
Audit fee and expenses..................... 47,000
Legal fees and expenses.................... 22,000
Transfer agent's fees and expenses......... 8,000
Directors' fees............................ 4,000
Miscellaneous.............................. 105,969
---------------
Total expenses........................... 32,761,636
Less: custodian fee credit................. (58,367)
---------------
Net expenses............................. 32,703,269
---------------
NET INVESTMENT INCOME........................ 168,147,775
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on:
Investments.............................. 45,313,528
Futures.................................. 21,714,794
---------------
67,028,322
---------------
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. 174,886,106
Futures.................................. (16,638,716)
---------------
158,247,390
---------------
NET GAIN ON INVESTMENTS...................... 225,275,712
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 393,423,487
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 168,147,775 $ 177,588,088
Net realized gain on investments........................ 67,028,322 513,883,914
Net change in unrealized appreciation on investments.... 158,247,390 (167,145,159)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 393,423,487 524,326,843
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (240,137) (178,186,396)
Distributions from net realized capital gains........... (60,930,102) (552,345,875)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (61,170,239) (730,532,271)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [3,138,333 and 4,188,120 shares,
respectively].......................................... 53,348,688 74,668,669
Capital stock issued in reinvestment of dividends and
distributions [3,554,343 and 43,615,212 shares,
respectively].......................................... 61,170,239 730,532,271
Capital stock repurchased [(42,922,625) and (38,796,213)
shares, respectively].................................. (731,489,268) (679,156,218)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS............................. (616,970,341) 126,044,722
--------------- ---------------
TOTAL DECREASE IN NET ASSETS.............................. (284,717,093) (80,160,706)
NET ASSETS:
Beginning of year....................................... 5,409,981,388 5,490,142,094
--------------- ---------------
End of year (a)......................................... $ 5,125,264,295 $ 5,409,981,388
=============== ===============
(a) Includes undistributed net investment income of:.... $ 168,078,194 $ 170,558
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A4
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $883,301,482)..................... $ 798,481,985
Cash....................................... 8,430
Interest and dividends receivable.......... 18,917,132
Receivable for security lending income..... 43,150
Receivable for capital stock sold.......... 71,219
Receivable for investments sold............ 71,175
--------------
Total Assets............................. 817,593,091
--------------
LIABILITIES
Collateral for securities on loan.......... 12,233,400
Payable for investments purchased.......... 1,650,248
Payable to investment adviser.............. 1,101,299
Payable for capital stock repurchased...... 191,678
Accrued expenses and other liabilities..... 117,195
Securities lending rebate payable.......... 98,721
Written options outstanding................ 3
--------------
Total Liabilities........................ 15,392,544
--------------
NET ASSETS................................... $ 802,200,547
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,067,107
Paid-in capital, in excess of par........ 853,033,328
--------------
854,100,435
Undistributed net investment income........ 84,257,678
Accumulated net realized loss on
investments.............................. (51,406,066)
Net unrealized depreciation on
investments.............................. (84,751,500)
--------------
Net assets, December 31, 1999.............. $ 802,200,547
==============
Net asset value and redemption price per
share, 106,710,720 outstanding shares of
common stock (authorized 195,000,000
shares).................................. $ 7.52
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Interest................................... $ 83,474,384
Dividends.................................. 5,444,639
Income from securities loaned, net......... 91,475
---------------
89,010,498
---------------
EXPENSES
Investment advisory fee.................... 4,421,391
Accounting fees............................ 160,000
Shareholders' reports...................... 88,000
Custodian's fees and expenses.............. 48,000
Audit fee and expenses..................... 24,000
Legal fees and expenses.................... 14,000
Transfer agent's fees and expenses......... 9,000
Directors' fees............................ 4,000
Miscellaneous.............................. 1,784
---------------
Total expenses........................... 4,770,175
Less: custodian fee credit................. (17,355)
---------------
Net expenses............................. 4,752,820
---------------
NET INVESTMENT INCOME........................ 84,257,678
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on investments........... (42,984,475)
Net change in unrealized depreciation on
investments.............................. (5,307,921)
---------------
NET LOSS ON INVESTMENTS...................... (48,292,396)
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 35,965,282
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 84,257,678 $ 71,160,362
Net realized loss on investments........................ (42,984,475) (2,031,112)
Net change in unrealized depreciation on investments.... (5,307,921) (90,371,730)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. 35,965,282 (21,242,480)
--------------- ---------------
DIVIDENDS:
Dividends from net investment income.................... (2,179,668) (69,715,948)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [17,182,804 and 42,524,544 shares,
respectively].......................................... 127,100,943 336,104,252
Capital stock issued in reinvestment of dividends and
distributions [291,010 and 9,210,712 shares,
respectively].......................................... 2,179,668 69,715,948
Capital stock repurchased [(20,307,030) and (12,010,426)
shares, respectively].................................. (150,186,649) (94,215,879)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS............................. (20,906,038) 311,604,321
--------------- ---------------
TOTAL INCREASE IN NET ASSETS.............................. 12,879,576 220,645,893
NET ASSETS:
Beginning of year....................................... 789,320,971 568,675,078
--------------- ---------------
End of year(a).......................................... $ 802,200,547 $ 789,320,971
=============== ===============
(a) Includes undistributed net investment income of:.... $ 84,257,678 $ 2,179,668
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A5
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
STOCK INDEX PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $2,345,486,363)................... $4,656,162,855
Cash....................................... 16,660
Interest and dividends receivable.......... 4,103,786
Receivable for capital stock sold.......... 1,023,504
Receivable for investments sold............ 583,564
Due from broker -- variation margin........ 145,000
--------------
Total Assets............................. 4,662,035,369
--------------
LIABILITIES
Payable to investment adviser.............. 3,371,376
Payable for investments purchased.......... 2,251,707
Payable for capital stock repurchased...... 1,099,090
Accrued expenses........................... 295,676
--------------
Total Liabilities........................ 7,017,849
--------------
NET ASSETS................................... $4,655,017,520
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,047,241
Paid-in capital, in excess of par........ 2,338,932,384
--------------
2,339,979,625
Undistributed net investment income........ 315,792
Accumulated net realized gain on
investments.............................. 1,621,348
Net unrealized appreciation on
investments.............................. 2,313,100,755
--------------
Net assets, December 31, 1999.............. $4,655,017,520
==============
Net asset value and redemption price per
share, 104,724,109 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 44.45
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Dividends (net of $566,445 foreign
withholding tax)......................... $ 54,524,413
Interest................................... 5,110,430
---------------
59,634,843
---------------
EXPENSES
Investment advisory fee.................... 14,259,131
Shareholders' reports...................... 550,000
Custodian's fees and expenses.............. 140,000
Accounting fees............................ 131,000
Audit fee and expenses..................... 40,000
Legal fees and expenses.................... 20,000
Transfer agent's fees and expenses......... 8,500
Directors' fees............................ 4,000
Miscellaneous.............................. 78,482
---------------
Total expenses........................... 15,231,113
Less: custodian fee credit................. (4,650)
---------------
Net expenses............................. 15,226,463
---------------
NET INVESTMENT INCOME........................ 44,408,380
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on:
Investments.............................. 32,943,947
Futures.................................. 13,251,281
---------------
46,195,228
---------------
Net change in unrealized appreciation on:
Investments.............................. 685,134,062
Futures.................................. (2,181,112)
---------------
682,952,950
---------------
NET GAIN ON INVESTMENTS...................... 729,148,178
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 773,556,558
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 44,408,380 $ 36,771,654
Net realized gain on investments........................ 46,195,228 57,465,213
Net change in unrealized appreciation on investments.... 682,952,950 644,691,671
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 773,556,558 738,928,538
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income.................... (44,092,588) (37,075,916)
Distributions from net realized capital gains........... (54,347,010) (53,566,202)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (98,439,598) (90,642,118)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [19,061,602 and 21,945,962 shares,
respectively].......................................... 768,257,840 739,810,425
Capital stock issued in reinvestment of dividends and
distributions [2,357,499 and 2,541,175 shares,
respectively].......................................... 98,439,598 90,642,118
Capital stock repurchased [(10,712,263) and (11,483,263)
shares, respectively].................................. (434,885,868) (378,841,199)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... 431,811,570 451,611,344
--------------- ---------------
TOTAL INCREASE IN NET ASSETS.............................. 1,106,928,530 1,099,897,764
NET ASSETS:
Beginning of year....................................... 3,548,088,990 2,448,191,226
--------------- ---------------
End of year (a)......................................... $ 4,655,017,520 $ 3,548,088,990
=============== ===============
(a) Included undistributed net investment income of:.... $ 315,792 $ --
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A6
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY INCOME PORTFOLIO
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $1,837,415,249)................... $2,079,658,692
Cash....................................... 857
Interest and dividends receivable.......... 5,934,776
Receivable for securities lending income... 363,588
Receivable for capital stock sold.......... 72,990
--------------
Total Assets............................. 2,086,030,903
--------------
LIABILITIES
Collateral for securities on loan.......... 57,973,945
Payable to investment adviser.............. 1,941,452
Payable for capital stock repurchased...... 1,201,032
Securities lending rebate payable.......... 688,567
Accrued expenses........................... 186,547
--------------
Total Liabilities........................ 61,991,543
--------------
NET ASSETS................................... $2,024,039,360
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 1,036,951
Paid-in capital, in excess of par........ 1,774,194,608
--------------
1,775,231,559
Undistributed net investment income........ 3,322,069
Accumulated net realized gain on
investments.............................. 3,242,289
Net unrealized appreciation on
investments.............................. 242,243,443
--------------
Net assets, December 31, 1999.............. $2,024,039,360
==============
Net asset value and redemption price per
share, 103,695,100 outstanding shares of
common stock (authorized 170,000,000
shares).................................. $ 19.52
==============
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS
<S> <C>
Year Ended December 31, 1999
INVESTMENT INCOME
Dividends (net of $742,260 foreign
withholding tax)......................... $ 55,616,065
Interest................................... 2,029,036
Income from securities loaned, net......... 432,635
---------------
58,077,736
---------------
EXPENSES
Investment advisory fee.................... 8,409,886
Shareholders' reports...................... 214,000
Accounting fees............................ 96,000
Custodian's fees and expenses.............. 80,000
Audit fee and expenses..................... 22,400
Transfer agent's fees and expenses......... 8,000
Legal fees and expenses.................... 8,000
Directors' fees............................ 4,000
Miscellaneous.............................. 42,368
---------------
Total expenses........................... 8,884,654
Less: custodian fee credit................. (4,606)
---------------
Net expenses............................. 8,880,048
---------------
NET INVESTMENT INCOME........................ 49,197,688
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments......... 196,991,597
Net change in unrealized appreciation on
investments............................ 1,676,194
---------------
NET GAIN ON INVESTMENTS...................... 198,667,791
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 247,865,479
===============
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<S> <C> <C>
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 49,197,688 $ 56,212,487
Net realized gain on investments........................ 196,991,597 129,490,381
Net change in unrealized appreciation on investments.... 1,676,194 (258,928,963)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. 247,865,479 (73,226,095)
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (47,863,180) (58,670,537)
Distributions from net realized capital gains........... (228,772,711) (129,895,659)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (276,635,891) (188,566,196)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [4,932,597 and 17,968,538
respectively].......................................... 106,031,268 414,994,376
Capital stock issued in reinvestment of dividends and
distributions [14,298,341 and 8,899,832 shares,
respectively].......................................... 276,635,891 188,566,196
Capital stock repurchased [(22,475,612) and (10,593,789)
shares, respectively].................................. (472,178,202) (229,203,355)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL STOCK TRANSACTIONS............................. (89,511,043) 374,357,217
--------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS................... (118,281,455) 112,564,926
NET ASSETS:
Beginning of year....................................... 2,142,320,815 2,029,755,889
--------------- ---------------
End of year(a).......................................... $ 2,024,039,360 $ 2,142,320,815
=============== ===============
(a) Includes undistributed net investment income of:.... $ 3,322,069 $ 1,987,561
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A7
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $4,885,331,050)................... $6,235,357,940
Cash....................................... 58,953
Interest and dividends receivable.......... 11,253,951
Receivable for captial stock sold.......... 94,134
--------------
Total Assets............................. 6,246,764,978
--------------
LIABILITIES
Payable to investment adviser.............. 6,736,764
Payable for capital stock repurchased...... 2,845,468
Payable for investments purchased.......... 1,326,576
Accrued expenses........................... 559,649
Distribution fee payable................... 174
Administration fee payable................. 105
--------------
Total Liabilities........................ 11,468,736
--------------
NET ASSETS................................... $6,235,296,242
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 2,157,333
Paid-in capital, in excess of par........ 4,743,333,540
--------------
4,745,490,873
Undistributed net investment income........ 2,943,614
Accumulated net realized gain on
investments.............................. 136,974,864
Net unrealized appreciation on investments
and foreign currencies................... 1,349,886,891
--------------
Net assets, December 31, 1999.............. $6,235,296,242
==============
CLASS I:
Net asset value and redemption price per
share,
$6,234,976,708 DIVIDED BY 215,722,265
outstanding shares of common stock
(authorized 295,000,000 shares).......... $ 28.90
==============
CLASS II:
Net asset value and redemption price per
share, $319,534 DIVIDED BY 11,050
outstanding shares of common stock
(authorized 5,000,000 shares)............ $ 28.92
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Dividends (net of $844,442 foreign
withholding tax)......................... $ 112,553,009
Interest................................... 24,847,638
---------------
137,400,647
---------------
EXPENSES
Investment advisory fee.................... 28,188,855
Distribution fee - Class II................ 358
Shareholders' reports...................... 694,000
Custodian's fees and expenses.............. 212,000
Accounting fees............................ 92,000
Audit fee and expenses..................... 50,000
Legal fees and expenses.................... 21,000
Transfer agent's fees and expenses......... 9,000
Directors' fees............................ 4,000
Miscellaneous.............................. 122,035
---------------
Total expenses........................... 29,393,248
Less: custodian fee credit................. (23,473)
---------------
Net expenses............................. 29,369,775
---------------
NET INVESTMENT INCOME........................ 108,030,872
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments.............................. 762,125,712
Foreign currencies....................... (2,464)
---------------
762,123,248
---------------
Net change in unrealized appreciation
(depreciation) on:
Investments.............................. (132,692,386)
Foreign currencies....................... (139,868)
---------------
(132,832,254)
---------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 629,290,994
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 737,321,866
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 108,030,872 $ 114,479,882
Net realized gain on investments and foreign
currencies............................................. 762,123,248 766,481,591
Net change in unrealized appreciation (depreciation) on
investments and foreign currencies..................... (132,832,254) (344,074,909)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 737,321,866 536,886,564
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income.................... (105,056,328) (115,394,083)
Distributions from net realized capital gains........... (737,934,646) (684,800,016)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (842,990,974) (800,194,099)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [8,685,422 and 12,676,785 shares,
respectively].......................................... 269,993,500 418,548,498
Capital stock issued in reinvestment of dividends and
distributions [29,304,589 and 27,106,415 shares,
respectively].......................................... 842,990,974 800,194,099
Capital stock repurchased [(33,043,224) and (22,886,073)
shares, respectively].................................. (1,019,065,758) (732,368,459)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... 93,918,716 486,374,138
--------------- ---------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS............................................. (11,750,392) 223,066,603
NET ASSETS:
Beginning of year....................................... 6,247,046,634 6,023,980,031
--------------- ---------------
End of year(a).......................................... $ 6,235,296,242 $ 6,247,046,634
=============== ===============
(a) Includes undistributed net investment income of:.... $ 2,943,614 $ 109,952
--------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A8
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
PRUDENTIAL JENNISON PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $1,878,457,043)................... $2,770,755,886
Receivable for capital stock sold.......... 3,116,216
Interest and dividends receivable.......... 689,911
--------------
Total Assets............................. 2,774,562,013
--------------
LIABILITIES
Payable to investment adviser.............. 3,521,607
Accrued expenses........................... 189,370
Payable for capital stock repurchased...... 183,175
--------------
Total Liabilities........................ 3,894,152
--------------
NET ASSETS................................... $2,770,667,861
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 855,320
Paid-in capital, in excess of par........ 1,828,906,678
--------------
1,829,761,998
Accumulated net realized gain on
investments.............................. 48,607,020
Net unrealized appreciation on
investments.............................. 892,298,843
--------------
Net assets, December 31, 1999.............. $2,770,667,861
==============
Net asset value and redemption price per
share, 85,531,975 outstanding shares of
common stock (authorized 110,000,000
shares).................................. $ 32.39
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<S> <C>
INVESTMENT INCOME
Dividends (net of $51,404 foreign
withholding tax)......................... $ 10,620,507
Interest................................... 4,147,465
---------------
14,767,972
---------------
EXPENSES
Investment advisory fee.................... 11,126,560
Shareholders' reports...................... 323,000
Accounting fees............................ 83,000
Custodian's fees and expenses.............. 58,000
Audit fee and expenses..................... 32,000
Legal fees and expenses.................... 10,000
Transfer agent's fees and expenses......... 8,000
Directors' fees............................ 4,000
Miscellaneous expenses..................... 33,257
---------------
Total expenses........................... 11,677,817
Less: custodian fee credit................. (10,502)
---------------
Net expenses............................. 11,667,315
---------------
NET INVESTMENT INCOME........................ 3,100,657
---------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS AND FUTURES
Net realized gain on:
Investments.............................. 147,436,610
Futures.................................. 98,386
---------------
147,534,996
Net change in unrealized appreciation on
investments.............................. 574,663,580
---------------
NET GAIN ON INVESTMENTS...................... 722,198,576
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 725,299,233
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 3,100,657 $ 1,528,070
Net realized gain on investments........................ 147,534,996 24,429,896
Net change in unrealized appreciation on investments.... 574,663,580 237,742,766
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 725,299,233 263,700,732
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... (3,100,657) (1,629,850)
Distributions from net realized capital gains........... (109,146,897) (17,069,906)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (112,247,554) (18,699,756)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [46,076,803 and 30,113,536 shares,
respectively].......................................... 1,238,109,549 619,908,140
Capital stock issued in reinvestment of dividends and
distributions [3,815,423 and 849,914 shares,
respectively].......................................... 112,247,554 18,699,756
Capital stock repurchased [(14,500,046) and (8,792,029)
shares, respectively].................................. (391,470,256) (180,816,656)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... 958,886,847 457,791,240
--------------- ---------------
TOTAL INCREASE IN NET ASSETS.............................. 1,571,938,526 702,792,216
NET ASSETS:
Beginning of year....................................... 1,198,729,335 495,937,119
--------------- ---------------
End of year............................................. $ 2,770,667,861 $ 1,198,729,335
=============== ===============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A9
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GLOBAL PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
<S> <C>
December 31, 1999
ASSETS
Investments, at value
(cost: $724,163,895)..................... $1,275,662,478
Foreign currency, at value
(cost: $36,813,796)...................... 36,614,585
Cash....................................... 698
Unrealized appreciation on interest rate
swap..................................... 1,387,252
Dividends and interest receivable.......... 756,583
Receivable for capital stock sold.......... 405,725
--------------
Total Assets............................. 1,314,827,321
--------------
LIABILITIES
Payable to investment purchased............ 13,386,766
Payable for investments adviser............ 2,083,472
Payable for capital stock repurchased...... 753,737
Accrued expenses and other liabilities..... 289,258
--------------
Total Liabilities........................ 16,513,233
--------------
NET ASSETS................................... $1,298,314,088
==============
Net assets were comprised of:
Common stock, at $0.01 par value......... $ 419,131
Paid-in capital, in excess of par........ 651,981,706
--------------
652,400,837
Distributions in excess of net investment
income................................... (31,563)
Accumulated net realized gain on
investments.............................. 93,212,412
Net unrealized appreciation on investments
and foreign currencies................... 552,732,402
--------------
Net assets, December 31, 1999.............. $1,298,314,088
==============
Net asset value and redemption price per
share of 41,913,089 outstanding shares of
common stock (authorized 70,000,000
shares).................................. $ 30.98
==============
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
December 31, 1999
<S> <C>
INVESTMENT INCOME
Dividends (net of $656,976 foreign
witholding tax).......................... $ 8,629,752
Interest................................... 1,625,766
---------------
10,255,518
---------------
EXPENSES
Investment advisory fee.................... 7,287,427
Custodian's fees and expenses.............. 528,000
Accounting fees............................ 178,000
Shareholders' reports...................... 99,000
Audit fee and expenses..................... 26,000
Transfer agent's fees and expenses......... 8,000
Directors' fees............................ 4,000
Miscellaneous.............................. 3,240
---------------
Total expenses........................... 8,133,667
Less: custodian fee credit................. (3,727)
---------------
Net expenses............................. 8,129,940
---------------
NET INVESTMENT INCOME........................ 2,125,578
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments.............................. 107,213,072
Foreign currencies....................... (2,319,994)
Interest rate swaps...................... 996,575
---------------
105,889,653
---------------
Net change in unrealized appreciation on:
Investments.............................. 310,067,546
Foreign currencies....................... 5,188,274
---------------
315,255,820
---------------
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES................................... 421,145,473
---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $ 423,271,051
===============
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
----------------------------------------
1999 1998
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................................... $ 2,125,578 $ 2,043,217
Net realized gain on investments and foreign
currencies............................................. 105,889,653 41,097,089
Net change in unrealized appreciation on investments and
foreign currencies..................................... 315,255,820 121,145,340
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... 423,271,051 164,285,646
--------------- ---------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income.................... -- (5,559,015)
Distributions in excess of net investment income........ (4,140,269) (4,481,373)
Distributions from net realized capital gains........... (7,259,626) (35,181,433)
--------------- ---------------
TOTAL DIVIDENDS AND DISTRIBUTIONS....................... (11,399,895) (45,221,821)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Capital stock sold [12,980,789 and 9,626,530 shares,
respectively].......................................... 303,934,195 191,039,953
Capital stock issued in reinvestment of dividends and
distributions [520,780 and 2,231,010 shares,
respectively].......................................... 11,399,895 45,221,821
Capital stock repurchased [(11,503,347) and (7,562,638)
shares, respectively].................................. (273,433,117) (149,184,992)
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL STOCK
TRANSACTIONS........................................... 41,900,973 87,076,782
--------------- ---------------
TOTAL INCREASE IN NET ASSETS.............................. 453,772,129 206,140,607
NET ASSETS:
Beginning of year....................................... 844,541,959 638,401,352
--------------- ---------------
End of year............................................. $ 1,298,314,088 $ 844,541,959
=============== ===============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
A10
<PAGE>
THE PRUDENTIAL SERIES FUND, INC.
SCHEDULE OF INVESTMENTS
MONEY MARKET PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
-------- -------- --------- --------------
<S> <C> <C> <C> <C>
BANK NOTES -- 16.6%
Amex Centurion Bank ...................................... 4.91% 03/08/00 $ 5,000 $ 5,000,000
Amex Centurion Bank(a).................................... 5.19% 07/10/00 6,000 6,000,000
Banc One Corp.(a)......................................... 5.52% 08/17/00 3,100 3,100,000
Banc One Corp.(a)......................................... 5.52% 08/21/00 10,000 10,000,000
Banc One Corp.(a)......................................... 5.57% 10/06/00 14,000 14,003,348
Comerica Bank N.A.(a)..................................... 5.00% 09/01/00 6,000 5,997,188
Commercial Bank of Detroit ............................... 5.00% 06/13/00 12,000 11,996,544
FCC National Bank ........................................ 5.12% 02/23/00 10,000 9,999,511
FCC National Bank ........................................ 5.14% 03/22/00 5,000 4,999,627
First Union National Bank ................................ 4.95% 03/10/00 20,000 20,000,000
First Union National Bank(a).............................. 5.29% 07/21/00 24,000 24,000,000
Ford Motor Credit Corp.(a)................................ 5.44% 08/18/00 35,000 34,982,180
Ford Motor Credit Corp.(a)................................ 5.50% 10/02/00 28,000 27,979,453
Forstal Fund ............................................. 6.09% 02/11/00 9,000 8,937,577
Keybank, N.A.(a).......................................... 5.04% 06/14/00 8,000 7,997,870
Keybank, N.A.(a).......................................... 5.05% 07/17/00 4,000 4,001,598
Keybank, N.A.(a).......................................... 5.11% 06/26/00 1,000 999,763
U.S. Bank, N.A.(a)........................................ 5.00% 06/21/00 8,000 7,997,405
U.S. Bank, N.A.(a)........................................ 5.02% 06/26/00 14,000 13,996,664
--------------
221,988,728
--------------
CERTIFICATE OF DEPOSIT-DOMESTIC -- 1.2%
Morgan Guaranty Trust Co. ................................ 5.70% 07/19/00 16,000 16,000,000
--------------
CERTIFICATES OF DEPOSIT-YANKEE -- 13.8%
Bank of Scotland ......................................... 6.02% 02/29/00 26,000 25,998,441
Barclays Bank PLC ........................................ 5.16% 03/31/00 10,000 9,973,542
Deutsche Bank ............................................ 4.98% 02/02/00 10,000 9,999,865
Deutsche Bank ............................................ 5.01% 01/24/00 5,000 4,999,878
Deutsche Bank ............................................ 5.06% 01/18/00 10,000 9,999,746
National Westminster ..................................... 6.10% 11/27/00 50,000 49,905,505
Rabobank Nederland ....................................... 5.66% 07/13/00 34,000 33,992,760
Royal Bank of Canada ..................................... 4.99% 01/31/00 30,000 29,999,288
UBS, A.G. ................................................ 5.29% 05/19/00 10,000 9,997,803
--------------
184,866,828
--------------
COMMERCIAL PAPER -- 54.6%
Abbey National Treasury Series, PLC(a).................... 5.24% 07/24/00 20,000 19,993,412
Aon Corp. ................................................ 6.10% 02/11/00 10,000 9,930,528
Aristar, Inc. ............................................ 6.13% 03/02/00 10,000 9,896,131
Aristar, Inc. ............................................ 6.15% 01/27/00 7,000 6,968,908
Aristar, Inc. ............................................ 6.25% 01/31/00 6,200 6,167,708
Asset Securitization Co. ................................. 7.00% 02/02/00 500 496,889
Associates First Capital Corp. ........................... 5.90% 02/18/00 9,000 8,929,200
Association Corp. of North America(a)..................... 5.10% 06/29/00 50,000 49,982,787
Barton Capital Corp. ..................................... 6.20% 01/20/00 17,000 16,944,372
Barton Capital Corp. ..................................... 6.50% 01/28/00 1,600 1,592,200
Barton Capital Corp. ..................................... 6.50% 02/11/00 1,500 1,488,896
Barton Capital Corp. ..................................... 7.05% 01/14/00 4,000 3,989,817
Blue Ridge Asset Fund. ................................... 6.95% 02/02/00 750 745,367
Cariplo Finance, Inc. .................................... 6.00% 02/24/00 15,000 14,865,000
Centric Capital Corp. .................................... 5.60% 01/28/00 4,000 3,983,200
Centric Capital Corp. .................................... 6.25% 01/11/00 13,300 13,276,910
Chrysler Financial Corp. ................................. 6.38% 01/28/00 9,000 9,008,633
Commercial Credit Co. .................................... 6.00% 04/15/00 10,000 10,020,536
Cregem North America ..................................... 5.91% 03/30/00 15,000 14,780,838
Daimler Chrysler(a)....................................... 5.06% 07/06/00 29,000 28,980,686
Daimler Chrysler ......................................... 5.76% 03/20/00 17,000 16,785,120
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B1
<PAGE>
MONEY MARKET PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
-------- -------- --------- --------------
<S> <C> <C> <C> <C>
Daimler Chrysler ......................................... 6.00% 01/28/00 $ 9,511 $ 9,468,202
Delaware Funding Corp. ................................... 6.30% 02/24/00 4,000 3,962,200
Duke Capital Corp. ....................................... 7.00% 01/25/00 5,000 4,976,667
Eaton Corp. .............................................. 6.85% 01/28/00 29,650 29,497,673
Enterprise Funding Corp. ................................. 6.20% 02/11/00 4,549 4,516,879
Enterprise Funding Corp. ................................. 6.25% 02/17/00 15,782 15,653,223
Enterprise Funding Corp. ................................. 6.30% 02/10/00 4,038 4,009,734
Enterprise Funding Corp. ................................. 6.30% 02/11/00 1,386 1,376,056
Enterprise Funding Corp. ................................. 6.55% 02/03/00 917 911,494
Enterprise Funding Corp. ................................. 6.77% 01/26/00 2,242 2,231,460
Finova Capital Corp. ..................................... 6.25% 03/10/00 14,000 13,832,292
General Electric Capital Corp. ........................... 5.97% 03/10/00 44,000 43,496,530
General Motors Accept Corp. .............................. 5.76% 02/29/00 30,000 29,716,800
General Motors Accept Corp. .............................. 5.77% 03/03/00 30,000 29,701,883
General Motors Accept Corp. .............................. 5.88% 02/10/00 4,000 3,973,867
General Motors Accept Corp. .............................. 6.20% 02/14/00 806 799,892
GTE Funding, Inc. ........................................ 6.35% 02/22/00 3,140 3,111,199
GTE Funding, Inc. ........................................ 6.45% 02/24/00 1,000 990,325
Hartford Financial Service Group, Inc. ................... 6.60% 01/28/00 1,700 1,691,585
ING American Insurance Holdings .......................... 5.90% 02/08/00 2,000 1,987,544
Intrepid Funding Master .................................. 6.05% 03/20/00 3,173 3,130,874
Intrepid Funding Master .................................. 6.10% 03/13/00 938 926,556
Morgan (J.P.) & Co., Inc. ................................ 6.10% 03/31/00 7,240 7,129,590
Morgan (J.P.) & Co., Inc. ................................ 6.20% 03/13/00 1,000 987,600
MCI Worldcom, Inc ........................................ 7.10% 01/31/00 10,000 9,940,833
Merrill Lynch & Co., Inc ................................. 5.55% 01/28/00 3,249 3,235,476
Merrill Lynch & Co., Inc ................................. 5.95% 02/29/00 5,000 4,951,243
Morgan Stanley Dean Witter & Co. ......................... 5.98% 02/25/00 21,360 21,164,853
National Australia Fund .................................. 6.25% 02/09/00 6,600 6,555,312
Nationwide Building Society .............................. 6.00% 02/04/00 10,000 9,943,333
Nordbankedn N.A. ......................................... 5.76% 02/24/00 17,060 16,912,602
Old Line Funding Corp. ................................... 6.20% 01/21/00 6,941 6,917,092
Old Line Funding Corp. ................................... 6.40% 01/25/00 12,000 11,948,800
Paribas Finance, Inc. .................................... 6.11% 02/22/00 10,000 9,911,744
PNC Funding Corp. ........................................ 5.95% 03/13/00 1,000 988,100
PNC Student Loan Trust ................................... 5.91% 02/22/00 5,000 4,957,317
PNC Student Loan Trust ................................... 5.93% 02/18/00 4,000 3,968,373
Preferred Receivables Funding Corp. ...................... 5.50% 01/20/00 2,500 2,492,743
Preferred Receivables Funding Corp. ...................... 6.85% 01/27/00 12,490 12,428,209
Strategic MM Tr 99-B(a)................................... 5.00% 03/15/00 9,000 9,000,000
Strategic MM Tr 99-B(a)................................... 6.30% 09/13/00 27,000 27,000,000
Toronto Dominion Holdings ................................ 5.02% 02/04/00 5,000 4,999,865
Toronto Dominion Holdings ................................ 5.12% 02/18/00 10,000 9,999,557
Triple-A One Plus Funding ................................ 7.00% 01/19/00 1,778 1,771,777
Triple-A One Plus Funding ................................ 7.00% 01/20/00 2,795 2,784,674
Variable Funding Capital(a)............................... 5.50% 03/22/00 18,400 18,400,000
Wells Fargo & Co. ........................................ 5.31% 03/31/00 5,000 4,991,934
Wells Fargo & Co. ........................................ 5.75% 03/10/00 15,000 14,834,688
Wells Fargo & Co. ........................................ 5.75% 03/14/00 40,000 39,533,611
Wood Street Funding Corp. ................................ 7.07% 01/13/00 2,000 1,995,287
--------------
728,534,686
--------------
MEDIUM TERM NOTE -- 0.2%
Citicorp(a)............................................... 5.21% 08/02/00 2,000 2,000,000
--------------
OTHER CORPORATE OBLIGATIONS -- 13.1%
Association Corp. of North America ....................... 6.00% 06/15/00 5,000 4,998,933
Centex Home Mortgage(a)................................... 6.61% 10/20/00 5,000 5,000,000
Chase Manhattan Bank(a)................................... 4.83% 05/25/00 25,000 24,993,632
Commercial Credit Co. .................................... 5.75% 07/15/00 2,000 1,997,967
Conseco Financial, Inc.(a)................................ 6.62% 01/05/01 9,000 9,000,000
General Electric Capital Corp. ........................... 6.09% 03/07/00 1,735 1,715,629
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B2
<PAGE>
MONEY MARKET PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
INTEREST MATURITY AMOUNT VALUE
RATE DATE (000) (NOTE 2)
-------- -------- --------- --------------
<S> <C> <C> <C> <C>
General Electric Capital Corp.(a)......................... 4.95% 05/12/00 $ 20,000 $ 20,000,000
Goldman Sachs Group L.P. (a) (b) ......................... 5.62% 01/18/00 30,000 30,000,000
Restructured Asset Securities Enhanced Return(a).......... 5.46% 09/06/00 24,000 24,000,000
Restructured Asset Securities Enhanced Return(a).......... 5.68% 01/21/00 16,000 16,000,000
Security Life Denver(a) (b) .............................. 5.07% 04/12/00 2,000 2,000,000
Short Term Restructured Asset(a).......................... 5.59% 08/18/00 12,000 12,000,000
Travelers Group, Inc.(a) (b) ............................. 5.34% 07/06/00 4,000 4,000,000
Unifunding, Inc. ......................................... 6.05% 01/25/00 5,385 5,363,280
U.S. Bancorp(a)........................................... 5.48% 09/20/00 14,265 14,259,951
--------------
175,329,392
--------------
TOTAL INVESTMENTS -- 99.5%
(amortized cost $1,328,719,634; (c)).................................................. 1,328,719,634
--------------
ASSETS IN EXCESS OF OTHER LIABILITIES -- 0.5%........................................... 6,754,588
--------------
TOTAL NET ASSETS -- 100.0%.............................................................. $1,335,474,222
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
AG Aktiengesellschaft (German Stock Company)
PLC Public Limited Company (British Corporation)
</TABLE>
<TABLE>
<S> <C>
(a) Indicates a variable rate security. The maturity date
presented for these instruments is the later of the next
date on which the security can be redeemed at par or the
next date on which the rate of interest is adjusted. The
interest rate shown reflects the rate in effect at
December 31, 1999.
(b) Indicates a restricted security and deemed illiquid. The
aggregate cost and value of restricted securities is
$36,000,000 and represents 2.7% of net assets.
(c) The cost of securities for federal income tax purposes is
substantially the same as for financial reporting purposes.
The industry classification of portfolio holdings and other
assets in excess of liabilities shown as a percentage of net
assets as of December 31, 1999 was as follows:
</TABLE>
<TABLE>
<S> <C>
Commercial Banks 47.6%
Motor Vehicle Parts 14.1%
Asset Backed Securities 14.0%
Personal Credit 6.5%
Short-Term Business Credit 6.0%
Security Brokers & Dealers 4.5%
Bank Holding Company U.S. 3.9%
Phone Communications 1.0%
Accidental/Health Insurance 0.7%
Life Insurance 0.5%
Electrical Services 0.4%
Fire Insurance 0.3%
------
99.5%
Other assets in excess of liabilities 0.5%
------
100.0%
======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B3
<PAGE>
DIVERSIFIED BOND PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 96.8% MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS -- 96.5% (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C>
AEROSPACE -- 3.2%
Boeing Co. ............................................... Aa3 8.75% 08/15/21 $ 6,250 $ 6,884,938
Litton Industries, Inc. .................................. Baa2 8.00% 10/15/09 4,220 4,202,276
Northrop-Grumman Corp. ................................... Baa3 7.875% 03/01/26 3,400 3,189,472
Raytheon Co. ............................................. Baa1 5.95% 03/15/01 6,500 6,394,245
Raytheon Co. ............................................. Baa1 6.45% 08/15/02 5,000 4,864,050
Raytheon Co. ............................................. Baa1 6.50% 07/15/05 4,200 3,977,232
Rockwell International Corp. ............................. A1 5.20% 01/15/98 6,500 4,151,030
United Technologies Corp. ................................ A2 7.50% 09/15/29 6,000 5,895,000
--------------
39,558,243
--------------
AIRLINES -- 2.6%
Continental Airlines, Inc. ............................... Aa3 7.461% 04/01/15 5,205 5,012,417
Continental Airlines, Inc. ............................... Ba2 8.00% 12/15/05 4,785 4,376,648
Delta Air Lines, Inc. .................................... Baa3 7.90% 12/15/09 3,500 3,407,985
Delta Air Lines, Inc. .................................... Ba1 9.875% 05/15/00 6,000 6,062,280
United Airlines, Inc. .................................... Baa3 10.67% 05/01/04 7,000 7,665,910
United Airlines, Inc. .................................... Baa3 11.21% 05/01/14 5,000 6,065,550
--------------
32,590,790
--------------
ASSET-BACKED SECURITIES -- 2.4%
Advanta Mortgage Loan Trust, Series 1994-3 ............... Aaa 8.49% 01/25/26 8,134 8,209,939
California Infrastructure PG&E, Series 1997-1 ............ NR 6.32% 09/25/05 4,000 3,955,000
Chase Manhattan Credit Master Trust, Series 1996-3 ....... Aaa 7.04% 02/15/05 6,000 6,013,080
Citibank Credit Card Master Trust, Series 1999-5 ......... NR 6.10% 05/15/08 12,500 11,768,250
--------------
29,946,269
--------------
AUTO-CARS & TRUCKS -- 1.5%
Ford Motor Co. ........................................... A1 6.375% 02/01/29 10,000 8,395,600
Ford Motor Co. ........................................... A1 7.45% 07/16/31 2,300 2,212,692
Navistar International Corp. ............................. Ba1 7.00% 02/01/03 3,500 3,351,250
Navistar International Corp. ............................. Ba3 8.00% 02/01/08 4,500 4,275,000
--------------
18,234,542
--------------
AUTOMOTIVE PARTS -- 1.5%
Cooper Tire & Rubber, Inc. ............................... A3 7.75% 12/15/09 2,000 1,958,400
Lear Corp. ............................................... Ba1 7.96% 05/15/05 7,590 7,362,300
TRW, Inc. ................................................ Baa1 6.45% 06/15/01 9,200 9,090,750
United Rentals, Inc. ..................................... B1 8.80% 08/15/08 920 857,900
--------------
19,269,350
--------------
BANKS AND SAVINGS & LOANS -- 6.0%
Banco de Commercio Exterior de Columbia, SA, M.T.N.,
(Colombia) ............................................. Baa3 8.625% 06/02/00 2,000 1,980,000
Barclays Bank PLC, (United Kingdom) ...................... Aa3 7.40% 12/15/09 2,000 1,965,400
Bayerische Landesbank Girozentrale, (Germany) ............ Aaa 5.875% 12/01/08 7,800 6,994,728
Capital One Bank ......................................... Baa3 7.08% 10/30/01 5,000 4,951,150
Chase Manhattan Corp. .................................... A1 7.00% 11/15/09 5,000 4,810,750
Compass Bancshares, Inc. ................................. A1 8.10% 08/15/09 4,800 4,787,040
Dresdner Funding Trust ................................... Aa2 8.151% 06/30/31 13,100 12,489,540
Hypovereinsbank .......................................... Aa3 8.741% 06/30/31 1,500 1,498,050
International Bank for Reconstruction & Development,
(Supranational)......................................... Aaa 12.375% 10/15/02 750 855,772
Kansallis-Osake Pankki, (Finland) ........................ Baa1 10.00% 05/01/02 5,000 5,279,550
KBC Bank Funding ......................................... A1 9.86% 11/29/49 5,000 5,185,500
Keycorp Capital, Inc. .................................... A1 7.75% 07/15/29 2,800 2,604,000
National Australia Bank, (Australia) ..................... A1 6.40% 12/10/07 3,700 3,687,790
Sanwa Finance Aruba A.E.C. ............................... A3 8.35% 07/15/09 4,640 4,675,264
Sovereign Bancorp ........................................ Ba3 10.25% 05/15/04 1,325 1,335,467
Sovereign Bancorp ........................................ Ba3 10.50% 11/15/06 2,295 2,340,900
Washington Mutual, Inc. .................................. A3 7.50% 08/15/06 10,000 9,892,500
--------------
75,333,401
--------------
CABLE & PAY TELEVISION SYSTEMS -- 2.8%
British Sky Broadcasting, Inc. ........................... Baa2 6.875% 02/23/09 7,800 6,852,300
Cable & Wire Communications PLC (United Kingdom) ......... Baa1 6.75% 12/01/08 1,650 1,624,029
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B4
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C>
CABLE & PAY TELEVISION SYSTEMS (CONT'D.)
Cox Communications, Inc. ................................. Baa2 7.875% 08/15/09 $ 2,400 $ 2,432,880
Cox Enterprises, Inc. .................................... Baa1 6.625% 06/14/02 3,200 3,153,696
CSC Holdings, Inc. ....................................... Ba2 7.25% 07/15/08 3,400 3,206,064
CSC Holdings, Inc. ....................................... Ba2 7.875% 12/15/07 1,900 1,865,192
Rogers Cablesystems, Inc., (Canada) ...................... Ba3 10.00% 03/15/05 4,000 4,280,000
Tele-Communications, Inc. ................................ Ba1 6.34% 02/01/02 3,500 3,466,190
Tele-Communications, Inc. ................................ Baa3 10.125% 04/15/22 6,300 7,850,934
--------------
34,731,285
--------------
CHEMICALS -- 0.6%
ICI Wilmington, Inc. ..................................... Baa1 9.50% 11/15/00 3,500 3,567,655
Lyondell Chemical ........................................ NR 9.625% 05/01/07 1,760 1,799,600
Rohm & Haas Co. .......................................... A3 6.95% 07/15/04 2,800 2,764,356
--------------
8,131,611
--------------
COMPUTERS -- 0.9%
International Business Machine Corp. ..................... A1 5.50% 01/15/09 5,000 4,422,000
International Business Machine Corp. ..................... A1 5.625% 04/12/04 3,000 2,834,340
Unisys Corp. ............................................. Ba1 12.00% 04/15/03 3,220 3,429,300
--------------
10,685,640
--------------
CONSUMER PRODUCTS -- 0.4%
Fortune Brands ........................................... A2 7.125% 11/01/04 5,000 4,930,450
--------------
DIVERSIFIED CONSUMER PRODUCT -- 0.3%
Owens-Illinois, Inc. ..................................... Ba1 7.50% 05/15/10 5,000 4,396,100
--------------
DIVERSIFIED OPERATIONS -- 1.1%
Tyco International Ltd. .................................. Baa1 6.875% 01/15/29 3,350 2,847,064
Tyco International Ltd. .................................. Baa1 7.00% 06/15/28 1,350 1,168,236
Xerox Cap Europe PLC ..................................... A2 5.75% 05/15/02 10,000 9,655,000
--------------
13,670,300
--------------
DRUGS & MEDICAL SUPPLIES -- 0.3%
Mallinckrodt, Inc. ....................................... Baa2 6.30% 03/15/01 3,500 3,421,250
--------------
FINANCIAL SERVICES -- 8.4%
Arkwright Corp. .......................................... Baa3 9.625% 08/15/26 5,000 4,899,000
Bombardier Capital, Inc. M.T.N. .......................... A3 7.30% 12/15/02 5,000 4,980,000
Calair Capital Corp. ..................................... Ba2 8.125% 04/01/08 3,000 2,640,000
Capital One Financial Corp. .............................. Ba1 7.25% 05/01/06 4,200 3,969,000
Chrysler Financial Corp. ................................. A1 5.25% 10/22/01 10,400 10,114,312
Comdisco, Inc. ........................................... Baa1 6.32% 11/27/00 10,000 9,932,000
Ford Motor Credit Co. .................................... A1 5.75% 01/25/01 4,000 3,955,480
Ford Motor Credit Co. .................................... A1 7.375% 10/28/09 1,600 1,584,000
Gatx Capital Corp. ....................................... Baa2 7.75% 12/01/06 5,000 4,955,350
General Motors Acceptance Corp. .......................... A2 5.75% 11/10/03 10,000 9,521,600
Heller Financial, Inc. ................................... A3 6.00% 03/19/04 2,900 2,753,637
HVB Funding Trust ........................................ Aa3 9.00% 10/22/31 6,000 6,153,000
International Lease Finance Corp. ........................ A1 5.90% 03/12/03 16,000 15,393,600
MBNA Corp. ............................................... Aaa 5.90% 08/15/11 17,900 16,226,028
RBF Finance Co. .......................................... Ba3 11.375% 03/15/09 450 483,750
The CIT Group, Inc. ...................................... Aa3 5.50% 10/15/01 8,045 7,865,275
--------------
105,426,032
--------------
FOOD & BEVERAGE -- 0.8%
Archer-Daniels Midland Co. ............................... Aa3 6.625% 05/01/29 4,700 3,998,431
Coca-Cola Bottling Co. ................................... Baa2 6.375% 05/01/09 2,200 1,981,760
Coca-Cola Enterprises, Inc. .............................. A2 7.125% 09/30/09 3,300 3,237,300
Embotelladora Andina S.A., (Chile) ....................... Baa1 7.875% 10/01/97 1,250 961,131
--------------
10,178,622
--------------
FOREST PRODUCTS -- 1.8%
Abitibi-Consolidated, Inc. ............................... Baa3 8.50% 08/01/29 2,250 2,168,977
Fort James Corp. ......................................... Baa3 6.234% 03/15/11 5,000 4,948,200
Georgia-Pacific Corp. .................................... Baa2 7.75% 11/15/29 895 852,881
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B5
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C>
FOREST PRODUCTS (CONT'D.)
Scotia Pacific Co. ....................................... NR 7.71% 01/20/14 $ 12,200 $ 9,150,000
Westvaco Corp. ........................................... A1 9.75% 06/15/20 5,000 5,855,500
--------------
22,975,558
--------------
HOSPITAL MANAGEMENT -- 0.3%
Columbia/HCA Healthcare Corp. ............................ Ba2 6.91% 06/15/05 2,435 2,228,025
Tenet Healthcare Corp. ................................... Ba1 7.875% 01/15/03 1,825 1,770,250
--------------
3,998,275
--------------
INDUSTRIAL -- 0.2%
Compania Sud Americana de Vapores, SA, (Chile) ........... Baa 7.375% 12/08/03 2,000 1,905,140
--------------
INSURANCE -- 2.3%
Allstate Corp. ........................................... A1 7.20% 12/01/09 900 874,971
Conseco, Inc. ............................................ Ba1 8.50% 10/15/02 6,875 6,963,000
Conseco, Inc. ............................................ Ba2 8.796% 04/01/27 10,100 9,167,669
Nationwide CSN Trust ..................................... Aa3 9.875% 02/15/25 5,000 5,094,650
Reliastar Financial Corp. ................................ A3 6.625% 09/15/03 5,000 4,855,000
Royal & Sun Alliance Insurance Group PLC ................. A1 8.95% 10/15/29 2,300 2,349,680
--------------
29,304,970
--------------
INVESTMENT BANKERS -- 5.3%
Bear Stearns & Co. ....................................... A2 7.625% 12/07/09 4,675 4,590,476
Goldman Sachs Group, Inc. ................................ A1 5.56% 01/11/01 4,750 4,693,760
Lehman Brothers Holdings, Inc. ........................... Baa1 6.375% 03/15/01 1,150 1,140,282
Lehman Brothers Holdings, Inc. ........................... Baa1 6.625% 04/01/04 13,245 12,821,690
Lehman Brothers Holdings, Inc. ........................... Baa1 6.625% 02/05/06 4,585 4,331,725
Merrill Lynch, Pierce, Fenner & Smith, Inc. .............. Aa3 5.665% 06/24/03 15,000 14,955,000
Morgan Stanley Dean Witter & Co. M.T.N. .................. Aa3 5.625% 04/12/02 5,450 5,276,690
Morgan Stanley Dean Witter & Co. ......................... Aa3 7.125% 01/15/03 2,830 2,827,764
PaineWebber Group, Inc. .................................. Baa1 6.45% 12/01/03 5,000 4,807,400
Salomon, Inc., M.T.N. .................................... Aa3 6.59% 02/21/01 3,500 3,485,790
Salomon, Inc. ............................................ Aa3 6.65% 07/15/01 7,000 6,961,360
Salomon, Inc., M.T.N. .................................... Aa3 7.25% 05/01/01 1,100 1,103,487
--------------
66,995,424
--------------
LEISURE -- 2.2%
Harrahs Operating Co., Inc. .............................. Ba2 7.875% 12/15/05 290 282,750
HMH Properties ........................................... Ba2 7.875% 08/01/05 1,970 1,817,325
ITT Corp. ................................................ Baa2 6.25% 11/15/00 4,250 4,167,252
ITT Corp. ................................................ Baa2 6.75% 11/15/03 7,000 6,511,610
Marriott International ................................... Baa1 7.875% 09/15/09 325 319,885
Park Place Entertainment ................................. Ba2 7.875% 12/15/05 2,265 2,163,075
Royal Caribbean Cruises Ltd. ............................. Baa3 7.00% 10/15/07 8,000 7,527,200
Royal Caribbean Cruises Ltd. ............................. Baa3 7.25% 08/15/06 5,000 4,820,450
--------------
27,609,547
--------------
MEDIA -- 4.9%
Liberty Media Group ...................................... Baa3 7.875% 07/15/09 1,600 1,593,760
Liberty Media Group ...................................... Baa3 8.50% 07/15/29 2,800 2,898,000
News America Holding, Inc. ............................... Baa3 6.703% 05/21/04 22,000 21,011,540
Paramount Communications, Inc. ........................... Ba2 7.50% 01/15/02 5,000 5,010,850
Seagram (J.) & Sons ...................................... Baa3 5.79% 04/15/01 11,500 11,249,300
Turner Broadcasting System, Inc. ......................... Ba1 7.40% 02/01/04 13,500 13,409,010
United News & Media PLC .................................. Baa2 7.25% 07/01/04 2,000 1,920,800
United News & Media PLC .................................. Baa2 7.75% 07/01/09 1,000 961,880
World Color Press, Inc. .................................. B1 7.75% 02/15/09 2,075 1,981,625
World Color Press, Inc. .................................. B1 8.375% 11/15/08 1,000 977,500
--------------
61,014,265
--------------
OIL & GAS -- 2.7%
Amerada Hess Corp. ....................................... Baa1 7.375% 10/01/09 600 585,546
Amerada Hess Corp. ....................................... Baa1 7.875% 10/01/29 1,600 1,560,480
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B6
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C>
OIL & GAS (CONT'D.)
Atlantic Richfield Co. ................................... A2 5.55% 04/15/03 $ 3,700 $ 3,547,116
Atlantic Richfield Co. ................................... A2 5.90% 04/15/09 6,770 6,143,030
B.J. Services Co. ........................................ Ba1 7.00% 02/01/06 5,000 4,731,700
EOTT Energy Partners, L.P. ............................... Ba2 11.00% 10/01/09 1,960 2,038,400
K N Energy, Inc., ........................................ Baa2 6.30% 03/01/21 15,000 14,844,000
--------------
33,450,272
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.4%
Parker & Parsley Petroleum Co. ........................... Ba2 8.875% 04/15/05 1,505 1,497,159
Seagull Energy Corp. ..................................... Ba1 7.875% 08/01/03 1,830 1,788,825
Union Pacific Resources .................................. Baa3 7.95% 04/15/29 2,100 2,038,491
--------------
5,324,475
--------------
RAILROADS -- 1.2%
Burlington Northern Santa Fe Corp. ....................... Baa2 6.05% 03/15/01 8,000 7,906,160
Norfolk Southern Corp. ................................... Baa1 6.875% 05/01/01 4,500 4,488,570
Norfolk Southern Corp. ................................... Baa1 6.95% 05/01/02 1,650 1,642,872
Union Pacific Corp. ...................................... Baa3 7.375% 09/15/09 1,700 1,663,637
--------------
15,701,239
--------------
REAL ESTATE INVESTMENT TRUST -- 2.4%
Camden Property Trust .................................... Baa2 7.23% 10/30/00 5,000 4,981,500
Equity Residential Properties Trust ...................... A3 6.15% 09/15/00 15,000 14,877,000
ERP Operating, L.P. ...................................... A3 6.63% 04/13/05 3,900 3,654,846
ERP Operating, L.P. ...................................... A3 7.10% 06/23/04 1,500 1,465,695
HRPT Properties Trust .................................... Baa2 7.426% 07/09/00 5,000 4,971,000
--------------
29,950,041
--------------
RETAIL -- 3.9%
Dayton-Hudson Corp. ...................................... A3 6.40% 02/15/03 8,250 8,072,790
Federated Department Stores, Inc. ........................ Ba1 8.125% 10/15/02 5,250 5,334,315
Federated Department Stores, Inc. ........................ Ba1 8.50% 06/15/03 10,200 10,482,438
Kmart Corp. .............................................. Ba2 9.78% 01/05/20 3,850 3,951,063
Kroger Co., (The) ........................................ Baa3 6.34% 06/01/01 6,500 6,426,875
Kroger Co., (The) ........................................ Baa3 6.375% 03/01/08 6,600 6,009,960
Kroger Co., (The) ........................................ Baa3 7.25% 06/01/09 3,800 3,648,000
Kroger Co., (The) ........................................ Baa3 7.70% 06/01/29 960 907,200
Saks, Inc. ............................................... Baa3 8.25% 11/15/08 3,625 3,526,763
--------------
48,359,404
--------------
TELECOMMUNICATIONS -- 7.6%
AT&T Canada, Inc., (Canada) .............................. Baa3 7.65% 09/15/06 1,600 1,592,016
Electric Lightwave, Inc. ................................. A2 6.05% 05/15/04 3,300 3,114,672
Global Crossing Holdings, Ltd. ........................... Ba2 9.125% 11/15/06 4,400 4,350,500
GTE Corp. ................................................ Baa1 9.375% 12/01/00 6,250 6,400,438
LCI International, Inc. .................................. Ba1 7.25% 06/15/07 10,125 9,734,884
Lucent Technologies, Inc. ................................ A2 6.45% 03/15/29 9,500 8,269,655
Qwest Communications International, Inc. ................. Ba1 7.50% 11/01/08 4,000 3,910,000
Rogers Cantel, Inc. ...................................... Ba3 9.375% 06/01/08 2,350 2,444,000
Sprint Corp. ............................................. Baa1 5.70% 11/15/03 17,000 16,130,450
Sprint Corp. ............................................. Baa1 6.875% 11/15/28 2,500 2,221,775
Telecom De Puerto Rico ................................... Baa2 6.65% 05/15/06 6,800 6,451,772
Telecom De Puerto Rico ................................... Baa2 6.80% 05/15/09 5,700 5,198,001
US West, Inc. ............................................ Baa1 6.875% 08/15/01 5,000 4,979,000
Williams Communications Group, Inc. ...................... B2 10.70% 10/01/07 2,000 2,100,000
Williams Communications Group, Inc. ...................... B2 10.875% 10/01/09 680 711,450
Worldcom, Inc. ........................................... Baa2 6.125% 08/15/01 8,300 8,210,277
Worldcom, Inc. ........................................... Baa2 6.95% 08/15/28 9,900 8,988,804
--------------
94,807,694
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B7
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C>
UTILITIES -- 10.8%
AES Corp. ................................................ Ba1 9.50% 06/01/09 $ 4,905 $ 5,003,100
Arkla, Inc., M.T.N. ...................................... Ba2 9.32% 12/18/00 2,000 2,040,320
Calenergy Co., Inc. ...................................... Ba1 6.96% 09/15/03 8,000 7,819,200
Calenergy Co., Inc. ...................................... Ba1 7.23% 09/15/05 5,000 4,872,150
Calpine Corp. ............................................ Ba1 10.50% 05/15/06 4,060 4,263,000
CMS Energy Corp. ......................................... Ba3 6.75% 01/15/04 4,500 4,218,750
CMS Energy Corp. ......................................... Ba3 8.00% 07/01/01 4,500 4,457,700
Cogentrix Energy, Inc. ................................... Ba1 8.75% 10/15/08 10,000 9,700,000
Commonwealth Edison Co. .................................. Baa3 7.625% 01/15/07 7,525 7,478,044
Connecticut Light & Power Company ........................ Ba2 7.75% 06/01/02 5,685 5,754,698
Edison Mission Energy .................................... A3 7.73% 06/15/09 3,200 3,187,104
El Paso Electric Company ................................. Ba2 7.75% 05/01/01 5,850 5,876,384
El Paso Electric Company ................................. Ba3 9.40% 05/01/11 4,000 4,275,040
El Paso Energy Corp. ..................................... Baa2 6.625% 07/15/01 3,800 3,769,866
Hydro-Quebec ............................................. A2 7.50% 04/01/16 1,850 1,809,504
Illinois Power Co. ....................................... Aaa 5.38% 06/25/07 15,000 14,015,550
Niagara Mohawk Power ..................................... Ba3 6.875% 04/01/03 4,000 3,971,960
Niagara Mohawk Power ..................................... Ba2 7.375% 08/01/03 8,000 8,000,800
Niagara Mohawk Power ..................................... Baa2 8.00% 06/01/04 5,000 5,097,550
Osprey Trust ............................................. Baa3 8.31% 01/15/03 12,000 11,937,000
PSEG Energy Holdings, Inc. ............................... Ba1 10.00% 10/01/09 2,230 2,202,125
Sonat, Inc. .............................................. Baa1 7.625% 07/15/11 5,100 5,002,845
Texas Utilities .......................................... Baa3 5.94% 10/15/01 10,000 9,830,200
Utilicorp United, Inc. ................................... Baa3 7.00% 07/15/04 1,280 1,236,147
--------------
135,819,037
--------------
WASTE MANAGEMENT -- 0.6%
Allied Waste Industries, Inc. ............................ Ba2 7.625% 01/01/06 1,575 1,417,500
USA Waste Service ........................................ Baa3 6.125% 07/15/01 7,000 6,662,250
--------------
8,079,750
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 10.1%
Resolution Funding Corp. ................................. Zero 10/15/15 17,100 5,693,958
Resolution Funding Corp. ................................. 8.125% 10/15/19 700 776,559
Resolution Funding Corp. ................................. 8.625% 01/15/21 200 233,500
United States Treasury Bond .............................. 5.25% 02/15/29 1,000 826,870
United States Treasury Bond(b)............................ 8.125% 08/15/21 66,700 76,496,229
United States Treasury Note .............................. Zero 05/15/20 36,500 9,177,925
United States Treasury Note .............................. 5.50% 01/31/03 2,500 2,442,575
United States Treasury Note .............................. 6.00% 08/15/09 12,187 11,806,156
United States Treasury Note .............................. 6.50% 05/15/05-10/15/06 9,965 9,952,734
United States Treasury Note .............................. 6.75% 08/15/26 9,800 9,845,962
--------------
127,252,468
--------------
U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES -- 2.0%
Federal National Mortgage Association .................... 6.50% 01/01/15 20,000 19,400,000
Federal National Mortgage Association .................... 9.00% 10/01/16-09/01/21 267 275,901
Government National Mortgage Association ................. 7.50% 5/20/02-02/15/26 5,254 5,203,313
--------------
24,879,214
--------------
FOREIGN GOVERNMENT BONDS -- 5.0%
Junta De Andaluci, (Spain) ............................... Aa3 7.25% 10/01/29 540 514,728
Province of Saskatchewan, (Canada) ....................... A2 9.125% 02/15/21 3,000 3,456,720
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B8
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
LONG-TERM BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ----------------- ---------- --------------
<S> <C> <C> <C> <C> <C>
FOREIGN GOVERNMENT BONDS (CONT'D.)
Quebec Province, (Canada) ................................ A1 7.50% 07/15/23 $ 6,825 $ 6,654,716
Quebec Province, (Canada) ................................ NR 7.50% 09/15/29 2,500 2,459,000
Republic Of Argentina, (Argentina) ....................... BBB Zero 10/15/01 5,000 4,187,500
Republic Of Columbia, (Columbia) ......................... Baa3 9.75% 04/23/09 2,700 2,504,250
Republic of Mexico, (Mexico) ............................. Ba2 6.836% 12/31/19 5,900 5,538,625
Republic of Mexico, (Mexico) ............................. Ba2 6.933% 12/31/19 2,100 1,971,375
Republic of Mexico, (Mexico) ............................. Ba2 6.943% 12/31/19 4,200 3,942,750
Republic of Panama, (Panama) ............................. Ba1 4.25% 07/17/14 6,600 5,181,000
Republic of Panama, (Panama) ............................. NR 7.875% 02/13/02 8,000 7,720,000
Republic Of Philippines, (Philippines) ................... Ba1 8.875% 04/15/08 3,200 3,120,000
Republic of Poland, (Poland) ............................. Baa3 4.00% 10/27/24 7,500 4,950,000
United Mexican States, (Mexico) .......................... NR 10.375% 02/17/09 9,500 10,070,000
--------------
62,270,664
--------------
TOTAL LONG-TERM BONDS
(cost $1,253,556,114)....................................................................................... 1,210,201,322
--------------
<CAPTION>
SHARES
----------
<S> <C> <C> <C> <C> <C>
PREFERRED STOCK -- 0.3%
Centaur Funding (cost $4,323,180) ............................................................... 27,000 3,922,074
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,257,879,294)....................................................................................... 1,214,123,396
--------------
SHORT-TERM INVESTMENTS -- 3.1%
WARRANT -- 0.0% (A)
<CAPTION>
UNITS
----------
<S> <C> <C> <C> <C> <C>
Mexico Vrr Debenture, expiring 06/30/03
(cost $0) ..................................................................................... 18,766,000 2
--------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
----------
<S> <C> <C> <C> <C> <C>
REPURCHASE AGREEMENT -- 3.1%
Joint Repurchase Agreement Account (Note 5)............................ 2.875% 01/03/00 $ 39,380 39,380,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $39,380,000).......................................................................................... 39,380,002
--------------
TOTAL INVESTMENTS -- 99.9%
(cost $1,297,259,294; Note 6)............................................................................... 1,253,503,398
VARIATION MARGIN ON OPEN FUTURES CONTRACTS -- (C)............................................................. (75,125)
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1%................................................................. 403,677
--------------
NET ASSETS -- 100.0%.......................................................................................... $1,253,831,950
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
L.P. Limited Partnership
M.T.N. Medium Term Note
PLC Public Limited Company (British Corporation)
SA Sociedad Anonime (Spanish Corporation) or Societe Anonyme
(French Corp.)
NR Note Rated by Moody's or Standard & Poors
</TABLE>
<TABLE>
<S> <C>
(a) Such represents less than 0.05%.
(b) Security, or a portion thereof, segregated as collateral for
futures contracts.
(c) Open futures contracts as of December 31, 1999 are as
follows:
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AT APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE DECEMBER 31, 1999 DEPRECIATION
<S> <C> <C> <C> <C> <C>
Long Position:
186 U.S. Treasury Bond Mar 00 $17,565,375 $16,914,375 $(651,000)
Short Position:
44 U.S. Treasury Notes Mar 00 4,321,969 4,217,813 104,156
---------
$(546,844)
=========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B9
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 91.8%
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS -- 49.3% (UNAUDITED) (000) (000)
----------- --------- --------------
<S> <C> <C> <C>
AEROSPACE -- 0.8%
Litton Industries, Inc.,
8.00%, 10/15/09 ......... Baa2 $ 3,300 $ 3,286,140
Lockheed Martin Corp.,
6.85%, 05/15/01 ......... A3 1,900 1,886,928
Northrop-Grumman Corp.,
7.875%, 03/01/26 ........ Baa3 4,500 4,221,360
Raytheon Co.,
5.95%, 03/15/01 ......... Baa1 26,900 26,462,337
--------------
35,856,765
--------------
AIRLINES -- 3.2%
Continental Airlines, Inc.,
7.461%, 04/01/15 ........ Aa3 11,641 11,209,589
8.00%, 12/15/05 ......... Ba2 4,530 4,143,410
Delta Air Lines, Inc.,
7.90%, 12/15/09(b) ...... Baa3 47,300 46,056,483
8.30%, 12/15/29 ......... Baa3 4,000 3,849,320
United Airlines, Inc.,
10.67%, 05/01/04 ........ Baa3 46,865 51,323,267
11.21%, 05/01/14 ........ Baa3 18,433 22,361,257
--------------
138,943,326
--------------
ASSET-BACKED SECURITIES -- 2.1%
California Infrastructure,
6.14%, 03/25/02 ......... Aaa 1,091 1,080,166
6.17%, 03/25/03 ......... Aaa 2,000 1,989,840
6.28%, 09/25/05 ......... Aaa 7,000 6,861,960
Chase Manhattan Credit
Master Trust, Series
1996-3,
7.04%, 02/15/05 ......... Aaa 15,000 15,032,700
Citibank Credit Card Master
Trust, Series 1999-5,
6.10%, 05/15/08 ......... NR 56,500 53,192,490
Standard Credit Card Master
Trust,
5.95%, 10/07/04 ......... Aaa 4,650 4,482,879
Team Fleet Financing Corp.,
7.35%, 05/15/03 ......... Aa2 11,000 10,961,500
--------------
93,601,535
--------------
AUTO-CARS & TRUCKS -- 1.5%
Ford Motor Co.,
6.375%, 02/01/29 ........ A1 16,000 13,432,960
7.45%, 07/16/31(b) ...... A1 2,900 2,789,916
Lear Corp.,
7.96%, 05/15/05 ......... Ba1 10,325 10,015,250
8.25%, 02/01/02 ......... B2 4,710 4,615,800
TRW, Inc.,
6.45%, 06/15/01 ......... Baa1 35,300 34,880,812
United Rentals, Inc.,
8.80%, 08/15/08 ......... B1 1,435 1,338,137
--------------
67,072,875
--------------
BANKS AND SAVINGS & LOANS -- 4.0%
Bank of Nova Scotia
(Canada),
6.50%, 07/15/07 ......... A1 7,200 7,083,000
Barclays Bank PLC, (United
Kingdom),
7.40%, 12/15/09 ......... Aa3 2,500 2,456,750
Bayerische Landesbank
Girozentrale, (Germany),
5.875%, 12/01/08 ........ Aaa 7,800 6,994,728
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM (UNAUDITED) (000) (000)
BONDS (CONTINUED) ----------- --------- --------------
<S> <C> <C> <C>
BANKS AND SAVINGS & LOANS (CONT'D.)
Capital One Bank,
6.76%, 07/23/02 ......... Baa2 $ 2,500 $ 2,441,200
6.97%, 02/04/02 ......... Baa3 25,000 24,606,000
7.08%, 10/30/01 ......... Baa3 19,000 18,814,370
Chase Manhattan Corp.,
7.00%, 11/15/09(b) ...... A1 2,500 2,405,375
Compass Bancshares, Inc.,
8.10%, 08/15/09 ......... A1 3,900 3,889,470
Dresdner Funding Trust,
8.151%, 06/30/31 ........ Aa2 18,200 17,351,880
Hypovereinsbank,
8.741%, 06/30/31(b) ..... Aa3 1,800 1,797,660
Key Bank NA,
5.80%, 04/01/04 ......... Aa3 30,000 28,401,600
Keycorp Capital, Inc.,
7.75%, 07/15/29(b) ...... A1 5,050 4,696,500
National Australia Bank,
6.40%, 12/10/07 ......... A1 14,000 13,953,800
Sanwa Finance Aruba A.E.C.,
8.35%, 07/15/09 ......... A3 9,600 9,672,960
Sovereign Bancorp,
10.25%, 05/15/04 ........ Ba3 1,030 1,038,137
10.50%, 11/15/06 ........ Ba3 1,780 1,815,600
Sovereign Bancorp, Sr.
Notes,
6.625%, 03/15/01 ........ Ba3 4,000 3,870,000
Washington Mutual, Inc.,
8.25%, 10/01/02 ......... A3 7,800 7,944,066
Washington Mutual, Inc.,
7.50%, 08/15/06 ......... A3 12,000 11,871,000
--------------
171,104,096
--------------
BUILDING PRODUCTS -- 0.4%
Hanson Overseas B.V.,
7.375%, 01/15/03 ........ A3 16,751 16,801,085
--------------
CABLE & PAY TELEVISION SYSTEMS -- 1.6%
British Sky Broadcasting,
Inc.,
6.875%, 02/23/09 ........ Baa2 12,200 10,717,700
Cable & Wire Communications
PLC (United Kingdom),
6.75%, 12/01/08 ......... Baa1 4,200 4,133,892
Cox Communications, Inc.,
6.94%, 10/01/01 ......... Baa2 4,000 3,982,960
7.875%, 08/15/09 ........ Baa2 5,000 5,068,500
CSC Holdings, Inc.,
7.25%, 07/15/08 ......... Ba2 7,600 7,166,496
7.875%, 12/15/07 ........ Ba2 4,240 4,162,323
Rogers Cablesystems Ltd.,
(Canada)
11.00%, 12/01/15 ........ B2 4,010 4,541,325
Tele-Communications, Inc.,
6.34%, 02/01/02 ......... Ba1 4,500 4,456,530
8.25%, 01/15/03 ......... Baa3 2,000 2,069,580
9.25%, 04/15/02 ......... Baa3 9,500 9,971,485
9.875%, 06/15/22 ........ Baa3 12,900 15,743,676
--------------
72,014,467
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B10
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM (UNAUDITED) (000) (000)
BONDS (CONTINUED) ----------- --------- --------------
<S> <C> <C> <C>
CHEMICALS -- 0.1%
Lyondell Chemical,
9.625%, 05/01/07 ........ Ba2 $ 2,745 $ 2,806,762
Monsanto Co.,
6.85%, 12/01/28 ......... A2 1,500 1,322,355
--------------
4,129,117
--------------
CONSULTING -- 1.1%
Comdisco, Inc.,
6.00%, 01/30/02 ......... Baa1 30,000 29,046,600
6.375%, 11/30/01 ........ Baa1 21,500 21,083,545
--------------
50,130,145
--------------
CONTAINERS -- 0.3%
Owens-Illinois, Inc.,
7.15%, 05/15/05 ......... Ba1 13,000 12,019,670
7.50%, 05/15/10 ......... Ba1 800 703,376
--------------
12,723,046
--------------
DIVERSIFIED OPERATIONS -- 0.5%
Corning Inc,,
6.85%, 03/01/29 ......... A3 2,180 1,899,456
Tyco International Group,
SA,
6.125%, 06/15/01 ........ Baa1 17,725 17,425,093
Tyco International Ltd.,
6.875%, 01/15/29(b) ..... Baa1 2,800 2,379,636
7.00%, 06/15/28(b) ...... Baa1 1,800 1,557,648
--------------
23,261,833
--------------
DRUGS & MEDICAL SUPPLIES -- 0.4%
Mallinckrodt, Inc.,
6.30%, 03/15/11 ......... Baa2 16,780 16,402,450
--------------
FINANCIAL SERVICES -- 7.5%
Arkwright Corp.,
9.625%, 08/15/26 ........ Baa3 8,000 7,838,400
AT&T Capital Corp.,
6.60%, 05/15/05 ......... A1 9,000 8,655,120
Bch Financial Ser,
5.813%, 04/28/05 ........ A3 10,000 9,999,000
Bombardier Capital, Inc.
M.T.N.,
7.30%, 12/15/02 ......... A3 10,000 9,960,000
Capital One Financial
Corp.,
7.25%, 05/01/06 ......... Ba1 9,300 8,788,500
CIT Group Inc.,
5.80%, 03/26/02 ......... Aa3 16,000 15,592,640
CoMed Transitional Funding
Trust,
5.44%, 03/25/07 ......... Aaa 10,000 9,362,500
Enterprise Rent-A-Car USA
Finance Co., M.T.N.
6.35%, 01/15/01 ......... Baa3 9,000 8,908,200
6.95%, 03/01/04 ......... Baa2 17,500 16,990,750
7.50%, 06/15/03 ......... Baa3 5,000 4,958,000
Finova Capital Corp.,
6.125%, 03/15/04 ........ Baa1 21,000 19,918,500
Ford Motor Credit Corp.,
7.375%, 10/28/09(b) ..... A1 3,265 3,232,350
Gatx Capital Corp.,
7.75%, 12/01/06 ......... Baa2 10,000 9,910,700
General Motors Acceptance
Corp.,
5.95%, 03/14/03 ......... A2 47,000 45,256,300
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM (UNAUDITED) (000) (000)
BONDS (CONTINUED) ----------- --------- --------------
<S> <C> <C> <C>
FINANCIAL SERVICES (CONT'D.)
Heller Financial, Inc.,
6.00%, 03/19/04 ......... A3 $ 2,500 $ 2,373,825
HVB Funding Trust,
9.00%, 10/22/31 ......... Aa3 1,200 1,230,600
International Lease Finance
Corp.,
5.90%, 03/12/03 ......... A1 37,500 36,078,750
MBNA Corp.,
5.90%, 08/15/11 ......... Aaa 41,400 37,528,354
MCN Investment Corp.,
6.30%, 04/02/11 ......... Baa2 8,250 8,102,325
Osprey Trust,
8.31%, 01/15/03 ......... Baa3 26,000 25,863,500
Pemex Finance Ltd, (Cayman
Islands),
9.14%, 08/15/04 ......... Baa1 10,000 9,961,000
Sears Roebuck Acceptance
Corp.,
6.38%, 10/07/02 ......... A2 21,000 20,325,270
Textron Financial Corp.,
6.05%, 03/16/09 ......... Aaa 9,404 9,348,512
--------------
330,183,096
--------------
FOOD & BEVERAGE -- 0.3%
Archer-Daniels Midland Co.,
6.625%, 05/01/29 ........ Aa3 8,100 6,890,913
Coca-Cola Bottling Co.,
6.375%, 05/01/09 ........ Baa2 3,000 2,702,400
Coca-Cola Enterprises,
Inc.,
7.125%, 09/30/09(b) ..... A2 2,600 2,550,600
Embotelladora Andina S.A.,
7.875%, 10/01/97 ........ Baa1 1,250 961,131
--------------
13,105,044
--------------
FOREST PRODUCTS -- 0.7%
Fort James Corp.,
6.234%, 03/15/11 ........ Baa3 17,500 17,318,700
Georgia-Pacific Corp.,
7.75%, 11/15/29(b) ...... Baa2 1,015 967,234
Scotia Pacific Co.,
7.71%, 01/20/14 ......... NR 18,800 14,100,000
--------------
32,385,934
--------------
INDUSTRIAL -- 0.1%
Cendant Corp.,
7.75%, 12/01/03 ......... Baa1 2,000 1,995,200
Compania Sud Americana de
Vapores, S.A., (Chile),
7.375%, 12/08/03 ........ Baa 4,600 4,381,822
--------------
6,377,022
--------------
INSURANCE -- 0.2%
Allstate Corp.,
7.20%, 12/01/09 ......... A1 1,700 1,652,723
Conseco, Inc.,
8.50%, 10/15/02 ......... Ba1 4,050 4,101,840
8.796%, 04/01/27 ........ Ba2 2,170 1,969,687
--------------
7,724,250
--------------
INVESTMENT BANKERS -- 2.5%
Bear Stearns & Co.,
7.625%, 12/07/09 ........ A2 1,300 1,276,496
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B11
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM (UNAUDITED) (000) (000)
BONDS (CONTINUED) ----------- --------- --------------
<S> <C> <C> <C>
INVESTMENT BANKERS (CONT'D.)
Donaldson Lufkin, & Jenrette
Inc.,
5.625%, 02/15/16 ........ Baa1 $ 5,480 $ 5,359,385
Goldman Sachs Gp,,
6.25%, 02/01/03 ......... A1 4,000 3,882,760
Goldman Sachs Group, Inc.,
5.56%, 01/11/01 ......... A1 6,800 6,719,488
7.80%, 07/15/02 ......... A1 11,985 12,120,550
Lehman Brothers Holdings,
Inc.,
6.375%, 03/15/01 ........ Baa1 4,300 4,263,665
6.625%, 04/01/04 ........ Baa1 26,890 26,030,596
6.625%, 02/05/06 ........ Baa1 10,645 10,056,970
Morgan Stanley Dean Witter
& Co.,
6.875%, 03/01/03 ........ Aa3 3,000 2,969,940
7.125%, 01/15/03 ........ A1 17,080 17,066,507
PaineWebber Group, Inc.,
7.015%, 02/10/04 ........ Baa1 6,000 5,868,900
7.625%, 10/15/08 ........ Baa1 5,000 4,904,900
Salomon, Inc.,
7.25%, 05/01/01 ......... Baa1 2,165 2,171,863
Salomon, Inc.,
6.75%, 02/15/03 ......... Baa1 5,000 4,936,550
--------------
107,628,570
--------------
LEISURE -- 0.5%
ITT Corp.,
6.75%, 11/15/03 ......... Baa2 21,500 19,999,945
Marriott International,
7.875%, 09/15/09 ........ Baa1 250 246,065
--------------
20,246,010
--------------
MEDIA -- 1.1%
Cox Enterprises, Inc.,
6.625%, 06/14/02 ........ Baa1 7,200 7,095,816
Liberty Media Group,
7.875%, 07/15/09 ........ Baa3 3,200 3,187,520
8.50%, 07/15/29 ......... Baa3 3,600 3,726,000
Paramount Communications,
Inc.,
7.50%, 01/15/02 ......... Ba2 6,425 6,438,942
Seagram (J.) & Sons,
5.79%, 04/15/01 ......... Baa3 22,800 22,302,960
Time Warner, Inc.,
8.11%, 08/15/06 ......... Ba1 1,500 1,543,755
United News & Media PLC,
7.25%, 07/01/04 ......... Baa2 4,680 4,494,672
World Color Press, Inc.,
8.375%, 11/15/08 ........ B1 2,140 2,091,850
--------------
50,881,515
--------------
OIL & GAS -- 0.5%
Amerada Hess Corp.,
7.375%, 10/01/09 ........ Baa1 500 487,955
7.875%, 10/01/29 ........ Baa1 2,020 1,970,106
Atlantic Richfield Co.,
5.55%, 04/15/03 ......... A2 11,300 10,833,084
5.90%, 04/15/09 ......... A2 5,420 4,918,054
B.J. Services Co.,
7.00%, 02/01/06 ......... Ba1 4,000 3,785,360
--------------
21,994,559
--------------
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM (UNAUDITED) (000) (000)
BONDS (CONTINUED) ----------- --------- --------------
<S> <C> <C> <C>
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Parker & Parsley Petroleum
Co.,
8.875%, 04/15/05 ........ Ba2 $ 2,340 $ 2,327,809
Union Pacific Resources,
7.95%, 04/15/29(b) ...... Baa3 3,400 3,300,414
--------------
5,628,223
--------------
OIL & GAS SERVICES -- 1.0%
KN Energy, Inc.,
6.30%, 03/01/21 ......... Baa2 27,550 27,263,480
6.45%, 11/30/01 ......... Baa2 11,950 11,740,875
6.45%, 03/01/03 ......... Baa2 6,050 5,881,024
--------------
44,885,379
--------------
RAILROADS -- 0.2%
Norfolk Southern Corp.,
6.875%, 05/01/01 ........ Baa1 4,000 3,989,840
6.95%, 05/01/02 ......... Baa1 1,300 1,294,384
Union Pacific Corp.,
7.375%, 09/15/09 ........ Baa3 1,400 1,370,054
--------------
6,654,278
--------------
REAL ESTATE INVESTMENT TRUST -- 1.8%
Duke Realty L.P.,
7.30%, 06/30/03 ......... Baa2 6,250 6,180,625
EOP Operating, L.P.,
6.375%, 01/15/02 ........ Baa1 7,000 6,843,200
6.50%, 06/15/04 ......... Baa1 6,000 5,698,200
6.625%, 02/15/05 ........ Baa 17,938 16,919,122
ERP Operating, L.P.,
6.63%, 04/13/15 ......... A3 13,400 12,557,676
7.10%, 06/23/04 ......... A3 3,250 3,175,672
First Industrial, L.P.,
6.50%, 04/05/11 ......... Baa2 9,000 8,804,340
HRPT Properties Trust,
7.426%, 07/09/07 ........ Baa2 1,500 1,491,300
Simon Debartolo Group,
Inc.,
6.75%, 06/15/05(b) ...... Baa1 17,500 16,306,500
--------------
77,976,635
--------------
RETAIL -- 2.2%
Dayton-Hudson Corp.,
6.40%, 02/15/03 ......... A3 8,250 8,072,790
Federated Department
Stores, Inc.,
8.125%, 10/15/02 ........ Ba1 25,850 26,265,151
8.50%, 06/15/03 ......... Ba1 22,400 23,020,256
Kroger Co., (The),
6.34%, 06/01/01 ......... Baa3 13,950 13,793,063
7.25%, 06/01/09 ......... Baa3 8,200 7,872,000
7.70%, 06/01/29 ......... Baa3 1,300 1,228,500
Safeway Stores Inc.,
6.05%, 11/15/03 ......... Baa2 12,000 11,436,480
Saks, Inc.,
8.25%, 11/15/08 ......... Baa3 5,000 4,864,500
--------------
96,552,740
--------------
TELECOMMUNICATIONS -- 3.6%
360 Communication Co.,
7.125%, 03/01/03(b) ..... Ba2 22,550 22,425,524
7.60%, 04/01/09 ......... Ba1 7,000 7,003,780
Airtouch Communications,
Inc.,
7.00%, 10/01/03 ......... Baa2 8,200 8,192,210
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B12
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM (UNAUDITED) (000) (000)
BONDS (CONTINUED) ----------- --------- --------------
<S> <C> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
AT&T Canada, Inc.,
(Canada),
7.65%, 09/15/06 ......... Baa3 $ 3,250 $ 3,233,783
Electric Lightwave, Inc.,
6.05%, 05/15/04 ......... A2 4,700 4,436,048
Global Crossing Holdings,
Ltd.,
9.125%, 11/15/06 ........ Ba2 3,000 2,966,250
MCI Worldcom Inc.,
6.125%, 04/15/12 ........ Baa2 10,800 10,624,824
7.55%, 04/01/04(b) ...... Ba1 9,535 9,646,941
Rogers Cantel Inc.,
9.375%, 06/01/08 ........ Ba3 1,805 1,877,200
Sprint Capital Corp.,
6.125%, 11/15/08 ........ Baa1 25,000 22,667,000
Sprint Corp.,
5.70%, 11/15/03 ......... Baa1 11,000 10,437,350
Telecom De Puerto Rico,
6.65%, 05/15/06 ......... Baa2 15,000 14,231,850
6.80%, 05/15/09 ......... Baa2 12,500 11,399,125
US West, Inc.,
6.875%, 08/15/01 ........ Baa1 19,000 18,920,200
Williams Communications
Group, Inc.,
10.875%, 10/01/09 ....... B2 2,470 2,584,238
Worldcom Inc.,
6.125%, 08/15/01 ........ Baa2 8,700 8,605,953
--------------
159,252,276
--------------
UTILITIES -- 2.5%
CINergy Corp.,
6.125%, 04/15/04 ........ Baa2 10,000 9,431,300
Cogentrix Energy, Inc.,
8.75%, 10/15/08 ......... Ba1 5,000 4,850,000
Commonwealth Edison Co.,
7.375%, 01/15/04 ........ Baa3 14,000 14,064,540
Edison Mission Energy,
7.73%, 06/15/09 ......... A3 6,900 6,872,193
El Paso Energy Corp.,
6.625%, 07/15/01 ........ Baa2 8,200 8,134,974
Hydro-Quebec,
7.50%, 04/01/16 ......... A2 1,900 1,858,409
Niagara Mohawk Power,
7.375%, 08/01/03 ........ Ba2 10,000 10,001,000
Peco Energy Transition
Trust,
5.63%, 03/01/05 ......... Aaa 28,000 27,149,360
5.80%, 03/01/07 ......... Aaa 14,500 13,703,950
PSEG Energy Holdings, Inc.,
10.00%, 10/01/09 ........ Ba1 3,465 3,421,688
Sonat, Inc.,
7.625%, 07/15/11(b) ..... Baa1 9,200 9,024,740
--------------
108,512,154
--------------
WASTE MANAGEMENT -- 0.4%
Allied Waste Industries,
Inc.,
7.625%, 01/01/06 ........ Ba2 755 679,500
USA Waste Service,
6.125%, 07/15/01 ........ Baa3 18,000 17,131,500
--------------
17,811,000
--------------
FOREIGN GOVERNMENT BONDS -- 1.4%
Junta De Andaluci, (Spain),
7.25%, 10/01/29 ......... Aa3 720 686,304
Province of Saskatchewan,
(Canada),
9.125%, 02/15/21 ........ A2 1,800 2,074,032
Quebec Province, (Canada),
7.50%, 07/15/23 ......... A1 7,075 6,898,479
7.50%, 09/15/29(b) ...... A2 3,400 3,344,240
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM (UNAUDITED) (000) (000)
BONDS (CONTINUED) ----------- --------- --------------
<S> <C> <C> <C>
FOREIGN GOVERNMENT BONDS (CONT'D.)
Republic Of Columbia,
9.75%, 04/23/09(b) ...... Baa3 $ 6,200 $ 5,750,500
Republic of Panama,
4.25%, 07/17/14 ......... Ba1 12,500 9,812,500
Republic Of Philippines,
8.875%, 04/15/08 ........ Ba1 7,600 7,410,000
Republic of Poland,
4.00%, 10/27/24 ......... Baa3 8,500 5,610,000
United Mexican States,
10.375%, 02/17/09 ....... Ba1 18,400 19,504,000
--------------
61,090,055
--------------
U.S. GOVERNMENT & AGENCY
OBLIGATIONS -- 6.7%
United States Treasury
Bond,
5.25%, 02/15/29(b) ...... 57,660 47,677,324
6.375%, 08/15/27(b) ..... 35,800 34,384,826
6.75%, 08/15/26(b) ...... 31,450 31,597,501
8.125%, 05/15/21(b) ..... 57,900 66,367,875
8.125%, 08/15/21(b) ..... 28,800 33,029,856
United States Treasury
Notes,
5.875%, 11/15/04(b) ..... 7,325 7,181,943
6.00%, 08/15/04 ......... 385 378,982
6.00%, 08/15/09(b) ...... 55,099 53,377,156
6.50%, 05/15/05(b)(d) ... 1,120 1,120,347
6.50%, 10/15/06(b) ...... 17,170 17,124,328
7.50%, 02/15/05(d) ...... 185 192,949
--------------
292,433,087
--------------
TOTAL LONG-TERM BONDS
(cost $2,243,049,105)............................... 2,163,362,567
--------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 41.6% ------------- --------------
<S> <C> <C>
AEROSPACE -- 0.6%
Boeing Co. ....................... 122,100 5,074,781
GenCorp, Inc. .................... 98,400 971,700
General Dynamics Corp. ........... 21,800 1,149,950
Goodrich (B.F.) Co. .............. 10,600 291,500
Honeywell International, Inc. .... 98,912 5,705,986
Litton Industries, Inc.(a) ....... 77,600 3,870,300
Lockheed Martin Corp. ............ 50,000 1,093,750
Northrop Grumman Corp. ........... 8,000 432,500
Parker-Hannifin Corp. ............ 56,825 2,915,833
Raytheon Co. (Class "B" Stock) ... 42,900 1,139,531
United Technologies Corp. ........ 60,200 3,913,000
--------------
26,558,831
--------------
AIRLINES -- 0.4%
AMR Corp. ........................ 176,000 11,792,000
Delta Air Lines, Inc. ............ 17,500 871,719
Southwest Airlines Co. ........... 59,400 961,537
US Airways Group, Inc.(a) ........ 122,300 3,921,244
--------------
17,546,500
--------------
APPAREL -- 0.0%
Nike, Inc. (Class "B" Stock) ..... 36,800 1,823,900
Reebok International Ltd. ........ 8,800 72,050
--------------
1,895,950
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B13
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
AUTOS - CARS & TRUCKS -- 0.7%
Cummins Engine Co., Inc. ......... 4,200 $ 202,912
Dana Corp. ....................... 19,700 589,769
Delphi Automotive Systems
Corp. .......................... 132,252 2,082,969
Ford Motor Co. ................... 196,400 10,495,125
General Motors Corp. ............. 167,700 12,189,694
Genuine Parts Co.(b) ............. 20,400 506,175
MascoTech, Inc. .................. 94,400 1,197,700
Midas, Inc. ...................... 22,100 483,437
Navistar International
Corp.(a) ....................... 7,200 341,100
PACCAR, Inc. ..................... 9,400 416,537
Titan International, Inc. ........ 101,250 658,125
TRW, Inc. ........................ 14,500 753,094
--------------
29,916,637
--------------
BANKS AND SAVINGS & LOANS -- 1.6%
AmSouth Bancorporation ........... 36,400 702,975
Banc One Corp. ................... 148,172 4,750,765
Bank of New York Co., Inc. ....... 92,500 3,700,000
BankAmerica Corp. ................ 217,061 10,893,749
BB&T Corp. ....................... 37,800 1,034,775
Chase Manhattan Corp. ............ 104,800 8,141,650
Comerica, Inc. ................... 20,000 933,750
First Union Corp. ................ 118,500 3,888,281
Firstar Corp. .................... 123,938 2,618,190
Golden West Financial Corp. ...... 21,900 733,650
Hanvit Bank, GDR, (South
Korea) ......................... 238,200 1,518,525
Huntington Bancshares, Inc. ...... 28,360 677,095
KeyCorp .......................... 56,300 1,245,637
Mellon Financial Corp. ........... 64,000 2,180,000
Morgan (J.P.) & Co., Inc. ........ 22,100 2,798,412
National City Corp. .............. 80,600 1,909,212
Northern Trust Corp. ............. 27,200 1,441,600
Old Kent Financial Corp. ......... 5,000 176,875
PNC Bank Corp. ................... 37,400 1,664,300
Providian Financial Corp. ........ 17,950 1,634,572
Regions Financial Corp. .......... 27,300 685,912
Republic New York Corp. .......... 12,500 900,000
SouthTrust Corp. ................. 20,000 756,250
Summit Bancorp(b) ................ 21,300 652,312
SunTrust Banks, Inc. ............. 39,400 2,711,212
Synovus Financial Corp. .......... 35,250 700,594
U.S. Bancorp ..................... 92,000 2,190,750
Union Planters Corp. ............. 17,000 670,437
Wachovia Corp. ................... 25,700 1,747,600
Wells Fargo & Co. ................ 209,400 8,467,612
--------------
72,126,692
--------------
BUSINESS SERVICES -- 0.1%
Equifax, Inc. .................... 16,700 393,494
Lexmark International Group,
Inc. ........................... 12,833 1,161,386
Molex, Inc. ...................... 14,000 793,625
Omnicom Group, Inc.(b) ........... 21,400 2,140,000
--------------
4,488,505
--------------
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
CHEMICALS -- 0.7%
Air Products & Chemicals, Inc. ... 28,800 $ 966,600
Dow Chemical Co. ................. 27,600 3,688,050
Du Pont (E.I.) de Nemours &
Co. ............................ 132,420 8,723,167
Eastman Chemical Co. ............. 9,300 443,494
Engelhard Corp. .................. 18,000 339,750
Ferro Corp. ...................... 134,900 2,967,800
FMC Corp.(a) ..................... 3,400 194,862
Grace (W.R.) & Co. ............... 8,600 119,325
Great Lakes Chemical Corp. ....... 6,400 244,400
Hercules, Inc. ................... 12,500 348,437
Lyondell Chemical Co. ............ 81,700 1,041,675
Millennium Chemicals, Inc. ....... 146,527 2,893,908
Monsanto Co. ..................... 80,300 2,860,687
OM Group, Inc. ................... 63,300 2,179,894
Omnova Solutions, Inc. ........... 98,400 762,600
Praxair, Inc. .................... 18,700 940,844
Rohm & Haas Co. .................. 27,311 1,111,216
Sigma-Aldrich Corp. .............. 12,700 381,794
Union Carbide Corp. .............. 16,700 1,114,725
--------------
31,323,228
--------------
COMMERCIAL SERVICES -- 0.1%
Cendant Corp.(a) ................. 96,500 2,563,281
Deluxe Corp. ..................... 8,600 235,962
Quintiles Transnational Corp. .... 6,000 112,125
--------------
2,911,368
--------------
COMPUTER SERVICES -- 5.0%
3Com Corp.(a) .................... 44,700 2,100,900
Adaptec, Inc.(a) ................. 6,000 299,250
Adobe Systems, Inc. .............. 14,600 981,850
America Online, Inc.(a) .......... 275,800 20,805,662
Analog Devices, Inc. ............. 18,000 1,674,000
Autodesk, Inc. ................... 7,300 246,375
Automatic Data Processing,
Inc. ........................... 77,700 4,186,087
BMC Software, Inc.(a) ............ 29,000 2,318,187
Cabletron Systems, Inc.(a) ....... 20,800 540,800
Ceridian Corp.(a) ................ 17,300 373,031
Cisco Systems, Inc.(a) ........... 405,100 43,396,337
Citrix Systems, Inc. ............. 8,800 1,082,400
Computer Associates International,
Inc. ........................... 68,700 4,804,706
Computer Sciences Corp.(a) ....... 20,000 1,892,500
Compuware Corp.(a) ............... 44,900 1,672,525
Comverse Technology, Inc.(a) ..... 7,300 1,056,675
Electronic Data Systems Corp. .... 61,400 4,109,962
EMC Corp.(a)(b) .................. 125,975 13,762,769
First Data Corp. ................. 54,200 2,672,737
Microsoft Corp.(a) ............... 635,100 74,147,925
Novell, Inc.(a) .................. 41,900 1,673,381
Oracle Corp.(a)(b) ............... 178,900 20,047,981
Parametric Technology Corp.(a) ... 35,200 952,600
Peoplesoft, Inc. ................. 30,000 641,250
Silicon Graphics, Inc.(a) ........ 20,600 202,137
Unisys Corp. ..................... 32,100 1,025,194
Yahoo!, Inc. ..................... 30,600 13,240,237
--------------
219,907,458
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B14
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
COMPUTERS -- 1.9%
Apple Computer, Inc.(a)(b) ....... 17,800 $ 1,830,062
Compaq Computer Corp. ............ 215,789 5,839,790
Dell Computer Corp.(a)(b) ........ 318,500 16,243,500
Gateway, Inc. .................... 38,400 2,767,200
Hewlett-Packard Co. .............. 127,500 14,527,031
International Business Machines
Corp. .......................... 224,800 24,278,400
Networking Appliance, Inc.(a) .... 14,700 1,221,019
Seagate Technology, Inc.(a) ...... 29,700 1,382,906
Sun Microsystems, Inc.(a) ........ 192,400 14,898,975
--------------
82,988,883
--------------
CONSTRUCTION -- 0.1%
Centex Corp. ..................... 6,700 165,406
Fluor Corp. ...................... 9,400 431,225
Foster Wheeler Corp. ............. 6,400 56,800
Pulte Corp. ...................... 6,600 148,500
Standard Pacific Corp. ........... 154,000 1,694,000
Webb (Del E.) Corp. .............. 140,300 3,498,731
Vulcan Materials Co. ............. 9,000 359,438
--------------
6,354,100
--------------
CONTAINERS -- 0.1%
Ball Corp. ....................... 4,700 185,062
Bemis Co., Inc. .................. 5,700 198,787
Crown Cork & Seal Co., Inc. ...... 15,100 337,862
Owens-Illinois, Inc.(a) .......... 76,600 1,919,787
Pactiv Corp.(a) .................. 22,000 233,750
Sealed Air Corp. ................. 10,100 523,306
--------------
3,398,554
--------------
COSMETICS & SOAPS -- 0.7%
Alberto Culver Co. (Class "B"
Stock) ......................... 5,900 152,294
Avon Products, Inc. .............. 29,600 976,800
Colgate-Palmolive Co. ............ 74,000 4,810,000
Gillette Co. ..................... 139,700 5,753,894
International Flavors &
Fragrances, Inc. ............... 11,400 430,350
Procter & Gamble Co. ............. 164,900 18,066,856
--------------
30,190,194
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.3%
Eastman Kodak Co. ................ 76,700 5,081,375
Philip Morris Co., Inc. .......... 408,700 9,476,731
--------------
14,558,106
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.1%
Avery Dennison Corp. ............. 14,700 1,071,262
Pitney Bowes, Inc. ............... 35,600 1,719,925
Xerox Corp. ...................... 83,700 1,898,944
--------------
4,690,131
--------------
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
DIVERSIFIED OPERATIONS -- 1.5%
Fortune Brands, Inc. ............. 22,300 $ 737,294
General Electric Capital Corp. ... 407,200 63,014,200
Tomkins PLC, ADR ................. 131,600 1,932,875
--------------
65,684,369
--------------
DRUGS AND MEDICAL SUPPLIES -- 3.0%
Abbott Laboratories .............. 192,200 6,979,262
Allergan, Inc. ................... 17,000 845,750
ALZA Corp.(a) .................... 11,500 398,187
American Home Products Corp. ..... 162,300 6,400,706
Amgen, Inc.(a) ................... 127,300 7,645,956
Bard (C.R.), Inc. ................ 5,700 302,100
Bausch & Lomb, Inc. .............. 6,100 417,469
Baxter International, Inc. ....... 35,700 2,242,406
Becton, Dickinson & Co. .......... 30,400 813,200
Biomet, Inc. ..................... 13,700 548,000
Boston Scientific Corp.(a) ....... 49,100 1,074,062
Bristol-Myers Squibb Co. ......... 247,900 15,912,081
Cardinal Health, Inc.(b) ......... 35,200 1,685,200
Guidant Corp. .................... 37,900 1,781,300
Johnson & Johnson ................ 167,800 15,626,375
Lilly (Eli) & Co. ................ 136,700 9,090,550
Mallinckrodt, Inc. ............... 8,600 273,587
Medtronic, Inc. .................. 146,600 5,341,737
Merck & Co., Inc. ................ 291,500 19,548,719
Pfizer, Inc. ..................... 484,600 15,719,212
Pharmacia & Upjohn, Inc. ......... 64,200 2,889,000
Schering-Plough Corp.(b) ......... 182,600 7,703,437
St. Jude Medical, Inc.(a) ........ 9,400 288,462
Warner-Lambert Co. ............... 106,900 8,759,119
Watson Pharmaceuticals,
Inc.(a) ........................ 11,000 393,937
--------------
132,679,814
--------------
ELECTRONICS -- 1.5%
Advanced Micro Devices,
Inc.(a) ........................ 16,400 474,575
Applied Materials, Inc.(a) ....... 46,600 5,903,637
Belden, Inc. ..................... 67,100 1,409,100
Emerson Electric Co. ............. 54,700 3,138,412
Grainger (W.W.), Inc. ............ 12,300 588,094
Intel Corp.(b) ................... 411,100 33,838,669
KLA-Tencor Corp.(a) .............. 10,300 1,147,162
LSI Logic Corp.(a) ............... 17,000 1,147,500
Micron Technology, Inc. .......... 31,100 2,418,025
National Semiconductor
Corp.(a) ....................... 19,100 817,719
Rockwell International Corp. ..... 23,500 1,125,062
Solectron Corp. .................. 33,200 3,158,150
Tektronix, Inc. .................. 5,900 229,362
Teradyne, Inc. ................... 16,000 1,056,000
Texas Instruments, Inc. .......... 99,600 9,648,750
Thomas & Betts Corp. ............. 6,500 207,187
Xilinx Inc.(a) ................... 34,000 1,545,937
--------------
67,853,341
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B15
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
FINANCIAL SERVICES -- 2.8%
American Express Co. ............. 56,000 $ 9,310,000
Associates First Capital Corp. ... 91,444 2,508,995
Bear Stearns Companies, Inc. ..... 14,516 620,559
Block (H.R.), Inc. ............... 11,400 498,750
Capital One Financial Corp. ...... 25,200 1,214,325
Citigroup, Inc. .................. 495,750 27,545,109
Countrywide Credit Industries,
Inc. ........................... 14,600 368,650
Dun & Bradstreet Corp. ........... 19,800 584,100
Federal Home Loan Mortgage
Corp. .......................... 86,500 4,070,906
Federal National Mortgage
Assoc. ......................... 127,100 7,935,806
Fifth Third Bancorp .............. 33,700 2,472,738
Fleet Boston Financial Corp. ..... 115,522 4,021,610
Franklin Resource, Inc. .......... 32,900 1,054,856
Goldman Sachs Group, Inc.(a) ..... 13,200 1,243,275
Household International, Inc. .... 59,852 2,229,487
Lehman Brothers Holdings, Inc. ... 185,900 15,743,406
MBNA Corp. ....................... 98,450 2,682,763
Merrill Lynch & Co., Inc. ........ 103,900 8,675,650
Morgan Stanley Dean Witter &
Co. ............................ 124,590 17,785,223
PaineWebber Group, Inc. .......... 15,300 593,831
Paychex, Inc. .................... 31,300 1,252,000
Price (T. Rowe) Associates,
Inc. ........................... 8,000 295,500
Schwab (Charles) Corp.(a) ........ 102,500 3,933,438
SLM Holding Corp. ................ 21,400 904,150
State Street Corp. ............... 20,200 1,475,863
Washington Mutual, Inc. .......... 74,278 1,931,228
--------------
120,952,218
--------------
FOOD & BEVERAGE -- 1.4%
Anheuser-Busch Companies,
Inc.(b) ........................ 59,500 4,217,063
Archer-Daniels-Midland Co. ....... 79,038 963,276
Bestfoods ........................ 34,300 1,802,894
Brown-Forman Corp. (Class "B"
Stock) ......................... 8,700 498,075
Campbell Soup Co. ................ 52,700 2,038,831
Coca Cola Enterprises, Inc.(b) ... 53,800 1,082,725
Coca-Cola Co. .................... 308,200 17,952,650
ConAgra, Inc. .................... 61,300 1,383,081
Coors (Adolph) Co. (Class "B"
Stock).......................... 4,000 210,000
General Mills, Inc. .............. 36,900 1,319,175
Heinz (H.J.) & Co. ............... 44,400 1,767,675
Hershey Foods Corp. .............. 16,600 788,500
Kellogg Co. ...................... 48,900 1,506,731
Nabisco Group Holdings Corp. ..... 319,400 3,393,625
PepsiCo, Inc. .................... 185,500 6,538,875
Quaker Oats Co. .................. 16,100 1,056,563
Ralston-Ralston Purina
Group(b) ....................... 40,000 1,115,000
Sara Lee Corp. ................... 114,400 2,523,950
Seagram Co., Ltd. ................ 52,800 2,372,700
Sysco Corp. ...................... 41,900 1,657,669
Unilever NV ...................... 71,018 3,866,035
Whitman Corp. .................... 132,800 1,784,500
Wrigley (William) Jr. Co. ........ 15,000 1,244,063
--------------
61,083,656
--------------
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
FOREST PRODUCTS -- 0.8%
Boise Cascade Corp. .............. 149,900 $ 6,070,950
Champion International Corp. ..... 106,400 6,590,150
Fort James Corp. ................. 28,200 771,975
Georgia-Pacific Corp. ............ 97,800 4,963,350
International Paper Co. .......... 52,221 2,947,223
Louisiana-Pacific Corp. .......... 184,400 2,627,700
Mead Corp. ....................... 107,900 4,686,906
Potlatch Corp. ................... 3,500 156,187
Temple-Inland, Inc. .............. 6,600 435,187
Westvaco Corp. ................... 13,000 424,125
Weyerhaeuser Co. ................. 24,900 1,788,131
Willamette Industries, Inc. ...... 82,700 3,840,381
--------------
35,302,265
--------------
GAS PIPELINES -- 0.1%
Columbia Energy Group ............ 10,300 651,475
Consolidated Natural Gas Co. ..... 12,500 811,719
El Paso Energy Corp. ............. 19,100 741,319
Peoples Energy Corp. ............. 5,500 184,250
Sempra Energy .................... 29,299 509,070
Williams Companies, Inc. ......... 54,400 1,662,600
--------------
4,560,433
--------------
HOSPITALS/ HOSPITAL MANAGEMENT -- 0.5%
Columbia/HCA Healthcare Corp. .... 283,900 8,321,819
Healthsouth Corp.(a) ............. 51,600 277,350
Humana, Inc.(a) .................. 266,200 2,179,512
IMS Health, Inc. ................. 39,400 1,071,187
LifePoint Hospitals, Inc.(a) ..... 10,552 124,645
Manor Care, Inc. ................. 13,000 208,000
McKesson HBOC Inc. ............... 32,430 731,702
Service Corp. International ...... 33,800 234,487
Shared Medical Systems Corp. ..... 2,300 117,156
Smith (A.O.) Corp. ............... 105,450 2,306,719
Tenet Healthcare Corp.(a) ........ 279,700 6,572,950
Triad Hospitals, Inc.(a) ......... 10,552 159,599
Wellpoint Health Networks Inc. ... 6,000 395,625
--------------
22,700,751
--------------
HOUSEHOLD PRODUCTS & PERSONAL CARE -- 0.2%
Clorox Co.(b) .................... 27,800 1,400,425
Kimberly-Clark Corp. ............. 68,200 4,450,050
Leggett & Platt, Inc. ............ 125,700 2,694,694
--------------
8,545,169
--------------
HOUSING RELATED -- 0.5%
Armstrong World Industries,
Inc. ........................... 4,100 136,838
Fleetwood Enterprises, Inc. ...... 3,400 70,125
Hanson, PLC, ADR, (United
Kingdom) ....................... 309,562 12,517,913
Kaufman & Broad Home Corp. ....... 6,100 147,544
Lowe's Companies, Inc. ........... 46,500 2,778,375
Masco Corp. ...................... 46,900 1,190,088
Maytag Corp. ..................... 11,000 528,000
Newell Rubbermaid Inc.(b) ........ 36,814 1,067,606
Owens Corning(b) ................. 106,900 2,064,506
Stanley Works .................... 11,000 331,375
Tupperware Corp. ................. 9,600 162,600
Whirlpool Corp. .................. 9,500 618,094
--------------
21,613,064
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B16
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
INSTRUMENT-CONTROLS -- 0.1%
Johnson Controls, Inc. ........... 10,900 $ 619,937
PerkinElmer, Inc. ................ 7,100 295,981
PE Corp-PE Biosystems Group. ..... 12,200 1,467,812
--------------
2,383,730
--------------
INSURANCE -- 1.5%
Aetna, Inc. ...................... 18,200 1,015,787
Allstate Corp. ................... 99,700 2,392,800
American General Corp. ........... 30,700 2,329,362
American International Group,
Inc. ........................... 193,553 20,927,918
Aon Corp.(b) ..................... 32,500 1,300,000
Berkley (W.R.) Corp. ............. 42,400 885,100
Chubb Corp. ...................... 74,500 4,195,281
CIGNA Corp. ...................... 25,000 2,014,062
Cincinnati Financial Corp. ....... 19,100 595,681
Conseco, Inc. .................... 38,621 690,350
Financial Security Assurance
Holdings Ltd. .................. 34,000 1,772,250
Hartford Financial Services Group,
Inc. ........................... 27,500 1,302,812
Jefferson-Pilot Corp. ............ 13,100 894,075
Lincoln National Corp. ........... 25,800 1,032,000
Loews Corp. ...................... 42,400 2,573,150
Marsh & McLennan Companies,
Inc. ........................... 33,100 3,167,256
MBIA, Inc. ....................... 13,000 686,563
MGIC Investment Corp.(b) ......... 13,900 836,606
Progressive Corp. ................ 9,400 687,375
Reinsurance Group of America,
Inc. ........................... 173,325 4,809,769
SAFECO Corp. ..................... 100,600 2,502,425
St. Paul Companies, Inc. ......... 28,600 963,463
Torchmark Corp. .................. 118,400 3,441,000
Trenwick Group, Inc. ............. 64,850 1,098,397
United Healthcare Corp. .......... 22,000 1,168,750
UnumProvident Corp.(b) ........... 29,110 933,339
--------------
64,215,571
--------------
LEISURE -- 0.3%
Brunswick Corp. .................. 9,000 200,250
Carnival Corp. (Class "A"
Stock) ......................... 80,500 3,848,906
Disney (Walt) Co. ................ 260,300 7,613,775
Harrah's Entertainment,
Inc.(a) ........................ 15,800 417,713
Hilton Hotels Corp. .............. 30,300 291,638
Marriott International, Inc.
(Class "A" Stock) .............. 28,900 912,156
Mirage Resorts, Inc.(a) .......... 23,600 361,375
--------------
13,645,813
--------------
MACHINERY -- 0.3%
Briggs & Stratton Corp. .......... 2,200 117,975
Caterpillar, Inc. ................ 44,300 2,084,869
Commercial Intertech Corp. ....... 28,300 360,825
Cooper Industries, Inc. .......... 12,800 517,600
Deere & Co. ...................... 28,000 1,214,500
Dover Corp. ...................... 25,700 1,166,138
Eaton Corp. ...................... 8,200 595,525
Flowserve Corp. .................. 39,486 671,262
Ingersoll-Rand Co. ............... 21,400 1,178,338
Milacron, Inc. ................... 6,300 96,863
Paxar Corp. ...................... 229,925 1,939,992
Snap-On, Inc. .................... 9,500 252,344
Timken Co. ....................... 9,900 202,331
--------------
10,398,562
--------------
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
MANUFACTURING -- 0.3%
Hussmann International, Inc. ..... 122,100 $ 1,839,131
Illinois Tool Works, Inc.(b) ..... 32,000 2,162,000
Tyco International Ltd. .......... 210,022 8,164,605
--------------
12,165,736
--------------
MEDIA -- 1.5%
CBS Corp.(a) ..................... 161,547 10,328,911
Central Newspapers,
Inc.(Class "A" Stock) .......... 100,000 3,937,500
Clear Channel Communications,
Inc.(a)(b) ..................... 40,900 3,650,325
Comcast Corp. (Special Class "A"
Stock)(b) ...................... 93,800 4,713,450
Donnelley (R.R.) & Sons Co. ...... 15,700 389,556
Dow Jones & Co., Inc. ............ 10,600 720,800
Gannett Co., Inc. ................ 34,400 2,805,750
Houghton Mifflin Co. ............. 58,700 2,476,406
Interpublic Group of Companies,
Inc. ........................... 35,600 2,053,675
Knight-Ridder, Inc.(b) ........... 67,800 4,034,100
Lee Enterprises, Inc. ............ 50,900 1,625,619
McGraw-Hill, Inc. ................ 23,700 1,460,513
Mediaone Group, Inc.(b) .......... 77,700 5,968,331
Meredith Corp. ................... 5,500 229,281
New York Times Co. (Class "A"
Stock)(b) ...................... 22,900 1,124,963
Time Warner, Inc. ................ 157,800 11,430,638
Times Mirror Co. (Class "A"
Stock) ......................... 8,900 596,300
Tribune Co. ...................... 30,000 1,651,875
Viacom, Inc. (Class "B"
Stock)(a) ...................... 87,600 5,294,325
--------------
64,492,318
--------------
METALS-FERROUS -- 0.2%
AK Steel Holding Corp. ........... 146,900 2,772,738
Allegheny Technologies, Inc. ..... 12,200 273,738
Bethlehem Steel Corp.(a) ......... 241,500 2,022,563
Material Sciences Corp.(a) ....... 96,900 987,169
National Steel Corp. (Class "B"
Stock)(a) ...................... 36,000 267,750
Nucor Corp. ...................... 10,500 575,531
USX-U.S. Steel Group, Inc. ....... 94,100 3,105,300
Worthington Industries, Inc. ..... 9,200 152,375
--------------
10,157,164
--------------
METALS-NON FERROUS -- 0.7%
Alcan Aluminum Ltd.(b) ........... 26,700 1,099,706
Alcoa, Inc. ...................... 326,300 27,082,900
Inco Ltd. ........................ 26,200 615,700
Reynolds Metals Co. .............. 8,200 628,325
--------------
29,426,631
--------------
MINERAL RESOURCES -- 0.0%
Burlington Resources, Inc.(b) .... 23,300 770,356
Homestake Mining Co. ............. 33,100 258,594
Phelps Dodge Corp. ............... 8,393 563,380
--------------
1,592,330
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B17
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
MISCELLANEOUS - BASIC INDUSTRY -- 0.4%
AES Corp. ........................ 24,000 $ 1,794,000
Crane Co. ........................ 10,800 214,650
Danaher Corp. .................... 17,400 839,550
Donaldson Co., Inc. .............. 109,200 2,627,625
Ecolab, Inc. ..................... 16,700 653,388
IDEX Corp.(b) .................... 60,100 1,825,538
ITT Industries, Inc. ............. 10,700 357,781
Mark IV Industries, Inc. ......... 86,542 1,530,712
Millipore Corp. .................. 6,800 262,650
NACCO Industries, Inc. (Class "A"
Stock) ......................... 1,300 72,231
Pall Corp. ....................... 13,800 297,563
PPG Industries, Inc. ............. 21,100 1,320,069
Textron, Inc. .................... 19,300 1,480,069
Thermo Electron Corp.(a) ......... 20,900 313,500
Trinity Industries, Inc. ......... 52,200 1,484,438
Wolverine Tube, Inc.(a) .......... 37,000 522,625
York International Corp. ......... 59,100 1,621,556
--------------
17,217,945
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.2%
American Greetings Corp.
(Class "A" Stock) .............. 8,200 193,725
Black & Decker Corp. ............. 10,400 543,400
Corning, Inc. .................... 30,200 3,893,913
Jostens, Inc. .................... 6,100 148,306
Minnesota Mining & Manufacturing
Co. ............................ 50,000 4,893,750
Polaroid Corp. ................... 7,000 131,688
--------------
9,804,782
--------------
OIL & GAS -- 1.9%
Amerada Hess Corp. ............... 11,100 629,925
Anadarko Petroleum Corp. ......... 15,100 515,288
Ashland, Inc. .................... 9,400 309,613
Atlantic Richfield Co. ........... 41,300 3,572,450
Basin Exploration, Inc.(a) ....... 17,400 306,675
Cabot Oil & Gas Corp. (Class "A"
Stock) ......................... 88,600 1,423,138
Chevron Corp. .................... 82,800 7,172,550
Coastal Corp. .................... 26,100 924,919
Eastern Enterprises .............. 3,200 183,800
Exxon Mobil Corp. ................ 430,270 34,663,627
Kerr-McGee Corp. ................. 10,525 652,550
Murphy Oil Corp. ................. 27,600 1,583,550
NICOR, Inc. ...................... 4,900 159,250
Noble Affiliates, Inc. ........... 50,900 1,091,169
Ocean Energy Inc ................. 63,700 493,675
Phillips Petroleum Co. ........... 32,600 1,532,200
Pioneer Natural Resources Co. .... 435,944 3,896,250
Royal Dutch Petroleum Co. ........ 267,500 16,167,031
Sunoco, Inc. ..................... 10,100 237,350
Texaco, Inc. ..................... 68,000 3,693,250
Unocal Corp. ..................... 30,900 1,037,081
USX-Marathon Group ............... 36,900 910,969
Western Gas Resources, Inc. ...... 103,000 1,358,313
--------------
82,514,623
--------------
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Baker Hughes, Inc. ............... 40,150 $ 845,659
Conoco, Inc (Class "B") .......... 68,394 1,701,301
EOG Resources, Inc. .............. 48,400 850,025
Occidental Petroleum Corp. ....... 41,300 893,113
Transocean Sedco Forex, Inc. ..... 13,397 451,315
Union Pacific Resources Group,
Inc. ........................... 29,700 378,675
--------------
5,120,088
--------------
OIL & GAS SERVICES -- 0.5%
Apache Corp. ..................... 15,000 554,063
Enron Corp. ...................... 89,000 3,949,375
Halliburton Co. .................. 55,500 2,233,875
Helmerich & Payne, Inc. .......... 7,900 172,319
McDermott International, Inc. .... 401,600 3,639,500
ONEOK, Inc. ...................... 4,900 123,113
Rowan Companies, Inc.(a) ......... 9,600 208,200
Schlumberger Ltd.(b) ............. 69,200 3,892,500
Tosco Corp. ...................... 9,000 244,688
Total SA (Class "B" Stock),
(France) ....................... 79,933 5,535,360
--------------
20,552,993
--------------
PRECIOUS METALS -- 0.1%
Apex Silver Mines Ltd. ........... 82,200 981,263
Barrick Gold Corp. ............... 50,600 894,988
Freeport-McMoRan Copper & Gold,
Inc. (Class "B" Stock) ......... 21,300 449,963
Newmont Mining Corp. ............. 24,500 600,250
Placer Dome, Inc. ................ 32,700 351,525
Stillwater Mining Co.(a) ......... 75,000 2,390,625
--------------
5,668,614
--------------
RAILROADS -- 0.1%
Burlington Northern Santa Fe
Corp. .......................... 60,700 1,471,975
CSX Corp. ........................ 27,600 865,950
Kansas City Southern Industries,
Inc. ........................... 13,300 992,513
Norfolk Southern Corp. ........... 46,800 959,400
Union Pacific Corp. .............. 30,800 1,343,650
--------------
5,633,488
--------------
REAL ESTATE INVESTMENT TRUST -- 0.3%
Crescent Real Estate Equities
Co. ............................ 336,700 6,186,863
Equity Residential Properties
Trust .......................... 37,700 1,609,319
Vornado Realty Trust ............. 185,200 6,019,000
--------------
13,815,182
--------------
RESTAURANTS -- 0.2%
Darden Restaurants, Inc. ......... 18,200 329,875
McDonald's Corp. ................. 171,500 6,913,594
Tricon Global Restaurants,
Inc.(a) ........................ 19,000 733,875
Wendy's International, Inc. ...... 15,500 319,688
--------------
8,297,032
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B18
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
RETAIL -- 2.8%
Albertson's, Inc. ................ 54,566 $ 1,759,754
AutoZone, Inc.(a) ................ 19,800 639,788
Bed Bath & Beyond, Inc. .......... 8,000 278,000
Best Buy Co., Inc.(a) ............ 22,000 1,104,125
Charming Shoppes, Inc.(a) ........ 811,300 5,374,863
Circuit City Stores, Inc. ........ 25,800 1,162,613
Consolidated Stores Corp. ........ 12,400 201,500
Costco Wholesale Corp.(b) ........ 28,200 2,573,250
CVS Corp. ........................ 48,400 1,932,975
Dayton-Hudson Corp. .............. 55,200 4,053,750
Dillard's, Inc. .................. 43,700 882,194
Dollar General Corporation ....... 28,125 639,844
Federated Department Stores,
Inc.(a) ........................ 26,400 1,334,850
Great Atlantic & Pacific Tea Co.,
Inc. ........................... 6,000 167,250
Harcourt General, Inc. ........... 8,000 322,000
Home Depot, Inc. ................. 280,350 19,221,497
Huttig Building Products, Inc. ... 2,400 11,849
IKON Office Solutions, Inc. ...... 17,100 116,494
J.C. Penney Co., Inc. ............ 33,100 659,931
Kmart Corp.(a) ................... 638,100 6,420,881
Kohl's Corp.(a) .................. 20,300 1,465,406
Kroger Co.(a) .................... 107,946 2,037,481
Liz Claiborne, Inc. .............. 10,500 395,063
Longs Drug Stores, Inc. .......... 6,100 157,456
May Department Stores Co. ........ 41,900 1,351,275
Nordstrom, Inc. .................. 17,500 458,281
Office Depot, Inc. ............... 34,500 377,344
Pep Boys - Manny, Moe & Jack ..... 6,927 63,209
Rite Aid Corp. ................... 31,400 351,288
Safeway, Inc.(a) ................. 62,900 2,236,881
Sears, Roebuck & Co. ............. 48,900 1,488,394
Sherwin-Williams Co. ............. 21,800 457,800
Staples, Inc.(a) ................. 59,500 1,234,625
Supervalu, Inc. .................. 13,000 260,000
Tandy Corp. ...................... 25,400 1,249,363
The Gap, Inc. .................... 109,300 5,027,800
The Limited, Inc. ................ 198,053 8,578,171
TJX Companies, Inc. .............. 40,600 829,763
Toys 'R' Us, Inc.(a) ............. 146,500 2,096,781
Wal-Mart Stores, Inc.(b) ......... 553,100 38,233,038
Walgreen Co. ..................... 124,200 3,632,850
Winn-Dixie Stores, Inc. .......... 17,500 418,906
--------------
121,258,583
--------------
RUBBER -- 0.0%
Cooper Tire & Rubber Co. ......... 9,300 144,731
Goodyear Tire & Rubber Co. ....... 59,400 1,674,338
--------------
1,819,069
--------------
<CAPTION>
VALUE
COMMON SHARES (NOTE 2)
STOCKS (CONTINUED) ------------- --------------
<S> <C> <C>
TELECOMMUNICATIONS -- 4.7%
ADC Telecommunications,
Inc.(a) ........................ 14,000 $ 1,015,875
AFLAC Inc. ....................... 30,000 1,415,625
Alcatel Alsthom, ADR,
(France)(b) .................... 124,900 5,620,500
Alltel Corp. ..................... 35,800 2,960,213
Andrew Corp.(a) .................. 9,900 187,481
AT&T Corp.(b) .................... 397,748 20,185,711
Bell Atlantic Corp. .............. 194,900 11,998,531
BellSouth Corp. .................. 235,600 11,029,025
CenturyTel, Inc. ................. 15,400 729,575
General Instrument Corp. ......... 21,000 1,785,000
Global Crossing Ltd.(a) .......... 88,690 4,434,500
GTE Corp. ........................ 122,800 8,665,075
Lucent Technologies, Inc. ........ 383,755 28,709,671
MCI Worldcom, Inc. ............... 350,421 18,594,214
Motorola, Inc. ................... 77,100 11,352,975
Nextel Communications, Inc.
(Class "A" Stock)(a)(b) ........ 42,300 4,362,188
Nortel Networks Corp.(b) ......... 164,980 16,662,980
QUALCOMM, Inc.(b) ................ 79,600 14,029,500
SBC Communications, Inc. ......... 426,308 20,782,515
Scientific-Atlanta, Inc. ......... 8,400 467,250
Sprint Corp.(b) .................. 108,600 7,310,138
Sprint Corp. (PCS Group) ......... 55,450 5,683,625
Tellabs, Inc.(a) ................. 49,100 3,151,606
US West, Inc. .................... 63,660 4,583,520
--------------
205,717,293
--------------
TEXTILES -- 0.0%
National Service Industries,
Inc. ........................... 4,000 118,000
Russell Corp. .................... 5,700 95,475
Springs Industries, Inc. ......... 3,200 127,800
VF Corp. ......................... 15,600 468,000
--------------
809,275
--------------
TOBACCO -- 0.1%
R.J. Reynolds Tobacco Holdings,
Inc. ........................... 94,066 1,657,913
UST, Inc. ........................ 22,700 571,756
--------------
2,229,669
--------------
TOYS -- 0.0%
Hasbro, Inc. ..................... 25,500 486,094
Mattel, Inc. ..................... 47,151 618,857
--------------
1,104,951
--------------
TRUCKING/SHIPPING -- 0.1%
Federal Express Corp.(a) ......... 36,400 1,490,125
Ryder System, Inc. ............... 9,000 219,938
Yellow Corp.(a) .................. 43,600 733,025
--------------
2,443,088
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B19
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (NOTE 2)
(CONTINUED) ------------- --------------
<S> <C> <C>
UTILITIES - ELECTRICAL & GAS -- 0.5%
Ameren Corp.(b) .................. 17,700 $ 579,675
American Electric Power Co.,
Inc.(b) ........................ 23,500 754,938
Carolina Power & Light Co. ....... 20,000 608,750
Central & South West Corp.(b) .... 27,600 552,000
CINergy Corp. .................... 19,600 472,850
CMS Energy Corp. ................. 13,000 405,438
Consolidated Edison, Inc.(b) ..... 28,100 969,450
Constellation Energy Group ....... 18,400 533,600
Dominion Resources, Inc.(b) ...... 24,300 953,775
DTE Energy Co. ................... 19,200 602,400
Duke Energy Corp. ................ 46,200 2,315,775
Edison International ............. 45,700 1,196,769
Entergy Corp. .................... 29,800 767,350
FirstEnergy Corp.(a) ............. 31,300 710,119
Florida Progress Corp. ........... 7,000 296,188
FPL Group, Inc. .................. 23,200 993,250
GPU, Inc. ........................ 16,400 490,975
New Century Energies, Inc. ....... 15,000 455,625
Niagara Mohawk Holdings
Inc.(a) ........................ 22,600 314,988
Northern States Power Co. ........ 17,700 345,150
Pacific Gas & Electric, Co. ...... 47,200 967,600
PECO Energy Co. .................. 23,200 806,200
Pinnacle West Capital Corp. ...... 3,000 91,688
PP&L Resources, Inc. ............. 20,200 462,075
Public Service Enterprise
Group, Inc...................... 28,800 1,002,600
Reliant Energy, Inc. ............. 39,100 894,413
Southern Co.(b) .................. 89,400 2,100,900
Texas Utilities Co. .............. 35,800 1,273,138
Unicom Corp. ..................... 27,400 917,900
--------------
22,835,579
--------------
WASTE MANAGEMENT -- 0.0%
Allied Waste Industries, Inc. .... 10,000 88,125
Waste Management, Inc. ........... 77,142 1,325,878
--------------
1,414,003
--------------
TOTAL COMMON STOCKS
(cost $1,366,247,177)............................ 1,826,564,329
--------------
PREFERRED STOCKS -- 0.9%
FINANCIAL SERVICES -- 0.7%
Central Hispano Capital Corp., ... 1,225,900 30,798,669
--------------
TELECOMMUNICATIONS -- 0.2%
Telecomunicacoes Brasileiras S.A.,
ADR(b) ......................... 50,200 6,450,700
--------------
TOTAL PREFERRED STOCKS
(cost $36,227,123)............................... 37,249,369
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $3,645,523,405)............................ 4,027,176,265
--------------
</TABLE>
<TABLE>
<CAPTION>
MOODY'S
RATING PRINCIPAL
(UNAUDITED) AMOUNT VALUE
SHORT-TERM ----------- --------- --------------
INVESTMENTS -- 18.9% (000) (000)
<S> <C> <C> <C>
COMMERCIAL PAPER -- 11.5%
Baker Hughes, Inc.,
4.75%, 01/03/00 ......... P1 $ 1,000 999,736
Barton Capital Corp,
5.94%, 01/21/00(c) ...... P1 20,000 19,940,600
6.20%, 01/20/00 ......... P1 10,000 9,967,278
6.29%, 01/10/00 ......... P1 500 499,214
6.00%, 01/14/00(c) ...... P1 5,430 5,420,045
<CAPTION>
MOODY'S
RATING PRINCIPAL
SHORT-TERM (UNAUDITED) AMOUNT VALUE
INVESTMENTS ----------- --------- --------------
(CONTINUED) (000) (000)
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Bayerische Landesbank,
5.98%, 02/23/00 ......... P1 $ 570 $ 564,982
Bell Atlantic Corp.,
5.20%, 01/07/00 ......... P1 1,016 1,015,120
BMW U.S. Capital,
5.00%, 01/04/00 ......... P1 1,000 999,583
Central & SouthWest Corp.,
7.20%, 01/21/00(c) ...... P2 25,000 24,910,000
Clipper Receivables Corp.,
6.12%, 01/24/00 ......... P1 12,554 12,504,914
Coca Cola Enterprises,
5.25%, 01/03/00 ......... NR 1,000 999,708
Comdisco, Inc.,
6.45%, 01/28/00(c) ...... P2 10,000 9,955,208
6.55%, 01/28/00(c) ...... P2 15,000 14,931,771
Cox Enterprises, Inc.,
6.85%, 01/21/00(c) ...... P2 26,000 25,910,950
Duke Energy Corp,
5.00%, 01/03/00 ......... P1 1,000 999,722
Falcon Asset Securitization
Corp.,
6.00%, 01/11/00(c) ...... P1 40,000 39,946,667
Ford Motor Credit Corp,
5.40%, 01/04/00 ......... P1 1,000 999,550
GTE Funding, Inc.,
6.03%, 01/10/00(c) ...... P1 25,000 24,970,688
Heller Financial, Inc.,
6.00%, 01/13/00(c) ...... P2 12,500 12,479,167
6.05%, 01/14/00(c) ...... P2 10,000 9,981,514
Kerr McGee Credit LLC,
6.45%, 01/14/00(c) ...... P2 10,000 9,980,292
6.50%, 01/13/00(c) ...... P2 33,000 32,940,417
Keyspan Corp.,
6.50%, 01/12/00(c) ...... P2 43,000 42,930,125
Merrill Lynch & Co. Inc,
6.12%, 01/18/00 ......... P1 1,000 997,110
Morgan (J.P.) & Co., Inc.,
5.96%, 03/13/00 ......... P1 1,005 993,020
National Australia Fund,
5.00%, 01/04/00 ......... P1 1,000 999,583
Novartis Financial Corp.,
5.50%, 01/05/00 ......... P1 1,000 999,389
Old Line Funding Corp,
6.01%, 01/12/00(c) ...... P1 22,990 22,955,458
6.33%, 01/12/00 ......... P1 8,500 8,483,560
Svenska Handelsbank, Inc.,
6.07%, 01/14/00(c) ...... P1 50,000 50,000,000
Thunder Bay Funding,
6.27%, 01/13/00 ......... P1 1,100 1,097,701
Triple-A One Funding, Inc.,
6.01%, 01/12/00(c) ...... NR 21,051 21,019,371
6.27%, 01/14/00 ......... NR 33,373 33,297,438
6.34%, 01/19/00 ......... NR 442 440,599
UBS Finance (Delaware),
4.50%, 01/04/00 ......... NR 1,000 999,625
Windmill Funding Corp.,
6.38%, 01/07/00(c) ...... NR 58,000 57,958,884
--------------
504,088,989
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B20
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S
RATING PRINCIPAL
SHORT-TERM (UNAUDITED) AMOUNT VALUE
INVESTMENTS ----------- --------- --------------
(CONTINUED) (000) (000)
<S> <C> <C> <C>
OTHER CORPORATE OBLIGATIONS -- 3.6%
Advanta Corp.,
7.50%, 08/28/00 ......... Ba2 $ 35,000 $ 34,638,100
Bear Stearns & Co.,
6.50%, 07/05/00 ......... A2 20,000 19,976,000
Camden Property Trust,
7.23%, 10/30/00 ......... Baa2 22,000 21,918,600
Carnival Corp.,
5.65%, 10/15/00 ......... A2 5,000 4,953,450
Comdisco, Inc.,
5.94%, 04/13/00 ......... Baa1 12,500 12,461,250
Equity Residential
Properties Trust,
6.15%, 09/15/00 ......... A3 45,000 44,631,000
ICI Wilmington Inc.,
9.50%, 11/15/00 ......... Baa1 8,000 8,154,640
ITT Corp.,
6.25%, 11/15/00 ......... Baa2 5,253 5,150,724
Safeway Stores Inc.,
5.75%, 11/15/00 ......... Baa2 6,000 5,946,960
--------------
157,830,724
--------------
</TABLE>
<TABLE>
<S> <C> <C>
REPURCHASE AGREEMENT -- 2.0%
Joint Repurchase Agreement Account,
2.875%, 01/03/00 (Note 5) .......... 87,560 87,560,000
--------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TIME DEPOSITS -- 1.7%
Abbey National Treasury
Services,
9.50%, 01/04/00(c) ...... P1 50,000 50,000,000
Banque Nationale de Paris,
2.00%, 01/03/00(c) ...... P1 3,345 3,345,000
Chase Manhattan Corp.,
5.50%, 01/03/00(c) ...... P1 10,000 10,000,000
Deutsche Bank,
5.00%, 01/03/00(c) ...... P1 13,000 13,000,000
--------------
76,345,000
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM AMOUNT VALUE
INVESTMENTS --------- --------------
(CONTINUED) (000) (000)
<S> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 0.1%
United States Treasury Bill,
5.196%, 03/16/00(d) ................ $ 1,800 $ 1,780,515
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $828,802,279).............................. 827,605,228
--------------
TOTAL INVESTMENTS -- 110.7%
(cost $4,474,325,684: Note 6).................... 4,854,781,493
VARIATION MARGIN ON OPEN FUTURES CONTRACTS (e).....
(125,094)
LIABILITIES IN EXCESS OF OTHER ASSETS -- 10.7%..... (467,516,168)
--------------
TOTAL NET ASSETS -- 100%........................... $4,387,140,231
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
AG Aktiengesellschaft (German Stock Company)
ADR American Depository Receipt
GDR Global Depository Receipt
L.P. Limited Partnership
M.T.N. Medium Term Note
SA Sociedad Aronime (Spanish Corporation) or Societe
Aronyme (French Corporation)
</TABLE>
<TABLE>
<S> <C>
(a) Non-income producing security.
(b) Portion of securities on loan with an aggregate market value
of $481,860,900, cash collateral of $504,046,862 was
received with which the portfolio purchased securities.
(c) Represents securities purchased with cash collateral
received for securities on loan.
(d) Security segregated as collateral for futures contracts.
(e) Open futures contracts as of December 31, 1999 are as
follows:
</TABLE>
<TABLE>
<CAPTION>
VALUE AT
NUMBER OF EXPIRATION VALUE AT DECEMBER 31, APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE 1999 DEPRECIATION
<C> <S> <C> <C> <C> <C>
Long Position:
88 U.S. T-Bond Mar 00 $ 8,310,500 $ 8,002,500 $(308,000)
93 U.S. Treasury 10yr Mar 00 9,129,680 8,914,922 (214,758)
20 S&P 500 Index Mar 00 7,175,150 7,421,000 245,850
193 U.S. Treasury 5yr Mar 00 19,161,703 18,917,016 (244,687)
---------
$(521,595)
=========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B21
<PAGE>
FLEXIBLE MANAGED PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS
- -- 89.3%
VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 54.2% ------------- --------------
<S> <C> <C>
AEROSPACE -- 0.9%
Boeing Co. ....................... 123,500 $ 5,132,969
GenCorp, Inc. .................... 403,900 3,988,512
General Dynamics Corp. ........... 22,200 1,171,050
Goodrich (B.F.) Co. .............. 10,600 291,500
Honeywell International, Inc. .... 99,912 5,763,673
Litton Industries, Inc. (a)....... 306,000 15,261,750
Lockheed Martin Corp. ............ 48,900 1,069,687
Northrop Grumman Corp. ........... 8,500 459,531
Parker-Hannifin Corp. ............ 189,500 9,723,719
Raytheon Co. (Class "B" Stock) ... 44,100 1,171,406
United Technologies Corp. ........ 61,600 4,004,000
--------------
48,037,797
--------------
AIRLINES -- 1.2%
AMR Corp. ........................ 638,000 42,746,000
Delta Air Lines, Inc. ............ 17,800 886,662
Southwest Airlines Co. ........... 61,800 1,000,387
US Airways Group, Inc. (a)........ 472,500 15,149,531
--------------
59,782,580
--------------
APPAREL -- 0.1%
Nike, Inc. (Class "B" Stock) ..... 37,900 1,878,419
Reebok International Ltd. ........ 9,100 74,506
Titan International, Inc. ........ 415,700 2,702,050
--------------
4,654,975
--------------
AUTOS - CARS & TRUCKS -- 1.1%
Cummins Engine Co., Inc. ......... 4,800 231,900
Dana Corp. ....................... 21,350 639,166
Ford Motor Co. ................... 314,400 16,800,750
General Motors Corp. ............. 425,700 30,943,069
Genuine Parts Co. (b)............. 21,500 533,469
Johnson Controls, Inc. ........... 11,600 659,750
MascoTech, Inc. .................. 388,000 4,922,750
Midas, Inc. ...................... 90,866 1,987,694
Navistar International Corp.
(a)............................. 6,100 288,987
PACCAR, Inc. ..................... 10,000 443,125
TRW, Inc. ........................ 12,800 664,800
--------------
58,115,460
--------------
BANKS AND SAVINGS & LOANS -- 1.6%
AmSouth Bancorporation ........... 34,500 666,281
Banc One Corp. ................... 149,764 4,801,808
Bank of New York Co., Inc. ....... 97,400 3,896,000
BankAmerica Corp. ................ 219,241 11,003,158
BB&T Corp. ....................... 39,500 1,081,312
Chase Manhattan Corp. ............ 104,400 8,110,575
Comerica, Inc. ................... 19,000 887,062
First Union Corp. ................ 122,700 4,026,094
Firstar Corp. .................... 127,247 2,688,093
Fleet Boston Financial Corp. ..... 117,551 4,092,244
Golden West Financial Corp. ...... 19,200 643,200
Hanvit Bank-GDR .................. 976,500 6,225,187
Huntington Bancshares, Inc. ...... 29,392 701,734
KeyCorp. ......................... 54,900 1,214,662
Mellon Financial Corp. ........... 64,200 2,186,812
Morgan (J.P.) & Co., Inc. ........ 22,900 2,899,712
National City Corp. .............. 78,200 1,852,362
Northern Trust Corp. ............. 27,000 1,431,000
PNC Bank Corp. ................... 38,600 1,717,700
Providian Financial Corp. ........ 17,900 1,630,019
Regions Financial Corp. .......... 28,100 706,012
Republic New York Corp. .......... 13,500 972,000
SouthTrust Corp. ................. 19,000 718,437
Summit Bancorp (b)................ 21,100 646,187
Suntrust Banks, Inc. ............. 40,400 2,780,025
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS (CONT'D)
Synovus Financial Corp. .......... 35,100 $ 697,612
U.S. Bancorp. .................... 91,500 2,178,844
Union Planters Corp. ............. 18,000 709,875
Wachovia Corp. ................... 25,200 1,713,600
Wells Fargo & Co. ................ 207,300 8,382,694
--------------
81,260,301
--------------
BUSINESS SERVICES
Equifax, Inc. .................... 17,100 402,919
Omnicom Group, Inc. (b)........... 22,700 2,270,000
--------------
2,672,919
--------------
CHEMICALS -- 1.2%
Air Products & Chemicals, Inc. ... 28,900 969,956
Dow Chemical Co. ................. 27,900 3,728,137
Du Pont (E.I.) de Nemours &
Co. ............................ 134,149 8,837,065
Eastman Chemical Co. ............. 9,800 467,337
Engelhard Corp. .................. 15,600 294,450
Ferro Corp. ...................... 553,650 12,180,300
FMC Corp. (a)..................... 3,500 200,594
Grace (W.R.) & Co ................ 8,000 111,000
Great Lakes Chemical Corp. ....... 6,500 248,219
Hercules, Inc. ................... 11,900 331,712
Lyondell Chemical Co. ............ 329,000 4,194,750
Millennium Chemicals, Inc. ....... 601,600 11,881,600
Monsanto Co. ..................... 79,300 2,825,062
OM Group, Inc. ................... 260,300 8,964,081
Omnova Solutions, Inc. ........... 403,900 3,130,225
Praxair, Inc. .................... 19,800 996,187
Rohm & Haas Co. .................. 27,158 1,104,991
Sigma-Aldrich Corp. .............. 11,600 348,725
Union Carbide Corp. .............. 15,600 1,041,300
--------------
61,855,691
--------------
CIRCUITS
Analog Devices, Inc. ............. 19,000 1,767,000
--------------
COMMERCIAL SERVICES
Cendant Corp. (a)................. 94,000 2,496,875
Deluxe Corp. ..................... 9,000 246,937
Quintiles Transnational Corp. .... 6,000 112,125
--------------
2,855,937
--------------
COMPUTER SERVICES -- 4.3%
3Com Corp. (a).................... 45,500 2,138,500
Adaptec, Inc. (a)................. 7,000 349,125
Adobe Systems, Inc. .............. 13,200 887,700
America Online, Inc. (a)(b)....... 275,600 20,790,575
Autodesk, Inc. ................... 7,600 256,500
Automatic Data Processing,
Inc. ........................... 80,600 4,342,325
BMC Software, Inc. (a)............ 29,200 2,334,175
Cabletron Systems, Inc. (a)....... 25,600 665,600
Ceridian Corp. (a)................ 18,600 401,062
Cisco Systems, Inc. (a)........... 409,100 43,824,837
Citrix Systems, Inc. ............. 9,000 1,107,000
Computer Associates International,
Inc. ........................... 69,400 4,853,662
Computer Sciences Corp. (a)....... 20,000 1,892,500
Compuware Corp. (a)............... 48,000 1,788,000
Comverse Technology, Inc. (a)..... 7,300 1,056,675
Electronic Data Systems Corp. .... 62,600 4,190,287
EMC Corp. (a)(b).................. 127,168 13,893,104
First Data Corp. ................. 54,600 2,692,462
Lexmark International Group,
Inc. ........................... 12,884 1,166,002
Microsoft Corp. (a)............... 642,300 74,988,525
Novell, Inc. (a).................. 43,500 1,737,281
Oracle Corp. (a)(b)............... 180,550 20,232,884
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B22
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
COMPUTER SERVICES (CONT'D)
Parametric Technology Corp. (a)... 31,500 $ 852,469
Peoplesoft, Inc. ................. 30,000 641,250
Silicon Graphics, Inc. (a)........ 23,400 229,612
Unisys Corp. ..................... 31,400 1,002,837
Yahoo!, Inc. (a).................. 31,000 13,413,312
--------------
221,728,261
--------------
COMPUTERS -- 1.6%
Apple Computer, Inc. (a)(b)....... 19,400 1,994,562
Compaq Computer Corp. ............ 217,461 5,885,038
Dell Computer Corp. (a)........... 321,600 16,401,600
Gateway, Inc. .................... 40,400 2,911,325
Hewlett-Packard Co. .............. 127,800 14,561,212
International Business Machines
Corp. .......................... 227,000 24,516,000
Networking Appliance, Inc. (a).... 14,700 1,221,019
Seagate Technology, Inc. (a)...... 28,900 1,345,656
Sun Microsystems, Inc. (a)........ 194,900 15,092,569
--------------
83,928,981
--------------
CONSTRUCTION -- 0.4%
Centex Corp. ..................... 7,000 172,812
Fluor Corp. ...................... 9,800 449,575
Foster Wheeler Corp. ............. 6,600 58,575
Pulte Corp. ...................... 6,900 155,250
Standard Pacific Corp. ........... 632,400 6,956,400
Vulcan Materials Co. ............. 9,000 359,437
Webb (Del E.) Corp. .............. 576,500 14,376,469
--------------
22,528,518
--------------
CONTAINERS -- 0.2%
Ball Corp. ....................... 2,700 106,312
Bemis Co., Inc. .................. 6,600 230,175
Crown Cork & Seal Co., Inc. ...... 15,600 349,050
Owens-Illinois, Inc. (a).......... 255,700 6,408,481
Pactiv Corp. ..................... 21,500 228,437
Sealed Air Corp. ................. 10,900 564,756
--------------
7,887,211
--------------
COSMETICS & SOAPS -- 0.6%
Alberto Culver Co. (Class "B"
Stock) ......................... 6,200 160,037
Avon Products, Inc. .............. 31,400 1,036,200
Colgate-Palmolive Co. ............ 75,100 4,881,500
Gillette Co. ..................... 136,100 5,605,619
International Flavors &
Fragrances, Inc. ............... 13,100 494,525
Procter & Gamble Co. (b).......... 166,600 18,253,112
--------------
30,430,993
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.6%
Eastman Kodak Co. ................ 184,400 12,216,500
Philip Morris Co., Inc. .......... 750,800 17,409,175
--------------
29,625,675
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.1%
Avery Dennison Corp. ............. 15,000 1,093,125
Pitney Bowes, Inc. ............... 33,600 1,623,300
Xerox Corp. ...................... 84,900 1,926,169
--------------
4,642,594
--------------
DIVERSIFIED OPERATIONS -- 1.4%
Fortune Brands, Inc. ............. 21,700 717,456
General Electric Capital Corp. ... 410,900 63,586,775
Tomkins PLC, ADR (b).............. 617,300 9,066,594
--------------
73,370,825
--------------
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
DRUGS & MEDICAL SUPPLIES -- 2.7%
Abbott Laboratories .............. 192,800 $ 7,001,050
Allergan, Inc. ................... 17,600 875,600
ALZA Corp. (a).................... 9,900 342,787
American Home Products Corp. ..... 163,900 6,463,806
Amgen, Inc. (a)................... 127,400 7,651,962
Bard (C.R.), Inc. ................ 5,900 312,700
Bausch & Lomb, Inc. .............. 7,100 485,906
Baxter International, Inc. ....... 36,700 2,305,219
Becton, Dickinson & Co. .......... 31,500 842,625
Biomet, Inc. ..................... 14,500 580,000
Boston Scientific Corp. (a)....... 51,800 1,133,125
Bristol-Myers Squibb Co. ......... 250,200 16,059,712
Cardinal Health, Inc. (b)......... 34,450 1,649,294
Guidant Corp. .................... 37,700 1,771,900
Johnson & Johnson ................ 170,500 15,877,812
Lilly (Eli) & Co. ................ 138,100 9,183,650
Mallinckrodt, Inc. ............... 7,500 238,594
Medtronic, Inc. .................. 148,200 5,400,037
Merck & Co., Inc. ................ 294,300 19,736,494
Pfizer, Inc. ..................... 489,200 15,868,425
Pharmacia & Upjohn, Inc. ......... 65,800 2,961,000
Schering-Plough Corp. ............ 184,400 7,779,375
St. Jude Medical, Inc. (a)........ 8,900 273,119
Warner-Lambert Co. ............... 108,300 8,873,831
Watson Pharmaceuticals, Inc.
(a)............................. 9,000 322,312
--------------
133,990,335
--------------
ELECTRONICS -- 1.7%
Advanced Micro Devices, Inc.
(a)............................. 17,000 491,937
Applied Materials, Inc. (a)....... 47,800 6,055,662
Belden, Inc. ..................... 275,600 5,787,600
Emerson Electric Co. ............. 55,000 3,155,625
Grainger (W.W.), Inc. ............ 11,200 535,500
Intel Corp. (b)................... 415,000 34,159,687
KLA-Tencor Corp. (a).............. 10,900 1,213,987
LSI Logic Corp. (a)............... 18,600 1,255,500
Micron Technology, Inc. .......... 31,900 2,480,225
Molex, Inc. ...................... 14,000 793,625
Motorola, Inc. ................... 78,100 11,500,225
National Semiconductor Corp.
(a)............................. 19,000 813,437
Rockwell International Corp. ..... 24,300 1,163,362
Solectron Corp. .................. 33,500 3,186,687
Tektronix, Inc. .................. 6,200 241,025
Teradyne, Inc., .................. 16,000 1,056,000
Texas Instruments, Inc. .......... 98,600 9,551,875
Thomas & Betts Corp. ............. 5,800 184,875
Xilinx Inc. (a)................... 34,000 1,545,937
--------------
85,172,771
--------------
EXPLORATION & PRODUCTION
Apex Silver Mines Ltd. ........... 340,400 4,063,525
--------------
FINANCIAL SERVICES -- 4.4%
American Express Co. ............. 56,500 9,393,125
Associates First Capital Corp. ... 92,290 2,532,207
Bear Stearns Companies, Inc. ..... 14,358 613,804
Block (H.R.), Inc. ............... 11,400 498,750
Capital One Financial Corp. ...... 24,900 1,199,869
Citigroup, Inc. .................. 747,876 41,553,860
Countrywide Credit Industries,
Inc. ........................... 14,000 353,500
Dun & Bradstreet Corp. ........... 20,100 592,950
Federal Home Loan Mortgage
Corp. .......................... 87,400 4,113,262
Federal National Mortgage
Association .................... 131,300 8,198,044
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B23
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
FINANCIAL SERVICES (CONT'D)
Fifth Third Bancorp .............. 34,300 $ 2,516,762
Franklin Resource, Inc. .......... 30,600 981,112
Goldman Sachs Group, Inc. ........ 53,100 5,001,356
Household International, Inc. .... 62,492 2,327,827
Lehman Brothers Holdings, Inc. ... 719,100 60,898,781
MBNA Corp. ....................... 101,300 2,760,425
Merrill Lynch & Co., Inc. ........ 285,000 23,797,500
Morgan Stanley Dean Witter &
Co. ............................ 293,695 41,924,961
Old Kent Financial Corp. ......... 7,000 247,625
PaineWebber Group, Inc. .......... 14,000 543,375
Paychex, Inc. .................... 29,850 1,194,000
Schwab (Charles) Corp. (a)........ 102,700 3,941,112
SLM Holding Corp. ................ 19,000 802,750
State Street Corp. ............... 20,600 1,505,087
T. Rowe Price & Associates ....... 8,000 295,500
Washington Mutual, Inc. .......... 74,136 1,927,536
--------------
219,715,080
--------------
FOOD & BEVERAGES -- 1.4%
Anheuser-Busch Companies, Inc.
(b)............................. 60,300 4,273,762
Archer-Daniels-Midland Co. ....... 76,560 933,075
Bestfoods ........................ 35,700 1,876,481
Brown-Forman Corp. (Class "B"
Stock) ......................... 6,700 383,575
Campbell Soup Co. ................ 54,800 2,120,075
Coca Cola Enterprises, Inc. (b)... 54,500 1,096,812
Coca-Cola Co. .................... 311,200 18,127,400
ConAgra, Inc. .................... 60,900 1,374,056
Coors (Adolph) Co. (Class "B"
Stock) ......................... 2,900 152,250
General Mills, Inc. .............. 37,800 1,351,350
Heinz (H.J.) & Co. ............... 45,200 1,799,525
Hershey Foods Corp. .............. 16,500 783,750
Kellogg Co. ...................... 50,900 1,568,356
Nabisco Group Holdings Corp. ..... 1,226,900 13,035,812
PepsiCo, Inc. .................... 184,400 6,500,100
Quaker Oats Co. .................. 16,000 1,050,000
Ralston-Ralston Purina Group
(b)............................. 42,200 1,176,325
Sara Lee Corp. ................... 115,000 2,537,187
Seagram Co., Ltd. ................ 52,600 2,363,712
Sysco Corp. ...................... 40,900 1,618,106
Whitman Corp. .................... 545,200 7,326,125
Wrigley (William) Jr. Co. ........ 15,200 1,260,650
--------------
72,708,484
--------------
FOREST PRODUCTS -- 2.3%
Boise Cascade Corp. .............. 665,800 26,964,900
Champion International Corp. ..... 401,600 24,874,100
Fort James Corp. ................. 27,100 741,862
Georgia-Pacific Corp. ............ 327,000 16,595,250
International Paper Co. .......... 52,682 2,973,240
Louisiana-Pacific Corp. .......... 699,700 9,970,725
Mead Corp. ....................... 403,000 17,505,312
Potlatch Corp. ................... 3,700 165,112
Temple-Inland, Inc. .............. 7,100 468,156
Westvaco Corp. ................... 11,900 388,237
Weyerhaeuser Co. ................. 25,400 1,824,037
Willamette Industries, Inc. ...... 299,200 13,894,100
--------------
116,365,031
--------------
GAS PIPELINES -- 0.1%
Columbia Energy Group ............ 10,500 664,125
Consolidated Natural Gas Co. ..... 12,900 837,694
El Paso Energy Co ................ 19,500 756,844
Peoples Energy Corp. ............. 5,700 190,950
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
GAS PIPELINES (CONT'D)
Sempra Energy .................... 30,253 $ 525,646
Williams Companies, Inc. ......... 54,800 1,674,825
--------------
4,650,084
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 1.4%
Columbia/HCA Healthcare Corp. .... 909,600 26,662,650
Healthsouth Corp. (a)............. 55,000 295,625
Humana, Inc. (a).................. 1,011,100 8,278,381
IMS Health, Inc. ................. 40,900 1,111,969
LifePoint Hospitals, Inc. (a)..... 42,447 501,405
Manor Care, Inc. ................. 13,300 212,800
McKesson HBOC, Inc. .............. 34,381 775,721
Service Corp. International ...... 35,100 243,506
Shared Medical Systems Corp. ..... 3,200 163,000
Smith (A.O.) Corp. ............... 433,350 9,479,531
Tenet Healthcare Corp. (a)........ 1,015,800 23,871,300
Triad Hospitals, Inc. (a)......... 42,447 642,011
Wellpoint Health Networks,
Inc. ........................... 6,000 395,625
--------------
72,633,524
--------------
HOUSEHOLD PRODUCTS & PERSONAL CARE -- 0.3%
Clorox Co. ....................... 28,400 1,430,650
Kimberly-Clark Corp. ............. 71,100 4,639,275
Leggett & Platt, Inc. ............ 481,800 10,328,587
--------------
16,398,512
--------------
HOUSING RELATED -- 1.3%
Armstrong World Industries,
Inc. ........................... 5,800 193,575
Fleetwood Enterprises, Inc. ...... 4,100 84,563
Hanson, PLC, ADR, (United
Kingdom) ....................... 1,221,100 49,378,231
Kaufman & Broad Home Corp. ....... 6,400 154,800
Lowe's Companies, Inc. ........... 46,900 2,802,275
Masco Corp. ...................... 48,000 1,218,000
Maytag Corp. ..................... 10,700 513,600
Newell Rubbermaid, Inc. (b)....... 36,155 1,048,495
Owens Corning .................... 410,500 7,927,781
Stanley Works .................... 9,900 298,238
Tupperware Corp. ................. 9,900 167,681
Whirlpool Corp. .................. 9,900 644,119
--------------
64,431,358
--------------
INSTRUMENT-CONTROLS
PE Corp-PE Biosystems Group. ..... 13,000 1,564,063
Perkin Elmer, Inc. ............... 4,300 179,256
--------------
1,743,319
--------------
INSURANCE -- 2.4%
Aetna, Inc. ...................... 18,900 1,054,856
Allstate Corp. ................... 99,100 2,378,400
American General Corp. ........... 30,900 2,344,538
American International Group,
Inc. ........................... 195,478 21,136,059
Aon Corp. (b)..................... 33,450 1,338,000
Berkley (W.R.) Corp. ............. 175,850 3,670,869
Chubb Corp. ...................... 237,900 13,396,744
CIGNA Corp. ...................... 24,700 1,989,894
Cincinnati Financial Corp. ....... 20,200 629,988
Conseco, Inc. .................... 41,587 743,368
Financial Security Assurance
Holdings Ltd. .................. 140,100 7,302,713
Hartford Financial Services Group,
Inc. ........................... 28,900 1,369,138
Jefferson-Pilot Corp. ............ 13,400 914,550
Lincoln National Corp. ........... 25,000 1,000,000
Loews Corp. ...................... 178,300 10,820,581
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B24
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
INSURANCE (CONT'D)
Marsh & McLennan Companies,
Inc. ........................... 33,600 $ 3,215,100
MBIA, Inc. ....................... 12,100 639,031
MGIC Investment Corp. (b)......... 13,300 800,494
Progressive Corp. ................ 9,400 687,375
Reinsurance Group of America,
Inc. ........................... 711,900 19,755,225
SAFECO Corp. ..................... 356,300 8,862,963
St. Paul Companies, Inc. ......... 29,100 980,306
Torchmark Corp. .................. 421,600 12,252,750
Trenwick Group, Inc. ............. 273,300 4,629,019
United Healthcare Corp. .......... 22,400 1,190,000
UnumProvident Corp. (b)........... 30,970 992,976
--------------
124,094,937
--------------
LEISURE -- 0.3%
Brunswick Corp. .................. 11,200 249,200
Carnival Corp. (Class "A"
Stock) ......................... 79,600 3,805,875
Disney (Walt) Co. ................ 261,100 7,637,175
Harrah's Entertainment, Inc.
(a)............................. 16,400 433,575
Hilton Hotels Corp. .............. 30,800 296,450
Marriott International, Inc.
(Class "A" Stock) .............. 31,000 978,438
Mirage Resorts, Inc. (a).......... 22,500 344,531
--------------
13,745,244
--------------
MACHINERY -- 0.5%
Briggs & Stratton Corp. .......... 3,300 176,963
Caterpillar, Inc. ................ 45,100 2,122,519
Commercial Intertech Corp. ....... 115,300 1,470,075
Cooper Industries, Inc. .......... 12,900 521,644
Deere & Co. ...................... 29,500 1,279,563
Delphi Automotive Systems
Corp. .......................... 347,454 5,472,401
Dover Corp. ...................... 25,800 1,170,675
Eaton Corp. ...................... 9,200 668,150
Flowserve Corp. .................. 161,991 2,753,847
Ingersoll-Rand Co. ............... 20,600 1,134,288
Milacron, Inc. ................... 6,400 98,400
Paxar Corp. ...................... 954,575 8,054,227
Snap-On, Inc. .................... 7,100 188,594
Timken Co. ....................... 10,200 208,463
--------------
25,319,809
--------------
MANUFACTURING -- 0.4%
Hussmann International, Inc. ..... 491,500 7,403,219
Illinois Tool Works, Inc. (b)..... 31,800 2,148,488
Tyco International Ltd. .......... 211,766 8,232,403
--------------
17,784,110
--------------
MEDIA -- 2.2%
CBS Corp. (a)..................... 359,799 23,004,649
Central Newspapers, Inc. (Class
"A" Stock) ..................... 410,600 16,167,375
Clear Channel Communications,
Inc. (a)(b)..................... 41,200 3,677,100
Comcast Corp. (Special Class "A"
Stock) (b)...................... 96,800 4,864,200
Donnelley (R.R.) & Sons Co. ...... 15,000 372,188
Dow Jones & Co., Inc. ............ 10,700 727,600
Gannett Co., Inc. ................ 35,500 2,895,469
Houghton Mifflin Co. ............. 240,700 10,154,531
Interpublic Group of Companies,
Inc. ........................... 34,600 1,995,988
Knight-Ridder, Inc. (b)........... 248,600 14,791,700
Lee Enterprises, Inc. ............ 208,900 6,671,744
McGraw-Hill, Inc. ................ 24,700 1,522,138
Mediaone Group, Inc. (b).......... 77,900 $ 5,983,694
Meredith Corp. ................... 4,600 191,763
New York Times Co. (Class "A"
Stock) (b)...................... 22,200 1,090,575
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
MEDIA (CONT'D)
Time Warner, Inc. ................ 159,300 11,539,294
Times Mirror Co. (Class "A"
Stock) ......................... 8,600 576,200
Tribune Co. ...................... 29,600 1,629,850
Viacom, Inc. (Class "B" Stock)
(a)............................. 88,700 5,360,806
--------------
113,216,864
--------------
METALS-FERROUS -- 0.7%
AK Steel Holding Corp. ........... 606,100 11,440,138
Allegheny Technologies, Inc. ..... 12,650 283,834
Bethlehem Steel Corp. (a)......... 924,400 7,741,850
Material Sciences Corp. (a)....... 397,900 4,053,606
National Steel Corp. (Class "B"
Stock) (a)...................... 147,300 1,095,544
Nucor Corp. ...................... 11,500 630,344
USX-U.S. Steel Group, Inc. ....... 348,500 11,500,500
Worthington Industries, Inc. ..... 9,700 160,656
--------------
36,906,472
--------------
METALS-NON FERROUS -- 2.0%
Alcan Aluminum Ltd. (b)........... 28,800 1,186,200
Alcoa, Inc. ...................... 1,200,500 99,641,500
Inco Ltd. ........................ 27,000 634,500
Reynolds Metals Co. .............. 8,900 681,963
--------------
102,144,163
--------------
MINERAL RESOURCES
Burlington Resources, Inc. (b).... 21,800 720,763
Homestake Mining Co. ............. 34,300 267,969
Phelps Dodge Corp. ............... 8,653 580,833
--------------
1,569,565
--------------
MISCELLANEOUS-BASIC INDUSTRY -- 0.9%
AES Corp. ........................ 25,000 1,868,750
Crane Co. ........................ 7,300 145,088
Danaher Corp. .................... 16,000 772,000
Donaldson Co., Inc. .............. 448,600 10,794,438
Ecolab, Inc. ..................... 17,300 676,863
IDEX Corp. (b).................... 246,700 7,493,513
ITT Industries, Inc. ............. 11,100 371,156
Mark IV Industries, Inc. ......... 355,500 6,287,906
Millipore Corp. .................. 7,000 270,375
NACCO Industries, Inc. (Class "A"
Stock) ......................... 1,300 72,231
Pall Corp. ....................... 17,200 370,875
PPG Industries, Inc. ............. 20,400 1,276,275
Textron, Inc. .................... 20,200 1,549,088
Thermo Electron Corp. (a)......... 17,500 262,500
Trinity Industries, Inc. ......... 214,100 6,088,469
Wolverine Tube, Inc. (a).......... 155,300 2,193,613
York International Corp. ......... 238,800 6,552,075
--------------
47,045,215
--------------
MISCELLANEOUS-CONSUMER GROWTH/STABLE -- 0.3%
American Greetings Corp.
(Class "A" Stock) .............. 11,800 278,775
Black & Decker Corp. ............. 10,800 564,300
Corning, Inc. .................... 30,500 3,932,594
Jostens, Inc. .................... 6,300 153,169
Minnesota Mining & Manufacturing
Co. ............................ 51,600 5,050,350
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B25
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
MISCELLANEOUS-CONSUMER GROWTH/STABLE (CONT'D)
Polaroid Corp. ................... 5,700 $ 107,231
Unilever NV ...................... 70,942 3,861,905
--------------
13,948,324
--------------
OIL & GAS -- 2.7%
Amerada Hess Corp. ............... 10,500 595,875
Anadarko Petroleum Corp. ......... 15,300 522,113
Ashland, Inc. .................... 8,700 286,556
Atlantic Richfield Co. ........... 42,200 3,650,300
Basin Exploration, Inc. (a)....... 71,400 1,258,425
Cabot Oil & Gas Corp. (Class "A"
Stock) ......................... 363,800 5,843,538
Chevron Corp. .................... 83,600 7,241,850
Coastal Corp. .................... 27,900 988,706
Eastern Enterprises .............. 3,300 189,544
Exxon Mobil Corp. ................ 434,258 34,984,910
Kerr-McGee Corp. ................. 10,609 657,758
Murphy Oil Corp. ................. 114,000 6,540,750
NICOR, Inc. ...................... 5,000 162,500
Noble Affiliates, Inc. ........... 208,900 4,478,294
Ocean Energy, Inc. ............... 245,500 1,902,625
Phillips Petroleum Co. ........... 31,600 1,485,200
Pioneer Natural Resources Co. .... 1,755,631 15,690,952
Royal Dutch Petroleum Co. ........ 270,100 16,324,169
Sunoco, Inc. ..................... 10,800 253,800
Texaco, Inc. ..................... 67,200 3,649,800
Total SA (Class "B"
Stock), (France)................ 327,959 22,711,161
Transocean Sedco ................. 14,036 472,838
Union Pacific Resources Group,
Inc. ........................... 32,200 410,550
Unocal Corp. ..................... 30,800 1,033,725
USX-Marathon Group ............... 38,700 955,406
Western Gas Resources, Inc. ...... 423,100 5,579,631
--------------
137,870,976
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Conoco, Inc (Class "B") .......... 69,624 1,731,897
Eog Resources, Inc. .............. 198,700 3,489,669
Occidental Petroleum Corp. ....... 44,400 960,150
--------------
6,181,716
--------------
OIL & GAS SERVICES -- 0.5%
Apache Corp. ..................... 10,900 402,619
Baker Hughes, Inc. ............... 41,740 879,149
Enron Corp. ...................... 91,200 4,047,000
Halliburton Co. .................. 55,300 2,225,825
Helmerich & Payne, Inc. .......... 8,200 178,863
McDermott International, Inc. .... 1,629,400 14,766,438
ONEOK, Inc. ...................... 5,000 125,625
Rowan Companies, Inc. (a)......... 10,100 219,044
Schlumberger Ltd. (b)............. 72,500 4,078,125
Tosco Corp ....................... 9,000 244,688
--------------
27,167,376
--------------
PRECIOUS METALS -- 0.2%
Barrick Gold Corp. ............... 52,400 926,825
Freeport-McMoRan Copper & Gold,
Inc. (Class "B" Stock) ......... 22,100 466,863
Newmont Mining Corp. ............. 25,400 622,300
Placer Dome, Inc. ................ 28,000 301,000
Stillwater Mining Co. (a)......... 301,800 9,619,875
--------------
11,936,863
--------------
RAILROADS -- 0.1%
Burlington Northern Santa Fe
Corp. .......................... 60,500 1,467,125
CSX Corp. ........................ 29,300 919,288
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
RAILROADS (CONT'D)
Kansas City Southern
Industries, Inc................. 11,000 $ 820,875
Norfolk Southern Corp. ........... 48,900 1,002,450
Union Pacific Corp. .............. 31,800 1,387,275
--------------
5,597,013
--------------
REAL ESTATE DEVELOPMENT -- 1.1%
Crescent Real Estate Equities
Co. ............................ 1,377,600 25,313,400
Equity Residential Properties
Trust .......................... 150,900 6,441,544
Vornado Realty Trust ............. 745,100 24,215,750
--------------
55,970,694
--------------
RESTAURANTS -- 0.2%
Darden Restaurants, Inc. ......... 19,000 344,375
McDonald's Corp. ................. 169,900 6,849,094
Tricon Global Restaurants, Inc.
(a)............................. 20,100 776,363
Wendy's International, Inc. ...... 15,700 323,813
--------------
8,293,645
--------------
RETAIL -- 3.6%
Albertson's, Inc. ................ 53,861 1,737,017
AutoZone, Inc. (a)................ 19,700 636,556
Bed Bath & Beyond, Inc. .......... 8,000 278,000
Best Buy Co., Inc. (a)............ 22,000 1,104,125
Charming Shoppes, Inc. (a)........ 3,332,400 22,077,150
Circuit City Stores, Inc. ........ 25,200 1,135,575
Consolidated Stores Corp. ........ 13,100 212,875
Costco Wholesale Corp. (b)........ 27,700 2,527,625
CVS Corp. ........................ 49,900 1,992,881
Dayton-Hudson Corp. .............. 56,600 4,156,563
Dillard's, Inc. .................. 143,100 2,888,831
Dollar General Corporation ....... 29,000 659,750
Federated Department Stores,
Inc. (a)........................ 25,700 1,299,456
Great Atlantic & Pacific Tea Co.,
Inc. ........................... 5,200 144,950
Harcourt General, Inc. ........... 8,100 326,025
Home Depot, Inc. ................. 283,350 19,427,184
Huttig Building Products, Inc. ... 1,622 8,009
IKON Office Solutions, Inc. ...... 21,800 148,513
J.C. Penney Co., Inc. ............ 33,800 673,888
Kmart Corp. (a)................... 2,422,300 24,374,394
Kohl's Corp. (a).................. 20,800 1,501,500
Kroger Co. (a).................... 103,500 1,953,563
Liz Claiborne, Inc. .............. 10,900 410,113
Longs Drug Stores, Inc. .......... 4,300 110,994
May Department Stores Co. ........ 43,350 1,398,038
Nordstrom, Inc. .................. 17,400 455,663
Office Depot, Inc. ............... 36,500 399,219
Pep Boys - Manny, Moe & Jack ..... 6,327 57,734
Rite Aid Corp. ................... 31,600 353,525
Safeway, Inc. (a)................. 64,100 2,279,556
Sears, Roebuck & Co. ............. 48,300 1,470,131
Sherwin-Williams Co. ............. 22,500 472,500
Staples, Inc. (a)................. 59,200 1,228,400
Supervalu, Inc. .................. 15,300 306,000
Tandy Corp. ...................... 23,800 1,170,663
The Gap, Inc. .................... 110,100 5,064,600
The Limited, Inc. ................ 720,240 31,195,395
TJX Companies, Inc. .............. 42,000 858,375
Toys "R" Us, Inc. (a)............. 508,100 7,272,181
Wal-Mart Stores, Inc. (b)......... 558,300 38,592,488
Walgreen Co. ..................... 129,400 3,784,950
Winn-Dixie Stores, Inc. .......... 19,500 466,781
--------------
186,611,736
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B26
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
RUBBER -- 0.1%
Cooper Tire & Rubber Co. ......... 8,600 $ 133,838
Goodyear Tire & Rubber Co. ....... 181,800 5,124,488
--------------
5,258,326
--------------
TELECOMMUNICATIONS -- 4.2%
ADC Telecommunications, Inc.
(a)............................. 15,000 1,088,438
AFLAC Inc. ....................... 31,000 1,462,813
Alcatel Alsthom, ADR, (France)
(b)............................. 513,000 23,085,000
Alltel Corp. ..................... 37,200 3,075,975
Andrew Corp. (a).................. 11,600 219,675
AT&T Corp. ....................... 401,672 20,384,854
Bell Atlantic Corp. .............. 195,200 12,017,000
BellSouth Corp. .................. 238,000 11,141,375
CenturyTel, Inc. ................. 11,700 554,288
General Instrument Corp. ......... 21,800 1,853,000
Global Crossing Ltd. ............. 89,460 4,473,000
GTE Corp. ........................ 121,800 8,594,513
Lucent Technologies, Inc. ........ 387,430 28,984,607
MCI WorldCom, Inc. ............... 351,855 18,670,306
Nextel Communications, Inc.
(Class "A" Stock) (a)(b)........ 42,400 4,372,500
Nortel Networks Corp. (b)......... 168,200 16,988,200
Qualcomm, Inc. (b)................ 79,600 14,029,500
SBC Communications, Inc. ......... 430,550 20,989,313
Scientific-Atlanta, Inc. ......... 8,200 456,125
Sprint Corp. ..................... 111,900 7,532,269
Sprint Corp. (PCS Group) (b)...... 54,350 5,570,875
Tellabs, Inc. (a)................. 50,000 3,209,375
US West, Inc. .................... 65,641 4,726,152
--------------
213,479,153
--------------
TEXTILES
National Service Industries,
Inc. ........................... 4,900 144,550
Russell Corp. .................... 5,900 98,825
Springs Industries, Inc. ......... 3,300 131,794
VF Corp. ......................... 16,700 501,000
--------------
876,169
--------------
TOBACCO -- 0.2%
R.J. Reynolds Tobacco Holdings,
Inc. ........................... 395,333 6,967,744
UST, Inc. ........................ 24,100 607,019
--------------
7,574,763
--------------
TOYS
Hasbro, Inc. ..................... 27,500 524,219
Mattel, Inc. ..................... 44,300 581,438
--------------
1,105,657
--------------
TRUCKING/SHIPPING -- 0.1%
Federal Express Corp. (a)(b)...... 36,100 1,477,844
Ryder System, Inc. ............... 9,400 229,713
Yellow Corp. (a).................. 178,700 3,004,394
--------------
4,711,951
--------------
UTILITY-ELECTRIC -- 0.5%
Ameren Corp. (b).................. 18,400 602,600
American Electric Power Co., Inc.
(b)............................. 24,000 771,000
Carolina Power & Light Co. ....... 18,400 560,050
Central & South West Corp. (b).... 28,300 566,000
Cinergy Corp. .................... 20,700 499,388
CMS Energy Corp. ................. 11,000 343,063
Consolidated Edison, Inc. ........ 28,900 997,050
Constellation Energy Group ....... 18,800 545,200
Dominion Resources, Inc. (b)...... 25,000 981,250
DTE Energy Co. ................... 19,900 624,363
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
UTILITY-ELECTRIC (CONT'D.)
Duke Energy Corp. ................ 46,000 $ 2,305,750
Edison International ............. 42,800 1,120,825
Entergy Corp. .................... 31,100 800,825
FirstEnergy Corp. (a)............. 29,000 657,938
Florida Progress Corp. ........... 7,000 296,188
FPL Group, Inc. .................. 22,100 946,156
GPU, Inc. ........................ 16,900 505,944
New Century Energies, Inc. ....... 15,000 455,625
Niagara Mohawk Holdings Inc.
(a)............................. 24,300 338,681
Northern States Power Co. ........ 19,900 388,050
Pacific Gas & Electric, Co. ...... 48,600 996,300
PECO Energy Co. .................. 24,700 858,325
Pinnacle West Capital Corp. ...... 3,000 91,688
PP&L Resources, Inc. ............. 20,900 478,088
Public Service Enterprise Group,
Inc. ........................... 27,100 943,419
Reliant Energy, Inc. ............. 37,400 855,525
Southern Co. (b).................. 87,000 2,044,500
Texas Utilities Co. .............. 37,100 1,319,369
Unicom Corp. ..................... 28,500 954,750
--------------
22,847,910
--------------
WASTE MANAGEMENT
Allied Waste Industries, Inc. .... 10,000 88,125
Waste Management, Inc. ........... 77,635 1,334,352
--------------
1,422,477
--------------
TOTAL COMMON STOCKS
(cost $2,303,776,139)............................ 2,779,698,869
--------------
PREFERRED STOCKS -- 1.0%
FINANCIAL SERVICES -- 0.5%
BCH Eurocapital Limited .......... 1,000,000 25,250,000
--------------
TELECOMMUNICATIONS -- 0.5%
Telecomunicacoes Brasileiras S.A.,
ADR (b)......................... 201,800 25,931,300
--------------
TOTAL PREFERRED STOCKS
(cost $45,526,299)............................... 51,181,300
--------------
</TABLE>
<TABLE>
<CAPTION>
WARRANTS UNITS
-------------
<S> <C>
Mexico Debenture
(cost $0) ...................... 31,074 3
--------------
</TABLE>
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT
LONG-TERM (UNAUDITED) (000)
BONDS -- 34.1% ----------- ---------
<S> <C> <C> <C>
AEROSPACE
Lockheed Martin Corp.,
6.85%, 05/15/01 ......... A3 $ 400 397,248
Rockwell International
Corp.,
5.20%, 01/15/98 ......... A1 2,000 1,277,240
--------------
1,674,488
--------------
AIRLINES -- 2.0%
Continental Airlines, Inc.,
8.00%, 12/15/05 ......... Ba2 9,970 9,119,160
7.461%, 04/01/15 ........ Aa3 8,423 8,111,002
Delta Airlines, Inc.,
7.90%, 12/15/09 ......... Baa3 38,800 37,779,948
8.30%, 12/15/29 ......... Baa3 4,000 3,849,320
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B27
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS (CONTINUED) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
AIRLINES (CONT'D)
United Airlines, Inc.,
10.67%, 05/01/04 ........ Baa3 $ 19,500 $ 21,355,035
11.21%, 05/01/14 ........ Baa3 17,500 21,229,425
--------------
101,443,890
--------------
ASSET-BACKED SECURITIES -- 0.4%
California Infrastructure,
6.17%, 03/25/03 ......... Aaa 4,000 3,979,680
Chase Manhattan Credit
Master Trust, Series
1996-3,
7.04%, 02/15/05 ......... Aaa 11,000 11,023,980
Standard Credit Card Master
Trust, 5.95%,
10/07/04 ................ Aaa 4,500 4,338,270
--------------
19,341,930
--------------
AUTOMOTIVE PARTS
United Rentals, Inc.
8.80%, 08/15/08 ......... B1 1,785 1,664,513
--------------
AUTO - CARS & TRUCKS -- 1.4%
Ford Motor Co.,
6.38%, 02/01/29 (b)...... A1 17,500 14,692,300
7.45%, 07/16/31 (b)...... A1 3,500 3,367,140
Lear Corp.,
7.96%, 05/15/05 ......... Ba1 11,740 11,387,800
Navistar International
Corp.,
7.00%, 02/01/03 ......... Ba1 11,500 11,011,250
TRW, Inc.,
6.45%, 06/15/01 ......... Baa1 32,800 32,410,500
--------------
72,868,990
--------------
BANKS & SAVINGS LOANS -- 1.3%
Bank of Nova Scotia,
(Canada),
6.50%, 07/15/07 ......... A1 5,400 5,312,250
Bayerische Landesbank
Girozentrale, (Germany),
5.88%, 12/01/08 ......... Aaa 9,700 8,698,572
Central Hispano Leasing,
6.71%, 04/28/05 ......... A3 5,000 4,999,500
Hypovereinsbank
8.74%, 06/30/31 (b)...... Aa3 2,100 2,097,270
Key Bank NA,
5.80%, 04/01/04 ......... Aa3 20,000 18,934,400
Keycorp Capital, Inc.,
7.75%, 07/15/29 (b)...... A1 4,400 4,092,000
National Australia Bank,
6.40%, 12/10/07 ......... A1 8,700 8,671,290
6.60%, 12/10/07 ......... A1 5,000 4,688,150
Sanwa Finance Aruba
8.35%, 07/15/09 ......... A3 7,120 7,174,112
Sovereign Bancorp,
10.50%, 11/15/06 ........ Ba3 4,675 4,768,500
10.25%, 05/15/04 ........ Ba3 2,670 2,691,093
--------------
72,127,137
--------------
CABLE & PAY TELEVISION SYSTEMS -- 1.1%
British Sky Broadcasting,
Inc., 6.88%, 02/23/09 ... Baa2 12,500 10,981,250
Cable & Wire Communications
PLC (United Kingdom),
6.75%, 12/01/08 ......... Baa1 3,050 3,001,993
Cox Communications, Inc.
6.94%, 10/01/01 ......... Baa2 4,000 3,982,960
7.88%, 08/15/09 (b)...... Baa2 3,700 3,750,690
<CAPTION>
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS (CONTINUED) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
CABLE & PAY TELEVISION SYSTEMS (CONT'D.)
CSC Holdings, Inc.,
7.25%, 07/15/08 ......... Ba2 $ 5,500 $ 5,186,280
7.88%, 12/15/07 ......... Ba2 3,025 2,969,582
Rogers Cablesystems, Inc.,
(Canada),
10.00%, 03/15/05 ........ Ba3 2,000 2,140,000
Tele-Communications, Inc.,
6.34%, 02/01/02 ......... Ba1 8,500 8,417,890
9.88%, 06/15/22 ......... Baa3 12,878 15,716,826
--------------
56,147,471
--------------
CHEMICALS -- 0.2%
Lyondell Chemical,
9.63%, 05/01/07 ......... Ba3 3,625 3,706,563
Monsanto Corp.
6.85%, 12/01/28 ......... A2 500 440,785
Rohm & Haas Co,
6.95%, 07/15/04 ......... A3 4,400 4,343,988
--------------
8,491,336
--------------
COMPUTERS -- 0.2%
International Business
Machine Corp.,
5.63%, 04/12/04 ......... A1 3,500 3,306,730
Unisys Corp.,
12.00%, 04/15/03 ........ Ba1 6,615 7,044,975
--------------
10,351,705
--------------
CONSULTING
Comdisco, Inc.,
6.375%, 11/30/01 ........ Baa1 2,700 2,647,701
--------------
CONTAINERS -- 0.5%
Owens-Illinois, Inc.,
7.15%, 05/15/05 ......... Ba1 26,250 24,270,488
--------------
DIVERSIFIED OPERATIONS -- 0.8%
Corning, Inc.,
6.85%, 03/01/29 ......... A3 5,000 4,356,550
Cox Enterprises, Inc.,
6.625%, 06/14/02 ........ Baa1 5,200 5,124,756
Seagram (J.) & Sons,
5.79%, 04/15/01 ......... Baa3 20,000 19,564,000
Tyco International Group,
Ltd.,
6.125%, 06/15/01 ........ Baa1 5,000 4,915,400
6.875%, 01/15/29 ........ Baa1 3,400 2,889,558
7.00%, 06/15/28 ......... Baa1 2,100 1,817,256
--------------
38,667,520
--------------
DRUGS & MEDICAL SUPPLIES -- 0.2%
Mallinckrodt, Inc.,
6.30%, 03/15/11 ......... Baa2 8,000 7,820,000
Tenet Healthcare Corp.,
7.875%, 01/15/03 ........ BA1 3,805 3,690,850
--------------
11,510,850
--------------
FINANCIAL SERVICES -- 6.9%
AT&T Cap Corp.,
6.60%, 05/15/05 ......... A1 16,000 15,386,880
Barclays Bank PLC, (United
Kingdom)
7.40%, 12/15/09 ......... Aa3 600 589,620
Bear Stearns & Co.,
7.625%, 12/07/09 ........ A2 1,035 1,016,287
Calair Capital Corp.,
8.125%, 04/01/08 ........ Ba2 6,000 5,280,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B28
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS (CONTINUED) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
FINANCIAL SERVICES (CONT'D.)
Capital One Bank,
6.76%, 07/23/02 ......... Baa2 $ 7,500 $ 7,323,600
Capital One Financial
Corp.,
7.25%, 05/01/06 ......... Ba1 6,800 6,426,000
Citibank Credit Card Master
Trust, 6.10%,
05/15/08 ................ Ba2 44,000 41,424,240
Conseco, Inc.,
8.70%, 11/15/26 ......... Ba2 7,000 6,248,060
8.796%, 04/01/27 ........ Ba2 3,000 2,723,070
Donaldson Lufkin &
Jenrette,
5.74%, 05/01/01 ......... A3 10,000 9,871,600
Dresdner Funding Trust,
8.151%, 06/30/31 ........ Aa2 20,800 19,830,720
Enterprise Rent-A-Car USA
Finance Co.,
6.35%, 01/15/01 ......... Baa3 21,000 20,785,800
6.95%, 03/01/04 ......... Baa2 7,500 7,281,750
Ford Motor Credit Corp.
6.70%, 07/16/04 (b)...... A1 10,000 9,787,500
7.375%, 10/28/09 ........ A1 2,500 2,475,000
General Motors Acceptance
Corp., 5.95%,
03/14/03 ................ A2 21,500 20,702,350
Goldman Sachs Group, Inc.,
5.56%, 01/11/01 ......... A1 4,200 4,150,272
Heller Financial, Inc.,
6.00%, 03/19/04 ......... A3 4,900 4,652,697
HVB Funding Trust,
9.00%, 10/22/31 ......... 00 1,400 1,435,700
International Lease Finance
Corp., 6.00%,
05/15/02 ................ A1 43,100 42,121,630
Lehman Brothers Holdings,
Inc.,
6.625%, 04/01/04 ........ Baa1 21,910 21,209,756
6.625%, 02/05/06 ........ Baa1 7,710 7,284,100
6.375%, 03/15/01 ........ Baa1 4,300 4,263,665
MBNA Corp.,
5.90%, 08/15/11 ......... Aaa 29,800 27,013,163
MCN Investment Corp.,
6.30%, 04/02/11 ......... Baa2 8,250 8,102,325
Morgan Stanley Dean Witter
& Co., 7.125%, 01/15/03
(b)...................... A1 14,540 14,528,513
Osprey Trust,
8.31%, 01/15/03 ......... Baa3 20,000 19,895,000
RBF Finance Co.,
11.375%, 03/15/09 ....... Ba3 2,365 2,542,375
Salomon Smith Barney, Inc.,
7.25%, 05/01/01 ......... Baa1 2,160 2,166,847
6.75%, 08/15/03 ......... Baa1 5,000 4,918,350
Textron Financial Corp.,
6.05%, 03/16/09 ......... Aaa 6,302 6,265,300
Washington Mutual, Inc.
7.50%, 08/15/06 ......... A3 7,000 6,924,750
--------------
354,626,920
--------------
FOOD & BEVERAGE -- 0.3%
Archer-Daniels Midland Co.,
6.625%, 05/01/29 ........ Aa3 8,900 7,571,497
Coca-Cola Bottling Co.,
6.375%, 05/01/09 ........ Baa2 3,500 3,152,800
Coca-Cola Enterprises,
Inc.,
7.125%, 09/30/09 (b)..... A2 1,650 1,618,650
--------------
12,342,947
--------------
FOREST PRODUCTS -- 0.7%
Fort James Corp.,
6.234%, 03/15/11 ........ Baa3 11,000 10,886,040
<CAPTION>
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS (CONTINUED) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
FOREST PRODUCTS (CONT'D.)
Georgia-Pacific Corp.,
7.75%, 11/15/29 (b)...... Baa2 $ 1,200 $ 1,143,528
Scotia Pacific Co.,
7.71%, 01/20/14 ......... Baa2 29,500 22,125,000
--------------
34,154,568
--------------
HOSPITAL MANAGEMENT -- 0.1%
Columbia/HCA Healthcare
Corp., 6.91%,
06/15/05 ................ Baa2 4,990 4,565,850
--------------
INDUSTRIAL -- 0.2%
Allied Waste Industries,
Inc.,
7.625%, 01/01/06 ........ Ba2 4,700 4,230,000
Cendant Corp.,
7.75%, 12/01/03 ......... Baa1 2,000 1,995,200
Compania Sud Americana de
Vapores, S.A., (Chile),
7.375%, 12/08/03 ........ Baa 3,650 3,476,880
--------------
9,702,080
--------------
INSURANCE -- 0.1%
Conseco, Inc.,
8.50%, 10/15/02 ......... Ba1 1,500 1,519,200
Royal & Sun Alliance
Insurance Group PLC,
8.95%, 10/15/29 ......... A1 3,500 3,575,600
--------------
5,094,800
--------------
LEISURE & TOURISM -- 0.3%
Harrahs Operating Co., Inc.
7.875%, 12/15/05 ........ Ba2 600 585,000
ITT Corp.,
6.75%, 11/15/03 ......... Baa2 14,000 13,023,220
Marriott International,
7.875%, 09/15/09 ........ Baa1 475 467,524
Park Place Entertainment,
7.875%, 12/15/05 ........ Ba2 5,030 4,803,650
--------------
18,879,394
--------------
MEDIA -- 0.5%
Liberty Media Group,
7.875%, 07/15/09 ........ Baa3 2,400 2,390,640
8.50%, 07/15/29 ......... Baa3 4,200 4,347,000
Paramount Communications,
Inc., 7.50%, 01/15/02 ... Ba2 9,100 9,119,747
United News & Media PLC,
7.25%, 07/01/04 ......... Baa2 3,180 3,054,072
World Color Press, Inc.
7.75%, 02/15/09 ......... B1 4,960 4,736,800
8.375%, 11/15/08 ........ B1 1,500 1,466,250
--------------
25,114,509
--------------
OIL & GAS -- 0.6%
Atlantic Richfield Co.,
5.55%, 04/15/03 ......... A2 22,500 21,570,300
Amerada Hess Corp,
7.375%, 10/01/09 ........ Baa1 900 878,319
7.875%, 10/01/29 ........ Baa1 2,500 2,438,250
B.J. Services Co.,
7.00%, 02/01/06 ......... Ba1 4,000 3,785,360
Eott Energy Partnership
11.00%, 10/01/09 ........ Ba2 3,935 4,092,400
--------------
32,764,629
--------------
OIL & GAS SERVICES -- 0.5%
KN Energy, Inc.,
6.30%, 03/01/21 ......... Baa2 20,000 19,792,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B29
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS (CONTINUED) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
OIL & GAS SERVICES (CONT'D.)
Northrop-Grumman Corp.,
7.875%, 03/01/26 ........ Ba1 $ 5,300 $ 4,971,824
Seagull Energy Co.,
7.875%, 08/01/03 ........ Ba1 3,750 3,665,625
--------------
28,429,449
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Parker & Parsley, Petroleum
Co., 8.875%, 04/15/05 ... Ba2 3,100 3,083,849
Union Pacific Resources,
7.95%, 04/15/29 (b)...... Baa3 3,700 3,591,627
--------------
6,675,476
--------------
RAILROADS -- 0.2%
Norfolk Southern Corp.,
6.875%, 05/01/01 ........ Baa1 7,200 7,181,712
6.95%, 05/01/02 ......... Baa1 2,500 2,489,200
Union Pacific Corp.,
7.375%, 09/15/09 ........ Baa3 550 538,236
--------------
10,209,148
--------------
REAL ESTATE INVESTMENT TRUST -- 2.2%
Duke Realty L.P.,
7.30%, 06/30/03 ......... Baa2 4,350 4,301,715
EOP Operating, L.P.,
6.375%, 01/15/02 ........ Baa1 5,000 4,888,000
6.50%, 06/15/04 ......... Baa1 6,000 5,698,200
6.625%, 02/15/05 ........ Baa 18,187 17,153,978
6.63%, 04/13/15 ......... A3 9,200 8,621,688
7.10%, 06/23/04 ......... A3 2,375 2,320,684
Felcor Suites, L.P.,
7.375%, 10/01/04 ........ Ba1 25,000 23,000,000
Hanson Overseas B.V.,
7.375%, 01/15/03 ........ A3 17,400 17,452,026
HMH Properties, Inc.
7.875%, 08/01/05 ........ Ba2 6,560 6,051,600
HRPT Properties Trust
7.426%, 07/09/07 ........ Baa2 2,000 1,988,400
Simon Debartolo
Group, Inc.,
6.75%, 06/15/05 ......... Baa1 17,500 16,306,500
--------------
107,782,791
--------------
RETAIL -- 1.2%
Federated Department
Stores, Inc., 8.50%,
06/15/03 ................ Ba1 34,890 35,856,104
Kroger Co.
6.34%, 06/01/01 ......... Baa3 10,450 10,332,438
7.70%, 06/01/29 ......... Baa3 1,500 1,417,500
7.25%, 06/01/09 ......... Baa3 6,000 5,760,000
Saks Inc.,
8.25%, 11/15/08 ......... Baa3 3,000 2,918,700
--------------
56,284,742
--------------
TELECOMMUNICATIONS -- 3.7%
360 Communication Co.,
7.125%, 03/01/03 ........ Ba2 23,776 23,644,756
7.60%, 04/01/09 ......... Ba1 12,885 12,891,958
Airtouch Communications,
Inc., 7.00%, 10/01/03 ... Baa2 16,800 16,784,040
AT&T Canada, Inc.,
(Canada),
7.65%, 09/15/06 ......... Baa3 2,400 2,388,024
Electric Lightwave, Inc.,
6.05%, 05/15/04 ......... A2 5,300 5,002,352
Global Crossing Holdings,
Ltd., 9.125%,
11/15/06 ................ Ba2 9,035 8,933,356
<CAPTION>
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS (CONTINUED) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
TELECOMMUNICATIONS (CONT'D.)
Lucent Technologies, Inc.,
6.45%, 03/15/29 ......... A2 $ 17,500 $ 15,233,575
Qwest Communications
International Inc.,
7.50%, 11/01/08 ......... Ba1 31,200 30,498,000
Rogers Cantel, Inc.,
9.375%, 06/01/08 ........ Ba3 4,830 5,023,200
Sprint Corp.,
6.875%, 11/15/28 (b)..... Baa1 13,000 11,553,230
Telecom De Puerto Rico,
6.15%, 05/15/02 ......... Baa2 10,500 10,181,325
6.65%, 05/15/06 ......... Baa2 10,700 10,152,053
6.80%, 05/15/09 ......... Baa2 9,000 8,207,370
US West, Inc.,
6.875%, 08/15/01 ........ Baa1 10,000 9,958,000
Williams Communications
Group, Inc.
10.70%, 10/01/07 ........ B2 4,100 4,305,000
10.875%, 10/01/09 ....... B2 1,400 1,464,750
Worldcom, Inc.,
6.95%, 08/15/28 (b)...... Baa2 17,700 16,070,892
--------------
192,291,881
--------------
UTILITIES -- 1.5%
AES Corp.
9.50%, 06/01/09 ......... Ba1 10,000 10,200,000
Calenergy Co. Inc.,
6.96%, 09/15/03 ......... Ba1 15,000 14,661,000
Calpine Corp.,
10.50%, 05/15/06 ........ Ba1 8,330 8,746,500
CMS Energy Corp.,
8.00%, 07/01/11 ......... Ba3 7,200 7,132,320
Cogentrix Energy, Inc.,
8.10%, 03/15/04 ......... Ba1 5,775 5,542,499
Edison Mission Energy,
7.73%, 06/15/09 ......... A3 5,000 4,979,850
El Paso Energy,
6.625%, 07/15/01 ........ Baa2 6,000 5,952,420
Hydro-Quebec,
7.50%, 04/01/16 ......... A2 2,075 2,029,578
PSEG Energy Holdings, Inc.,
10.00%, 10/01/09 ........ Ba1 4,590 4,532,625
Sonat, Inc.
7.625%, 07/15/11 ........ Baa1 7,800 7,651,410
Utilicorp United, Inc.,
7.00%, 07/15/04 ......... Baa3 5,000 4,828,700
--------------
76,256,902
--------------
WASTE MANAGEMENT -- 0.3%
USA Waste Service,
6.125%, 07/15/01 ........ Baa3 15,695 14,937,716
--------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 5.0%
Federal National Mortgage
Association, Zero Coupon,
10/09/19(b).............. 11,800 2,907,638
United States Treasury
Note,
5.875%, 11/15/04(b)...... 4,980 4,882,741
6.00%, 08/15/09(b)....... 2,555 2,475,156
6.75%, 08/15/26(b)....... 70,200 70,529,238
6.375%, 08/15/27(b)...... 61,400 58,972,858
United States
Treasury Bond,
7.50%, 11/15/24(b)....... 38,800 42,358,736
8.125%, 08/15/21(b)...... 45,000 51,609,150
5.25%, 02/15/29(b)....... 18,320 15,148,258
6.125%, 08/15/29(b)...... 5,000 4,766,400
--------------
253,650,175
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B30
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
LONG-TERM RATING AMOUNT VALUE
BONDS (CONTINUED) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
FOREIGN GOVERNMENT BONDS -- 1.6%
Junta De Andaluci, (Spain),
7.25%, 10/01/29 ......... Aa3 $ 840 $ 800,688
Province of Saskatchewan,
(Canada),
9.125%, 02/15/21 ........ A2 2,300 2,650,152
Quebec Province, (Canada),
7.50%, 09/15/29 (b)...... A2 3,700 3,639,320
7.50%, 07/15/23 (b)...... A1 7,500 7,312,875
Republic of Argentina
Zero Coupon, 10/15/01 ... BBB 7,625 6,385,938
Republic of Columbia,
9.75%, 04/23/09 (b)...... Baa3 4,500 4,173,750
Republic of Mexico,
6.836%, 12/31/19 ........ Ba2 9,750 9,152,810
6.932%, 12/31/19 ........ Ba2 3,550 3,332,563
6.942%, 12/31/19 ........ Ba2 6,900 6,477,375
Republic of Panama,
4.25%, 07/17/14 ......... Ba1 10,600 8,321,000
Republic of Philippines,
8.875%, 04/15/08 ........ Ba1 5,400 5,265,000
Republic of Poland,
4.00%, 10/27/24 ......... Baa3 11,300 7,458,000
United Mexican States,
10.375%, 02/17/09 ....... Ba1 15,500 16,430,000
--------------
81,399,471
--------------
TOTAL LONG-TERM BONDS
(cost $1,820,813,183)............................. 1,746,371,467
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $4,170,115,621)............................. 4,577,251,639
--------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS -- 20.6%
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
(UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
CERTIFICATE OF DEPOSIT -- 1.0%
Bank of Montreal
5.96%, 1/14/00 (c)(d).... P1 50,000 50,000,000
--------------
CERTIFICATE OF DEPOSIT-YANKEE -- 1.0%
Svenska Handels Bank
6.07%, 1/14/00 (c)(d).... P1 50,000 50,000,000
--------------
COMMERCIAL PAPER -- 11.2%
Baker Hughes,
4.75%, 01/03/00 ......... P1 1,000 999,736
Barton Capital Corp,
6.00%, 01/11/00 (c)(d)... P1 12,391 12,374,479
6.06%, 02/02/00 ......... P1 7,138 7,099,550
6.10%, 02/03/00 ......... P1 3,700 3,679,311
6.20%, 01/20/00 ......... P1 30,000 29,901,833
6.56%, 02/11/00 (c)(d)... P1 4,000 3,971,573
6.75%, 02/01/00 (c)(d)... P1 6,275 6,240,880
Baus Funding LLC,
6.20%, 01/25/00 ......... P1 10,000 9,958,668
6.20%, 01/31/00 ......... P1 15,000 14,922,500
Bayerische Landesbank,
5.98%, 02/23/00 ......... P3 1,000 991,196
BCI Funding Corp,
6.33%, 01/11/00 ......... P1 1,500 1,497,363
Bell Atlantic Financial
Services,
5.20%, 01/07/00 ......... P3 1,012 1,011,123
<CAPTION>
MOODY'S PRINCIPAL
SHORT-TERM RATING AMOUNT VALUE
INVESTMENTS (CONT'D) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Central & Southwest Corp.,
7.20%, 01/21/00 (c)(d)... P1 $ 25,000 $ 24,910,000
Clipper Receivables Corp.,
6.12%, 01/24/00 ......... P1 37,446 37,299,586
Coastal Corp.,
6.50%, 01/14/00 (c)(d)... P1 35,000 34,930,485
Coca Cola Enterprises,
5.25%, 01/03/00 ......... P1 1,000 999,709
Comdisco, Inc.,
6.45%, 01/31/00 (c)(d)... P1 25,000 24,874,580
Cox Enterprises, Inc.,
6.57%, 01/19/00 (c)(d)... P1 10,495 10,464,355
6.85%, 01/21/00 (c)(d)... P1 26,000 25,910,950
Cregem North America,
5.97%, 03/01/00 ......... P1 949 939,557
CXC, Inc.,
6.00%, 01/21/00 ......... P1 1,700 1,694,333
Deutche Bank
Financial, Inc.,
6.10%, 02/02/00 ......... P1 800 795,662
Duke Energy Corp.,
5.00%, 01/03/00 ......... P1 950 949,736
Enterprise Funding Corp.,
6.38%, 01/14/00 ......... P1 2,032 2,027,318
Falcon Asset
Securitization,
6.24%, 01/21/00 ......... P1 6,850 6,826,253
Ford Motor Credit Co.,
6.00%, 01/21/00 ......... P1 1,153 1,149,157
General Electric Capital
Corp.,
6.33%, 01/26/00 ......... P1 650 647,143
General Motors Acceptance
Corp.,
5.99%, 02/17/00 ......... P1 1,000 992,180
Heller Financial, Inc.,
6.00%, 01/13/00 (c)(d)... P1 12,500 12,479,167
6.05%, 01/14/00 (c)(d)... P1 40,000 39,926,056
Kerr Mcgee Credit,
6.50%, 01/13/00 (c)(d)... P1 40,000 39,927,778
6.45%, 01/14/00 (c)(d)... P1 9,300 9,281,671
Keyspan Corp.,
6.50%, 01/12/00 (c)(d)... P1 49,000 48,920,375
Merrill Lynch & Co. Inc.,
6.12%, 01/18/00 ......... P1 1,388 1,383,989
Novartis Finance Corp.,
5.50%, 01/05/00 ......... P1 1,000 999,389
Old Line Funding Corp.,
6.30%, 01/19/00 ......... P1 2,269 2,261,853
6.33%, 01/12/00 ......... P1 8,500 8,483,560
PHH Corp.,
6.95%, 01/27/00 (c)(d)... P1 25,000 24,884,167
Sonoco Products,
6.05%, 02/03/00 ......... P1 700 696,118
Thunder Bay Funding, Inc.,
6.06%, 02/04/00 ......... P1 13,680 13,601,705
6.20%, 01/19/00 ......... P1 14,827 14,781,036
Triple-A One Plus Funding,
6.20%, 01/20/00 ......... P1 6,019 5,999,304
6.27%, 01/14/00 ......... P1 46,000 45,895,849
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B31
<PAGE>
FLEXIBLE MANAGED PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
SHORT-TERM RATING AMOUNT VALUE
INVESTMENTS (CONT'D) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER (CONT'D.)
Variable Funding Corp.,
6.25%, 01/20/00 (c)(d)... P1 $ 20,000 $ 19,940,972
Windmill Funding Corp.,
6.38%, 01/07/00 (c)(d)... P1 17,000 16,987,949
--------------
574,510,154
--------------
EURO-TIME DEPOSIT -- 0.2%
Chase Manhattan Bank
5.50%, 01/03/00 (c)(d)... P1 10,000 10,000,000
--------------
OTHER CORPORATE OBLIGATIONS -- 2.4%
Banco de Commercio Exterior
de Columbia, SA, M.T.N.,
(Colombia),
8.625%, 06/02/00 ........ P1 5,500 5,445,000
Carnival Corp.,
5.65%, 10/15/00 ......... A2 5,000 4,953,450
Comdisco, Inc.,
5.94%, 04/13/00 ......... Baa1 12,500 12,461,250
6.32%, 11/27/00 ......... Baa1 19,000 18,870,800
Dayton Hudson Corp.,
5.95%, 06/15/00 ......... A3 9,000 8,987,310
Equity Residential
Properties Trust,
6.15%, 09/15/00 ......... A3 25,000 24,795,000
GTE Corp.,
9.375%, 12/01/00 ........ Baa1 11,000 11,264,770
ICI Wilmington, Inc.,
9.50%, 11/15/00 ......... Baa1 6,500 6,625,646
ITT Corp.,
6.25%, 11/15/00 ......... Baa2 5,183 5,082,088
Niagara Mohawk Power,
7.00%, 10/01/00 ......... Ba3 18,902 18,892,994
Ryder System, Inc.,
7.51%, 03/24/00 ......... Baa1 3,000 3,006,510
8.34%, 01/26/00 ......... Baa1 5,000 5,006,846
--------------
125,391,664
--------------
TIME DEPOSIT -- 1.3%
Abbey National Treasury
9.50%, 01/04/00 (c)(d)... NR 50,000 50,000,000
Banque National
2.00%, 01/03/00 (c)(d)... NR 2,071 2,071,000
Deutche Bank
5.00%, 01/03/00 (c)(d)... NR 13,000 13,000,000
--------------
65,071,000
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SHORT-TERM (000) (NOTE 2)
INVESTMENTS (CONT'D) --------- --------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 3.2%
Joint Repurchase Agreement
Account,
2.875%, 01/03/00
(Note 5) .............. $ 164,437 $ 164,437,000
--------------
U.S. GOVERNMENT OBLIGATIONS -- 0.3%
United States Treasury Bill
5.19%, 03/16/00 ......... 600 593,506
5.196%, 03/16/00 ........ 14,000 13,848,450
--------------
14,441,956
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $1,049,509,711)............................. 1,053,851,774
--------------
TOTAL INVESTMENTS -- 109.9%
(cost $5,219,625,332; Note 6)..................... 5,631,103,413
--------------
VARIATION MARGIN ON OPEN FUTURES CONTRACTS(e).......
(598,738)
--------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (9.9%).....
(505,240,380)
--------------
TOTAL NET ASSETS -- 100%............................ $5,125,264,295
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
GDR Global Depository Receipt
L.P. Limited Partnership
M.T.N. Medium Term Note
PLC Public Limited Company
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
</TABLE>
<TABLE>
<S> <C>
(a) Non-Income producing security.
(b) Portion of securities on loan with an aggregate market value
of $503,764,431; cash collateral of $526,881,461 was
received with which the portfolio purchased securities.
(c) Represents security purchased with cash collateral received
for securities on loan.
(d) Security segregated as collateral for future contracts.
(e) Open Future Contracts as of December 31, 1999 are as
follows:
</TABLE>
<TABLE>
<CAPTION>
VALUE AT
NUMBER OF EXPIRATION VALUE AT DECEMBER 31, APPRECIATION/
CONTRACTS TYPE DATE TRADE DATE 1999 DEPRECIATION
<C> <S> <C> <C> <C> <C>
Long Position:
U.S. 5 yr Treasury
763 Note Mar 00 $1,812,125 $ 844,781 $ (967,344)
1,115 U.S. Treasury Bond Mar 00 6,695,155 3,073,281 (3,621,874)
232 S&P 500 Index Mar 00 1,437,163 4,509,603 3,072,440
-----------
$(1,516,778)
===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B32
<PAGE>
HIGH YIELD BOND PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 92.7% MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS -- 83.0% (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
AEROSPACE -- 0.5%
BE Aerospace, Inc., Sr. Sub. Notes, AB ................... B1 9.50% 11/01/08 $ 1,000 $ 935,000
Compass Aerospace Corp., Sr. Sub. Notes .................. Caa1 10.125% 04/15/05 750 412,500
Stellex Industries, Inc., Sr. Sub. Notes ................. B3 9.50% 11/01/07 4,000 2,860,000
--------------
4,207,500
--------------
AUTOMOTIVE PARTS -- 1.9%
AM General Corp., Sr. Notes .............................. B3 12.875% 05/01/02 3,375 3,003,750
Collins & Aikman Products, Gtd. Notes .................... B2 11.50% 04/15/06 470 464,125
Hayes Lemmerz International, Inc., Notes ................. B2 8.25% 12/15/08 800 736,000
Hayes Wheels Int'l, Inc., Sr. Sub. Notes ................. B2 9.125% 07/15/07 1,000 965,624
JPS Automotive Products Corp., L.P., Sr. Notes ........... B2 11.125% 06/15/01 4,000 3,980,000
Paragon Corp. Holdings, Sr. Notes ........................ B3 9.625% 04/01/08 2,000 600,000
Standyne Automotive Corp., Sr. Sub. Notes ................ Caa 10.25% 12/15/07 3,000 2,430,000
United Rentals, Inc., Gtd. Notes ......................... B1 8.80% 08/15/08 1,370 1,277,525
Venture Holdings, Sr. Notes .............................. NR 9.50% 07/01/05 2,270 2,065,700
--------------
15,522,724
--------------
BANKS -- 0.4%
Sovereign Bancorp, Sr. Notes ............................. Ba3 6.625% 03/15/01 795 769,162
Sovereign Bancorp, Sr. Notes ............................. Ba3 10.50% 11/15/06 2,500 2,550,000
--------------
3,319,162
--------------
BROADCASTING & OTHER MEDIA -- 4.5%
Ackerley Group, Sr. Sub. Notes ........................... B2 9.00% 01/15/09 6,000 5,880,000
American Lawyer Media Holdings, Inc., Sr. Disc Notes,
Zero Coupon (until 12/15/02)............................ B3 12.25% 12/15/08 3,000 2,077,500
Capstar Broadcasting Partners, Inc., Sr. Sub. Notes ...... B2 9.25% 07/01/07 875 890,313
Chancellor Media Corp., Sr. Sub. Notes ................... B1 9.00% 10/01/08 2,025 2,106,000
Globo Communicacoes, Sr. Notes (Brazil) .................. B2 10.50% 12/20/06 1,300 1,079,000
Grupo Televisa SA, Sr. Disc. Notes, Zero Coupon
(until 05/15/01) (Mexico)............................... Ba2 13.25% 05/15/08 1,175 1,072,188
Imax Corp., Sr. Notes .................................... Ba2 7.875% 12/01/05 500 470,000
Liberty Group Publishing, Sr. Disc. Notes, Zero
Coupon (until 2/01/03).................................. Caa1 11.625% 02/01/09 240 120,000
Lin Holdings Corp., Sr. Disc. Notes, Zero Coupon
(until 03/01/03)........................................ B3 10.00% 03/01/08 500 337,500
Mail-Well Corp., Sr. Sub. Notes .......................... B1 8.75% 12/15/08 4,750 4,512,500
Radio Unica, Sr. Disc. Notes, Zero Coupon
(until 08/01/02)........................................ NR 11.75% 08/01/06 2,750 1,794,375
SFX Entertainment, Sr. Sub. Notes ........................ B3 9.125% 12/01/08 4,000(e) 3,820,000
Spectrasite Holdings, Inc., Sr. Disc. Notes, Zero
Coupon (until 04/15/04)................................. NR 11.25% 04/15/09 900 477,000
Susquehanna Media Co., Sr. Sub. Notes .................... B1 8.50% 05/15/09 1,800 1,750,500
Transwestern Publishing, Sr. Disc. Notes, Zero
Coupon (until 11/15/02), PIK............................ B3 11.875% 11/15/08 3,650 2,628,000
TV Azteca SA de CV, Sr. Notes (Mexico) ................... NR 10.50% 02/15/07 2,850 2,465,250
TVN Enterainment Corp., Sr. Notes ........................ NR 14.00% 08/01/08 3,750 1,312,500
World Color Press, Sr. Sub. Notes ........................ B1 7.75% 02/15/09 2,375 2,268,125
World Color Press, Sr. Sub. Notes ........................ B1 8.375% 11/15/08 875 855,313
--------------
35,916,064
--------------
BUILDING & RELATED INDUSTRIES -- 1.8%
Ainsworth Lumber Co., Ltd., Bonds, PIK ................... B3 12.50% 07/15/07 4,625 5,110,625
Engle Homes, Inc., Sr. Notes ............................. B1 9.25% 02/01/08 2,300 2,058,500
Formica Corp., Sr. Sub. Notes ............................ B3 10.875% 03/01/09 4,250 3,888,750
New Millenium Homes, Sr. Notes ........................... NR 14.00% 09/03/04 3,000
2,610,000
Standard Pacific Corp., Sr. Notes ........................ Ba2 8.50% 04/01/09 590 551,650
Webb (Del E.), Sr. Sub. Deb. ............................. B2 9.375% 05/01/09 425 388,875
--------------
14,608,400
--------------
CABLE -- 7.2%
Adelphia Communications, Co., Sr. Notes, PIK ............. B3 9.50% 02/15/04 43 43,206
Adelphia Communications, Corp., Sr. Notes ................ B2 10.50% 07/15/04 500 521,250
Avalon Cable Holding, Sr. Disc. Notes, Zero Coupon
(until 12/01/03)........................................ Caa 11.875% 12/01/08 6,000 3,915,000
CD Radio, Inc., Sr. Disc. Notes, Zero Coupon
(until 12/01/02)........................................ Caa 15.00% 12/01/07 4,245 2,207,400
Charter Communications Holdings LLC, Sr. Disc. Notes ..... B2 8.625% 04/01/09 2,000 1,865,000
Charter Communications Holdings LLC, Sr. Disc. Notes,
Zero Coupon (until 04/01/04)............................ B2 9.92% 04/01/11 4,855 2,888,725
Classic Cable, Inc., Gtd. Notes .......................... B3 9.375% 08/01/09 1,095 1,056,675
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B33
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
Diamond Cable Communications, Sr. Disc. Notes, Zero
Coupon (until 2/15/02) (United Kingdom)................. NR 10.75% 02/15/07 $ 4,000 $ 3,190,000
Falcon Holding Group, Sr. Disc. Deb., Zero Coupon
(until 04/15/03)........................................ B2 9.285% 04/15/10 3,500 2,625,000
International Cabletel, Inc., Sr. Disc. Notes, Zero
Coupon (until 04/15/00)................................. B3 12.75% 04/15/05 6,100 6,100,000
Mediacom LLC, Sr. Notes .................................. Ba2 7.875% 02/15/11 2,000 1,760,000
Multicanal SA, Bonds ..................................... Ba3 13.125% 04/15/09 2,400(e) 2,364,000
NTL, Inc., Sr. Notes, Zero Coupon (until 04/01/03) ....... B3 9.75% 04/01/08 2,000 1,380,000
NTL, Inc., Sr. Notes, Zero Coupon (until 10/01/03) ....... B3 12.375% 10/01/08 1,750 1,233,750
Rogers Cablesystems Ltd., Gtd. Notes ..................... B2 11.00% 12/01/15 235 266,137
Rogers Cablesystems, Inc., Sr. Sec'd. Notes (Canada) ..... Ba3 10.00% 03/15/05 1,000 1,070,000
Scott Cable Communications, Jr. Sub., PIK ................ NR 16.00% 07/18/02 108 27,000
Star Choice Communications, Inc., Sr. Notes, (Canada) .... NR 13.00% 12/15/05 3,000 3,052,500
Telewest Communications PLC, Sr. Disc. Deb., Zero
Coupon (until 04/15/04) (United Kingdom)................ B1 9.25% 04/15/09 1,600 1,016,000
Telewest Communications PLC, Sr. Disc. Deb., Zero
Coupon (until 10/01/00) (United Kingdom)................ B1 11.00% 10/01/07 2,850 2,657,625
Time Warner Telecommunications LLC, Sr. Notes ............ B2 9.75% 07/15/08 2,450 2,511,250
United International Holdings, Sr. Disc. Notes, Zero
Coupon (until 02/15/03)................................. B3 10.75% 02/15/08 9,750 6,240,000
United Pan-Europe Communication, Sr. Disc. Notes ......... B2 10.875% 08/01/09 13,620 9,551,550
--------------
57,542,068
--------------
CHEMICALS -- 2.3%
Georgia Gulf Corp., Sr. Sub. Notes ....................... B1 10.375% 11/01/07 235 245,281
GNI Group, Inc., Sr. Notes(b) (cost $4,000,000;
purchased 07/23/98)..................................... B2 10.875% 07/15/05 4,000 1,720,000
Huntsman ICI Chemical, Sr. Sub. Notes .................... B2 10.125% 07/01/09 3,500 3,587,500
Lyondell Chemical Co., Sr. Sub. Notes .................... Ba3 10.875% 05/01/09 7,250 7,503,750
Sterling Chemical Holdings, Inc., Sr. Sub. Notes ......... B3 13.50% 08/15/06 1,575 1,181,250
Sterling Chemical Holdings, Inc., Sr. Sub. Notes ......... B3 12.375% 07/15/06 690 710,700
ZSC Specialty Chemical PLC, Sr. Notes .................... B2 11.00% 07/01/09 3,180 3,291,300
--------------
18,239,781
--------------
CONSUMER PRODUCTS -- 2.9%
Coinstar, Inc., Sr. Disc. Notes .......................... NR 13.00% 10/01/06 3,275 3,373,250
Consumers International, Inc., Sr. Notes ................. Ba3 10.25% 04/01/05 3,125 2,500,000
Corning Consumer Products, Sr. Sub. Notes ................ B3 9.625% 05/01/08 4,250 3,336,250
Electronic Retailing Systems, Sr. Disc. Notes, Zero
Coupon (until 02/01/00)................................. NR 13.25% 02/01/04 2,000 440,000
Hedstrom Corp., Sr. Sub. Notes ........................... NR 10.00% 06/01/07 900 54,000
Hedstrom Holding, Inc., Sr. Disc. Notes, Zero Coupon
(until 06/01/02) ....................................... NR 12.00% 06/01/09 400 4,000
Interact Systems, Inc., Sr. Disc. Notes, PIK ............. NR 14.00% 08/01/03 2,200 1,188,393
La Petite Holdings, Sr. Notes ............................ B3 10.00% 05/15/08 1,250 918,750
Packaging Resources Group, Sr. Notes, PIK ................ NR 13.00% 06/30/03 2,251 1,958,644
Radnor Holdings, Inc., Sr. Notes ......................... B2 10.00% 12/01/03 1,750 1,750,000
Revlon Consumer Products Corp., Sr. Notes, PIK ........... B2 9.00% 11/01/06 2,250 1,710,000
Sealy Mattress Co., Sr. Sub. Disc. Notes, Zero
Coupon (until 12/15/02)................................. B3 10.875% 12/15/07 470 329,000
Waste Systems International, Sr. Sub. Notes .............. B2 11.50% 01/15/06 4,000 3,875,000
Windmere-Durable Holdings, Inc., Sr. Notes ............... B3 10.00% 07/31/08 2,000 1,950,000
--------------
23,387,287
--------------
CONTAINERS -- 0.1%
Ball Corp., Sr. Sub. Notes ............................... B1 8.25% 08/01/08 500 480,000
Owens-Illinois, Inc., Deb. Notes ......................... Ba1 7.50% 05/15/10 340 298,935
--------------
778,935
--------------
DIVERSIFIED INDUSTRIES -- 0.4%
Gentek, Inc., Gtd. Notes ................................. B2 11.00% 08/01/09 1,620 1,684,800
SCG Holding & Semiconductor Co., Sr. Sub. Notes .......... B2 12.00% 08/01/09 1,750 1,859,375
--------------
3,544,175
--------------
DRUGS & HEALTHCARE -- 2.4%
Columbia/HCA Healthcare Corp., Notes ..................... Ba2 7.50% 11/15/2095 570 473,100
Concetra Operating Corp., Sr. Sub. Notes ................. B3 13.00% 08/15/09 1,935 1,760,850
Dade International, Inc., Sr. Sub Notes .................. B3 11.125% 05/01/06 5,050 4,949,000
Genesis Health Ventures, Sr. Sub. Notes .................. Caa1 9.875% 01/15/09 1,750 735,000
Harborside Healthcare Corp., Sr. Sub. Disc. Notes,
Zero Coupon (until 08/01/03)............................ B3 11.00% 08/01/08 2,500 800,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B34
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
Healthsouth Corp. Sr. Notes .............................. Baa3 6.875% 06/15/05 $ 1,405 $ 1,216,449
ICN Pharmaceuticals, Inc., Sr. Sub. Notes ................ Ba3 8.75% 11/15/08 3,250 3,103,750
Integrated Health Services, Inc., Sr. Sub. Notes(d)....... C 9.25% 01/15/08 3,250 268,125
Magellan Health Services, Sr. Sub. Notes ................. Caa1 9.00% 02/15/08 7,000 5,670,000
Mariner Post Acute Network, Inc., Sr. Sub. Disc. Notes,
Zero Coupon (until 11/01/02)............................ B3 10.50% 11/01/07 5,520 27,600
--------------
19,003,874
--------------
DRUGS & MEDICAL SUPPLIES -- 1.0%
Lifepoint Hospitals Holdings, Sr. Sub. Notes ............. B3 10.75% 05/15/09 675 702,000
Team Health, Inc., Sr. Sub. Notes ........................ B3 12.00% 03/15/09 3,250(e) 3,168,750
Triad Hospitals Holding, Sr. Sub. Notes .................. B3 11.00% 05/15/09 4,285 4,456,400
--------------
8,327,150
--------------
ENERGY -- 4.3%
Anker Coal Group, Inc., Sr. Notes(b) PIK
(cost $2,491,676; purchased 10/01/99)................... B3 14.25% 09/01/07 2,400 1,752,000
Applied Power, Inc., Sr. Sub. Notes ...................... B1 8.75% 04/01/09 1,450 1,417,375
Chesapeake Energy Corp., Sr. Notes ....................... B1 9.625% 05/01/05 3,200 3,024,000
Clark USA, Inc., Sr. Notes ............................... B3 10.875% 12/01/05 1,250 562,500
CMS Energy Corp., Sr. Notes .............................. Ba3 7.50% 01/15/09 1,125 1,035,000
Gothic Production Corp., Sr. Notes ....................... B3 11.125% 05/01/05 550 462,000
Great Lakes Carbon Corp., Sr. Sub. Notes PIK ............. B3 10.25% 05/15/08 2,000 1,900,000
Grey Wolf, Sr. Notes ..................................... B1 8.875% 07/01/07 2,295 2,122,875
Nuevo Energy Co., Sr. Sub. Notes ......................... B1 9.50% 06/01/08 625 625,000
P & L Coal Holdings, Sr. Notes ........................... Ba3 8.875% 05/15/08 1,750 1,710,625
P & L Coal Holdings, Sr. Sub. Notes ...................... B2 9.625% 05/15/08 1,245 1,210,762
Parker Drilling Corp., Sr. Sub. Notes .................... B1 9.75% 11/15/06 3,005 2,907,337
RBF Finance Co., Sr. Sec'd. Notes(b) (cost $2,531,177;
purchased on various dates: 8/23/99 through 10/06/99)... Ba3 11.00% 03/15/06 2,410 2,602,800
RBF Finance Co., Sr. Sec'd. Notes(b) (cost $2,600,000;
purchased 3/19/99)...................................... Ba3 11.375% 03/15/09 2,600 2,795,000
R&B Falcon Corp., Sr. Notes(b) (cost $952,809; purchased
12/17/98)............................................... NR 12.25% 03/15/06 935 1,033,175
Santa Fe Energy Resources, Gtd., Notes ................... B2 8.75% 06/15/07 1,000 995,000
Seven Seas Petroleum, Inc., Sr. Notes .................... Caa1 12.50% 05/15/05 1,500 630,000
Tesoro Petroleum Corp., Sr. Sub. Notes ................... B1 9.00% 07/01/08 3,000 2,857,500
Universal Compression Holdings, Sr. Disc. Notes, Zero
Coupon (until 02/15/03)................................. B2 9.875% 02/15/08 1,750 1,085,000
Universial Compression Holdings, Sr. Disc. Notes, Zero
Coupon (until 02/15/03)................................. B3 11.375% 02/15/09 700 378,000
York Power Funding, Sr. Sec'd. Notes (Cayman Islands) .... Ba3 12.00% 10/30/07 3,000 3,090,000
--------------
34,195,949
--------------
FINANCIAL SERVICES -- 1.8%
AmeriCredit Corp., Sr. Notes ............................. B1 9.25% 02/01/04 1,350(e) 1,350,000
AmeriCredit Corp., Sr. Notes ............................. Ba1 9.875% 04/15/06 3,000 3,030,000
Amresco, Inc., Sr. Sub. Notes ............................ Caa3 10.00% 03/15/04 280 182,000
Amresco, Inc., Sr. Sub. Notes ............................ B2 9.875% 03/15/05 3,975 2,623,500
BF Saul Corp., Sr. Notes ................................. B3 9.75% 04/01/08 1,750 1,592,500
Delta Financial Corp., Sr. Notes ......................... B1 9.50% 08/01/04 1,075 698,750
Lodgian Financing Corp., Gtd. Notes ...................... B3 12.25% 07/15/09 2,000(e) 1,990,000
Metris Companies, Inc., Gtd. Notes ....................... Ba3 10.125% 07/15/06 3,000 2,850,000
--------------
14,316,750
--------------
FOOD & BEVERAGE -- 4.1%
Advantica Restaurant Group, Sr. Notes .................... NR 11.25% 01/15/08 4,762 3,595,665
Agrilink Foods, Inc., Gtd. Notes ......................... B3 11.875% 11/01/08 1,760 1,777,600
Ameriking, Inc., Sr. Notes ............................... B3 10.75% 12/01/06 1,000 925,000
Ameriserv Food Distribution Co., Gtd. Notes .............. B3 8.875% 10/15/06 3,000 1,650,000
Carrols Corp., Sr. Sub. Notes ............................ B2 9.50% 12/01/08 2,885 2,625,350
CKE Restaurants, Inc., Gtd. Notes ........................ B1 9.125% 05/01/09 2,250 1,710,000
Del Monte Foods Co., Sr. Disc. Notes, Zero Coupon (until
12/05/02) .............................................. Caa1 12.50% 12/15/07 210 162,750
Dominos, Inc., Notes ..................................... B3 10.375% 01/15/09 500 480,000
Family Restaurant Corp., Sr. Disc. Notes ................. NR 15.00% 01/24/02 3,000 2,790,000
Fresh Foods, Inc., Bonds ................................. B3 10.75% 06/01/06 2,500 2,356,250
Grupo Azucarero, Sr. Notes (Mexico) ...................... B3 11.50% 01/15/05 2,900 1,189,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B35
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
Packaged Ice, Inc., Sr. Notes ............................ B3 9.75% 02/01/05 $ 2,880 $ 2,635,200
Pilgrim's Pride Corp. Sr. Sub. Notes ..................... B1 10.875% 08/01/03 420 423,150
Premium Standard Farms, Sr. Sec'd. Notes, PIK(b)
(cost $284,644; purchased 2/25/99)...................... NR 11.00% 09/17/03 285 293,184
Purina Mills, Inc., Sr. Sub. Notes(b)(d)
(cost $3,489,351; purchased 1/07/99 and 1/08/99)........ Ca 9.00% 03/15/10 3,500 875,000
Sbarro, Inc., Sr. Notes .................................. Ba3 11.00% 09/15/09 1,260 1,304,100
SFC New Holdings, Inc., Sr. Notes PIK .................... Caa1 11.25% 08/15/01 2,765 2,633,662
SFC New Holdings, Inc., Sr. Sub. Notes ................... NR 13.25% 08/15/03 1,853(e) 1,315,835
SFC Sub, Inc., Deb. Notes, Zero Coupon (until
06/15/05) .............................................. NR 11.00% 12/15/09 465 46
Stater Brothers Holdings, Sr. Notes ...................... B2 10.75% 08/15/06 3,030 3,060,300
Vlasic Foods Intl, Inc., Sr. Sub. Notes .................. B2 10.25% 07/01/09 1,610 1,533,525
--------------
33,335,617
--------------
GAMING -- 3.3%
Alliance Gaming Corp., Gtd. Notes ........................ B3 10.00% 08/01/07 1,800 1,003,500
Aztar Corp., Sr. Sub. Notes .............................. B1 8.875% 05/15/07 1,000 960,000
Casino Magic Finance Corp., First Mtge. Bonds ............ B3 13.00% 08/15/03 3,750 4,125,000
Coast Hotels & Casino Co., Sub. Gtd. Notes ............... B3 9.50% 04/01/09 1,140 1,094,400
Colorado Gaming & Entertainment, Sr. Notes, PIK .......... NR 12.00% 06/01/03 3,590 2,512,976
Fitzgeralds Gaming, Sr. Notes(b)(d) (cost $2,375,000;
purchased 12/22/97 and 8/07/98)......................... B3 12.25% 12/15/04 2,375 1,306,250
Hollywood Park, Inc., Gtd. Notes ......................... B2 9.25% 02/15/07 3,500 3,473,750
Isle of Capri Black Hawk, LLC, First Mtge. Notes ......... B3 13.00% 08/31/04 4,000 4,360,000
Mandalay Resort Group, Sr. Sub. Deb. ..................... Baa3 6.70% 11/15/2096 1,030 961,309
Station Casinos, Inc., Sr. Sub. Notes .................... B2 10.125% 03/15/06 2,500 2,550,000
Trump Atlantic City Assoc., First Mtge. Notes ............ B1 11.25% 05/01/06 1,150 931,500
Venetian Casino/LV Sands Co., Gtd. Notes ................. Caa1 12.25% 11/15/04 4,000 3,460,000
--------------
26,738,685
--------------
INDUSTRIAL -- 5.4%
Allied Waste Industries, Inc., Sr. Disc. Notes ........... Ba2 7.625% 01/01/06 3,250 2,925,000
Allied Waste Industries, Inc., Sr. Disc. Notes ........... Ba2 7.875% 01/01/09 5,250 4,620,000
Allied Waste Industries, Inc., Sr. Disc. Notes ........... Ba2 10.00% 08/01/09 2,250 2,002,500
Clean Harbors, Inc., Sr. Notes ........................... B2 12.50% 05/15/01 1,250 975,000
Continental Global Group, Sr. Notes ...................... B2 11.00% 04/01/07 4,120 2,018,800
Eagle-Picher Industries, Sr. Sub. Notes .................. B3 9.375% 03/01/08 1,750 1,557,500
Iasis Healthcare Corp., Sr. Sub. Notes ................... B3 13.00% 10/15/09 1,750 1,802,500
ICF Kaiser International, Inc., Sr. Sub. Notes ........... B3 13.00% 12/31/03 4,450 2,225,000
International Wireless Group, Sr. Sub. Notes ............. NR 11.75% 06/01/05 3,000 3,097,500
Kaiser Aluminum & Chemical Corp., Sr. Sub. Notes ......... B2 12.75% 02/01/03 4,000 4,000,000
Kasper Aluminum & Chemical Corp., Sr. Sub. Notes ......... NR 12.75% 03/31/04 7,171 6,238,770
Motors & Gears, Inc., Sr. Notes .......................... B3 10.75% 11/15/06 3,500 3,465,000
Neenah Corp., Sr. Sub. Notes ............................. B3 11.125% 05/01/07 250 231,250
Thermadyne Holdings, Deb., Zero Coupon
(until 06/01/03) ....................................... Caa1 12.50% 06/01/08 2,375 1,080,625
Thermadyne Manufacturing, Sr. Sub. Notes ................. B3 9.875% 06/01/08 2,500 2,100,000
UCAR Global Enterprises, Sr. Sub. Notes .................. B1 12.00% 01/15/05 2,600 2,697,500
Viasystems, Inc., Sr. Sub. Notes ......................... B3 9.75% 06/01/07 4,000 2,200,000
--------------
43,236,945
--------------
LEISURE -- 0.9%
Bally Health & Tennis Corp., Sr. Sub. Notes .............. B3 9.875% 10/15/07 5,000 4,837,500
Premier Cruise, Ltd., Sr. Notes, PIK (d) ................. B3 11.00% 3/15/08 1,000 0
Premier Parks, Inc., Sr. Notes ........................... B3 9.75% 06/15/07 2,000 2,010,000
--------------
6,847,500
--------------
LODGING -- 0.6%
Hilton Hotels, Sr. Notes ................................. Baa1 7.50% 12/15/17 285 237,952
HMH Properties, Inc., Sr. Notes .......................... Ba2 8.45% 12/01/08 2,850 2,629,125
La Quinta Inns, Sr. Notes ................................ Ba2 7.25% 03/15/04 2,000 1,600,200
--------------
4,467,277
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B36
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
MANUFACTURING -- 0.4%
Building Materials Corp. Sr. Notes ....................... Ba3 7.75% 07/15/05 $ 265 $ 241,150
Tenneco, Inc., Sr. Sub. Notes ............................ B2 11.625% 10/15/09 3,060 3,105,900
--------------
3,347,050
--------------
MISCELLANEOUS -- 1.7%
Alliance Atlantis Comm. Sr. Sub. Notes ................... B2 13.00% 12/15/09 1,670 1,670,000
Intersil Corp., Sr. Sub. Notes ........................... B3 13.25% 08/15/09 835 910,150
It Group, Inc., Gtd. Notes ............................... B3 11.25% 04/01/09 2,080 2,028,000
Metromedia Fiber Network, Sr. Notes ...................... B2 10.00% 12/15/09 2,960 3,026,600
MSX International, Inc., Gtd. Notes ...................... B3 11.375% 01/15/08 1,750 1,627,500
Nebco Evans Sr. Notes, Zero Coupon (until 07/15/02) ...... Caa 12.375% 07/15/07 1,500 195,000
Phoenix Color Corp., Gtd., Sr. Sub. Notes ................ B3 10.375% 02/01/09 4,000 3,840,000
Sun World International, Gtd. Notes ...................... B2 11.25% 04/15/04 270 275,400
--------------
13,572,650
--------------
OIL & GAS -- 1.4%
Comstock Resources, Inc., Sr. Notes ...................... B2 11.25% 05/01/07 4,500 4,635,000
Eott Energy Parters/Fin., Gtd. Notes ..................... Ba2 11.00% 10/01/09 710 738,400
Gulf Canada Resources, Ltd., Sub. Deb .................... Ba1 8.35% 08/01/06 385 378,744
Gulf Canada Resources, Ltd., Sub. Deb. ................... Ba3 9.625% 07/01/05 615 630,375
Leviathan Gas, Sr. Sub. Notes ............................ Ba2 10.375% 06/01/09 2,000 2,080,000
Plains Resources, Inc., Sr. Sub. Notes ................... B2 10.25% 03/15/06 870 848,250
Swift Energy Co., Sr. Sub. Notes ......................... B2 10.25% 08/01/09 2,015 2,030,113
--------------
11,340,882
--------------
PAPER/PACKAGING -- 4.0%
AMM Holdings, Inc., Sr. Disc. Notes, Zero Coupon
(until 07/01/03)........................................ Caa1 13.50% 07/01/09 6,000 720,000
APP International, Sr. Sec'd. Notes(b) (cost
$2,794,324; purchased 2/11/97 and 2/20/97).............. Ba3 11.75% 10/01/05 2,600(e) 2,184,000
Doman Industries Limited, Sr. Notes ...................... Caa1 8.75% 03/15/04 1,805 1,552,300
Doman Industries Limited, Sr. Notes ...................... Caa1 9.25% 11/15/07 100 80,000
Gaylord Container Corp., Sr. Notes ....................... B 9.75% 06/15/07 2,100 1,974,000
Graham Packaging, Sr. Disc. Notes, Zero Coupon
(until 01/15/03)........................................ Caa 10.75% 01/15/09 1,100 759,000
Maxxam Group Holdings, Inc., Sr. Notes ................... NR 12.00% 08/01/03 7,550 7,059,250
Repap New Brunswick, Inc., Sr. Sec'd. Notes .............. B3 10.625% 04/15/05 2,840(e) 2,641,200
Riverwood International, Gtd. Notes ...................... B3 10.25% 04/01/06 1,200(e) 1,218,000
Riverwood International Corp. Gtd. Notes ................. B3 10.625% 08/01/07 455 468,650
Riverwood International, Gtd. Notes ...................... Caa1 10.875% 04/01/08 455 445,900
Silgan Holdings, Inc., Sub. Debs. PIK .................... NR 13.25% 07/15/06 3,149 3,463,900
Stone Container Corp., Sr. Sub. Deb. ..................... B2 12.58% 08/01/16 250 266,250
Stone Container Corp., Sr. Sub. Notes .................... B3 12.25% 04/01/02 6,800 6,885,000
United Stationer Supply Co., Sr. Sub. Notes .............. B3 12.75% 05/01/05 2,200 2,370,500
--------------
32,087,950
--------------
PUBLISHING -- 0.6%
Sullivan Graphics, Inc., Sr. Sub. Notes .................. Caa 12.75% 08/01/05 4,500 4,657,500
--------------
REAL ESTATE INVESTMENT TRUST -- 0.1%
Meditrust, Notes ......................................... Ba2 7.82% 09/10/26 570 484,500
--------------
RETAIL -- 2.4%
Big 5 Holding Corp., Sr. Disc. Notes, Zero Coupon (until
11/30/02) .............................................. NR 13.45% 11/30/08 1,500 765,000
Duane Reade, Inc., Sr. Sub. Notes ........................ B3 9.25% 02/15/08 270 263,925
Frank's Nursery & Crafts, Sr. Sub. Notes ................. B3 10.25% 03/01/08 2,100 1,428,000
French Fragrances, Inc., Sr. Notes, Ser. B ............... B2 10.375% 05/15/07 470 455,900
Merisel, Inc., Sr. Notes ................................. Ca 12.50% 12/31/04 5,250 4,738,125
Musicland Group, Inc., Gtd. Notes ........................ B3 9.875% 03/15/08 110 99,550
Musicland Stores, Sr. Sub. Notes ......................... B1 9.00% 06/15/03 4,600 4,439,000
Phar-Mor, Inc., Sr. Notes ................................ B3 11.72% 09/11/02 4,564 4,335,800
Phillips Van-Heusen Corp., Sr. Notes ..................... B1 9.50% 05/01/08 1,250 1,162,500
Specialty Retailers, Inc., Gtd. Notes .................... B2 8.50% 07/15/05 1,615 1,195,100
--------------
18,882,900
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B37
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
STEEL & METAL -- 1.4%
Algoma Steel, Inc., First Mtge. Notes .................... B2 12.375% 07/15/05 $ 200 $ 187,500
California Steel Industry, Sr. Notes ..................... Ba3 8.50% 04/01/09 540 514,350
LTV Corp. Sr. Notes ...................................... Ba3 11.75% 11/15/09 1,200 1,260,000
National Steel Corp., Gtd. Sec'd. First Mtge. Notes ...... Ba3 9.875% 03/01/09 1,000 1,020,000
Renco Steel Holdings, Sr. Notes .......................... NR 10.875% 02/01/05 500 435,000
Sheffield Steel Corp., First Mtge. Notes ................. NR 11.50% 12/01/05 3,500 2,975,000
Wheeling-Pittsburgh Corp., Sr. Notes ..................... B2 9.25% 11/15/07 2,600 2,457,000
WHX Corp., Sr. Notes ..................................... B3 10.50% 04/15/05 2,350 2,303,000
--------------
11,151,850
--------------
SUPERMARKETS -- 1.2%
Homeland Stores, Inc., Notes ............................. NR 10.00% 08/01/03 4,260 3,402,675
Pantry, Inc., Sr. Sub. Notes ............................. NR 10.25% 10/15/07 3,500 3,412,500
Pathmark Stores, Sr. Sub. Notes .......................... B2 9.625% 05/01/03 4,790 3,496,700
--------------
10,311,875
--------------
TECHNOLOGY -- 1.0%
Ampex, Sr. Notes ......................................... NR 12.00% 03/15/03 5,000 5,025,000
Decision One Corp., Sr. Sub. Notes(d)..................... B3 9.75% 08/01/07 4,000 15,000
Details Holdings Corp., Sr. Disc. Notes, Zero Coupon
(until 11/15/02) ....................................... NR 12.50% 11/15/07 1,080 561,600
Details, Inc., Sr. Sub. Notes ............................ B3 10.00% 11/15/05 750 690,000
DII Group, Sr. Sub. Notes ................................ B1 8.50% 09/15/07 2,000 1,990,000
--------------
8,281,600
--------------
TELECOMMUNICATIONS -- 19.8%
21st Century Telecom Group, Inc., Sr. Disc. Notes,
Zero Coupon (until 02/15/03)............................ NR 12.25% 02/15/08 1,500 1,005,000
Adelphia Business Solution, Sr. Notes .................... B3 12.25% 09/01/04 1,150 1,230,500
Adelphia Business Solution, Sr. Disc. Notes, Zero Coupon
(until 4/15/01)(b) (cost $875,000; purchased on various
dates: 4/07/99 through 9/22/99)......................... NR 13.00% 04/15/03 875 778,750
Allegiance Telecommunciations, Inc., Sr. Disc. Notes,
Zero Coupon (until 02/15/03)............................ NR 11.75% 02/15/08 3,300 2,359,500
Allegiance Telecommunications, Inc., Sr. Notes ........... NR 12.875% 05/15/08 1,750 1,960,000
American Communications Lines, Bonds ..................... B1 10.25% 06/30/08 3,000 2,880,000
AMSC Acquisition Co., Inc., Sr. Notes .................... NR 12.25% 04/01/08 2,600 2,132,000
Arch Communication, Inc., Sr. Notes ...................... B3 13.75% 04/15/08 1,000 810,000
Bestel SA, Sr. Disc. Notes, Zero Coupon
(until 05/15/01) ....................................... NR 12.75% 05/15/05 2,500 1,575,000
Birch Telecommunications, Inc., Sr. Notes ................ NR 14.00% 06/15/08 2,500 2,525,000
Caprock Communications, Sr. Notes ........................ Caa 12.00% 07/15/08 1,500 1,552,500
CB Richard Ellis Services, Inc., Bonds ................... Ba3 8.875% 06/01/06 1,600 1,424,000
Cellnet Data Systems, Inc., Sr. Disc. Notes, Zero
Coupon (until 10/01/02)(b) (cost $3,680,000;
purchased 01/26/99)..................................... NR 14.00% 10/01/07 3,680 404,800
Classic Communications, Inc., Sr. Disc. Notes, Zero
Coupon (until 08/01/03)................................. Caa 13.25% 08/01/09 2,000 1,395,000
Coaxial Communications, Inc., Sr. Disc. Notes ............ B3 10.00% 08/15/06 1,250 1,225,000
DTI Holdings, Inc., Sr. Disc. Notes, Zero Coupon
(until 03/01/03)........................................ NR 12.50% 03/01/08 1,000 360,000
Exodus Communications, Sr. Notes ......................... NR 10.75% 12/15/09 1,680 1,705,200
First World Communications, Inc., Sr. Disc. Notes,
Zero Coupon (until 04/15/03)............................ NR 13.00% 04/15/08 1,750 1,172,500
Geotek Communication, Inc., Sr. Disc. Notes, Zero
Coupon (until 7/15/00)(b)(d) (cost $4,512,000;
purchased 7/20/99)...................................... Caa 15.00% 07/15/05 4,512 1,895,040
Global Crossing Holdings, Ltd., Sr. Notes ................ Ba2 9.125% 11/15/06 1,020 1,008,525
Global Crossing Holdings, Ltd., Sr. Notes ................ Ba2 9.50% 11/15/09 1,985 1,962,669
Globix Corp., Sr. Notes .................................. NR 13.00% 05/01/05 1,250 1,262,500
GST Telecommunications, Inc., Sr. Disc. Notes, Zero
Coupon (until 12/15/00)................................. NR 13.875% 12/15/05 6,380 4,973,375
ICG Holdings Inc., Sr. Sub. Notes, Zero Coupon
(until 9/15/00)......................................... NR 13.50% 09/15/05 850 735,250
Impsat Corp., Gtd. Sr. Notes ............................. B2 12.125% 07/15/03 2,235 2,100,900
Impsat Corp., Sr. Notes .................................. B2 12.375% 06/15/08 3,000 2,700,000
Intermedia Communication, Inc., Sr. Notes ................ B2 8.60% 06/01/08 230 212,175
Intermedia Communication, Inc., Sr. Notes ................ B2 8.875% 11/01/07 600 558,000
Intermedia Communication, Inc., Sr. Notes ................ B2 9.50% 03/01/09 370 355,200
IPC Information Systems, Inc., Sr. Disc. Notes, Zero
Coupon (until 05/01/01)................................. B3 10.875% 05/01/08 2,250 1,687,500
Jordan Telecommunication Products, Inc., Sr. Notes(d)..... NR 9.875% 08/01/07 3,400 3,672,000
Level 3 Communications, Sr. Disc. Notes, Zero
Coupon (until 12/01/03)................................. B3 10.50% 12/01/08 2,150 1,295,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B38
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
Level 3 Communications, Sr. Notes ........................ B3 9.125% 05/01/08 $ 1,665 $ 1,573,425
Long Distance International, Inc., Sr. Notes(b)(d) (cost
$2,000,000; purchased 4/07/98).......................... NR 12.25% 04/15/08 2,000 900,000
Mastec, Inc., Sr. Notes .................................. Ba3 7.75% 02/01/08 1,000 940,000
McCaw Int'l. Ltd., Sr. Disc. Notes, Zero Coupon
(until 4/15/02)......................................... NR 13.00% 04/15/07 2,000 1,380,000
Mcleodusa, Inc., Sr. Sub. Notes, Zero Coupon
(until 03/01/02)........................................ B2 10.50% 03/01/07 750 607,500
Microcell Telecommunications, Zero Coupon
(until 06/01/04) ....................................... B3 12.00% 06/01/09 5,000 3,212,500
Netia Holdings, Sr. Disc. Notes, Zero Coupon
(until 11/01/01)........................................ B3 11.25% 11/01/07 3,000 1,875,000
Netia Holdings, Sr. Notes ................................ B 10.25% 11/01/07 2,350 1,974,000
Nextel Communications, Inc., Sr. Disc. Notes, Zero
Coupon (until 09/15/02)................................. B2 10.65% 09/15/07 845 631,638
Nextel Communications, Sr. Notes ......................... B1 9.375% 11/15/09 13,250 13,018,125
Nextel Partners, Inc., Sr. Disc. Notes, Zero Coupon
(until 02/01/04)........................................ B3 14.00% 02/01/09 5,900 3,864,500
Nextlink Communications, Sr. Disc. Notes ................. B2 10.75% 06/01/09 2,340 2,410,200
Nextlink Communications, Sr. Notes ....................... B2 10.50% 12/01/09 2,140 2,172,100
Northeast Optic, Sr. Notes ............................... NR 12.75% 08/15/08 2,005 2,125,300
Pagemart Nationwide, Inc., Sr. Disc. Notes, Ser. H,
Zero Coupon (until 02/01/00)............................ NR 15.00% 02/01/05 5,805 5,093,888
Price Communications Wireless, Inc., Sr. Sub. Notes ...... NR 11.75% 07/15/07 5,000 5,500,000
Primus Telecommunications Group, Sr. Notes ............... B3 12.75% 10/15/09 1,975 2,044,125
Psinet Inc., Sr. Notes ................................... NR 11.00% 08/01/09 5,785 5,944,088
PTC International Finance Corp., Gtd. Notes, Zero
Coupon (until 07/01/02)................................. NR 10.75% 07/01/07 1,250 837,500
RCN Corp., Sr. Notes ..................................... B3 10.00% 10/15/07 285 283,575
RCN Corp., Sr. Notes ..................................... B3 10.125% 01/15/10 1,860 1,855,350
Rogers Cantel, Inc., Sr. Sub. Notes ...................... B2 8.80% 10/01/07 1,250 1,250,000
RSL Communications PLC, Sr. Sec'd. Notes ................. B3 12.00% 11/01/08 1,000 1,007,500
RSL Communications Ltd, Sr. Notes ........................ B2 12.25% 11/15/06 1,500 1,522,500
Splitrock Service, Inc., Sr. Notes ....................... NR 11.75% 07/15/08 1,295 1,191,400
Telegroup, Inc., Sr. Disc. Notes, Zero Coupon
(until 5/01/00)(d)...................................... NR 10.50% 11/01/04 4,000 1,360,000
Tritel PCS, Inc., Sr. Disc. Notes, Zero Coupon
(until 05/15/04)........................................ B3 12.75% 05/15/09 4,000 2,520,000
Triton PCS, Inc., Gtd., Zero Coupon (until 05/01/03) ..... B3 11.00% 05/01/08 2,445 1,729,838
Unisite, Inc., Sr. Disc. Notes, Zero Coupon
(until 12/15/00)........................................ NR 13.00% 12/15/04 4,000 4,921,200
US Unwired, Inc., Sr. Disc. Notes, Zero Coupon (until
11/01/04) .............................................. Caa1 13.375% 11/01/09 6,925 4,051,125
US Xchange LLC, Sr. Notes ................................ NR 15.00% 07/01/08 2,250 2,047,500
USA Mobile Communications, Sr. Notes ..................... B2 9.50% 02/01/04 5,000 3,900,000
Versatel Telecommunications, Sr. Notes ................... Caa1 11.875% 07/15/09 625 637,500
Versatel Telecommunications, Sr. Notes ................... NR 13.25% 05/15/08 2,000 2,130,000
Verio, Inc., Sr. Notes ................................... B3 11.25% 12/01/08 210 220,500
Viatel, Inc., Sr. Disc. Notes, Zero Coupon
(until 04/15/03) ....................................... NR 12.50% 04/15/08 1,100 704,000
Viatel, Inc., Sr. Notes .................................. Caa1 11.25% 04/15/08 1,500 1,492,500
Viatel, Inc., Sr. Notes .................................. B3 11.50% 03/15/09 2,401 2,401,000
VSTR Wire Co., Sr. Disc. Notes, Zero Coupon (until
11/15/04) .............................................. B2 11.875% 11/15/09 3,345 2,015,363
VSTR Wire Co., Sr. Notes ................................. B2 10.375% 11/15/09 3,080 3,172,400
WamNet, Inc., Sr. Disc. Notes, Zero Coupon
(until 3/01/02) ........................................ NR 13.25% 03/01/05 500 288,750
Williams Communciations Group, Inc., Sr. Notes ........... B2 10.875% 10/01/09 5,080 5,314,950
Winstar Communications, Sr. Notes, Zero Coupon
(until 10/15/00) ....................................... Caa1 14.00% 10/15/05 1,500(e) 1,455,000
Worldwide Fiber, Inc., Sr. Notes ......................... B3 12.50% 12/15/05 4,000 4,180,000
--------------
158,669,099
--------------
TEXTILES -- 1.5%
Burlington Industries, Deb. .............................. Ba1 7.25% 08/01/27 1,000 760,000
Cluett American Corp., Sr. Sub. Notes .................... NR 10.125% 05/15/08 3,060 2,172,600
Collins & Aikman Floorcove, Sr. Sub. Notes ............... B3 10.00% 01/15/07 500 492,500
Foamex, L.P., Sr. Sub. Notes ............................. B3 9.875% 06/15/07 2,950 2,448,500
Simmons Co., Sr. Sub. Notes .............................. B3 10.25% 03/15/09 4,000 3,790,000
Steel Heddle Manufacturing, Sr. Sub. Notes ............... B3 10.625% 06/01/08 2,000 800,000
Worldtex, Inc., Gtd. Notes ............................... B1 9.625% 12/15/07 2,000 1,620,000
--------------
12,083,600
--------------
TRANSPORTATION -- 1.0%
Continental Airlines, Inc., Sr. Notes .................... Ba2 8.00% 12/15/05 3,250 2,972,645
Holt Group, Sr. Notes .................................... Caa1 9.75% 01/15/06 800 500,000
Kitty Hawk, Inc., Sr. Notes .............................. B1 9.95% 11/15/04 2,000 1,960,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B39
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS (CONTINUED) (UNAUDITED) RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
Stena Line AB, Sr. Notes ................................. B1 10.625% 06/01/08 $ 365 $ 219,000
Us Airways, Inc., Sr. Notes .............................. B3 9.625% 02/01/01 2,000 1,990,000
--------------
7,641,645
--------------
UTILITIES -- 0.6%
AES Corp., Sr. Notes ..................................... Ba1 9.50% 06/01/09 5,000 5,100,000
--------------
TOTAL CORPORATE BONDS
(cost $742,829,501)................................................................................. 665,148,944
--------------
CONVERTIBLE BONDS -- 0.5%
AUTOMOTIVE PARTS -- 0.2%
Exide Corp., Sr. Sub. Notes .............................. B2 2.90% 12/15/05 3,083 1,618,575
--------------
OIL & GAS SERVICES -- 0.3%
Key Energy Group, Inc., Sub. Notes ....................... NR 5.00% 09/15/04 3,500 2,467,500
--------------
TOTAL CONVERTIBLE BONDS
(cost $4,309,527)................................................................................... 4,086,075
--------------
FOREIGN GOVERNMENT BONDS -- 0.2%
Republic of Brazil, Bonds
(cost $1,983,334) ...................................... B2 11.625% 04/15/04 2,000 (e) 1,985,000
--------------
</TABLE>
<TABLE>
<CAPTION>
COMMON STOCKS -- 0.6% SHARES
-------------
<S> <C> <C>
Classic Communications, Inc., Sr. Disc. Notes(a).......... 6,000 100,020
Dr. Pepper Bottling Holdings, Inc., (Class B)(a)(b)
(cost $5,226; purchased 10/21/88)....................... 5,807 145,175
Hedstrom Holding Co.(a)................................... 24,261 243
Intermedia Communications, PIK(a)......................... 18,486 717,489
Premier Cruises, Ltd.(a)(b) (cost $0; purchased
9/15/99)................................................ 74,058 249,946
Samuels Jewelers, Inc.(a)................................. 37,500 225,000
Star Gas Partners, L.P. .................................. 2,561 33,933
Viatel, Inc.(a)........................................... 10,575 567,084
Waste Systems International(a)(b) (cost $1,970,169;
purchased 02/01/99)..................................... 503,351 2,390,917
--------------
TOTAL COMMON STOCKS
(cost $3,156,548)........................................................ 4,429,807
--------------
PREFERRED STOCKS -- 7.6%
21st Century Telecommunications Group, Inc., PIK ......... 506 430,166
Adelphia Communications, Inc., PIK ....................... 65,250 6,854,899
Ameriking, Inc., Sr. Notes PIK ........................... 25,802 464,436
California Federal Bancorp, Inc. ......................... 100,000 2,256,250
Century Maintenance Supplies PIK ......................... 48,369 4,256,504
Chesapeake Energy Corp.(a)................................ 20,000 525,000
Clark USA, Inc., PIK ..................................... 592 177,660
Cluett American Corp. PIK ................................ 42,292 1,987,712
Contour Energy Co.(a)..................................... 38,400 72,000
CSC Holdings, Inc., PIK .................................. 36,476 3,975,885
Dobson Communications PIK ................................ 4,528 4,935,052
Eagle-Picher Holdings, Inc.(a)............................ 170 790,500
Fitzgerald Gaming, Inc.(a)................................ 50,000 87,500
Geneva Steel, Inc.(a)..................................... 22,000 5,500
Global Crossing Holdings, Ltd. PIK ....................... 16,250 1,625,000
GPA Group PLC(a).......................................... 1,550,000 744,000
Harborside Healthcare Corp. PIK .......................... 1,179 353,700
Interact Systems, Inc. ................................... 4,400 1,123,571
ICG Communications, Inc., PIK ............................ 1,461 1,358,871
Intermedia Communications, Inc., PIK ..................... 3,595 3,523,475
Intermedia Communications, Inc., PIK ..................... 90,000 2,103,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B40
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
PREFERRED STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
Intermedia Communications, Inc., Ser. D PIK .............. 90,000 $ 3,791,250
IXC Communications, Inc. PIK ............................. 9 10,153
Nextel Communications, Inc. PIK .......................... 1,027 1,027,000
Packaging Corp. of America PIK ........................... 42,324 4,634,451
Paxson Communications, Inc. PIK .......................... 6,221 6,345,843
Primedia, Inc., Gtd., Notes .............................. 34,668 3,345,462
R&B Falcon Corp. PIK ..................................... 3,088 3,258,084
Rural Cellular Corp., PIK ................................ 12 12,240
Supermarkets General Holdings Corp., PIK(a)............... 25,000 106,250
Viasystems, Inc., PIK(a).................................. 47,804 286,822
--------------
TOTAL PREFERRED STOCKS
(cost $69,769,723)....................................................... 60,468,986
--------------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION
WARRANTS (A) -- 0.8% DATE UNITS
----------- ---------
<S> <C> <C> <C>
21st Century Telecom Group, Inc. ......................... 02/15/10 400 8,000
Allegiance Telecommunications, Inc. ...................... 02/03/08 3,800 190,000
American Banknote Corp. .................................. 12/01/02 2,500 25
American Mobile Satellite Corp. .......................... 04/01/08 2,600 104,000
Ampex Corp. .............................................. 03/15/03 170,000 542,300
Anker Coal Group, Inc. ................................... N/A 56 84
Bell Technology Group, Ltd. .............................. 01/23/01 1,250 31,250
Bestel SA ................................................ 01/01/04 2,500 12,500
Birch Telecomm, Inc. ..................................... 06/15/00 2,500 13,750
Cellnet Data Systems, Inc. ............................... 01/01/49 7,010 0
Clearnet Communications, Inc. ............................ 09/15/05 26,202 157,212
DTI Holdings, Inc. ....................................... 01/01/04 5,000 50
Electronic Retailing Systems ............................. 01/01/49 2,000 2,000
First World Communications ............................... 01/01/04 1,750 210,000
Globalstar Capital Co. ................................... 02/15/04 1,200 150,000
HF / Icon Health ......................................... 07/15/02 18,093 45,232
Hyperion Telecommunications Corp. ........................ 04/15/01 4,250 743,750
ICG Communications, Inc. ................................. 09/15/05 20,790 207,900
Interact Systems, Inc. ................................... 08/01/03 4,400 44
Interact Systems, Inc. ................................... 12/15/09 4,400 108,036
Intermedia Communications of Florida, Inc. ............... 06/01/00 3,000 336,000
Intersil WT, Notes ....................................... 08/15/09 835 125,250
Long Distance Int'l. Inc., ............................... 05/01/05 2,000 0
McCaw Int'l. Ltd. ........................................ 01/01/49 1,650 6,600
MGC Communications, Inc. ................................. 01/01/49 1,950 19,598
Pagemart, Inc. ........................................... 11/01/03 9,200 23,000
Powertel, Inc. ........................................... 02/01/06 6,720 40,320
Premium Standard Farms L.P.(b)(c) (cost $374,377;
purchased 9/17/96)...................................... N/A 22,025 242,275
Price Communications Cellular Holdings ................... 08/01/07 6,880 1,148,960
Primus Telecommunications Group .......................... 08/01/07 1,500 75,000
R&B Falcon ............................................... 05/01/09 2,875 718,750
Splitrock Service, Inc. .................................. 07/15/08 1,750 164,500
Star Choice Communications, Inc. ......................... 12/15/05 69,480 270,972
Sterling Chemical Holdings, Inc. ......................... 08/15/08 560 8,960
TVN Entertainment Corp. .................................. 08/01/08 3,750 0
Unisite, Inc. ............................................ 12/15/04 1,943 19
USN Communications, Inc. ................................. 01/01/49 10,590 106
Versatel Telecommunications .............................. 05/15/08 2,000 800,000
WamNet, Inc. ............................................. 08/01/08 3,000 68,250
Waste Systems International .............................. 01/15/06 60,000 45,000
--------------
TOTAL WARRANTS
(cost $2,575,635)................................................................ 6,619,693
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $824,624,268).............................................................. 742,738,505
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B41
<PAGE>
HIGH YIELD BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS -- 6.9% PRINCIPAL
MOODY'S INTEREST MATURITY AMOUNT VALUE
CORPORATE BONDS -- 0.5% RATING RATE DATE (000) (NOTE 2)
----------- ------ ---------- --------- --------------
<S> <C> <C> <C> <C> <C>
LODGING -- 0.3%
Santa Fe Hotel, Inc., First Mtge. Notes .................. Caa2 11.00% 12/15/00 $ 2,750 $ 2,667,500
--------------
TRANSPORTATION -- 0.2%
Aircraft Funding, Sr. Sub. Notes, PIK .................... NR 12.00% 07/15/00 1,074 901,764
Trism, Inc., Sr. Sub. Notes (d)........................... B2 10.75% 12/15/00 3,750 900,000
--------------
1,801,764
--------------
TOTAL CORPORATE BONDS
(cost $7,393,214)................................................................................... 4,469,264
--------------
COMMERCIAL PAPER -- 1.1%
Keyspan Corp. ............................................ 6.50% 01/12/00 3,123(f) 3,117,925
Market Street Fund Corp. ................................. 5.00% 01/06/00 5,000(f) 4,997,917
Pfizer, Inc. ............................................. 5.75% 02/02/00 548(f) 545,374
--------------
TOTAL COMMERCIAL PAPER
(cost $8,671,000)................................................................................... 8,661,216
--------------
TIME DEPOSIT -- 0.5%
Banque Nationale De Paris ................................ 2.00% 01/03/00 629(f) 629,000
Deutsche Bank ............................................ 5.00% 01/03/00 3,000(f) 3,000,000
--------------
TOTAL TIME DEPOSIT
(cost $3,629,000)................................................................................... 3,629,000
--------------
REPURCHASE AGREEMENT -- 4.8%
Joint Repurchase Agreement Account
(cost $38,984,000; Note 5) ............................. 2.88% 01/03/00 38,984 38,984,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $58,677,214)..................................................................... 55,743,480
--------------
TOTAL INVESTMENTS, BEFORE OUTSTANDING OPTIONS WRITTEN -- 99.6%
(cost $883,301,482; Note 6)............................................................ 798,481,985
</TABLE>
<TABLE>
<CAPTION>
OUTSTANDING CALL OPTIONS WRITTEN(A) CONTRACTS
-------------
<S> <C> <C>
Jordan Telecommunications Products, Inc.,
expiring 3/20/00 @$111.63 (premium received $68,000) ... 34 (3)
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4%.............................. 3,718,565
--------------
TOTAL NET ASSETS -- 100.0%................................................. $ 802,200,547
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
LLC Limited Liability Company
L.P. Limited Partnership
NR Not Rated by Moody's or Standard & Poors
PIK Payment in Kind Securities
PLC Public Limited Company
</TABLE>
<TABLE>
<S> <C>
(a) Non-income producing security.
(b) Indicates a restricted security; the aggregate cost of the
restricted securities is $34,935,753. The aggregate value,
$21,568,312 is approximately 2.7% of net assets.
(c) Indicates a fair valued security. The aggregate value,
$242,275 is approximately .03% of net assets.
(d) Represents issuer in default on interest payments,
non-income producing security.
(e) Portion of securities on loan with an aggregate market value
of $12,073,216, cash collateral of $12,233,400 was received
with which the portfolio purchased securities.
(f) Represents security purchased with cash collateral received
for securities on loan.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B42
<PAGE>
STOCK INDEX PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 98.6%
VALUE
COMMON STOCKS SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
AEROSPACE -- 1.3%
Boeing Co. ..................................... 360,036 $ 14,963,996
General Dynamics Corp. ......................... 74,700 3,940,425
Goodrich (B.F.) Co. ............................ 38,600 1,061,500
Honeywell International, Inc. .................. 295,250 17,032,234
Lockheed Martin Corp. .......................... 148,298 3,244,019
Northrop Grumman Corp. ......................... 24,200 1,308,312
Parker-Hannifin Corp. .......................... 41,225 2,115,358
Raytheon Co. (Class "B" Stock) ................. 123,018 3,267,666
United Technologies Corp. ...................... 177,300 11,524,500
--------------
58,458,010
--------------
AIRLINES -- 0.2%
AMR Corp. ...................................... 64,800 4,341,600
Delta Air Lines, Inc. .......................... 53,200 2,650,025
Southwest Airlines Co. ......................... 181,725 2,941,673
US Airways Group, Inc.(a)....................... 34,900 1,118,981
--------------
11,052,279
--------------
APPAREL -- 0.1%
Nike, Inc. (Class "B" Stock) ................... 104,300 5,169,369
Reebok International Ltd. ...................... 19,000 155,562
--------------
5,324,931
--------------
AUTOS - CARS & TRUCKS -- 1.1%
Cummins Engine Co., Inc. ....................... 14,400 695,700
Dana Corp. ..................................... 63,594 1,903,845
Ford Motor Co. ................................. 448,000 23,940,000
General Motors Corp. ........................... 242,100 17,597,644
Genuine Parts Co. .............................. 65,925 1,635,764
Johnson Controls, Inc. ......................... 32,000 1,820,000
Navistar International Corp.(a)................. 23,900 1,132,262
PACCAR, Inc. ................................... 29,160 1,292,152
TRW, Inc. ...................................... 46,300 2,404,706
--------------
52,422,073
--------------
BANKS AND SAVINGS & LOANS -- 4.8%
AmSouth Bancorporation ......................... 134,900 2,605,256
Banc One Corp. ................................. 437,445 14,025,580
Bank of New York Co., Inc. ..................... 282,300 11,292,000
BankAmerica Corp. .............................. 646,444 32,443,408
BB&T Corp. ..................................... 114,300 3,128,962
Chase Manhattan Corp. .......................... 314,494 24,432,253
Comerica, Inc. ................................. 58,450 2,728,884
First Union Corp. .............................. 362,978 11,910,216
Firstar Corp. .................................. 377,160 7,967,505
Fleet Boston Financial Corp. ................... 339,488 11,818,426
Golden West Financial Corp. .................... 66,900 2,241,150
Huntington Bancshares, Inc. .................... 85,250 2,035,344
KeyCorp ........................................ 169,700 3,754,612
Mellon Financial Corp. ......................... 193,800 6,601,312
Morgan (J.P.) & Co., Inc. ...................... 65,650 8,312,931
National City Corp. ............................ 242,400 5,741,850
Northern Trust Corp. ........................... 82,000 4,346,000
Old Kent Financial Corp. ....................... 25,000 884,375
PNC Bank Corp. ................................. 113,300 5,041,850
Providian Financial Corp. ...................... 52,550 4,785,334
Regions Financial Corp. ........................ 83,100 2,087,887
Republic New York Corp. ........................ 39,100 2,815,200
SouthTrust Corp. ............................... 59,400 2,246,062
Summit Bancorp ................................. 63,900 1,956,937
Suntrust Banks, Inc. ........................... 120,800 8,312,550
Synovus Financial Corp. ........................ 97,500 1,937,812
U.S. Bancorp ................................... 268,926 6,403,800
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
BANKS AND SAVINGS & LOANS (CONT'D.)
<S> <C> <C>
Union Planters Corp. ........................... 53,200 2,098,075
Wachovia Corp. ................................. 74,200 $ 5,045,600
Wells Fargo & Co. .............................. 613,760 24,818,920
--------------
223,820,091
--------------
BUSINESS SERVICES -- 0.2%
Equifax, Inc. .................................. 52,300 1,232,319
Omnicom Group, Inc. ............................ 67,400 6,740,000
--------------
7,972,319
--------------
CHEMICALS -- 1.4%
Air Products & Chemicals, Inc. ................. 85,300 2,862,881
Dow Chemical Co. ............................... 82,300 10,997,337
Du Pont (E.I.) de Nemours & Co. ................ 396,091 26,092,495
Eastman Chemical Co. ........................... 27,600 1,316,175
Engelhard Corp. ................................ 49,875 941,391
FMC Corp.(a).................................... 12,300 704,944
Grace (W.R.) & Co(a)............................ 24,400 338,550
Great Lakes Chemical Corp. ..................... 20,600 786,662
Hercules, Inc. ................................. 37,400 1,042,525
Monsanto Co. ................................... 235,400 8,386,125
Praxair, Inc. .................................. 59,100 2,973,469
Rohm & Haas Co. ................................ 84,100 3,421,819
Sigma-Aldrich Corp. ............................ 38,000 1,142,375
Union Carbide Corp. ............................ 50,600 3,377,550
--------------
64,384,298
--------------
COMMERCIAL SERVICES -- 0.2%
Cendant Corp.(a)................................ 287,618 7,639,853
Deluxe Corp. ................................... 29,000 795,687
Quintiles Transnational Corp.(a)................ 25,000 467,187
--------------
8,902,727
--------------
COMPUTERS -- 5.4%
Apple Computer, Inc.(a)......................... 60,600 6,230,437
Compaq Computer Corp. .......................... 629,069 17,024,180
Dell Computer Corp.(a).......................... 947,200 48,307,200
Gateway, Inc.(a)................................ 114,800 8,272,775
Hewlett-Packard Co. ............................ 378,000 43,068,375
International Business Machines Corp. .......... 676,100 73,018,800
Networking Appliance, Inc.(a)................... 53,800 4,468,762
Seagate Technology, Inc.(a)..................... 88,100 4,102,156
Sun Microsystems, Inc.(a)....................... 575,400 44,557,537
--------------
249,050,222
--------------
COMPUTER SERVICES -- 14.2%
3Com Corp. ..................................... 137,900 6,481,300
Adaptec, Inc.(a)................................ 33,000 1,645,875
Adobe Systems, Inc. ............................ 47,200 3,174,200
America Online, Inc.(a)......................... 826,600 62,356,637
Autodesk, Inc. ................................. 19,800 668,250
Automatic Data Processing, Inc. ................ 232,900 12,547,487
BMC Software, Inc.(a)........................... 90,300 7,218,356
Cabletron Systems, Inc.(a)...................... 63,500 1,651,000
Ceridian Corp.(a)............................... 53,200 1,147,125
Cisco Systems, Inc.(a).......................... 1,212,800 129,921,200
Citrix Systems, Inc. ........................... 29,000 3,567,000
Computer Associates International, Inc. ........ 201,543 14,095,414
Computer Sciences Corp.(a)...................... 59,700 5,649,112
Compuware Corp.(a).............................. 133,600 4,976,600
Comverse Technology, Inc.(a).................... 24,800 3,589,800
Electronic Data Systems Corp. .................. 182,400 12,209,400
EMC Corp.(a).................................... 383,787 41,928,730
First Data Corp. ............................... 160,900 7,934,381
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B43
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
COMPUTER SERVICES (CONT'D.)
<S> <C> <C>
Microsoft Corp. ................................ 1,917,500 $ 223,868,125
Novell, Inc.(a)................................. 126,100 5,036,119
Oracle Corp.(a)................................. 535,830 60,046,449
Parametric Technology Corp.(a).................. 97,000 2,625,062
Peoplesoft, Inc.(a)............................. 86,000 1,838,250
Silicon Graphics, Inc.(a)....................... 67,800 665,287
Unisys Corp.(a)................................. 111,000 3,545,062
Yahoo!, Inc.(a)................................. 96,200 41,624,537
--------------
660,010,758
--------------
CONSTRUCTION -- 0.1%
Centex Corp. ................................... 21,600 533,250
Fluor Corp. .................................... 28,300 1,298,263
Foster Wheeler Corp. ........................... 18,300 162,413
Pulte Corp. .................................... 14,500 326,250
Vulcan Materials Co. ........................... 40,800 1,629,450
--------------
3,949,626
--------------
CONTAINERS -- 0.1%
Ball Corp. ..................................... 10,900 429,187
Bemis Co., Inc. ................................ 18,100 631,237
Crown Cork & Seal Co., Inc. .................... 44,200 988,975
Owens-Illinois, Inc.(a)......................... 59,700 1,496,231
Pactiv Corp.(a)................................. 58,900 625,812
Sealed Air Corp.(a)............................. 32,910 1,705,149
--------------
5,876,591
--------------
COSMETICS & SOAPS -- 1.9%
Alberto Culver Co. (Class "B" Stock) ........... 19,100 493,019
Avon Products, Inc. ............................ 96,000 3,168,000
Colgate-Palmolive Co. .......................... 218,800 14,222,000
Gillette Co. ................................... 412,600 16,993,962
International Flavors & Fragrances, Inc. ....... 39,400 1,487,350
Procter & Gamble Co. ........................... 494,904 54,222,919
--------------
90,587,250
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 0.6%
Eastman Kodak Co. .............................. 120,900 8,009,625
Philip Morris Co., Inc. ........................ 895,600 20,766,725
--------------
28,776,350
--------------
DIVERSIFIED OFFICE EQUIPMENT -- 0.4%
Avery Dennison Corp. ........................... 43,900 3,199,212
Lexmark International Group, Inc.(a)............ 48,414 4,381,467
Pitney Bowes, Inc. ............................. 100,900 4,874,731
Xerox Corp. .................................... 245,792 5,576,406
--------------
18,031,816
--------------
DIVERSIFIED OPERATIONS -- 4.1%
Fortune Brands, Inc. ........................... 64,300 2,125,919
General Electric Capital Corp. ................. 1,222,200 189,135,450
--------------
191,261,369
--------------
DRUGS AND MEDICAL SUPPLIES -- 8.6%
Abbott Laboratories ............................ 567,500 20,607,344
Allergan, Inc. ................................. 50,600 2,517,350
ALZA Corp.(a)................................... 35,700 1,236,112
American Home Products Corp. ................... 488,600 19,269,162
Amgen, Inc.(a).................................. 381,000 22,883,812
Bard (C.R.), Inc. .............................. 19,000 1,007,000
Bausch & Lomb, Inc. ............................ 20,100 1,375,594
Baxter International, Inc. ..................... 109,500 6,877,969
Becton, Dickinson & Co. ........................ 93,100 2,490,425
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
DRUGS AND MEDICAL SUPPLIES (CONT'D.)
<S> <C> <C>
Biomet, Inc. ................................... 42,100 $ 1,684,000
Boston Scientific Corp.(a)...................... 151,800 3,320,625
Bristol-Myers Squibb Co. ....................... 742,560 47,663,070
Cardinal Health, Inc. .......................... 100,450 4,809,044
Guidant Corp.(a)................................ 113,100 5,315,700
Johnson & Johnson .............................. 511,400 47,624,125
Lilly (Eli) & Co. .............................. 408,500 27,165,250
Mallinckrodt, Inc. ............................. 25,800 820,762
Medtronic, Inc. ................................ 436,000 15,886,750
Merck & Co., Inc. .............................. 876,900 58,807,106
Pfizer, Inc. ................................... 1,444,000 46,839,750
Pharmacia & Upjohn, Inc. ....................... 188,825 8,497,125
Schering-Plough Corp. .......................... 546,800 23,068,125
St. Jude Medical, Inc. ......................... 30,300 929,831
Warner-Lambert Co. ............................. 318,600 26,105,287
Watson Pharmaceuticals, Inc.(a)................. 35,000 1,253,437
--------------
398,054,755
--------------
ELECTRONICS -- 4.5%
Advanced Micro Devices, Inc.(a)................. 54,100 1,565,519
Analog Devices, Inc.(a)......................... 62,800 5,840,400
Applied Materials, Inc.(a)...................... 139,800 17,710,912
Emerson Electric Co.(a)......................... 161,400 9,260,325
Grainger (W.W.), Inc. .......................... 33,400 1,596,937
Intel Corp. .................................... 1,238,700 101,960,494
KLA-Tencor Corp.(a)............................. 33,700 3,753,337
LSI Logic Corp.(a).............................. 55,400 3,739,500
Micron Technology, Inc.(a)...................... 93,600 7,277,400
Molex, Inc. .................................... 48,000 2,721,000
National Semiconductor Corp.(a)................. 62,000 2,654,375
Perkin Elmer, Inc. ............................. 18,000 750,375
Rockwell International Corp. ................... 71,900 3,442,212
Solectron Corp.(a).............................. 101,900 9,693,237
Tektronix, Inc. ................................ 17,500 680,312
Teradyne, Inc., (United States)(a).............. 61,000 4,026,000
Texas Instruments, Inc. ........................ 294,100 28,490,937
Thomas & Betts Corp. ........................... 19,800 631,125
Xilinx Inc.(a).................................. 110,600 5,028,844
--------------
210,823,241
--------------
FINANCIAL SERVICES -- 5.5%
American Express Co. ........................... 167,300 27,813,625
Associates First Capital Corp. ................. 274,266 7,525,173
Bear Stearns Companies, Inc. ................... 44,210 1,889,978
Block (H.R.), Inc. ............................. 36,700 1,605,625
Capital One Financial Corp. .................... 74,400 3,585,150
Citigroup, Inc. ................................ 1,262,113 70,126,154
Countrywide Credit Industries, Inc. ............ 40,800 1,030,200
Dun & Bradstreet Corp. ......................... 62,360 1,839,620
Federal Home Loan Mortgage Corp. ............... 260,400 12,255,075
Federal National Mortgage Association .......... 381,900 23,844,881
Fifth Third Bancorp ............................ 106,600 7,821,775
Franklin Resource, Inc. ........................ 92,400 2,962,575
Household International, Inc. .................. 180,458 6,722,061
Lehman Brothers Holdings, Inc. ................. 43,700 3,700,844
MBNA Corp. ..................................... 296,768 8,086,928
Merrill Lynch & Co., Inc. ...................... 139,300 11,631,550
Morgan Stanley Dean Witter & Co. ............... 210,605 30,063,864
PaineWebber Group, Inc. ........................ 54,000 2,095,875
Paychex, Inc. .................................. 91,500 3,660,000
Price (T. Rowe) Associates, Inc. ............... 36,000 1,329,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B44
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
FINANCIAL SERVICES (CONT'D.)
<S> <C> <C>
Schwab (Charles) Corp. ......................... 307,900 $ 11,815,663
SLM Holding Corp. .............................. 59,600 2,518,100
State Street Corp. ............................. 58,800 4,296,075
Washington Mutual, Inc. ........................ 220,348 5,729,048
--------------
253,949,589
--------------
FOOD & BEVERAGE -- 3.6%
Anheuser-Busch Companies, Inc. ................. 177,300 12,566,138
Archer-Daniels-Midland Co. ..................... 225,931 2,753,534
Bestfoods ...................................... 104,800 5,508,550
Brown-Forman Corp. (Class "B" Stock) ........... 27,600 1,580,100
Campbell Soup Co. .............................. 164,100 6,348,619
Coca-Cola Co. .................................. 922,200 53,718,150
Coca Cola Enterprises, Inc. .................... 159,000 3,199,875
ConAgra, Inc. .................................. 179,100 4,040,944
Coors (Adolph) Co. (Class "B" Stock) ........... 12,800 672,000
General Mills, Inc. ............................ 113,800 4,068,350
Heinz (H.J.) & Co. ............................. 132,350 5,269,184
Hershey Foods Corp. ............................ 54,100 2,569,750
Kellogg Co. .................................... 148,900 4,587,981
Nabisco Group Holdings Corp. ................... 119,900 1,273,938
PepsiCo, Inc. .................................. 549,000 19,352,250
Quaker Oats Co. ................................ 51,100 3,353,438
Ralston-Ralston Purina Group ................... 123,620 3,445,908
Sara Lee Corp. ................................. 337,400 7,443,888
Seagram Co., Ltd. .............................. 158,000 7,100,125
Sysco Corp. .................................... 121,500 4,806,844
Unilever N.V., ADR, (United Kingdom) ........... 213,032 11,596,930
Wrigley (William) Jr. Co. ...................... 42,600 3,533,138
--------------
168,789,634
--------------
FOREST PRODUCTS -- 0.7%
Boise Cascade Corp. ............................ 19,886 805,383
Champion International Corp. ................... 35,000 2,167,812
Fort James Corp. ............................... 81,000 2,217,375
Georgia-Pacific Corp. .......................... 66,800 3,390,100
International Paper Co. ........................ 155,212 8,759,777
Louisiana-Pacific Corp. ........................ 38,900 554,325
Mead Corp. ..................................... 37,400 1,624,562
Potlatch Corp. ................................. 10,000 446,250
Temple-Inland, Inc. ............................ 20,000 1,318,750
Westvaco Corp. ................................. 35,700 1,164,712
Weyerhaeuser Co. ............................... 87,100 6,254,869
Willamette Industries, Inc. .................... 44,200 2,052,537
--------------
30,756,452
--------------
GAS PIPELINES -- 0.2%
Columbia Energy Group .......................... 30,250 1,913,312
Consolidated Natural Gas Co. ................... 37,000 2,402,687
Peoples Energy Corp. ........................... 11,400 381,900
Sempra Energy .................................. 89,104 1,548,182
Williams Companies, Inc. ....................... 162,300 4,960,294
--------------
11,206,375
--------------
HOSPITALS/ HOSPITAL MANAGEMENT -- 0.4%
Columbia/HCA Healthcare Corp. .................. 229,298 6,721,298
HEALTHSOUTH Corp.(a)............................ 154,500 830,437
Humana, Inc.(a)................................. 58,100 475,694
IMS Health, Inc. ............................... 119,120 3,238,575
Manor Care, Inc.(a)............................. 40,850 653,600
McKesson HBOC Inc. ............................. 101,107 2,281,227
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
HOSPITALS/ HOSPITAL MANAGEMENT (CONT'D.)
<S> <C> <C>
Service Corp. International .................... 101,500 $ 704,156
Shared Medical Systems Corp. ................... 9,000 458,437
Tenet Healthcare Corp.(a)....................... 111,100 2,610,850
Wellpoint Health Networks Inc.(a)............... 25,100 1,655,031
--------------
19,629,305
--------------
HOUSEHOLD PRODUCTS & PERSONAL CARE -- 0.4%
Clorox Co. ..................................... 89,600 4,513,600
Kimberly-Clark Corp. ........................... 200,788 13,101,417
Leggett & Platt, Inc. .......................... 64,000 1,372,000
--------------
18,987,017
--------------
HOUSING RELATED -- 0.5%
Armstrong World Industries, Inc. ............... 14,700 490,613
Fleetwood Enterprises, Inc.(a).................. 12,600 259,875
Huttig Building Products, Inc.(a)............... 5,694 28,114
Kaufman & Broad Home Corp. ..................... 16,166 391,015
Lowe's Companies, Inc. ......................... 143,000 8,544,250
Masco Corp. .................................... 161,200 4,090,450
Maytag Corp. ................................... 32,700 1,569,600
Newell Rubbermaid Inc. ......................... 107,049 3,104,421
Owens Corning .................................. 21,100 407,494
Stanley Works .................................. 32,300 973,038
Tupperware Corp. ............................... 22,300 377,706
Whirlpool Corp. ................................ 27,300 1,776,206
--------------
22,012,782
--------------
INSTRUMENT-CONTROLS -- 0.1%
PE Corp-PE Biosystems Group. ................... 38,200 4,595,937
--------------
INSURANCE -- 2.9%
Aetna, Inc. .................................... 53,312 2,975,476
Allstate Corp. ................................. 298,688 7,168,512
American General Corp. ......................... 92,286 7,002,200
American International Group, Inc. ............. 575,743 62,252,212
Aon Corp. ...................................... 94,125 3,765,000
Chubb Corp. .................................... 64,600 3,637,787
CIGNA Corp. .................................... 76,400 6,154,975
Cincinnati Financial Corp. ..................... 62,500 1,949,219
Conseco, Inc. .................................. 118,259 2,113,880
Hartford Financial Services Group, Inc. ........ 86,000 4,074,250
Jefferson-Pilot Corp. .......................... 39,912 2,723,994
Lincoln National Corp. ......................... 75,600 3,024,000
Loews Corp. .................................... 43,000 2,609,562
Marsh & McLennan Companies, Inc. ............... 98,000 9,377,375
MBIA, Inc. ..................................... 36,300 1,917,094
MGIC Investment Corp. .......................... 40,200 2,419,538
Progressive Corp. .............................. 27,000 1,974,375
SAFECO Corp. ................................... 48,300 1,201,463
St. Paul Companies, Inc. ....................... 86,410 2,910,937
Torchmark Corp. ................................ 51,000 1,482,188
United Healthcare Corp. ........................ 67,500 3,585,938
UnumProvident Corp. ............................ 86,656 2,778,408
--------------
137,098,383
--------------
LEISURE -- 0.9%
Brunswick Corp. ................................ 33,400 743,150
Carnival Corp. (Class "A" Stock) ............... 229,700 10,982,531
Disney (Walt) Co. .............................. 765,601 22,393,829
Harrah's Entertainment, Inc.(a)................. 46,350 1,225,378
Hilton Hotels Corp. ............................ 95,800 922,075
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B45
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
LEISURE (CONT'D.)
<S> <C> <C>
Marriott International, Inc. (Class "A"
Stock) ....................................... 93,200 $ 2,941,625
Mirage Resorts, Inc.(a)......................... 70,900 1,085,656
--------------
40,294,244
--------------
MACHINERY -- 0.6%
Briggs & Stratton Corp. ........................ 7,800 418,275
Caterpillar, Inc. .............................. 134,300 6,320,494
Cooper Industries, Inc. ........................ 42,600 1,722,638
Deere & Co. .................................... 85,200 3,695,550
Delphi Automotive Systems Corp. ................ 206,044 3,245,193
Dover Corp. .................................... 80,100 3,634,538
Eaton Corp. .................................... 27,600 2,004,450
Ingersoll-Rand Co. ............................. 62,750 3,455,172
Milacron, Inc. ................................. 12,600 193,725
Snap-On, Inc. .................................. 22,800 605,625
Timken Co. ..................................... 21,500 439,406
--------------
25,735,066
--------------
MANUFACTURING -- 0.7%
Illinois Tool Works, Inc. ...................... 106,900 7,222,431
Tyco International Ltd. ........................ 623,114 24,223,557
--------------
31,445,988
--------------
MEDIA -- 3.2%
CBS Corp.(a).................................... 285,236 18,237,277
Clear Channel Communications, Inc.(a)........... 124,200 11,084,850
Comcast Corp. (Special Class "A" Stock) ........ 277,000 13,919,250
Donnelley (R.R.) & Sons Co. .................... 49,500 1,228,219
Dow Jones & Co., Inc. .......................... 36,000 2,448,000
Gannett Co., Inc. .............................. 103,500 8,441,719
Interpublic Group of Companies, Inc. ........... 107,900 6,224,481
Knight-Ridder, Inc. ............................ 31,100 1,850,450
McGraw-Hill, Inc. .............................. 72,900 4,492,463
Mediaone Group, Inc.(a)......................... 226,300 17,382,669
Meredith Corp. ................................. 17,800 742,038
New York Times Co. (Class "A" Stock) ........... 65,200 3,202,950
Time Warner, Inc. .............................. 482,680 34,964,133
Times Mirror Co. (Class "A" Stock) ............. 30,600 2,050,200
Tribune Co. .................................... 89,400 4,922,588
Viacom, Inc. (Class "B" Stock)(a)............... 259,634 15,691,630
--------------
146,882,917
--------------
METALS-FERROUS -- 0.1%
Allegheny Technologies, Inc. ................... 34,940 783,966
Bethlehem Steel Corp.(a)........................ 47,300 396,138
Nucor Corp. .................................... 34,100 1,869,106
USX-U.S. Steel Group, Inc. ..................... 31,540 1,040,820
Worthington Industries, Inc. ................... 34,000 563,125
--------------
4,653,155
--------------
METALS-NON FERROUS -- 0.4%
Alcan Aluminum Ltd. ............................ 83,350 3,432,978
Alcoa, Inc. .................................... 138,100 11,462,300
Inco Ltd.(a).................................... 67,200 1,579,200
Reynolds Metals Co. ............................ 25,600 1,961,600
--------------
18,436,078
--------------
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
MINERAL RESOURCES -- 0.1%
Burlington Resources, Inc. ..................... 70,817 $2,341,387
Homestake Mining Co. ........................... 93,700 732,031
Phelps Dodge Corp. ............................. 27,528 1,847,817
--------------
4,921,235
--------------
MISCELLANEOUS - BASIC INDUSTRY -- 0.5%
AES Corp.(a).................................... 75,200 5,621,200
Crane Co. ...................................... 25,625 509,297
Danaher Corp. .................................. 51,400 2,480,050
Ecolab, Inc. ................................... 48,000 1,878,000
ITT Industries, Inc. ........................... 41,900 1,401,031
Millipore Corp. ................................ 16,200 625,725
NACCO Industries, Inc. (Class "A" Stock) ....... 3,300 183,356
Pall Corp. ..................................... 44,000 948,750
PPG Industries, Inc. ........................... 65,800 4,116,613
Textron, Inc. .................................. 59,400 4,555,238
Thermo Electron Corp.(a)........................ 57,000 855,000
--------------
23,174,260
--------------
MISCELLANEOUS - CONSUMER GROWTH/STABLE -- 0.6%
American Greetings Corp. (Class "A" Stock) ..... 24,800 585,900
Black & Decker Corp. ........................... 32,900 1,719,025
Corning, Inc. .................................. 88,700 11,436,756
Jostens, Inc. .................................. 12,400 301,475
Minnesota Mining & Manufacturing Co. ........... 151,100 14,788,913
Polaroid Corp. ................................. 15,400 289,713
--------------
29,121,782
--------------
OIL & GAS -- 4.7%
Amerada Hess Corp. ............................. 35,800 2,031,650
Anadarko Petroleum Corp. ....................... 47,600 1,624,350
Ashland, Inc. .................................. 26,600 876,138
Atlantic Richfield Co. ......................... 119,370 10,325,505
Chevron Corp. .................................. 245,800 21,292,425
Coastal Corp. .................................. 81,500 2,888,156
Eastern Enterprises ............................ 9,500 545,656
Exxon Mobil Corp. .............................. 1,291,435 104,041,232
Kerr-McGee Corp. ............................... 33,926 2,103,412
NICOR, Inc. .................................... 16,200 526,500
Phillips Petroleum Co. ......................... 94,400 4,436,800
Royal Dutch Petroleum Co. ...................... 800,600 48,386,263
Sunoco, Inc. ................................... 33,200 780,200
Texaco, Inc. ................................... 204,982 11,133,085
Union Pacific Resources Group, Inc. ............ 90,056 1,148,214
Unocal Corp. ................................... 90,600 3,040,763
USX-Marathon Group ............................. 116,500 2,876,094
--------------
218,056,443
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 0.1%
Occidental Petroleum Corp. ..................... 130,000 2,811,250
--------------
OIL - EXPLORATION & PRODUCTION -- 0.1%
Conoco, Inc (Class "B") ........................ 233,957 5,819,680
--------------
OIL & GAS SERVICES -- 0.9%
Apache Corp. ................................... 42,100 1,555,069
Baker Hughes, Inc. ............................. 122,130 2,572,363
El Paso Energy Corp. ........................... 80,900 3,139,931
Enron Corp. .................................... 268,800 11,928,000
Halliburton Co. ................................ 164,100 6,605,025
Helmerich & Payne, Inc. ........................ 18,100 394,806
McDermott International, Inc. .................. 20,700 187,594
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B46
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
OIL & GAS SERVICES (CONT'D.)
<S> <C> <C>
ONEOK, Inc. .................................... 13,000 $ 326,625
Rowan Companies, Inc.(a)........................ 28,700 622,431
Schlumberger Ltd. .............................. 207,300 11,660,625
Tosco Corp. .................................... 52,000 1,413,750
Transocean Sedco Forex, Inc. ................... 40,133 1,351,990
--------------
41,758,209
--------------
PRECIOUS METALS -- 0.1%
Barrick Gold Corp. ............................. 145,300 2,569,994
Freeport-McMoRan Copper & Gold, Inc. (Class "B"
Stock)(a)..................................... 66,200 1,398,475
Newmont Mining Corp. ........................... 61,503 1,506,824
Placer Dome, Inc. .............................. 121,000 1,300,750
--------------
6,776,043
--------------
RAILROADS -- 0.4%
Burlington Northern Santa Fe Corp. ............. 171,626 4,161,931
CSX Corp. ...................................... 80,612 2,529,202
Kansas City Southern Industries, Inc. .......... 41,600 3,104,400
Norfolk Southern Corp. ......................... 141,300 2,896,650
Union Pacific Corp. ............................ 92,100 4,017,863
--------------
16,710,046
--------------
RESTAURANTS -- 0.5%
Darden Restaurants, Inc. ....................... 50,300 911,688
McDonald's Corp. ............................... 507,100 20,442,469
Tricon Global Restaurants, Inc.(a).............. 56,650 2,188,106
Wendy's International, Inc. .................... 44,800 924,000
--------------
24,466,263
--------------
RETAIL -- 8.0%
Albertson's, Inc. .............................. 156,644 5,051,769
AutoZone, Inc.(a)............................... 51,900 1,677,019
Bed Bath & Beyond, Inc.(a)...................... 49,000 1,702,750
Bell Atlantic Corp. ............................ 581,390 35,791,822
BellSouth Corp. ................................ 708,100 33,147,931
Best Buy Co., Inc.(a)........................... 75,000 3,764,063
Circuit City Stores, Inc. ...................... 75,200 3,388,700
Consolidated Stores Corp.(a).................... 40,200 653,250
Costco Wholesale Corp.(a)....................... 83,266 7,598,023
CVS Corp. ...................................... 145,800 5,822,888
Dayton-Hudson Corp. ............................ 166,284 12,211,481
Dillard's, Inc. ................................ 37,750 762,078
Dollar General Corporation ..................... 82,843 1,884,678
Federated Department Stores, Inc.(a)............ 76,500 3,868,031
Great Atlantic & Pacific Tea Co., Inc. ......... 12,400 345,650
Harcourt General, Inc. ......................... 27,006 1,086,992
Home Depot, Inc. ............................... 848,619 58,183,440
IKON Office Solutions, Inc. .................... 52,476 357,493
J.C. Penney Co., Inc. .......................... 100,500 2,003,719
Kmart Corp.(a).................................. 181,400 1,825,338
Kohl's Corp.(a)................................. 60,800 4,389,000
Kroger Co.(a)................................... 308,000 5,813,500
Liz Claiborne, Inc. ............................ 23,400 880,425
Longs Drug Stores, Inc. ........................ 13,700 353,631
May Department Stores Co. ...................... 127,200 4,102,200
Nordstrom, Inc. ................................ 52,300 1,369,606
Office Depot, Inc.(a)........................... 139,000 1,520,313
Pep Boys - Manny, Moe & Jack ................... 19,656 179,361
Rite Aid Corp. ................................. 94,600 1,058,338
Safeway, Inc.(a)................................ 188,600 6,707,088
Sears, Roebuck & Co. ........................... 140,200 4,267,338
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
RETAIL (CONT'D.)
<S> <C> <C>
Sherwin-Williams Co. ........................... 64,700 $ 1,358,700
Staples, Inc.(a)................................ 171,200 3,552,400
Supervalu, Inc. ................................ 46,800 936,000
Tandy Corp. .................................... 74,860 3,682,176
The Gap, Inc. .................................. 316,987 14,581,402
The Limited, Inc. .............................. 82,048 3,553,704
TJX Companies, Inc. ............................ 116,400 2,378,925
Toys 'R' Us, Inc.(a)............................ 98,450 1,409,066
Wal-Mart Stores, Inc. .......................... 1,661,200 114,830,450
Walgreen Co. ................................... 373,000 10,910,250
Winn-Dixie Stores, Inc. ........................ 54,900 1,314,169
--------------
370,275,157
--------------
RUBBER -- 0.0%
Cooper Tire & Rubber Co. ....................... 28,800 448,200
Goodyear Tire & Rubber Co. ..................... 58,000 1,634,875
--------------
2,083,075
--------------
TELECOMMUNICATIONS -- 11.5%
ADC Telecommunications, Inc.(a)................. 56,700 4,114,294
AFLAC Inc. ..................................... 102,000 4,813,125
Alltel Corp. ................................... 114,000 9,426,375
Andrew Corp.(a)................................. 29,112 551,309
AT&T Corp. ..................................... 1,192,521 60,520,441
CenturyTel, Inc. ............................... 51,200 2,425,600
General Instrument Corp.(a)..................... 66,200 5,627,000
Global Crossing Ltd.(a)......................... 284,105 14,205,250
GTE Corp. ...................................... 365,020 25,756,724
Lucent Technologies, Inc. ...................... 1,159,805 86,767,912
MCI Worldcom, Inc.(a)........................... 1,049,958 55,713,396
Motorola, Inc. ................................. 226,800 33,396,300
Nextel Communications, Inc. (Class "A"
Stock)(a)..................................... 132,300 13,643,438
Nortel Networks Corp. .......................... 494,940 49,988,940
Qualcomm Inc(a)................................. 242,400 42,723,000
SBC Communications, Inc. ....................... 1,273,877 62,101,504
Scientific-Atlanta, Inc. ....................... 27,200 1,513,000
Sprint Corp. ................................... 327,700 22,058,306
Sprint Corp. (PCS Group)(a)..................... 163,450 16,753,625
Tellabs, Inc.(a)................................ 147,700 9,480,494
US West, Inc. .................................. 186,922 13,458,384
--------------
535,038,417
--------------
TEXTILES -- 0.0%
National Service Industries, Inc. .............. 14,700 433,650
Russell Corp. .................................. 12,700 212,725
Springs Industries, Inc. ....................... 8,700 347,456
VF Corp. ....................................... 42,836 1,285,080
--------------
2,278,911
--------------
TOBACCO -- 0.0%
UST, Inc. ...................................... 66,100 1,664,894
--------------
TOYS -- 0.1%
Hasbro, Inc. ................................... 73,550 1,402,047
Mattel, Inc. ................................... 152,381 2,000,001
--------------
3,402,048
--------------
TRUCKING/SHIPPING -- 0.1%
Federal Express Corp.(a)........................ 106,640 4,365,575
Ryder System, Inc. ............................. 25,800 630,488
--------------
4,996,063
--------------
UTILITIES - ELECTRICAL & GAS -- 0.0%
Florida Progress Corp. ......................... 36,000 1,523,250
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B47
<PAGE>
STOCK INDEX PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
UTILITY - ELECTRIC -- 1.4%
Ameren Corp. ................................... 53,900 $ 1,765,225
American Electric Power Co., Inc. .............. 72,500 2,329,063
Carolina Power & Light Co. ..................... 59,900 1,823,206
Central & South West Corp. ..................... 77,400 1,548,000
CINergy Corp. .................................. 58,739 1,417,078
CMS Energy Corp. ............................... 43,100 1,344,181
Consolidated Edison, Inc. ...................... 87,200 3,008,400
Constellation Energy Group ..................... 53,550 1,552,950
Dominion Resources, Inc. ....................... 71,950 2,824,038
DTE Energy Co. ................................. 53,600 1,681,700
Duke Energy Corp. .............................. 136,531 6,843,616
Edison International ........................... 129,800 3,399,138
Entergy Corp. .................................. 90,300 2,325,225
FirstEnergy Corp.(a)............................ 87,200 1,978,350
FPL Group, Inc. ................................ 68,100 2,915,531
GPU, Inc. ...................................... 46,200 1,383,113
New Century Energies, Inc. ..................... 40,900 1,242,338
Niagara Mohawk Holdings Inc.(a)................. 64,600 900,363
Northern States Power Co. ...................... 53,900 1,051,050
Pacific Gas & Electric, Co. .................... 140,000 2,870,000
PECO Energy Co. ................................ 80,500 2,797,375
Pinnacle West Capital Corp. .................... 29,000 886,313
PP&L Resources, Inc. ........................... 57,000 1,303,875
Public Service Enterprise Group, Inc. .......... 80,400 2,798,925
Reliant Energy, Inc. ........................... 107,410 2,457,004
Southern Co. ................................... 259,400 6,095,900
Texas Utilities Co. ............................ 103,506 3,680,932
Unicom Corp. ................................... 79,100 2,649,850
--------------
66,872,739
--------------
WASTE MANAGEMENT -- 0.1%
Allied Waste Industries, Inc.(a)................ 68,000 599,250
Waste Management, Inc. ......................... 230,230 3,957,078
--------------
4,556,328
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $2,278,861,725).......................................... 4,589,537,721
--------------
<CAPTION>
PRINCIPAL
SHORT-TERM AMOUNT VALUE
INVESTMENTS -- 1.4% (000) (NOTE 2)
------------- --------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.3%
Joint Repurchase Agreement Account,
2.875%, 01/03/00 (Note 5) .................... $ 60,195 $ 60,195,000
--------------
U.S. GOVERNMENT OBLIGATION -- .1%
United States Treasury Bill,
5.196%, 03/16/00(b)........................... 6,500 6,430,134
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $66,624,638)............................................. 66,625,134
--------------
TOTAL INVESTMENTS -- 100.0%
(cost $2,345,486,363; Note 6) 4,656,162,855
VARIATION MARGIN ON OPEN FUTURES
CONTRACTS(c)................................................... 145,000
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.0%)............................................... (1,290,335)
--------------
TOTAL NET ASSETS -- 100.0%....................................... $4,655,017,520
==============
</TABLE>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
(a) Non-income producing security.
(b) Security segregated as collateral for futures contracts.
(c) Open futures contracts as of December 31, 1999 are as follows:
<TABLE>
<CAPTION>
VALUE AT
NUMBER OF EXPIRATION VALUE AT DECEMBER 31,
CONTRACTS TYPE DATE TRADE DATE 1999 APPRECIATION
<C> <S> <C> <C> <C> <C>
171 S&P 500 Index Mar 00 $61,025,287 $63,449,550 $2,424,263
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B48
<PAGE>
EQUITY INCOME PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 98.0%
VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 92.6% ------------ --------------
<S> <C> <C>
AIRLINES -- 3.5%
AMR Corp.(a)..................... 956,200 $ 64,065,400
US Airways Group, Inc. .......... 233,000 7,470,562
--------------
71,535,962
--------------
AUTOS - CARS & TRUCKS -- 3.3%
Delphi Automotive Systems
Corp. ......................... 459,895 7,243,346
Ford Motor Co. .................. 382,900 20,461,219
General Motors Corp. ............ 527,300 38,328,119
--------------
66,032,684
--------------
BANKS AND SAVINGS & LOANS -- 0.5%
Hanvit Bank, GDR, (South
Korea) ........................ 1,521,900 9,702,112
--------------
CHEMICALS -- 6.4%
Dow Chemical Co. ................ 800,000 106,900,000
Lyondell Chemical Co. ........... 518,100 6,605,775
Millennium Chemicals, Inc. ...... 849,698 16,781,535
--------------
130,287,310
--------------
CONTAINERS -- 0.1%
Pactiv Corp.(a).................. 234,500 2,491,562
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 2.0%
Eastman Kodak Co. ............... 224,400 14,866,500
Gibson Greetings, Inc.(a)........ 509,100 4,565,991
Philip Morris Co., Inc. ......... 944,100 21,891,319
--------------
41,323,810
--------------
DIVERSIFIED OPERATIONS -- 0.6%
Tomkins PLC, ADR, (United
Kingdom) ...................... 819,700(b) 12,039,344
--------------
ELECTRONICS -- 0.3%
Esterline Technologies
Corp.(a)....................... 567,900 6,566,344
--------------
FINANCIAL SERVICES -- 12.0%
A.G. Edwards, Inc. .............. 326,000 10,452,375
Bear Stearns Companies, Inc. .... 1,054,134 45,064,228
Lehman Brothers Holdings,
Inc. .......................... 1,611,700 136,490,844
PaineWebber Group, Inc. ......... 1,307,400 50,743,462
--------------
242,750,909
--------------
FOOD & BEVERAGE -- 1.4%
Nabisco Group Holdings Corp. .... 2,603,280 27,659,850
--------------
FOREST PRODUCTS -- 6.0%
Georgia-Pacific Corp. ........... 794,600 40,325,950
Longview Fibre Co. .............. 1,358,900 19,364,325
Louisiana-Pacific Corp. ......... 1,324,700 18,876,975
Potlatch Corp. .................. 211,400 9,433,725
Rayonier, Inc. .................. 408,600 19,740,487
Weyerhaeuser Co. ................ 202,000 14,506,125
--------------
122,247,587
--------------
GAS DISTRIBUTION -- 0.4%
TransCanada Pipelines, Ltd. ..... 980,444(b) 8,578,885
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 4.1%
Columbia/HCA Healthcare Corp. ... 1,239,100 36,321,119
Humana Inc.(a)................... 1,547,700 12,671,794
Lifepoint Hospitals, Inc.(a)..... 56,984 673,124
PhyCor, Inc.(a).................. 2,019,600 3,786,750
Tenet Healthcare Corp.(a)........ 1,221,200 28,698,200
Triad Hospitals, Inc.(a)......... 56,984 861,883
--------------
83,012,870
--------------
HOUSING RELATED -- 5.8%
Hanson, PLC, ADR, (United
Kingdom) ...................... 2,056,950 83,177,916
Kaufman & Broad Home Corp. ...... 708,300 17,132,006
Ryland Group, Inc. .............. 725,000 16,720,313
--------------
117,030,235
--------------
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------ --------------
<S> <C> <C>
INSURANCE -- 2.0%
Marsh & McLennan Companies,
Inc. .......................... 121,700 $ 11,645,169
Ohio Casualty Corp. ............. 782,400(b) 12,567,300
SAFECO Corp. .................... 409,400 10,183,825
Selective Insurance Group,
Inc. .......................... 409,600 7,040,000
--------------
41,436,294
--------------
MACHINERY -- 3.0%
Cascade Corp. ................... 14,700 135,056
Commerical Intertech Corp. ...... 179,900 2,293,725
Flowserve Corp. ................. 1,165,500 19,813,500
Graco Inc. ...................... 200,000 7,175,000
Regal-Beloit Corp. .............. 150,000 3,093,750
Snap-On, Inc. ................... 596,000 15,831,250
United Dominion Industries,
Ltd. .......................... 600,000 11,962,500
--------------
60,304,781
--------------
METALS-FERROUS -- 4.4%
AK Steel Holding Corp. .......... 951,100 17,952,013
USX-U.S. Steel Group ............ 2,168,100 71,547,300
--------------
89,499,313
--------------
METALS-NON FERROUS -- 12.5%
ALCOA, Inc. ..................... 2,034,600 168,871,800
Reynolds Metals Co. ............. 1,094,786 83,887,977
--------------
252,759,777
--------------
OIL & GAS -- 3.6%
Noble Affiliates, Inc. .......... 735,800 15,773,713
Pioneer Natural Resources Co. ... 2,631,817 23,521,864
Total Fina SA, (Class "B" Stock),
ADR, (France) ................. 406,144 28,125,472
USX-Marathon Group .............. 237,500 5,863,281
--------------
73,284,330
--------------
OIL & GAS EXPLORATION/PRODUCTION -- 1.2%
Crestar Energy, Inc., ADR,
(Canada)(a).................... 206,000 2,830,806
Occidental Petroleum Corp. ...... 1,030,000 22,273,750
--------------
25,104,556
--------------
OIL & GAS SERVICES -- 2.0%
McDermott International, Inc. ... 2,994,100 27,134,031
Pennzoil-Quaker State Co. ....... 1,196,208 12,186,369
--------------
39,320,400
--------------
PRECIOUS METALS -- 0.8%
Stillwater Mining Co.(a)......... 501,000 15,969,375
--------------
REAL ESTATE DEVELOPMENT -- 10.9%
Capital Automotive .............. 595,800 7,261,313
Center Trust, Inc. .............. 432,600 4,190,813
Crescent Real Estate Equities
Co. ........................... 2,796,500 51,385,688
Crown American Realty Trust ..... 1,140,100 6,270,550
Equity Office Properties
Trust ......................... 560,678 13,806,696
Equity Residential Properties
Trust ......................... 1,619,900 69,149,481
Gables Residential Trust ........ 430,100 10,322,400
Glimcher Realty Trust ........... 527,900 6,796,713
Manufactured Home Communities,
Inc. .......................... 421,900 10,257,444
Vornado Realty Trust ............ 1,272,400 41,353,000
--------------
220,794,098
--------------
Heilig-Meyers Co. ............... 2,055,200 5,651,800
The Limited, Inc. ............... 830,916 35,989,049
Toys 'R' Us, Inc.(a)............. 358,800 5,135,325
--------------
46,776,174
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B49
<PAGE>
EQUITY INCOME PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
------------ --------------
<S> <C> <C>
TELECOMMUNICATIONS -- 1.2%
Telefonos de Mexico SA (Class "L"
Stock), ADR, (Mexico) ......... 213,600(b) $ 24,030,000
--------------
TEXTILES -- 0.7%
Kellwood Co. .................... 745,200 14,484,825
--------------
TOBACCO -- 0.8%
R.J. Reynolds Tobacco Holdings,
Inc. .......................... 867,760 15,294,270
--------------
TRUCKING/SHIPPING -- 0.5%
Yellow Corp.(a).................. 566,500 9,524,281
--------------
UTILITY-ELECTRIC -- 0.3%
Pacific Gas & Electric, Co. ..... 247,200 5,067,600
--------------
TOTAL COMMON STOCKS
(cost $1,621,129,265).......................... 1,874,909,538
--------------
PREFERRED STOCKS -- 4.6%
METALS-FERROUS -- 0.7%
Bethlehem Steel Corp. (Cum.
Conv.), $3.50 ................. 261,400 7,842,000
Rouge Steel, 7.25% .............. 273,100 2,065,319
USX Capital Trust (Cum. Conv.),
6.75% ......................... 119,200 5,095,800
--------------
15,003,119
--------------
METALS-NON FERROUS -- 0.1%
Hecla Mining Co. (Cum. Conv.),
7.00%, Series B ............... 61,800 1,475,475
--------------
REAL ESTATE DEVELOPMENT -- 0.5%
Union Pacific Capital Trust,
6.25% ......................... 246,400 10,102,400
--------------
RETAIL -- 1.3%
Kmart Corp. (Cum. Conv.),
7.75% ......................... 629,300 27,531,875
--------------
TELECOMMUNICATIONS -- 2.0%
Telecomunicacoes Brasileiras SA,
Series B, ADR, (Brazil) ....... 309,900(b) 39,822,150
--------------
TOTAL PREFERRED STOCKS
(cost $105,218,668)............................ 93,935,019
--------------
</TABLE>
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT
CONVERTIBLE (UNAUDITED) (000)
BONDS -- 0.8% ----------- ---------
<S> <C> <C> <C>
OIL & GAS SERVICES -- 0.2%
Baker Hughes, Inc.,
Zero Coupon,
05/05/08 ........... A2 $ 6,000 4,176,120
--------------
REAL ESTATE DEVELOPMENT -- 0.2%
Malan Realty Investors,
Inc.,
9.50%, 07/15/04 ...... B3 2,969 2,649,832
--------------
RETAIL -- 0.4%
Charming Shoppes, Inc.,
7.50%, 07/15/06 ...... B2 8,079 8,280,975
--------------
TOTAL CONVERTIBLE BONDS
(cost $15,360,108)............................. 15,106,927
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,741,708,041).......................... 1,983,951,484
--------------
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
SHORT-TERM (UNAUDITED) (000) (NOTE 2)
INVESTMENTS -- 4.7% ----------- --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 2.4%
Coastal Corp.,
6.50%, 01/14/00 ...... P2 $ 15,000(c) $ 14,970,208
Countrywide Home Loans,
Inc.,
5.25%, 01/03/00 ...... P2 4,800(c) 4,800,000
Heller Financial, Inc.,
6.05%, 01/12/00 ...... P2 10,000(c) 9,984,875
Keyspan Corp.,
6.50%, 01/12/00 ...... P2 19,000(c) 18,969,125
--------------
48,724,208
--------------
TIME DEPOSIT -- 0.5%
Banque Nationale de
Paris,
2.00%, 01/03/00 ...... P1 1,631(c) 1,631,000
Chase Manhattan Corp.,
5.50%, 01/03/00 ...... P1 5,000(c) 5,000,000
Deutsche Bank AG,
5.00%, 01/03/00 ...... P1 3,000(c) 3,000,000
--------------
9,631,000
--------------
REPURCHASE AGREEMENT -- 1.8%
Joint Repurchase
Agreement Account,
2.875%, 01/03/00
(Note 5) ........... 37,352 37,352,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $95,707,208)............................. 95,707,208
--------------
TOTAL INVESTMENTS -- 102.7%
(cost $1,837,415,249; Note 6).................. 2,079,658,692
LIABILITIES IN EXCESS OF OTHER ASSETS --
(2.7%)......................................... (55,619,332)
--------------
TOTAL NET ASSETS -- 100.0%....................... $2,024,039,360
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
AG Aktiengesellschaft (German Stock Company)
GDR Global Depository Receipt
SA Sociedad Anonima (Spanish Corporation) or Societe
Anonyme (French Corporation)
</TABLE>
<TABLE>
<S> <C>
(a) Non-income producing security.
(b) Portion of securities on loan with an aggregate market value
of $56,036,738; cash collateral of $57,973,945 was received
with which the portfolio purchased securities.
(c) Represents security purchased with cash collateral received
for securities on loan.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B50
<PAGE>
EQUITY PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS
- -- 89.6%
VALUE
SHARES (NOTE 2)
COMMON STOCKS ------------- --------------
<S> <C> <C>
AEROSPACE
Raytheon Co. ..................... 44,639 $ 1,107,605
--------------
APPAREL -- 0.3%
Jones Apparel Group, Inc. ........ 716,973 19,447,893
--------------
AUTOS - CARS & TRUCKS -- 1.4%
Delphi Automotive Systems
Corp. .......................... 440,325 6,935,119
General Motors Corp. ............. 630,000 45,793,125
Navistar International Corp.(a)... 395,200 18,722,600
PACCAR Inc. ...................... 279,400 12,380,912
--------------
83,831,756
--------------
BANKS AND SAVINGS & LOANS -- 5.0%
Bank of New York Co., Inc. ....... 2,400,000 96,000,000
Bank of America Corp. ............ 1,789,856 89,828,398
Chase Manhattan Corp. ............ 376,900 29,280,419
Mellon Financial Corp. ........... 540,200 18,400,562
Mercantile Bankshares Corp. ...... 419,400 13,394,587
Morgan (J.P.) & Co., Inc. ........ 232,100 29,389,662
National City Corp. .............. 123,120 2,916,405
Republic New York Corp. .......... 450,000 32,400,000
--------------
311,610,033
--------------
CHEMICALS -- 1.3%
Eastman Chemical Co. ............. 941,550 44,900,166
Potash Corp. of Saskatchewan Inc.,
(Canada) ....................... 380,000 18,311,250
Wellman, Inc. .................... 798,200 14,866,475
--------------
78,077,891
--------------
COMPUTER -- 5.9%
Compaq Computer Corp. ............ 3,302,350 89,369,847
Gerber Scientific, Inc. .......... 419,800 9,209,362
Hewlett-Packard Co. .............. 1,100,000 125,331,250
NCR Corp.(a) ..................... 100,000 3,787,500
Seagate Technology, Inc.(a) ...... 2,975,800 138,560,687
--------------
366,258,646
--------------
CONSTRUCTION & HOUSING -- 1.3%
American Standard Co., Inc.(a) ... 1,050,000 48,168,750
Centex Corp. ..................... 1,200,000 29,625,000
--------------
77,793,750
--------------
DIVERSIFIED CONSUMER PRODUCTS -- 4.0%
Eastman Kodak Co. ................ 2,969,300 196,716,125
Gibson Greeting, Inc.(a).......... 750,000 6,726,562
Philip Morris Co., Inc. .......... 2,025,000 46,954,687
--------------
250,397,374
--------------
ELECTRONICS -- 4.5%
Arrow Electronics, Inc.(a) ....... 2,145,500 54,442,062
Avnet, Inc. ...................... 887,600 53,699,800
Harris Corp. ..................... 2,884,000 76,966,750
Hitachi Ltd. ADR, (Japan) ........ 515,000 83,365,625
Lanier Worldwide, Inc.(a) ........ 2,884,000 11,175,500
--------------
279,649,737
--------------
FINANCIAL SERVICES -- 3.3%
Citigroup, Inc. .................. 1,400,401 77,809,781
Lehman Brothers Holdings, Inc. ... 764,800 64,769,000
Morgan Stanley Dean Witter &
Co. ............................ 452,800 64,637,200
--------------
207,215,981
--------------
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
FOOD & BEVERAGE 1.5%
Nabisco Group Holdings Corp. ..... 3,710,000 $ 39,418,750
Sara Lee Corp. ................... 2,497,500 55,101,094
--------------
94,519,844
--------------
FOREST PRODUCTS -- 12.3%
Fort James Corp. ................. 664,000 18,177,000
Georgia-Pacific Corp. ............ 3,406,300 172,869,725
Georgia-Pacific Timber Group ..... 1,158,000 28,515,750
International Paper Co. .......... 1,820,000 102,716,250
Mead Corp. ....................... 2,306,000 100,166,875
Rayonier Inc. .................... 830,400 40,118,700
Temple-Inland, Inc. .............. 1,240,500 81,795,469
Weyerhaeuser Co. ................. 1,522,500 109,334,531
Willamette Industries, Inc. ...... 2,500,000 116,093,750
--------------
769,788,050
--------------
HOSPITALS/HOSPITAL MANAGEMENT -- 10.9%
Columbia/HCA Healthcare Corp. .... 5,790,100 169,722,306
Foundation Health Systems,
Inc.(a) ........................ 4,724,610 46,950,812
HEALTHSOUTH Corp.(a) ............. 5,376,800 28,900,300
LifePoint Hospitals, Inc.(a)...... 304,742 3,599,765
PacifiCare Health Systems,
Inc.(a) ........................ 1,143,900 60,626,700
Service Corp. International(a) ... 3,686,500 25,575,094
Tenet Healthcare Corp.(a)......... 7,321,732 172,060,702
Triad Hospitals, Inc.(a).......... 304,742 4,609,223
Wellpoint Health Networks
Inc.(a) ........................ 2,570,900 169,518,719
--------------
681,563,621
--------------
INSURANCE -- 11.1%
American Financial Group, Inc. ... 552,700 14,577,462
American General Corp. ........... 879,704 66,747,541
AXA Financial Inc. ............... 2,323,800 78,718,725
Chubb Corp. ...................... 2,206,400 124,247,900
Loews Corp. ...................... 1,775,000 107,720,312
Old Republic International
Corp. .......................... 3,198,327 43,577,205
SAFECO Corp. ..................... 2,855,800 71,038,025
St. Paul Companies, Inc. ......... 1,320,100 44,470,869
Tokio Marine & Fire Insurance Co.
Ltd. (The) ADR (Japan) ......... 656,400 38,809,650
United HealthCare Corp. .......... 1,914,900 101,729,063
--------------
691,636,752
--------------
LEISURE -- 0.8%
Hilton Hotels Corp. .............. 3,470,600 33,404,525
Park Place Entertainment
Corp.(a) ....................... 1,078,300 13,478,750
--------------
46,883,275
--------------
METALS-FERROUS -- 0.2%
Birmingham Steel Corp.(a) ........ 1,492,400 7,928,375
Carpenter Technology Corp. ....... 100,000 2,743,750
--------------
10,672,125
--------------
METALS-NON FERROUS -- 2.5%
Alcoa, Inc. ...................... 1,882,000 156,206,000
--------------
MINERAL RESOURCES -- 0.5%
Phelps Dodge Corp. ............... 488,600 32,797,275
--------------
OIL & GAS -- 5.6%
Amerada Hess Corp. ............... 325,000 18,443,750
Atlantic Richfield Co. ........... 1,100,000 95,150,000
Kerr-McGee Corp. ................. 590,400 36,604,800
KeySpan Corp. .................... 1,356,432 31,452,267
Occidental Petroleum Corp. ....... 1,100,000 23,787,500
Total SA, ADR, (France) .......... 2,075,275 143,712,794
--------------
349,151,111
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B51
<PAGE>
EQUITY PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
PRECIOUS METALS -- 2.5%
Freeport-McMoRan Copper & Gold,
Inc. (Class "A")(a) ............ 3,853,300 $ 71,526,881
Freeport-McMoRan Copper & Gold,
Inc. (Class "B" Stock)(a) ...... 319,600 6,751,550
Kinross Gold Corp.(a) ............ 105,126 197,111
Newmont Mining Corp. ............. 3,057,000 74,896,500
--------------
153,372,042
--------------
RESTAURANTS -- 2.5%
CKE Restaurants, Inc. ............ 1,933,700 11,360,488
Darden Restaurants, Inc. ......... 7,922,700 143,598,938
--------------
154,959,426
--------------
RETAIL -- 6.1%
Consolidated Stores Corp.(a) ..... 2,023,800 32,886,750
Dillard's, Inc. .................. 3,649,000 73,664,188
IKON Office Solutions, Inc. ...... 5,193,000 35,377,313
Kmart Corp.(a) ................... 6,500,000 65,406,250
Pep Boys - Manny, Moe & Jack ..... 1,594,900 14,553,463
Sears, Roebuck and Co. ........... 690,000 21,001,875
Tandy Corp. ...................... 2,166,900 106,584,394
Toys 'R' Us, Inc.(a) ............. 2,350,000 33,634,375
--------------
383,108,608
--------------
TELECOMMUNICATIONS -- 3.9%
ALLTEL Corp. ..................... 1,129,588 93,402,808
AT&T Corp. ....................... 1,734,400 88,020,800
Loral Corp.(a) ................... 2,600,000 63,212,500
--------------
244,636,108
--------------
TEXTILES
Worldtex, Inc.(a) ................ 107,199 167,498
--------------
TOBACCO -- 0.3%
R.J. Reynolds Tobacco Holdings,
Inc. ........................... 1,236,666 21,796,238
--------------
UTILITY - ELECTRIC -- 1.3%
American Electric Power Company,
Inc. ........................... 180,000 5,782,500
GPU, Inc. ........................ 500,000 14,968,750
Reliant Energy, Inc. ............. 974,519 22,292,122
Unicom Corp. ..................... 1,112,900 37,282,150
--------------
80,325,522
--------------
UTILITY - WATER -- 0.1%
American Water Works Co., Inc. ... 270,000 5,737,500
--------------
WASTE MANAGEMENT -- 0.5%
Waste Management, Inc. ........... 1,882,292 32,351,894
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $4,235,036,665)............................ 5,585,063,555
--------------
</TABLE>
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT
SHORT-TERM (UNAUDITED) (000)
INVESTMENTS -- 10.4% ----------- ---------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 8.7%
Barton Capital Corp,
6.09%, 02/01/00 ......... P1 $ 20,844 20,734,691
6.18%, 02/03/00 ......... P1 12,000 11,932,900
Baus Funding LLC,
6.20%, 01/31/00 ......... P1 60,000 59,690,000
BBV Finance (Delaware) Inc,
6.27%, 01/10/00 ......... P1 25,000 24,960,812
<CAPTION>
MOODY'S PRINCIPAL
SHORT-TERM RATING AMOUNT VALUE
INVESTMENTS (CONT'D) (UNAUDITED) (000) (NOTE 2)
----------- --------- --------------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 8.7% (CONT'D.)
BBL North America,
6.27%, 01/26/00 ......... P1 $ 40,000 $ 39,825,833
Blue Ridge Asset Fund,
6.70%, 01/18/00 ......... P1 19,000 18,939,886
Carolina Power & Light,
6.55%, 01/28/00 ......... P1 11,306 11,250,459
Corporate Asset Funding,
6.10%, 01/27/00 ......... P1 9,695 9,652,288
Edison Asset Securitization
LLC,
6.65%, 01/31/00 ......... P1 9,592 9,538,844
7.00%, 01/21/00 ......... P1 16,597 16,532,456
Enterprise Funding Corp.,
6.18%, 01/27/00 ......... P1 9,588 9,545,206
Falcon Asset Securitization
Corp.,
5.99%, 01/13/00 ......... P1 60,000 59,880,200
Fleet Funding Corp.,
6.10%, 02/04/00 ......... P1 7,773 7,728,219
Old Line Funding Corp.,
6.25%, 01/20/00 ......... P1 20,000 19,934,028
6.30%, 01/19/00 ......... P1 34,420 34,311,577
Salomon Smith Barney
Holding,
6.10%, 01/25/00 ......... P1 28,000 27,886,133
Thunder Bay Funding,
6.75%, 01/28/00 ......... P1 6,513 6,480,028
Triple-A One Plus Funding,
6.26%, 01/12/00 ......... P1 10,590 10,569,744
6.26%, 01/14/00 ......... P1 29,000 28,934,444
6.66%, 01/20/00 ......... P1 12,000 11,957,820
6.70%, 01/18/00 ......... P1 8,539 8,511,984
Unifunding Inc.,
6.50%, 01/25/00 ......... P1 35,000 34,848,333
Windmill Funding Corp.,
6.10%, 01/28/00 ......... P1 60,000 59,725,500
--------------
543,371,385
--------------
REPURCHASE AGREEMENT -- 1.7%
Joint Repurchase Agreement
Account,
2.875%, 01/03/00
(Note 5) .............. 106,923 106,923,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $650,294,385)............................... 650,294,385
--------------
TOTAL INVESTMENTS -- 100.0%
(cost $4,885,331,050; Note 6)..................... 6,235,357,940
FORWARD CURRENCY CONTRACTS -- AMOUNT PAYABLE TO
COUNTERPARTIES (b)................................ (138,418)
OTHER ASSETS IN EXCESS OF OTHER LIABLITIES..........
76,720
--------------
TOTAL NET ASSETS -- 100.0%.......................... $6,235,296,242
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt.
LLC Limited Liability Company.
SA Societe Anonyme (French Corporation).
</TABLE>
<TABLE>
<S> <C>
(a) Non-income producing security.
(b) Outstanding forward currency contract as of December 31,
1999 was as follows:
</TABLE>
<TABLE>
<CAPTION>
VALUE AT
FOREIGN CURRENCY SETTLEMENT CURRENT
CONTRACTS DATE VALUE DEPRECIATION
- -------------------------- ----------- ----------- ------------
<S> <C> <C> <C>
Sold:
Japanese Yen,
expiring 3/30/00 $43,111,992 $42,973,574 $(138,418)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B52
<PAGE>
PRUDENTIAL JENNISON PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS --
95.6%
VALUE
SHARES (NOTE 2)
COMMON STOCKS -- 95.6% --------- --------------
<S> <C> <C>
BANKS AND SAVINGS & LOANS -- 1.6%
Chase Manhattan Corp. ................ 554,100 $ 43,046,644
--------------
BUSINESS SERVICES -- 1.6%
Omnicom Group, Inc. .................. 434,000 43,400,000
--------------
COMPUTER SERVICES -- 13.8%
America Online, Inc. (a) ............. 583,900 44,047,956
Cisco Systems, Inc. (a) .............. 1,082,450 115,957,456
EMC Corp. (a) ........................ 487,600 53,270,300
Juniper Networks, Inc. ............... 53,100 18,054,000
Microsoft Corp. (a) .................. 1,164,500 135,955,375
VERITAS Software Corp. (a) ........... 109,800 15,715,125
--------------
383,000,212
--------------
COMPUTERS -- 6.6%
Dell Computer Corp. (a) .............. 782,900 39,927,900
Equant NV (Netherlands) .............. 315,200 35,302,400
Hewlett-Packard Co. .................. 619,200 70,550,100
Sun Microsystems, Inc. (a) ........... 467,500 36,202,031
--------------
181,982,431
--------------
COSMETICS & SOAPS -- 0.8%
Estee Lauder Companies (Class "A"
Stock) ............................. 433,600 21,869,700
--------------
DIVERSIFIED OPERATIONS -- 3.5%
General Electric Co. ................. 624,400 96,625,900
--------------
DRUGS AND MEDICAL SUPPLIES -- 9.9%
American Home Products Corp. ......... 1,024,600 40,407,662
Amgen, Inc. (a) ...................... 563,100 33,821,194
Bristol-Myers Squibb Co. ............. 401,500 25,771,281
Genentech, Inc. (a) .................. 201,500 27,101,750
Glaxo Wellcome PLC, ADR (United
Kingdom) ........................... 509,500 28,468,312
Johnson & Johnson .................... 362,300 33,739,187
Schering-Plough Corp. ................ 346,900 14,634,844
Warner-Lambert Co. ................... 857,800 70,285,987
--------------
274,230,217
--------------
ELECTRONICS -- 10.6%
Applied Materials, Inc. (a) .......... 371,800 47,102,412
Broadcom Corp. Class A ............... 102,000 27,782,250
Intel Corp. .......................... 799,600 65,817,075
KLA-Tencor Corp. (a) ................. 275,400 30,672,675
Motorola, Inc. ....................... 342,300 50,403,675
Texas Instruments, Inc. .............. 742,500 71,929,687
--------------
293,707,774
--------------
FINANCIAL SERVICES -- 6.4%
American Express Co. ................. 189,900 31,570,875
Citigroup, Inc. ...................... 1,537,200 85,410,675
Morgan Stanley Dean Witter & Co. ..... 423,720 60,486,030
--------------
177,467,580
--------------
INSURANCE -- 2.7%
American International Group, Inc. ... 694,125 75,052,266
--------------
MEDIA -- 8.0%
AT&T Corp-Liberty Media Group (Class
"A" Stock) ......................... 839,000 47,613,250
CBS Corp. (a) ........................ 1,381,400 88,323,263
Clear Channel Communications,
Inc. (a) ........................... 627,800 56,031,150
Univision Communications Inc. (a) .... 302,700 30,932,156
--------------
222,899,819
--------------
RESTAURANTS -- 1.2%
McDonald's Corp. ..................... 861,000 34,709,063
--------------
<CAPTION>
COMMON VALUE
STOCKS (CONTINUED) SHARES (NOTE 2)
--------- --------------
<S> <C> <C>
RETAIL -- 10.2%
Home Depot, Inc. ..................... 1,531,500 $ 105,003,469
Kohl's Corp. (a) ..................... 579,800 41,854,313
The Gap, Inc. ........................ 1,083,450 49,838,700
Tiffany & Co. ........................ 439,900 39,261,075
Wal-Mart Stores, Inc. ................ 694,100 47,979,663
--------------
283,937,220
--------------
TELECOMMUNICATIONS -- 18.7%
Allegiance Telecom, Inc. ............. 286,200 26,401,950
JDS Uniphase Corp. (a) ............... 229,600 37,037,350
Level 3 Communications, Inc. (a) ..... 235,200 19,257,000
Lucent Technologies, Inc. ............ 443,350 33,168,122
MCI WordCom, Inc. (a) ................ 903,000 47,915,438
Metromedia Fiber Network, Inc. (a) ... 355,800 17,056,163
Nextlink Communications - A .......... 280,100 23,265,806
Nokia Corp., ADR (Finland) ........... 477,500 90,725,000
NTL Inc. (a) ......................... 437,900 54,628,025
Qwest Communications International
Inc. (a) ........................... 1,591,800 68,447,400
Tellabs, Inc. (a) .................... 576,300 36,991,256
Vodafone AirTouch PLC, ADR (United
Kingdom) ........................... 1,270,900 62,909,550
--------------
517,803,060
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $1,757,433,043)............................ 2,649,731,886
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SHORT-TERM (000)
INVESTMENT -- 4.4% ---------
<S> <C>
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account
2.875%, 01/03/00
(cost $121,024,000; Note 5) ....... $121,024 121,024,000
--------------
TOTAL INVESTMENTS -- 100.0%
(cost $1,878,457,043; Note 6)..................... 2,770,755,886
LIABILITIES IN EXCESS OF OTHER ASSETS (b)........... (88,025)
--------------
TOTAL NET ASSETS -- 100.0%.......................... $2,770,667,861
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
ADR American Depository Receipt
NV Naamloze Vennootschap (Dutch Corporation)
PLC Public Limited Company (British Corporation)
</TABLE>
<TABLE>
<S> <C>
(a) Non-income producing security.
(b) Represents less than 0.05%.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B53
<PAGE>
GLOBAL PORTFOLIO
DECEMBER 31, 1999
<TABLE>
<CAPTION>
LONG-TERM
INVESTMENTS -- 94.6%
VALUE
SHARES (NOTE 2)
COMMON STOCKS ------------- --------------
<S> <C> <C>
AUSTRALIA -- 3.2%
Brambles Industries, Ltd. ........ 329,600 $ 9,121,618
Broken Hill Proprietary
Co., Ltd. ...................... 1,367,850 17,982,536
Commonwealth Bank of Australia ... 827,800 14,265,568
--------------
41,369,722
--------------
FINLAND -- 2.7%
Nokia Corp.(a).................... 190,700 34,583,439
--------------
FRANCE -- 6.6%
Carrefour SA ..................... 38,400 7,083,771
Havas Advertising SA ............. 4,400 1,875,159
Lafarge SA ....................... 98,231 11,440,668
Legrand SA ....................... 61,600 14,665,248
Publicis SA ...................... 4,984 1,883,017
Suez Lyonnaise des Eaux(a)........ 69,500 11,140,379
Thomson Multimedia ............... 267,148 14,399,609
Total SA ......................... 173,090 23,106,429
--------------
85,594,280
--------------
FEDERAL REPUBLIC OF GERMANY -- 3.7%
Deutsche Telekom Ag .............. 187,550 13,359,231
Mannesmann Ag .................... 99,400 23,984,843
Siemens Ag ....................... 80,800 10,281,576
--------------
47,625,650
--------------
IRELAND -- 0.3%
Bank of Ireland .................. 582,200 4,633,875
--------------
ITALY -- 1.3%
Unicredito Italiano SpA .......... 3,589,200 17,646,658
--------------
JAPAN -- 18.3%
CSK Corporation .................. 193,000 31,329,945
Fuji Bank ........................ 1,326,000 12,876,179
Fujitsu Limited .................. 828,000 37,732,057
Honda Motor Co., Ltd. ............ 260,000 9,661,647
Nippon Telegraph & Telephone
Corp.(a)........................ 1,204 20,604,343
NTT Data Corp .................... 1,031 23,693,038
NTT Mobile Communication
Network, Inc. .................. 904 34,742,032
Softbank Corp. ................... 42,000 40,168,201
Sony Corp. ....................... 66,600 19,733,817
Sony Corp., (ADR) ................ 27,100 7,716,725
--------------
238,257,984
--------------
MEXICO -- 1.1%
Telefonos de Mexico, SA (ADR)
(Class L Shares) ............... 128,100 14,411,250
--------------
NETHERLANDS -- 2.1%
ING Groep N.V. ................... 267,500 16,154,202
Vendex KBB N.V. .................. 410,600 10,921,137
--------------
27,075,339
--------------
SINGAPORE -- 0.7%
Development Bank of Singapore
Ltd ............................ 678,800 5,135,322
Singapore Airlines Ltd ........... 340,000 3,858,301
--------------
8,993,623
--------------
SPAIN -- 3.3%
Banco Santander SA ............... 1,530,100 17,327,309
Telefonica SA .................... 969,408 24,221,624
Terra Networks SA ................ 26,800 1,464,804
--------------
43,013,737
--------------
<CAPTION>
COMMON STOCKS VALUE
(CONTINUED) SHARES (NOTE 2)
------------- --------------
<S> <C> <C>
SWEDEN -- 3.8%
Hennes & Mauritz AB .............. 839,400 $ 28,111,850
Nordbanken Holding AB ............ 1,292,800 7,595,860
Skanska AB (Class "B" Shares) .... 354,000 13,186,760
--------------
48,894,470
--------------
UNITED KINGDOM -- 9.7%
Alliance and Leicester PLC ....... 581,400 7,573,142
Bank of Scotland ................. 1,144,600 13,316,431
Canary Wharf Group PLC ........... 1,302,200 8,112,293
GKN PLC .......................... 973,300 15,969,447
Glaxo Wellcome PLC ............... 503,900 14,301,420
Hays PLC(a)....................... 1,717,500 27,457,367
Siebe PLC(a)...................... 2,511,500 13,301,409
Vodafone AirTouch PLC ............ 5,209,000 26,010,063
--------------
126,041,572
--------------
UNITED STATES -- 37.8%
Agency.com Limited ............... 9,400 479,400
Alcoa Inc. ....................... 94,000 7,802,000
AT&T Corp. ....................... 186,200 9,449,650
Atmel Corp.(a).................... 719,800 21,279,087
Citigroup Inc. ................... 388,200 21,569,362
Electronic Arts, Inc.(a).......... 323,400 27,165,600
Fox Entertainment Group, Inc.
(Class "A" Stock)(a)............ 459,400 11,456,288
Freemarkets, Inc. ................ 100 34,131
Intertrust Technologies Corp. .... 34,000 3,999,250
MCI WorldCom, Inc.(a)............. 327,900 17,399,194
Mead Corp. ....................... 290,200 12,605,562
Mediaone Group, Inc.(a)........... 87,500 6,721,094
Microsoft Corp.(a)................ 118,200 13,799,850
Omnicom Group, Inc. .............. 114,600 11,460,000
Ondisplay, Inc. .................. 62,700 5,697,863
OpenTV Corp ...................... 17,200 1,380,300
Oracle Systems Corp.(a)........... 405,200 45,407,725
PMC-Sierra, Inc.(a)............... 336,900 54,009,281
Portal Software, Inc. ............ 84,300 8,672,363
Priceline.com Inc.(a)............. 30,700 1,454,413
Quest Software Inc. .............. 36,400 3,712,800
Red Hat Inc. ..................... 38,900 8,217,625
SCI Systems, Inc.(a).............. 198,700 16,330,656
Seagate Technology, Inc.(a)....... 322,800 15,030,375
Solectron Corp.(a)................ 356,500 33,912,062
Texas Instruments, Inc. .......... 292,200 28,306,875
The Williams Companies, Inc. ..... 135,900 4,153,444
Time Warner, Inc. ................ 402,700 29,170,581
United Parcel Service, Inc.
(Class B) ...................... 124,500 8,590,500
UnitedGlobalCom, Inc.
(Class A) ...................... 96,900 6,843,563
USA Networks, Inc.(a)............. 468,400 25,879,100
USWeb Corp. ...................... 125,500 5,576,906
Wells Fargo & Co. ................ 410,100 16,583,419
Wendys International, Inc. ....... 301,800 6,224,625
--------------
490,374,944
--------------
TOTAL LONG-TERM INVESTMENTS
(cost $677,017,960).............................. 1,228,516,543
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B54
<PAGE>
GLOBAL PORTFOLIO (CONTINUED)
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SHORT-TERM (000) (NOTE 2)
INVESTMENTS -- 3.7% ------------- --------------
<S> <C> <C>
U. S. GOVERNMENT SECURITIES -- 1.3%
UNITED STATES TREASURY BILLS,
5.59%, 08/17/00 ................ $ 5,310 $ 5,122,028
5.61%, 08/17/00 ................ 11,800 11,378,907
--------------
16,500,935
--------------
TOTAL U. S. GOVERNMENT SECURITIES
(cost $16,500,935)............................... 16,500,935
--------------
REPURCHASE AGREEMENT -- 2.4%
Joint Repurchase Agreement
Account, 2.875%, 01/03/00
(cost $30,645,000; Note 5)...... 30,645 30,645,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(cost $47,145,935)............................... 47,145,935
--------------
TOTAL INVESTMENTS -- 98.3%
(cost $724,163,895; Note 6)...................... 1,275,662,478
ASSETS IN EXCESS OF OTHER
LIABILITIES -- 1.7%.............................. 22,651,610
--------------
TOTAL NET ASSETS -- 100.0%......................... $1,298,314,088
==============
</TABLE>
<TABLE>
<S> <C>
The following abbreviations are used in portfolio descriptions:
AB Aktiebolag (Swedish Stock Company)
ADR American Depository Receipt
AG Aktiengesellschaft (German Stock Company)
N.V. Naamloze Vennootschap (Dutch Corporation)
PLC Public Limited Company (British Corporation)
SA Sociedad Anomia (Spanish Corporation) or Societe
Anonyme (French Corporation)
</TABLE>
<TABLE>
<S> <C>
(a) Non-income producing security.
</TABLE>
The industry classification of portfolio of holdings and other assets in excess
of liabilities shown as a percentage of net assets as of December 31, 1999 were
as follows:
<TABLE>
<S> <C>
Computer Software & Services 17.0%
Telecommunications 16.5%
Electronics 15.1%
Commercial Banking 10.0%
Media 6.1%
Diversified Operations 5.4%
Retail 4.2%
Oil & Gas Services 2.1%
Telephones 2.1%
Automobiles & Manufacturing 2.0%
Banks 1.9%
Machinery 1.9%
Advertising 1.1%
Electrical Equipment 1.1%
Pharmaceuticals 1.1%
Construction 1.0%
Paper 1.0%
Building Materials & Components 0.9%
Diversified Manufacturing 0.8%
Commercial Services 0.7%
Transportation 0.7%
Aluminum 0.6%
Real Estate-Development 0.6%
Professional Services 0.4%
Airlines 0.3%
Repurchase Agreement 2.4%
U.S. Government Securities 1.3%
------
98.3%
Other assets in excess of liabilities 1.7%
------
100.0%
======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
B55
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
NOTE 1: GENERAL
The Prudential Series Fund, Inc. ("Series Fund"), a Maryland corporation,
organized on November 15, 1982, is a diversified open-end management investment
company registered under the Investment Company Act of 1940, as amended. The
Series Fund is composed of seventeen Portfolios ("Portfolio" or "Portfolios"),
each with a separate series of capital stock. The information presented in these
financial statements pertains to only the ten Portfolios available for
investment by Variable Universal Life: Money Market Portfolio, Diversified Bond
Portfolio, Conservative Balance Portfolio, Flexible Managed Portfolio, High
Yield Bond Portfolio, Stock Index Portfolio, Equity Income Portfolio, Equity
Portfolio, Prudential Jennison Portfolio and Global Portfolio. The ability of
the issuers of the securities held by the Money Market Portfolio to meet their
obligations may be affected by economic developments in a specific industry or
region.
NOTE 2: ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Series Fund and the Portfolios in preparation of its financial
statements.
SECURITIES VALUATION: Equity securities traded on an exchange or NASDAQ
(whether domestic or foreign) are valued at the last reported sales price on the
primary exchange on which they are traded, or if there is not a sale, at the
mean of the last reported bid and asked prices or at the bid price on such day
in the absence of an asked price. Equity securities that are not sold on an
exchange or NASDAQ are valued by an independent pricing agent or a principal
market maker. Debt securities, in general, are valued using an independent
pricing service or a principal market maker. Options on stock or stock indices
are valued at the average of the last reported bid and asked prices on the
exchange on which they are traded. Futures contracts and options on futures
contracts are valued at the last reported sale price, or if there is not a sale,
at the mean between the last reported bid and asked prices on the commodity
exchange or the board of trade on which they are traded. Any security for which
a reliable market quotation is unavailable is valued at fair value by The
Prudential Insurance Company of America ("The Prudential") under the direction
of the Series Fund's Board of Directors.
The Money Market, Conservative Balanced and Flexible Managed Portfolios use
amortized cost to value short-term securities. Short-term securities that are
held in the other Portfolios which mature in more than 60 days are valued at
current market quotations and those short-term securities which mature in 60
days or less are valued at amortized cost.
The High Yield Bond Portfolio may hold up to 15% of its net assets in illiquid
securities, including those which are restricted as to disposition under
securites law ("restricted securities"). Certain issues of restricted securities
held by the High Yield Bond Portfolio at December 31, 1999 include registration
rights, none of which are currently under contract to be registered. Restricted
securites, 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 U.S. financial institutions, it is the Series Fund's policy that its
custodian or designated subcustodians, as the case may be under triparty
repurchase agreements, take possession of the underlying collateral securities,
the value of which exceeds the principal amount of the repurchase transaction
including accrued interest. 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 Series Fund may
by delayed or limited.
FOREIGN CURRENCY TRANSLATION: The books and records of the Series Fund are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars on the following basis:
(i) market value of investment securities, other assets and liabilities - at the
current rates of exchange.
(ii) purchases and sales of investment securities, income and expenses - at the
rate of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Series Fund are presented at the foreign exchange
rates and market values at the close of the fiscal year, the Series Fund does
not isolate that portion of the results of operations arising as a result of
changes in the foreign exchange rates from the fluctuations arising from changes
in the market prices
C1
<PAGE>
of securities held at the end of the fiscal year. Similarly, the Series Fund
does not isolate the effect of changes in foreign exchange rates from the
fluctuations arising from changes in the market prices of long-term portfolio
securities sold during the fiscal year. Accordingly, these realized and
unrealized foreign currency gains (losses) are included in the reported net
realized gains (losses) on investment transactions.
Net realized gains (losses) on foreign currency transactions represent net
foreign exchange gains or losses from holdings of foreign currencies, currency
gains or losses realized between the trade and settlement dates on security
transactions, and the difference between the amounts of dividends, interest and
foreign taxes recorded on the Series Fund's books and the U.S. dollar equivalent
amounts actually received or paid. Net unrealized currency gains or losses from
valuing foreign currency denominated assets and liabilities (other than
investments) at fiscal year end exchange rates are reflected as a component of
net unrealized appreciation (depreciation) on investments and foreign
currencies.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of domestic origin as a result of,
among other factors, the possibility of political and economic instability and
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 of the Series Fund may enter into forward currency
contracts in order to hedge their exposure to changes in foreign currency
exchange rates on their foreign portfolio holdings or on 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 investments and 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 renegotiated forward
contracts. This gain or loss, if any, is included in net realized gain (loss) on
foreign currencies. Risks may arise upon entering into these contracts from the
potential inability of the counterparties to meet the terms of their contracts.
SHORT SALES: Certain portfolios of the Series Fund may sell a security it does
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 buyer. The proceeds of the short sale will be
retained by the broker-dealer through which it made the short sale as collateral
for its obligation to deliver the security upon conclusion of the sale. 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. 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.
OPTIONS: The Series Fund may either purchase or write options in order to hedge
against adverse market movements or fluctuations in value with respect to
securities which the Series Fund currently owns or intends to purchase. The
Series Fund's principal reason for writing options is to realize, through
receipts of premiums, a greater current return than would be realized on the
underlying security alone. When the Series Fund purchases an option, it pays a
premium and an amount equal to that premium is recorded as an investment. When
the Series Fund writes an option, it receives a premium and an amount equal to
that premium is recorded as a liability. The investment or liability is adjusted
daily to reflect the current market value of the option. If an option expires
unexercised, the Series Fund 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 an adjustment to the proceeds from the sales or the cost of the purchase
in determining whether the Series Fund has realized a gain or loss. The
difference between the premium and the amount received or paid on effecting a
closing 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 (loss) on
investment transactions. Gain or loss on written options is presented separately
as net realized gain (loss) on written option transactions.
The Series Fund, 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
Series Fund bears the market risk of an unfavorable change in the price of the
security underlying the written option. The Series Fund, as purchaser of an
option, bears the risk of the potential inability of the counterparties to meet
the terms of their contracts.
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 Series Fund is required to pledge to the broker an amount of cash and/or
other assets equal to a
C2
<PAGE>
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 Series Fund 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 (loss) on financial futures
contracts.
The Series Fund invests in financial futures contracts in order to hedge its
existing portfolio securities or securities the Series Fund intends to purchase,
against fluctuations in value. Under a variety of circumstances, the Series Fund
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 and the
underlying assets.
SECURITIES LENDING: The Series Fund (excluding the Money Market Portfolio) may
lend its portfolio securities to broker-dealers, qualified banks and certain
institutional investors. The loans are secured by collateral in an amount equal
to at least the market value at all times of the loaned securities plus any
accrued interest and dividends. During the time the securities are on loan, the
Series Fund will continue to receive the interest and dividends or amounts
equivalent thereto, on the loaned securities while receiving a fee from the
borrower or earning interest on the investment of the cash collateral. Loans are
subject to termination at the option of the borrower or the Series Fund. Upon
termination of the loan, the borrower will return to the lender securities
identical to the loaned securities. The Series Fund may pay reasonable finders',
administrative and custodial fees in connection with a loan of its securities
and may share the interest earned on the collateral with the borrower. The
Series Fund bears the risk of delay in recovery of, or even loss of rights in,
the securities loaned should the borrower of the securities fail financially.
Prudential Securities Incorporated ("PSI") is the securities lending agent for
the Series Fund. PSI is an indirect, wholly owned subsidiary of The Prudential.
For the year ended December 31, 1999, PSI has been compensated by the following
amounts:
<TABLE>
<S> <C>
Conservative Balanced Portfolio........ $ 485,395
Flexible Managed Portfolio............. 468,004
High Yield Bond Portfolio.............. 25,258
Equity Income Portfolio................ 119,198
------------
$ 1,097,855
============
</TABLE>
SWAPS: Certain portfolios of the Series Fund may enter into swap agreements. A
swap agreement is an agreement between two parties to exchange a series of cash
flows at specified intervals. Based on a notional amount, each party pays an
interest rate or the change in the value of a security. Dividends and interest
on the securities in the swap are included in the value of the exchange. The
swaps are valued daily at current market value and any unrealized gain or loss
is included in net unrealized appreciation or depreciation on investments. Gain
or loss is realized on the termination date of the swap and is equal to the
difference between a Portfolios basis in the swap and the proceeds of the
closing transaction, including any fees. During the period that the swap
agreement is open, the Portfolio may be subject to risk from the potential
inability of the counterparty to meet the terms of the agreement.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on the trade date. Realized gains and losses on sales of securities are
calculated on the identified cost basis. Dividend income is recorded on the
ex-dividend date; interest income, which is comprised of four elements: stated
coupon, original issue discount, market discount and market premium is recorded
on the accrual basis. Certain portfolios own shares of real estate investment
trusts ("REITs") which report information on the source of their distributions
annually. A portion of distributions received from REITs during the year is
estimated to be a return of capital and is recorded as a reduction of their
costs. These estimates are adjusted when the actual amounts are known. Expenses
are recorded on the accrual basis which may require the use of certain estimates
by management. The Series Fund expenses are allocated to the respective
Portfolios on the basis of relative net assets except for Portfolio specific
expenses which are attributable directly at a Portfolio or Class level.
For Portfolios with multiple classes and shares, net investment income, other
than administration and distribution fees, and unrealized and realized gains or
losses are allocated daily to each class of shares based upon the relative
proportion of net assets of each class at the beginning of the day.
C3
<PAGE>
CUSTODY FEE CREDITS: The Series Fund has an arrangement with its custodian
bank, whereby uninvested monies earn credits which reduce the fees charged by
the custodian. Such custody fee credits are presented as a reduction of gross
expenses in the accompanying statement of operations.
TAXES: For federal income tax purposes, each portfolio in the Series Fund is
treated as a separate taxpaying entity. It is the intent of each Portfolio of
the Series Fund to continue to meet the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
net income to shareholders. Therefore, no federal income tax provision is
required.
Withholding taxes on foreign dividends, interest and capital gains have been
provided for in accordance with the Series Fund's understanding of the
applicable country's tax rules and regulations.
DIVIDENDS AND DISTRIBUTIONS: Dividends and distributions of each Portfolio are
declared in cash and automatically reinvested in additional shares of the same
Portfolio. The Money Market Portfolio will declare and reinvest dividends from
net investment income and net realized capital gain (loss) daily. The
Conservative Balanced, Stock Index, Equity Income, Equity and Prudential
Jennison Portfolios will declare and distribute dividends from net investment
income, if any, quarterly and distributions from net capital gains, if any, at
least annually. The Diversified Bond, Flexible Managed, High Yield and Global
Portfolios will declare and distribute dividends from net investment income and
distributions from net capital gains, if any, at least annually. Dividends and
distributions are recorded on the ex-dividend date.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles.
RECLASSIFICATION OF CAPITAL ACCOUNTS: The Series Fund accounts for and reports
distributions to shareholders in accordance with the American Institute of
Certified Public Accountants' Statement of Position 93-2: Determination,
Disclosure, and Financial Statement Presentation of Income, Capital Gains, and
Return of Capital Distributions by Investment Companies. As a result of this
statement, the Series Fund changed the classification of distributions to
shareholders to disclose the amounts of undistributed net investment income and
accumulated net realized gain (loss) on investments available for distributions
determined in accordance with income tax regulations. For the year ended
December 31, 1999 the application of this statement increased (decreased)
undistributed net investment income ("UNI") and accumulated net realized gains
(losses) on investments ("G/L") by the following amounts:
<TABLE>
<CAPTION>
UNI G/L
------------ -------------
<S> <C> <C>
Equity Portfolio (a)................... $ (140,882) $ 140,882
Global Portfolio (a) (b)............... 10,630,256 (10,630,256)
</TABLE>
(a) Reclassification of net foreign currency gain (loss).
(b) Reclassification of passive foreign investment companies' gains.
Net investment income, net realized gains and net assets were not affected by
these reclassifications.
NOTE 3: AGREEMENTS
The Series Fund has an investment advisory agreement with The Prudential.
Pursuant to this agreement The Prudential has responsibility for all investment
advisory services and supervises the subadvisers' performance of such services.
The Prudential has entered into a service agreement with The Prudential
Investment Corporation ("PIC"), which provides that PIC will furnish to The
Prudential such services as The Prudential may require in connection with the
performance of its obligations under the investment advisory agreement with the
Series Fund. In addition, The Prudential has entered into a subadvisory
agreement with Jennison Associates LLC ("Jennison"), under which Jennison
furnishes investment advisory services in connection with the management of the
Prudential Jennison Portfolio. The Prudential pays for the cost of PIC's and
Jennison's services, compensation of officers of the Series Fund, occupancy and
certain clerical and administrative expenses of the Series Fund. The Series Fund
bears all other costs and expenses.
C4
<PAGE>
The investment advisory fee paid to The Prudential is computed daily and payable
quarterly, at the annual rates specified below, of the value of each of the
Portfolio's average daily net assets.
<TABLE>
<CAPTION>
Fund Investment Advisory Fee
---- -----------------------
<S> <C>
Money Market Porfolio.................. 0.40%
Diversified Bond Portfolio............. 0.40
Conservative Balanced Portfolio........ 0.55
Flexible Managed Portfolio............. 0.60
High Yield Bond Portfolio.............. 0.55
Stock Index Portfolio.................. 0.35
Equity Income Portfolio................ 0.40
Equity Portfolio....................... 0.45
Prudential Jennison Portfolio.......... 0.60
Global Portfolio....................... 0.75
</TABLE>
The Prudential compensates Jennison for its services as follows: 0.75% on the
first $10 million of the Prudential Jennison Portfolio's average daily net
assets, 0.50% on the next $30 million, 0.35% on the next $25 million, 0.25% on
the next $335 million, 0.22% on the next $600 million and 0.20% thereafter.
The Series Fund has a distribution agreement with Prudential Investment
Management Services LLC ("PIMS") which acts as the distributor of the Class I
and Class II shares of the Series Fund. The Series Fund compensates PIMS for
distributing and servicing the Series Fund's Class II shares pursuant to a plan
of distribution (the "Class II Plan"), regardless of expenses actually incurred
by PIMS. The distribution fees are accrued daily and payable quarterly. No
distribution or service fees are paid to PIMS as distributor for Class I shares
of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each
Portfolio compensates PIMS for distribution-related activities at an annual rate
of .25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with Prudential Investments Fund
Management LLC ("PIFM") which acts as the administrator of the Class II shares
of the Series Fund. The administration fee paid to PIFM is accrued daily and
payable quarterly, at the annual rate of .15% of the average daily net assets of
the Class II shares.
The Prudential has agreed to reimburse each Portfolio (other than the Global
Portfolio), the portion of the investment advisory fee for that Portfolio equal
to the amount that the aggregate annual ordinary operating expenses (excluding
interest, taxes and brokerage commissions) exceeds 0.75% of the Portfolio's
average daily net assets. No reimbursement was required for the year ended
December 31, 1999
PIC, PIMS, PIFM and Jennison are wholly-owned subsidiaries of The Prudential.
As of March 11, 1999, the Series Fund, along with other affiliated registered
investment companies (the "Funds"), has a syndicated credit agreement ("SCA")
with an unaffiliated lender. The maximum commitment under the SCA is $1 billion.
The Funds pays a commitment fee at an annual rate of .065 of 1% on the unused
portion of the credit facility, which is accrued and paid on a pro rata basis by
the Funds. Interest on any such borrowings outstanding will be at market rates.
The SCA expires on March 9, 2000. Prior to March 11, 1999, the Series Fund had a
credit agreement with a maximum commitment of $250,000,000. The commitment fee
was .055 of 1% on the unused portion of the facility. The Series Fund did not
borrow any amounts pursuant to either agreement during the year ended
December 31, 1999. The purpose of the agreements is to serve as an alternative
source of funding for capital share redemptions.
NOTE 4: OTHER TRANSACTIONS WITH AFFILIATES
Prudential Mutual Fund Services LLC ("PMFS"), a wholly owned subsidiary of PIFM,
began serving as the Series Fund's transfer agent on March 14, 1999. Transfer
agent fees and expenses in the statements of operations include certain
out-of-pocket expense paid to nonaffiliates. During the period March 14, 1999
C5
<PAGE>
through December 31, 1999, the Series Fund incurred fees for the services of
PMFS and as of December 31, 1999 fees were due to PMFS as follows:
<TABLE>
<CAPTION>
Transfer Agent's Transfer Agent
Fees Fees Payable
---------------- --------------
<S> <C> <C>
Money Market Porfolio.................. $ 8,000 $ 800
Diversified Bond Portfolio............. 8,100 800
Conservative Balanced Portfolio........ 7,700 700
Flexible Managed Portfolio............. 8,000 800
High Yield Bond Portfolio.............. 8,000 800
Stock Index Portfolio.................. 8,200 800
Equity Income Portfolio................ 7,800 800
Equity Portfolio....................... 8,400 800
Prudential Jennison Portfolio.......... 7,800 800
Global Portfolio....................... 7,800 800
------- ------
$79,800 $7,900
</TABLE>
For the year ended December 31, 1999, PSI earned $589,537 in brokerage
commissions from transactions executed on behalf of the following Portfolios:
<TABLE>
<CAPTION>
Fund Commission
---- ----------
<S> <C>
Conservative Balanced Portfolio........ $ 2,600
Flexible Managed Portfolio............. 10,257
Equity Income Portfolio................ 69,381
Equity Portfolio....................... 319,224
Prudential Jennison Portfolio.......... 188,075
--------
$589,537
</TABLE>
NOTE 5: JOINT REPURCHASE AGREEMENT ACCOUNT
The Series Fund may transfer uninvested cash balances into a single joint
repurchase agreement account, the daily aggregate balance of which is invested
in one or more repurchase agreements collateralized by U.S. Government
obligations. The Series Fund's undivided interest in the joint repurchase
agreement account represented $744,612,000 as of December 31, 1999. The
Portfolios of the Series Fund with cash invested in the joint accounts had the
following principal amounts and percentage participation in the account:
<TABLE>
<CAPTION>
Principal Percentage
Amount Interest
------------- ----------
<S> <C> <C>
Diversified Bond Portfolio............. $ 39,380,000 5.29%
Conservative Balanced Portfolio........ 87,560,000 11.76
Flexible Managed Portfolio............. 164,437,000 22.08
High Yield Bond Portfolio.............. 38,984,000 5.24
Stock Index Portfolio.................. 60,195,000 8.08
Equity Income Portfolio................ 37,352,000 5.02
Equity Portfolio....................... 106,923,000 14.36
Prudential Jennison Portfolio.......... 121,024,000 16.25
Global Portfolio....................... 30,645,000 4.12
All other portfolios (currently not
available to Variable Universal
Life)................................ 58,112,000 7.80
------------ ------
$744,612,000 100.00%
</TABLE>
C6
<PAGE>
As of such date, each repurchase agreement in the joint account and the
collateral therefor were as follows:
ABN AMRO Incorporated, 2.75%, in the principal amount of $210,000,000,
repurchase price $210,048,125, due 1/3/00. The value of the collateral including
accrued interest was $214,200,332.
Bear, Stearns & Co., Inc., 2.75%, in the principal amount of $210,000,000,
repurchase price $210,048,125, due 1/3/00. The value of the collateral including
accrued interest was $214,345,594.
Lehman Brothers, Inc., 2.50%, in the principal amount of $100,000,000,
repurchase price $100,020,833, due 1/3/00. The value of the collateral including
accrued interest was $101,984,334.
Morgan (J.P.) Securities, Inc., 4.50%, in the principal amount of $114,612,000,
repurchase price $114,654,980, due 1/3/00. The value of the collateral including
accrued interest was $117,037,615.
Salomon Smith Barney Inc., 2.00%, in the principal amount of $110,000,000,
repurchase price $110,018,333, due 1/3/00. The value of the collateral including
accrued interest was $112,554,452.
NOTE 6: PORTFOLIO SECURITIES
The aggregate cost of purchases and proceeds from sales of securities (excluding
short-term issues) for the year ended December 31, 1999 were as follows:
Cost of Purchases:
<TABLE>
<CAPTION>
HIGH
DIVERSIFIED CONSERVATIVE FLEXIBLE YIELD STOCK
BOND BALANCED MANAGED BOND INDEX
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Government Securities................... $1,032,602,727 $2,149,354,256 $1,633,799,829 0 0
Non-Government Securities............... $1,163,102,559 $2,569,102,770 $1,933,267,104 $ 475,211,435 $ 503,214,225
<CAPTION>
EQUITY PRUDENTIAL
INCOME EQUITY JENNISON GLOBAL
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Government Securities................... 0 0 0 $ 74,089,245
Non-Government Securities............... $ 329,424,255 $ 520,771,256 $1,802,534,059 $ 644,610,288
</TABLE>
Proceeds from Sales:
<TABLE>
<CAPTION>
HIGH
DIVERSIFIED CONSERVATIVE FLEXIBLE YIELD STOCK
BOND BALANCED MANAGED BOND INDEX
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Government Securities................... $1,023,069,086 $2,058,784,264 $1,439,490,553 0 0
Non-Government Securities............... $ 945,723,708 $3,179,565,912 $2,423,290,053 $ 436,350,631 $ 75,111,780
<CAPTION>
EQUITY PRUDENTIAL
INCOME EQUITY JENNISON GLOBAL
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Government Securities................... 0 0 0 $ 74,099,000
Non-Government Securities............... $ 614,171,048 $1,308,865,108 $1,035,995,886 $ 623,485,896
</TABLE>
The High Yield Portfolio entered into written call options as follows:
<TABLE>
<CAPTION>
CONTRACTS PREMIUMS
--------- ---------
<S> <C> <C>
Balance as of December 31, 1998........ 0 $ 0
Options written........................ 34 68,000
--- -------
Balance as of December 31, 1999........ 34 $68,000
=== =======
</TABLE>
The Global Portfolio entered into 3 swap agreements with Merrill Lynch
International. The portfolio receives the change in the market value of shares
of Taiwan Semiconductor including dividends and the Portfolio pays 3 month LIBOR
plus 0.75% based on the value of the shares of Taiwan Semiconductor on the date
the contract was entered into. In addition, the Portfolio will pay a fee at
termination of the swap equal to the number of shares of Taiwan Semiconductor
times the market price on termination date times 0.0075. Details of the swap
agreements are as follows:
<TABLE>
<CAPTION>
Open Termination Current Current
Date Date Shares Value Basis Appreciation
---------- ----------- ------------ -------------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C>
8/16/99 8/18/00 1,464,601 $ 7,652,912 $ 7,011,838 $ 641,074
11/16/99 8/18/00 979,400 5,172,329 4,796,416 375,913
12/23/99 8/18/00 1,068,669 5,680,268 5,310,003 370,265
----------- ----------- ----------
$18,505,509 $17,118,258 $1,387,252
</TABLE>
C7
<PAGE>
The federal income tax basis and unrealized appreciation (depreciation) of the
Series Fund's investments as of December 31, 1999 were as follows:
<TABLE>
<CAPTION>
HIGH
DIVERSIFIED CONSERVATIVE FLEXIBLE YIELD STOCK
BOND BALANCED MANAGED BOND INDEX
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Gross Unrealized Appreciation........... $ 4,539,643 $ 618,254,006 $ 830,907,342 $ 22,003,313 $2,409,423,762
Gross Unrealized Depreciation........... 48,433,942 240,643,859 422,071,306 107,501,436 99,360,670
Total Net Unrealized.................... (43,894,299) 377,610,147 408,836,036 (85,498,123) 2,310,063,092
Tax Basis............................... 1,297,397,697 4,477,171,346 5,222,267,377 883,980,108 2,346,099,763
<CAPTION>
EQUITY PRUDENTIAL
INCOME EQUITY JENNISON GLOBAL
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Gross Unrealized Appreciation........... $ 544,531,534 $1,820,600,926 $ 909,029,943 $ 557,819,864
Gross Unrealized Depreciation........... 302,384,157 470,574,036 17,746,324 13,711,041
Total Net Unrealized.................... 242,147,377 1,350,026,890 891,283,619 544,108,823
Tax Basis............................... 1,837,511,315 4,885,331,050 1,879,472,267 731,553,655
</TABLE>
For federal income tax purposes, the following Portfolios had capital loss
carryforwards as of December 31, 1999. Accordingly, no capital gain
distributions are expected to be paid to shareholders until net gains have been
realized in excess of such amounts:
<TABLE>
<CAPTION>
POST OCTOBER POST OCTOBER CAPITAL LOSS CAPITAL LOSS
CURRENCY CAPITAL CARRYFORWARDS CARRYFORWARDS
LOSSES DEFERRED LOSSES DEFERRED UTILIZED IN 1999 AVAILABLE EXPIRATION DATE
--------------- --------------- ---------------- ------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Conservative Balanced
Portfolio.............. -- $ 8,302,364 -- --
Flexible Managed
Portfolio.............. -- 16,235,978 -- --
High Yield Bond
Portfolio.............. -- 4,418,508 -- $(2,841,700) 2003
(43,467,300) 2007
-----------
(46,309,000)
Global Portfolio......... $262,338 -- -- -- --
</TABLE>
NOTE 7: CAPITAL
The Series Fund offers Class I and Class II shares. Both Class I and Class II
shares of a Portfolio are not 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 The 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 accounts invest in
shares of the Series Fund through subaccounts that correspond to the portfolios.
The accounts will redeem shares of the Series Fund to the extent necessary to
provide benefits under the contracts or for such other purposes as may be
consistent with the contracts. As of December 31, 1999, only the Equity
Portfolio has Class II shares outstanding.
Transactions in shares of common stock of the Equity Portfolio for the year
ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
Class I Shares Amount
------- ------------ ----------------
<S> <C> <C>
Year ended December 31, 1999:
Capital stock sold..................... 8,671,360 $ 269,536,387
Capital stock issued in reinvestment of
dividends and distributions.......... 29,303,403 842,957,463
Capital stock repurchased.............. (33,039,026) (1,018,930,728)
----------- ---------------
Net decrease in shares outstanding..... 4,935,737 $ 93,563,122
=========== ===============
</TABLE>
<TABLE>
<CAPTION>
Class II Shares Amount
-------- ------------ ----------------
<S> <C> <C>
May 3, 1999(a) through December 31,
1999:
Capital stock sold..................... 14,063 $ 457,113
Capital stock issued in reinvestment of
dividends and distributions.......... 1,186 33,511
Capital stock repurchased.............. (4,199) (135,030)
----------- ---------------
Net increase in shares outstanding..... 11,050 $ 355,594
=========== ===============
</TABLE>
(a) Commencement of offering of Class II shares.
C8
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MONEY MARKET
----------------------------------------------
YEAR ENDED
DECEMBER 31,
----------------------------------------------
1999 1998 1997 1996 1995(A)
--------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 10.00 $10.00 $10.00 $10.00 $10.00
-------- ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income and realized and
unrealized gains..................... 0.49 0.52 0.54 0.51 0.56
Dividends and distributions............ (0.49) (0.52) (0.54) (0.51) (0.56)
-------- ------ ------ ------ ------
Net Asset Value, end of year........... $ 10.00 $10.00 $10.00 $10.00 $10.00
======== ====== ====== ====== ======
TOTAL INVESTMENT RETURN:(b)............ 4.97% 5.39% 5.41% 5.22% 5.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $1,335.5 $920.2 $657.5 $668.8 $613.3
Ratios to average net assets:
Expenses............................. 0.42% 0.41% 0.43% 0.44% 0.44%
Net investment income................ 4.90% 5.20% 5.28% 5.10% 5.64%
</TABLE>
<TABLE>
<CAPTION>
DIVERSIFIED BOND
-----------------------------------------------------
YEAR ENDED
DECEMBER 31,
-----------------------------------------------------
1999 1998 1997 1996 1995(A)
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 11.06 $ 11.02 $ 11.07 $ 11.31 $ 10.04
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.67 0.69 0.80 0.76 0.76
Net realized and unrealized gains
(losses) on investments.............. (0.75) 0.08 0.11 (0.27) 1.29
-------- -------- -------- -------- --------
Total from investment operations... (0.08) 0.77 0.91 0.49 2.05
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.69) (0.83) (0.73) (0.75)
Distributions from net realized
gains................................ (0.03) (0.04) (0.13) -- (0.03)
-------- -------- -------- -------- --------
Total distributions................ (0.03) (0.73) (0.96) (0.73) (0.78)
-------- -------- -------- -------- --------
Net Asset Value, end of year........... $ 10.95 $ 11.06 $ 11.02 $ 11.07 $ 11.31
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:(b)............ (0.74)% 7.15% 8.57% 4.40% 20.73%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $1,253.8 $1,122.6 $816.7 $720.2 $655.8
Ratios to average net assets:
Expenses............................. 0.43% 0.42% 0.43% 0.45% 0.44%
Net investment income................ 6.25% 6.40% 7.18% 6.89% 7.00%
Portfolio turnover rate................ 171% 199% 224% 210% 199%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each year reported and includes
reinvestment of dividends and distributions.
SEE NOTES TO FINANCIAL STATEMENTS.
D1
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CONSERVATIVE BALANCED
---------------------------------------------------------
YEAR ENDED
DECEMBER 31,
---------------------------------------------------------
1999 1998 1997 1996 1995(A)
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 15.08 $ 14.97 $ 15.52 $ 15.31 $ 14.10
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.62 0.66 0.76 0.66 0.63
Net realized and unrealized gains on
investments.......................... 0.37 1.05 1.26 1.24 1.78
-------- -------- -------- -------- --------
Total from investment operations... 0.99 1.71 2.02 1.90 2.41
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.62) (0.66) (0.76) (0.66) (0.64)
Distributions from net realized
gains................................ (0.06) (0.94) (1.81) (1.03) (0.56)
Distributions in excess of net realized
gains................................ (0.03) -- -- -- --
-------- -------- -------- -------- --------
Total distributions................ (0.71) (1.60) (2.57) (1.69) (1.20)
-------- -------- -------- -------- --------
Net Asset Value, end of year........... $ 15.36 $ 15.08 $ 14.97 $ 15.52 $ 15.31
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:(b)............ 6.69% 11.74% 13.45% 12.63% 17.27%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $4,387.1 $4,796.0 $4,744.2 $4,478.8 $3,940.8
Ratios to average net assets:
Expenses............................. 0.57% 0.57% 0.56% 0.59% 0.58%
Net investment income................ 4.02% 4.19% 4.48% 4.13% 4.19%
Portfolio turnover rate................ 109% 167% 295% 295% 201%
</TABLE>
<TABLE>
<CAPTION>
FLEXIBLE MANAGED PORTFOLIO
---------------------------------------------------------
YEAR ENDED
DECEMBER 31,
---------------------------------------------------------
1999 1998 1997 1996 1995(A)
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 16.56 $ 17.28 $ 17.79 $ 17.86 $ 15.50
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.58 0.58 0.59 0.57 0.56
Net realized and unrealized gains on
investments.......................... 0.69 1.14 2.52 1.79 3.15
-------- -------- -------- -------- --------
Total from investment operations... 1.27 1.72 3.11 2.36 3.17
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.59) (0.58) (0.58) (0.56)
Distributions from net realized
gains................................ (0.19) (1.85) (3.04) (1.85) (0.79)
-------- -------- -------- -------- --------
Total distributions................ (0.19) (2.44) (3.62) (2.43) (1.35)
-------- -------- -------- -------- --------
Net Asset Value, end of year........... $ 17.64 $ 16.56 $ 17.28 $ 17.79 $ 17.86
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:(b)............ 7.78% 10.24% 17.96% 13.64% 24.13%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $5,125.3 $5,410.0 $5,490.1 $4,896.9 $4,261.2
Ratios to average net assets:
Expenses............................. 0.62 0.61% 0.62% 0.64% 0.63%
Net investment income................ 3.20 3.21% 3.02% 3.07% 3.30%
Portfolio turnover rate................ 76% 138% 227% 233% 173%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each year reported and includes
reinvestment of dividends and distributions.
SEE NOTES TO FINANCIAL STATEMENTS.
D2
<PAGE>
<TABLE>
<CAPTION>
HIGH YIELD BOND
---------------------------------------------------------
YEAR ENDED
DECEMBER 31,
---------------------------------------------------------
1999 1998 1997 1996 1995(A)
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 7.21 $ 8.14 $ 7.87 $ 7.80 $ 7.37
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.79 0.77 0.78 0.80 0.81
Net realized and unrealized gains
(losses) on investments.............. (0.46) (0.94) 0.26 0.06 0.46
Dividends and distributions............
-------- -------- -------- -------- --------
Total from investment operations... 0.33 (0.17) 1.04 0.86 1.27
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.02) (0.76) (0.77) (0.78) (0.84)
Dividends in excess of net investment
income............................... -- -- -- (0.01) --
-------- -------- -------- -------- --------
Total distributions................ (0.02) (0.76) (0.77) (0.79) (0.84)
-------- -------- -------- -------- --------
Net Asset Value, end of year........... $ 7.52 $ 7.21 $ 8.14 $ 7.87 $ 7.80
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:(b)............ 4.61% (2.36)% 13.78% 11.39% 17.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $802.2 $789.3 $568.7 $432.9 $367.9
Ratios to average net assets:
Expenses............................. 0.60% 0.58% 0.57% 0.63% 0.61%
Net investment income................ 10.48% 10.31% 9.78% 9.89% 10.34%
Portfolio turnover rate................ 58% 63% 106% 88% 139%
</TABLE>
<TABLE>
<CAPTION>
STOCK INDEX
---------------------------------------------------------
YEAR ENDED
DECEMBER 31,
---------------------------------------------------------
1999 1998 1997 1996 1995(A)
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 37.74 $ 30.22 $ 23.74 $ 19.96 $ 14.96
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.44 0.42 0.43 0.40 0.40
Net realized and unrealized gains
(losses) on investments.............. 7.23 8.11 7.34 4.06 5.13
-------- -------- -------- -------- --------
Total from investment operations... 7.67 8.53 7.77 4.46 5.53
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.43) (0.42) (0.42) (0.40) (0.38)
Distributions from net realized
gains................................ (0.53) (0.59) (0.87) (0.28) (0.15)
-------- -------- -------- -------- --------
Total distributions................ (0.96) (1.01) (1.29) (0.68) (0.53)
-------- -------- -------- -------- --------
Net Asset Value, end of year........... $ 44.45 $ 37.74 $ 30.22 $ 23.74 $ 19.96
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:(b)............ 20.54% 28.42% 32.83% 22.57% 37.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $4,655.0 $3,548.1 $2,448.2 $1,581.4 $1,031.3
Ratios to average net assets:
Expenses............................. 0.39% 0.37% 0.37% 0.40% 0.38%
Net investment income................ 1.09% 1.25% 1.55% 1.95% 2.27%
Portfolio turnover rate................ 2% 3% 5% 1% 1%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions.
SEE NOTES TO FINANCIAL STATEMENTS.
D3
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO
---------------------------------------------------------
YEAR ENDED
DECEMBER 31,
---------------------------------------------------------
1999 1998 1997 1996 1995(A)
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 20.03 $ 22.39 $ 18.51 $ 16.27 $ 14.48
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.51 0.56 0.61 0.58 0.64
Net realized and unrealized gains
(losses) on investments.............. 1.89 (1.03) 6.06 2.88 2.50
Dividends and distributions............
-------- -------- -------- -------- --------
Total from investment operations... 2.40 (0.47) 6.67 3.46 3.14
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.50) (0.59) (0.57) (0.71) (0.62)
Distributions from net realized
gains................................ (2.41) (1.30) (2.22) (0.51) (0.73)
-------- -------- -------- -------- --------
Total distributions................ (2.91) (1.89) (2.79) (1.22) (1.35)
-------- -------- -------- -------- --------
Net Asset Value, end of year........... $ 19.52 $ 20.03 $ 22.39 $ 18.51 $ 16.27
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:(b)............ 12.52% (2.38)% 36.61% 21.74% 21.70%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $2,024.0 $2,142.3 $2,029.8 $1,363.5 $1,110.0
Ratios to average net assets:
Expenses............................. 0.42% 0.42% 0.41% 0.45% 0.43%
Net investment income................ 2.34% 2.54% 2.90% 3.36% 4.00%
Portfolio turnover rate................ 16% 20% 38% 21% 64%
</TABLE>
<TABLE>
<CAPTION>
EQUITY CLASS I EQUITY CLASS II
--------------------------------------------------------- -----------------
YEAR ENDED
DECEMBER 31, MAY 3, 1999(d)
--------------------------------------------------------- THROUGH
1999 1998 1997 1996 1995(A) DECEMBER 31, 1999
--------- --------- --------- --------- ------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 29.64 $ 31.07 $ 26.96 $ 25.64 $ 20.66 $ 32.79
-------- -------- -------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.54 0.60 0.69 0.71 0.55 0.28
Net realized and unrealized gains on
investments.......................... 3.02 2.21 5.88 3.88 5.89 (0.60)
-------- -------- -------- -------- -------- -------
Total from investment operations... 3.56 2.81 6.57 4.59 6.44 (0.32)
-------- -------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.53) (0.60) (0.70) (0.67) (0.52) (0.34)
Distributions from net realized
gains................................ (3.77) (3.64) (1.76) (2.60) (0.94) (3.21)
-------- -------- -------- -------- -------- -------
Total distributions................ (4.30) (4.24) (2.46) (3.27) (1.46) (3.55)
-------- -------- -------- -------- -------- -------
Net Asset Value, end of period......... $ 28.90 $ 29.64 $ 31.07 $ 26.96 $ 25.64 $ 28.92
======== ======== ======== ======== ======== =======
TOTAL INVESTMENT RETURN:(b)............ 12.49% 9.34% 24.66% 18.52% 31.29% (0.68)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $6,235.0 $6,247.0 $6,024.0 $4,814.0 $3,813.8 $0.3
Ratios to average net assets:
Expenses............................. 0.47% 0.47% 0.46% 0.50% 0.48% 0.87%(c)
Net investment income................ 1.72% 1.81% 2.27% 2.54% 2.28% 1.33%(c)
Portfolio turnover rate................ 9% 25% 13% 20% 18% 9%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions.
(c) Annualized
(d) Commencement of offering of Class II shares.
SEE NOTES TO FINANCIAL STATEMENTS.
D4
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRUDENTIAL JENNISON
--------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, APRIL 25, 1995(d)
---------------------------------------- TO
1999 1998 1997 1996 DECEMBER 31, 1995(A)
--------- --------- -------- -------- --------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of period... $ 23.91 $ 17.73 $ 14.32 $ 12.55 $ 10.00
-------- -------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.05 0.04 0.04 0.02 0.02
Net realized and unrealized gains on
investments.......................... 9.88 6.56 4.48 1.78 2.54
-------- -------- ------- ------- -------
Total from investment operations... 9.93 6.60 4.52 1.80 2.56
-------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income... (0.05) (0.04) (0.04) (0.03) (0.01)
Distributions from net realized
gains................................ (1.40) (0.38) (1.07) -- --
-------- -------- ------- ------- -------
Total distributions................ (1.45) (0.42) (1.11) (0.03) (0.01)
-------- -------- ------- ------- -------
Net Asset Value, end of period......... $ 32.39 $ 23.91 $ 17.73 $ 14.32 $ 12.55
======== ======== ======= ======= =======
TOTAL INVESTMENT RETURN:(b)............ 41.76% 37.46% 31.71% 14.41% 24.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)............................ $2,770.7 $1,198.7 $495.9 $226.5 $63.1
Ratios to average net assets:
Expenses............................. 0.63% 0.63% 0.64% 0.66% 0.79%(c)
Net investment income................ 0.17% 0.20% 0.25% 0.20% 0.15%(c)
Portfolio turnover rate................ 58% 54% 60% 46% 37%
</TABLE>
<TABLE>
<CAPTION>
GLOBAL
---------------------------------------------------
YEAR ENDED
DECEMBER 31,
---------------------------------------------------
1999 1998 1997 1996 1995(A)
--------- ------- ------- ------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year..... $ 21.16 $17.92 $17.85 $15.53 $13.88
-------- ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.06 0.07 0.09 0.11 0.06
Net realized and unrealized gains
(losses) on investments.............. 10.04 4.38 1.11 2.94 2.14
-------- ------ ------ ------ ------
Total from investment operations... 10.10 4.45 1.20 3.05 2.20
-------- ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.16) (0.13) (0.11) (0.24)
Dividends in excess of net investment
income............................... (0.10) (0.12) (0.10) -- --
Distributions from net realized
gains................................ (0.18) (0.93) (0.90) (0.62) (0.31)
-------- ------ ------ ------ ------
Total distributions................ (0.28) (1.21) (1.13) (0.73) (0.55)
-------- ------ ------ ------ ------
Net Asset Value, end of year........... $ 30.98 $21.16 $17.92 $17.85 $15.53
======== ====== ====== ====== ======
TOTAL INVESTMENT RETURN:(b) 48.27% 25.08% 6.98% 19.97% 15.88%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)............................ $1,298.3 $844.5 $638.4 $580.6 $400.1
Ratios to average net assets:
Expenses............................. 0.84% 0.86% 0.85% 0.92% 1.06%
Net investment income................ 0.21% 0.29% 0.47% 0.64% 0.44%
Portfolio turnover rate................ 76% 73% 70% 41% 59%
</TABLE>
(a) Calculations are based on average month-end shares outstanding.
(b) Total investment return is calculated assuming a purchase of shares on the
first day and a sale on the last day of each period reported and includes
reinvestment of dividends and distributions. Total investment returns for
less than a full year are not annualized.
(c) Annualized
(d) Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS.
D5
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE BOARD OF DIRECTORS AND SHAREHOLDERS OF THE PRUDENTIAL SERIES FUND, INC.:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Portfolio,
Diversified Bond Portfolio, Conservative Balanced Portfolio, Flexible Managed
Portfolio, High Yield Bond Portfolio, Stock Index Portfolio, Equity Income
Portfolio, Equity Portfolio, Prudential Jennison Portfolio and Global Portfolio
(ten of the seventeen portfolios that constitute The Prudential Series Fund,
Inc.; the "Portfolios") at December 31, 1999, the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and each of their financial
highlights for each of the four years in the period then ended, in conformity
with accounting principles generally accepted in the United States. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1999 by correspondence with the
custodian and, provide a reasonable basis for the opinion expressed above. The
financial highlights of each Portfolio for the period ended December 31, 1995
were audited by other independent accountants whose opinion dated February 15,
1996 was unqualified.
PricewaterhouseCoopers LLP
1177 Avenue of the America
New York, NY 10036
February 23, 2000
TAX INFORMATION (UNAUDITED)
Although we understand that the vast majority, if not all, of the
shareholders/contract holders of the Series Fund currently maintain a tax
deferred status, we are nevertheless required by the Internal Revenue Code to
advise you within 60 days of the Series Fund's fiscal year end (December 31,
1999) as to the federal tax status of dividends paid by the Series Fund during
such fiscal year. Accordingly, we are advising you that in 1999, the Series Fund
paid dividends as follows:
<TABLE>
<CAPTION>
ORDINARY DIVIDENDS
------------------
SHORT-TERM LONG-TERM TOTAL
INCOME CAPITAL GAINS CAPITAL GAINS DIVIDENDS
-------- ------------- ------------- ---------
<S> <C> <C> <C> <C>
Money Market Porfolio $0.490 $0.490
Diversified Bond Portfolio $0.029 $0.001 0.030
Conservative Balanced Portfolio 0.623 0.043 0.043 0.709
Flexible Managed Portfolio 0.001 0.100 0.093 0.194
High Yield Bond Portfolio 0.020 0.020
Stock Index Portfolio 0.434 0.069 0.462 0.965
Equity Income Portfolio 0.496 0.164 2.247 2.907
Equity Portfolio 0.530 0.260 3.511 4.301
Prudential Jennison Portfolio 0.047 1.397 1.444
Global Portfolio 0.100 0.018 0.157 0.275
</TABLE>
E1
<PAGE>
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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 Contract Owners from the toll-free number. The phone
lines are open each business day during the hours shown. Please be sure to have
your contract number available when you call.
[GRAPHIC]
1-800-944-8786
7a.m.-6p.m. Central Time
- --------------------------------------------------------------------------------
In the past, Contract Owners who held several variable contracts at the same
address received multiple copies of annual reports and semiannual reports. In an
effort to lessen waste and reduce your fund's expenses of postage and printing,
we will attempt to mail only one copy of this report, based on our current
records for Contract Owners with the same last name and same address. No action
on your part is necessary. Upon request, we will furnish you with additional
reports. The above toll-free number should be used to request any additional
copies of this report by contacting the reallocation area. Proxy material and
tax information will continue to be sent to each account of record.
- --------------------------------------------------------------------------------
Standard & Poor's 500 Composite Stock Price Index (S&P 500) comprises 500 large,
established, publicly traded stocks. Morgan Stanley Capital International Europe
Index comprises approximately 620 European companies. Salomon Brothers Extended
Market Index defines the small capitalization stock universe or remaining 20% of
the available capital of each country and includes the remaining 75% of the BMI
issues. The BMI measures the performance of the entire universe of
institutionally investable securities. Morgan Stanley Capital International
Europe, Australia, Far East Index is a weighted, unmanaged index of performance
that reflects stock price movements in Europe, Australasia, and the Far East.
S&P 500/Barra Value Index contains companies within the S&P 500 with lower
price-to-book ratios. S&P 500/Barra Growth Index contains companies within the
S&P 500 with higher price-to-book ratios. Russell 2000 Value Index measures the
performance of Russell 2000 companies with lower price-to-book ratios. Russell
2000 Growth Index measures the performance of Russell 2000 companies with higher
price-to-book ratios. Morgan Stanley Capital International World Free Index
contains companies in the MSCI World Index that reflect actual buyable
opportunities for the nondomestic investor by taking into account local market
restrictions on share ownership by foreigners. These indexes are calculated in
U.S. dollars, without dividends reinvested. Morgan Stanley Capital International
Japan Index measures the performance of Japan's stock market.
<PAGE>
- --------------------------------------------------------------------------------
Whether providing insurance protection for home, family and business or
arranging to cover future education and retirement expenses, Prudential people
have always been able to deliver something more: personal service, quality,
attention to detail and the financial strength of The Rock(R). Since 1875,
Prudential has been helping individuals and families meet their financial needs.
------------
P.O. Box 7478 Bulk Rate
Philadelphia, PA 19101-7478 U.S. Postage
PAID
Address Service Requested Prudential
------------
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