<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 each of the
fifteen portfolios,
Money Market, Diversified Bond, Government Income, Zero
Coupon Bond 2000, Zero
Coupon Bond 2005, Conservative Balanced, Flexible
Managed, High Yield Bond,
Stock Index, Equity Income, Equity, Prudential Jennison,
Small Capitalization
Stock, Global and Natural Resources, that comprise The
Prudential Series Fund,
Inc. (collectively the "Portfolios") at December 31, 1996,
the results of each
of their operations, the changes in each of their net
assets, and each of their
financial highlights for the year ended December 31, 1996,
in conformity with
generally accepted accounting principles. 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
generally accepted
auditing standards 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, 1996 by
correspondence with the custodian and brokers and the
application of alternative
auditing procedures where confirmations from brokers were
not received, provide
a reasonable basis for the opinion expressed above. The
accompanying Statements
of Changes in Net Assets and Financial Highlights of the
Prudential Jennison
Portfolio and Small Capitalization Stock Portfolio for the
period April 25, 1995
through December 31, 1995, and the accompanying
Statements of Changes in Net
Assets for the year ended December 31, 1995, and Financial
Highlights for each
of the four years in the period ended December 31, 1995
for each of the other
thirteen portfolios were audited by other independent
accountants, whose opinion
dated February 15, 1996 was unqualified.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, NY 10036
February 14, 1997
E1
<PAGE>
BOARD OF
DIRECTORS THE PRUDENTIAL SERIES FUND, INC.
MENDEL A. MELZER W. SCOTT McDONALD, JR., E.
MICHAEL CAULFIELD,
CHAIRMAN, PhD. CEO,
THE PRUDENTIAL SERIES EXECUTIVE VICE
PRUDENTIAL INVESTMENTS
FUND, INC. PRESIDENT,
PRESIDENT, THE
FAIRLEIGH DICKINSON
PRUDENTIAL SERIES FUND,
UNIVERSITY INC.
SAUL K. FENSTER, PhD. JOSEPH WEBER,
PhD.
PRESIDENT, NEW JERSEY VICE
PRESIDENT,
INSTITUTE OF TECHNOLOGY INTERCLASS
(INTERNATIONAL
CORPORATE
LEARNING)
TAX INFORMATION
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,
1996) as to the federal tax status of dividends paid by
the Fund during such
fiscal year. Accordingly, we are advising you that in
1996, the Fund paid
dividends as follows:
Ordinary Dividends
Short-Term
Long-Term Total
Income Capital Gains
Capital Gains Dividends
Money Market Portfolio $ 0.510
$ 0.510
Diversified Bond Portfolio 0.727
0.727
Government Income Portfolio 0.740
0.740
Zero Coupon Bond 2000 Portfolio 0.540
0.540
Zero Coupon Bond 2005 Portfolio 0.639 $
0.138 0.777
Conservative Balanced Portfolio 0.661 $ 0.047
0.980 1.688
Flexible Managed Portfolio 0.577 0.218
1.631 2.426
High Yield Bond Portfolio 0.793
0.793
Stock Index Portfolio 0.404 0.066
0.207 0.677
Equity Income Portfolio 0.711 0.121
0.384 1.216
Equity Portfolio 0.671 0.319
2.282 3.272
Prudential Jennison Portfolio 0.030
0.030
Small Capitalization Stock
Portfolio 0.094 0.229
0.039 0.362
Global Portfolio 0.107 0.082
0.546 0.735
Natural Resources Portfolio 0.138 0.226
2.392 2.756
i
<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 fifteen Portfolios
("Portfolio" or "Portfolios"),
each with a separate series of capital stock: Money
Market Portfolio,
Diversified Bond Portfolio, Government Income Portfolio,
Zero Coupon Bond 2000
Portfolio, Zero Coupon Bond 2005 Portfolio, Conservative
Balanced Portfolio,
Flexible Managed Portfolio, High Yield Bond Portfolio,
Stock Index Portfolio,
Equity Income Portfolio, Equity Portfolio, Prudential
Jennison Portfolio, Small
Capitalization Stock Portfolio, Global Portfolio and
Natural Resources
Portfolio. Shares in the Series Fund are currently sold only
to certain separate
accounts of The Prudential Insurance Company of America
("The Prudential"),
Pruco Life Insurance Company and Pruco Life Insurance
Company of New Jersey
(together referred to as the "Companies") to fund
benefits under certain
variable life insurance and variable annuity contracts
("contracts") issued by
the Companies. 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.
NOTE 2: ACCOUNTING POLICIES
The following is a summary of significant accounting
policies consistently
followed by the Series Fund in preparation of its
financial statements. These
policies are in conformity with generally accepted
accounting principles.
SECURITIES VALUATION: Securities traded on an exchange
(whether domestic or
foreign) are valued at the last reported sales price on the
primary exchange on
which they are traded. Securities traded in the over-
the-counter market
(including securities listed on exchanges for which a last
sales price is not
available) are valued at the average of the last reported
bid and asked prices.
Convertible debt securities are valued at the mean
between the most recently
quoted bid and asked prices provided by principal market
makers. High yield
bonds are valued either by quotes received from principal
market makers or by an
independent pricing service which determine prices by
analysis of quality,
coupon, maturity and other factors. Any security for which
a reliable market
quotation is unavailable is valued at fair value as
determined in good faith by
or 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.
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
be delayed or limited. (See Note 5).
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 of securities held at the end
of the fiscal year.
Similarly, the Series Fund does not isolate the
effect of changes
C1
<PAGE>
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 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.
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 the Portfolio makes a short sale, it must
borrow the security sold
short and deliver it to the broker-dealer through which it
made the short sale
as collateral for its obligation to deliver the security
upon conclusion of the
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 sale 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 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.
C2
<PAGE>
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
three elements: stated
coupon, original issue discount and market discount, 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. 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.
CUSTODY FEE CREDITS: The Series Fund, exclusive of the
Global Portfolio, 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 Statements 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 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 Fund.
The Money Market Portfolio will declare and reinvest
dividends from net
investment income and net realized capital gain (loss)
daily. Each other
Portfolio will declare and distribute dividends from net
investment income and
distributions from net realized gains, if any, twice a
year. 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 fiscal year ended
December 31, 1996, the application of this statement
increased (decreased)
paid-in capital in excess of par (PC), undistributed
net investment income
("UNI") and accumulated net realized gains (losses) on
investments ("G/L") by
the following amounts:
<TABLE>
<CAPTION>
PC
UNI G/L
----------- -
- ---------- -----------
<S> <C>
<C> <C>
Diversified Bond Portfolio.................. $(7,574,364) $
(617,274) $ 8,191,638
Government Income Portfolio................. (16,529)
(1,481,055) 1,497,584
Zero Coupon Bond 2000 Portfolio............. (49,536)
49,665 (129)
Conservative Balanced Portfolio............. (15,661,578)
3,079,619 12,581,959
Flexible Managed Portfolio.................. (31,413,181)
8,052,179 23,361,002
High Yield Portfolio........................ (3,589,971)
2,838,653 751,318
Stock Index Portfolio....................... (937,091)
448,481 488,610
Equity Income Portfolio..................... (3,889,621)
11,442,266 (7,552,645)
Equity Portfolio............................ (10,995,498)
6,099,985 4,895,513
Prudential Jennison Portfolio............... --
130,598 (130,598)
Global Portfolio............................ (373,014)
5,985,915 (5,612,901)
Natural Resources Portfolio................. (39,838)
(86,067) 125,905
</TABLE>
Net investment income, net realized gains and net assets
were not affected by
these reclassifications.
C3
<PAGE>
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 Capital Corp. ("Jennison"),
under which Jennison
furnishes investment advisory services in connection with
the management of the
Prudential Jennison Portfolio. The Prudential compensates
Jennison for its
services as follows: 0.75% on the first $10 million of that
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 Prudential pays for the cost of PIC'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.
The investment advisory fee paid The Prudential is
computed daily and payable
quarterly, at the annual rates specified below of the
value of each of the
Portfolios' average daily net assets:
<TABLE>
<CAPTION>
Fund
Investment Advisory Fee
<S> <C>
Money Market Portfolio..............................
0.40%
Diversified Bond Portfolio..........................
0.40
Government Income Portfolio.........................
0.40
Zero Coupon Bond 2000 Portfolio.....................
0.40
Zero Coupon Bond 2005 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
Small Capitalization Stock Portfolio................
0.40
Global Portfolio....................................
0.75
Natural Resources Portfolio.........................
0.45
</TABLE>
The Prudential has agreed to refund to a 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 refund was required for the
fiscal year ended
December 31, 1996.
PIC and Jennison are indirect, wholly-owned subsidiaries of
The Prudential.
C4
<PAGE>
NOTE 4: OTHER TRANSACTIONS WITH AFFILIATES
For the fiscal year ended December 31, 1996, Prudential
Securities Incorporated,
an indirect, wholly owned subsidiary of The Prudential,
earned $961,524 in
brokerage commissions from transactions executed on behalf
of the Series Fund as
follows:
<TABLE>
<CAPTION>
Fund
Commission
<S>
<C>
Conservative Balanced
Portfolio................................ $ 120,976
Flexible Managed
Portfolio..................................... 582,317
Equity Income
Portfolio........................................
66,311
Equity
Portfolio...............................................
165,924
Global
Portfolio...............................................
19,388
Natural Resources
Portfolio.................................... 6,608
- ------------
$ 961,524
</TABLE>
As of December 31, 1996, The Prudential had investments of
$14,361,824 in the
Prudential Jennison Portfolio and $14,367,378 in the Small
Capitalization Stock
Portfolio.
NOTE 5: JOINT REPURCHASE AGREEMENT ACCOUNT
The portfolios of the Series Fund (excluding Global
Portfolio) 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
$868,381,000 as of December 31, 1996. The Portfolios of
the Series Fund with
cash invested in the joint account had the following
principal amounts and
percentage participation in the account:
<TABLE>
<CAPTION>
Principal Percentage
Amount Interest
-----
- -------- ------------
<S> <C>
<C>
Diversified Bond Portfolio........................... $
15,414,000 1.78%
Government Income Portfolio..........................
6,517,000 0.75
Zero Coupon Bond 2000 Portfolio......................
296,000 0.03
Conservative Balanced Portfolio......................
22,692,000 2.61
Flexible Managed Portfolio...........................
70,099,000 8.07
High Yield Bond Portfolio............................
31,450,000 3.62
Stock Index Portfolio................................
53,762,000 6.19
Equity Income Portfolio..............................
33,746,000 3.89
Equity Portfolio.....................................
599,921,000 69.09
Prudential Jennison Portfolio........................
10,688,000 1.23
Small Capitalization Stock Portfolio.................
15,582,000 1.79
Natural Resources Portfolio..........................
8,214,000 0.95
-----
- -------- ------------
$
868,381,000 100.00%
</TABLE>
As of such date, each repurchase agreement in the
joint account and the
collateral therefor were as follows:
Bear, Stearns & Co., Inc., 6.75%, in the principal
amount of $265,000,000,
repurchase price $265,099,375, due 1/2/97. The value of the
collateral including
accrued interest was $270,501,866.
Goldman, Sachs & Co., Inc., 5.85%, in the principal
amount of $73,381,000,
repurchase price $73,404,849, due 1/2/97. The value of the
collateral including
accrued interest was $75,883,443.
Smith Barney, Inc., 6.65%, in the principal amount of
$265,000,000, repurchase
price $265,097,902, due 1/2/97. The value of the
collateral including accrued
interest was $270,820,275.
UBS Securities Corp., 6.65%, in the principal amount of
$265,000,000, repurchase
price $265,097,902, due 1/2/97. The value of the
collateral including accrued
interest was $270,302,336.
The weighted average interest rate of these repurchase
agreements was 6.613%.
C5
<PAGE>
NOTE 6: PORTFOLIO SECURITIES
The aggregate cost of purchase and the proceeds from the
sales of securities
(excluding short-term issues) for the fiscal year ended
December 31, 1996 were
as follows:
Cost of Purchases:
<TABLE>
<CAPTION>
ZERO
ZERO HIGH
DIVERSIFIED GOVERNMENT COUPON
COUPON CONSERVATIVE FLEXIBLE YIELD
BOND INCOME 2000
2005 BALANCED MANAGED BOND
------------ ------------ -----------
- ----------- -------------- -------------- ------------
<S> <C> <C> <C>
<C> <C> <C> <C>
Debt Securities... $1,474,912,068 $473,601,266 $22,217,643
$ 5,528,123 $10,348,623,701 $7,818,989,849 $343,629,174
Equity
Securities...... 0 0 0
0 $ 524,839,665 $2,661,774,273 $ 10,633,778
</TABLE>
<TABLE>
<CAPTION>
SMALL
STOCK EQUITY
PRUDENTIAL CAPITALIZATION NATURAL
INDEX INCOME EQUITY
JENNISON STOCK GLOBAL RESOURCES
------------ ------------ -----------
- ----------- -------------- -------------- ------------
<S> <C> <C> <C>
<C> <C> <C> <C>
Debt Securities... 0 $ 37,152,915 0
0 0 0 0
Equity
Securities...... $322,878,792 $282,895,367 $644,784,097
$203,871,305 $ 87,947,226 $ 271,345,027 $179,453,886
</TABLE>
Proceeds From Sales:
<TABLE>
<CAPTION>
ZERO
ZERO HIGH
DIVERSIFIED GOVERNMENT COUPON
COUPON CONSERVATIVE FLEXIBLE YIELD
BOND INCOME 2000
2005 BALANCED MANAGED BOND
------------ ------------ -----------
- ----------- -------------- -------------- ------------
<S> <C> <C> <C>
<C> <C> <C> <C>
Debt Securities... $1,351,233,287 $433,921,140 $ 3,706,830
$ 2,335,050 $9,086,693,898 $7,188,296,334 $319,599,876
Equity
Securities...... 0 0 0
0 $ 797,513,299 $2,656,626,154 $ 8,018,168
</TABLE>
<TABLE>
<CAPTION>
SMALL
STOCK EQUITY
PRUDENTIAL CAPITALIZATION NATURAL
INDEX INCOME EQUITY
JENNISON STOCK GLOBAL RESOURCES
------------ ------------ -----------
- ----------- -------------- -------------- ------------
<S> <C> <C> <C>
<C> <C> <C> <C>
Debt Securities... 0 $ 44,135,081 0
0 0 0 0
Equity
Securities...... $ 13,326,025 $197,334,087 $653,768,417
$61,951,658 $ 10,754,845 $ 187,932,378 $130,313,128
</TABLE>
Transactions in options written during the fiscal year
ended December 31, 1996
were as follows:
<TABLE>
<CAPTION>
NATURAL RESOURCES
------------------------
CALL OPTIONS WRITTEN
------------------------
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- -----------
<S> <C> <C>
Options outstanding at
December 31, 1995....... 440 $ 163,675
Options written........... 134 43,147
Options terminated in
closing purchase
transactions............ (574) (206,822)
----------- -----------
Options outstanding at
December 31, 1996....... 0 0
----------- -----------
----------- -----------
</TABLE>
The federal income tax basis and unrealized
appreciation/depreciation of the
Fund's investments as of December 31, 1996 were as follows:
<TABLE>
<CAPTION>
ZERO ZERO
DIVERSIFIED GOVERNMENT
COUPON COUPON CONSERVATIVE FLEXIBLE
BOND INCOME
2000 2005 BALANCED MANAGED
------------- -----------
- -- ------------- ------------- -------------- ----------
- ----
<S> <C> <C>
<C> <C> <C> <C>
Gross Unrealized Appreciation... $16,153,798 $
6,581,659 $ 2,208,685 $ 1,997,518 $413,912,093
$610,666,412
Gross Unrealized Depreciation... 1,997,928
4,229,749 -- 89,880 67,562,846
36,056,964
Total Net Unrealized............ 14,155,870
2,351,910 2,208,685 1,907,638 346,349,247
574,609,448
Tax Basis....................... 729,283,625
474,449,592 42,593,668 23,876,529 4,192,119,381
4,406,819,646
<CAPTION>
SMALL
STOCK EQUITY
PRUDENTIAL CAPITALIZATION
INDEX INCOME
EQUITY JENNISON STOCK GLOBAL
------------- -----------
- -- ------------- ------------- -------------- ----------
- ----
<S> <C> <C>
<C> <C> <C> <C>
Gross Unrealized Appreciation... $546,264,662
$297,676,452 1$,153,620,111 $31,401,080 $ 22,262,161
$127,364,695
Gross Unrealized Depreciation... 13,128,946
53,301,876 71,614,946 6,675,173 6,974,999
16,756,986
Total Net Unrealized............ 533,135,716
244,374,576 1,082,005,165 24,725,907 15,287,162
110,607,709
Tax Basis....................... 1,054,512,494
1,107,858,205 3,719,947,601 205,701,495 136,009,633
460,604,792
<CAPTION>
HIGH
YIELD
BOND
--------------
<S> <C>
Gross Unrealized Appreciation... $ 20,260,380
Gross Unrealized Depreciation... 8,960,353
Total Net Unrealized............ 11,300,027
Tax Basis....................... 415,325,778
NATURAL
RESOURCES
--------------
<S> <C>
Gross Unrealized Appreciation... $ 90,880,549
Gross Unrealized Depreciation... 12,691,982
Total Net Unrealized............ 78,188,567
Tax Basis....................... 359,799,612
</TABLE>
For federal income tax purposes, the following
Porfolios had post-October
deferred losses during 1996 and capital loss carryforwards
utilized during 1996
and available to offset future realized capital gains:
<TABLE>
<CAPTION>
CAPITAL
POST OCTOBER CAPITAL LOSSES
LOSSES
LOSSES CARRYFORWARDS
CARRYFORWARDS EXPIRATION
DEFERRED UTILIZED IN 1996
AVAILABLE DATE
-------------- ----------------
- - ------------ -------------
<S> <C> <C>
<C> <C>
Government Income
Portfolio............... -- $14,658,101
$7,917,291 12/31/2003
High Yield Bond
Portfolio............... $ 2,303,758 818,030
972,998 12/31/1999
3,273,984 12/31/2002
15,084,494 12/31/2003
- ------------
19,331,476
Prudential Jennison
Portfolio............... -- --
2,160,575 12/31/2004
Natural Resources
Portfolio............... 31,622 --
- -- --
</TABLE>
C6
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MONEY
MARKET
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
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 net
realized gains................... 0.51 0.56
0.40 0.29 0.37
Dividends and distributions........ (0.51) (0.56)
(0.40) (0.29) (0.37)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 10.00 $ 10.00 $
10.00 $ 10.00 $ 10.00
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RATE OF
RETURN:(B)....................... 5.22% 5.80%
4.05% 2.95% 3.79%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $668.8 $613.3
$583.3 $474.7 $528.7
Ratios to average net assets:
Expenses......................... 0.44% 0.44%
0.47% 0.45% 0.47%
Net investment income............ 5.10% 5.64%
4.02% 2.90% 3.72%
</TABLE>
<TABLE>
<CAPTION>
DIVERSIFIED BOND
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 11.31 $ 10.04 $
11.10 $ 10.83 $ 11.00
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.76 0.76
0.68 0.68 0.76
Net realized and unrealized gains
(losses) on investments.......... (0.27) 1.29
(1.04) 0.40 0.01
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 0.49 2.05
(0.36) 1.08 0.77
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment
income........................... (0.73) (0.75)
(0.68) (0.66) (0.72)
Distributions from net realized
gains............................ -- (0.03)
(0.02) (0.15) (0.22)
-------- -------- --
- ------ -------- --------
Total distributions............ (0.73) (0.78)
(0.70) (0.81) (0.94)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 11.07 $ 11.31 $
10.04 $ 11.10 $ 10.83
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 4.40% 20.73%
(3.23%) 10.13% 7.19%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $720.2 $655.8
$541.6 $576.2 $428.8
Ratios to average net assets:
Expenses......................... 0.45% 0.44%
0.45% 0.46% 0.47%
Net investment income............ 6.89% 7.00%
6.41% 6.05% 6.89%
Portfolio turnover rate............ 210% 199%
32% 41% 61%
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D1
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT INCOME
-----------------------
- ---------------------------
YEAR ENDED
DECEMBER 31,
-----------------------
- ---------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 11.72 $ 10.46 $
11.78 $ 11.09 $ 11.13
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.75 0.74
0.70 0.70 0.73
Net realized and unrealized gains
(losses) on investments.......... (0.51) 1.28
(1.31) 0.68 (0.09)
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 0.26 2.02
(0.61) 1.38 0.64
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment
income........................... (0.74) (0.76)
(0.71) (0.64) (0.59)
Distributions from net realized
gains............................ -- --
- -- (0.05) (0.09)
-------- -------- --
- ------ -------- --------
Total distributions............ (0.74) (0.76)
(0.71) (0.69) (0.68)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 11.22 $ 11.72 $
10.46 $ 11.78 $ 11.09
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 2.22% 19.48%
(5.16%) 12.56% 5.85%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $482.0 $501.8
$487.6 $540.1 $315.5
Ratios to average net assets:
Expenses......................... 0.46% 0.45%
0.45% 0.46% 0.53%
Net investment income............ 6.38% 6.55%
6.30% 5.91% 6.58%
Portfolio turnover rate............ 95% 195%
34% 19% 81%
</TABLE>
<TABLE>
<CAPTION>
ZERO
COUPON BOND 2000
-----------------------
- ---------------------------
YEAR ENDED
DECEMBER 31,
-----------------------
- ---------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 13.27 $ 11.86 $
13.72 $ 12.55 $ 12.40
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.55 0.59
0.92 0.85 0.89
Net realized and unrealized gains
(losses) on investments.......... (0.36) 1.95
(1.91) 1.16 0.14
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 0.19 2.54
(0.99) 2.01 1.03
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment
income........................... (0.54) (0.60)
(0.85) (0.84) (0.88)
Distributions from net realized
gains............................ -- (0.53)
(0.02) (0.01) --
-------- -------- --
- ------ -------- --------
Total distributions............ (0.54) (1.13)
(0.87) (0.84) (0.88)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 12.92 $ 13.27 $
11.86 $ 13.72 $ 12.55
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 1.53% 21.56%
(7.18%) 16.15% 8.59%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $44.7 $25.3
$20.6 $22.2 $16.7
Ratios to average net assets:
Expenses......................... 0.52% 0.48%
0.51% 0.62% 0.66%
Net investment income............ 4.88% 4.53%
6.69% 6.21% 7.24%
Portfolio turnover rate............ 13% 71%
9% 1% --
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D2
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ZERO
COUPON BOND 2005
-----------------------
- ---------------------------
YEAR ENDED
DECEMBER 31,
-----------------------
- ---------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 13.19 $ 10.74 $
12.68 $ 11.03 $ 10.87
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.66 0.66
0.75 0.77 0.80
Net realized and unrealized gains
(losses) on investments.......... (0.82) 2.73
(1.97) 1.62 0.21
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... (0.16) 3.39
(1.22) 2.39 1.01
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.64) (0.65)
(0.72) (0.74) (0.79)
Distributions from net realized
gains............................ (0.14) (0.29)
- -- -- (0.06)
-------- -------- --
- ------ -------- --------
Total distributions............ (0.78) (0.94)
(0.72) (0.74) (0.85)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 12.25 $ 13.19 $
10.74 $ 12.68 $ 11.03
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ (1.01%) 31.85%
(9.61%) 21.94% 9.66%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $25.8 $23.6
$16.5 $14.5 $9.8
Ratios to average net assets:
Expenses......................... 0.53% 0.49%
0.60% 0.66% 0.75%
Net investment income............ 5.42% 5.32%
6.53% 6.17% 7.46%
Portfolio turnover rate............ 10% 69%
6% 4% 11%
</TABLE>
<TABLE>
<CAPTION>
CONSERVATIVE BALANCED
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 15.31 $ 14.10 $
14.91 $ 14.24 $ 14.32
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.66 0.63
0.53 0.49 0.56
Net realized and unrealized gains
(losses) on investments.......... 1.24 1.78
(0.68) 1.23 0.41
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 1.90 2.41
(0.15) 1.72 0.97
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.66) (0.64)
(0.51) (0.47) (0.54)
Distributions from net realized
gains............................ (1.03) (0.56)
(0.15) (0.58) (0.51)
-------- -------- --
- ------ -------- --------
Total distributions............ (1.69) (1.20)
(0.66) (1.05) (1.05)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 15.52 $ 15.31 $
14.10 $ 14.91 $ 14.24
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 12.63% 17.27%
(0.97%) 12.20% 6.95%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $4,478.8 $3,940.8
$3,501.1 $3,103.2 $2,114.0
Ratios to average net assets:
Expenses......................... 0.59% 0.58%
0.61% 0.60% 0.62%
Net investment income............ 4.13% 4.19%
3.61% 3.22% 3.88%
Portfolio turnover rate............ 295% 201%
125% 79% 62%
Average commission rate paid per
share............................ $0.0554 N/A
N/A N/A N/A
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D3
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FLEXIBLE MANAGED
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 17.86 $ 15.50 $
16.96 $ 16.01 $ 16.29
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.57 0.56
0.47 0.57 0.58
Net realized and unrealized gains
(losses) on investments.......... 1.79 3.15
(1.02) 1.88 0.61
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 2.36 3.71
(0.55) 2.45 1.19
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.58) (0.56)
(0.45) (0.57) (0.56)
Distributions from net realized
gains............................ (1.85) (0.79)
(0.46) (0.93) (0.91)
-------- -------- --
- ------ -------- --------
Total distributions............ (2.43) (1.35)
(0.91) (1.50) (1.47)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 17.79 $ 17.86 $
15.50 $ 16.96 $ 16.01
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 13.64% 24.13%
(3.16%) 15.58% 7.61%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $4,896.9 $4,261.2
$3,481.5 $3,292.2 $2,435.6
Ratios to average net assets:
Expenses......................... 0.64% 0.63%
0.66% 0.66% 0.67%
Net investment income............ 3.07% 3.30%
2.90% 3.30% 3.63%
Portfolio turnover rate............ 233% 173%
124% 63% 59%
Average commission rate paid per
share............................ $0.0563 N/A
N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
HIGH
YIELD BOND
------------------------
- -------------------------
YEAR
ENDED
DECEMBER 31,
------------------------
- -------------------------
<S> <C> <C> <C>
<C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- ---
- ----- -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 7.80 $ 7.37 $
8.41 $ 7.72 $ 7.21
-------- -------- ---
- ----- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.80 0.81
0.87 0.82 0.82
Net realized and unrealized gains
(losses) on investments.......... 0.06 0.46
(1.10) 0.63 0.42
-------- -------- ---
- ----- -------- --------
Total from investment
operations..................... 0.86 1.27
(0.23) 1.45 1.24
-------- -------- ---
- ----- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.78) (0.84)
(0.81) (0.76) (0.73)
Dividends in excess of net
investment income................ (0.01) --
- -- -- --
-------- -------- ---
- ----- -------- --------
Total distributions............ (0.79) (0.84)
(0.81) (0.76) (0.73)
-------- -------- ---
- ----- -------- --------
Net Asset Value, end of year....... $ 7.87 $ 7.80 $
7.37 $ 8.41 $ 7.72
-------- -------- ---
- ----- -------- --------
-------- -------- ---
- ----- -------- --------
TOTAL INVESTMENT RETURN:(B)........ 11.39% 17.56%
(2.72%) 19.27% 17.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $432.9 $367.9
$306.2 $282.9 $153.7
Ratios to average net assets:
Expenses......................... 0.63% 0.61%
0.65% 0.65% 0.70%
Net investment income............ 9.89% 10.34%
9.88% 9.91% 10.67%
Portfolio turnover rate............ 88% 139%
69% 96% 75%
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D4
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
STOCK INDEX
----------------------
- ---------------------------
YEAR ENDED
DECEMBER 31,
----------------------
- ---------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- -
- ------- -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 19.96 $ 14.96 $
15.20 $ 14.22 $ 13.61
-------- -------- -
- ------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.40 0.40
0.38 0.36 0.35
Net realized and unrealized gains
(losses) on investments.......... 4.06 5.13
(0.23) 1.00 0.60
-------- -------- -
- ------- -------- --------
Total from investment
operations..................... 4.46 5.53
0.15 1.36 0.95
-------- -------- -
- ------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.40) (0.38)
(0.37) (0.35) (0.33)
Distributions from net realized
gains............................ (0.28) (0.15)
(0.02) (0.03) (0.01)
-------- -------- -
- ------- -------- --------
Total distributions............ (0.68) (0.53)
(0.39) (0.38) (0.34)
-------- -------- -
- ------- -------- --------
Net Asset Value, end of year....... $ 23.74 $ 19.96 $
14.96 $ 15.20 $ 14.22
-------- -------- -
- ------- -------- --------
-------- -------- -
- ------- -------- --------
TOTAL INVESTMENT RETURN:(B)........ 22.57% 37.06%
1.01% 9.66% 7.13%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $1,581.4 $1,031.3
$664.5 $615.1 $433.5
Ratios to average net assets:
Expenses......................... 0.40% 0.38%
0.42% 0.42% 0.46%
Net investment income............ 1.95% 2.27%
2.50% 2.43% 2.56%
Portfolio turnover rate............ 1% 1%
2% 1% 1%
Average commission rate paid per
share............................ $0.0250 N/A
N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
EQUITY INCOME
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year $ 16.27 $ 14.48 $
15.66 $ 13.67 $ 13.21
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.58 0.64
0.67 0.55 0.58
Net realized and unrealized gains
(losses) on investments.......... 2.88 2.50
(0.45) 2.46 0.72
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 3.46 3.14
0.22 3.01 1.30
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.71) (0.62)
(0.56) (0.50) (0.52)
Distributions from net realized
gains............................ (0.51) (0.73)
(0.82) (0.52) (0.32)
-------- -------- --
- ------ -------- --------
Total distributions............ (1.22) (1.35)
(1.38) (1.02) (0.84)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 18.51 $ 16.27 $
14.48 $ 15.66 $ 13.67
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 21.74% 21.70%
1.44% 22.28% 10.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $1,363.5 $1,110.0
$859.7 $602.8 $234.4
Ratios to average net assets:
Expenses......................... 0.45% 0.43%
0.52% 0.54% 0.57%
Net investment income............ 3.36% 4.00%
3.92% 3.56% 4.32%
Portfolio turnover rate............ 21% 64%
63% 41% 40%
Average commission rate paid per
share............................ $0.0553 N/A
N/A N/A N/A
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D5
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 25.64 $ 20.66 $
21.49 $ 18.90 $ 17.91
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.71 0.55
0.51 0.42 0.44
Net realized and unrealized gains
(losses) on investments.......... 3.88 5.89
0.05 3.67 2.05
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 4.59 6.44
0.56 4.09 2.49
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.67) (0.52)
(0.49) (0.40) (0.44)
Distributions from net realized
gains............................ (2.60) (0.94)
(0.90) (1.10) (1.06)
-------- -------- --
- ------ -------- --------
Total distributions............ (3.27) (1.46)
(1.39) (1.50) (1.50)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 26.96 $ 25.64 $
20.66 $ 21.49 $ 18.90
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 18.52% 31.29%
2.78% 21.87% 14.17%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $4,814.0 $3,813.8
$2,617.8 $2,186.5 $1,416.6
Ratios to average net assets:
Expenses......................... 0.50% 0.48%
0.55% 0.53% 0.53%
Net investment income............ 2.54% 2.28%
2.39% 1.99% 2.33%
Portfolio turnover rate............ 20% 18%
7% 13% 16%
Average commission rate paid per
share............................ $0.0524 N/A
N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
PRUDENTIAL JENNISON
-------------------
<S> <C> <C>
APRIL
25,
YEAR 1995(D)
ENDED TO
DECEMBER DECEMBER
31, 1996 31, 1995
-------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
period $12.55 $10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.02 0.02
Net realized and unrealized gains
(losses) on investments.......... 1.78 2.54
-------- --------
Total from investment
operations..................... 1.80 2.56
-------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.03) (0.01)
Distributions from net realized
gains............................ -- --
-------- --------
Total distributions............ (0.03) (0.01)
-------- --------
Net Asset Value, end of period..... $14.32 $12.55
-------- --------
-------- --------
TOTAL INVESTMENT RETURN:(B)........ 14.41 % 24.2 %
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)........................ $226.5 $63.1
Ratios to average net assets:
Expenses......................... 0.66 % 0.79 %(c)
Net investment income............ 0.20 % 0.15 %(c)
Portfolio turnover rate............ 46 % 37 %
Average commission rate paid per
share............................ $0.0603 N/A
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns. Total
return for periods of
less than one year are not annualized.
(c) Annualized.
(d) Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D6
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL
CAPITALIZATION
STOCK
-------------------
<S> <C> <C>
APRIL
25,
YEAR 1995(D)
ENDED TO
DECEMBER DECEMBER
31, 1996 31, 1995
-------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
period........................... $11.83 $10.00
-------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.09 0.08
Net realized and unrealized gains
(losses) on investments.......... 2.23 1.91
-------- --------
Total from investment
operations..................... 2.32 1.99
-------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.09) (0.04)
Distributions from net realized
gains............................ (0.27) (0.12)
-------- --------
Total distributions............ (0.36) (0.16)
-------- --------
Net Asset Value, end of period..... $13.79 $11.83
-------- --------
-------- --------
TOTAL INVESTMENT RETURN:(B)........ 19.77 % 19.74 %
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
millions)........................ $147.9 $47.5
Ratios to average net assets:
Expenses......................... 0.56 % 0.60 %(c)
Net investment income............ 0.87 % 0.68 %(c)
Portfolio turnover rate............ 13 % 32 %
Average commission rate paid per
share............................ $0.0307 N/A
</TABLE>
<TABLE>
<CAPTION>
GLOBAL
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of year $ 15.53 $ 13.88 $
14.64 $ 10.37 $ 10.79
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.11 0.06
0.02 0.02 0.05
Net realized and unrealized gains
(losses) on investments.......... 2.94 2.14
(0.74) 4.44 (0.42)
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 3.05 2.20
(0.72) 4.46 (0.37)
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.11) (0.24)
(0.02) (0.08) (0.05)
Distributions from net realized
gains............................ (0.62) (0.31)
(0.02) (0.11) --
-------- -------- --
- ------ -------- --------
Total distributions............ (0.73) (0.55)
(0.04) (0.19) (0.05)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 17.85 $ 15.53 $
13.88 $ 14.64 $ 10.37
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 19.97% 15.88%
(4.89%) 43.14% (3.42%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $580.6 $400.1
$345.7 $129.1 $34.0
Ratios to average net assets:
Expenses......................... 0.92% 1.06%
1.23% 1.44% 1.87%
Net investment income............ 0.64% 0.44%
0.20% 0.18% 0.49%
Portfolio turnover rate............ 41% 59%
37% 55% 78%
Average commission rate paid per
share............................ $0.0358 N/A
N/A N/A N/A
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns. Total
investment return for
periods of less than a full year are not annualized.
(c) Annualized.
(d) Commencement of operations.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D7
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
NATURAL
RESOURCES
-----------------------
- --------------------------
YEAR
ENDED
DECEMBER 31,
-----------------------
- --------------------------
<S> <C> <C>
<C> <C> <C>
1996 1995(A)
1994(A) 1993(A) 1992(A)
-------- -------- --
- ------ -------- --------
PER SHARE OPERATING PERFORMANCE:
Net Asset Value, beginning of
year............................. $ 17.27 $ 14.44 $
15.56 $ 12.95 $ 12.45
-------- -------- --
- ------ -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............. 0.15 0.21
0.18 0.23 0.32
Net realized and unrealized gains
(losses) on investments.......... 5.11 3.66
(0.85) 3.00 0.59
-------- -------- --
- ------ -------- --------
Total from investment
operations..................... 5.26 3.87
(0.67) 3.23 0.91
-------- -------- --
- ------ -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income........................... (0.14) (0.21)
(0.15) (0.21) (0.31)
Distributions from net realized
gains............................ (2.62) (0.83)
(0.30) (0.41) (1.00)
-------- -------- --
- ------ -------- --------
Total distributions............ (2.76) (1.04)
(0.45) (0.62) (0.41)
-------- -------- --
- ------ -------- --------
Net Asset Value, end of year....... $ 19.77 $ 17.27 $
14.44 $ 15.56 $ 12.95
-------- -------- --
- ------ -------- --------
-------- -------- --
- ------ -------- --------
TOTAL INVESTMENT RETURN:(B)........ 30.88% 26.92%
(4.30%) 25.15% 7.30%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in
millions)........................ $438.4 $293.2
$227.3 $158.8 $77.5
Ratios to average net assets:
Expenses......................... 0.52% 0.50%
0.61% 0.60% 0.72%
Net investment income............ 0.75% 1.25%
1.09% 1.50% 2.44%
Portfolio turnover rate............ 36% 46%
18% 20% 29%
Average commission rate paid per
share............................ $0.0454 N/A
N/A N/A N/A
</TABLE>
(a) Calculations are based on average month-end shares
outstanding, where
applicable.
(b) Total investment returns are at the portfolio level
and exclude contract
specific charges which would reduce returns.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
D8
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments (amortized cost:
$663,894,267)............................ $
663,894,267
Cash.......................................
864
Interest receivable........................
5,663,807
-----------
- ---
Total Assets.............................
669,558,938
-----------
- ---
LIABILITIES
Payable to investment adviser..............
653,175
Accrued expenses...........................
137,642
-----------
- ---
Total Liabilities........................
790,817
-----------
- ---
NET ASSETS................................... $
668,768,121
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
668,768
Paid-in capital in excess of par.........
668,099,353
-----------
- ---
Net assets, December 31, 1996.............. $
668,768,121
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 66,876,812 outstanding shares of
common stock (authorized 200,000,000
shares).................................. $
10.00
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C>
INVESTMENT INCOME
Interest................................... $
34,610,969
-----------
- ----
EXPENSES
Investment advisory fee....................
2,495,613
Shareholders' reports......................
140,000
Accounting fees............................
87,000
Custodian expense..........................
32,000
Audit fees.................................
10,700
Directors' fees............................
2,000
Legal fees.................................
400
Miscellaneous expenses.....................
21
-----------
- ----
2,767,734
-----------
- ----
NET INVESTMENT INCOME........................
31,843,235
-----------
- ----
NET REALIZED GAIN ON INVESTMENTS
Net realized gain on investments...........
1,246
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
31,844,481
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 31,843,235 $ 33,920,243
Net realized gain on
investments.................................................
...... 1,246 --
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
31,844,481 33,920,243
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(31,843,235) (33,920,243)
Distributions from net realized capital
gains..........................................
(1,246) --
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (31,844,481) (33,920,243)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [18,464,400 and 13,987,392 shares,
respectively].................... 184,644,000
139,873,920
Capital stock issued in reinvestment of dividends and
distributions [3,184,448 and
3,392,024 shares,
respectively]...............................................
........ 31,844,481 33,920,243
Capital stock repurchased [(16,104,000) and (14,375,600)
shares, respectively]......... (161,040,000)
(143,756,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 55,448,481
30,038,163
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 55,448,481 30,038,163
NET ASSETS:
Beginning of
year........................................................
.............. 613,319,640 583,281,477
- ------------------ -------------------
End of
year........................................................
.................... $ 668,768,121 $ 613,319,640
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A1
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
DIVERSIFIED BOND PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$729,261,513)............................ $
743,439,495
Cash.......................................
457
Interest and dividends receivable..........
11,451,464
Receivable for investments sold short (Note
2).......................................
26,546,678
-----------
- ---
Total Assets.............................
781,438,094
-----------
- ---
LIABILITIES
Payable for investments purchased..........
33,940,503
Investments sold short at value (proceeds
$26,546,678 including accrued interest)
(Note 2).................................
26,310,748
Payable to investment adviser..............
721,625
Accrued expenses...........................
150,054
Payable for capital stock repurchased......
98,583
-----------
- ---
Total Liabilities........................
61,221,513
-----------
- ---
NET ASSETS................................... $
720,216,581
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
650,871
Paid-in capital, in excess of par........
699,963,944
-----------
- ---
700,614,815
Undistributed net investment income........
2,057,193
Accumulated net realized gains on
investments..............................
3,130,661
Net unrealized appreciation on
investments..............................
14,413,912
-----------
- ---
Net assets, December 31, 1996.............. $
720,216,581
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 65,087,090 outstanding shares of
common stock (authorized 200,000,000
shares).................................. $
11.07
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Interest................................... $
49,692,559
Dividends..................................
89,819
-----------
- ----
49,782,378
-----------
- ----
EXPENSES
Investment advisory fee....................
2,713,429
Shareholders' reports......................
205,000
Accounting fees............................
85,000
Custodian expense..........................
43,000
Audit fees.................................
11,600
Directors' fees............................
2,000
Legal fees.................................
500
Miscellaneous expenses.....................
332
-----------
- ----
Total expenses...........................
3,060,861
Less: custodian fee credit.................
(5,308)
-----------
- ----
Net expenses.............................
3,055,553
-----------
- ----
NET INVESTMENT INCOME........................
46,726,825
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments...........
3,227,785
Net change in unrealized appreciation on:
Investments..............................
(19,084,958)
Short sales..............................
235,930
-----------
- ----
(18,849,028)
-----------
- ----
NET LOSS ON INVESTMENTS......................
(15,621,243)
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
31,105,582
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 46,726,825 $ 41,106,435
Net realized gain on
investments.................................................
...... 3,227,785 3,945,376
Net change in unrealized appreciation on investments and
short sales................... (18,849,028)
65,195,088
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
31,105,582 110,246,899
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(44,766,756) (40,773,047)
Distributions from net realized capital
gains..........................................
- -- (1,426,845)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (44,766,756) (42,199,892)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [7,068,417 and 3,596,587 shares,
respectively]...................... 78,594,183
39,971,262
Capital stock issued in reinvestment of dividends and
distributions [4,117,675 and
3,793,654 shares,
respectively]...............................................
........ 44,766,756 42,199,892
Capital stock repurchased [(4,070,327) and (3,376,822)
shares, respectively]........... (45,319,610)
(36,030,334)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 78,041,329
46,140,820
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 64,380,155 114,187,827
NET ASSETS:
Beginning of
year........................................................
.............. 655,836,426 541,648,599
- ------------------ -------------------
End of
year........................................................
.................... $ 720,216,581 $ 655,836,426
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A2
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GOVERNMENT INCOME PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$474,449,592)............................ $
476,801,502
Cash.......................................
228
Interest receivable........................
5,874,562
-----------
- ---
Total Assets.............................
482,676,292
-----------
- ---
LIABILITIES
Payable to investment adviser..............
494,508
Accrued expenses...........................
122,431
Payable for capital stock repurchased......
23,913
-----------
- ---
Total Liabilities........................
640,852
-----------
- ---
NET ASSETS................................... $
482,035,440
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
429,580
Paid-in capital in excess of par.........
487,138,074
-----------
- ---
487,567,654
Undistributed net investment income........
33,167
Accumulated net realized losses on
investments..............................
(7,917,291)
Net unrealized appreciation on
investments..............................
2,351,910
-----------
- ---
Net assets, December 31, 1996.............. $
482,035,440
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 42,957,973 outstanding shares of
common stock (authorized 100,000,000
shares).................................. $
11.22
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Interest................................... $
33,508,051
-----------
- ----
EXPENSES
Investment advisory fee....................
1,957,623
Shareholders' reports......................
175,000
Accounting fees............................
95,000
Custodian expense..........................
42,000
Audit fees.................................
8,100
Directors' fees............................
2,000
Legal fees.................................
300
Miscellaneous expenses.....................
37
-----------
- ----
Total expenses...........................
2,280,060
Less: custodian fee credit.................
(14,020)
-----------
- ----
Net expenses.............................
2,266,040
-----------
- ----
NET INVESTMENT INCOME........................
31,242,011
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments...........
14,328,542
Net change in unrealized appreciation on
investments..............................
(35,068,717)
-----------
- ----
NET LOSS ON INVESTMENTS......................
(20,740,175)
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
10,501,836
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 31,242,011 $ 31,463,453
Net realized gain (loss) on
investments................................................
14,328,542 (12,819,604)
Net change in unrealized appreciation on
investments...................................
(35,068,717) 66,364,196
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
10,501,836 85,008,045
- ------------------ -------------------
DIVIDENDS:
Dividends from net investment
income...................................................
(30,988,878) (31,133,859)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [778,426 and 863,496 shares,
respectively].......................... 8,926,475
9,888,081
Capital stock issued in reinvestment of dividends
[2,790,002 and 2,693,392 shares,
respectively]...............................................
.......................... 30,988,878
31,133,859
Capital stock repurchased [(3,428,037) and (7,346,525)
shares, respectively]........... (39,168,176)
(80,695,126)
- ------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
CAPITAL TRANSACTIONS.............. 747,177
(39,673,186)
- ------------------ -------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS..................................................
(19,739,865) 14,201,000
NET ASSETS:
Beginning of
year........................................................
.............. 501,775,305 487,574,305
- ------------------ -------------------
End of
year........................................................
.................... $ 482,035,440 $ 501,775,305
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A3
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2000 PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$42,593,668)............................. $
44,802,353
Interest receivable........................
109
-----------
- ---
Total Assets.............................
44,802,462
-----------
- ---
LIABILITIES
Payable to investment adviser..............
45,050
Accrued expenses...........................
18,242
-----------
- ---
Total Liabilities........................
63,292
-----------
- ---
NET ASSETS................................... $
44,739,170
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
34,636
Paid-in capital in excess of par.........
42,136,569
-----------
- ---
42,171,205
Undistributed net investment income........
8,384
Accumulated net realized gains on
investments..............................
350,896
Net unrealized appreciation on
investments..............................
2,208,685
-----------
- ---
Net assets, December 31, 1996.............. $
44,739,170
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 3,463,608 outstanding shares of
common stock (authorized 25,000,000
shares).................................. $
12.92
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C>
INVESTMENT INCOME
Interest................................... $
1,613,482
-----------
- ----
EXPENSES
Investment advisory fee....................
119,545
Custodian expense..........................
13,000
Shareholders' reports......................
11,000
Accounting fees............................
10,000
Directors' fees............................
2,000
Audit fees.................................
400
Legal fees.................................
100
-----------
- ----
156,045
-----------
- ----
NET INVESTMENT INCOME........................
1,457,437
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments...........
350,896
Net change in unrealized appreciation on
investments..............................
(913,982)
-----------
- ----
NET LOSS ON INVESTMENTS......................
(563,086)
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
894,351
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 1,457,437 $ 1,045,991
Net realized gain on
investments.................................................
...... 350,896 945,638
Net change in unrealized appreciation on
investments...................................
(913,982) 2,457,617
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
894,351 4,449,246
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(1,464,562) (1,046,055)
Distributions from net realized capital
gains..........................................
- -- (945,910)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (1,464,562) (1,991,965)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [1,886,245 and 111,200 shares,
respectively]........................ 24,377,000
1,481,434
Capital stock issued in reinvestment of dividends and
distributions [114,738 and
151,186 shares,
respectively]...............................................
.......... 1,464,562 1,991,965
Capital stock repurchased [(440,396) and (89,987)
shares, respectively]................ (5,791,000)
(1,195,434)
Initial capitalization repurchased by The Prudential [-0-
and (8,965) shares,
respectively]...............................................
.......................... --
(111,423)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 20,050,562
2,166,542
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 19,480,351 4,623,823
NET ASSETS:
Beginning of
year........................................................
.............. 25,258,819 20,634,996
- ------------------ -------------------
End of
year........................................................
.................... $ 44,739,170 $ 25,258,819
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A4
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
ZERO COUPON BOND 2005 PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$23,876,529)............................. $
25,784,167
Cash.......................................
69,821
-----------
- ---
Total Assets.............................
25,853,988
-----------
- ---
LIABILITIES
Payable to investment adviser..............
26,141
Accrued expenses...........................
13,117
-----------
- ---
Total Liabilities........................
39,258
-----------
- ---
NET ASSETS................................... $
25,814,730
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
21,066
Paid-in capital in excess of par.........
23,825,693
-----------
- ---
23,846,759
Undistributed net investment income........
60,333
Net unrealized appreciation on
investments..............................
1,907,638
-----------
- ---
Net assets, December 31, 1996.............. $
25,814,730
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 2,106,585 outstanding shares of
common stock (authorized 50,000,000
shares).................................. $
12.25
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Interest................................... $
1,442,897
-----------
- ----
EXPENSES
Investment advisory fee....................
97,040
Custodian expense..........................
10,613
Accounting fees............................
10,000
Shareholders' reports......................
9,000
Directors' fees............................
2,000
Audit fees.................................
400
Legal fees.................................
100
-----------
- ----
Total expenses...........................
129,153
Less: custodian fee credit.................
(613)
-----------
- ----
Net expenses.............................
128,540
-----------
- ----
NET INVESTMENT INCOME........................
1,314,357
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on investments...........
278,534
Net change in unrealized appreciation on
investments..............................
(1,746,280)
-----------
- ----
NET LOSS ON INVESTMENTS......................
(1,467,746)
-----------
- ----
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... ($
153,389)
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 1,314,357 $ 1,027,273
Net realized gain on
investments.................................................
...... 278,534 471,329
Net change in unrealized appreciation on
investments...................................
(1,746,280) 3,840,819
- ------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................ (153,389)
5,339,421
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(1,273,302) (1,031,193)
Distributions from net realized capital
gains..........................................
(278,534) (471,329)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (1,551,836) (1,502,522)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [205,219 and 292,895 shares,
respectively].......................... 2,571,000
3,700,000
Capital stock issued in reinvestment of dividends and
distributions [128,813 and
116,304 shares,
respectively]...............................................
.......... 1,551,836 1,502,522
Capital stock repurchased [20,262 and (152,641) shares,
respectively].................. (250,000)
(1,898,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 3,872,836
3,304,522
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 2,167,611 7,141,421
NET ASSETS:
Beginning of
year........................................................
.............. 23,647,119 16,505,698
- ------------------ -------------------
End of
year........................................................
.................... $ 25,814,730 $ 23,647,119
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A5
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
CONSERVATIVE BALANCED PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$4,188,354,768)..........................
$4,538,468,628
Receivable for investments sold short (Note
2).......................................
111,621,197
Interest and dividends receivable..........
44,683,414
Receivable for investments sold............
1,376,096
-----------
- ---
Total Assets.............................
4,696,149,335
-----------
- ---
LIABILITIES
Investments sold short at value (proceeds
$111,621,197 including accrued interest)
(Note 2).................................
110,481,637
Payable for investments purchased..........
99,447,868
Payable to investment adviser..............
6,126,182
Accrued expenses...........................
768,878
Bank overdraft.............................
453,239
Payable for capital stock repurchased......
62,998
-----------
- ---
Total Liabilities........................
217,340,802
-----------
- ---
NET ASSETS...................................
$4,478,808,533
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
2,886,377
Paid-in capital in excess of par.........
4,094,460,572
-----------
- ---
4,097,346,949
Accumulated net realized gains on
investments..............................
30,208,164
Net unrealized appreciation on
investments..............................
351,253,420
-----------
- ---
Net assets, December 31, 1996..............
$4,478,808,533
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 288,637,703 outstanding shares
of common stock (authorized 300,000,000
shares).................................. $
15.52
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Interest................................... $
174,514,843
Dividends (net of $488,736 foreign
withholding tax).........................
23,515,755
-----------
- ----
198,030,598
-----------
- ----
EXPENSES
Investment advisory fee....................
23,052,572
Shareholders' reports......................
1,367,000
Custodian expense..........................
228,000
Accounting fees............................
127,000
Audit fees.................................
70,400
Legal fees.................................
2,900
Directors' fees............................
2,000
Miscellaneous expenses.....................
736
-----------
- ----
Total expenses...........................
24,850,608
Less: custodian fee credit.................
(103,584)
-----------
- ----
Net expenses.............................
24,747,024
-----------
- ----
NET INVESTMENT INCOME........................
173,283,574
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments..............................
270,207,375
Short sales..............................
(100,129)
-----------
- ----
270,107,246
-----------
- ----
Net change in unrealized appreciation on:
Investments..............................
60,263,761
Short sales..............................
1,139,560
-----------
- ----
61,403,321
-----------
- ----
NET GAIN ON INVESTMENTS......................
331,510,567
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
504,794,141
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 173,283,574 $ 155,293,990
Net realized gain on investments and short
sales.......................................
270,107,246 167,342,297
Net change in unrealized appreciation on investments and
short sales................... 61,403,321
264,773,974
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
504,794,141 587,410,261
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(174,034,704) (154,987,434)
Dividends in excess of net investment
income...........................................
(41,632) --
Distributions from net realized capital
gains..........................................
(273,551,593) (133,660,168)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (447,627,929) (288,647,602)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [10,561,256 and 5,345,143 shares,
respectively]..................... 167,668,924
81,026,772
Capital stock issued in reinvestment of dividends and
distributions [29,086,855 and
19,023,739 shares,
respectively]...............................................
....... 447,627,929 288,647,602
Capital stock repurchased [(8,429,995) and (15,343,313)
shares, respectively].......... (134,428,797)
(228,767,054)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 480,868,056
140,907,320
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 538,034,268 439,669,979
NET ASSETS:
Beginning of
year........................................................
.............. 3,940,774,265 3,501,104,286
- ------------------ -------------------
End of
year........................................................
.................... $ 4,478,808,533 $ 3,940,774,265
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A6
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
FLEXIBLE MANAGED PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$4,400,135,497)..........................
$4,981,429,094
Cash.......................................
52,238
Receivable for securities sold short (Note
2).......................................
113,630,151
Interest and dividends receivable..........
33,277,907
Receivable for investments sold............
31,241,005
-----------
- ---
Total Assets.............................
5,159,630,395
-----------
- ---
LIABILITIES
Payable for investments purchased..........
141,168,642
Investments sold short, at value (proceeds
$113,630,151 including accrued interest)
(Note 2).................................
112,461,581
Payable to investment adviser..............
7,374,729
Accrued expenses...........................
1,390,075
Payable for capital stock repurchased......
312,681
-----------
- ---
Total Liabilities........................
262,707,708
-----------
- ---
NET ASSETS...................................
$4,896,922,687
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
2,751,892
Paid-in capital in excess of par.........
4,273,689,804
-----------
- ---
4,276,441,696
Distributions in excess of net investment
income...................................
(576,929)
Accumulated net realized gains on
investments..............................
38,595,752
Net unrealized appreciation on
investments..............................
582,462,168
-----------
- ---
Net assets, December 31, 1996..............
$4,896,922,687
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share, 275,189,159 shares of common stock
outstanding (300,000,000 shares
authorized).............................. $
17.79
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Interest................................... $
127,494,108
Dividends (net of $553,612 foreign
withholding tax).........................
40,857,296
-----------
- ----
168,351,404
-----------
- ----
EXPENSES
Investment advisory fee....................
27,247,674
Shareholders' reports......................
1,423,000
Custodian expense..........................
397,050
Accounting fees............................
122,000
Audit fees.................................
75,600
Legal fees.................................
3,100
Directors' fees............................
2,000
Miscellaneous expenses.....................
165
-----------
- ----
Total expenses...........................
29,270,589
Less: custodian fee credit.................
(131,050)
-----------
- ----
Net expenses.............................
29,139,539
-----------
- ----
NET INVESTMENT INCOME........................
139,211,865
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments..............................
408,037,782
Foreign currencies.......................
(69,542)
Short sales..............................
77,891
-----------
- ----
408,046,131
-----------
- ----
Net change in unrealized appreciation on:
Investments..............................
40,562,155
Foreign currencies.......................
(1,902)
Short sales..............................
1,168,570
-----------
- ----
41,728,823
-----------
- ----
NET GAIN ON INVESTMENTS......................
449,774,954
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
588,986,819
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 139,211,865 $ 126,640,661
Net realized gain on investments, foreign currencies and
short sales................... 408,046,131
292,267,835
Net change in unrealized appreciation on investments,
foreign currencies and short
sales.......................................................
.......................... 41,728,823
410,041,102
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
588,986,819 828,949,598
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(142,089,785) (124,621,227)
Distributions from net realized capital
gains..........................................
(458,909,559) (176,844,671)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (600,999,344) (301,465,898)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [8,998,637 and 8,486,525 shares,
respectively]...................... 166,455,957
146,641,074
Capital stock issued in reinvestment of dividends and
distributions [34,012,173 and
17,050,711 shares,
respectively]...............................................
....... 600,999,344 301,465,898
Capital stock repurchased [(6,420,074) and (11,612,102)
shares, respectively].......... (119,724,926)
(195,926,134)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 647,730,375
252,180,838
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 635,717,850 779,664,538
NET ASSETS:
Beginning of
year........................................................
.............. 4,261,204,837 3,481,540,299
- ------------------ -------------------
End of
year........................................................
.................... $ 4,896,922,687 $ 4,261,204,837
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A7
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
HIGH YIELD BOND PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$415,325,778)............................ $
426,625,805
Interest and dividends receivable..........
7,497,949
Receivable for investments sold............
1,000,000
-----------
- ---
Total Assets.............................
435,123,754
-----------
- ---
LIABILITIES
Payable for investments purchased..........
1,250,766
Payable to investment adviser..............
584,614
Accrued expenses and other liabilities.....
421,499
-----------
- ---
Total Liabilities........................
2,256,879
-----------
- ---
NET ASSETS................................... $
432,866,875
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
550,197
Paid-in capital in excess of par.........
442,651,885
-----------
- ---
443,202,082
Accumulated net realized losses on
investments..............................
(21,635,234)
Net unrealized appreciation on
investments..............................
11,300,027
-----------
- ---
Net assets, December 31, 1996.............. $
432,866,875
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 55,019,693 outstanding shares of
common stock (authorized 100,000,000
shares).................................. $
7.87
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Interest................................... $
41,382,142
Dividends..................................
574,685
-----------
- ----
41,956,827
-----------
- ----
EXPENSES
Investment advisory fee....................
2,192,765
Accounting fees............................
166,000
Shareholders' reports......................
141,000
Custodian expense..........................
61,200
Audit fees.................................
6,800
Directors' fees............................
2,000
Legal fees.................................
300
Miscellaneous expenses.....................
53
-----------
- ----
Total expenses...........................
2,570,118
Less: custodian fee credit.................
(38,238)
-----------
- ----
Net expenses.............................
2,531,880
-----------
- ----
NET INVESTMENT INCOME........................
39,424,947
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on investments...........
(1,288,395)
Net change in unrealized appreciation on
investments..............................
4,580,936
-----------
- ----
NET GAIN ON INVESTMENTS......................
3,292,541
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
42,717,488
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 39,424,947 $ 34,801,907
Net realized loss on
investments.................................................
...... (1,288,395) (14,399,977)
Net change in unrealized appreciation on
investments...................................
4,580,936 33,692,744
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
42,717,488 54,094,674
- ------------------ -------------------
DIVIDENDS:
Dividends from net investment
income...................................................
(39,126,995) (36,032,307)
Dividends in excess of net investment
income...........................................
(495,859) --
- ------------------ -------------------
TOTAL
DIVIDENDS...................................................
..................... (39,622,854)
(36,032,307)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [5,685,336 and 4,596,182 shares,
respectively]...................... 45,754,000
36,443,000
Capital stock issued in reinvestment of dividends
[5,088,084 and 4,650,470 shares,
respectively]...............................................
.......................... 39,622,854
36,032,307
Capital stock repurchased [(2,919,156) and (3,656,896)
shares, respectively]........... (23,514,000)
(28,853,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 61,862,854
43,622,307
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 64,957,488 61,684,674
NET ASSETS:
Beginning of
year........................................................
.............. 367,909,387 306,224,713
- ------------------ -------------------
End of
year........................................................
.................... $ 432,866,875 $ 367,909,387
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A8
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
STOCK INDEX PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$1,054,471,251)..........................
$1,587,648,210
Cash.......................................
1,473
Interest and dividends receivable..........
2,655,364
Receivable for investments sold............
1,824,157
-----------
- ---
Total Assets.............................
1,592,129,204
-----------
- ---
LIABILITIES
Payable for investments purchased..........
8,163,338
Payable to investment adviser..............
1,337,596
Due to broker -- variation margin..........
937,100
Accrued expenses...........................
259,878
Payable for capital stock repurchased......
50,985
-----------
- ---
Total Liabilities........................
10,748,897
-----------
- ---
NET ASSETS...................................
$1,581,380,307
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
665,994
Paid-in capital in excess of par.........
1,047,578,597
-----------
- ---
1,048,244,591
Distributions in excess of net realized
gains on investments.....................
(757,443)
Net unrealized appreciation on
investments..............................
533,893,159
-----------
- ---
Net assets, December 31, 1996..............
$1,581,380,307
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 66,599,412 outstanding shares of
common stock (authorized 100,000,000
shares).................................. $
23.74
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C>
INVESTMENT INCOME
Dividends (net of $136,635 foreign
withholding tax)......................... $
27,163,285
Interest...................................
2,879,860
-----------
- ----
30,043,145
-----------
- ----
EXPENSES
Investment advisory fee....................
4,488,042
Shareholders' reports......................
445,000
Accounting fees............................
73,000
Custodian expense..........................
43,000
Audit fees.................................
21,700
Directors' fees............................
2,000
Legal fees.................................
900
Miscellaneous expenses.....................
48
-----------
- ----
5,073,690
-----------
- ----
NET INVESTMENT INCOME........................
24,969,455
-----------
- ----
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on:
Investments..............................
6,152,350
Futures..................................
6,312,835
-----------
- ----
12,465,185
-----------
- ----
Net change in unrealized appreciation on:
Investments..............................
225,458,987
Futures..................................
1,063,850
-----------
- ----
226,522,837
-----------
- ----
NET GAIN ON INVESTMENTS......................
238,988,022
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
263,957,477
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 24,969,455 $ 18,865,378
Net realized gain on
investments.................................................
...... 12,465,185 12,159,728
Net change in unrealized gain on
investments...........................................
226,522,837 225,882,882
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
263,957,477 256,907,988
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(25,100,782) (18,734,051)
Distributions from net realized capital
gains..........................................
(17,273,757) (7,293,493)
Distributions in excess of net realized capital
gains.................................. (196,333)
- --
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (42,570,872) (26,027,544)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [14,156,009 and 7,147,197 shares,
respectively]..................... 310,087,550
130,752,103
Capital stock issued in reinvestment of dividends and
distributions [1,875,670 and
1,331,092 shares,
respectively]...............................................
........ 42,570,872 26,027,544
Capital stock repurchased [(1,109,676) and (1,230,332)
shares, respectively]........... (23,942,788)
(20,916,230)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 328,715,634
135,863,417
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 550,102,239 366,743,861
NET ASSETS:
Beginning of
year........................................................
.............. 1,031,278,068 664,534,207
- ------------------ -------------------
End of
year........................................................
.................... $ 1,581,380,307 $ 1,031,278,068
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A9
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$1,104,105,583)..........................
$1,352,232,781
Receivable for investments sold............
7,458,659
Interest and dividends receivable..........
6,009,058
Other assets...............................
6,336
-----------
- ---
Total Assets.............................
1,365,706,834
-----------
- ---
LIABILITIES
Payable to investment adviser..............
1,320,276
Bank overdraft.............................
591,012
Accrued expenses...........................
233,969
Payable for investments purchased..........
86,962
-----------
- ---
Total Liabilities........................
2,232,219
-----------
- ---
NET ASSETS...................................
$1,363,474,615
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
736,622
Paid-in capital in excess of par.........
1,108,759,148
-----------
- ---
1,109,495,770
Undistributed net investment income........
135,860
Accumulated net realized gains on
investments..............................
5,715,787
Net unrealized appreciation on
investments..............................
248,127,198
-----------
- ---
Net assets, December 31, 1996..............
$1,363,474,615
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 73,662,222 outstanding shares of
common stock (authorized 100,000,000
shares).................................. $
18.51
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of $421,846 foreign
withholding tax)......................... $
41,128,940
Interest...................................
5,218,900
-----------
- ----
46,347,840
-----------
- ----
EXPENSES
Investment advisory fee....................
4,863,078
Shareholders' reports......................
472,000
Accounting fees............................
92,000
Audit fees.................................
20,000
Custodian expense..........................
10,000
Directors' fees............................
2,000
Legal fees.................................
800
Miscellaneous expenses.....................
356
-----------
- ----
Total expenses...........................
5,460,234
Less: custodian fee credit.................
(1,112)
-----------
- ----
Net expenses.............................
5,459,122
-----------
- ----
NET INVESTMENT INCOME........................
40,888,718
-----------
- ----
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain on investments...........
35,305,154
Net change in unrealized appreciation on
investments..............................
167,448,548
-----------
- ----
NET GAIN ON INVESTMENTS......................
202,753,702
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
243,642,420
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 40,888,718 $ 39,916,318
Net realized gain on
investments.................................................
...... 35,305,154 61,266,793
Net change in unrealized appreciation on
investments...................................
167,448,548 90,522,832
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
243,642,420 191,705,943
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(49,702,706) (38,782,405)
Distributions from net realized capital
gains..........................................
(35,958,853) (46,564,566)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (85,661,559) (85,346,971)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [3,768,657 and 4,803,598 shares,
respectively]...................... 65,526,000
76,990,000
Capital stock issued in reinvestment of dividends and
distributions [4,848,028 and
5,213,794 shares,
respectively]...............................................
........ 85,661,559 85,346,971
Capital stock repurchased [(3,172,167) and (1,152,259)
shares, respectively]........... (55,657,000)
(18,404,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 95,530,559
143,932,971
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 253,511,420 250,291,943
NET ASSETS:
Beginning of
year........................................................
.............. 1,109,963,195 859,671,252
- ------------------ -------------------
End of
year........................................................
.................... $ 1,363,474,615 $ 1,109,963,195
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A10
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
EQUITY PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$3,719,947,601)..........................
$4,801,952,766
Cash.......................................
12,981
Interest and dividends receivable..........
12,084,765
Receivable for investments sold............
6,185,603
-----------
- ---
Total Assets.............................
4,820,236,115
-----------
- ---
LIABILITIES
Payable to investment adviser..............
5,284,247
Accrued expenses...........................
815,009
Payable for capital stock repurchased......
167,783
-----------
- ---
Total Liabilities........................
6,267,039
-----------
- ---
NET ASSETS...................................
$4,813,969,076
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
1,785,273
Paid-in capital in excess of par.........
3,694,408,950
-----------
- ---
3,696,194,223
Undistributed net investment income........
3,240,354
Accumulated net realized gains on
investments..............................
32,529,334
Net unrealized appreciation on
investments..............................
1,082,005,165
-----------
- ---
Net assets, December 31, 1996..............
$4,813,969,076
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 178,527,300 outstanding shares
of common stock (authorized 200,000,000
shares).................................. $
26.96
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of $912,241 foreign
withholding tax)......................... $
71,930,568
Interest...................................
57,390,582
-----------
- ----
129,321,150
-----------
- ----
EXPENSES
Investment advisory fee....................
19,216,733
Shareholders' reports......................
1,485,000
Custodian expense..........................
136,400
Accounting fees............................
93,000
Audit fees.................................
71,800
Legal fees.................................
2,900
Directors' fees............................
2,000
Miscellaneous expenses.....................
173
-----------
- ----
Total expenses...........................
21,008,006
Less: custodian fee credit.................
(65,416)
-----------
- ----
Net expenses.............................
20,942,590
-----------
- ----
NET INVESTMENT INCOME........................
108,378,560
-----------
- ----
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCIES
Net realized gain (loss) on:
Investments..............................
344,166,641
Foreign currencies.......................
(16,774)
-----------
- ----
344,149,867
-----------
- ----
Net change in unrealized appreciation on:
Investments..............................
282,404,303
Foreign currencies.......................
6,569
-----------
- ----
282,410,872
-----------
- ----
NET GAIN ON INVESTMENTS......................
626,560,739
-----------
- ----
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.................... $
734,939,299
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 108,378,560 $ 73,682,361
Net realized gain on investments and foreign
currencies................................
344,149,867 234,571,951
Net change in unrealized appreciation on investments and
foreign currencies............ 282,410,872
553,122,748
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
734,939,299 861,377,060
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(107,745,221) (71,456,482)
Distributions from net realized capital
gains..........................................
(422,203,368) (132,219,093)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (529,948,589) (203,675,575)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [13,547,538 and 15,687,254 shares,
respectively].................... 368,210,773
374,478,697
Capital stock issued in reinvestment of dividends and
distributions [20,011,095 and
8,038,373 shares,
respectively]...............................................
........ 529,948,589 203,675,575
Capital stock repurchased [(3,776,507) and (1,673,110)
shares, respectively]........... (102,985,123)
(39,823,647)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 795,174,239
538,330,625
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 1,000,164,949 1,196,032,110
NET ASSETS:
Beginning of
year........................................................
.............. 3,813,804,127 2,617,772,017
- ------------------ -------------------
End of
year........................................................
.................... $ 4,813,969,076 $ 3,813,804,127
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A11
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
PRUDENTIAL JENNISON
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$204,769,558)............................ $
230,427,402
Cash.......................................
397,490
Receivable for investments sold............
646,413
Interest and dividends receivable..........
189,641
-----------
- ---
Total Assets.............................
231,660,946
-----------
- ---
LIABILITIES
Payable for investments purchased..........
4,759,087
Payable to investment adviser..............
311,027
Accrued expenses...........................
47,684
-----------
- ---
Total Liabilities........................
5,117,798
-----------
- ---
NET ASSETS................................... $
226,543,148
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
158,165
Paid-in capital in excess of par.........
203,756,863
-----------
- ---
203,915,028
Undistributed net investment income........
62,787
Accumulated net realized losses on
investments..............................
(3,092,511)
Net unrealized appreciation on
investments..............................
25,657,844
-----------
- ---
Net assets, December 31, 1996.............. $
226,543,148
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 15,816,529 outstanding shares of
common stock (authorized 50,000,000
shares).................................. $
14.32
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of $22,553 foreign
withholding tax)......................... $
922,433
Interest...................................
252,927
-----------
- ----
1,175,360
-----------
- ----
EXPENSES
Investment advisory fee....................
821,423
Shareholders' reports......................
40,000
Accounting fees............................
28,000
Custodian expense..........................
14,000
Audit fees.................................
2,700
Directors' fees............................
2,000
Miscellaneous expenses.....................
1,143
Legal fees.................................
100
-----------
- ----
Total expenses...........................
909,366
Less: custodian fee credit.................
(4,670)
-----------
- ----
Net expenses.............................
904,696
-----------
- ----
NET INVESTMENT INCOME........................
270,664
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized loss on investments...........
(3,092,511)
Net change in unrealized appreciation on
investments..............................
21,613,425
-----------
- ----
NET GAIN ON INVESTMENTS......................
18,520,914
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
18,791,578
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
APRIL 25, 1995
(COMMENCEMENT OF
YEAR ENDED OPERATIONS) THROUGH
DECEMBER 31, 1996 DECEMBER 31, 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 270,664 $ 42,553
Net realized gain (loss) on
investments................................................
(3,092,511) 130,598
Net change in unrealized appreciation on
investments...................................
21,613,425 4,044,419
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
18,791,578 4,217,570
- ------------------ -------------------
DIVIDENDS:
Dividends from net investment
income...................................................
(373,490) (7,538)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Initial capitalization issued to The Prudential [-0- and
990,000 shares,
respectively]...............................................
.......................... --
9,900,000
Capital stock sold [11,292,685 and 4,215,890 shares,
respectively]..................... 151,529,000
51,219,000
Capital stock issued in reinvestment of dividends
[27,287 and 667 shares,
respectively]...............................................
.......................... 373,490
7,538
Capital stock repurchased [(531,868) and (188,132)
shares, respectively]............... (6,868,000)
(2,346,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 145,034,490
58,780,538
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 163,452,578 62,990,570
NET ASSETS:
Beginning of
period......................................................
.............. 63,090,570 100,000*
- ------------------ -------------------
End of
period......................................................
.................... $ 226,543,148 $ 63,090,570
- ------------------ -------------------
- ------------------ -------------------
<CAPTION>
*Prior to April 25, 1995 (commencement of operations), the
Portfolio issued 10,000 shares to The Prudential for
$100,000.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A12
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
SMALL CAPITALIZATION STOCK
<TABLE>
<CAPTION>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$136,007,075)............................ $
151,296,795
Receivable from broker -- variation
margin...................................
215,925
Interest and dividends receivable..........
87,031
-----------
- ---
Total Assets.............................
151,599,751
-----------
- ---
LIABILITIES
Payable for investments purchased..........
3,231,906
Bank overdraft.............................
276,946
Payable to investment adviser..............
129,958
Accrued expenses...........................
62,618
-----------
- ---
Total Liabilities........................
3,701,428
-----------
- ---
NET ASSETS................................... $
147,898,323
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
107,236
Paid-in capital in excess of par.........
131,907,629
-----------
- ---
132,014,865
Accumulated net realized gains on
investments..............................
636,788
Net unrealized appreciation on
investments..............................
15,246,670
-----------
- ---
Net assets, December 31, 1996.............. $
147,898,323
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 10,723,586 outstanding shares of
common stock (authorized 50,000,000
shares).................................. $
13.79
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of $350 foreign withholding
tax)..................................... $
867,358
Interest...................................
426,763
-----------
- ----
1,294,121
-----------
- ----
EXPENSES
Investment advisory fee....................
362,830
Custodian expense..........................
70,866
Accounting fees............................
35,000
Shareholders' reports......................
33,000
Directors' fees............................
2,000
Audit fees.................................
1,700
Miscellaneous expenses.....................
945
Legal fees.................................
100
-----------
- ----
Total expenses...........................
506,441
Less: custodian fee credit.................
(866)
-----------
- ----
Net expenses.............................
505,575
-----------
- ----
NET INVESTMENT INCOME........................
788,546
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain on:
Investments..............................
2,466,425
Futures..................................
377,916
-----------
- ----
2,844,341
-----------
- ----
Net change in unrealized appreciation on:
Investments..............................
12,692,785
Futures..................................
(54,275)
-----------
- ----
12,638,510
-----------
- ----
NET GAIN ON INVESTMENTS......................
15,482,851
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
16,271,397
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
APRIL 25, 1995
(COMMENCEMENT OF
YEAR ENDED OPERATIONS) THROUGH
DECEMBER 31, 1996 DECEMBER 31, 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 788,546 $ 175.519
Net realized gain on
investments.................................................
...... 2,844,340 801,247
Net change in unrealized gain on
investments...........................................
12,638,511 2,608,160
- ------------------ -------------------
NET INCREASE IN NET ASSETS
OPERATIONS..................................................
16,271,397 3,584,926
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(821,179) (142,886)
Distributions from net realized capital
gains..........................................
(2,604,153) (404,647)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (3,425,332) (547,533)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Initial capitalization issued to The Prudential [-0- and
990,000 shares,
respectively]...............................................
.......................... --
9,900,000
Capital stock sold [7,144,721 and 3,181,402 shares,
respectively]...................... 92,968,000
36,389,000
Capital stock issued in reinvestment of dividends and
distributions [259,822 and 46,817
shares,
respectively]...............................................
.................. 3,425,332 547,533
Capital stock repurchased [(692,228) and (216,949)
shares, respectively]............... (8,808,000)
(2,507,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 87,585,332
44,329,533
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 100,431,397 47,366,926
NET ASSETS:
Beginning of
period......................................................
.............. 47,466,926 100,000*
- ------------------ -------------------
End of
period......................................................
.................... $ 147,898,323 $ 47,466,926
- ------------------ -------------------
- ------------------ -------------------
<CAPTION>
*Prior to April 25, 1995 (commencement of operations), the
Portfolio issued 10,000 shares to The Prudential for
$100,000.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A13
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
GLOBAL PORTFOLIO
<TABLE>
<CAPTION>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$460,602,835)............................ $
571,212,501
Foreign currency, at value (cost:
$14,787,117).............................
14,798,221
Receivable for investments sold............
4,069,896
Forward currency contracts -- amount
receivable from counterparties...........
692,778
Dividends and interest receivable..........
483,593
Other assets...............................
320,523
-----------
- ---
Total Assets.............................
591,577,512
-----------
- ---
LIABILITIES
Payable for investments purchased..........
9,399,505
Payable to investment adviser..............
1,044,630
Accrued expenses and other liabilities.....
411,684
Payable for capital stock repurchased......
91,654
-----------
- ---
Total Liabilities........................
10,947,473
-----------
- ---
NET ASSETS................................... $
580,630,039
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
325,197
Paid-in capital in excess of par.........
467,274,634
-----------
- ---
467,599,831
Undistributed net investment income........
1,317,330
Accumulated net realized gains on
investments..............................
489,279
Net unrealized appreciation on investments
and foreign currencies...................
111,223,599
-----------
- ---
Net assets, December 31, 1996.............. $
580,630,039
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share of 32,519,654 outstanding shares of
common stock (authorized 100,000,000
shares).................................. $
17.85
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C>
INVESTMENT INCOME
Dividends (net of $555,343 foreign
withholding tax)......................... $
6,536,733
Interest...................................
1,063,491
-----------
- ----
7,600,224
-----------
- ----
EXPENSES
Investment advisory fee....................
3,671,568
Custodian expense..........................
400,000
Shareholders' reports......................
190,000
Accounting fees............................
177,000
Audit fees.................................
41,000
Directors' fees............................
2,000
Legal fees.................................
200
Miscellaneous expenses.....................
8,534
-----------
- ----
4,490,302
-----------
- ----
NET INVESTMENT INCOME........................
3,109,922
-----------
- ----
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investments..............................
15,872,383
Foreign currencies.......................
3,900,113
-----------
- ----
19,772,496
-----------
- ----
Net change in unrealized appreciation on:
Investments..............................
67,917,996
Foreign currencies.......................
(2,616,550)
-----------
- ----
65,301,446
-----------
- ----
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES...................................
85,073,942
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
88,183,864
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 3,109,922 $ 1,620,950
Net realized gain on investments and foreign
currencies................................
19,772,496 13,763,168
Net change in unrealized appreciation on investments and
foreign currencies............ 65,301,446
39,034,318
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
88,183,864 54,418,436
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(3,109,922) (5,982,859)
Distributions from net realized capital
gains..........................................
(19,019,488) (7,583,630)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (22,129,410) (13,566,489)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [7,307,979 and 2,817,622 shares,
respectively]...................... 123,508,873
42,294,857
Capital stock issued in reinvestment of dividends and
distributions [1,310,966 and
872,571 shares,
respectively]...............................................
.......... 22,129,410 13,566,489
Capital stock repurchased [1,820,909 and (2,794,423)
shares, respectively]............. (30,587,232)
(41,558,737)
Initial capitalization repurchased by The Prudential
[(36,088) and (48,679) shares,
respectively]...............................................
.......................... (575,000)
(789,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 114,476,051
13,513,609
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 180,530,505 54,365,556
NET ASSETS:
Beginning of
year........................................................
.............. 400,099,534 345,733,978
- ------------------ -------------------
End of
year........................................................
.................... $ 580,630,039 $ 400,099,534
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A14
<PAGE>
FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND, INC.
NATURAL RESOURCES PORTFOLIO
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<S> <C>
ASSETS
Investments, at value (cost:
$359,799,612)............................ $
437,988,179
Cash.......................................
8,706
Interest and dividends receivable..........
692,813
Receivable for investments sold............
471,770
-----------
- ---
Total Assets.............................
439,161,468
-----------
- ---
LIABILITIES
Payable to investment adviser..............
479,571
Payable for investments purchased..........
200,315
Accrued expenses and other liabilities.....
96,344
-----------
- ---
Total Liabilities........................
776,230
-----------
- ---
NET ASSETS................................... $
438,385,238
-----------
- ---
-----------
- ---
Net assets were comprised of:
Common stock, at $0.01 par value......... $
221,794
Paid-in capital in excess of par.........
348,190,815
-----------
- ---
348,412,609
Undistributed net investment income........
48,572
Accumulated net realized gain on
investments and foreign currencies.......
11,735,510
Net unrealized appreciation on investments
and foreign currencies...................
78,188,547
-----------
- ---
Net assets, December 31, 1996.............. $
438,385,238
-----------
- ---
-----------
- ---
Net asset value and redemption price per
share (22,179,414 shares of common stock
outstanding 100,000,000 shares
authorized).............................. $
19.77
-----------
- ---
-----------
- ---
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<S> <C> <C>
INVESTMENT INCOME
Dividends (net of $326,414 foreign
withholding tax)......................... $
3,873,474
Interest...................................
830,445
-----------
- ----
4,703,919
-----------
- ----
EXPENSES
Investment advisory fee....................
1,662,931
Shareholders' reports......................
140,000
Accounting fees............................
84,000
Custodian expense..........................
28,900
Audit fees.................................
6,400
Directors' fees............................
2,000
Legal fees.................................
300
Miscellaneous expenses.....................
168
-----------
- ----
Total expenses...........................
1,924,699
Less: custodian fee credit.................
(5,847)
-----------
- ----
Net expenses.............................
1,918,852
-----------
- ----
NET INVESTMENT INCOME........................
2,785,067
-----------
- ----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments..............................
55,014,870
Options written..........................
189,896
Foreign currencies.......................
(91,558)
-----------
- ----
55,113,208
-----------
- ----
Net change in unrealized appreciation on:
Investments..............................
36,084,029
Options written..........................
(31,675)
Foreign currencies.......................
(20)
-----------
- ----
36,052,334
-----------
- ----
NET GAIN ON INVESTMENTS AND FOREIGN
CURRENCIES...................................
91,165,542
-----------
- ----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................... $
93,950,609
-----------
- ----
-----------
- ----
</TABLE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31,
- ---------------------------------------
1996 1995
- ------------------ -------------------
<S>
<C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income......................................................
............ $ 2,785,067 $ 3,291,987
Net realized gain on investments and foreign
currencies................................
55,113,208 19,734,447
Net change in unrealized appreciation on investments and
foreign currencies............ 36,052,334
39,062,266
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................
93,950,609 62,088,700
- ------------------ -------------------
DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment
income...................................................
(2,609,058) (3,370,234)
Distributions from net realized capital
gains..........................................
(50,936,196) (13,348,694)
- ------------------ -------------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS...............................................
....... (53,545,254) (16,718,928)
- ------------------ -------------------
CAPITAL TRANSACTIONS:
Capital stock sold [2,914,136 and 1,205,152 shares,
respectively]...................... 60,203,000
19,186,000
Capital stock issued in reinvestment of dividends and
distributions [2,739,322 and
981,450 shares,
respectively]...............................................
.......... 53,545,254 16,718,928
Capital stock repurchased [448,045 and (948,328) shares,
respectively]................. (8,940,000)
(15,377,000)
- ------------------ -------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
TRANSACTIONS......................... 104,808,254
20,527,928
- ------------------ -------------------
TOTAL INCREASE IN NET
ASSETS......................................................
....... 145,213,609 65,897,700
NET ASSETS:
Beginning of
year........................................................
.............. 293,171,629 227,273,929
- ------------------ -------------------
End of
year........................................................
.................... $ 438,385,238 $ 293,171,629
- ------------------ -------------------
- ------------------ -------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
A15
<PAGE>
THE PRUDENTIAL SERIES FUND, INC.
SCHEDULE OF INVESTMENTS
MONEY MARKET PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
COMMERCIAL PAPER -- 52.9%
ABN-Amro Bank North America,
5.300%, 02/28/97.............................. $
2,000 $ 1,983,217
American Brands, Inc.,
5.320%, 01/14/97..............................
3,900 3,893,084
5.340%, 02/11/97-03/12/97.....................
2,000 1,983,832
6.000%, 01/22/97..............................
1,000 996,667
American Express Credit Corp.,
5.300%, 02/28/97..............................
14,482 14,360,472
Aristar, Inc.,
5.410%, 03/14/97..............................
2,000 1,978,661
5.590%, 02/28/97..............................
4,500 4,460,171
Avco Financial Services Inc,
5.600%, 03/06/97..............................
5,000 4,951,000
Avco Financial Services Inc.,
5.440%, 02/28/97..............................
6,000 5,948,320
Barton Capital Corp.,
5.360%, 01/15/97..............................
1,300 1,297,484
5.370%, 01/10/97..............................
13,000 12,984,487
5.400%, 02/21/97..............................
2,000 1,985,000
5.600%, 02/28/97..............................
1,000 991,133
BHF Finance, Inc.,
5.310%, 01/30/97..............................
7,000 6,971,090
Bradford & Bingley Building Society,
5.350%, 01/15/97..............................
5,000 4,990,340
Caterpillar Financial Services Corp.,
5.350%, 05/16/97-06/16/97.....................
5,000 4,886,610
Ciba-Geigy Corp.,
5.750%, 02/06/97..............................
1,000 994,410
CIT Group Holdings, Inc.,
5.350%, 03/31/97..............................
4,000 3,947,689
Coca Cola Enterprises, Inc.,
5.340%, 02/03/97..............................
4,000 3,981,013
Colonial Pipeline Co.,
5.750%, 01/27/97..............................
6,100 6,075,642
Countrywide Home Loan,
6.050%, 01/21/97..............................
2,000 1,993,614
6.200%, 01/15/97..............................
13,000 12,970,894
6.350%, 01/15/97-01/21/97.....................
18,000 17,956,603
CXC, Inc.,
7.000%, 01/02/97..............................
21,862 21,862,000
Engelhard Corp.,
5.580%, 02/24/97..............................
4,000 3,967,140
Enterprise Funding Corp.,
5.340%, 03/18/97..............................
5,000 4,944,375
Falcon Asset Securitization Corp.,
5.450%, 01/22/97..............................
2,975 2,965,992
First Data Corp.,
5.400%, 03/18/97-03/25/97.....................
3,000 2,965,200
5.460%, 03/25/97..............................
10,000 9,875,633
Ford Motor Credit Co.,
5.350%, 03/03/97..............................
3,000 2,973,250
General Electric Capital Corp.,
5.440%, 02/25/97..............................
30,000 29,755,200
General Motors Acceptance Corp.,
5.390%, 03/31/97..............................
1,000 986,824
General Signal Corp.,
5.800%, 02/06/97..............................
6,300 6,264,475
5.900%, 02/05/97..............................
3,500 3,480,497
GTE Corp.,
5.500%, 01/14/97..............................
1,000 998,167
Heller Financial, Inc.,
5.570%, 01/13/97-01/14/97.....................
2,000 1,996,441
5.800%, 01/21/97..............................
5,000 4,984,694
Indosuez N. A., Inc.,
5.500%, 02/14/97..............................
5,000 4,967,153
ITT Hartford Group, Inc.,
5.320%, 02/18/97..............................
2,000 1,986,109
5.500%, 01/21/97..............................
2,000 1,994,194
Johnson Controls, Inc.,
5.390%, 01/24/97..............................
5,000 4,983,531
</TABLE>
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
Kredietbank NA Financial Corp.,
5.320%, 01/16/97.............................. $
3,000 $ 2,993,793
Lehman Brothers Holding, Inc.,
6.700%, 01/07/97..............................
33,000 32,969,292
Merrill Lynch & Co., Inc.,
5.310%, 02/27/97..............................
8,000 7,933,920
5.330%, 01/24/97..............................
7,000 6,977,199
5.350%, 01/29/97..............................
9,000 8,963,887
5.450%, 01/22/97..............................
1,000 996,972
Mitsubishi International Corp.,
5.450%, 01/15/97..............................
4,000 3,992,128
5.750%, 02/10/97..............................
900 894,394
Morgan Stanley Group, Inc.,
5.320%, 01/21/97-01/29/97.....................
12,000 11,956,849
Nationwide Building Society,
5.310%, 02/19/97..............................
4,000 3,971,680
5.375%, 02/26/97..............................
1,000 991,788
5.550%, 02/26/97..............................
5,000 4,957,604
NYNEX Corp.,
5.410%, 02/13/97..............................
2,000 1,987,377
6.800%, 01/06/97..............................
4,760 4,756,404
PNC Funding Corp.,
5.360%, 01/22/97..............................
1,000 997,022
Preferred Receivables Funding Corp.,
5.320%, 02/06/97..............................
3,000 2,984,483
5.370%, 03/20/97..............................
1,000 988,514
5.450%, 01/14/97..............................
1,000 998,183
5.600%, 02/25/97..............................
5,000 4,958,000
Sears Roebuck Acceptance Corp.,
5.470%, 02/26/97..............................
5,000 4,958,215
Triple-A One Funding Corp.,
5.400%, 02/14/97..............................
2,000 1,987,100
5.500%, 01/24/97..............................
1,208 1,203,940
Union Pacific Resources,
6.000%, 01/27/97..............................
1,855 1,847,271
WCP Funding, Inc.,
5.400%, 02/20/97..............................
4,000 3,970,600
- --------------
353,768,923
- --------------
OTHER CORPORATE OBLIGATIONS -- 22.5%
Abbey National Treasury Services, PLC,
5.500%, 11/26/97..............................
10,000 9,990,924
Associates Corp. of North America,
9.700%, 05/01/97..............................
3,450 3,491,185
Beneficial Corp.,
5.57%, 08/05/97 (a)...........................
9,000 9,003,377
7.250%, 06/09/97..............................
750 753,620
9.050%, 03/14/97..............................
1,100 1,106,958
Capital Equipment Receivable Trust,
5.600%, 10/15/97..............................
9,268 9,268,366
Ford Motor Credit Co.,
5.625%, 03/03/97..............................
1,000 999,287
6.300%, 04/23/97..............................
1,000 1,000,733
6.450%, 07/21/97..............................
500 500,812
General Electric Capital Corp.,
8.300%, 06/02/97..............................
2,005 2,023,440
General Motors Acceptance Corp.,
5.520%, 02/02/97 (a)..........................
11,000 10,999,035
5.520%, 02/21/97 (a)..........................
1,000 999,963
5.650%, 06/02/97 (a)..........................
11,000 11,005,887
5.750%, 06/09/97..............................
1,000 1,000,599
6.750%, 07/10/97..............................
5,000 5,028,923
7.875%, 02/27/97-02/28/97.....................
2,250 2,259,052
Goldman Sachs Group, L.P.,
5.805%, 12/15/97 (a)..........................
30,000 30,000,000
International Lease Finance Corp.,
5.938%, 10/15/97 (a)..........................
3,000 3,009,300
</TABLE>
B1
<PAGE>
MONEY MARKET PORTFOLIO (CONTINUED)
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
John Deere Capital Corp.,
7.200%, 05/15/97.............................. $
250 $ 250,977
Merrill Lynch & Co., Inc.,
5.533%, 10/01/97 (a)..........................
5,000 4,998,912
Morgan Stanley Group, Inc.,
5.625%, 12/15/97 (a)..........................
4,000 4,000,000
5.688%, 01/15/98 (a)..........................
5,000 5,000,000
6.070%, 01/15/97 (a)..........................
2,000 2,000,000
Nationsbank Auto Owner,
5.776%, 08/15/97..............................
1,681 1,680,604
Short Term Repack Asset,
6.000%, 12/15/97 (a)..........................
9,000 8,998,169
SMM Trust 1995-Q,
5.605%, 01/08/97 (a)..........................
19,000 18,999,971
Transamerica Financial Corp.,
6.750%, 08/15/97..............................
1,750 1,756,207
- --------------
150,126,301
- --------------
CERTIFICATES OF DEPOSIT-DOMESTIC -- 2.4%
Chase Manhattan Bank (USA),
5.750%, 03/24/97..............................
15,000 15,000,000
Mellon Bank, N.A.,
5.550%, 02/18/97..............................
1,000 1,000,080
- --------------
16,000,080
- --------------
CERTIFICATES OF DEPOSIT-EURODOLLAR -- 5.2%
Abbey National Treasury Services, PLC,
5.410%, 01/30/97..............................
5,000 5,000,093
Banco Bilbao Vizcaya S.A.,
5.410%, 03/05/97..............................
1,000 1,000,017
Bank of Nova Scotia,
6.050%, 06/25/97..............................
2,000 2,004,196
Bank of Scotland,
5.430%, 06/05/97..............................
15,000 14,999,802
Bayerische Hypotheken,
5.740%, 05/27/97..............................
11,000 11,004,501
Creditanstalt Bankverein,
5.430%, 04/07/97..............................
1,000 1,000,017
- --------------
35,008,626
- --------------
CERTIFICATES OF DEPOSIT-YANKEE -- 10.6%
Abbey National, PLC,
5.420%, 05/27/97..............................
10,000 9,998,273
Bank of Montreal,
5.450%, 01/07/97..............................
5,000 5,000,000
Banque Nationale De Paris,
5.440%, 03/17/97..............................
2,000 1,999,959
5.580%, 04/02/97..............................
30,000 29,991,911
Landesbank Hessen-Thuringen,
6.050%, 06/13/97..............................
3,000 3,006,041
Midland Bank, PLC,
5.500%, 04/10/97..............................
1,000 999,920
National Bank of Canada,
5.438%, 03/10/97..............................
5,000 5,000,000
Societe Generale Bank,
5.600%, 04/03/97..............................
15,000 15,003,658
- --------------
70,999,762
- --------------
BANK NOTES -- 3.7%
American Express Centurian Bank,
5.532%, 10/09/97 (a)..........................
1,000 999,923
5.575%, 01/14/97 (a)..........................
2,000 1,999,932
5.575%, 04/15/97 (a)..........................
2,000 1,999,887
5.595%, 03/19/97 (a)..........................
3,000 2,999,879
5.595%, 12/22/97 (a)..........................
1,000 999,904
FCC National Bank,
5.770%, 04/15/97..............................
4,000 3,999,351
First Bank N.A., Minneapolis,
5.518%, 10/24/97 (a)..........................
2,000 1,998,881
First National Bank of Seattle,
5.800%, 05/09/97..............................
5,000 4,999,001
Morgan Guaranty Trust Co.,
5.375%, 11/14/97 (a)..........................
4,000 3,997,475
</TABLE>
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
PNC Bank N.A.,
5.564%, 02/20/97 (a).......................... $
1,000 $ 999,897
- --------------
24,994,130
- --------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS -- 2.0%
Student Loan Marketing Association,
5.870%, 06/30/97..............................
13,000 12,996,445
- --------------
TOTAL INVESTMENTS -- 99.3%
(amortized cost: $663,894,267
(b))............................. 663,894,267
OTHER ASSETS IN EXCESS OF
LIABILITIES --
0.7%............................................
4,873,854
- --------------
TOTAL NET ASSETS --
100%......................................... $
668,768,121
- --------------
- --------------
<FN>
The following abbreviations are used in portfolio
descriptions:
PLC Public
Limited
Company
(British
Corporation)
S.A. Sociedad Anonima (Spanish
Corporation) or Societe
Anonyme (French Corporation)
(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.
(b) The cost of securities for federal income tax
purposes is
substantially the same as for financial reporting
purposes.
</TABLE>
<TABLE>
<S> <C>
The industry classification of portfolio holdings and other
assets in excess of liabilities shown as a percentage of net
assets as of December 31, 1996 was as follows:
Commercial Banks....................................
31.2%
Security Brokers & Dealers..........................
17.5
Asset Backed Securities.............................
12.7
Short-Term Business Credit..........................
11.2
Mortgage Banks......................................
4.9
Finance Lessors.....................................
4.8
Personal Credit Institutions........................
4.7
Computer Rental & Leasing...........................
1.9
Federal Credit Agencies.............................
1.9
Electric Industry Apparatus.........................
1.5
Telephone & Communications..........................
1.2
Tobacco.............................................
1.0
Gas Pipelines.......................................
0.9
Commodity Trading...................................
0.7
Regulating Controls.................................
0.7
Beverages...........................................
0.6
Fire & Marine Casualty Insurance....................
0.6
Specialty Chemical..................................
0.6
Equipment & Rental & Leasing........................
0.4
Crude Petroleum & Natural Gas.......................
0.3
------
- ---
99.3
Other assets in excess of liabilities...............
0.7
------
- ---
100.0%
------
- ---
------
- ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
B2
<PAGE>
DIVERSIFIED BOND PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 99.0%
<S> <C>
<C> <C>
MOODY'S PRINCIPAL
RATING AMOUNT
(UNAUDITED) (000) VALUE
LONG-TERM BONDS -- 98.7%
(NOTE 2)
<CAPTION>
--------
- ---- --------- --------------
<S> <C>
<C> <C>
DOMESTIC CORPORATE BONDS -- 62.8%
AGRICULTURAL EQUIPMENT -- 0.7%
Agco Corp.,
8.50%, 03/15/06............................... Ba3
$ 5,000 $ 5,059,000
- --------------
AIRLINES -- 5.2%
Boeing Co.,
8.75%, 08/15/21............................... A1
6,250 7,356,125
Delta Air Lines, Inc.,
7.79%, 12/01/98............................... Baa3
1,000 1,020,710
8.38%, 06/12/98............................... Baa3
2,000 2,054,340
9.875%, 05/15/00.............................. Baa3
6,000 6,499,320
United Air Lines, Inc.,
9.75%, 08/15/21............................... Baa3
4,500 5,333,580
10.67%, 05/01/04.............................. Baa3
7,000 8,278,830
11.21%, 05/01/14.............................. Baa3
5,000 6,555,850
- --------------
37,098,755
- --------------
CABLE & PAY TELEVISION SYSTEMS -- 1.5%
Continental Cablevision, Inc.,
8.30%, 05/15/06............................... Baa2
3,500 3,728,445
Tele-Communications, Inc.,
10.125%, 04/15/22............................. Ba1
6,300 6,917,526
- --------------
10,645,971
- --------------
COMPUTERS -- 0.5%
Digital Equipment Corp.,
7.125%, 10/15/02.............................. Ba1
4,000 3,817,000
- --------------
ENTERTAINMENT -- 0.7%
Royal Caribbean Cruises Ltd.,
11.375%, 05/15/02............................. Ba2
5,000 5,325,000
- --------------
FINANCIAL SERVICES -- 27.7%
Advanta Mortgage Loan Trust, Series 1994-3
8.49%, 01/25/26............................... Aaa
8,500 8,802,812
Aristar, Inc.,
5.75%, 07/15/98............................... A3
2,000 1,987,160
7.50%, 07/01/99............................... Baa1
2,000 2,050,740
Associates Corp. of North America,
8.375%, 01/15/98.............................. Aa3
500 511,570
Bank of New York,
7.97%, 12/31/26............................... A1
5,000 5,049,700
BankAmerica Corp.,
6.031%, 05/17/99.............................. A
10,000 10,075,000
Chase Manhattan Corp.,
8.00%, 06/15/99............................... A2
2,000 2,071,620
Chemical Bank,
6.625%, 08/15/05.............................. A1
2,000 1,942,880
Chrysler Financial Corp.,
9.50%, 12/15/99............................... A3
5,000 5,406,550
Conseco, Inc.,
8.70%, 11/15/26............................... BBB
10,500 10,590,510
CoreStates Financial Corp.,
8.00%, 12/15/26............................... A1
10,000 10,000,600
Enterprise Rent-A-Car USA Finance Co.,
7.00%, 06/15/00............................... Baa3
9,000 9,108,900
7.875%, 03/15/98.............................. Baa2
5,000 5,111,250
8.75%, 12/15/99............................... Baa2
3,000 3,177,300
</TABLE>
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM BONDS (CONTINUED)
(UNAUDITED) (000) (NOTE 2)
--------
- ---- --------- --------------
<S> <C>
<C> <C>
First Tennessee National Corp., B.A.,
8.07%, 01/06/27............................... A3
$ 4,500 $ 4,474,800
First Union Corp.,
7.85%, 01/01/27............................... A1
10,000 9,908,750
Ford Motor Credit Co.,
5.75%, 01/25/01............................... A1
4,000 3,872,240
6.25%, 02/26/98............................... A1
3,000 3,007,470
General Motors Acceptance Corp.,
8.40%, 10/15/99............................... A3
3,700 3,887,627
Lehman Brothers Holdings, Inc.,
6.84%, 09/25/98............................... Baa1
5,000 5,037,850
Liberty Mutual Insurance Co.,
8.20%, 05/04/07............................... A2
8,250 8,761,005
Mellon Bank Corp.,
7.995%, 01/15/27.............................. A2
10,000 9,875,000
Nationwide CSN Trust,
9.875%, 02/15/25.............................. A1
5,000 5,559,500
Principal Mutual Life Insurance,
7.875%, 03/01/24.............................. Aa3
5,000 4,901,550
Reliastar Financial Corp.,
6.625%, 09/15/03.............................. A3
5,000 4,912,500
Republic Bank of New York Corp.,
7.53%, 12/04/26............................... A1
5,000 4,900,615
Salomon, Inc.,
5.98%, 02/02/98............................... Baa1
10,000 9,995,100
7.00%, 05/15/99............................... Baa1
10,000 10,079,000
7.25%, 05/01/01............................... Baa1
2,250 2,271,285
State Street Capital Corp.,
7.94%, 12/30/26............................... A1
12,000 11,952,000
SunAmerica, Inc.,
6.20%, 10/31/99............................... Baa1
5,000 4,975,000
Union Planters Corp.,
8.20%, 12/15/26............................... BB+
5,000 4,950,000
Wells Fargo & Co.,
7.96%, 12/15/26............................... A1
10,000 10,100,000
- --------------
199,307,884
- --------------
FOREST PRODUCTS -- 1.0%
Boise Cascade Corp.,
9.875%, 02/15/01.............................. Baa3
1,000 1,058,790
Westvaco Corp.,
9.75%, 06/15/20............................... A1
5,000 6,269,800
- --------------
7,328,590
- --------------
HEALTH CARE -- 2.9%
Columbia/HCA Healthcare Corp.,
7.69%, 06/15/25............................... A2
12,000 12,355,680
Tenet Healthcare Corp.,
8.625%, 12/01/03.............................. Ba1
6,500 6,857,500
9.625%, 09/01/02.............................. Ba1
1,500 1,642,500
- --------------
20,855,680
- --------------
MACHINERY & EQUIPMENT -- 0.4%
Crane Co.,
7.25%, 06/15/99............................... Baa2
3,000 3,028,560
- --------------
</TABLE>
B3
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM BONDS (CONTINUED)
(UNAUDITED) (000) (NOTE 2)
--------
- ---- --------- --------------
<S> <C>
<C> <C>
MEDIA -- 7.8%
News America Holdings, Inc.,
7.50%, 03/01/00............................... Baa3
$ 6,000 $ 6,137,160
7.75%, 12/01/45............................... Baa3
7,000 6,518,330
Paramount Communications, Inc.,
7.50%, 01/15/02............................... Ba2
5,000 4,995,850
Time Warner, Inc.,
7.75%, 06/15/05............................... Ba1
9,800 9,858,114
8.18%, 08/15/07............................... Ba1
4,000 4,104,280
8.375%, 07/15/33.............................. Baa3
6,000 6,021,540
Turner Broadcasting System, Inc.,
7.40%, 02/01/04............................... Ba1
13,500 13,374,855
Viacom, Inc.,
7.75%, 06/01/05............................... Ba2
5,000 4,923,350
- --------------
55,933,479
- --------------
MISCELLANEOUS-CONSUMER GROWTH -- 0.4%
Whitman Corp.,
7.50%, 08/15/01............................... Baa2
3,000 3,075,540
- --------------
OIL & GAS -- 2.3%
Occidental Petroleum Corp.,
10.125%, 11/15/01............................. Baa2
5,000 5,695,150
11.125%, 08/01/10............................. Baa2
5,000 6,535,300
Parker & Parsley Petroleum Co.,
8.25%, 08/15/07............................... Baa3
4,000 4,300,600
- --------------
16,531,050
- --------------
OIL & GAS EQUIPMENT & SERVICES -- 1.1%
B.J. Services Co.,
7.00%, 02/01/06............................... Ba1
5,000 4,859,550
Noble Drilling Corp.,
9.125%, 07/01/06.............................. Ba2
3,000 3,225,000
- --------------
8,084,550
- --------------
RESTAURANTS -- 1.3%
Darden Restaurants, Inc.,
7.125%, 02/01/16.............................. Baa1
10,000 9,021,700
- --------------
RETAIL -- 3.7%
Federated Department Stores, Inc.,
8.125%, 10/15/02.............................. Ba1
9,000 9,225,000
8.50%, 06/15/03............................... Ba1
11,000 11,440,000
Kmart Corp.,
9.80%, 06/15/98............................... Ba3
2,000 2,035,000
Rite Aid Corp.,
6.70%, 12/15/01............................... A3
4,000 3,986,000
- --------------
26,686,000
- --------------
TELECOMMUNICATIONS -- 2.6%
Impsat Corp.,
12.125%, 07/15/03............................. B2
3,000 3,180,000
MFS Communications Co., Inc., Sr. Disc. Notes,
Zero Coupon (until 01/15/99)
9.375%, 01/15/04.............................. B1
9,000 6,547,500
TCI Communications, Inc.,
6.875%, 02/15/06.............................. Ba1
10,000 9,087,400
- --------------
18,814,900
- --------------
</TABLE>
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM BONDS (CONTINUED)
(UNAUDITED) (000) (NOTE 2)
--------
- ---- --------- --------------
<S> <C>
<C> <C>
UTILITIES -- 3.0%
Arkla, Inc.,
9.32%, 12/18/00............................... Ba3
$ 2,000 $ 2,136,280
El Paso Electric Company,
9.40%, 05/01/11............................... Ba3
4,000 4,240,000
Pennsylvania Power & Light Co.,
9.375%, 07/01/21.............................. A3
1,150 1,288,840
Texas Utilities Electric Co.,
5.875%, 04/01/98.............................. Baa2
4,000 3,991,560
Transco Energy Co.,
9.125%, 05/01/98.............................. Baa2
3,000 3,113,820
9.375%, 08/15/01.............................. Baa2
6,000 6,613,920
- --------------
21,384,420
- --------------
FOREIGN CORPORATE BONDS -- 8.1%
Australia & New Zealand Banking Group, Ltd.,
(Australia)
6.25%, 02/01/04............................... A1
3,000 2,889,780
Banco de Commercio Exterior de Colombia, SA,
(Colombia)
8.625%, 06/02/00.............................. Baa3
2,000 2,077,500
Banco Ganadero, SA, (Colombia)
9.75%, 08/26/99............................... Baa3
4,100 4,315,250
Canadian Pacific Forest Products Ltd., (Canada)
10.25%, 01/15/03.............................. Baa1
4,000 4,360,000
Compania Sud Americana de Vapores, SA, (Chile)
7.375%, 12/08/03.............................. BBB
3,000 2,955,000
Deutsche Bank, (Germany)
6.70%, 12/13/06............................... Aa1
4,350 4,280,248
Kansallis-Osake Pankki, N.Y., (Finland)
8.65%, 01/01/49............................... A3
5,000 5,220,750
10.00%, 05/01/02.............................. A3
5,000 5,674,500
National Australia Bank, Ltd., (Australia)
9.70%, 10/15/98............................... A1
1,700 1,801,609
National Power Corp., (Philipines)
8.40%, 12/15/16............................... Ba2
4,900 4,875,500
Ontario, Province of Canada, (Canada)
15.75%, 03/15/12.............................. Aa3
3,475 3,756,127
Polysindo Int'l Finance Co., (Netherlands)
11.375%, 06/15/06............................. Ba3
5,000 5,462,500
PT Alatief Freeport Financial Co., (Netherlands)
9.75%, 04/15/01............................... Ba1
5,750 6,286,187
Rogers Cablesystems, Inc., (Canada)
10.00%, 03/15/05.............................. Ba3
4,000 4,260,000
- --------------
58,214,951
- --------------
</TABLE>
B4
<PAGE>
DIVERSIFIED BOND PORTFOLIO (CONTINUED)
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MOODY'S PRINCIPAL
RATING AMOUNT VALUE
LONG-TERM BONDS (CONTINUED)
(UNAUDITED) (000) (NOTE 2)
--------
- ---- --------- --------------
<S> <C>
<C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 14.0%
Federal Farm Credit Bank,
8.65%, 10/01/99...............................
$ 150 $ 159,258
International Bank for Reconstruction and
Development,
12.375%, 10/15/02.............................
750 956,708
Resolution Funding Corp.,
Zero Coupon, 10/15/15.........................
17,100 4,670,694
8.125%, 10/15/19..............................
700 791,434
8.625%, 01/15/21..............................
200 237,562
United States Treasury Bonds,
6.75%, 8/15/26 (b)............................
940 947,050
11.25%, 02/15/15..............................
4,000 5,906,880
12.00%, 08/15/13..............................
20,000 28,609,400
United States Treasury Notes,
5.75%, 08/15/03...............................
10,450 10,136,500
5.875%, 11/30/01..............................
3,600 3,547,692
6.50%, 10/15/06...............................
13,100 13,171,657
6.625%, 06/30/01..............................
14,430 14,662,179
7.25%, 02/15/98...............................
5,000 5,082,050
7.75%, 12/31/99...............................
5,750 6,014,155
7.875%, 11/15/04..............................
3,600 3,928,500
12.50%, 08/15/14..............................
1,500 2,241,795
- --------------
101,063,514
- --------------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED SECURITIES -- 4.6%
Federal National Mortgage Association,
Zero Coupon, 07/24/06.........................
9,000 4,748,940
9.00%, 10/01/16-09/01/21......................
623 663,006
Government National Mortgage Association,
7.50%, 05/20/02-02/15/26......................
27,222 27,613,035
- --------------
33,024,981
- --------------
FOREIGN GOVERNMENT BONDS -- 9.2%
Republic of Argentina, (Argentina)
6.625%, 03/31/05.............................. B1
4,900 4,293,625
Republic of Colombia, (Colombia)
8.00%, 06/14/01............................... Baa3
1,600 1,624,000
8.75%, 10/06/99............................... Baa3
3,500 3,657,500
Republic of Philippines, (The Philippines)
8.75%, 10/07/16............................... B1
4,675 4,819,925
Republic of Poland, (Poland)
4.00%, (until 10/27/98)
5.00%, (until 10/27/99)
6.00%, (until 10/27/02)
7.00%, 10/27/14............................... Baa3
16,000 13,540,000
Republic of Venezuela, (Venezuela)
6.50%, 12/18/07 (a)........................... Ba2
3,000 2,640,000
Rio de Janeiro, (Brazil)
10.375%, 07/12/99............................. B1
5,000 5,137,500
United Mexican States, (Mexico)
7.562%, 08/06/01 (a).......................... Baa3
25,000 25,058,750
11.50%, 05/15/26.............................. Ba2
5,000 5,287,500
- --------------
66,058,800
- --------------
TOTAL LONG-TERM BONDS
(cost
$696,315,713)...............................................
....... 710,360,325
- --------------
</TABLE>
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MOODY'S
RATING VALUE
PREFERRED STOCK -- 0.3%
(UNAUDITED) SHARES (NOTE 2)
--------
- ---- --------- --------------
<S> <C>
<C> <C>
GAS PIPELINES -- 0.3%
TransCanada Pipelines, Ltd.
(cost $2,000,000 )............................
80,000 $ 2,080,000
- --------------
TOTAL LONG-TERM INVESTMENTS
(cost
$698,315,713)...............................................
....... 712,440,325
- --------------
PRINCIPAL
AMOUNT
SHORT-TERM INVESTMENTS -- 4.3%
(000)
- ---------
CERTIFICATES OF DEPOSIT -- DOMESTIC -- 0.7%
Advanta National Bank, C.D.,
6.26%, 09/01/97............................... Baa
$ 5,000 5,005,000
- --------------
OTHER CORPORATE OBLIGATIONS -- 1.4%
Citicorp,
8.50%, 02/24/97............................... A1
3,000 3,010,410
General Motors Acceptance Corp.,
7.50%, 11/04/97............................... A3
2,000 2,027,180
Mellon Bank Corp.,
6.50%, 12/01/97............................... A2
2,000 2,007,580
Potomac Capital Investment Corp.,
6.19%, 04/28/97............................... A3
3,500 3,535,000
- --------------
10,580,170
- --------------
REPURCHASE AGREEMENT -- 2.2%
Joint Repurchase Agreement Account,
6.613%, 01/02/97 (Note 5).....................
15,414 15,414,000
- --------------
TOTAL SHORT-TERM INVESTMENTS
(cost
$30,945,800)................................................
....... 30,999,170
- --------------
TOTAL INVESTMENTS BEFORE SHORT SALE -- 103.3%
(cost $729,261,513; Note
6)..............................................
743,439,495
- --------------
INVESTMENT SOLD SHORT -- (3.6%)
United States Treasury Bond,
6.75%, 8/15/26
(proceeds $26,546,678; Note 2)................
25,450 (26,310,748)
- --------------
TOTAL INVESTMENTS, NET OF SHORT SALES --
99.7%...................
717,128,747
OTHER ASSETS IN EXCESS OF
LIABILITIES --
0.3%............................................
3,087,834
- --------------
TOTAL NET ASSETS --
100.0%....................................... $
720,216,581
- --------------
- --------------
<FN>
The following abbreviations are used in portfolio
descriptions:
B.A. Bankers'
Acceptances
C.D. Certificates of Deposit
SA Sociedad Anonima (Spanish
Corporation) or Societe
Anonyme (French Corporation)
(a) Indicates
a
variable
rate
security.
(b) Deposited with the custodian to cover an open
short sale
transaction.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
B5
<PAGE>
GOVERNMENT INCOME PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
<S> <C>
<C>
LONG-TERM INVESTMENTS -- 97.6%
PRINCIPAL
AMOUNT VALUE
(000) (NOTE 2)
LONG-TERM BONDS
<CAPTION>
--------
- ----- --------------
<S> <C>
<C>
ASSET BACKED SECURITIES -- 3.2%
Chase Manhattan Credit Card Trust,
5.735%, 08/15/01, Series 1995-2 (a)........... $
12,500 $ 12,507,750
Equicon Home Equity Loan Trust,
7.850%, 03/18/14, Series 1994-2...............
2,693 2,751,498
- --------------
15,259,248
- --------------
COLLATERALIZED MORTGAGE OBLIGATION -- 2.1%
Main Place Funding,
5.877%, 07/17/98 (a)..........................
10,000 10,018,750
- --------------
FOREIGN -- 4.6%
United Mexican States,
7.563%, 08/06/01..............................
22,000 22,051,700
- --------------
MORTGAGE PASS-THROUGHS -- 26.3%
Federal Home Loan Mortgage Corp.,
7.387%, 06/01/25 (a)..........................
11,981 12,310,286
Federal National Mortgage Association,
8.000%, 03/01/22-05/01/26.....................
25,403 25,909,961
8.500%, 05/01/24-04/01/25.....................
30,853 32,075,358
9.000%, 02/01/25-04/01/25.....................
13,122 13,859,399
Government National Mortgage Association,
7.500%, 12/15/25-02/15/26.....................
19,696 19,729,369
8.000%, 09/15/23-10/15/25.....................
22,291 22,794,555
- --------------
126,678,928
- --------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 61.4%
Israel AID,
Zero Coupon, 03/15/06-08/15/09................
38,272 18,501,606
Resolution Funding Corp.,
Zero Coupon, 07/15/16.........................
30,000 7,764,600
8.125%, 10/15/19..............................
4,200 4,748,604
Small Business Administration Participation
Certificate,
7.200%, 10/01/16..............................
20,000 20,097,600
Student Loan Marketing Association,
5.880%, 02/06/01..............................
19,290 18,861,955
United States Treasury Bonds,
8.125%, 08/15/19..............................
35,000 40,485,200
12.000%, 08/15/13.............................
24,100 34,474,327
United States Treasury Notes,
6.250%, 04/30/01..............................
15,000 15,032,850
6.250%, 10/31/01..............................
14,600 14,613,724
6.500%, 05/31/01..............................
5,000 5,054,700
6.500%, 08/31/01..............................
25,000 25,273,500
6.500%, 11/15/26..............................
5,000 4,907,050
6.875%, 03/31/00..............................
20,000 20,450,000
7.750%, 12/31/99..............................
55,000 57,526,700
10.625%, 08/15/15.............................
6,000 8,483,460
- --------------
296,275,876
- --------------
TOTAL LONG-TERM INVESTMENTS
(cost
$467,932,592)............................................
470,284,502
- --------------
</TABLE>
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
SHORT-TERM INVESTMENT -- 1.3%
(000) (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account,
6.613%, 01/02/97 (cost $6,517,000) (Note 5)... $
6,517 $ 6,517,000
- --------------
TOTAL INVESTMENTS -- 98.9%
(cost $474,449,592; Note
6).................................... 476,801,502
OTHER ASSETS IN EXCESS OF
LIABILITIES --
1.1%............................................
5,233,938
- --------------
TOTAL NET ASSETS --
100.0%....................................... $
482,035,440
- --------------
- --------------
(a) The interest rate shown reflects the current rate
of
variable rate instruments.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
B6
<PAGE>
ZERO COUPON BOND 2000 PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 99.5%
PRINCIPAL
<S> <C>
<C>
AMOUNT VALUE
(000) (NOTE 2)
LONG-TERM BONDS
<CAPTION>
--------
- ----- --------------
<S> <C>
<C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
Federal National Mortgage Association,
Zero Coupon, 01/24/02......................... $
7,777 $ 5,661,423
Zero Coupon, 07/24/02.........................
5,527 3,887,028
United States Treasury Bonds,
Zero Coupon, 02/15/00.........................
5,000 4,145,350
Zero Coupon, 11/15/00.........................
21,630 17,106,302
Zero Coupon, 02/15/02.........................
18,750 13,706,250
- --------------
44,506,353
- --------------
TOTAL LONG-TERM INVESTMENTS
(cost
$42,297,668).............................................
44,506,353
- --------------
SHORT-TERM INVESTMENT -- 0.6%
REPURCHASE AGREEMENT
Joint Repurchase Agreement Account,
6.613%, 01/02/97 (cost $296,000) (Note 5).....
296 296,000
- --------------
TOTAL INVESTMENTS -- 100.1%
(cost $42,593,668; Note
6)..................................... 44,802,353
LIABILITIES IN EXCESS OF OTHER
ASSETS --
(0.1%)...............................................
(63,183)
- --------------
TOTAL NET ASSETS --
100.0%....................................... $
44,739,170
- --------------
- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
B7
<PAGE>
ZERO COUPON BOND 2005 PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
<S> <C>
<C>
LONG-TERM INVESTMENTS -- 99.9%
PRINCIPAL
AMOUNT VALUE
(000) (NOTE 2)
LONG-TERM BONDS
<CAPTION>
--------
- ----- --------------
<S> <C>
<C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 99.9%
Federal National Mortgage Association,
Zero Coupon, 07/24/05......................... $
5,100 $ 2,906,184
Financing Corp.,
Zero Coupon, 03/07/04.........................
3,350 2,102,393
Resolution Funding Corp.,
Zero Coupon, 07/15/07.........................
5,000 2,497,100
United States Treasury Bonds,
Zero Coupon, 11/15/04.........................
11,000 6,662,920
Zero Coupon, 11/15/05.........................
3,000 1,699,860
Zero Coupon, 02/15/06.........................
7,000 3,895,850
Zero Coupon, 05/15/06.........................
11,000 6,019,860
- --------------
TOTAL LONG-TERM INVESTMENTS
(cost $23,876,529; Note
6)..................................... 25,784,167
OTHER ASSETS IN EXCESS OF LIABILITIES --
0.1%....................
30,563
- --------------
TOTAL NET ASSETS --
100.0%....................................... $
25,814,730
- --------------
- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGES C1
THROUGH C6.
B8
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO
DECEMBER 31, 1996
<TABLE>
<CAPTION>
LONG-TERM INVESTMENTS -- 91.2%
VALUE
COMMON STOCKS -- 36.7%
SHARES (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
AEROSPACE/DEFENSE -- 0.6%
GenCorp, Inc....................................
629,100 $ 11,402,438
Litton Industries, Inc. (a).....................
241,400 11,496,675
UNC, Inc. (a)...................................
278,800 3,345,600
- --------------
26,244,713
- --------------
AIRLINES -- 1.2%
AMR Corp. (a)...................................
378,700 33,372,937
USAir Group, Inc. (a)...........................
776,100 18,141,337
- --------------
51,514,274
- --------------
AUTOS - CARS & TRUCKS -- 0.5%
A.O. Smith Corp.................................
450,000 13,443,750
Ford Motor Co...................................
295,900 9,431,812
- --------------
22,875,562
- --------------
AUTOMOBILES & TRUCKS -- 1.8%
Chrysler Corp...................................
929,500 30,673,500
General Motors Corp.............................
464,700 25,907,025
Goodyear Tire & Rubber Co.......................
250,800 12,884,850
Mascotech, Inc..................................
604,200 9,893,775
- --------------
79,359,150
- --------------
CHEMICALS -- 0.1%
Millenium Chemicals, Inc. (a)...................
188,227 3,341,029
- --------------
CHEMICALS - SPECIALTY -- 1.0%
Ferro Corp......................................
609,100 17,283,212
M.A. Hanna Co...................................
689,950 15,092,656
OM Group, Inc...................................
435,400 11,755,800
- --------------
44,131,668
- --------------
COMMERCIAL SERVICES -- 0.3%
BW/IP, Inc. (Class 'A' Stock)...................
365,600 6,032,400
IMO Industries, Inc. (a)........................
575,600 1,798,750
Parker-Hannifin Corp............................
197,450 7,651,187
- --------------
15,482,337
- --------------
COMPUTER HARDWARE -- 1.4%
Amdahl Corp. (a)................................
836,600 10,143,775
Digital Equipment Corp. (a).....................
293,500 10,676,063
International Business Machines Corp............
278,900 42,113,900
- --------------
62,933,738
- --------------
CONSTRUCTION -- 0.2%
McDermott International, Inc....................
481,900 10,601,800
- --------------
CONSUMER SERVICES -- 0.4%
ADT Ltd. (a)....................................
576,300 13,182,863
SPS Transaction Services, Inc. (a)..............
185,900 2,834,975
- --------------
16,017,838
- --------------
CONTAINERS & PACKAGING -- 0.2%
Sealed Air Corp. (a)............................
183,600 7,642,350
- --------------
DIVERSIFIED CONSUMER PRODUCTS -- 1.0%
RJR Nabisco Holdings Corp.......................
791,400 26,907,600
Whitman Corp....................................
849,000 19,420,875
- --------------
46,328,475
- --------------
DRUGS AND MEDICAL SUPPLIES -- 0.3%
United States Surgical Corp.....................
339,700 13,375,688
- --------------
ELECTRICAL EQUIPMENT -- 1.0%
Belden, Inc.....................................
457,600 16,931,200
Westinghouse Electric Corp......................
1,487,300 29,560,087
- --------------
46,491,287
- --------------
</TABLE>
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED)
SHARES (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
ELECTRONICS -- 1.3%
National Semiconductor Corp. (a)................
964,000 $ 23,497,500
Texas Instruments, Inc..........................
557,700 35,553,375
- --------------
59,050,875
- --------------
ENGINEERING & CONSTRUCTION -- 0.2%
Giant Cement Holdings, Inc. (a).................
400,400 6,456,450
- --------------
FINANCIAL SERVICES -- 2.9%
Alex Brown, Inc.................................
278,100 20,162,250
Lehman Brothers Holdings, Inc...................
1,597,400 50,118,425
Merrill Lynch & Co., Inc........................
185,900 15,150,850
Morgan Stanley Group, Inc.......................
209,200 11,950,550
Salomon, Inc....................................
650,700 30,664,237
- --------------
128,046,312
- --------------
FOREST PRODUCTS -- 1.7%
Champion International Corp.....................
650,700 28,142,775
Louisiana-Pacific Corp..........................
650,700 13,746,037
Mead Corp.......................................
326,100 18,954,562
Willamette Industries, Inc......................
238,100 16,577,712
- --------------
77,421,086
- --------------
GAS PIPELINES -- 0.3%
Western Gas Resources, Inc......................
659,000 12,685,750
- --------------
HOUSEHOLD PRODUCTS -- 0.3%
Jan Bell Marketing, Inc. (a)....................
964,200 1,988,663
Leggett & Platt, Inc............................
366,600 12,693,525
- --------------
14,682,188
- --------------
HOUSING RELATED -- 1.1%
Hanson, PLC, ADR, (United Kingdom)..............
2,540,300 17,147,025
Owens Corning...................................
620,800 26,461,600
- --------------
43,608,625
- --------------
INSURANCE -- 3.0%
Allstate Corp...................................
124,999 7,234,317
Equitable of Iowa Companies.....................
346,500 15,895,687
Financial Security Assurance Holdings, Ltd......
218,100 7,170,037
PennCorp Financial Group, Inc...................
513,500 18,486,000
Provident Companies, Inc........................
170,900 8,267,287
Reinsurance Group of America, Inc...............
487,800 22,987,575
TIG Holdings, Inc...............................
546,900 18,526,237
Trenwick Group, Inc.............................
273,300 12,640,125
W.R. Berkley Corp...............................
180,100 9,140,075
Western National Corp...........................
836,600 16,104,550
- --------------
136,451,890
- --------------
INTEGRATED PRODUCERS -- 0.2%
Murphy Oil Corp.................................
177,400 9,867,875
- --------------
MACHINERY -- 1.4%
Case Corp.......................................
597,500 32,563,750
DT Industries, Inc..............................
226,100 7,913,500
Paxar Corp......................................
1,232,660 21,263,385
- --------------
61,740,635
- --------------
MEDIA -- 1.6%
Central Newspapers, Inc. (Class 'A' Stock)......
319,800 14,071,200
Gannett Co., Inc................................
185,900 13,919,262
Hollinger International, Inc....................
155,600 1,789,400
Houghton Mifflin Co.............................
185,900 10,526,587
Knight-Ridder, Inc..............................
371,800 14,221,350
Lee Enterprises, Inc............................
325,300 7,563,225
</TABLE>
B9
<PAGE>
CONSERVATIVE BALANCED PORTFOLIO
(CONTINUED)
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
COMMON STOCKS (CONTINUED)
SHARES (NOTE 2)
--------
- ----- --------------
<S> <C>
<C>
MEDIA -- CONT'D
McGraw-Hill, Inc................................
185,500 $ 8,556,187
Media General, Inc. (Class 'A' Stock)...........
59,000 1,784,750
- --------------
72,431,961
- --------------
METALS-NON FERROUS -- 1.1%
Aluminum Company of America.....................
750,500 47,844,375
- --------------
MISCELLANEOUS - BASIC INDUSTRY -- 2.0%
Danaher Corp....................................
435,800 20,319,175
Donaldson, Inc..................................
372,200 12,468,700
IDEX Corp.......................................
275,300 10,977,587
Mark IV Industries, Inc.........................
558,793 12,642,692
Trinity Industries, Inc.........................
358,300 13,436,250
Wolverine Tube, Inc. (a)........................
259,800 9,157,950
York International Corp.........................
185,000 10,336,875
- --------------
89,339,229
- --------------
MISCELLANEOUS - INDUSTRIAL -- 0.8%
Coltec Industries, Inc. (a).....................
299,900 5,660,613
Global Industrial Technologies, Inc. (a)........
390,700 8,644,238
Material Sciences Corp. (a).....................
649,600 11,692,800
Titan Wheel International, Inc..................
695,550 8,868,263
- --------------
34,865,914
- --------------
OIL - EXPLORATION & PRO
</TABLE>
