N-Q 1 d250816dnq.htm HARTFORD HLS SERIES FUND II Hartford HLS Series Fund II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-04615

HARTFORD HLS SERIES FUND II, INC.

(Exact name of registrant as specified in charter)

5 Radnor Corporate Center, Suite 300, 100 Matsonford Road, Radnor, Pennsylvania 19087

(Address of Principal Executive Offices) (Zip Code)

Alice A. Pellegrino

Hartford Funds Management Company, LLC

5 Radnor Corporate Center, Suite 300

100 Matsonford Road

Radnor, PA 19087

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: (610) 386-1844

Date of fiscal year end: December 31

Date of reporting period: September 30, 2016

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1. Schedule of Investments.


 

Hartford Growth Opportunities HLS Fund

 

   Schedule of Investments

   September 30, 2016 (Unaudited)

 

 

 

Shares or Principal Amount

      Market Value  
Common Stocks - 91.3%    
   Capital Goods - 2.9%    
301,469   

AerCap Holdings N.V.*

  $     11,603,542   
251,673   

Fastenal Co.

      10,514,898   
156,475   

Middleby Corp.*

      19,343,439   
      

 

 

 
         41,461,879   
      

 

 

 
   Commercial & Professional Services - 3.1%    
600,370   

IHS Markit Ltd.*

      22,543,893   
18,785   

Klarna Holding AB*(1)(2)(3)

      2,108,419   
551,567   

TransUnion*

      19,029,062   
      

 

 

 
         43,681,374   
      

 

 

 
   Consumer Durables & Apparel - 2.4%    
72,203   

Pandora A/S

      8,745,198   
4,113,330   

Samsonite International S.A.

      13,262,703   
362,459   

Under Armour, Inc. Class C*

      12,272,862   
      

 

 

 
         34,280,763   
      

 

 

 
   Consumer Services - 1.9%    
28,035   

Chipotle Mexican Grill, Inc.*

      11,872,822   
75,022   

Panera Bread Co. Class A*

      14,608,284   
      

 

 

 
         26,481,106   
      

 

 

 
   Diversified Financials - 2.8%    
621,393   

Double Eagle Acquisition Corp.*

      6,350,637   
58,785   

Intercontinental Exchange, Inc.

      15,834,328   
139,406   

S&P Global, Inc.

      17,643,223   
      

 

 

 
         39,828,188   
      

 

 

 
   Energy - 6.5%    
243,560   

Anadarko Petroleum Corp.

      15,431,962   
260,944   

Baker Hughes, Inc.

      13,169,844   
70,704   

Concho Resources, Inc.*

      9,711,194   
91,182   

Diamondback Energy, Inc.*

      8,802,710   
191,169   

Energen Corp.

      11,034,275   
307,612   

Newfield Exploration Co.*

      13,368,817   
67,298   

Pioneer Natural Resources Co.

      12,493,874   
286,200   

Seven Generations Energy Ltd. Class A*

      6,889,131   
      

 

 

 
         90,901,807   
      

 

 

 
   Food & Staples Retailing - 2.4%    
221,453   

Costco Wholesale Corp.

      33,773,797   
      

 

 

 
   Food, Beverage & Tobacco - 1.9%    
122,711   

Monster Beverage Corp.*

      18,015,202   
712,174   

Nomad Foods Ltd.*

      8,417,897   
      

 

 

 
         26,433,099   
      

 

 

 
   Health Care Equipment & Services - 12.0%    
217,543   

Align Technology, Inc.*

      20,394,656   
129,594   

athenahealth, Inc.*

      16,344,395   
151,770   

Danaher Corp.

      11,897,250   
241,554   

DexCom, Inc.*

      21,174,624   
151,882   

Edwards Lifesciences Corp.*

      18,310,894   
263,356   

HCA Holdings, Inc.*

      19,917,614   
345,086   

Hologic, Inc.*

      13,399,690   
149,971   

McKesson Corp.

      25,007,664   
162,206   

UnitedHealth Group, Inc.

      22,708,840   
      

 

 

 
               169,155,627   
      

 

 

 
   Materials - 1.1%    
1,927,376   

Platform Specialty Products Corp.*

      15,631,019   
      

 

 

 
   Pharmaceuticals, Biotechnology & Life Sciences - 10.2%    
107,788   

Allergan plc*

      24,824,654   
206,651   

AstraZeneca plc

      13,381,033   
756,573   

Bristol-Myers Squibb Co.

      40,794,416   
224,780   

Eisai Co., Ltd.

      14,058,531   


 

Hartford Growth Opportunities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

422,992   

Mylan N.V.*

  $     16,124,455   
374,700   

Ono Pharmaceutical Co., Ltd.

      10,461,792   
60,445   

Regeneron Pharmaceuticals, Inc.*

      24,300,099   
      

 

 

 
         143,944,980   
      

 

 

 
   Real Estate - 2.5%    
164,462   

American Tower Corp. REIT

      18,638,479   
40,741   

Equinix, Inc. REIT

      14,676,945   
29,318   

WeWork Companies, Inc. Class A, REIT(1)(2)(3)

      1,471,536   
      

 

 

 
         34,786,960   
      

 

 

 
   Retailing - 12.3%    
73,227   

Amazon.com, Inc.*

      61,313,699   
150,839   

Expedia, Inc.

      17,605,928   
43,732   

Honest Co.(1)(2)(3)

      1,636,014   
41,578   

JAND, Inc. Class A(1)(2)(3)

      380,855   
397,337   

Netflix, Inc.*

      39,157,561   
21,346   

Priceline Group, Inc.*

      31,410,426   
94,537   

Tory Burch LLC*(1)(2)(3)

      4,694,703   
279,278   

TripAdvisor, Inc.*

      17,644,784   
      

 

 

 
         173,843,970   
      

 

 

 
   Software & Services - 27.3%    
197,784   

Alibaba Group Holding Ltd. ADR*

      20,923,569   
30,865   

Alphabet, Inc. Class A*

      24,817,312   
53,239   

Alphabet, Inc. Class C*

      41,382,142   
56,630   

Baidu, Inc. ADR*

      10,310,624   
121,298   

CoStar Group, Inc.*

      26,264,656   
359,351   

Facebook, Inc. Class A*

      46,093,953   
211,689   

Global Payments, Inc.

      16,249,248   
378,071   

GoDaddy, Inc. Class A*

      13,054,792   
467,210   

Mobileye N.V.*

      19,889,130   
347,533   

PayPal Holdings, Inc.*

      14,238,427   
157,414   

Salesforce.com, Inc.*

      11,228,341   
222,042   

ServiceNow, Inc.*

      17,574,624   
760,946   

SS&C Technologies Holdings, Inc.

      24,464,414   
522,600   

Tencent Holdings Ltd.

      14,529,332   
11,200   

Trade Desk, Inc. Class A*

      327,152   
402,200   

Visa, Inc. Class A

      33,261,940   
362,777   

Workday, Inc. Class A*

      33,263,023   
479,317   

Zillow Group, Inc. Class C*

      16,608,334   
      

 

 

 
         384,481,013   
      

 

 

 
   Technology Hardware & Equipment - 0.7%    
116,668   

Arista Networks, Inc.*

      9,926,114   
      

 

 

 
   Transportation - 1.3%    
104,853   

FedEx Corp.

      18,315,722   
      

 

 

 
  

Total Common Stocks
(cost $1,152,317,865)

        1,286,927,418   
      

 

 

 
Corporate Bonds - 0.1%    
   Internet - 0.1%    
  

DraftKings, Inc.

   
$         705,896   

    5.00%, 12/23/2016(1)(2)(3)

      705,896   
      

 

 

 
  

Total Corporate Bonds
(cost $705,896)

      705,896   
      

 

 

 
Preferred Stocks - 8.1%    
   Capital Goods - 0.6%    
1,458,400   

Lithium Technology Corp. *(1)(2)(3)

      8,050,368   
      

 

 

 
   Consumer Services - 0.1%    
874,073   

DraftKings, Inc. * (1)(2)(3)

      1,678,220   
      

 

 

 
   Real Estate - 1.2%    
879,569   

Redfin Corp. Series G * (1)(2)(3)

      3,474,297   
145,709   

WeWork Companies, Inc. Class D-1 * (1)(2)(3)

      7,313,463   


 

Hartford Growth Opportunities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

114,486     

WeWork Companies, Inc. Class D-2 * (1)(2)(3)

    $     5,746,310   
          

 

 

 
             16,534,070   
          

 

 

 
     Retailing - 0.5%      
160,575     

Forward Ventures, Inc. * (1)(2)(3)

        7,036,396   
92,843     

JAND, Inc. Series D * (1)(2)(3)

        850,442   
          

 

 

 
             7,886,838   
          

 

 

 
     Software & Services - 5.5%      
535,139     

Birst, Inc. Series F * (1)(2)(3)

        2,921,859   
1,871,878     

Essence Group Holdings Corp. * (1)(2)(3)

        4,230,444   
236,310     

ForeScout Technologies, Inc. * (1)(2)(3)

        2,970,417   
50,806     

General Assembly Space, Inc. * (1)(2)(3)

        2,490,556   
287,204     

Lookout, Inc. Series F * (1)(2)(3)

        2,369,433   
366,944     

MarkLogic Corp. Series F * (1)(2)(3)

        3,860,251   
227,914     

Nutanix, Inc. * (1)(2)(3)

        7,589,536   
488,790     

Pinterest, Inc. Series G * (1)(2)(3)

        3,186,911   
759,876     

Uber Technologies, Inc. * (1)(2)(3)

        37,060,846   
210,735     

Veracode, Inc. * (1)(2)(3)

        5,595,014   
1,160,072     

Zuora, Inc. Series F * (1)(2)(3)

        5,092,716   
          

 

 

 
             77,367,983   
          

 

 

 
     Telecommunication Services - 0.2%      
7,944     

DocuSign, Inc. Series B * (1)(2)(3)

        154,193   
2,379     

DocuSign, Inc. Series B-1 * (1)(2)(3)

        46,176   
5,708     

DocuSign, Inc. Series D * (1)(2)(3)

        110,792   
123,606     

DocuSign, Inc. Series E * (1)(2)(3)

        2,399,193   
          

 

 

 
             2,710,354   
          

 

 

 
    

Total Preferred Stocks
(cost $69,387,037)

        114,227,833   
          

 

 

 
Convertible Preferred Stocks - 0.3%      
     Retailing - 0.3%      
102,040     

Honest Co. Series C * (1)(2)(3)

        3,817,316   
          

 

 

 
    

Total Convertible Preferred Stocks
(cost $2,760,927)

        3,817,316   
          

 

 

 
    

Total Long-Term Investments
(cost $1,225,171,725)

        1,405,678,463   
          

 

 

 
Short-Term Investments - 0.5%      
     Other Investment Pools & Funds - 0.5%      
7,401,772     

Federated Prime Obligations Fund

        7,401,772   
          

 

 

 
    

Total Short-Term Investments
(cost $7,401,772)

        7,401,772   
          

 

 

 
    

Total Investments
(cost $1,232,573,497)^

  100.3%   $     1,413,080,235   
    

Other Assets and Liabilities

  (0.3)%       (4,046,790
      

 

   

 

 

 
    

Total Net Assets

  100.0%   $       1,409,033,445   
      

 

   

 

 

 

Note: Percentage of investments as shown is the ratio of the total market value to total net assets.

Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by the Board of Directors in order to reflect an adjustment for factors occurring after the close of certain foreign markets but before the close of the New York Stock Exchange.

Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

 

^ Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:

Unrealized Appreciation

  $               211,641,977   

Unrealized Depreciation

      (31,135,239
   

 

 

 

Net Unrealized Appreciation

  $          180,506,738   
   

 

 

 


 

Hartford Growth Opportunities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

* Non-income producing.
(1) These securities are valued in good faith at fair value as determined under policies and procedures established by and under the supervision of the Board of Directors. At September 30, 2016, the aggregate fair value of these securities was $129,042,572, which represents 9.2% of total net assets. This amount excludes securities that are principally traded in certain foreign markets and whose prices are adjusted pursuant to a third party pricing service methodology approved by the Board of Directors.
(2) The following securities are considered illiquid. Illiquid securities are often purchased in private placement transactions, are often not registered under the Securities Act of 1933, as amended, and may have contractual restrictions on resale. A security may also be considered illiquid if the security lacks a readily available market or if its valuation has not changed for a certain period of time.

 

        Period

        Acquired

   Shares/ Par      Security       Cost Basis  

 

          03/2015

   535,139      Birst, Inc. Series F Preferred   $   3,125,693  

          02/2014

   7,944      DocuSign, Inc. Series B Preferred     104,324  

          02/2014

   2,379      DocuSign, Inc. Series B-1 Preferred     31,242  

          02/2014

   5,708      DocuSign, Inc. Series D Preferred     74,960  

          02/2014

   123,606      DocuSign, Inc. Series E Preferred     1,623,243  

          12/2015

   705,896      DraftKings, Inc.     705,896  

          12/2014

   874,073      DraftKings, Inc. Preferred     1,574,452  

          05/2014

   1,871,878      Essence Group Holdings Corp. Preferred     2,960,001  

          11/2015

   236,310      ForeScout Technologies, Inc. Preferred     2,804,291  

          11/2014

   160,575      Forward Ventures, Inc. Preferred     4,998,894  

          07/2015

   50,806      General Assembly Space, Inc. Preferred     2,490,556  

          08/2014

   43,732      Honest Co.     1,183,270  

          08/2014

   102,040      Honest Co. Series C Convertible Preferred     2,760,927  

          04/2015

   41,578      JAND, Inc. Class A     477,536  

          04/2015

   92,843      JAND, Inc. Series D Preferred     1,066,330  

          08/2015

   18,785      Klarna Holding AB     2,060,349  

          08/2013

   1,458,400      Lithium Technology Corp. Preferred     7,108,242  

          03/2016

   287,204      Lookout, Inc. Series F Preferred     3,280,760  

          04/2015

   366,944      MarkLogic Corp. Series F Preferred     4,261,761  

          08/2014

   227,914      Nutanix, Inc. Preferred     3,053,250  

          03/2015

   488,790      Pinterest, Inc. Series G Preferred     3,509,068  

          12/2014

   879,569      Redfin Corp. Series G Preferred     2,900,554  

          11/2013

   94,537      Tory Burch LLC     7,409,472  

          06/2014

   759,876      Uber Technologies, Inc. Preferred     11,787,994  

          08/2014

   210,735      Veracode, Inc. Preferred     3,891,411  

          12/2014

   29,318      WeWork Companies, Inc. Class A, REIT     488,179  

          12/2014

   145,709      WeWork Companies, Inc. Class D-1 Preferred     2,426,224  

          12/2014

   114,486      WeWork Companies, Inc. Class D-2 Preferred     1,906,325  

          01/2015

   1,160,072      Zuora, Inc. Series F Preferred     4,407,462  
           

 

          $         84,472,666  
           

 

At September 30, 2016, the aggregate value of these securities was $129,042,572, which represents 9.2% of total net assets.

 

(3) Securities issued within terms of a private placement memorandum, exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold only to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At September 30, 2016, the aggregate value of these securities was $129,042,572, which represents 9.2% of total net assets.

 

For information regarding the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder report.

 

GLOSSARY: (abbreviations used in preceding Schedule of Investments)     

 

  
Other Abbreviations:          

 

  
ADR    American Depositary Receipt   
REIT    Real Estate Investment Trust   


 

Hartford Growth Opportunities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2016 in valuing the Fund’s investments.

 

     Total

 

    Level 1(1)

 

    Level 2(1)

 

    Level 3

 

 

Assets

        

Common Stocks

        

Capital Goods

   $ 41,461,879       $ 41,461,879       $ —       $ —    

Commercial & Professional Services

     43,681,374         41,572,955         —         2,108,419    

Consumer Durables & Apparel

     34,280,763         12,272,862         22,007,901         —    

Consumer Services

     26,481,106         26,481,106         —         —    

Diversified Financials

     39,828,188         39,828,188         —         —    

Energy

     90,901,807         90,901,807         —         —    

Food & Staples Retailing

     33,773,797         33,773,797         —         —    

Food, Beverage & Tobacco

     26,433,099         26,433,099         —         —    

Health Care Equipment & Services

     169,155,627         169,155,627         —         —    

Materials

     15,631,019         15,631,019         —         —    

Pharmaceuticals, Biotechnology & Life Sciences

     143,944,980         106,043,624         37,901,356         —    

Real Estate

     34,786,960         33,315,424         —         1,471,536    

Retailing

     173,843,970         167,132,398         —         6,711,572    

Software & Services

     384,481,013         369,951,681         14,529,332         —    

Technology Hardware & Equipment

     9,926,114         9,926,114         —         —    

Transportation

     18,315,722         18,315,722         —         —    

Corporate Bonds

     705,896         —         —         705,896    

Preferred Stocks

     114,227,833         —         —         114,227,833    

Convertible Preferred Stocks

     3,817,316         —         —         3,817,316    

Short-Term Investments

     7,401,772         7,401,772         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

 

Total

 

   $

 

    1,413,080,235 

 

  

 

  $

 

    1,209,599,074 

 

  

 

  $

 

         74,438,589 

 

  

 

  $

 

       129,042,572 

 

  

 

  

 

 

   

 

 

   

 

 

   

 

 

 

(1) For the nine-month period ended September 30, 2016, there were no transfers between Level 1 and Level 2.

The following is a rollforward of the Fund’s investments that were valued using unobservable inputs (Level 3) for the nine-month period ended September 30, 2016:

 

    

      Common      

      Stocks      

 

    

Preferred

Stocks

 

    

Corporate

Bonds

 

    

Convertible

Preferred Stocks

 

     Total  
  

 

 

 

Beginning balance

     $14,516,321         $106,827,213         $705,896         $4,625,473         $126,674,903   

Purchases

     -         -         -         -         -   

Sales

     (4,220,249)         (736,890)         -         -         (4,957,139)   

Accrued discounts/(premiums)

     -         -         -         -         -   

Total realized gain/(loss)

     -         (57,854)         -         -         (57,854)   

Net change in unrealized

appreciation/depreciation

     (4,545)         8,195,364         -         (808,157)         7,382,662   

Transfers into Level 3

     -         -         -         -         -   

Transfers out of Level 3

     -         -         -         -         -   
  

 

 

 

Ending balance

 

    

 

    $10,291,527

 

  

 

    

 

    $114,227,833

 

  

 

    

 

    $    705,896

 

  

 

    

 

    $        3,817,316

 

  

 

    

 

    $129,042,572

 

  

 

  

 

 

 

The change in net unrealized appreciation/depreciation relating to the Level 3 investments held at September 30, 2016 was $7,119,968.

Note: For purposes of reporting transfers between different hierarchy levels, both transfers in and out of each level, as applicable, are shown as if they occurred at the beginning of the period.


 

Hartford Small/Mid Cap Equity HLS Fund

 

   Schedule of Investments

   September 30, 2016 (Unaudited)

 

 

Shares or Principal Amount

      Market Value    
Common Stocks - 99.1%    
   Automobiles & Components - 2.7%    
7,510   

Cooper Tire & Rubber Co.

  $   285,530
16,100   

Goodyear Tire & Rubber Co.

    520,030
9,423   

Lear Corp.

            1,142,256
2,968   

Thor Industries, Inc.

    251,390
4,261   

Visteon Corp.

    305,343
      

 

       2,504,549
      

 

   Banks - 5.3%    
23,200   

Banc of California, Inc.

    405,072
12,700   

Banco Latinoamericano de Comercio Exterior S.A. ADR

    357,886
8,463   

Berkshire Hills Bancorp, Inc.

    234,510
19,183   

Fidelity Southern Corp.

    352,775
50,606   

Fifth Third Bancorp

    1,035,399
51,550   

First BanCorp*

    268,060
7,388   

First NBC Bank Holding Co.*

    69,743
16,500   

Flagstar Bancorp, Inc.*

    457,875
15,349   

HomeStreet, Inc.*

    384,646
7,903   

MainSource Financial Group, Inc.

    197,180
19,446   

OFG Bancorp

    196,599
26,198   

Popular, Inc.

    1,001,287
      

 

       4,961,032
      

 

   Capital Goods - 8.9%    
4,430   

American Railcar Industries, Inc.

    183,712
3,058   

American Woodmark Corp.*

    246,383
8,215   

Briggs & Stratton Corp.

    153,210
7,140   

Chart Industries, Inc.*

    234,406
2,867   

Comfort Systems USA, Inc.

    84,032
11,550   

Continental Building Products, Inc.*

    242,435
10,443   

DigitalGlobe, Inc.*

    287,182
4,300   

Douglas Dynamics, Inc.

    137,342
3,800   

Encore Wire Corp.

    139,726
18,567   

Energy Recovery, Inc.*

    296,701
6,726   

Gibraltar Industries, Inc.*

    249,871
4,200   

Greenbrier Cos., Inc.

    148,260
3,491   

Huntington Ingalls Industries, Inc.

    535,589
4,300   

Hyster-Yale Materials Handling, Inc.

    258,559
4,000   

Insteel Industries, Inc.

    144,960
20,416   

Kratos Defense & Security Solutions, Inc.*

    140,666
3,028   

Lydall, Inc.*

    154,822
29,000   

Manitowoc Co., Inc.

    138,910
11,706   

MasTec, Inc.*

    348,136
48,800   

Meritor, Inc.*

    543,144
19,118   

MRC Global, Inc.*

    314,109
13,502   

NCI Building Systems, Inc.*

    196,994
19,304   

Quanta Services, Inc.*

    540,319
14,727   

Spirit Aerosystems Holdings, Inc. Class A*

    655,941
13,265   

Supreme Industries, Inc. Class A

    256,015
17,387   

TASER International, Inc.*

    497,442
5,309   

Timken Co.

    186,558
15,387   

Titan International, Inc.

    155,716
6,238   

Trex Co., Inc.*

    366,295
6,506   

Tutor Perini Corp.*

    139,684
3,100   

Universal Forest Products, Inc.

    305,319
      

 

       8,282,438
      

 

   Commercial & Professional Services - 3.0%    
3,035   

Barrett Business Services, Inc.

    150,566
1,338   

Deluxe Corp.

    89,405
6,100   

Essendant, Inc.

    125,172
11,664   

Herman Miller, Inc.

    333,590
2,853   

Huron Consulting Group, Inc.*

    170,495
2,606   

Insperity, Inc.

    189,300
7,800   

Kimball International, Inc. Class B

    100,932


 

Hartford Small/Mid Cap Equity HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

7,663   

Mistras Group, Inc.*

  $   179,851
6,882   

Quad/Graphics, Inc.

    183,887
25,700   

R.R. Donnelley & Sons Co.

    404,004
13,716   

Robert Half International, Inc.

    519,288
19,100   

RPX Corp.*

    204,179
2,545   

WageWorks, Inc.*

    155,016
      

 

               2,805,685
      

 

   Consumer Durables & Apparel - 1.6%    
5,097   

CSS Industries, Inc.

    130,381
865   

Helen of Troy Ltd.*

    74,537
8,777   

lululemon athletica, Inc.*

    535,221
8,899   

Movado Group, Inc.

    191,151
11,090   

Smith & Wesson Holding Corp.*

    294,883
4,000   

Sturm Ruger & Co., Inc.

    231,040
      

 

       1,457,213
      

 

   Consumer Services - 2.8%    
8,500   

American Public Education, Inc.*

    168,385
4,984   

Capella Education Co.

    289,272
8,715   

Domino’s Pizza, Inc.

    1,323,373
5,708   

International Speedway Corp. Class A

    190,761
12,000   

LifeLock, Inc.*

    203,040
16,197   

Scientific Games Corp. Class A*

    182,540
4,540   

Strayer Education, Inc.*

    211,927
      

 

       2,569,298
      

 

   Diversified Financials - 4.9%    
14,900   

AG Mortgage Investment Trust, Inc. REIT

    234,675
18,700   

American Capital Agency Corp. REIT

    365,398
14,129   

Apollo Commercial Real Estate Finance, Inc. REIT

    231,292
9,697   

ARMOUR Residential, Inc. REIT

    218,571
9,116   

Capstead Mortgage Corp. REIT

    85,964
19,554   

Chimera Investment Corp. REIT

    311,886
26,328   

CYS Investments, Inc. REIT

    229,580
7,878   

Green Dot Corp. Class A*

    181,667
15,317   

Invesco Mortgage Capital, Inc. REIT

    233,278
13,085   

KCG Holdings, Inc. Class A*

    203,210
28,370   

MFA Financial, Inc. REIT

    212,208
20,600   

Navient Corp.

    298,082
11,090   

Nelnet, Inc. Class A

    447,703
9,754   

PennyMac Mortgage Investment Trust REIT

    151,967
28,151   

Redwood Trust, Inc. REIT

    398,618
47,300   

Two Harbors Investment Corp. REIT

    403,469
16,400   

Western Asset Mortgage Capital Corp. REIT

    170,888
3,479   

World Acceptance Corp.*

    170,610
      

 

       4,549,066
      

 

   Energy - 5.4%    
12,200   

Archrock, Inc.

    159,576
22,900   

Atwood Oceanics, Inc.

    199,001
32,900   

Bill Barrett Corp.*

    182,924
7,800   

Consol Energy, Inc.

    149,760
14,000   

Contango Oil & Gas Co.*

    143,080
5,820   

CVR Energy, Inc.

    80,141
45,000   

Denbury Resources, Inc.

    145,350
7,707   

Diamond Offshore Drilling, Inc.

    135,720
1,548   

Dril-Quip, Inc.*

    86,286
11,226   

Energen Corp.

    647,965
21,375   

Ensco plc Class A

    181,687
42,829   

EP Energy Corp. Class A*

    187,591
12,000   

Fairmount Santrol Holdings, Inc.*

    101,760
34,750   

Noble Corp. plc

    220,315
38,811   

Northern Oil and Gas, Inc.*

    104,013
16,715   

Patterson-UTI Energy, Inc.

    373,915
33,661   

Pioneer Energy Services Corp.*

    135,990
3,177   

REX American Resources Corp.*

    269,283


 

Hartford Small/Mid Cap Equity HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

14,652   

Rowan Cos. plc Class A

  $   222,124
37,152   

Sanchez Energy Corp.*

    328,424
28,443   

Southwestern Energy Co.*

    393,651
12,816   

Whiting Petroleum Corp.*

    112,012
6,300   

World Fuel Services Corp.

    291,438
12,700   

WPX Energy, Inc.*

    167,513
      

 

                 5,019,519
      

 

   Food, Beverage & Tobacco - 2.3%    
10,685   

Blue Buffalo Pet Products, Inc.*

    253,876
3,495   

Fresh Del Monte Produce, Inc.

    209,350
1,906   

John B Sanfilippo & Son, Inc.

    97,835
4,163   

National Beverage Corp.*

    183,380
5,700   

Omega Protein Corp.*

    133,209
31,200   

Pilgrim’s Pride Corp.

    658,944
2,928   

Sanderson Farms, Inc.

    282,054
6,267   

Universal Corp.

    364,865
      

 

       2,183,513
      

 

   Health Care Equipment & Services - 4.6%    
10,846   

Align Technology, Inc.*

    1,016,812
4,100   

Anika Therapeutics, Inc.*

    196,185
796   

Chemed Corp.

    112,292
4,548   

Glaukos Corp.*

    171,642
5,569   

Healthways, Inc.*

    147,356
11,017   

HMS Holdings Corp.*

    244,247
5,072   

Hologic, Inc.*

    196,946
3,803   

Magellan Health, Inc.*

    204,335
7,408   

Masimo Corp.*

    440,702
27,950   

OraSure Technologies, Inc.*

    222,761
10,537   

Triple-S Management Corp. Class B*

    231,076
16,500   

Veeva Systems, Inc. Class A*

    681,120
3,273   

WellCare Health Plans, Inc.*

    383,236
      

 

       4,248,710
      

 

   Household & Personal Products - 1.5%    
6,318   

Herbalife Ltd.*

    391,653
5,513   

Medifast, Inc.

    208,336
4,565   

Nu Skin Enterprises, Inc. Class A

    295,721
3,500   

Usana Health Sciences, Inc.*

    484,225
      

 

       1,379,935
      

 

   Insurance - 5.2%    
9,688   

Ambac Financial Group, Inc.*

    178,162
8,807   

Aspen Insurance Holdings Ltd.

    410,318
10,798   

Assured Guaranty Ltd.

    299,645
12,600   

CNO Financial Group, Inc.

    192,402
17,400   

Endurance Specialty Holdings Ltd.

    1,138,830
5,594   

Everest Re Group Ltd.

    1,062,692
23,936   

Greenlight Capital Re Ltd. Class A*

    489,252
12,817   

Maiden Holdings Ltd.

    162,648
24,227   

MBIA, Inc.*

    188,728
6,426   

National General Holdings Corp.

    142,914
5,390   

Reinsurance Group of America, Inc.

    581,797
      

 

       4,847,388
      

 

   Materials - 5.2%    
8,300   

American Vanguard Corp.

    133,298
4,703   

Cabot Corp.

    246,484
26,100   

Chemours Co.

    417,600
9,696   

Clearwater Paper Corp.*

    627,040
25,335   

Cliffs Natural Resources, Inc.*

    148,210
11,800   

Domtar Corp.

    438,134
4,300   

Innophos Holdings, Inc.

    167,829
2,963   

Innospec, Inc.

    180,180
5,100   

Koppers Holdings, Inc.*

    164,118
16,069   

Rayonier Advanced Materials, Inc.

    214,843
6,402   

Reliance Steel & Aluminum Co.

    461,136


 

Hartford Small/Mid Cap Equity HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

13,275   

Schnitzer Steel Industries, Inc. Class A

 

$

  277,448
20,754   

Steel Dynamics, Inc.

    518,642
7,881   

Stepan Co.

    572,634
4,577   

Trinseo S.A.

    258,875
      

 

                 4,826,471
      

 

   Media - 0.4%    
19,000   

Gannett Co., Inc.

    221,160
10,100   

New Media Investment Group, Inc.

    156,550
      

 

       377,710
      

 

   Pharmaceuticals, Biotechnology & Life Sciences - 7.0%    
9,400   

Amphastar Pharmaceuticals, Inc.*

    178,318
4,257   

BioSpecifics Technologies Corp.*

    194,417
20,149   

Bruker Corp.

    456,375
2,900   

Cambrex Corp.*

    128,934
8,677   

Emergent Biosolutions, Inc.*

    273,586
7,468   

Enanta Pharmaceuticals, Inc.*

    198,723
32,786   

Exelixis, Inc.*

    419,333
5,292   

Five Prime Therapeutics, Inc.*

    277,777
3,858   

Impax Laboratories, Inc.*

    91,435
2,194   

INC Research Holdings, Inc. Class A*

    97,809
13,927   

Innoviva, Inc.

    153,058
5,700   

Jazz Pharmaceuticals plc*

    692,436
13,104   

Lexicon Pharmaceuticals, Inc.*

    236,789
14,300   

OncoMed Pharmaceuticals, Inc.*

    163,449
98,244   

PDL Biopharma, Inc.

    329,117
4,225   

PRA Health Sciences, Inc.*

    238,755
11,123   

Quintiles Transnational Holdings, Inc.*

    901,630
18,200   

Seres Therapeutics, Inc.*

    223,678
7,774   

Supernus Pharmaceuticals, Inc.*

    192,251
6,800   

United Therapeutics Corp.*

    802,944
11,242   

Xencor, Inc.*

    275,317
      

 

       6,526,131
      

 

   Real Estate - 8.9%    
27,252   

Apple Hospitality, Inc. REIT

    504,434
55,800   

Brandywine Realty Trust REIT

    871,596
38,268   

Brixmor Property Group, Inc. REIT

    1,063,468
18,153   

CBL & Associates Properties, Inc. REIT

    220,377
11,999   

Corrections Corp. of America REIT

    166,426
57,155   

DDR Corp. REIT

    996,212
6,700   

Education Realty Trust, Inc. REIT

    289,038
34,319   

Gramercy Property Trust REIT

    330,835
21,312   

Hospitality Properties Trust REIT

    633,393
42,630   

Mack-Cali Realty Corp. REIT

    1,160,389
25,714   

MTGE Investment Corp. REIT

    442,024
6,700   

Pennsylvania REIT

    154,301
13,809   

Physicians Realty Trust REIT

    297,446
7,446   

Piedmont Office Realty Trust, Inc. Class A, REIT

    162,099
26,297   

Select Income REIT

    707,389
20,673   

Washington Prime Group, Inc. REIT

    255,932
      

 

       8,255,359
      

 

   Retailing - 4.5%    
21,824   

American Eagle Outfitters, Inc.

    389,777
9,600   

Big Lots, Inc.

    458,400
9,000   

Buckle, Inc.

    216,270
3,419   

Burlington Stores, Inc.*

    277,007
2,302   

Children’s Place, Inc.

    183,861
4,546   

Dick’s Sporting Goods, Inc.

    257,849
11,045   

Express, Inc.*

    130,220
6,790   

Foot Locker, Inc.

    459,819
11,821   

Francescas Holding Corp.*

    182,398
4,169   

Liberty TripAdvisor Holdings, Inc. Class A*

    91,093
15,457   

Overstock.com, Inc.*

    236,801
36,341   

Pier 1 Imports, Inc.

    154,086


 

Hartford Small/Mid Cap Equity HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

13,775   

Rent-A-Center, Inc.

  $   174,116
14,200   

Select Comfort Corp.*

    306,720
9,700   

Tailored Brands, Inc.

    152,290
16,373   

Tile Shop Holdings, Inc.*

    270,973
7,788   

Urban Outfitters, Inc.*

    268,842
      

 

              4,210,522
      

 

   Semiconductors & Semiconductor Equipment - 2.2%
58,972   

Advanced Micro Devices, Inc.*

    407,496
4,744   

Ambarella, Inc.*

    349,206
19,800   

Amkor Technology, Inc.*

    192,456
10,395   

MaxLinear, Inc. Class A*

    210,707
20,521   

Teradyne, Inc.

    442,843
10,441   

Tessera Technologies, Inc.

    401,352
      

 

    2,004,060
      

 

   Software & Services - 9.3%
18,230   

A10 Networks, Inc.*

    194,879
7,162   

Alarm.com Holdings, Inc.*

    206,695
13,760   

Amdocs Ltd.

    796,016
14,700   

Brightcove, Inc.*

    191,835
3,000   

Cardtronics plc Class A*

    133,800
25,600   

Convergys Corp.

    778,752
5,190   

CSG Systems International, Inc.

    214,503
971   

Ellie Mae, Inc.*

    102,246
12,100   

Infoblox, Inc.*

    319,077
10,442   

Manhattan Associates, Inc.*

    601,668
28,651   

MeetMe, Inc.*

    177,636
35,903   

Mentor Graphics Corp.

    949,275
23,700   

Mitek Systems, Inc.*

    196,473
32,792   

Nuance Communications, Inc.*

    475,484
6,524   

Progress Software Corp.*

    177,453
12,588   

RetailMeNot, Inc.*

    124,495
5,600   

Shutterstock, Inc.*

    356,720
5,600   

Sykes Enterprises, Inc.*

    157,528
18,813   

Synopsys, Inc.*

    1,116,552
16,547   

Teradata Corp.*

    512,957
19,074   

Wix.com Ltd.*

    828,384
      

 

    8,612,428
      

 

   Technology Hardware & Equipment - 5.5%
14,200   

3D Systems Corp.*

    254,890
7,310   

Arista Networks, Inc.*

    621,935
10,389   

Avnet, Inc.

    426,572
18,891   

AVX Corp.

    260,507
3,725   

Belden, Inc.

    256,988
7,351   

Cray, Inc.*

    173,043
12,824   

Finisar Corp.*

    382,155
7,391   

Insight Enterprises, Inc.*

    240,577
3,192   

InterDigital, Inc.

    252,806
5,400   

NETGEAR, Inc.*

    326,646
12,308   

Sanmina Corp.*

    350,409
20,678   

Sonus Networks, Inc.*

    160,875
4,448   

SYNNEX Corp.

    507,561
2,163   

Tech Data Corp.*

    183,228
13,243   

TTM Technologies, Inc.*

    151,632
10,140   

Ubiquiti Networks, Inc.*

    542,490
      

 

    5,092,314
      

 

   Telecommunication Services - 1.1%
3,700   

ATN International, Inc.

    240,648
7,427   

Cogent Communications Holdings, Inc.

    273,388
17,796   

Telephone & Data Systems, Inc.

    483,695
      

 

    997,731
      

 

   Transportation - 2.2%
16,729   

Alaska Air Group, Inc.

    1,101,772
1,383   

Allegiant Travel Co.

    182,653


 

Hartford Small/Mid Cap Equity HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

5,830     

Echo Global Logistics, Inc.*

  $     134,440   
7,225     

Hawaiian Holdings, Inc.*

      351,135   
15,175     

Swift Transportation Co.*

      325,807   
          

 

 

 
                       2,095,807   
          

 

 

 
     Utilities - 4.6%   
58,048     

Atlantic Power Corp.

      143,379   
34,107     

Great Plains Energy, Inc.

      930,780   
23,343     

OGE Energy Corp.

      738,106   
15,872     

ONE Gas, Inc.

      981,524   
16,895     

Pinnacle West Capital Corp.

      1,283,851   
7,572     

Spark Energy, Inc. Class A

      220,572   
          

 

 

 
             4,298,212   
          

 

 

 
    

Total Common Stocks
(cost $81,638,203)

      92,105,091   
          

 

 

 
    

Total Long-Term Investments
(cost $81,638,203)

      92,105,091   
          

 

 

 
Short-Term Investments - 0.9%   
     Other Investment Pools & Funds - 0.9%   
809,040     

Federated Prime Obligations Fund

      809,040   
          

 

 

 
    

Total Short-Term Investments
(cost $809,040)

      809,040   
          

 

 

 
    

Total Investments
(cost $82,447,243)^

  100.0%   $     92,914,131   
    

Other Assets and Liabilities

  0.0%       (17,431
      

 

   

 

 

 
    

Total Net Assets

  100.0%   $     92,896,700   
      

 

   

 

 

 

Note: Percentage of investments as shown is the ratio of the total market value to total net assets.

Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

 

^ Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:

Unrealized Appreciation

 

$

            14,457,392   

Unrealized Depreciation

      (3,990,504
   

 

 

 

Net Unrealized Appreciation

 

$

    10,466,888   
   

 

 

 

 

* Non-income producing.

 

For information regarding the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder report.

 

GLOSSARY: (abbreviations used in preceding Schedule of Investments)     

 

  
Other Abbreviations:          

 

  
ADR    American Depositary Receipt   
REIT    Real Estate Investment Trust   


 

Hartford Small/Mid Cap Equity HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2016 in valuing the Fund’s investments.

 

     Total     Level 1(1)           Level 2(1)                   Level 3       

Assets

        

Common Stocks

        

Automobiles & Components

   $ 2,504,549       $ 2,504,549       $ —       $ —    

Banks

     4,961,032         4,961,032         —         —    

Capital Goods

     8,282,438         8,282,438         —         —    

Commercial & Professional Services

     2,805,685         2,805,685         —         —    

Consumer Durables & Apparel

     1,457,213         1,457,213         —         —    

Consumer Services

     2,569,298         2,569,298         —         —    

Diversified Financials

     4,549,066         4,549,066         —         —    

Energy

     5,019,519         5,019,519         —         —    

Food, Beverage & Tobacco

     2,183,513         2,183,513         —         —    

Health Care Equipment & Services

     4,248,710         4,248,710         —         —    

Household & Personal Products

     1,379,935         1,379,935         —         —    

Insurance

     4,847,388         4,847,388         —         —    

Materials

     4,826,471         4,826,471         —         —    

Media

     377,710         377,710         —         —    

Pharmaceuticals, Biotechnology & Life Sciences

     6,526,131         6,526,131         —         —    

Real Estate

     8,255,359         8,255,359         —         —    

Retailing

     4,210,522         4,210,522         —         —    

Semiconductors & Semiconductor Equipment

     2,004,060         2,004,060         —         —    

Software & Services

     8,612,428         8,612,428         —         —    

Technology Hardware & Equipment

     5,092,314         5,092,314         —         —    

Telecommunication Services

     997,731         997,731         —         —    

Transportation

     2,095,807         2,095,807         —         —    

Utilities

     4,298,212         4,298,212         —         —    

Short-Term Investments

     809,040         809,040         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $         92,914,131       $         92,914,131       $ —       $ —    
  

 

 

   

 

 

   

 

 

   

 

 

 

(1) For the nine-month period ended September 30, 2016, there were no transfers between Level 1 and Level 2.

Note: For purposes of reporting transfers between different hierarchy levels, both transfers in and out of each level, as applicable, are shown as if they occurred at the beginning of the period.


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments

   September 30, 2016 (Unaudited)

 

 

Shares or Principal Amount

      Market Value    
Common Stocks - 96.6%
   Automobiles & Components - 1.9%
33,640   

Cooper Tire & Rubber Co.

  $   1,278,993
13,285   

Cooper-Standard Holding, Inc.*

    1,312,558
4,500   

Drew Industries, Inc.

    441,090
246,060   

Tenneco, Inc.*

    14,337,916
60,543   

Visteon Corp.

    4,338,511
      

 

    21,709,068
      

 

   Banks - 4.0%
25,110   

Banc of California, Inc.

    438,421
164,680   

FCB Financial Holdings, Inc. Class A*

    6,328,653
173,600   

First Hawaiian, Inc.*

    4,662,896
314,777   

First Merchants Corp.

    8,420,285
146,965   

Great Western Bancorp, Inc.

    4,896,874
13,638   

HomeStreet, Inc.*

    341,768
72,760   

IBERIABANK Corp.

    4,883,651
571,825   

MGIC Investment Corp.*

    4,574,600
122,561   

Sandy Spring Bancorp, Inc.

    3,747,915
437,890   

Sterling Bancorp

    7,663,075
7,327   

Walker & Dunlop, Inc.*

    185,080
      

 

    46,143,218
      

 

   Capital Goods - 9.6%
237,380   

AAON, Inc.

    6,841,292
21,800   

Aegion Corp.*

    415,726
194,328   

Altra Industrial Motion Corp.

    5,629,682
90,521   

American Woodmark Corp.*

    7,293,277
10,100   

Apogee Enterprises, Inc.

    451,369
7,931   

Argan, Inc.

    469,436
128,728   

Armstrong World Industries, Inc.*

    5,319,041
144,778   

Astronics Corp.*

    6,522,249
150,589   

AZZ, Inc.

    9,828,944
31,322   

Comfort Systems USA, Inc.

    918,048
59,206   

Continental Building Products, Inc.*

    1,242,734
22,756   

Encore Wire Corp.

    836,738
8,200   

EnerSys

    567,358
62,992   

Esterline Technologies Corp.*

    4,789,912
214,725   

Generac Holdings, Inc.*

    7,794,517
20,601   

Gibraltar Industries, Inc.*

    765,327
33,202   

Global Brass & Copper Holdings, Inc.

    959,206
14,900   

Greenbrier Cos., Inc.

    525,970
117,781   

Heico Corp. Class A

    7,126,928
19,159   

Hyster-Yale Materials Handling, Inc.

    1,152,031
57,383   

Lennox International, Inc.

    9,010,852
12,500   

Lydall, Inc.*

    639,125
169,808   

Manitowoc Foodservice, Inc.*

    2,754,286
49,956   

MasTec, Inc.*

    1,485,691
151,924   

Meritor, Inc.*

    1,690,914
46,300   

MRC Global, Inc.*

    760,709
52,832   

NCI Building Systems, Inc.*

    770,819
103,932   

SiteOne Landscape Supply, Inc.*

    3,734,277
73,510   

TASER International, Inc.*

    2,103,121
74,262   

Teledyne Technologies, Inc.*

    8,015,098
102,556   

Toro Co.

    4,803,723
46,147   

Trex Co., Inc.*

    2,709,752
11,725   

Universal Forest Products, Inc.

    1,154,795
57,499   

Wabash National Corp.*

    818,786
      

 

         109,901,733
      

 

   Commercial & Professional Services - 4.4%
30,841   

Brink’s Co.

    1,143,584
147,172   

Deluxe Corp.

    9,834,033
201,664   

Exponent, Inc.

    10,296,964
83,805   

GP Strategies Corp.*

    2,063,279
63,473   

Herman Miller, Inc.

    1,815,328


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

116,313   

Huron Consulting Group, Inc.*

  $   6,950,865
19,779   

Insperity, Inc.

    1,436,747
192,411   

On Assignment, Inc.*

    6,982,595
15,700   

Quad/Graphics, Inc.

    419,504
60,523   

RPX Corp.*

    646,991
23,200   

TriNet Group, Inc.*

    501,816
3,769   

UniFirst Corp.

    496,980
123,642   

WageWorks, Inc.*

    7,531,034
      

 

              50,119,720
      

 

   Consumer Durables & Apparel - 3.4%
143,108   

G-III Apparel Group Ltd.*

    4,171,598
6,064   

Helen of Troy Ltd.*

    522,535
13,561   

iRobot Corp.*

    596,413
413,057   

Kate Spade & Co.*

    7,075,666
25,979   

Movado Group, Inc.

    558,029
67,327   

Smith & Wesson Holding Corp.*

    1,790,225
256,270   

Steven Madden Ltd.*

    8,856,691
20,081   

Sturm Ruger & Co., Inc.

    1,159,879
221,800   

TopBuild Corp.*

    7,363,760
168,243   

Vista Outdoor, Inc.*

    6,706,166
      

 

    38,800,962
      

 

   Consumer Services - 4.8%
19,500   

American Public Education, Inc.*

    386,295
8,565   

BJ’s Restaurants, Inc.*

    304,486
472,590   

Bloomin’ Brands, Inc.

    8,147,452
27,748   

Capella Education Co.

    1,610,494
138,295   

Del Frisco’s Restaurant Group, Inc.*

    1,862,834
43,700   

DeVry Education Group, Inc.

    1,007,722
10,785   

Domino’s Pizza, Inc.

    1,637,702
158,507   

Dunkin’ Brands Group, Inc.

    8,255,044
27,742   

Grand Canyon Education, Inc.*

    1,120,499
482,228   

La Quinta Holdings, Inc.*

    5,391,309
57,700   

LifeLock, Inc.*

    976,284
110,993   

Marriott Vacations Worldwide Corp.

    8,138,007
91,774   

Papa John’s International, Inc.

    7,236,380
21,809   

Sonic Corp.

    570,960
29,939   

Sotheby’s Holdings

    1,138,281
19,689   

Strayer Education, Inc.*

    919,082
10,284   

Texas Roadhouse, Inc.

    401,384
207,200   

Wingstop, Inc.

    6,070,960
      

 

    55,175,175
      

 

   Diversified Financials - 1.0%
169,053   

Evercore Partners, Inc. Class A

    8,707,920
43,531   

Green Dot Corp. Class A*

    1,003,825
91,381   

KCG Holdings, Inc. Class A*

    1,419,147
      

 

    11,130,892
      

 

   Energy - 1.7%
103,500   

Bill Barrett Corp.*

    575,460
22,100   

Carrizo Oil & Gas, Inc.*

    897,702
35,593   

CVR Energy, Inc.

    490,116
20,448   

Matador Resources Co.*

    497,704
164,370   

PBF Energy, Inc. Class A

    3,721,337
61,322   

PDC Energy, Inc.*

    4,112,253
48,858   

Pioneer Energy Services Corp.*

    197,386
20,315   

REX American Resources Corp.*

    1,721,899
160,069   

RSP Permian, Inc.*

    6,207,476
101,020   

Sanchez Energy Corp.*

    893,017
      

 

    19,314,350
      

 

   Food & Staples Retailing - 1.7%
66,940   

Casey’s General Stores, Inc.

    8,042,841
6,429   

Ingles Markets, Inc. Class A

    254,203
280,191   

Natural Grocers by Vitamin Cottage, Inc.*

    3,126,931


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

94,739   

PriceSmart, Inc.

  $   7,935,339
      

 

    19,359,314
      

 

   Food, Beverage & Tobacco - 1.7%
22,400   

Cal-Maine Foods, Inc.

    863,296
31,088   

Dean Foods Co.

    509,843
15,815   

Fresh Del Monte Produce, Inc.

    947,319
11,300   

National Beverage Corp.*

    497,765
69,591   

Pilgrim’s Pride Corp.

    1,469,762
99,170   

Post Holdings, Inc.*

    7,652,949
10,255   

Sanderson Farms, Inc.

    987,864
77,526   

TreeHouse Foods, Inc.*

    6,759,492
      

 

    19,688,290
      

 

   Health Care Equipment & Services - 9.2%
101,000   

Acadia Healthcare Co., Inc.*

    5,004,550
154,441   

Anika Therapeutics, Inc.*

    7,390,002
15,804   

Atrion Corp.

    6,741,986
10,747   

Chemed Corp.

    1,516,079
166,437   

Cynosure, Inc. Class A*

    8,478,301
11,917   

Glaukos Corp.*

    449,748
397,554   

Globus Medical, Inc. Class A*

    8,972,794
35,816   

HMS Holdings Corp.*

    794,041
72,201   

ICU Medical, Inc.*

    9,124,762
77,931   

LivaNova plc*

    4,684,432
27,021   

Magellan Health, Inc.*

    1,451,838
47,281   

Masimo Corp.*

    2,812,747
20,730   

Medidata Solutions, Inc.*

    1,155,905
15,700   

Meridian Bioscience, Inc.

    302,853
150,850   

Natus Medical, Inc.*

    5,926,897
231,442   

Omnicell, Inc.*

    8,864,229
75,732   

Quality Systems, Inc.

    857,286
19,700   

Surgical Care Affiliates, Inc.*

    960,572
112,152   

Team Health Holdings, Inc.*

    3,651,669
36,526   

Triple-S Management Corp. Class B*

    801,015
97,745   

U.S. Physical Therapy, Inc.

    6,128,611
186,425   

Vascular Solutions, Inc.*

    8,991,278
91,428   

WellCare Health Plans, Inc.*

    10,705,305
      

 

            105,766,900
      

 

   Household & Personal Products - 0.2%
82,700   

Avon Products, Inc.

    468,082
15,542   

Medifast, Inc.

    587,332
6,800   

Usana Health Sciences, Inc.*

    940,780
      

 

    1,996,194
      

 

   Insurance - 1.8%
71,157   

Ambac Financial Group, Inc.*

    1,308,577
152,225   

AMERISAFE, Inc.

    8,947,786
9,300   

Federated National Holding Co.

    173,817
55,411   

Greenlight Capital Re Ltd. Class A*

    1,132,601
177,491   

James River Group Holdings Ltd.

    6,425,174
107,373   

Maiden Holdings Ltd.

    1,362,563
89,100   

MBIA, Inc.*

    694,089
44,255   

Universal Insurance Holdings, Inc.

    1,115,226
      

 

    21,159,833
      

 

   Materials - 4.5%
254,177   

Boise Cascade Co.*

    6,456,096
64,339   

Chemours Co.

    1,029,424
27,590   

Clearwater Paper Corp.*

    1,784,245
80,100   

Cliffs Natural Resources, Inc.*

    468,585
65,253   

Coeur Mining, Inc.*

    771,943
632,156   

Graphic Packaging Holding Co.

    8,843,862
496,395   

Headwaters, Inc.*

    8,399,003
7,302   

Innospec, Inc.

    444,035
31,338   

Koppers Holdings, Inc.*

    1,008,457
538,957   

OMNOVA Solutions, Inc.*

    4,548,797


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

247,292   

PolyOne Corp.

  $   8,360,942
87,898   

Silgan Holdings, Inc.

    4,446,760
23,260   

Stepan Co.

    1,690,072
31,905   

Trinseo S.A.

    1,804,547
7,970   

U.S. Concrete, Inc.*

    367,138
25,133   

Worthington Industries, Inc.

    1,207,138
      

 

    51,631,044
      

 

   Media - 0.1%
54,395   

MSG Networks, Inc. Class A*

    1,012,291
      

 

   Pharmaceuticals, Biotechnology & Life Sciences - 12.4%
51,582   

Achillion Pharmaceuticals, Inc.*

    417,814
125,549   

Acorda Therapeutics, Inc.*

    2,621,463
191,330   

Aerie Pharmaceuticals, Inc.*

    7,220,794
48,779   

Agios Pharmaceuticals, Inc.*

    2,576,507
203,760   

Alder Biopharmaceuticals, Inc.*

    6,677,215
309,390   

Amicus Therapeutics, Inc.*

    2,289,486
342,340   

Aratana Therapeutics, Inc.*

    3,204,302
244,140   

ARIAD Pharmaceuticals, Inc.*

    3,342,277
30,132   

BioSpecifics Technologies Corp.*

    1,376,128
68,847   

Bluebird Bio, Inc.*

    4,666,450
31,543   

Cambrex Corp.*

    1,402,402
193,866   

Coherus Biosciences, Inc.*

    5,191,731
31,589   

Cytokinetics, Inc.*

    289,987
30,500   

DepoMed, Inc.*

    762,195
68,801   

Emergent Biosolutions, Inc.*

    2,169,296
13,634   

Enanta Pharmaceuticals, Inc.*

    362,801
220,495   

Exelixis, Inc.*

    2,820,131
48,058   

FibroGen, Inc.*

    994,801
170,780   

Five Prime Therapeutics, Inc.*

    8,964,242
181,520   

Flexion Therapeutics, Inc.*

    3,546,901
125,885   

GlycoMimetics, Inc.*

    900,078
100,524   

ImmunoGen, Inc.*

    269,404
23,465   

INC Research Holdings, Inc. Class A*

    1,046,070
107,646   

Innoviva, Inc.

    1,183,030
61,369   

Insys Therapeutics, Inc.*

    723,540
201,231   

Intersect ENT, Inc.*

    3,187,499
142,341   

Ionis Pharmaceuticals, Inc.*

    5,215,374
90,829   

Ironwood Pharmaceuticals, Inc.*

    1,442,364
94,101   

Lexicon Pharmaceuticals, Inc.*

    1,700,405
50,544   

Luminex Corp.*

    1,148,360
159,247   

Medicines Co.*

    6,009,982
58,102   

Myriad Genetics, Inc.*

    1,195,739
106,456   

Neurocrine Biosciences, Inc.*

    5,390,932
783,962   

Novavax, Inc.*

    1,630,641
90,533   

Ophthotech Corp.*

    4,176,287
228,888   

Otonomy, Inc.*

    4,163,473
163,574   

PAREXEL International Corp.*

    11,360,214
500,880   

PDL Biopharma, Inc.

    1,677,948
155,227   

Portola Pharmaceuticals, Inc.*

    3,525,205
46,917   

PRA Health Sciences, Inc.*

    2,651,280
41,087   

Prestige Brands Holdings, Inc.*

    1,983,269
144,541   

PTC Therapeutics, Inc.*

    2,025,019
7,460   

Sarepta Therapeutics, Inc.*

    458,119
58,200   

Seres Therapeutics, Inc.*

    715,278
187,235   

Spectrum Pharmaceuticals, Inc.*

    874,387
75,519   

Supernus Pharmaceuticals, Inc.*

    1,867,585
87,274   

TESARO, Inc.*

    8,748,346
78,337   

Ultragenyx Pharmaceutical, Inc.*

    5,557,227
152,214   

ZIOPHARM Oncology, Inc.*

    856,965
      

 

          142,580,943
      

 

   Real Estate - 2.6%
10,494   

Altisource Portfolio Solutions S.A. REIT*

    340,006
70,365   

CareTrust, Inc. REIT

    1,039,995
153,116   

Coresite Realty Corp. REIT

    11,336,709


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

9,022   

Education Realty Trust, Inc. REIT

  $   389,209
236,978   

HFF, Inc. Class A REIT

    6,561,921
41,347   

Pennsylvania REIT

    952,221
19,452   

Physicians Realty Trust REIT

    418,996
3,839   

PS Business Parks, Inc. REIT

    435,995
46,394   

RLJ Lodging Trust REIT

    975,666
419,061   

Sunstone Hotel Investors, Inc. REIT

    5,359,790
22,400   

Urban Edge Properties REIT

    630,336
137,461   

Washington Prime Group, Inc. REIT

    1,701,767
      

 

          30,142,611
      

 

   Retailing - 4.7%
97,176   

American Eagle Outfitters, Inc.

    1,735,563
15,296   

Big Lots, Inc.

    730,384
25,689   

Buckle, Inc.

    617,307
117,613   

Burlington Stores, Inc.*

    9,529,005
8,142   

Cato Corp. Class A

    267,790
29,184   

Chico’s FAS, Inc.

    347,290
21,300   

Children’s Place, Inc.

    1,701,231
162,962   

Core-Mark Holding Co., Inc.

    5,834,040
186,612   

DSW, Inc. Class A

    3,821,814
19,045   

Finish Line, Inc. Class A

    439,559
124,899   

Five Below, Inc.*

    5,032,181
68,010   

Francescas Holding Corp.*

    1,049,394
9,571   

Hibbett Sports, Inc.*

    381,883
148,654   

HSN, Inc.

    5,916,429
28,139   

Liberty TripAdvisor Holdings, Inc. Class A*

    614,837
103,042   

Monro Muffler Brake, Inc.

    6,303,079
12,112   

Ollie’s Bargain Outlet Holdings, Inc.*

    317,455
19,063   

Overstock.com, Inc.*

    292,045
17,100   

PetMed Express, Inc.

    346,788
128,096   

Pier 1 Imports, Inc.

    543,127
56,733   

Select Comfort Corp.*

    1,225,433
10,800   

Shutterfly, Inc.*

    482,112
53,500   

Tailored Brands, Inc.

    839,950
63,960   

Tile Shop Holdings, Inc.*

    1,058,538
115,757   

Wayfair, Inc. Class A*

    4,557,353
      

 

    53,984,587
      

 

   Semiconductors & Semiconductor Equipment - 3.5%
49,111   

Advanced Energy Industries, Inc.*

    2,323,932
202,200   

Advanced Micro Devices, Inc.*

    1,397,202
16,934   

Ambarella, Inc.*

    1,246,512
136,939   

Cirrus Logic, Inc.*

    7,278,308
32,074   

Inphi Corp.*

    1,395,540
345,630   

Integrated Device Technology, Inc.*

    7,984,053
80,550   

Kulicke & Soffa Industries, Inc.*

    1,041,511
59,700   

M/A-COM Technology Solutions Holdings, Inc.*

    2,527,698
69,825   

MaxLinear, Inc. Class A*

    1,415,353
177,987   

MKS Instruments, Inc.

    8,851,293
20,684   

Synaptics, Inc.*

    1,211,669
74,715   

Tessera Technologies, Inc.

    2,872,045
      

 

    39,545,116
      

 

   Software & Services - 17.9%
115,963   

Aspen Technology, Inc.*

    5,425,909
19,800   

Barracuda Networks, Inc.*

    504,504
90,385   

Blackbaud, Inc.

    5,996,141
105,040   

Bottomline Technologies de, Inc.*

    2,448,482
127,061   

BroadSoft, Inc.*

    5,914,690
51,922   

CACI International, Inc. Class A*

    5,238,930
296,996   

Cardtronics plc Class A*

    13,246,022
91,067   

Cass Information Systems, Inc.

    5,158,946
13,500   

CommVault Systems, Inc.*

    717,255
149,727   

comScore, Inc.*

    4,590,630
27,944   

Convergys Corp.

    850,056
65,736   

CSG Systems International, Inc.

    2,716,869


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

228,064   

EarthLink Holdings Corp.

  $   1,413,997
9,615   

Ellie Mae, Inc.*

    1,012,459
278,734   

Envestnet, Inc.*

    10,159,854
80,078   

EPAM Systems, Inc.*

    5,550,206
514,315   

Everyday Health, Inc.*

    3,955,082
183,575   

Exlservice Holdings, Inc.*

    9,149,378
98,599   

Fair Isaac Corp.

    12,284,449
392,743   

Five9, Inc.*

    6,158,210
14,002   

Gigamon, Inc.*

    767,310
132,089   

GrubHub, Inc.*

    5,678,506
136,873   

Guidewire Software, Inc.*

    8,209,642
120,215   

HubSpot, Inc.*

    6,926,788
156,377   

j2 Global, Inc.

    10,416,272
40,014   

Manhattan Associates, Inc.*

    2,305,607
130,652   

MAXIMUS, Inc.

    7,389,677
87,000   

MeetMe, Inc.*

    539,400
1,997   

MicroStrategy, Inc. Class A*

    334,378
12,124   

NeuStar, Inc. Class A*

    322,377
16,200   

NIC, Inc.

    380,700
136,605   

Paycom Software, Inc.*

    6,848,009
132,772   

PTC, Inc.*

    5,883,127
81,680   

Q2 Holdings, Inc.*

    2,340,949
31,215   

Shutterstock, Inc.*

    1,988,395
69,836   

Sykes Enterprises, Inc.*

    1,964,487
140,198   

Take-Two Interactive Software, Inc.*

    6,320,126
54,461   

Tyler Technologies, Inc.*

    9,325,357
122,373   

Verint Systems, Inc.*

    4,604,896
66,741   

WebMD Health Corp.*

    3,317,028
71,990   

WEX, Inc.*

    7,781,399
60,197   

Wix.com Ltd.*

    2,614,356
213,290   

Zendesk, Inc.*

    6,550,136
      

 

         205,300,991
      

 

   Technology Hardware & Equipment - 2.5%
85,000   

3D Systems Corp.*

    1,525,750
23,993   

Belden, Inc.

    1,655,277
34,002   

Cray, Inc.*

    800,407
58,435   

ePlus, Inc.*

    5,516,848
23,259   

InterDigital, Inc.

    1,842,113
58,676   

Ixia*

    733,450
29,885   

NETGEAR, Inc.*

    1,807,744
154,846   

NetScout Systems, Inc.*

    4,529,245
6,693   

Plantronics, Inc.

    347,768
86,346   

Rogers Corp.*

    5,274,014
27,100   

Sanmina Corp.*

    771,537
51,489   

Ubiquiti Networks, Inc.*

    2,754,662
10,084   

Universal Display Corp.*

    559,763
49,136   

Vishay Intertechnology, Inc.

    692,326
      

 

    28,810,904
      

 

   Telecommunication Services - 0.8%
11,929   

Cogent Communications Holdings, Inc.

    439,107
36,800   

IDT Corp. Class B

    634,432
41,882   

Inteliquent, Inc.

    675,975
386,843   

ORBCOMM, Inc.*

    3,965,141
504,030   

Vonage Holdings Corp.*

    3,331,638
      

 

    9,046,293
      

 

   Transportation - 2.2%
4,372   

Alaska Air Group, Inc.

    287,940
11,683   

Allegiant Travel Co.

    1,542,974
256,308   

Celadon Group, Inc.

    2,240,132
76,989   

Genesee & Wyoming, Inc. Class A*

    5,308,391
54,900   

Hawaiian Holdings, Inc.*

    2,668,140
294,620   

Knight Transportation, Inc.

    8,452,648
162,161   

Marten Transport Ltd.

    3,405,381


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

51,630   

Swift Transportation Co.*

  $   1,108,496
        

 

    25,014,102
        

 

  

Total Common Stocks
(cost $1,020,768,936)

       1,107,334,531
        

 

Warrants - 0.0%
   Diversified Financials - 0.0%
891   

Emergent Capital, Inc. Expires 4/11/19*(1)

   
        

 

  

Total Warrants
(cost $—)

   
        

 

Exchange Traded Funds - 2.6%
   Other Investment Pools & Funds - 2.6%
201,728   

iShares Russell 2000 Growth ETF

    30,037,299
        

 

  

Total Exchange Traded Funds
(cost $28,721,071)

    30,037,299
        

 

  

Total Long-Term Investments
(cost $1,049,490,007)

    1,137,371,830
        

 

Short-Term Investments - 0.8%
   Other Investment Pools & Funds - 0.8%
9,495,525   

Federated Prime Obligations Fund

    9,495,525
        

 

  

Total Short-Term Investments
(cost $9,495,525)

    9,495,525
        

 

  

Total Investments
(cost $1,058,985,532)^

  100.0%   $   1,146,867,355
  

Other Assets and Liabilities

  0.0%     140,457
    

 

   

 

  

Total Net Assets

  100.0%   $   1,147,007,812
    

 

   

 

 

Note: Percentage of investments as shown is the ratio of the total market value to total net assets.

Other than the industry classifications “Other Investment Pools & Funds,” equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

 

^ Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:

Unrealized Appreciation

  $           168,272,661   

Unrealized Depreciation

      (80,390,838
   

 

 

 

Net Unrealized Appreciation

  $     87,881,823   
   

 

 

 

 

* Non-income producing.
(1) The following security is considered illiquid. Illiquid securities are often purchased in private placement transactions, are often not registered under the Securities Act of 1933, as amended, and may have contractual restrictions on resale. A security may also be considered illiquid if the security lacks a readily available market or if its valuation has not changed for a certain period of time.

 

          Period

          Acquired        

        Shares/ Par            Security    Cost    

 

 

         12/2014

  891     Emergent Capital, Inc. Warrants    $                         —     

At September 30, 2016, the aggregate value of this security was $0, which represents 0.0% of total net assets.

 

 For information regarding the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder report.

 

GLOSSARY: (abbreviations used in preceding Schedule of Investments)    

 

 

 

Other Abbreviations:

   

 

 
ETF    Exchange Traded Fund  
REIT    Real Estate Investment Trust  


 

Hartford Small Cap Growth HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2016 in valuing the Fund’s investments.

 

     Total            Level 1(1)                  Level 2(1)                    Level 3       

Assets

  

Common Stocks

  

Automobiles & Components

   $ 21,709,068        $ 21,709,068        $ —        $ —    

Banks

     46,143,218          46,143,218          —          —    

Capital Goods

     109,901,733          109,901,733          —          —    

Commercial & Professional Services

     50,119,720          50,119,720          —          —    

Consumer Durables & Apparel

     38,800,962          38,800,962          —          —    

Consumer Services

     55,175,175          55,175,175          —          —    

Diversified Financials

     11,130,892          11,130,892          —          —    

Energy

     19,314,350          19,314,350          —          —    

Food & Staples Retailing

     19,359,314          19,359,314          —          —    

Food, Beverage & Tobacco

     19,688,290          19,688,290          —          —    

Health Care Equipment & Services

     105,766,900          105,766,900          —          —    

Household & Personal Products

     1,996,194          1,996,194          —          —    

Insurance

     21,159,833          21,159,833          —          —    

Materials

     51,631,044          51,631,044          —          —    

Media

     1,012,291          1,012,291          —          —    

Pharmaceuticals, Biotechnology & Life Sciences

     142,580,943          142,580,943          —          —    

Real Estate

     30,142,611          30,142,611          —          —    

Retailing

     53,984,587          53,984,587          —          —    

Semiconductors & Semiconductor Equipment

     39,545,116          39,545,116          —          —    

Software & Services

     205,300,991          205,300,991          —          —    

Technology Hardware & Equipment

     28,810,904          28,810,904          —          —    

Telecommunication Services

     9,046,293          9,046,293          —          —    

Transportation

     25,014,102          25,014,102          —          —    

Warrants

     —          —          —          —    

Exchange Traded Funds

     30,037,299          30,037,299          —          —    

Short-Term Investments

     9,495,525          9,495,525          —          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $   1,146,867,355        $   1,146,867,355        $ —        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

(1) For the nine-month period ended September 30, 2016, there were no transfers between Level 1 and Level 2.

Note: For purposes of reporting transfers between different hierarchy levels, both transfers in and out of each level, as applicable, are shown as if they occurred at the beginning of the period.


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments

   September 30, 2016 (Unaudited)

 

 

Shares or Principal Amount       Market Value  
Asset & Commercial Mortgage Backed Securities - 18.9%    
   Asset-Backed - Automobile - 0.8%    
$          317,099   

Drive Auto Receivables Trust
2.12%, 06/17/2019(1)

  $   317,525
3,350,000   

Westlake Automobile Receivables Trust
3.40%, 01/15/2021(1)

    3,357,895
      

 

       3,675,420
      

 

   Asset-Backed - Finance & Insurance - 7.1%    
  

Ares CLO Ltd.

   
4,755,000   

2.15%, 04/20/2023(1)(2)

    4,717,849
3,135,000   

2.20%, 04/17/2026(1)(2)

    3,146,095
  

Cent CLO Ltd.

   
1,530,000   

1.84%, 07/23/2025(1)(2)

    1,519,956
1,000,000   

2.12%, 07/27/2026(1)(2)

    996,067
4,085,000   

Dryden Senior Loan Fund
2.03%, 04/18/2026(1)(2)

    4,081,924
695,000   

Ford Credit Floorplan Master Owner Trust
2.32%, 01/15/2019

    696,877
  

Green Tree Agency Advance Funding Trust

   
1,405,000   

2.30%, 10/15/2046(1)

    1,404,747
580,000   

2.38%, 10/15/2048(1)

    579,998
3,400,000   

Limerock CLO
2.18%, 04/18/2026(1)(2)

    3,396,427
3,400,000   

Madison Park Funding Ltd.
2.00%, 10/23/2025(1)(2)

    3,395,825
1,812,297   

SpringCastle America Funding LLC
2.70%, 05/25/2023(1)

    1,818,178
  

Springleaf Funding Trust

   
1,480,813   

2.41%, 12/15/2022(1)

    1,482,706
4,720,000   

3.16%, 11/15/2024(1)

    4,778,965
956,295   

Structured Asset Securities Corp.
2.03%, 02/25/2033(2)

    949,574
1,370,000   

Voya CLO Ltd.
2.13%, 07/17/2026(1)(2)

    1,368,526
      

 

       34,333,714
      

 

   Asset-Backed - Home Equity - 0.2%    
948,219   

Morgan Stanley Asset Backed Securities Capital I
2.03%, 11/25/2032(2)

    936,043
      

 

   Commercial Mortgage - Backed Securities - 3.4%    
  

CSAIL Commercial Mortgage Trust

   
2,140,000   

3.50%, 06/15/2057

    2,301,528
5,100,000   

3.72%, 08/15/2048

    5,591,503
  

FREMF Mortgage Trust

   
460,000   

3.19%, 03/25/2045(1)(2)

    461,710
1,500,000   

3.81%, 08/25/2045(1)(2)

    1,593,884
2,645,000   

3.95%, 06/25/2047(1)(2)

    2,738,106
1,665,000   

4.17%, 11/25/2044(1)(2)

    1,730,861
1,990,000   

5.63%, 04/25/2020(1)(2)

    2,200,383
      

 

       16,617,975
      

 

   Whole Loan Collateral CMO - 7.4%    
1,760,000   

COLT Mortgage Loan Trust
2.75%, 09/25/2046(1)(2)

    1,770,221
  

LSTAR Securities Investment Trust

   
1,673,635   

2.49%, 04/01/2020(1)(2)

    1,652,715
3,316,820   

2.52%, 08/01/2020(1)(2)

    3,280,477
3,901,339   

2.53%, 05/01/2020(1)(2)

    3,835,395
826,951   

Mill City Mortgage Loan Trust
2.50%, 04/25/2057(1)(2)

    831,579
  

New Residential Mortgage Loan Trust

   
1,740,200   

3.25%, 09/25/2056(1)(2)

    1,789,937
2,306,302   

3.75%, 03/25/2056(1)(2)

    2,390,176


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

$      1,609,990   

Sequoia Mortgage Trust
0.99%, 02/20/2035(2)

  $   1,575,570
2,272,982   

Thornburg Mortgage Securities Trust
2.53%, 04/25/2045(2)

    2,276,789
  

Towd Point Mortgage Trust

   
2,377,013   

2.75%, 02/25/2055(1)(2)

    2,424,534
2,278,942   

2.75%, 04/25/2055(1)(2)

    2,314,177
109,760   

2.75%, 05/25/2055(1)(2)

    110,958
630,708   

2.75%, 08/25/2055(1)(2)

    642,084
2,760,959   

3.00%, 03/25/2054(1)(2)

    2,825,977
2,399,000   

3.75%, 04/25/2055(1)(2)

    2,480,194
  

WaMu Mortgage Pass-Through Certificates

   
1,893,061   

2.48%, 03/25/2033(2)

    1,892,058
1,966,303   

2.72%, 10/25/2035(2)

    1,908,096
1,754,425   

Wells Fargo Mortgage Backed Securities Trust
2.88%, 09/25/2033(2)

    1,739,265
      

 

             35,740,202
      

 

  

Total Asset & Commercial Mortgage Backed Securities
(cost $89,994,952)

    91,303,354
      

 

U.S. Government Agencies - 75.9%    
   FHLMC - 27.4%    
4,660,841   

0.90%, 04/25/2020(2)

    4,661,634
9,871,364   

1.57%, 01/25/2022

    9,884,259
830,700   

3.00%, 03/15/2033(3)

    96,384
219,782   

3.00%, 09/01/2045

    228,595
24,275,000   

3.00%, 10/01/2046(4)

    25,225,138
6,205,000   

3.50%, 11/15/2025

    6,750,461
2,400,000   

3.50%, 10/01/2046(4)

    2,531,953
2,400,000   

3.50%, 11/01/2046(4)

    2,528,906
554,408   

4.00%, 07/15/2027(3)

    61,605
418,413   

4.00%, 06/01/2044

    448,879
38,000,000   

4.00%, 11/01/2046(4)

    40,714,921
51,431   

4.50%, 12/01/2018

    52,695
3,495,833   

4.50%, 02/15/2027(3)

    421,991
3,626,281   

4.50%, 05/15/2034

    3,901,362
20,100,000   

4.50%, 10/01/2046(4)

    22,007,536
7,313   

5.50%, 06/01/2034

    8,316
52,493   

5.50%, 10/01/2035

    59,508
88,146   

5.50%, 04/01/2037

    99,468
1,068,948   

5.50%, 12/01/2037

    1,209,585
401,251   

5.50%, 04/01/2038

    454,549
25,971   

5.50%, 05/01/2038

    29,267
2,111,011   

5.50%, 08/01/2038

    2,388,689
4,114   

5.50%, 12/01/2039

    4,654
55,630   

6.00%, 10/01/2021

    63,457
72,410   

6.00%, 10/01/2022

    82,599
101,958   

6.00%, 01/01/2028

    118,038
28,596   

6.00%, 04/15/2028

    32,760
56,942   

6.00%, 05/15/2028(5)

    64,568
67,208   

6.00%, 11/15/2028

    77,149
122,359   

6.00%, 12/15/2028

    140,644
270,953   

6.00%, 01/15/2029

    312,516
61,464   

6.00%, 02/15/2029

    70,892
71,387   

6.00%, 03/15/2029

    81,973
44,919   

6.00%, 05/15/2029

    51,972
10,950   

6.00%, 06/15/2029

    12,486
2,956   

6.00%, 03/15/2031

    3,420
123,826   

6.00%, 04/15/2031

    142,425
61,330   

6.00%, 10/15/2031

    70,424
68,566   

6.00%, 12/01/2031

    79,528
454,358   

6.00%, 12/15/2031(5)

    524,714
537,777   

6.00%, 12/15/2031

    620,973
21,391   

6.00%, 05/15/2032

    24,542
1,181,027   

6.00%, 06/15/2032

    1,355,228
1,044,453   

6.00%, 09/15/2032

    1,183,512


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

$         104,899   

6.00%, 10/15/2032

  $   122,844
732   

6.00%, 11/01/2032

    845
68,147   

6.00%, 11/15/2032

    77,426
15,926   

6.00%, 04/01/2033

    18,170
23,824   

6.00%, 09/01/2034

    27,720
3,165   

6.50%, 02/01/2017

    3,186
8,464   

6.50%, 04/01/2028

    9,697
403,973   

6.50%, 08/15/2028

    449,557
953,291   

6.50%, 05/15/2032

    1,102,078
134,740   

6.50%, 08/01/2032

    158,159
297,837   

6.50%, 09/01/2032

    357,711
27,417   

7.00%, 10/01/2026

    28,613
5,257   

7.00%, 03/01/2027

    5,945
4,381   

7.00%, 12/01/2027

    4,527
1,324   

7.00%, 02/01/2029

    1,572
843   

7.00%, 05/01/2029

    945
1,698   

7.00%, 09/01/2029

    1,873
717   

7.00%, 02/01/2031

    871
105,172   

7.00%, 04/01/2032

    124,336
62,005   

7.00%, 05/01/2032

    63,753
71,914   

7.00%, 06/01/2032

    85,951
124,924   

7.00%, 11/01/2032

    145,223
3,667   

7.50%, 05/01/2024

    4,242
623   

7.50%, 06/01/2024

    631
2,031   

7.50%, 06/01/2025

    2,249
5,804   

8.00%, 08/01/2024

    6,044
5,496   

8.00%, 09/01/2024

    5,741
7,948   

8.00%, 10/01/2024

    8,341
755   

10.00%, 11/01/2020

    759
      

 

            131,703,184
      

 

   FNMA - 42.1%    
7,987,361   

1.49%, 03/01/2018

    8,013,694
4,685,133   

1.97%, 08/25/2044(2)(3)

    387,113
2,825,282   

2.03%, 06/25/2055(2)(3)

    197,886
3,485,590   

2.22%, 10/01/2022

    3,586,048
6,216,228   

2.25%, 10/01/2022

    6,390,882
3,510,618   

2.31%, 10/01/2022

    3,628,930
12,100,000   

2.50%, 10/01/2031(4)

    12,532,630
29,118   

2.50%, 01/01/2043

    29,511
299,439   

2.50%, 01/01/2046

    302,231
3,799,346   

2.50%, 05/01/2046

    3,834,769
2,215,804   

2.50%, 06/01/2046

    2,236,453
274,647   

2.50%, 07/01/2046

    277,207
1,263,206   

2.50%, 08/01/2046

    1,274,985
11,964,813   

2.50%, 09/01/2046

    12,084,461
2,007,048   

2.56%, 01/01/2019

    2,059,382
1,529,249   

2.65%, 07/01/2019

    1,573,085
2,500,000   

2.68%, 05/01/2025

    2,612,851
868,836   

3.00%, 09/25/2027(3)

    79,558
3,599,555   

3.00%, 01/01/2030

    3,780,030
93,320   

3.00%, 12/01/2030

    98,079
8,325,000   

3.00%, 10/01/2031(4)

    8,739,950
8,300,000   

3.00%, 11/01/2031(4)

    8,701,708
3,227,898   

3.00%, 03/01/2043

    3,362,673
12,381,401   

3.00%, 08/01/2043

    12,896,500
10,400,000   

3.00%, 10/01/2046(4)

    10,809,093
7,676,391   

3.11%, 10/01/2021

    8,179,951
270,511   

3.41%, 11/01/2020

    288,989
226,910   

3.50%, 11/01/2020

    243,884
15,759,448   

3.50%, 04/25/2044

    16,792,142
2,292,640   

3.50%, 02/01/2045

    2,418,526
4,520,902   

3.50%, 01/01/2046

    4,774,807
24,400,000   

3.50%, 10/01/2046(4)

    25,745,811
1,035,050   

3.59%, 09/01/2030

    1,153,809
6,984,379   

3.74%, 06/01/2018

    7,184,214


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

$      2,282,947   

4.00%, 11/01/2044

  $            2,452,580
550,000   

4.00%, 10/01/2046(4)

  590,691
2,024,906   

4.50%, 10/01/2040

  2,221,448
909,005   

4.50%, 10/01/2041

  995,736
2,592,758   

4.50%, 01/01/2043

  2,846,640
788,726   

4.50%, 09/01/2043

  863,980
2,552,293   

4.50%, 08/01/2044

  2,795,813
59,488   

5.00%, 08/01/2018

  61,191
155,273   

5.00%, 10/01/2018

  159,555
197,026   

5.00%, 06/01/2025

  212,546
551,742   

5.46%, 05/25/2042(2)(3)

  64,390
213   

5.50%, 11/01/2016

  213
13,762   

5.50%, 10/01/2017

  13,985
11,754   

5.50%, 12/01/2017

  11,940
71,525   

5.50%, 04/01/2018

  72,841
43,976   

5.50%, 06/01/2018

  44,811
4,605   

5.50%, 07/01/2018

  4,727
790,508   

5.50%, 08/01/2019

  826,968
317,352   

6.00%, 10/01/2023

  363,287
40,025   

6.00%, 10/25/2028

  45,903
14,431   

6.00%, 11/25/2028

  16,581
55,922   

6.00%, 04/25/2029

  63,412
1,002   

6.00%, 05/01/2029

  1,159
47,595   

6.00%, 05/25/2029

  54,575
39,749   

6.00%, 06/25/2029

  45,629
86,230   

6.00%, 07/25/2029

  98,975
461,828   

6.00%, 05/25/2031(5)

  532,229
152,465   

6.00%, 09/25/2031

  176,348
36,904   

6.00%, 11/25/2031

  42,379
599,664   

6.00%, 12/25/2031

  683,609
248,310   

6.00%, 01/01/2032

  285,066
269   

6.00%, 04/01/2032

  308
478   

6.00%, 05/01/2032

  554
2,375   

6.00%, 09/25/2032

  2,640
99,746   

6.00%, 11/01/2032

  114,183
57,478   

6.00%, 02/01/2033

  66,628
329,668   

6.00%, 03/01/2033

  383,231
1,075,937   

6.00%, 05/01/2033

  1,249,598
13,021   

6.00%, 08/01/2034

  14,906
175,503   

6.00%, 01/01/2035

  202,202
3,551,117   

6.00%, 02/01/2037

  4,065,126
43   

6.50%, 04/01/2024

  50
222   

6.50%, 04/01/2027

  256
17,436   

6.50%, 04/01/2028

  20,084
139   

6.50%, 05/01/2028

  161
9,299   

6.50%, 10/01/2028

  10,759
179,710   

6.50%, 11/01/2028

  208,553
97,563   

6.50%, 12/01/2028

  113,919
476,121   

6.50%, 06/25/2029(5)

  527,349
310,822   

6.50%, 08/01/2029

  358,025
940   

6.50%, 11/01/2030

  1,082
6,647   

6.50%, 05/01/2031

  7,722
236,688   

6.50%, 10/25/2031

  267,292
1,533,961   

6.50%, 08/01/2032

  1,799,310
56,149   

6.50%, 09/01/2032

  64,676
9,300   

7.00%, 06/01/2017

  9,362
940   

7.00%, 11/01/2031

  995
345   

7.00%, 12/01/2031

  354
277,218   

7.00%, 02/01/2032

  325,322
10,164   

7.50%, 06/01/2023

  11,624
2,493   

8.00%, 10/01/2029

  3,032
112   

8.00%, 03/01/2030

  115
8,039   

8.00%, 04/01/2030

  9,314
30   

8.00%, 06/01/2030

  30
20,104   

8.00%, 10/01/2030

  24,044
27,934   

8.00%, 12/01/2030

  32,384


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

$                142   

8.50%, 04/01/2017

  $   144
222   

9.00%, 08/01/2020

    239
19,860   

9.00%, 09/01/2021

    20,013
      

 

             202,836,635
      

 

   GNMA - 6.4%    
22,100,000   

3.50%, 10/01/2046(4)

    23,472,618
315,687   

4.00%, 01/20/2044(3)

    55,767
1,128,457   

5.00%, 01/20/2034

    1,253,485
818,217   

5.00%, 05/20/2040(3)

    188,578
1,328,169   

5.50%, 09/20/2033

    1,467,600
602,484   

6.00%, 01/15/2033

    707,689
400,680   

6.00%, 02/15/2033

    469,271
49,181   

6.50%, 12/15/2028

    57,405
38,019   

6.50%, 05/15/2029

    45,213
587,439   

6.50%, 05/16/2031

    685,262
59,538   

6.50%, 09/15/2031

    68,661
247,930   

6.50%, 10/15/2031

    285,919
265,072   

6.50%, 11/15/2031

    305,688
303,611   

6.50%, 01/15/2032

    350,132
20,173   

7.00%, 06/20/2030

    22,894
17,613   

7.00%, 05/15/2032

    20,570
47,705   

7.00%, 07/15/2032

    54,082
118,588   

7.00%, 09/15/2032

    128,198
658,787   

7.00%, 10/15/2032

    770,510
1,988   

7.50%, 04/15/2022

    1,996
4,009   

7.50%, 01/15/2023

    4,042
903   

7.50%, 05/15/2023

    977
6,044   

7.50%, 06/15/2023

    6,587
1,653   

7.50%, 07/15/2023

    1,660
17,464   

7.50%, 08/15/2023

    17,830
7,177   

7.50%, 09/15/2023

    7,204
10,894   

7.50%, 10/15/2023

    11,434
20,943   

7.50%, 11/15/2023

    22,417
5,054   

7.50%, 12/15/2023

    5,068
9,720   

7.50%, 02/15/2024

    10,112
2,681   

7.50%, 04/15/2024

    2,709
2,398   

7.50%, 05/15/2024

    2,424
68,385   

7.50%, 07/15/2027

    76,997
47,607   

7.50%, 04/20/2030

    55,135
91   

8.50%, 09/15/2019

    91
9,740   

8.50%, 09/15/2024

    10,990
1,196   

8.50%, 06/15/2029

    1,270
146   

8.50%, 09/15/2029

    146
6,305   

8.50%, 10/15/2029

    6,798
2,706   

8.50%, 01/15/2030

    3,124
8,684   

8.50%, 02/15/2030

    8,801
952   

8.50%, 03/15/2030

    1,027
      

 

       30,668,381
      

 

  

Total U.S. Government Agencies
(cost $359,930,129)

    365,208,200
      

 

U.S. Government Securities - 25.9%    
   Other Direct Federal Obligations - 3.6%    
   FHLB - 3.6%    
4,825,000   

1.88%, 08/01/2019

    4,951,478
10,050,000   

5.25%, 12/09/2022

    12,233,583
      

 

       17,185,061
      

 

   U.S. Treasury Securities - 22.3%    
   U.S. Treasury Notes - 22.3%    
20,590,281   

0.13%, 07/15/2022(6)

    21,081,359
24,200,000   

0.75%, 08/31/2018

    24,195,281
19,447,928   

1.38%, 01/15/2020(6)

    20,650,451
17,125,000   

1.50%, 08/15/2026

    16,958,425
23,175,000   

2.25%, 11/15/2025

    24,464,110
      

 

      

107,349,626

      

 


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

  

Total U.S. Government Securities
(cost $122,304,380)

        124,534,687   
        

 

 

 
  

Total Long-Term Investments
(cost $572,229,461)

        581,046,241   
        

 

 

 
Short-Term Investments - 18.4%      
   Discount Notes - 6.0%      
                29,000,000       

FHLB
0.28%, 10/28/2016(7)

    $     28,993,693   
        

 

 

 
   Other Investment Pools & Funds - 12.4%      
59,531,026       

Fidelity Money Market Class 1

        59,531,026   
        

 

 

 
  

Total Short-Term Investments
(cost $88,524,719)

        88,524,719   
        

 

 

 
  

Total Investments
(cost $660,754,180)^

  139.1%   $     669,570,960   
  

Other Assets and Liabilities

  (39.1)%       (188,218,094
    

 

   

 

 

 
  

Total Net Assets

  100.0%   $         481,352,866   
    

 

   

 

 

 

Note: Percentage of investments as shown is the ratio of the total market value to total net assets.

The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group indices and/or as defined by Fund management. Industry classifications may not be identical across all security types.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

 

^ Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:

Unrealized Appreciation

   $      9,236,056   

Unrealized Depreciation

        (419,276
     

 

 

 

Net Unrealized Appreciation

   $              8,816,780   
     

 

 

 

 

(1) Securities issued within terms of a private placement memorandum, exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold only to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At September 30, 2016, the aggregate value of these securities was $71,436,051, which represents 14.8% of total net assets.
(2) Variable rate securities; the rate reported is the coupon rate in effect at September 30, 2016.
(3) Securities disclosed are interest-only strips.
(4) Represents or includes a TBA transaction.
(5) These securities pay no principal or interest during their initial accrual period, but accrue additional principal at a specified coupon rate.
(6) The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount.
(7) The rate shown represents current yield to maturity.

 

Futures Contracts Outstanding at September 30, 2016   
Description      Number of  
Contracts
             Expiration
Date
    

Notional

Amount

    

Market

Value †

     Unrealized
Appreciation/
(Depreciation)
 
Long position contracts:                    

U.S. Treasury 2-Year Note Future

     278              12/30/2016       $ 60,678,332       $ 60,734,312       $ 55,980     

U.S. Treasury 5-Year Note Future

     931              12/30/2016               112,742,149               113,131,047         388,898     

U.S. Treasury Long Bond Future

     12              12/20/2016         2,031,396         2,017,875         (13,521)    
                   

 

 

 

Total

                    $ 431,357     
                   

 

 

 

Short position contracts:

                   

U.S. Treasury 10-Year Note Future

     160              12/20/2016       $ 20,896,379       $ 20,980,000       $ (83,621)    
                   

 

 

 
                   
                   

 

 

 

Total futures contracts

                    $             347,736     
                   

 

 

 


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

TBA Sale Commitments Outstanding at September 30, 2016   
Description   

Principal

Amount

         Maturity Date               Market Value †             

Unrealized  

Appreciation/  

(Depreciation)  

 

FHLMC, 5.50%

   $ 3,700,000       10/01/2046    $     (4,154,751)        $      (2,657)    

FNMA, 3.00%

                 60,000,000       10/01/2046        (62,360,154)             (172,055)    

FNMA, 4.00%

     14,050,000       10/01/2046        (15,089,481)             (43,522)    

FNMA, 4.50%

     2,575,000       10/01/2046        (2,819,966)             (7,849)    

GNMA, 3.00%

     8,500,000       10/01/2046        (8,904,413)             (36,342)    

GNMA, 3.50%

     10,200,000       10/01/2046        (10,833,516)             (19,922)    
          

 

 

       

 

 

 

Total (proceeds $103,879,934)

   $     (104,162,281)        $      (282,347)    
          

 

 

       

 

 

 

At September 30, 2016, the aggregate market value of these securities represents (21.6)% of total net assets.

Centrally Cleared Interest Rate Swap Contracts Outstanding at September 30, 2016

 

Payments made

by Fund

   Payments received by
Fund
   Notional Amount      Expiration
Date
     Upfront
Premiums
Paid
     Upfront
Premiums
Received
     Market
Value †
     Unrealized 
Appreciation/ 
(Depreciation) 
 

 

 

3M USD LIBOR        

   1.75% Fixed      USD        5,050,000                 03/15/27         $        —           $ (140,167)       $   (108,273)       $         31,894    

† For information regarding the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder report.

 

GLOSSARY: (abbreviations used in preceding Schedule of Investments)

 

Other Abbreviations:                    

 

CLO   Collateralized Loan Obligation
CMO   Collateralized Mortgage Obligation
FHLB   Federal Home Loan Bank
FHLMC   Federal Home Loan Mortgage Corp.
FNMA   Federal National Mortgage Association
GNMA   Government National Mortgage Association
LIBOR   London Interbank Offered Rate
TBA   To Be Announced


 

Hartford U.S. Government Securities HLS Fund

 

   Schedule of Investments – (continued)

   September 30, 2016 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2016 in valuing the Fund’s investments.

 

     Total      Level 1(1)      Level 2(1)      Level 3  

Assets

  

Asset & Commercial Mortgage Backed Securities

   $ 91,303,354        $ —        $ 91,303,354        $ —    

U.S. Government Agencies

     365,208,200          —          365,208,200          —    

U.S. Government Securities

     124,534,687          —          124,534,687          —    

Short-Term Investments

     88,524,719          59,531,026          28,993,693          —    

Futures Contracts(2)

     444,878          444,878          —          —    

Swaps - Interest Rate(2)

     31,894          —          31,894          —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 670,047,732        $         59,975,904        $ 610,071,828        $ —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

  

Futures Contracts(2)

   $ (97,142)       $ (97,142)       $ —        $ —    

TBA Sale Commitments

     (104,162,281)         —          (104,162,281)         —    
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $     (104,259,423)       $ (97,142)       $     (104,162,281)       $                     —    
  

 

 

    

 

 

    

 

 

    

 

 

 

(1) For the nine-month period ended September 30, 2016, there were no transfers between Level 1 and Level 2.

(2) Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/depreciation on the investments.

Note: For purposes of reporting transfers between different hierarchy levels, both transfers in and out of each level, as applicable, are shown as if they occurred at the beginning of the period.


Hartford HLS Series Fund II, Inc. (the “Company”)

Notes to the Schedule of Investments

Investment Valuation and Fair Value Measurements:

For purposes of calculating the net asset value (“NAV”) of each Fund, portfolio securities and other assets held in the Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of last reported trade prices or official close price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers, or independent pricing services. If market prices are not readily available or are deemed unreliable, a Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of Directors of the Company (the “Board of Directors”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the close of the New York Stock Exchange (“NYSE Close”), that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. In addition, prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by the Board of Directors in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase or redeem shares of the Fund. Fair value pricing is subjective in nature and the use of fair value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV.

Fixed income investments (other than short-term obligations), non-exchange traded derivatives and centrally cleared swaps held by a Fund are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services in accordance with procedures established by the Board of Directors. Prices obtained from independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Generally, a Fund may use fair valuation in regard to fixed income positions when the Fund holds defaulted or distressed investments or investments in a company in which a reorganization is pending. Short-term investments maturing in 60 days or less are generally valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term exceeded 60 days.

Exchange traded options, futures and options on futures are valued at the settlement price or last trade price determined by the relevant exchange as of the NYSE Close. If a last trade price is not available, the value will be the mean of the bid and ask prices as of the NYSE Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the bid price as of the NYSE Close. In the case of over-the-counter (“OTC”) options and such instruments that do not trade on an exchange, values may be supplied by a pricing service using a formula or other objective method that may take into consideration the style, direction, expiration, strike price, notional value and volatility or other special adjustments.

Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed and the market value may change on days when an investor is not able to purchase, redeem or exchange shares of a Fund.

Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date.

Investments in open-end mutual funds are valued at the respective NAV of each open-end mutual fund on each day that the NYSE is open (the “Valuation Date”). Such open-end mutual funds may use fair value pricing as disclosed in their prospectuses.

Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with procedures established by the Board of Directors.

U.S. Generally Accepted Accounting Principles (“U.S. GAAP”) defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are:

Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange traded funds, rights and warrants.


Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract.

Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price.

The Board of Directors generally reviews and approves the “Procedures for Valuation of Portfolio Investments” at least once a year. These procedures define how investments are to be valued, including the formation and activities of a Valuation Committee. The Valuation Committee, which is chaired by the Company’s Treasurer, is responsible for determining in good faith the fair value of investments when the value cannot be obtained from primary pricing services or alternative sources or if the valuation of an investment as provided by the primary pricing service or alternative source is believed not to reflect the investment’s fair value as of the Valuation Date. The Valuation Committee will consider all relevant factors in determining an investment’s fair value, and may seek the advice of such Fund’s sub-adviser, as applicable, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board of Directors. The Audit Committee receives quarterly written reports which include details of all fair-valued investments, including the reason for the fair valuation, and an indication, when possible, of the accuracy of the valuation by disclosing the next available reliable public price quotation or the disposition price of such investments (the “lookback” test). The Board of Directors then must consider for ratification all of the fair value determinations made during the previous quarter.

Valuation levels are not necessarily indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances dictate.

For additional information, refer to the Fair Valuation Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.

For information regarding a Fund’s other significant accounting policies, please refer to the Fund’s most recent Semiannual or Annual Report.


Item 2. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3.  Exhibits.

 

  (a) Separate certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached herewith.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

    HARTFORD HLS SERIES FUND II, INC.
Date:    November 17, 2016     By:   /s/ James E. Davey
      James E. Davey
      President and Chief Executive Officer

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

Date:  November 17, 2016     By:   /s/ James E. Davey
      James E. Davey
      President and Chief Executive Officer
Date:  November 17, 2016     By:   /s/ Michael J. Flook
      Michael J. Flook
      Vice President, Treasurer and Controller