Hartford Growth Opportunities HLS Fund

 

 

  Schedule of Investments

  March 31, 2020 (Unaudited)

 

 

  Shares or Principal Amount    Market Value  

Common Stocks - 94.3%

 

    

Automobiles & Components - 0.9%

 

23,205     

Tesla, Inc.*

   $ 12,159,420  
    

Capital Goods - 3.1%

 

898,924      API Group Corp.*(1)      6,292,468  
81,967      L3Harris Technologies, Inc.      14,763,896  
249,684     

Trane Technologies plc

     20,621,402  
          41,677,766  
    

Commercial & Professional Services - 2.6%

 

200,679      Copart, Inc.*      13,750,525  
29,961      CoStar Group, Inc.*      17,593,399  
18,785     

Klarna Holding AB(2)(3)(4)

     3,756,179  
          35,100,103  
    

Consumer Durables & Apparel - 1.2%

 

608,252     

Peloton Interactive, Inc. Class A*

     16,149,091  
    

Consumer Services - 3.5%

 

353,610      Aramark      7,061,592  
19,675      Chipotle Mexican Grill, Inc.*      12,875,320  
1,556,596      DraftKings, Inc.*(2)(3)(4)      6,178,596  
17,095      Marriott Vacations Worldwide Corp.      950,140  
209,558      Planet Fitness, Inc. Class A*      10,205,475  
573,279      Target Hospitality Corp.*      1,140,825  
55,810     

Vail Resorts, Inc.

     8,243,695  
          46,655,643  
    

Diversified Financials - 2.2%

 

152,027      American Express Co.      13,015,032  
327,583      Blackstone Group, Inc. Class A      14,927,957  
182,167     

Digital Landscape Group, Inc.*(2)(4)

     1,430,466  
          29,373,455  
    

Food, Beverage & Tobacco - 1.6%

 

373,044     

Monster Beverage Corp.*

     20,987,455  
    

Health Care Equipment & Services - 12.5%

 

152,321      ABIOMED, Inc.*      22,110,916  
93,741      Danaher Corp.      12,974,692  
154,325      DexCom, Inc.*      41,555,093  
16,158      Haemonetics Corp.*      1,610,306  
181,600      Insulet Corp.*      30,087,488  
73,348      Intuitive Surgical, Inc.*      36,322,663  
99,613      Novocure Ltd.*      6,707,940  
97,852     

Veeva Systems, Inc. Class A*

     15,301,117  
          166,670,215  
    

Media & Entertainment - 12.2%

 

301,043      Activision Blizzard, Inc.      17,906,038  
131,381      Facebook, Inc. Class A*      21,914,351  
79,870      Live Nation Entertainment, Inc.*      3,630,890  
100,362      Match Group, Inc.*(5)      6,627,906  
134,598      Netflix, Inc.*      50,541,549  
325,908      Spotify Technology S.A.*      39,578,268  
229,475     

Walt Disney Co.

     22,167,285  
          162,366,287  
    

Pharmaceuticals, Biotechnology & Life Sciences - 11.0%

 

54,429      Argenx SE ADR*      7,169,932  
58,554      Ascendis Pharma A/S ADR*      6,593,766  
430,123      AstraZeneca plc ADR      19,209,293  
35,075      Biogen, Inc.*      11,097,028  
839,149      Elanco Animal Health, Inc.*      18,788,546  
304,090      Exact Sciences Corp.*      17,637,220  
5,016      Galapagos N.V. ADR*(5)      982,735  
104,872      Galapagos N.V.*      20,594,480  
40,309      Reata Pharmaceuticals, Inc. Class A*      5,818,201  


 

  Hartford Growth Opportunities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

140,063     

Thermo Fisher Scientific, Inc.

   $ 39,721,867  
          147,613,068  
    

Real Estate - 0.0%

 

10,657     

We Co. Class A*(2)(3)(4)

     106,630  
    

Retailing - 12.0%

 

60,661      Amazon.com, Inc.*      118,271,965  
41,578      JAND, Inc. Class A(2)(3)(4)      550,493  
323,040      Lowe’s Cos., Inc.      27,797,592  
256,104      TJX Cos., Inc.      12,244,332  
38,805     

Tory Burch LLC*(2)(3)(4)

     1,490,102  
          160,354,484  
    

Semiconductors & Semiconductor Equipment - 8.4%

 

1,079,972      Advanced Micro Devices, Inc.*      49,117,127  
884,172      Marvell Technology Group Ltd.      20,008,812  
162,374     

NVIDIA Corp.

     42,801,786  
          111,927,725  
    

Software & Services - 20.9%

 

181,671      2U, Inc.*      3,855,059  
45,679      Fair Isaac Corp.*      14,054,971  
426,401      GoDaddy, Inc. Class A*      24,351,761  
303,459      Guidewire Software, Inc.*      24,067,333  
345,377      PayPal Holdings, Inc.*      33,066,394  
32,269      RingCentral, Inc. Class A*      6,838,124  
67,818      ServiceNow, Inc.*      19,435,282  
943,741      Slack Technologies, Inc. Class A*(5)      25,330,008  
358,803      Splunk, Inc.*      45,291,703  
561,776      Square, Inc. Class A*      29,425,827  
12,800      Trade Desk, Inc. Class A*      2,470,400  
290,194      Workday, Inc. Class A*      37,789,063  
90,024     

Zoom Video Communications, Inc. Class A*(5)

     13,154,307  
          279,130,232  
    

Technology Hardware & Equipment - 0.7%

 

37,431     

Apple, Inc.

     9,518,329  
    

Transportation - 1.5%

 

722,625     

Uber Technologies, Inc.*

     20,175,690  
    

Total Common Stocks
(cost $1,199,809,975)

   $     1,259,965,593  

Exchange-Traded Funds - 1.7%

 

    

Other Investment Pools & Funds - 1.7%

 

156,142     

iShares Russell 1000 Growth ETF

     23,522,792  
    

Total Exchange-Traded Funds
(cost $23,187,508)

   $ 23,522,792  

Convertible Preferred Stocks - 1.9%

 

    

Real Estate - 0.2%

 

145,709      We Co. Series D1*(2)(3)(4)      1,626,454  
114,486     

We Co. Series D2*(2)(3)(4)

     1,277,933  
          2,904,387  
    

Retailing - 1.0%

 

102,040      Honest Co., Inc. Series C*(2)(3)(4)      3,412,218  
92,843      JAND, Inc. Series D*(2)(3)(4)      1,314,657  
1,605,750     

Coupang LLC *(2)(3)(4)

     8,719,222  
          13,446,097  
    

Software & Services - 0.7%

 

1,871,878      Essence Group Holdings Corp. Series 3*(2)(3)(4)      4,155,569  
366,944      MarkLogic Corp. Series F*(2)(3(4))      2,840,147  
287,204     

Lookout, Inc. Series F*(2)(3)(4)

     2,013,300  
          9,009,016  
    

Total Convertible Preferred Stocks
(cost $23,661,221)

   $ 25,359,500  


 

  Hartford Growth Opportunities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

Escrows - 0.0%(6)

 

    

Software & Services - 0.0%

 

210,735     

Veracode, Inc.*(2)(3)(4)

 

   $ 114,640  
    

Total Escrows
(cost $—)

 

   $ 114,640  

Warrants - 0.0%

 

    

Consumer Services - 0.0%

 

191,133     

Target Hospitality Corp. Expires 3/15/24*

 

     28,670  
    

Diversified Financials - 0.0%

 

516,400     

Digital Landscape Group, Inc.*(2)(4)

 

     23,238  
    

Total Warrants
(cost $263,371)

 

   $ 51,908  
    

Total Long-Term Investments
(cost $1,246,922,075)

 

   $ 1,309,014,433  

Short-Term Investments - 3.4%

 

    

Other Investment Pools & Funds - 2.1%

 

27,438,622     

Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.22%(7)

 

     27,438,622  
    

Securities Lending Collateral - 1.3%

 

895,195     

Citibank NA DDCA, 0.08%, 4/1/2020(7)

 

     895,195  
9,595,470     

Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%(7)

 

     9,595,470  
1,905,812     

Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%(7)

 

     1,905,812  
5,477,290     

Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.22%(7)

 

     5,477,290  
             17,873,767  
    

Total Short-Term Investments
(cost $45,312,389)

 

   $ 45,312,389  
    

Total Investments
(cost $1,292,234,464)

     101.3%      $ 1,354,326,822  
    

Other Assets and Liabilities

     (1.3)%        (17,935,325)  
    

Total Net Assets

     100.0%      $     1,336,391,497  
       

 

 

    

 

 

 

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. These classifications are used for financial reporting purposes.

 

*

Non-income producing.

(1)

Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At March 31, 2020, the aggregate value of this security was $6,292,468, representing 0.5% of net assets.

(2)

Investment valued using significant unobservable inputs.

(3)

Investment in securities not registered under the Securities Act of 1933 (excluding securities acquired pursuant to Rule 144A and Regulation S). At the end of the period, the value of such restricted securities amounted to $37,556,140 or 2.8% of net assets.

 

                                                                                                       
            Period Acquired   Security Name    Shares/Par Value      Base Total Cost      Base Market Value  
            11/2014  

Coupang LLC Convertible Preferred

     1,605,750      $     4,998,894      $     8,719,222  
            12/2014  

DraftKings, Inc.

     1,556,596        2,280,348        6,178,596  


 

  Hartford Growth Opportunities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

                                                                                                       
            05/2014  

Essence Group Holdings Corp. Series 3 Convertible Preferred

     1,871,878        2,960,001      $ 4,155,569  
            08/2014  

Honest Co., Inc. Series C Convertible Preferred

     102,040        2,760,927        3,412,218  
            04/2015  

JAND, Inc. Class A

     41,578        477,536        550,493  
            04/2015  

JAND, Inc. Series D Convertible Preferred

     92,843        1,066,330        1,314,657  
            08/2015  

Klarna Holding AB

     18,785        2,060,349        3,756,179  
            07/2014  

Lookout, Inc. Series F Convertible Preferred

     287,204        3,280,760        2,013,300  
            04/2015  

MarkLogic Corp. Series F Convertible Preferred

     366,944        4,261,761        2,840,147  
            11/2013  

Tory Burch LLC

     38,805        3,041,403        1,490,102  
            04/2017  

Veracode, Inc.

     210,735               114,640  
            12/2014  

We Co. Class A

     10,657        177,451        106,630  
            12/2014  

We Co. Series D1 Convertible Preferred

     145,709        2,426,224        1,626,454  
            12/2014  

We Co. Series D2 Convertible Preferred

     114,486        1,906,324        1,277,933  
       

 

 

    

 

 

 
        $     31,698,308      $ 37,556,140  
       

 

 

    

 

 

 
(4)

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 March 31, 2020, the aggregate fair value of these securities was $39,009,844, which represented 2.9% 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.

(5)

Represents entire or partial securities on loan. See Note 2 in the accompanying Notes to the Schedule of Investments for securities lending information.

(6)

Share amount represents shares of the issuer previously held that resulted in receipt of the escrow.

(7)

Current yield as of period end.

 

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
DDCA    Dollars on Deposit in Custody Account
ETF    Exchange-Traded Fund


 

  Hartford Growth Opportunities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Fund’s investments.

 

                                                                                                               
Description    Total      Level 1      Level 2      Level 3(1)  

Assets

 

Common Stocks

 

Automobiles & Components

   $ 12,159,420      $ 12,159,420      $      $  

Capital Goods

     41,677,766        35,385,298        6,292,468         

Commercial & Professional Services

     35,100,103        31,343,924               3,756,179  

Consumer Durables & Apparel

     16,149,091        16,149,091                

Consumer Services

     46,655,643        40,477,047               6,178,596  

Diversified Financials

     29,373,455        27,942,989               1,430,466  

Food, Beverage & Tobacco

     20,987,455        20,987,455                

Health Care Equipment & Services

     166,670,215        166,670,215                

Media & Entertainment

     162,366,287        162,366,287                

Pharmaceuticals, Biotechnology & Life Sciences

     147,613,068        127,018,588        20,594,480         

Real Estate

     106,630                      106,630  

Retailing

     160,354,484        158,313,889               2,040,595  

Semiconductors & Semiconductor Equipment

     111,927,725        111,927,725                

Software & Services

     279,130,232        279,130,232                

Technology Hardware & Equipment

     9,518,329        9,518,329                

Transportation

     20,175,690        20,175,690                

Exchange-Traded Funds

     23,522,792        23,522,792                

Convertible Preferred Stocks

     25,359,500                      25,359,500  

Escrows

     114,640                      114,640  

Warrants

     51,908        28,670               23,238  

Short-Term Investments

     45,312,389        45,312,389                
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $   1,354,326,822      $   1,288,430,030      $ 26,886,948      $ 39,009,844  
  

 

 

    

 

 

    

 

 

    

 

 

 
(1)

For the period ended March 31, 2020, investments valued at $13,712,531 were transferred out of Level 3 due to expiration of trading restrictions and there were no transfers into Level 3.

The following is a rollforward of the Fund’s investments that were valued using unobservable inputs (Level 3) for the period ended March 31, 2020:

 

                                                                                                                       
      

Common

Stocks

      

Convertible

Preferred

Stocks

 

       Escrows        Warrants        Total  

Beginning balance

     $ 28,496,099        $ 28,498,506        $ 129,224        $ 25,820        $ 57,149,649  

Purchases

       1,819,848                            5,164          1,825,012  

Sales

       (1,819,848)                   (11,183)          (5,164)          (1,836,195)  

Accrued discounts/(premiums)

                                            

Total realized gain/(loss)

                         11,183                   11,183  

Net change in unrealized appreciation/depreciation

       (1,271,102)          (3,139,006)          (14,584)          (2,582)          (4,427,274)  

Transfers into Level 3

                                            

Transfers out of Level 3

       (13,712,531)                                     (13,712,531)  

Ending balance

       13,512,466          25,359,500          114,640          23,238          39,009,844  

The change in net unrealized appreciation/(depreciation) relating to the Level 3 investments held at March 31, 2020 was $(4,622,476).


 

  Hartford MidCap Growth HLS Fund

 

 

  Schedule of Investments

  March 31, 2020 (Unaudited)

 

 

Shares or Principal Amount    Market Value  

Common Stocks - 97.3%

 

    

Capital Goods - 7.7%

 

17,376     

Albany International Corp. Class A

   $ 822,406  
29,581     

BWX Technologies, Inc.

     1,440,891  
14,245     

HEICO Corp. Class A

     910,255  
39,802     

Hexcel Corp.

     1,480,236  
14,080     

Lincoln Electric Holdings, Inc.

     971,520  
          5,625,308  
    

Commercial & Professional Services - 6.1%

 

16,205     

Copart, Inc.*

     1,110,367  
5,193     

Equifax, Inc.

     620,304  
16,058     

IHS Markit Ltd.

     963,480  
16,697     

TransUnion

     1,105,007  
17,776     

TriNet Group, Inc.*

     669,444  
          4,468,602  
    

Consumer Durables & Apparel - 2.7%

 

103,020     

Under Armour, Inc. Class A*

     948,814  
50,738     

YETI Holdings, Inc.*

     990,406  
          1,939,220  
    

Consumer Services - 9.0%

 

49,468     

Aramark

     987,876  
20,479     

Bright Horizons Family Solutions, Inc.*

     2,088,858  
3,143     

Domino’s Pizza, Inc.

     1,018,552  
16,571     

Grand Canyon Education, Inc.*

     1,264,119  
8,389     

Vail Resorts, Inc.

     1,239,139  
          6,598,544  
    

Diversified Financials - 4.4%

 

35,426     

Hamilton Lane, Inc. Class A

     1,959,412  
2,161     

MarketAxess Holdings, Inc.

     718,684  
1,767     

MSCI, Inc.

     510,592  
          3,188,688  
    

Food & Staples Retailing - 0.5%

 

15,286     

Performance Food Group Co.*

     377,870  
    

Health Care Equipment & Services - 6.3%

 

8,023     

ABIOMED, Inc.*

     1,164,619  
7,381     

IDEXX Laboratories, Inc.*

     1,787,973  
10,058     

Penumbra, Inc.*

     1,622,657  
          4,575,249  
    

Media & Entertainment - 5.9%

 

13,809     

Electronic Arts, Inc.*

     1,383,247  
21,388     

Liberty Media Corp-Liberty Formula One Class C*

     582,395  
11,922     

Roku, Inc.*

     1,042,937  
11,116     

Take-Two Interactive Software, Inc.*

     1,318,469  
          4,327,048  
    

Pharmaceuticals, Biotechnology & Life Sciences - 10.2%

 

20,723     

Bluebird Bio, Inc.*

     952,429  
11,511     

ICON plc*

     1,565,496  
19,009     

Incyte Corp.*

     1,392,029  
2,804     

Mettler-Toledo International, Inc.*

     1,936,190  
13,716     

Seattle Genetics, Inc.*

     1,582,552  
          7,428,696  
    

Real Estate - 2.5%

 

6,780     

SBA Communications Corp. REIT

     1,830,397  
    

Retailing - 5.2%

 

13,407     

Burlington Stores, Inc.*

     2,124,473  
28,680     

Etsy, Inc.*

     1,102,459  
1,785     

O’Reilly Automotive, Inc.*

     537,375  
          3,764,307  


 

  Hartford MidCap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

    

Semiconductors & Semiconductor Equipment - 6.9%

 

10,831     

First Solar, Inc.*

 

   $ 390,566  
12,594     

KLA Corp.

 

     1,810,262  
6,870     

Microchip Technology, Inc.

 

     465,786  
8,641     

Monolithic Power Systems, Inc.

 

     1,447,022  
16,367     

Teradyne, Inc.

 

     886,600  
            5,000,236  
    

Software & Services - 24.5%

 

14,479     

Avalara, Inc.*

 

     1,080,133  
23,079     

Black Knight, Inc.*

 

     1,339,967  
19,775     

Blackbaud, Inc.

 

     1,098,501  
21,681     

Ceridian HCM Holding, Inc.*

 

     1,085,568  
12,403     

DocuSign, Inc.*

 

     1,146,037  
10,726     

Gartner, Inc.*

 

     1,067,988  
24,074     

GoDaddy, Inc. Class A*

 

     1,374,866  
21,146     

Guidewire Software, Inc.*

 

     1,677,089  
38,581     

Slack Technologies, Inc. Class A*

 

     1,035,514  
11,708     

Splunk, Inc.*

 

     1,477,901  
34,481     

Square, Inc. Class A*

 

     1,806,115  
46,062     

SS&C Technologies Holdings, Inc.

 

     2,018,437  
5,530     

Tyler Technologies, Inc.*

 

     1,639,977  
            17,848,093  
    

Technology Hardware & Equipment - 3.5%

 

12,442     

CDW Corp.

 

     1,160,465  
7,139     

Coherent, Inc.*

 

     759,661  
11,066     

Itron, Inc.*

 

     617,815  
            2,537,941  
    

Transportation - 1.9%

 

15,370     

J.B. Hunt Transport Services, Inc.

 

     1,417,575  
    

Total Common Stocks
(cost $75,661,121)

 

   $ 70,927,774  

Short-Term Investments - 2.6%

 

    

Other Investment Pools & Funds - 2.6%

 

1,894,157     

Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.22%(1)

 

     1,894,157  
    

Total Short-Term Investments
(cost $1,894,157)

 

   $ 1,894,157  
    

Total Investments
(cost $77,555,278)

    99.9%      $ 72,821,931  
    

Other Assets and Liabilities

    0.1%        42,262  
    

Total Net Assets

    100.0%      $     72,864,193  
      

 

 

    

 

 

 

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. These classifications are used for financial reporting purposes.

 

*

Non-income producing.

(1)

Current yield as of period end.

 

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)


 

  Hartford MidCap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

Other Abbreviations:

MSCI   

Morgan Stanley Capital International

REIT   

Real Estate Investment Trust


 

  Hartford MidCap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Fund’s investments.

 

                                                                                                               
Description    Total      Level 1      Level 2      Level 3(1)  

Assets

 

Common Stocks

 

Capital Goods

   $ 5,625,308      $ 5,625,308      $      $  

Commercial & Professional Services

     4,468,602        4,468,602                

Consumer Durables & Apparel

     1,939,220        1,939,220                

Consumer Services

     6,598,544        6,598,544                

Diversified Financials

     3,188,688        3,188,688                

Food & Staples Retailing

     377,870        377,870                

Health Care Equipment & Services

     4,575,249        4,575,249                

Media & Entertainment

     4,327,048        4,327,048                

Pharmaceuticals, Biotechnology & Life Sciences

     7,428,696        7,428,696                

Real Estate

     1,830,397        1,830,397                

Retailing

     3,764,307        3,764,307                

Semiconductors & Semiconductor Equipment

     5,000,236        5,000,236                

Software & Services

     17,848,093        17,848,093                

Technology Hardware & Equipment

     2,537,941        2,537,941                

Transportation

     1,417,575        1,417,575                

Short-Term Investments

     1,894,157        1,894,157                
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 72,821,931      $ 72,821,931      $      $  
  

 

 

    

 

 

    

 

 

    

 

 

 

(1) For the period ended March 31, 2020, there were no transfers in and out of Level 3.


 

  Hartford Small Cap Growth HLS Fund

 

 

  Schedule of Investments

  March 31, 2020 (Unaudited)

 

 

Shares or Principal Amount

   Market Value  

Common Stocks - 97.6%

 

    

Automobiles & Components - 0.8%

 

116,181     

Thor Industries, Inc.(1)

   $ 4,900,514  
55,006     

Visteon Corp.*

     2,639,188  
          7,539,702  
    

Banks - 3.4%

 

224,328     

First Busey Corp.

     3,838,252  
269,394     

First Hawaiian, Inc.

     4,453,083  
849,199     

MGIC Investment Corp.

     5,392,414  
235,637     

Seacoast Banking Corp. of Florida*

     4,314,513  
442,831     

Sterling Bancorp

     4,627,584  
104,807     

Synovus Financial Corp.

     1,840,411  
200,125     

Triumph Bancorp, Inc.*

     5,203,250  
94,427     

Western Alliance Bancorp

     2,890,410  
          32,559,917  
    

Capital Goods - 13.4%

 

264,627     

Aerojet Rocketdyne Holdings, Inc.*

     11,069,347  
236,932     

Altra Industrial Motion Corp.

     4,143,941  
75,760     

American Woodmark Corp.*

     3,452,383  
194,987     

Applied Industrial Technologies, Inc.

     8,914,806  
68,994     

Armstrong World Industries, Inc.

     5,479,503  
102,683     

Axon Enterprise, Inc.*

     7,266,876  
81,591     

AZZ, Inc.

     2,294,339  
138,777     

BWX Technologies, Inc.

     6,759,828  
76,045     

Curtiss-Wright Corp.

     7,027,318  
120,204     

EnerSys

     5,952,502  
137,576     

Generac Holdings, Inc.*

     12,817,956  
159,506     

ITT, Inc.

     7,235,192  
120,480     

John Bean Technologies Corp.

     8,948,050  
112,171     

Mercury Systems, Inc.*(1)

     8,002,279  
188,671     

Patrick Industries, Inc.

     5,312,975  
294,573     

Rexnord Corp.

     6,677,970  
194,818     

SPX Corp.*

     6,358,860  
153,810     

SPX FLOW, Inc.*

     4,371,280  
77,333     

Trex Co., Inc.*

     6,197,467  
          128,282,872  
    

Commercial & Professional Services - 4.5%

 

221,133     

ASGN, Inc.*

     7,810,418  
129,092     

Clean Harbors, Inc.*

     6,627,583  
169,300     

Exponent, Inc.

     12,174,363  
90,273     

Huron Consulting Group, Inc.*

     4,094,783  
99,984     

Insperity, Inc.

     3,729,403  
91,574     

MSA Safety, Inc.

     9,267,289  
          43,703,839  
    

Consumer Durables & Apparel - 5.4%

 

735,683     

American Outdoor Brands Corp.*

     6,106,169  
82,873     

Carter’s, Inc.

     5,447,242  
123,206     

Oxford Industries, Inc.

     4,467,450  
89,116     

PVH Corp.

     3,354,326  
359,322     

Steven Madden Ltd.

     8,347,050  
130,419     

TopBuild Corp.*

     9,343,217  
428,981     

Under Armour, Inc. Class C*

     3,457,587  
371,636     

Wolverine World Wide, Inc.

     5,648,867  
278,881     

YETI Holdings, Inc.*

     5,443,757  
          51,615,665  
    

Consumer Services - 1.9%

 

82,739     

Dunkin’ Brands Group, Inc.

     4,393,441  
71,622     

Marriott Vacations Worldwide Corp.

     3,980,751  
126,525     

Wingstop, Inc.

     10,084,042  
          18,458,234  


 

  Hartford Small Cap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

    

Diversified Financials - 1.8%

 

214,728     

Blucora, Inc.*

   $ 2,587,472  
177,422     

OneMain Holdings, Inc.

     3,392,309  
903,195     

SLM Corp.

     6,493,972  
125,408     

Stifel Financial Corp.

     5,176,842  
          17,650,595  
    

Energy - 0.3%

 

99,323     

Diamondback Energy, Inc.

     2,602,263  
    

Food & Staples Retailing - 1.2%

 

28,014     

Casey’s General Stores, Inc.(1)

     3,711,575  
313,787     

Performance Food Group Co.*

     7,756,815  
          11,468,390  
    

Food, Beverage & Tobacco - 2.9%

 

14,508     

Boston Beer Co., Inc. Class A*

     5,332,561  
138,452     

Freshpet, Inc.*

     8,842,929  
717,456     

Hostess Brands, Inc.*

     7,648,081  
304,034     

Simply Good Foods Co.*

     5,855,695  
          27,679,266  
    

Health Care Equipment & Services - 15.2%

 

71,360     

Addus HomeCare Corp.*

     4,823,936  
31,911     

Amedisys, Inc.*

     5,856,945  
210,057     

AtriCure, Inc.*

     7,055,815  
153,623     

Cardiovascular Systems, Inc.*

     5,409,066  
232,444     

Globus Medical, Inc. Class A*

     9,885,843  
103,844     

Haemonetics Corp.*

     10,349,093  
365,056     

HMS Holdings Corp.*

     9,224,965  
15,642     

ICU Medical, Inc.*

     3,156,086  
145,761     

Integer Holdings Corp.*

     9,162,537  
164,130     

Integra LifeSciences Holdings Corp.*

     7,331,687  
61,592     

iRhythm Technologies, Inc.*(1)

     5,010,509  
79,559     

LHC Group, Inc.*(1)

     11,154,172  
75,294     

NuVasive, Inc.*

     3,814,394  
201,083     

Omnicell, Inc.*

     13,187,023  
372,262     

OraSure Technologies, Inc.*

     4,005,539  
94,671     

Providence Service Corp.*

     5,195,545  
814,162     

R1 RCM, Inc.*

     7,400,733  
146,667     

Tandem Diabetes Care, Inc.*

     9,438,021  
72,802     

Teladoc Health, Inc.*(1)

     11,285,038  
41,405     

U.S. Physical Therapy, Inc.(1)

     2,856,945  
          145,603,892  
    

Household & Personal Products - 0.5%

 

271,280     

BellRing Brands, Inc. Class A*

     4,625,324  
    

Insurance - 1.7%

 

243,148     

James River Group Holdings Ltd.

     8,811,684  
106,462     

Kemper Corp.

     7,917,579  
          16,729,263  
    

Materials - 2.6%

 

214,106     

Boise Cascade Co.

     5,091,441  
588,385     

Graphic Packaging Holding Co.

     7,178,297  
114,473     

Ingevity Corp.*

     4,029,450  
224,106     

Louisiana-Pacific Corp.

     3,850,141  
242,681     

PolyOne Corp.

     4,603,658  
          24,752,987  
    

Media & Entertainment - 0.6%

 

90,270     

Cardlytics, Inc.*

     3,155,839  
152,891     

Cargurus, Inc.*

     2,895,756  
          6,051,595  
    

Pharmaceuticals, Biotechnology & Life Sciences - 16.3%

 

118,256     

ACADIA Pharmaceuticals, Inc.*

     4,996,316  
83,843     

Acceleron Pharma, Inc.*

     7,534,970  
145,720     

Aerie Pharmaceuticals, Inc.*

     1,967,220  


 

  Hartford Small Cap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

247,092     

Akebia Therapeutics, Inc.*

   $ 1,872,957  
85,096     

Allakos, Inc.*(1)

     3,785,921  
192,666     

Apellis Pharmaceuticals, Inc.*

     5,161,522  
131,486     

Arena Pharmaceuticals, Inc.*

     5,522,412  
120,621     

Biohaven Pharmaceutical Holding Co., Ltd.*

     4,104,733  
70,590     

Blueprint Medicines Corp.*

     4,128,103  
110,394     

Constellation Pharmaceuticals, Inc.*

     3,469,684  
204,430     

Dicerna Pharmaceuticals, Inc.*

     3,755,379  
7,944     

G1 Therapeutics, Inc.*

     87,543  
109,015     

Global Blood Therapeutics, Inc.*

     5,569,576  
224,633     

Heron Therapeutics, Inc.*(1)

     2,637,191  
372,300     

ImmunoGen, Inc.*

     1,269,543  
259,392     

Iovance Biotherapeutics, Inc.*

     7,764,900  
174,800     

Karyopharm Therapeutics, Inc.*

     3,357,908  
96,462     

Kodiak Sciences, Inc.*(1)

     4,601,237  
42,005     

Madrigal Pharmaceuticals, Inc.*(1)

     2,804,254  
54,498     

Mirati Therapeutics, Inc.*(1)

     4,189,261  
230,391     

Momenta Pharmaceuticals, Inc.*

     6,266,635  
129,503     

MyoKardia, Inc.*

     6,071,101  
204,366     

NanoString Technologies, Inc.*

     4,915,002  
94,048     

Principia Biopharma, Inc.*

     5,584,570  
137,693     

PTC Therapeutics, Inc.*

     6,142,485  
321,308     

Radius Health, Inc.*

     4,177,004  
159,444     

RAPT Therapeutics, Inc.*(1)

     3,391,374  
37,110     

Reata Pharmaceuticals, Inc. Class A*

     5,356,457  
97,714     

REGENXBIO, Inc.*

     3,163,979  
52,562     

Repligen Corp.*

     5,074,336  
267,912     

Revance Therapeutics, Inc.*

     3,965,098  
228,667     

Rhythm Pharmaceuticals, Inc.*(1)

     3,480,312  
10,911     

Syneos Health, Inc.*

     430,112  
171,431     

Theravance Biopharma, Inc.*

     3,961,770  
93,692     

Turning Point Therapeutics, Inc.*

     4,184,285  
150,256     

Ultragenyx Pharmaceutical, Inc.*

     6,675,874  
182,079     

Y-mAbs Therapeutics, Inc.*

     4,752,262  
          156,173,286  
    

Real Estate - 3.3%

 

298,772     

Columbia Property Trust, Inc. REIT

     3,734,650  
61,454     

Coresite Realty Corp. REIT

     7,122,519  
227,697     

Corporate Office Properties Trust REIT

     5,038,935  
245,722     

Essential Properties Realty Trust, Inc. REIT

     3,209,129  
433,058     

Independence Realty Trust, Inc. REIT

     3,871,538  
62,237     

PS Business Parks, Inc. REIT

     8,434,358  
          31,411,129  
    

Retailing - 1.9%

 

49,506     

American Eagle Outfitters, Inc.

     393,573  
494,593     

Caleres, Inc.

     2,571,884  
158,513     

Core-Mark Holding Co., Inc.

     4,528,716  
179,777     

Floor & Decor Holdings, Inc. Class A*

     5,769,044  
174,923     

Foot Locker, Inc.

     3,857,052  
48,639     

Urban Outfitters, Inc.*

     692,619  
          17,812,888  
    

Semiconductors & Semiconductor Equipment - 3.6%

 

326,087     

Cohu, Inc.

     4,036,957  
211,038     

Entegris, Inc.

     9,448,171  
436,199     

FormFactor, Inc.*

     8,763,238  
20,110     

MKS Instruments, Inc.

     1,637,960  
178,645     

Onto Innovation, Inc.*

     5,300,397  
59,996     

Power Integrations, Inc.

     5,299,447  
          34,486,170  
    

Software & Services - 12.0%

 

252,555     

8x8, Inc.*

     3,500,412  
121,088     

Blackbaud, Inc.

     6,726,438  
40,497     

CACI International, Inc. Class A*

     8,550,942  


 

  Hartford Small Cap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

98,822     

Everbridge, Inc.*(1)

 

   $ 10,510,708  
98,423     

ExlService Holdings, Inc.*

 

     5,120,949  
209,948     

Five9, Inc.*(1)

 

     16,052,624  
34,071     

HubSpot, Inc.*

 

     4,537,917  
148,562     

LiveRamp Holdings, Inc.*

 

     4,890,661  
219,653     

Medallia, Inc.*(1)

 

     4,401,846  
48,734     

Paylocity Holding Corp.*

 

     4,304,187  
92,914     

Pegasystems, Inc.

 

     6,618,264  
101,917     

PROS Holdings, Inc.*

 

     3,162,485  
94,069     

Q2 Holdings, Inc.*

 

     5,555,715  
174,909     

Rapid7, Inc.*

 

     7,578,807  
37,200     

SailPoint Technologies Holding, Inc.*

 

     566,184  
222,851     

Science Applications International Corp.

 

     16,631,370  
491,285     

SVMK, Inc.*

 

     6,637,260  
            115,346,769  
    

Technology Hardware & Equipment - 3.6%

 

270,489     

CTS Corp.

 

     6,732,471  
151,074     

Itron, Inc.*

 

     8,434,461  
145,235     

Lumentum Holdings, Inc.*

 

     10,703,820  
320,692     

Pure Storage, Inc. Class A*

 

     3,944,512  
51,303     

Rogers Corp.*

 

     4,844,029  
            34,659,293  
    

Telecommunication Services - 0.2%

 

33,546     

Bandwidth, Inc. Class A*

 

     2,257,310  
    

Transportation - 0.5%

 

246,116     

Marten Transport Ltd.

 

     5,050,300  
    

Total Common Stocks
(cost $992,083,114)

 

   $     936,520,949  

Short-Term Investments - 4.9%

 

    

Other Investment Pools & Funds - 2.0%

 

19,254,631     

Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.22%(2)

 

     19,254,631  
    

Securities Lending Collateral - 2.9%

 

1,387,242     

Citibank NA DDCA, 0.08%, 4/1/2020(2)

 

     1,387,242  
14,869,653     

Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%(2)

 

     14,869,653  
2,953,347     

Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%(2)

 

     2,953,347  
8,487,902     

Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.22%(2)

 

     8,487,902  
            27,698,144  
    

Total Short-Term Investments
(cost $46,952,775)

 

   $ 46,952,775  
    

Total Investments
(cost $1,039,035,889)

    102.5%      $ 983,473,724  
    

Other Assets and Liabilities

    (2.5)%        (24,119,585)  
    

Total Net Assets

    100.0%      $ 959,354,139  
      

 

 

    

 

 

 

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. These classifications are used for financial reporting purposes.

 

*

Non-income producing.

(1)

Represents entire or partial securities on loan. See Note 2 in the accompanying Notes to the Schedule of Investments for securities lending information.


 

  Hartford Small Cap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

(2)

Current yield as of period end.

 

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:
DDCA   

Dollars on Deposit in Custody Account

REIT   

Real Estate Investment Trust


 

  Hartford Small Cap Growth HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Fund’s investments.

 

                                                                                                                       
Description    Total      Level 1      Level 2      Level 3(1)  

Assets

 

Common Stocks

 

Automobiles & Components

   $ 7,539,702      $ 7,539,702      $      $  

Banks

     32,559,917        32,559,917                

Capital Goods

     128,282,872        128,282,872                

Commercial & Professional Services

     43,703,839        43,703,839                

Consumer Durables & Apparel

     51,615,665        51,615,665                

Consumer Services

     18,458,234        18,458,234                

Diversified Financials

     17,650,595        17,650,595                

Energy

     2,602,263        2,602,263                

Food & Staples Retailing

     11,468,390        11,468,390                

Food, Beverage & Tobacco

     27,679,266        27,679,266                

Health Care Equipment & Services

     145,603,892        145,603,892                

Household & Personal Products

     4,625,324        4,625,324                

Insurance

     16,729,263        16,729,263                

Materials

     24,752,987        24,752,987                

Media & Entertainment

     6,051,595        6,051,595                

Pharmaceuticals, Biotechnology & Life Sciences

     156,173,286        156,173,286                

Real Estate

     31,411,129        31,411,129                

Retailing

     17,812,888        17,812,888                

Semiconductors & Semiconductor Equipment

     34,486,170        34,486,170                

Software & Services

     115,346,769        115,346,769                

Technology Hardware & Equipment

     34,659,293        34,659,293                

Telecommunication Services

     2,257,310        2,257,310                

Transportation

     5,050,300        5,050,300                

Short-Term Investments

     46,952,775        46,952,775                
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 983,473,724      $ 983,473,724      $      $  
  

 

 

    

 

 

    

 

 

    

 

 

 
(1)

For the period ended March 31, 2020, there were no transfers in and out of Level 3.


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments

  March 31, 2020 (Unaudited)

 

 

Shares or Principal Amount    Market Value  

Asset & Commercial Mortgage-Backed Securities - 14.9%

 

    

Agency Collat PAC CMO - 0.1%

 

$1,337,484     

Freddie Mac Strips
5.00%, 09/15/2036(1)

   $ 262,180  
    

Asset-Backed - Automobile - 0.3%

 

1,020,000     

Toyota Auto Loan Extended Note Trust
2.56%, 11/25/2031(2)

     1,033,249  
    

Asset-Backed - Finance & Insurance - 0.4%

 

1,075,669     

NRZ Excess Spread-Collateralized Notes
3.19%, 01/25/2023(2)

     1,072,560  
263,324     

Structured Asset Securities Corp.
2.45%, 02/25/2033, 1 mo. USD LIBOR + 1.500%(3)

     260,586  
          1,333,146  
    

Commercial Mortgage - Backed Securities - 5.1%

 

22,817,531     

Benchmark Mortgage Trust
0.54%, 07/15/2051(1)(4)

     712,071  
6,753,775     

Cantor Commercial Real Estate
1.14%, 05/15/2052(1)(4)

     490,592  
3,400,000     

CSMC Trust
2.76%, 04/05/2033(2)

     3,342,716  
    

FREMF Mortgage Trust

 

955,000     

3.65%, 11/25/2050(2)(4)

     927,443  
1,515,000     

3.70%, 04/25/2048(2)(4)

     1,465,422  
1,325,000     

3.73%, 10/25/2049(2)(4)

     1,246,602  
1,005,000     

3.80%, 02/25/2050(2)(4)

     977,934  
700,000     

3.84%, 10/25/2049(2)(4)

     663,754  
660,000     

3.94%, 09/25/2049(2)(4)

     629,536  
4,580,000     

3.98%, 04/25/2051(2)(4)

     4,347,822  
405,184     

5.63%, 04/25/2020(2)(4)

     404,081  
1,175,000     

JP Morgan Chase Commercial Mortgage Securities Trust
2.81%, 01/16/2037(2)

     1,167,799  
7,575,192     

Morgan Stanley Capital Trust
0.83%, 07/15/2051(1)(4)

     379,241  
448,000     

Natixis Commercial Mortgage Securities Trust
4.40%, 06/17/2038(2)

     378,476  
    

Wells Fargo N.A.

 

3,312,763     

0.70%, 12/15/2052(1)(4)

     174,812  
5,259,116     

0.84%, 09/15/2062(1)(4)

     320,175  
7,365,049     

0.89%, 01/15/2063(1)(4)

     489,552  
          18,118,028  
    

Other Asset-Backed Securities - 4.3%

 

1,755,000     

MMAF Equipment Finance LLC
2.29%, 11/12/2041(2)

     1,667,092  
    

Towd Point Mortgage Trust

 

2,883,724     

1.55%, 02/25/2057, 1 mo. USD LIBOR + 0.600%(2)(3)

     2,782,399  
1,990,228     

2.90%, 10/25/2059(2)(4)

     1,947,103  
415,220     

3.00%, 11/25/2057(2)(4)

     413,532  
2,399,000     

3.75%, 04/25/2055(2)(4)

     2,318,837  
2,092,173     

3.75%, 03/25/2058(2)(4)

     2,147,898  
1,978,848     

3.75%, 05/25/2058(2)(4)

     1,976,871  
1,896,889     

United States Small Business Administration
3.07%, 05/01/2044

     1,994,256  
          15,247,988  
    

Whole Loan Collateral CMO - 4.7%

 

1,793,563     

Angel Oak Mortgage Trust LLC
2.93%, 05/25/2059(2)(4)

     1,724,688  
2,099,035     

CIM Trust
3.00%, 04/25/2057(2)(4)

     2,092,792  
995,415     

COLT Mortgage Loan Trust
3.34%, 05/25/2049(2)(4)

     974,016  
    

Deephaven Residential Mortgage Trust

 

163,304     

2.73%, 12/26/2046(2)(4)

     159,487  


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

$    1,053,328     

3.56%, 04/25/2059(2)(4)

   $ 1,024,748  
573,406     

LSTAR Securities Investment Trust
3.08%, 04/01/2024, 1 mo. USD LIBOR + 1.500%(2)(3)

     551,022  
1,441,211     

Mill City Mortgage Loan Trust
3.25%, 05/25/2062(2)(4)

     1,453,850  
    

New Residential Mortgage Loan Trust

 

2,178,444     

2.80%, 07/25/2049(2)(4)

     2,138,666  
812,502     

3.25%, 09/25/2056(2)(4)

     824,816  
1,143,335     

3.60%, 04/25/2049(2)(4)

     1,132,971  
987,269     

3.75%, 03/25/2056(2)(4)

     1,016,000  
911,692     

Spruce Hill Mortgage Loan Trust
3.40%, 04/29/2049(2)(4)

     856,178  
    

Verus Securitization Trust

 

1,305,932     

2.78%, 07/25/2059(2)(5)

     1,280,424  
1,203,823     

3.21%, 05/25/2059(2)(4)

     1,178,758  
          16,408,416  
    

Total Asset & Commercial Mortgage-Backed Securities
(cost $53,733,424)

   $     52,403,007  

U.S. Government Agencies - 43.7%

 

    

Mortgage-Backed Agencies - 43.7%

 

    

FHLMC - 8.7%

 

$    1,749,667     

1.13%, 12/15/2027

   $ 1,755,441  
2,804,643     

1.13%, 02/25/2052(1)(4)

     245,655  
1,508,585     

1.25%, 12/15/2027

     1,518,104  
2,070,590     

1.25%, 07/15/2042

     2,084,203  
2,577,645     

1.57%, 01/25/2022

     2,582,555  
3,915,000     

1.65%, 01/25/2030(1)(4)

     462,362  
552,092     

2.50%, 12/15/2026(1)

     20,979  
568,493     

2.50%, 03/15/2028(1)

     31,922  
416,463     

2.50%, 05/15/2028(1)

     27,708  
703,753     

3.00%, 04/15/2028(1)

     52,633  
523,797     

3.00%, 05/15/2032(1)

     28,067  
456,733     

3.00%, 03/15/2033(1)

     44,093  
3,245,494     

3.00%, 11/01/2036

     3,425,914  
108,519     

3.00%, 09/01/2045

     114,601  
3,043,473     

3.00%, 05/15/2046

     3,239,204  
706,255     

3.00%, 08/15/2047

     746,953  
4,331,835     

3.50%, 11/15/2025

     4,555,967  
531,177     

3.50%, 06/15/2026(1)

     19,596  
228,935     

3.50%, 09/15/2026(1)

     15,872  
365,660     

3.50%, 03/15/2027(1)

     22,616  
1,198,777     

3.50%, 01/15/2028(1)

     95,056  
89,199     

3.85%, 07/25/2028, 1 mo. USD LIBOR + 2.900%(3)

     88,649  
215,758     

4.00%, 07/15/2027(1)

     17,193  
623,158     

4.00%, 03/15/2028(1)

     41,125  
346,255     

4.00%, 06/15/2028(1)

     25,058  
720,744     

4.00%, 07/15/2030(1)

     71,945  
1,253,824     

4.50%, 02/15/2027(1)

     103,354  
1,724,621     

4.50%, 05/15/2034

     1,890,819  
1,222,931     

4.95%, 08/25/2024, 1 mo. USD LIBOR + 4.000%(3)

     1,160,638  
580,420     

5.00%, 09/15/2033(1)

     104,985  
679,470     

5.00%, 02/15/2048(1)

     108,094  
3,242     

5.50%, 06/01/2034

     3,618  
24,503     

5.50%, 10/01/2035

     27,773  
42,146     

5.50%, 04/01/2037

     47,654  
632,001     

5.50%, 12/01/2037

     714,458  
203,112     

5.50%, 04/01/2038

     230,335  
12,232     

5.50%, 05/01/2038

     13,867  
936,216     

5.50%, 08/01/2038

     1,060,981  
1,909     

5.50%, 12/01/2039

     2,162  
8,900     

6.00%, 10/01/2021

     9,843  
19,201     

6.00%, 10/01/2022

     21,236  
41,930     

6.00%, 01/01/2028

     46,402  
12,545     

6.00%, 04/15/2028

     14,144  
24,901     

6.00%, 05/15/2028(6)

     28,462  


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

$         30,930     

6.00%, 11/15/2028

   $ 34,917  
56,602     

6.00%, 12/15/2028

     64,366  
121,085     

6.00%, 01/15/2029

     135,032  
27,267     

6.00%, 02/15/2029

     30,955  
31,157     

6.00%, 03/15/2029

     34,801  
21,121     

6.00%, 05/15/2029

     23,866  
4,528     

6.00%, 06/15/2029

     5,127  
1,209     

6.00%, 03/15/2031

     1,371  
58,195     

6.00%, 04/15/2031

     65,284  
24,434     

6.00%, 10/15/2031

     28,229  
32,804     

6.00%, 12/01/2031

     37,577  
187,524     

6.00%, 12/15/2031(6)

     224,078  
267,900     

6.00%, 12/15/2031

     318,015  
8,742     

6.00%, 05/15/2032

     9,767  
557,608     

6.00%, 06/15/2032

     623,243  
494,750     

6.00%, 09/15/2032

     573,426  
36,734     

6.00%, 10/15/2032

     42,586  
363     

6.00%, 11/01/2032

     417  
35,122     

6.00%, 11/15/2032

     41,017  
13,684     

6.00%, 04/01/2033

     15,149  
13,896     

6.00%, 09/01/2034

     15,971  
3,498     

6.50%, 04/01/2028

     3,924  
182,637     

6.50%, 08/15/2028

     208,546  
442,320     

6.50%, 05/15/2032

     523,035  
66,878     

6.50%, 08/01/2032

     75,966  
167,646     

6.50%, 09/01/2032

     196,455  
8,091     

7.00%, 10/01/2026

     8,117  
1,733     

7.00%, 03/01/2027

     1,871  
1,556     

7.00%, 12/01/2027

     1,561  
634     

7.00%, 02/01/2029

     744  
402     

7.00%, 05/01/2029

     474  
432     

7.00%, 09/01/2029

     456  
337     

7.00%, 02/01/2031

     393  
54,741     

7.00%, 04/01/2032

     64,206  
53,461     

7.00%, 05/01/2032

     54,971  
42,034     

7.00%, 06/01/2032

     50,371  
64,663     

7.00%, 11/01/2032

     75,974  
1,301     

7.50%, 05/01/2024

     1,399  
348     

7.50%, 06/01/2024

     349  
804     

7.50%, 06/01/2025

     875  
2,725     

8.00%, 08/01/2024

     2,747  
3,463     

8.00%, 09/01/2024

     3,565  
50     

8.00%, 10/01/2024

     54  
          30,523,543  
    

FNMA - 19.7%

 

$    8,431,782     

1.25%, 02/25/2028

   $     8,482,454  
2,065,045     

1.50%, 09/25/2027

     2,090,671  
6,662,237     

1.57%, 05/25/2029(1)(4)

     685,018  
951,273     

2.00%, 09/25/2039

     926,115  
655,445     

2.05%, 11/01/2023

     678,345  
724,688     

2.05%, 10/25/2024, 1 mo. USD LIBOR + 0.400%(3)

     718,112  
557,340     

2.06%, 08/25/2025, 1 mo. USD LIBOR + 0.400%(3)

     551,342  
1,008,221     

2.11%, 04/25/2055(1)(4)

     59,889  
471,831     

2.14%, 04/25/2024, 1 mo. USD LIBOR + 0.490%(3)

     469,308  
1,512,980     

2.19%, 08/25/2044(1)(4)

     69,620  
1,251,799     

2.20%, 06/25/2055(1)(4)

     69,547  
3,237,567     

2.22%, 10/01/2022

     3,331,410  
198,703     

2.45%, 11/01/2022

     205,750  
22,459     

2.50%, 01/01/2043

     23,379  
260,343     

2.54%, 03/01/2023

     270,994  
2,500,000     

2.68%, 05/01/2025

     2,685,976  
75,983     

2.74%, 04/01/2022

     78,265  
84,247     

2.83%, 06/01/2022

     86,862  
237,662     

2.94%, 06/01/2022

     245,365  
109,535     

2.96%, 04/01/2022(4)

     110,818  


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

$    936,515     

3.00%, 02/25/2027(1)

   $     47,897  
1,025,980     

3.00%, 07/25/2027(1)

     58,952  
405,320     

3.00%, 09/25/2027(1)

     26,373  
49,347     

3.00%, 12/01/2030

     51,845  
1,076,186     

3.00%, 06/25/2043

     1,130,103  
1,060,908     

3.00%, 02/25/2049

     1,121,921  
552,649     

3.25%, 12/01/2021

     566,711  
331,632     

3.26%, 01/01/2022(4)

     343,458  
209,339     

3.50%, 11/01/2020

     209,591  
2,312,580     

3.50%, 04/25/2027(1)

     157,084  
421,386     

3.50%, 05/25/2027(1)

     29,792  
720,218     

3.50%, 10/25/2027(1)

     52,423  
223,297     

3.50%, 08/25/2030(1)

     17,722  
473,180     

3.50%, 02/25/2031(1)

     30,592  
462,231     

3.50%, 09/25/2035(1)

     47,732  
8,918,617     

3.50%, 04/25/2044

     9,776,224  
2,464,805     

3.50%, 03/25/2045

     2,570,391  
464,780     

3.50%, 10/25/2046(1)

     71,886  
2,681,918     

3.50%, 01/25/2047

     2,834,511  
2,984,260     

3.50%, 04/25/2053

     3,156,635  
1,948,921     

3.50%, 10/25/2056

     2,093,504  
3,152,642     

3.50%, 08/25/2058

     3,413,687  
464,269     

3.51%, 11/01/2021

     476,310  
1,664,634     

3.65%, 11/01/2021

     1,710,530  
81,093     

3.65%, 08/01/2023

     87,328  
970,663     

3.73%, 07/01/2022(4)

     1,005,058  
978,737     

3.75%, 09/01/2023

     1,058,667  
90,092     

3.81%, 11/01/2023

     97,761  
273,679     

3.85%, 01/01/2024

     298,434  
370,990     

3.89%, 10/01/2023

     403,508  
2,700,000     

3.98%, 07/01/2021

     2,777,879  
52,941     

3.99%, 07/01/2021

     54,097  
638,775     

4.00%, 05/25/2027(1)

     41,621  
983,037     

4.50%, 10/01/2040

     1,076,921  
430,500     

4.50%, 10/01/2041

     471,621  
2,020,544     

4.50%, 02/25/2042(1)

     243,122  
1,305,473     

4.50%, 01/01/2043

     1,430,149  
381,470     

4.50%, 09/01/2043

     417,432  
1,262,104     

4.50%, 08/01/2044

     1,382,371  
2,203,106     

4.50%, 09/25/2047(1)

     317,358  
70,382     

5.00%, 06/01/2025

     74,003  
149,175     

5.47%, 05/25/2042(1)(4)

     14,585  
109,466     

6.00%, 10/01/2023

     121,031  
16,569     

6.00%, 10/25/2028

     18,627  
6,872     

6.00%, 11/25/2028

     7,813  
25,971     

6.00%, 04/25/2029

     29,273  
424     

6.00%, 05/01/2029

     482  
19,888     

6.00%, 05/25/2029

     22,504  
18,414     

6.00%, 06/25/2029(6)

     21,082  
43,076     

6.00%, 07/25/2029

     48,844  
205,953     

6.00%, 05/25/2031(6)

     232,549  
70,698     

6.00%, 09/25/2031

     79,936  
18,323     

6.00%, 11/25/2031

     20,558  
317,890     

6.00%, 12/25/2031

     366,600  
193,651     

6.00%, 01/01/2032

     216,294  
201     

6.00%, 04/01/2032

     222  
246     

6.00%, 05/01/2032

     281  
1,274     

6.00%, 09/25/2032

     1,491  
70,230     

6.00%, 11/01/2032

     77,777  
33,909     

6.00%, 02/01/2033

     38,891  
164,408     

6.00%, 03/01/2033

     188,412  
526,846     

6.00%, 05/01/2033

     603,984  
4,388     

6.00%, 08/01/2034

     4,859  
115,724     

6.00%, 01/01/2035

     128,654  
1,506,318     

6.00%, 02/01/2037

     1,731,756  
1,240,684     

6.00%, 01/25/2042(1)

     210,628  


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

$    904,687     

6.00%, 09/25/2047(1)

   $ 211,139  
14     

6.50%, 04/01/2024

     15  
93     

6.50%, 04/01/2027

     103  
10,600     

6.50%, 04/01/2028

     11,747  
92     

6.50%, 05/01/2028

     102  
5,341     

6.50%, 10/01/2028

     5,967  
94,167     

6.50%, 11/01/2028

     106,532  
46,217     

6.50%, 12/01/2028

     51,919  
210,004     

6.50%, 06/25/2029

     230,833  
140,016     

6.50%, 08/01/2029

     160,293  
730     

6.50%, 11/01/2030

     809  
3,290     

6.50%, 05/01/2031

     3,811  
93,420     

6.50%, 10/25/2031

     109,164  
685,585     

6.50%, 08/01/2032

     791,637  
48,257     

6.50%, 09/01/2032

     55,196  
192     

7.00%, 11/01/2031

     197  
137,881     

7.00%, 02/01/2032

     161,482  
2,483     

7.50%, 06/01/2023

     2,639  
1,134     

8.00%, 10/01/2029

     1,309  
56     

8.00%, 03/01/2030

     57  
3,780     

8.00%, 04/01/2030

     4,626  
7     

8.00%, 06/01/2030

     7  
10,733     

8.00%, 10/01/2030

     13,043  
23,608     

8.00%, 12/01/2030

     27,739  
6     

9.00%, 08/01/2020

     6  
6,560     

9.00%, 09/01/2021

     6,597  
          69,216,546  
    

GNMA - 10.0%

 

$    202,401     

1.75%, 09/20/2043

   $ 208,282  
5,828,849     

2.38%, 04/20/2044

     6,046,000  
1,507,804     

2.50%, 12/16/2039

     1,575,609  
482,626     

3.00%, 09/20/2028(1)

     35,927  
330,742     

3.00%, 02/16/2043(1)

     39,933  
2,256,207     

3.00%, 04/20/2045

     2,415,081  
34,000     

3.00%, 04/21/2050(7)

     35,940  
193,277     

3.50%, 02/16/2027(1)

     13,997  
485,420     

3.50%, 03/20/2027(1)

     39,801  
451,685     

3.50%, 07/20/2040(1)

     31,783  
697,926     

3.50%, 02/20/2041(1)

     44,690  
1,250,157     

3.50%, 04/20/2042(1)

     87,037  
1,872,910     

3.50%, 10/20/2042(1)

     280,264  
146,632     

3.50%, 05/20/2043(1)

     23,254  
1,042,897     

3.50%, 07/20/2043(1)

     115,098  
2,641,444     

3.50%, 01/20/2048

     2,889,776  
136,024     

4.00%, 12/16/2026(1)

     10,460  
2,048,864     

4.00%, 05/20/2029(1)

     162,991  
365,205     

4.00%, 03/20/2043(1)

     57,989  
177,526     

4.00%, 01/20/2044(1)

     30,192  
1,236,340     

4.00%, 03/20/2047(1)

     161,464  
1,961,590     

4.00%, 07/20/2047(1)

     191,081  
14,060,000     

4.00%, 04/21/2050(7)

     14,936,704  
509,736     

4.50%, 04/20/2045(1)

     85,375  
2,741,244     

4.50%, 08/20/2045

     439,680  
1,907,444     

4.50%, 05/20/2048(1)

     196,299  
520,777     

5.00%, 01/20/2034

     576,839  
1,493,389     

5.00%, 02/16/2040(1)

     270,233  
440,422     

5.00%, 05/20/2040(1)

     90,111  
1,291,063     

5.00%, 03/16/2044(1)

     189,094  
343,214     

5.00%, 01/16/2047(1)

     64,964  
1,983,913     

5.00%, 02/20/2050(1)

     385,663  
693,733     

5.50%, 09/20/2033

     783,733  
1,105,415     

5.50%, 03/20/2039(1)

     199,111  
1,075,981     

5.50%, 02/16/2047(1)

     192,740  
658,858     

5.50%, 02/20/2047(1)

     107,316  
292,813     

6.00%, 01/15/2033

     332,696  


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

$       222,887     

6.00%, 02/15/2033

   $ 250,984  
1,187,737     

6.00%, 09/20/2040(1)

     225,989  
963,375     

6.00%, 02/20/2046(1)

     209,035  
24,430     

6.50%, 12/15/2028

     28,480  
20,199     

6.50%, 05/15/2029

     23,676  
5,317     

6.50%, 09/15/2031

     5,835  
173,876     

6.50%, 10/15/2031

     196,958  
171,737     

6.50%, 11/15/2031

     192,088  
103,336     

6.50%, 01/15/2032

     116,045  
4,453     

7.00%, 06/20/2030

     4,664  
9,373     

7.00%, 05/15/2032

     11,252  
41,082     

7.00%, 07/15/2032

     47,584  
68,943     

7.00%, 09/15/2032

     73,419  
421,825     

7.00%, 10/15/2032(8)

     497,450  
1,826     

7.50%, 01/15/2023

     1,833  
305     

7.50%, 05/15/2023

     319  
1,841     

7.50%, 06/15/2023

     1,864  
1,818     

7.50%, 08/15/2023

     1,874  
3,790     

7.50%, 09/15/2023

     3,804  
2,360     

7.50%, 10/15/2023

     2,418  
4,948     

7.50%, 11/15/2023

     5,110  
527     

7.50%, 12/15/2023

     528  
754     

7.50%, 02/15/2024

     757  
92     

7.50%, 05/15/2024

     98  
29,985     

7.50%, 07/15/2027

     33,090  
30,185     

7.50%, 04/20/2030

     35,849  
6,274     

8.50%, 09/15/2024

     6,850  
719     

8.50%, 06/15/2029

     744  
3,238     

8.50%, 10/15/2029

     3,341  
1,950     

8.50%, 01/15/2030

     2,060  
7,276     

8.50%, 02/15/2030

     7,309  
644     

8.50%, 03/15/2030

     670  
          35,339,184  
    

UMBS - 5.3%

 

$    3,000,000     

2.50%, 04/15/2050(7)

   $ 3,107,812  
1,300,000     

2.50%, 05/13/2050(7)

     1,344,387  
750,000     

3.00%, 04/15/2050(7)

     786,240  
600,000     

3.00%, 05/13/2050(7)

     628,664  
9,050,000     

4.00%, 04/15/2050(7)

     9,651,073  
2,300,000     

4.50%, 04/15/2050(7)

     2,474,926  
550,000     

5.00%, 04/15/2050(7)

     593,291  
          18,586,393  
    

Total U.S. Government Agencies
(cost $150,437,497)

   $ 153,665,666  

U.S. Government Securities - 41.4%

 

    

U.S. Treasury Securities - 41.4%

 

$       426,084     

U.S. Treasury Bonds – 0.1%
0.13%, 01/15/2030

   $ 438,696  
          438,696  
    

U.S. Treasury Notes - 41.3%

 

16,919,000     

1.13%, 02/28/2022

     17,199,882  
16,828,000     

1.13%, 02/28/2025

     17,445,246  
30,526,000     

1.38%, 10/15/2022

     31,386,929  
3,289,000     

1.50%, 02/15/2030(9)

     3,541,200  
30,597,000     

1.63%, 12/31/2021

     31,349,973  
8,907,000     

1.88%, 07/31/2022

     9,247,623  
9,666,000     

2.38%, 05/15/2029

     11,119,298  
8,938,000     

2.75%, 08/31/2023

     9,676,432  
12,991,000     

2.75%, 11/15/2023(8)(10)(11)

     14,124,160  
          145,090,743  
    

Total U.S. Government Securities
(cost $140,680,318)

   $     145,529,439  


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

    

Total Long-Term Investments
(cost $344,851,239)

 

   $ 351,598,112  

Short-Term Investments - 9.8%

 

    

Other Investment Pools & Funds - 8.8%

 

30,810,231     

Fidelity Institutional Government Fund, Institutional Class, 0.27%(12)

 

     30,810,231  
    

Securities Lending Collateral - 1.0%

 

176,400     

Citibank NA DDCA, 0.08%, 4/1/2020(12)

 

     176,400  
1,890,807     

Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%(12)

 

     1,890,807  
375,544     

Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%(12)

 

     375,544  
1,079,311     

Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.22%(12)

 

     1,079,311  
             3,522,062  
    

Total Short-Term Investments
(cost $34,332,293)

 

   $ 34,332,293  
    

Total Investments
(cost $379,183,532)

     109.8%      $ 385,930,405  
    

Other Assets and Liabilities

     (9.8)%        (34,443,865)  
    

Total Net Assets

     100.0%      $     351,486,540  
       

 

 

    

 

 

 

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 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. These classifications are used for financial reporting purposes.

 

(1)

Securities disclosed are interest-only strips.

(2)

Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At March 31, 2020, the aggregate value of these securities was $47,319,542, representing 13.5% of net assets.

(3)

Variable rate securities; the rate reported is the coupon rate in effect at March 31, 2020. Base lending rates may be subject to a floor or cap.

(4)

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(5)

Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate.

(6)

These securities pay no principal or interest during their initial accrual period, but accrue additional principal at a specified coupon rate.

(7)

Represents or includes a TBA transaction.

(8)

All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2020, the market value of securities pledged was $1,478,300.

(9)

Represents entire or partial securities on loan. See Note 2 in the accompanying Notes to the Schedule of Investments for securities lending information.

(10)

All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of March 31, 2020, the market value of securities pledged was $2,011,369.

(11)

All, or a portion of the security, was pledged as collateral in connection with OTC swap contracts. As of March 31, 2020, the market value of securities pledged was $314,208.

(12)

Current yield as of period end.

 

                                                                                                       
Futures Contracts Outstanding at March 31, 2020  
Description    Number
of
Contracts
     Expiration Date    Current
Notional
Amount
     Value and
Unrealized
Appreciation/
(Depreciation)

Long position contracts:

 

U.S. Treasury 5-Year Note Future

     377      06/30/2020    $ 47,260,484      $ 1,193,241  

U.S. Treasury 10-Year Note Future

     510      06/19/2020      70,730,625        1,852,999  
           

 

 

 

Total

 

   $ 3,046,240  
           

 

 

 


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

                                                                                                       

Short position contracts:

 

U.S. Treasury 2-Year Note Future

     45        06/30/2020      $ 9,917,226      $ (67)  

U.S. Treasury Long Bond Future

     16        06/19/2020        2,865,000        (24,810)  
           

 

 

 

Total

 

   $ (24,877)  
           

 

 

 
           

 

 

 

Total futures contracts

 

   $ 3,021,363  
           

 

 

 

 

                                                                                                                                   
TBA Sale Commitments Outstanding at March 31, 2020  
Description    Principal
Amount
     Maturity Date    Market Value †      Unrealized
Appreciation/
(Depreciation)
 

GNMA II, 3.00%

   $ 34,000      04/21/2050    $ (35,940)      $ (1,333)  

UMBS, 3.00%

     750,000      04/15/2050      (786,240)        (14,092)  

UMBS, 4.50%

     2,300,000      04/15/2050      (2,474,926)        (6,379)  

UMBS, 5.00%

     550,000      04/15/2050      (593,291)        4,232  

UMBS, 5.00%

     550,000      05/13/2050      (592,770)        (5,344)  
        

 

 

    

 

 

 

Total (proceeds receivable $4,460,251)

   $ (4,483,167)      $ (22,916)  
        

 

 

    

 

 

 

At March 31, 2020, the aggregate market value of TBA Sale Commitments represents (1.3)% of total net assets.

 

Centrally Cleared Interest Rate Swap Contracts Outstanding at March 31, 2020  

Payments made by

Fund

  

      Payments

      received by

      Fund

   Notional Amount     

Expiration

Date

    

Periodic

Payment

Frequency

    

Upfront

Premiums

Paid

    

Upfront

Premiums

Received

     Value †     

Unrealized

Appreciation/

(Depreciation)

 

3 Mo. USD LIBOR

   2.95% Fixed    USD     6,201,000        06/18/23        Semi-Annual      $      $      $ (556,681)      $ (556,681)  

3 Mo. USD LIBOR

   3.00% Fixed    USD     4,916,000        04/30/25        Semi-Annual               (35)        (663,868)        (663,833)  

3 Mo. USD LIBOR

   2.79% Fixed    USD     15,286,000        09/30/25        Semi-Annual                      (2,026,804)        (2,026,804)  

3 Mo. USD LIBOR

   2.25% Fixed    USD     4,492,000        03/21/28        Semi-Annual        39,522               (574,597)        (614,119)  

3 Mo. USD LIBOR

   2.83% Fixed    USD     2,082,000        12/21/28        Semi-Annual                      (404,138)        (404,138)  
                

 

 

    

 

 

    

 

 

    

 

 

 

           Total

 

         $   39,522      $ (35)      $ (4,226,088)      $   (4,265,575
                

 

 

    

 

 

    

 

 

    

 

 

 

 

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:

CMO   

Collateralized Mortgage Obligation

DDCA   

Dollars on Deposit in Custody Account

FHLMC   

Federal Home Loan Mortgage Corp.

FNMA   

Federal National Mortgage Association

GNMA   

Government National Mortgage Association

LIBOR   

London Interbank Offered Rate

PT   

Perseroan Terbatas

TBA   

To Be Announced

UMBS   

Uniform Mortgage-Backed Securities


 

  Hartford U.S. Government Securities HLS Fund

 

 

  Schedule of Investments – (continued)

  March 31, 2020 (Unaudited)

 

 

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Fund’s investments.

 

                                                                                                               
Description    Total      Level 1      Level 2      Level 3(1)  

Assets

 

Asset & Commercial Mortgage-Backed Securities

   $ 52,403,007      $      $ 52,403,007      $  

U.S. Government Agencies

     153,665,666               153,665,666         

U.S. Government Securities

     145,529,439               145,529,439         

Short-Term Investments

     34,332,293        34,332,293                

Futures Contracts(2)

     3,046,240        3,046,240                
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 388,976,645      $ 37,378,533      $ 351,598,112      $  
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

 

Futures Contracts(2)

   $ (24,877)      $ (24,877)      $      $  

Swaps - Interest Rate(2)

     (4,265,575)               (4,265,575)         

TBA Sale Commitments

     (4,483,167)               (4,483,167)         
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (8,773,619)      $ (24,877)      $ (8,748,742)      $  
  

 

 

    

 

 

    

 

 

    

 

 

 
(1)

For the period ended March 31, 2020, there were no transfers in and out of Level 3.

(2)

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


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

Notes to the Schedules of Investments

1. Investment Valuation and Fair Value Measurements:

For purposes of calculating the net asset value per share (“NAV”) of each class 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 official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions.

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 the Directors of the Company (the “Board of Directors”) (“Valuation Procedures”). 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 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. 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.

Prices of foreign equities that are principally traded on certain foreign markets will generally be 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. 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.

Fixed income investments (other than short-term obligations) held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. 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 derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange (“Exchange Close”). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures.

Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot 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 Exchange 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, if any, are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Such open-end mutual funds and listed investment companies 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 the Valuation Procedures.

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; senior floating rate interests, which are valued using an aggregate of dealer bids; 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 has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee. 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-advisers, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board of Directors.

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 Annual Report.

2. Securities Lending:

The Company has entered into a securities lending agency agreement (“lending agreement”) with Citibank, N.A. (“Citibank”). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. If a Fund security is on loan, under the lending agreement, the borrower is required to deposit cash or liquid securities as collateral at least equal to 100% of the market value of the loaned securities; cash collateral is invested for the benefit of the Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned.

A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the risk that the principal value of the collateral invested may decline; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; and (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective. These events could also trigger adverse tax consequences for the Fund.

The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers.


The following table presents the market value of the Funds’ securities on loan, net of amounts available for offset under the master netting arrangements and any related collateral received by the Funds as of March 31, 2020.

 

     

Investment Securities on
Loan, at market value(1)

   Collateral Posted
by Borrower(3)
  Net Amount(2)  

Growth Opportunities HLS Fund

   17,043,606    (17,043,606)  

Small Cap Growth HLS Fund

   26,229,145    (26,229,145)  

U.S. Government Securities HLS Fund

   3,445,376    (3,445,376)  
(1)    It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract.
(2)    Net amount represents the net amount receivable due from the counterparty in the event of default.
(3)    Collateral received in excess of the market value of securities on loan is not presented in this table.

The total cash and non-cash collateral received by each Fund in connection with securities lending transactions is

presented below:

 

Fund    Cash
Collateral
     Non-Cash
Collateral

Growth Opportunities HLS Fund

   17,873,767     

Small Cap Growth HLS Fund

   27,698,144     

U.S. Government Securities HLS Fund

   3,522,062     

3. Secured Borrowings:

The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2020.

 

                                                                                                                       

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

 

Remaining Contractual Maturity of the Agreements

Growth Opportunities HLS Fund    Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Securities Lending Transactions(1)

 

Common Stocks

   $ 17,873,767      $      $      $      $ 17,873,767  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Borrowings

   $ 17,873,767      $      $      $      $ 17,873,767  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross amount of recognized liabilities for securities lending transactions

 

   $ 17,873,767  
              

 

 

 
Small Cap Growth HLS Fund    Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Securities Lending Transactions(1)

 

Common Stocks

   $ 27,698,144      $      $      $      $ 27,698,144  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Borrowings

   $ 27,698,144      $      $      $      $ 27,698,144  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross amount of recognized liabilities for securities lending transactions

 

   $ 27,698,144  
              

 

 

 

U.S. Government Securities HLS

 Fund

   Overnight and
Continuous
     <30 days      Between
30 & 90 days
     >90 days      Total  

Securities Lending Transactions(1)

 

U.S. Government Securities

   $ 3,522,062      $      $      $      $ 3,522,062  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Borrowings

   $ 3,522,062      $      $      $      $ 3,522,062  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 


Gross amount of recognized liabilities for securities lending transactions

               $  3,522,062
              

 

 

(1)       Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand.