Prudential Variable Contract Account 11 NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES


Investment Company Act file number:		811-03422

Exact name of registrant as specified in charter:		The Prudential Variable
		Contract Account-11

Address of principal executive offices:		Gateway Center 3,
		100 Mulberry Street,
		Newark, New Jersey 07102

Name and address of agent for service:		Deborah A. Docs
		Gateway Center 3,
		100 Mulberry Street,
		Newark, New Jersey 07102

Registrant’s telephone number, including area code:		973-367-7521

Date of fiscal year end:		12/31/2006

Date of reporting period:		12/31/2006

Item 1 –

Reports to Stockholders

Prudential MEDLEY Program

LOGO

Annual Report to Participants

December 31, 2006

Please note that inside are Prospectus Supplements dated November 16, and December 29, 2006. These documents are separate from and not a part of the annual report.

The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3777

IFS-A114833

LOGO

This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus for The MEDLEY Program. Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report is not authorized for distribution to prospective investors unless preceded or accompanied by the current performance results. The performance results show historical investment performance after the deduction of investment management fees, investment-related expenses, and any product charges, including the maximum possible withdrawal charges.

The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable Contract Account-11 (VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777 and distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, Three Gateway Center, 14th Floor, Newark, NJ 07102-4077. Both are Prudential Financial companies. Each company is solely responsible for its own respective financial conditions and contractual obligations. Prudential Financial and the Rock logo are service marks of The Prudential Insurance Company of America, Newark, NJ, and its affiliates.

This report includes the financial statements of the VCA-10, Capital Growth Account; VCA-11, Money Market Account; and The Prudential Series Fund (the “Funds”).

This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements as of December 31, 2006, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call (888) 778-2888 to obtain a description of the Funds’ proxy voting policies and procedures. The description is also available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Commission at www.sec.gov and on the Funds’ website.

The Funds Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (888) 778-2888.

Each Fund files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call 1-800-732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling (888) 778-2888.

GLOSSARY OF BENCHMARK DEFINITIONS

Conservative Balanced Custom Blended Index consists of a blend of the S&P 500 Index (50%), the Lehman Brothers Aggregate Bond Index (40%), and the 3-Month T-Bill (10%).

Flexible Managed Custom Blended Index consists of a blend of the S&P 500 Index (60%), the Lehman Brothers Aggregate Bond Index (35%), and the 3-Month T-Bill (5%).

Lehman Brothers U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds.

Lehman Brothers U.S. Corporate High Yield Index is an unmanaged index of fixed-rate, non-investment-grade debt securities with at least one year remaining to maturity. It gives a broad look at how high yield (“junk”) bonds have performed.

Lehman Brothers U.S. Corporate High Yield 2% Issuer Capped index covers the universe of U.S. dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 2% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.

Lehman Brothers Government Bond Index is an unmanaged index comprised of securities issued or backed by the U.S. government, its agencies, and instrumentalities with a remaining maturity of 1 to 30 years.

The Lipper Variable Insurance Products (VIP) Funds Averages are calculated by Lipper Analytical Services, Inc., and reflect the investment return of certain portfolios underlying variable life and annuity products. These returns are net of investment fees and fund expenses, but not product charges.


General U.S. Government Funds Average	Large-Cap Growth Funds Average	Small-Cap Core Funds Average
Global Growth Funds Average	Large-Cap Value Funds Average
High Current Yield Funds Average	Money Market Funds Average
International Growth Funds Average	Multi-Cap Value Funds Average
Mixed Asset Allocation. Growth Fds Average	Natural Resources Funds Average
Mixed Asset Allocation. Moderate Fds Average	S&P 500 Index Funds Average

Morgan Stanley Capital International Europe, Australasia, and the Far East (MSCI EAFE) Index (GD & ND) – The Morgan Stanley Capital International Europe, Australasia, Far East Index is an unmanaged capitalization-weighted index generally accepted as a benchmark for major overseas markets. The ND and GD versions of the MSCI EAFE differ in that ND returns reflect the impact of the maximum withholding taxes on reinvested dividends while the GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses.

Morgan Stanley Capital International (MSCI) World Index (GD & ND) – The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom and United States. The ND and GD versions of the MSCI World Index differ in that ND returns reflect the impact of the maximum withholding taxes on reinvested dividends while the GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses.

Russell 1000 Growth Index is a market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 1000 Index is a market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market.

Russell 1000 Value Index is a market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 3000 Index is a market cap-weighted index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.

S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market.

S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks.

This page may include certain benchmarks not applicable to the portfolios available in this particular report. Investors cannot invest directly in a market index or average.

The Prudential MEDLEY Program

Annual Report

December 31, 2006

Table of Contents

Letter

to Participants

VCA-10 CAPITAL GROWTH ACCOUNT

Financial Statements

VCA-11 MONEY MARKET ACCOUNT

Financial Statements

VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Stock Index Portfolio

This

report may include financial information pertaining to certain portfolios that are not available in the Program available to you. Please refer to your Program documents or contact your Program sponsor to determine which portfolios are available to you.

The Prudential MEDLEY Program

Letter to Participants

December 31, 2006

DEAR PARTICIPANTS:

At Prudential, we are committed to helping you achieve and sustain financial success. We hope that you find the annual report for the Prudential MEDLEY program to be an informative and valuable resource.

Each year, we remind our clients about the benefits of diversification within their portfolios. A diversified portfolio helps you manage downside risk by not being overly invested in any particular asset class, and it helps better position your investments as asset classes rotate in and out of favor. Not only is diversification the best way to balance risk and return, but it can also help align your long-term goals with your risk tolerance. The result is a portfolio that may help you weather market fluctuations and more closely meet your long-term needs.

Contact your financial professional to take the first step in creating a diversified investment plan. Together you should review your reasons for investing, personal investment horizon and risk tolerance to develop a strategy that works best for you. A carefully chosen and broad mix of assets — reviewed periodically over time — can help you stay focused on meeting your long-term objectives.

Thank you for selecting our financial products. At Prudential, your financial security is our priority and we value the opportunity to help you grow and protect your wealth.

Sincerely,

LOGO

David R. Odenath, Jr.

President

The Prudential Series Fund

Judy A. Rice,

President

Variable Contract Accounts 10 & 11

January 31, 2007

Presentation of Portfolio Holdings for the Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24) as of December 31, 2006 (Unaudited)

Conservative Balanced

Diversified Bond

Equity

Five Largest Equity Holdings (% of Net Assets)

Five Largest Issues (% of Net Assets)

Five Largest Holdings (% of Net Assets)

Exxon Mobil Corp.

1.8%

Federal National Mortgage Association,

Microsoft Corp.

2.6%

General Electric Co.

1.5%

5.50%, 1/01/33

4.9%

General Electric Co.

2.3%

Citigroup, Inc.

1.1%

Federal National Mortgage Association,

QUALCOMM, Inc.

2.1%

Microsoft Corp.

1.0%

5.00%, 3/01/34

2.5%

Motorola, Inc.

2.0%

Bank of America Corp.

1.0%

Trains HY-1 2006,

Cisco Systems, Inc.

1.9%

7.548%, 5/01/16

1.6%

Government of Hungary,

8.00%, 2/12/15

1.4%

Federal National Mortgage Association,

5.00%, 1/01/20

1.3%

Flexible Managed

Global

Government Income

Five Largest Equity Holdings (% of Net Assets)

Five Largest Holdings (% of Net Assets)

Five Largest Issues (% of Net Assets)

Exxon Mobil Corp.

1.8%

UnitedHealth Group, Inc.

1.4%

Federal National Mortgage Association,

General Electric Co.

1.5%

Comcast Corp. (Class A Stock)

1.3%

4.875%, 4/10/08

8.0%

Citigroup, Inc.

1.2%

Goldman Sachs Group, Inc.

1.3%

Federal National Mortgage Association,

HBOS PLC

1.1%

5.30%, 2/22/11

4.6%

5.50%, TBA

1.2%

Genentech, Inc.

1.0%

Federal National Mortgage Association,

International Business Machines Corp.

1.1%

5.00%, TBA

2.9%

Tennessee Valley Authority, Series B, 4.375%, 6/15/15

2.7%

United States Treasury Inflation Indexed Notes, 3.875%, 1/15/09

2.4%


Stock Index		VCA-10
Five Largest Holdings (% of Net Assets)		Five Largest Issues (% of Net Assets)
Exxon Mobil Corp.	3.5%	American International Group	2.8%
General Electric Co.	3.0%	Honeywell International, Inc.	2.4%
Citigroup, Inc.	2.1%	General Electric Company	2.3%
Microsoft Corp.	2.0%	Loews Corp.	2.2%
Bank of America Corp.	1.9%	Suncor Energy, Inc.	2.1%

For a complete listing of holdings, refer to the Schedule of Investments section of this report.

Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

The Prudential MEDLEY Program — VCA-10 Capital Growth Account

Subadvised by: Jennison Associates LLC

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year
Capital Growth Acct. (VCA-10)¹	14.56	%	9.36	%	6.82	%
S&P 500 Index²	15.78		6.18		8.42

Capital Growth Account inception: 5/13/1983.

$10,000 INVESTED OVER 10 YEARS

LOGO

Past performance does not guarantee future returns. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception.

For the year ended December 31, 2006, the VCA-10 Account had a total return of 14.56%, compared with 15.78% for the unmanaged S&P 500 Index.

The year saw the beginnings of a significant downturn in U.S. housing construction and home prices for the first time this decade. Although this weighed on consumer sentiment, a strong employment market and the first signs of real wage gains in recent years fostered a generally positive mood. Low interest rates also encouraged consumers to continue to spend, albeit less than they had in past years, as seen in lower domestic auto sales. Corporate profits had their fifth consecutive year of double-digit gains, driving free cash flow, strong balance sheets, more share buybacks, dividend increases, and merger and acquisition activity. Just when it appeared that the post-2000 corporate scandals were fading, questions about pricing and dating stock options touched many companies. However, the market’s resilience in the face of almost daily allegations suggested that most of these scandals might prove less than fatal. Inflation measures moderated as the year progressed and were sufficiently benign that the Federal Reserve stopped its two-year run of steady hikes in the overnight bank lending rate.

The Account’s positions in the financials, materials, energy, consumer discretionary, consumer staples, and utilities sectors beat the corresponding sectors of the S&P 500 Index. A position in mining company Phelps Dodge led the Account’s returns, benefiting from an imbalance between supply and demand for copper as well as from the announcement by Freeport-McMoRan Copper & Gold that it intends to buy Phelps Dodge for $25.7 billion in cash and stock to create the world's second largest copper producer. Energy positions Schlumberger, Suncor Energy, Weatherford International, and Occidental Petroleum benefited from supply/demand imbalances for oil. Comcast (media), Loews (insurance), Agrium (chemicals), NYSE Group (diversified financial services) and Liberty Global (media) also made notable gains.

Healthcare was the only sector with a negative return, pulled down by double-digit declines in St. Jude Medical, Amgen, WellPoint, and Genentech. The Account’s holdings in the information technology and telecommunication services sectors trailed the corresponding sectors of the benchmark, with disappointing performance from Yahoo!, Broadcom, Corning, and CA. Yahoo! tumbled after delaying the launch of its new advertising technology until the fourth quarter of 2006 rather than in the third quarter as previously planned. The new platform is seen as a way to improve the profitability of the ads adjacent to Yahoo’s Internet search results. We sold the Fund’s Yahoo! shares in October.

A benign inflation environment and the Fed’s seeming conviction that interest rates are now at an appropriate level should make investors more willing to pay for earnings growth that is both above-average and longer-lasting. Companies with this profile are well represented in our portfolio. Even if investors are not willing to pay higher multiples of these companies’ earnings, their above-average earnings growth should be rewarded. On the value side, we continue to look for attractively valued stocks with strong free cash flow and steadily rising earnings that have lower risk of margin compression. Over the past several months, we have found many companies possessing what we believe to be strong and steady free cash flow across a variety of industries.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Account.

^1.

The Account performance results are after the deduction of all expenses and contract charges, including investment management and administrative fees but not including the effect of any sales charges. All total returns are for the periods indicated and are calculated based on changes in unit values.

^2.	The S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. Investors cannot invest directly in an index.

For a complete list of holdings please see the Statement of Net Assets sections of this report.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2006


LONG-TERM INVESTMENTS — 99.9%
COMMON STOCKS	Shares	Value (Note 2)
Aerospace/Defense — 2.4%
Honeywell International, Inc.	155,500	$	7,034,820

Biotechnology — 1.4%
Gilead Sciences, Inc. (a)	63,100		4,097,083

Capital Markets — 6.9%
Bank of New York (The)	142,000		5,590,540
Charles Schwab Corp.	180,200		3,485,068
Merrill Lynch & Co.	54,700		5,092,570
UBS AG	97,900		5,906,307

			20,074,485

Chemicals — 3.6%
Agrium, Inc.	160,600		5,057,294
Dupont EI. de Nemours	113,400		5,523,714

			10,581,008

Commercial Services & Supplies — 1.8%
Waste Management, Inc.	145,000		5,331,650

Communications Equipment — 5.9%
Avaya, Inc. (a)	343,900		4,807,722
Corning, Inc. (a)	144,200		2,697,982
Motorola, Inc.	208,400		4,284,704
QualComm, Inc.	139,300		5,264,147

			17,054,555

Computers & Peripherals — 2.8%
Apple Computer, Inc. (a)	58,600		4,971,624
International Business Machine Corp.	31,300		3,040,795

			8,012,419

Consumer Finance — 1.1%
American Express Co.	50,700		3,075,969

Diversified Consumer Services — 3.1%
Career Education Corp. (a)	129,900		3,218,922
H&R Block, Inc.	253,300		5,836,032

			9,054,954

Diversified Financial Services — 4.8%
Citigroup, Inc.	92,100		5,129,970
JPMorgan Chase & Co.	95,636		4,619,219
NYSE Group, Inc. (a)	43,300		4,208,760

			13,957,949

Electronic Equipment & Instruments — 1.0%
Agilent Technologies, Inc. (a)	86,200		3,004,070

Energy Equipment & Services — 2.8%
Baker Hughes, Inc.	48,200		3,598,612
Halliburton Co.	134,300		4,170,015

			7,768,627

Food & Staples Retailing — 2.8%
Kroger Co. (The)	190,900		4,404,063
Wal-Mart Stores, Inc.	83,400		3,851,412

			8,255,475


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Food Products — 3.6%
Cadbury Schweppes Spons. ADR (United Kingdom)	120,500	$	5,173,065
ConAgra Foods, Inc.	192,500		5,197,500

			10,370,565

Health Care Equipment & Supplies — 2.4%
Boston Scientific Corp. (a)	176,600		3,033,988
St. Jude Medical, Inc. (a)	106,000		3,875,360

			6,909,348

Health Care Providers & Services — 1.6%
Omnicare, Inc.	120,100		4,639,463

Household Products — 1.2%
Kimberly-Clark Corp.	51,800		3,519,810

Independent Power Producers & Energy Traders — 1.7%
Dynergy, Inc. Cl. A (a)	12,314		89,153
NRG Energy, Inc. (a)	84,500		4,732,845

			4,821,998

Industrial Conglomerates — 2.3%
General Electric Company	181,000		6,735,010

Insurance — 5.0%
American International Group	114,100		8,176,406
Loews Corp.	151,000		6,261,970

			14,438,376

Internet Software & Services — 1.5%
Google, Inc. Cl. A (a)	9,300		4,282,464

Media — 4.5%
Comcast Corp. Cl. A (a)	90,600		3,835,098
Liberty Global, Inc. Ser. C (a)	170,005		4,760,140
News Corp. Inc. Cl. A	214,900		4,616,052

			13,211,290

Metals & Mining — 3.6%
Freeport-McMoRan Cooper & Gold, Inc. Cl. B	53,900		3,003,847
Lihir Gold Limited ADR (Papua New Guinea) (a)	156,400		3,859,952
Phelps Dodge Corp.	29,800		3,567,656

			10,431,455

Multiline Retail — 1.1%
Federated Department Stores, Inc.	83,400		3,180,042

Multi-Utilities — 1.5%
Sempra Energy	77,400		4,337,496

Office Electronics — 2.0%
Xerox Corp. (a)	340,400		5,769,780

Oil, Gas & Consumable Fuels — 9.4%
Anadarko Petroleum Corp.	77,800		3,385,856
Hess Corp.	87,900		4,357,203
Nexen, Inc.	81,400		4,477,000
Occidental Petroleum Corp.	111,500		5,444,545

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
COMMON STOCKS (Continued)	Shares	Value (Note 2)
Oil, Gas & Consumable Fuels (cont’d)
Petroleo Brasileiro SA ADR (Brazil)	33,100	$	3,408,969
Suncor Energy, Inc.	79,000		6,233,890

			27,307,463

Pharmaceuticals — 4.5%
Abbott Laboratories	58,900		2,869,019
Novartis AG ADR (Switzerland)	88,000		5,054,720
Roche Holdings Ltd. ADR (Switzerland)	57,200		5,119,274

			13,043,013

Semiconductors & Semiconductor Equipment — 2.8%
Broadcom Corp. Cl. A (a)	101,300		3,273,003
Marvell Technology Group Ltd. (a)	256,500		4,922,235

			8,195,238

Software — 5.2%
Adobe Systems Incorporated (a)	150,000		6,168,000
CA, Inc.	573		12,978
Electronic Arts, Inc. (a)	50,400		2,538,144
Microsoft Corp.	119,300		3,562,298
Symantec Corp. (a)	136,600		2,848,110

			15,129,530

Textiles, Apparel & Luxury Goods — 1.4%
Nike, Inc. Cl. B	42,000		4,159,261

Tobacco — 1.6%
Altria Group, Inc.	55,800		4,788,756

Wireless Telecommunication Services — 2.6%
NII Holdings, Inc. (a)	61,400		3,956,616
Sprint Nextel Corp.	195,164		3,686,648

			7,643,264

TOTAL LONG-TERM INVESTMENTS (Cost $222,888,713)		$	290,216,686


SHORT-TERM INVESTMENTS — 0.1%
	Shares	Value (Note 2)
	Shares	Value (Note 2)
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund- Taxable Money Market Series (b) (Cost $300,430)	300,430	$	300,430

TOTAL INVESTMENTS — 100.0% (Cost: $223,189,143)		$	290,517,116

OTHER ASSETS, LESS LIABILITIES
Cash			47,485
Dividends Receivable			373,824
Payable for Pending Capital Transactions			(60,733	)
Payable for Securities Purchased			(234,885	)

OTHER ASSETS IN EXCESS OF LIABILITIES			125,691

NET ASSETS — 100%		$	290,642,807

NET ASSETS, representing:
Equity of Participants — 27,920,931 Accumulation Units at an Accumulation Unit Value of $10.3312			288,457,425
Equity of The Prudential Insurance Company of America			2,185,382

		$	290,642,807

(a)	Non-income producing security.

(b)	The Prudential Investments LLC, the manager of the Account also serves as manager of the Dryden Core Investment Fund-Taxable Money Market Series.

ADR—American Depository Receipt

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2006

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2006 were as follows:


Oil, Gas & Consumable Fuels	9.4	%
Capital Markets	6.9
Communications Equipment	5.9
Software	5.2
Insurance	5.0
Diversified Financial Services	4.8
Media	4.5
Pharmaceuticals	4.5
Chemicals	3.6
Food Products	3.6
Metals & Mining	3.6
Diversified Consumer Services	3.1
Computers and Peripherals	2.8
Energy Equipment and Services	2.8
Food & Staples Retailing	2.8
Semiconductors & Semiconductor Equipment	2.8
Wireless Telecommunication Services	2.6
Aerospace/Defense	2.4
Health Care Equipment & Supplies	2.4
Industrial Conglomerates	2.3
Office Electronics	2.0
Commercial Services & Supplies	1.8
Independent Power Producers & Energy Traders	1.7
Health Care Providers & Services	1.6
Tobacco	1.6
Internet Software & Services	1.5
Multi-Utilities	1.5
Biotechnology	1.4
Textiles, Apparel & Luxury Goods	1.4
Household Products	1.2
Consumer Finance	1.1
Multiline Retail	1.1
Electronic Equipments & Instruments	1.0
Affiliated Money Market Mutual Fund	0.1

	100.0
Other Assets in Excess of Liabilities	0.0

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF OPERATIONS*

Year Ended December 31, 2006


INVESTMENT INCOME
Unaffiliated Dividend Income (net of $75,262 foreign withholding tax)	$	4,609,094
Affiliated Dividend Income		105,363
Total Income		4,714,457
EXPENSES
Fees Charged to Participants for Investment Management Services		(729,038	)
Fees Charged to Participants for Administrative Expenses		(2,172,912	)
Total Expenses .		(2,901,950	)
NET INVESTMENT INCOME		1,812,507
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain on Investment Transactions		51,909,218
Net Change in Unrealized Appreciation on Investments		(14,156,960	)
NET GAIN ON INVESTMENTS		37,752,258
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	39,564,765


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2006			2005
OPERATIONS
Net Investment Income	$	1,812,507		$	903,369
Net Realized Gain on Investment Transactions		51,909,218			29,752,393
Net Change In Unrealized Appreciation on Investments		(14,156,960	)		20,215,553
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		39,564,765			50,871,315
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		14,307,187			13,725,946
Withdrawals and Transfers Out		(63,679,961	)		(38,414,300	)
Annual Account Charges Deducted from Participants’ Accounts		(43,964	)		(49,168	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(49,416,738	)		(24,737,522	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(1,290	)		(14,510	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(9,853,263	)		26,119,283
NET ASSETS
Beginning of year		300,496,070			274,376,787
End of year	$	290,642,807		$	300,496,070

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10


		INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)


	Year Ended December 31,
	2006			2005			2004			2003			2002
Investment Income	$	.1539		$	.1061		$	.1198		$	.0827		$	.0760
Expenses
Investment management fee		(.0237	)		(.0193	)		(.0170	)		(.0142	)		(.0143	)
Administrative expenses		(.0710	)		(.0600	)		(.0522	)		(.0424	)		(.0429	)
Net Investment Income		.0592			.0268			.0506			.0261			.0188
Capital Changes
Net realized gain (loss) on investment transactions		1.6855			.8647			.4174			(.0999	)		(.6619	)
Net change in unrealized appreciation (depreciation) on investments		(.4319	)		.6037			.1877			1.8517			(.8691	)
Net Increase (Decrease) in Accumulation Unit Value		1.3128			1.4952			.6557			1.7779			(1.5122	)
Accumulation Unit Value
Beginning of year		9.0184			7.5232			6.8675			5.0896			6.6018
End of year	$	10.3312		$	9.0184		$	7.5232		$	6.8675		$	5.0896
Total Return**		14.56	%		19.87	%		9.55	%		34.93	%		(22.91	)%
Ratio of Expenses To Average Net Assets***		1.00	%		1.00	%		1.00	%		1.00	%		1.00	%
Ratio of Net Investment Income To Average Net Assets***		.62	%		.32	%		.72	%		.45	%		.33	%
Portfolio Turnover Rate		60	%		51	%		62	%		63	%		70	%
Number of Accumulation Units Outstanding
For Participants at end of year (000’s omitted)		27,921			33,107			36,252			39,109			41,632

Calculated by accumulating the actual per unit amounts daily.

Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported.

***

These calculations exclude PICA’s equity in VCA-10.

The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-10

Note 1:

General

The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940, as amended. VCA-10 has been designed for use by employers (“Contract-holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital. The Account’s investments are composed primarily of common stocks. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.

Note 2:

Summary of Significant Accounting Policies

Securities Valuation: Securities listed on a securities exchange are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and ask prices, or at the last bid price on such day in the absence of an asked price. Securities traded via Nasdaq are valued at the official closing price provided by Nasdaq. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by Prudential Investments LLC (“PI” or “Manager”), in consultation with the subadviser(s), to be over-the-counter, are valued by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the mean between the most recently quoted bid and asked prices on such exchange. Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Securities for which market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Fund’s normal pricing time, are valued at fair value in accordance with the Accounts’ Committee Members approved fair valuation procedures. When determining the fair valuation of securities some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Investments in mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.

Short-term investments which mature in more than 60 days are valued based on current market quotations. Short-term investments having maturities of 60 days or less are valued at amortized cost which approximates market value. Amortized cost is computed using the cost on the date of purchase, adjusted for constant accretion of discount or amortization of premium to maturity.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized and unrealized gains or losses on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Net investment income and realized and unrealized gain or losses (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.

Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Federal Income Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income

taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.

Note 3:

Investment Management Agreement and Charges

The Account has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PI pays for the services of Jennison.

A daily charge, at an effective annual rate of up to 1.00% of the current value of the Participant’s equity in VCA-10, is charged to the Account. Up to three quarters of the charge (0.75%) paid to PICA, is for administrative expenses not provided by the annual account charge, and one quarter (0.25%), paid to PI, is for investment management services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.

PICA, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the end of the fiscal year by canceling Units.

A deferred sales charge is imposed upon that portion of certain withdrawals which represents a return of contributions. The charge is designed to compensate PICA for sales and other marketing expenses. The maximum deferred sales charge is 7% on contributions withdrawn from an account during the first year of participation. After the first year of participation, the maximum deferred sales charge declines by 1% in each subsequent year until it reaches 0% after seven years. No deferred sales charge is imposed upon contributions withdrawn for any reason after seven years. For the years ended December 31, 2006 and December 31, 2005, PICA has advised the Account that it has received deferred sales charges of $2,219 and $5,235 respectively, imposed upon certain withdrawals from the Account.

Note 4:

Purchases and Sales of Portfolio Securities

For the year ended December 31, 2006, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $186,942,433 and $174,100,439, respectively.

Investment in the Core Fund: The Account invests in the Taxable Money Market Series (the “Series”), a portfolio of Dryden Core Investment Fund, pursuant to an exemptive order received from the Securities and Exchange Commission. The Series is a money market mutual fund registered under the Investment Company Act of 1940, as amended, and managed by PI. During the year ended December 31, 2006, the Account earned $105,363, by investing its excess cash in the Series.

Note 5:

Unit Transactions

The number of Accumulation Units issued and redeemed for the years ended December 31, 2006 and December 31, 2005, respectively, are as follows:


	Year Ended December 31,
	2006	2005
Units issued	1,502,061	1,680,744
Units redeemed	(6,688,165)	(4,826,080)
Net decrease	(5,186,104)	(3,145,336)

Note 6:

Net Increase (Decrease) In Net Assets Resulting from Surplus Transfers

The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.

Note 7:

Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Therefore, no deferred sales charge is imposed upon them. The principal portion of any loan repayment, however, will be treated as a contribution to the receiving Account for purposes of calculating any deferred sales charge imposed upon any subsequent withdrawal. If the Participant defaults on the loan, for example by failing to make required payments, the outstanding balance of the loan will be treated as a withdrawal for purposes of the deferred sales charge. The deferred sales charge will be withdrawn from the same Accumulation Accounts, and in the same proportions, as the loan amount was withdrawn. If sufficient funds do not remain in those Accumulation Accounts, the deferred sales charge will be withdrawn from the Participant’s other Accumulation Accounts as well.

Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed. No deferred sales charge is imposed upon withdrawals of any amount in excess of contributions.

For the year ended December 31, 2006, $536,915 in participant loans were withdrawn from VCA-10 and $402,543 of principal and interest was repaid to VCA-10. For the year ended December 31, 2005, $730,928 in participant loans were withdrawn from VCA-10 and $403,910 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the year ended December 31, 2006, PICA has advised the Account that it received $4,986 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

Note 8:

New Accounting Pronouncements

On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. The impact of the tax positions not deemed to meet the more-likely-than-not threshold would be recorded in the year in which they arise. On December 22, 2006 the Securities and Exchange Commission delayed the effective date until June 30, 2007. At this time, management is evaluating the implications of FIN 48 and its impact, if any, in the financial statements has not yet been determined.

On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (FAS 157). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact, if any, in the financial statements has not yet been determined.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To The Committee And Participants Of

The Prudential Variable Contract Account-10:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (the “Account”), as of December 31, 2006, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented prior to the year ended December 31, 2004 were audited by another independent registered public accounting firm, whose report dated February 24, 2004, expressed an unqualified opinion thereon.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2006, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 28, 2007

The Prudential MEDLEY Program — VCA-11 Money Market Account

Subadvised by: Prudential Investment Management

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages

7-Day
Current
Net Yield

1-Year

5-Year

10-Year

VCA-11 Money Market Acct.¹

4.39

4.15

1.62

3.11

Citigroup 3-mos T-Bill Index²

N/A

4.76

2.35

3.67

Portfolio inception: 5/13/1983.

MONEY MARKET ACCOUNT

ONE-YEAR TOTAL RETURN FOR THE

PAST 10 YEARS

LOGO

Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation.

For the year ended December 31, 2006, the VCA-11 Money Market Account’s 7-day current net yield was 4.39%. The Account returned 4.15% in 2006, while the Citigroup Three-Month Treasury Bill Index returned 4.76%.

Among the most influential developments in the money markets during 2006 was the decision by the Federal Reserve (the Fed) to leave short-term interest rates unchanged in the second half of the year after repeatedly increasing them in the first half. In this changing investment environment, the Account provided a competitive yield and ample liquidity to help shareholders meet their financial needs

Fed policymakers, hoping to slow economic growth and bring down inflation, increased the target for the federal funds rate on overnight loans between banks 17 times from June 2004 to June 2006, raising the rate from 1.00% to 5.25%. The last four rate hikes occurred in the first half of 2006. During these months, the timing of their regularly scheduled meetings, which occur roughly every six weeks, remained a focal point of the Account’s investment strategy. The Account purchased short-term debt securities that matured around the time of the next meeting and reinvested their proceeds in higher yielding money market securities that became available after the Fed tightened monetary policy.

Economic growth began to slow in the spring of 2006, particularly as higher interest rates began to take a toll on the housing sector. The economy continued to lose steam in the second half of the year, allowing the Fed to leave short-term rates unchanged from July through December. Even though the Fed continued to express concern about inflation in the second half of the year (core inflation remained above the Fed’s unofficial target of 2%), many market participants expected it to cut short-term rates in 2007 to reinvigorate the economy. Under these conditions, longer-term money market yields declined to unattractive levels, and the Account found value in the one- to- three-month sector of the yield curve.

Throughout 2006, the Account maintained a large exposure to adjustable-rate money market securities that reset periodically based on formulas tied to either the one- or three-month London interbank offered rates (LIBOR). Such securities were in great demand because their interest rates reset to higher levels as short-term rates rose. After the Fed stopped tightening monetary policy and because many market participants expected the Fed to cut rates in 2007, three-month LIBOR was often the highest yielding sector of the money market yield curve. Therefore, adjustable-rate securities based on three-month LIBOR remained a very attractive investment opportunity.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Account.

^1.

^2.

The Citigroup 3-Month Treasury Bill Index is an index whereby equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over and reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value.

For current yields on the Money Market Account, please call (800) 458-6333. An investment in the Account is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money by investing in the Account.

For a complete list of holdings, refer to the Statement of Net Assets section of this report.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

As of December 31, 2006


SHORT-TERM INVESTMENTS — 99.7%	Principal Amount (000)	Value (Note 2)
SHORT-TERM INVESTMENTS — 99.7%	Principal Amount (000)	Value (Note 2)
Certificates of Deposit — 11.9%
Bank Of America NA 5.31%, 8/23/2007	1,000	$	1,000,000
Banco Bilbao NY 5.31%, 6/20/2007	1,995		1,994,575
Rabobank Nederland NV 5.04%, 1/12/2007	1,000		999,936
Uncredito Italiano NY 5.33%, 4/2/2007	945		944,857
Washington Mutual Bank Funding Agreement 5.32%, 1/25/2007	2,000		1,999,956

			6,939,324

Commercial Paper(a) — 51.8%
AB Spin tab Swedmortgage 5.30%, 2/28/2007	900		892,050
Amsterdam Funding Corp., 144A 5.26%, 2/1/2007	1,000		995,179
Bank Of America Corp. 5.20%, 3/22/2007	2,000		1,976,600
Bryant Park Fund., 144A
5.245%, 2/26/2007	801		794,231
5.26%, 3/26/2007	2,000		1,974,869
Cafco, LLC, 144A 5.25%, 2/27/2007	992		983,465
Countrywide Financial Corp. 5.42%, 1/3/2007	1,360		1,359,181
Citigroup Funding, Inc. 5.26%, 2/13/2007	2,632		2,614,695
Daimler Chrysler Revolving Auto 5.29%, 2/12/2007	2,655		2,637,834
DNB NOR Bank ASA 5.22%, 3/21/2007	1,000		988,400
Edison Asset Securitization, LLC, 144A 5.21%, 3/28/2007	3,000		2,961,793
Falcon Asset Securities Corp., 144A 5.26%, 3/1/2007	1,390		1,377,611
Hewlett-Packard Co., 144A 5.31%, 2/9/2007	792		787,210
Ixis, CP., 144A 5.23%, 3/26/2007	2,000		1,975,594
Nestle Capital Corp., 144A 5.175%, 8/10/2007	1,000		968,088
Old Line Funding Corp., 144A 5.29%, 1/26/2007	1,500		1,494,049
Prudential PLC, 144A 5.275%, 3/22/2007	800		790,388
San Paolo US 5.35%, 1/23/2007	1,000		996,433
Stadshypotek Delaware, 144A 5.25%, 2/20/2007	900		893,176
Toyota Motor Credit Corp. 5.12%, 3/1/2007	1,000		991,466
Tulip Funding Corp., 144A 5.33%, 1/22/2007	1,647		1,641,635

			30,093,947


SHORT-TERM INVESTMENTS (Continued)	Principal Amount (000)	Value (Note 2)
SHORT-TERM INVESTMENTS (Continued)	Principal Amount (000)	Value (Note 2)
Other Corporate Obligations — 32.7%
American Express Credit Corp., MTN 5.45%, 1/4/2008(b)	1,000		1,000,000
Branch Banking & Trust., MTN 5.44%, 6/3/2007	2,000		2,000,665
Caja Madrid 5.369%, 10/19/2007	1,000		1,000,000
General Electric Cap Corp. 5.475%, 7/9/2007(b)	1,500		1,500,235
Genworth Life Insurance Co. 5.43%, 1/24/2008(b)(c)	1,000		1,000,000
(cost: $1,000,000, purchase date: 12/26/2006)
HSBC Finance Corp., MTN 5.15%, 4/15/2007	1,000		999,611
Irish Life & Permanent PLC,MTN, 144A 5.39%, 1/22/2008	2,000		1,999,875
Merrill Lynch & Co., MTN
5.60%, 7/11/2007(b)	1,000		1,000,000
5.36%, 1/15/2008(b)	500		500,000
MetLife Insurance Co., 5.409%, 10/1/2007(b)(c)	1,000		1,000,000
(cost: $1,000,000, purchase date: 2/1/2006)
Morgan Stanley, MTN 5.37%, 1/3/2008(b)	2,000		2,000,000
Paccar Financial Corp., MTN 5.35%, 1/11/2008(b)	1,000		1,000,000
Pacific Life Insurance Co. 5.48%, 7/13/2007(b)(c)	1,000		1,000,000
(cost: $1,000,000, purchase date: 6/15/2006)
Royal Bank of Canada, MTN 5.40%, 1/7/2008(b)	1,000		1,000,000
Skandinaviska Enskilda Banken AB, 144A 5.35%, 1/16/2008(b)	2,000		2,000,000

			19,000,386

U.S. Government Agencies — 3.3%
Federal Home Loan Bank
5.555%, 8/15/2007	1,000		1,000,000
5.32%, 10/9/2007	945		944,654

			1,944,654

TOTAL INVESTMENTS — 99.7% (Cost: $57,807,182)			57,978,311

OTHER ASSETS, LESS LIABILITIES — 0.3%
Cash			606
Interest Receivable			178,066
Payable for Pending Capital Transactions			(26,203	)

OTHER ASSETS IN EXCESS OF LIABILITIES			152,469

NET ASSETS — 100%		$	58,130,780

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

As of December 31, 2006


	Value (Note 2)
	Value (Note 2)
Net Assets, representing:
Equity of Participants — 18,182,697 Accumulation Units at an Accumulation Unit Value of $3.1519	$	57,310,109
Equity of The Prudential Insurance Company of America		820,671

	$	58,130,780

144A	Security was purchased pursuant to Rule 144A under the Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be illiquid.

MTN	— Medium Term Note

PLC	— Private Placement

(a)	Percentage quoted represents yield-to-maturity as of the purchase date.

(b)	Variable rate instrument. The maturity date presented for these instruments is the next date on which the rate of interest is adjusted. The interest rate given is as of December 31, 2006.

(c)	Indicates a security that has been deemed illiquid. The aggregate cost of the illiquid securities is $3,000,000. The aggregate value of $3,000,000 represents 5.2% of net assets.

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2006 were as follows:


Foreign Banks	25.9	%
Asset Backed Securities	25.5
Bank Holding Companies	7.9
Life Insurance	6.6
Security Brokers and Dealers	6.0
National Commercial Banks	5.2
Short Term Business Credit	4.2
Federal Savings Institutions	3.5
Federally Sponsored Credit	3.4
Mortgage Bankers	3.4
Personal Credit Institutions	3.4
Financial Services	1.7
Motor Vehicle Parts & Accessories	1.7
Office Machines	1.3

	99.7
Other assets in excess of liabilities	0.3

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF OPERATIONS*

Year Ended December 31, 2006


INVESTMENT INCOME
Unaffiliated Interest Income	$	3,088,561
Total		3,088,561
EXPENSES
Fees Charged to Participants for Investment Management Services		(149,710	)
Fees Charged to Participants for Administrative Expenses		(450,847	)
Total Expenses		(600,557	)
NET INVESTMENT INCOME		2,488,004
Realized Loss on Investment Transactions		(101	)
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	2,487,903


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2006			2005
OPERATIONS
Net Investment Income	$	2,488,004		$	1,584,772
Net Realized Loss on Investment Transactions		(101	)		—
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		2,487,903			1,584,772
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		13,559,046			13,683,594
Withdrawals and Transfers Out		(21,683,680	)		(24,049,386	)
Annual Account Charges Deducted from Participants’ Accounts		(34,215	)		(37,045	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(8,158,849	)		(10,402,837	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		32,050			(147	)
TOTAL DECREASE IN NET ASSETS		(5,638,896	)		(8,818,212	)
NET ASSETS
Beginning of year		63,769,676			72,587,888
End of year	$	58,130,780		$	63,769,676

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11


		INCOME PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)


	Year Ended December 31,
	2006			2005			2004			2003			2002
Investment Income	$	.1561		$	.0985		$	.0431		$	.0374		$	.0566
Expenses
Investment management fee		(.0077	)		(.0071	)		(.0072	)		(.0073	)		(.0072	)
Administrative expenses		(.0228	)		(.0223	)		(.0221	)		(.0220	)		(.0218	)
Net Increase in Accumulation Unit Value		.1256			.0691			.0138			.0081			.0276
Accumulation Unit Value
Beginning of year		3.0263			2.9572			2.9434			2.9353			2.9077
End of year	$	3.1519		$	3.0263		$	2.9572		$	2.9434		$	2.9353
Total Return**		4.15	%		2.33	%		0.47	%		0.28	%		0.95	%
Ratio Of Expenses To Average Net Assets***		1.00	%		1.00	%		1.00	%		1.00	%		1.00	%
Ratio Of Net Investment Income To Average Net Assets***		4.06	%		2.30	%		0.46	%		0.28	%		0.94	%
Number of Accumulation Units Outstanding
For Participants at end of year (000’s omitted)		18,183			20,822			24,298			26,594			30,128

Calculated by accumulating the actual per unit amounts daily.

Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported.

***

These calculations exclude PICA’s equity in VCA-11.

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-11

Note 1:

General

The Prudential Variable Contract Account-11 (VCA-11 or the Account) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940, as amended. VCA-11 has been designed for use by employers (Contract-holders) in making retirement arrangements on behalf of their employees (Participants). The investment objective of the Account is to realize a high level of current income as is consistent with the preservation of capital and liquidity. Its investments are primarily composed of short-term securities. The ability of the issuers of the securities held by the Account to meet their obligations may be affected by economic developments in a specific state, industry or region. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.

Note 2:

Summary of Significant Accounting Policies

Securities Valuation: Portfolio securities of VCA-11 are valued at amortized cost, which approximates market value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of any discount or premium. If the amortized cost method is determined not to represent fair value, the fair value shall be determined by or under the direction of the Accounts’ Committee Members.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from security transactions are calculated on the identified cost basis. Interest income is recorded on the accrual basis. Net investment income (other than administration fees) is allocated to the Participants and PICA on a daily basis in proportion to their respective ownership or investment in VCA-11.

Federal Income Taxes: The operations of VCA-11 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-11 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-11 has not been reduced by federal income taxes.

Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Account’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase agreement exceeds one business day, the value of collateral is marked-to-market on a daily basis to ensure adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Account may be delayed or limited.

Note 3:

Investment Management Agreement and Charges

The Account has a management agreement with Prudential Investments LLC (“PI”). Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into a subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). The subadvisory agreement provides that PIM will furnish investment advisory services in connection with management of the Account. PI pays for the services of PIM.

A daily charge, at an effective annual rate of up to 1.00% of the current value of the Participant’s equity in VCA-11, is charged to the Account. Up to three quarters of the charge (0.75%), paid to PICA, is for administrative expenses not provided by the annual account charge, and one quarter (0.25%), paid to PI, is for investment management services. PICA may impose a reduced Administrative Fee where warranted by

economies of scale and the expense characteristics of the employer, association or trust to which PICA has issued a contract.

PICA, PI and PIM are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

A deferred sales charge is imposed upon that portion of certain withdrawals which represents a return of contributions. The charge is designed to compensate PICA for sales and other marketing expenses. The maximum deferred sales charge is 7% on contributions withdrawn from an account during the first year of participation. After the first year of participation, the maximum deferred sales charge declines by 1% in each subsequent year until it reaches 0% after seven years. No deferred sales charge is imposed upon contributions withdrawn for any reason after seven years. For the years ended December 31, 2006 and December 31, 2005, PICA has advised the Account that it received deferred sales charges of $2,713 and $1,888, respectively, imposed upon certain withdrawals from the Account, respectively.

Note 4:

Unit Transactions

The number of Accumulation Units issued and redeemed for the years ended December 31, 2006 and December 31, 2005, are as follows:


	Year Ended December 31,
	2006	2005
Units issued	4,400,902	4,598,548
Units redeemed	(7,040,442)	(8,074,808)
Net decrease	(2,639,540)	(3,476,260)

Note 5:

Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

The increase (decrease) in net assets from surplus transfers represents the net increases to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.

Note 6:

Participant Loans

Withdrawals, transfers and loans from VCA-11 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed. No deferred sales charge is imposed upon withdrawals of any amount in excess of contributions.

For the year ended December 31, 2006, $239,610 in participant loans were withdrawn from VCA-11 and $131,998 of principal and interest was repaid to VCA-11. For the year ended December 31, 2005, $350,389 in participant loans were withdrawn from VCA-11 and $227,485 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the year ended December 31, 2006, PICA has advised the Account that it received $5,847 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

Note 7:

New Accounting Pronouncements

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To The Committee And Participants Of

The Prudential Variable Contract Account-11:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-11 (the “Account”), as of December 31, 2006, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented prior to the year ended December 31, 2004 were audited by another independent registered public accounting firm, whose report dated February 24, 2004, expressed an unqualified opinion thereon.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

LOGO

New York, New York

February 28, 2007

Management of VCA-10 and VCA-11 (Unaudited)

Information pertaining to the Committee Members of VCA-10 and VCA-11 is set forth below. Committee members who are not deemed to be “interested persons” of VCA-10 and VCA-11, as defined in the 1940 Act are referred to as “Independent Committee Members.” Committee Members who are deemed to be “interested persons” of the Fund are referred to as “Interested Committee Members.” “Fund Complex” consists of VCA-10 and VCA-11 and any other investment companies managed by Prudential Investments LLC (the Manager or PI).

Independent Committee Members²

Linda W. Bynoe (Age: 54), Committee Member since 2005³

Oversees 73 portfolios in Fund complex

Principal occupations (last 5 years): President and Chief Executive Officer (since March 1995) of Telemat Ltd. (management consulting); formerly Vice President at Morgan Stanley & Co;

Other Directorships held⁴: Director of Simon Property Group, Inc. (real estate investment trust) (since May 2003); Anixter International (communication products distributor) (since January 2006); Director of Northern Trust Corporation (since April 2006).

David E.A. Carson (Age: 72), Committee Member since 2003³

Oversees 77 portfolios in Fund complex

Principal occupations (last 5 years): Formerly Director (January 2000-May 2000), Chairman (January 1999-December 1999), Chairman and Chief Executive Officer (January 1998-December 1998) and President, Chairman and Chief Executive Officer of People’s Bank (1983-1997)

Robert E. La Blanc (Age: 72), Committee Member since 2003³

Oversees 75 portfolios in Fund complex

Principal occupations (last 5 years): President (since 1981) of Robert E. La Blanc Associates, Inc. (telecommunications).

Other Directorships held⁴: Director of CA, Inc. (since 2002) (software company); FiberNet Telecom Group, Inc. (since 2003) (telecom company).

Douglas H. McCorkindale (Age: 67), Committee Member since 2003³

Oversees 72 portfolios in Fund complex

Principal occupations (last 5 years): Formerly Chairman (February 2001-June 2006), Chief Executive Officer (June 2000-July 2005), President (September 1997-July 2005) and Vice Chairman (March 1984-May 2000) of Gannett Co. Inc. (publishing and media).

Other Directorships held⁴: Director of Continental Airlines, Inc. (since May 1993); Director of Lockheed Martin Corp. (aerospace and defense) (since May 2001).

Richard A. Redeker (Age: 63), Committee Member since 2003³

Oversees 74 portfolios in Fund complex

Principal occupations (last 5 years): Management Consultant; Director (since 2001) and Chairman of the Board (2006) of Invesmart, Inc.; Director of Penn Tank Lines, Inc. (since 1999).

Robin B. Smith (Age: 67), Chairman and Committee Member since 2003³

Oversees 75 portfolios in Fund complex

Principal occupations (last 5 years): Chairman of the Board (since January 2003) of Publishers Clearing House (direct marketing), formerly Chairman and Chief Executive Officer (August 1996-January 2003) of Publishers Clearing House.

Other Directorships held⁴: Formerly Director of BellSouth Corporation (since 1992).

Stephen D. Stoneburn (Age: 63), Committee Member since 2003³

Oversees 75 portfolios in Fund complex

Principal occupations (last 5 years): President and Chief Executive Officer (since June 1996) of Quadrant Media Corp. (publishing company); formerly President (June 1995-June 1996) of Argus Integrated Media, Inc.; Senior Vice President and Managing Director (January 1993-1995) of Cowles Business Media; Senior Vice President of Fairchild Publications, Inc (1975-1989).

Clay T. Whitehead (Age: 68), Committee Member since 2003³

Oversees 75 portfolios in Fund complex

Principal occupations (last 5 years): President (since 1983) of YCO (new business development firm).

Interested Committee Members¹

Judy A. Rice (Age: 59), President and Committee Member since 2003³

Oversees 74 portfolios in Fund complex

Principal occupations (last 5 years): President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (since February 2003) of Prudential Investments LLC; Vice President (since February 1999) of Prudential Investment Management Services LLC; President, Chief Executive Officer and Officer-In-Charge (since April 2003) of Prudential Mutual Fund Services LLC; formerly Director (May 2003-March 2006) and Executive Vice President (June 2005-March 2006) of American Skandia Investment Services, Inc.; formerly Executive Vice President (September 1999-February 2003) of Prudential Investments LLC; Member of Board of Governors of the Investment Company Institute.

Robert F. Gunia (Age: 60), Vice President and Committee Member since 2003³

Oversees 154 portfolios in Fund complex

Principal occupations (last 5 years): Chief Administrative Officer (since September 1999) and Executive Vice President (since December 1996) of Prudential Investments LLC; President (since April 1999) of Prudential Investment Management Services LLC; Executive Vice President (since March 1999) and Treasurer (since May 2000) of Prudential Mutual Fund Services LLC; Chief Administrative Officer, Executive Vice President and Director (since May 2003) of American Skandia Investment Services, Inc.

Other Directorships held: Vice President and Director (since May 1989) and Treasurer (since 1999) of The Asia Pacific Fund, Inc.

Information pertaining to the Officers of VCA-10 and VCA-11 is set forth below.

Officers²

Kathyrn L. Quirk (Age: 54), Chief Legal Officer since 2005

Principal occupations (last 5 years): Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of Prudential Investments LLC and Prudential Mutual Fund Services LLC; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.

Deborah A. Docs (Age: 49), Secretary since 2005

Principal occupations (last 5 years): Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of American Skandia Investment Services, Inc.

Jonathan D. Shain (Age: 48), Assistant Secretary since 2005

Principal occupations (last 5 years): Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) American Skandia Investment Services, Inc.

Claudia DiGiacomo (Age: 32), Assistant Secretary since 2005

Principal occupations (last 5 years): Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).

Lee D. Augsburger (Age: 47), Chief Compliance Officer since 2004.³

Principal occupations (last 5 years): Senior Vice President and Chief Compliance Officer (since April 2003) of PI; Vice President (since November 2000) and Chief Compliance Officer (since October 2000) of Prudential Investment Management, Inc.; Chief Compliance Officer and Senior Vice President (since May 2003) of American Skandia Investment Services, Inc.

Grace C. Torres (Age: 47), Treasurer and Principal Financial and Accounting Officer since 1997³

Principal occupations (last 5 years): Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of American Skandia Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of American Skandia Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of American Skandia Investment Services, Inc.

John P. Schwartz (Age 35), Assistant Secretary since 2006.

Principal occupations (last 5 years): Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austing Brown & Wood LLP (1997-2005).

M. Sadiq Peshimam (Age: 43), Assistant Treasurer since 2006.

Principal occupations (last 5 years): Vice President (since 2005) and Director (2000-2005) within Prudential Mutual Fund Administration.

Jack Benintende (Age: 42), Assistant Treasurer since 2006.

Principal occupations (last 5 years): Vice President (since June 2000) within Prudential Mutual Fund Administration; formerly Senior Manager within the investment management practice of PricewaterhouseCoopers LLP (May 1994-June 2000).

Andrew French (Age: 44), Assistant Secretary since 2006.

Principal occupations (last 5 years): Director and Corporate Counsel (since May 2006) of Prudential; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006).

Noreen M. Fierro (Age: 42), Anti-Money Laundering Compliance Officer since 2006.

Principal occupations (last 5 years): Vice President, Corporate Compliance (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group.

“Interested” Committee Members, as defined in the 1940 Act, by reason of employment with the Manager, the Subadviser (Prudential Investment Management Inc. or PIM) or the Distributor (Prudential Investment Management Services LLC or PIMS).

Unless otherwise noted, the address of the Committee Members and Officers is c/o: Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, NJ 07102.

There is no set term of office for Committee Members and Officers. The Independent Committee Members have adopted a retirement policy, which calls for the retirement of Committee Members on December 31 of the year in which they reach the age of 75. The table shows the individuals length of service as Committee Member and/or Officer.

⁴

This includes only directorships of companies requested to register, or file reports with the SEC under the Securities and Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.

The Prudential Series Fund

The following pages represent information on The Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.

Each Subaccount of VCA-24 will invest in the corresponding portfolio of The Prudential Series Fund (the “Fund”). Of the portfolios comprising the Fund, seven portfolios are presently available to The MEDLEY Program. The Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Stock Index Subaccount in the Stock Index Portfolio, the Equity Subaccount invests in the Equity Portfolio, and the Global Subaccount in the Global Portfolio.

There is no assurance that the investment objective of the portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.

Important Note

This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the seven portfolios of The Prudential Series Fund which are available through the Prudential Variable Contract Account-24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.

Contract unit values increase or decrease based on the performance of the portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance

of the Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.

Fees and Expenses (Unaudited)

As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, distribution and service (12b-1*) fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.

* 12b-1 fees are paid by the fund out of fund assets to cover distribution expenses and sometimes shareholder service expenses.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2006 through December 31, 2006.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.


The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2006		Ending Account Value December 31, 2006		Annualized Expense Ratio Based on the Six-Month Period		Expenses Paid During the Six- Month Period*

Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,090.80	0.56	%	$	2.95
Conservative Balanced (Class I)	Hypothetical	$	1,000.00	$	1,022.38	0.56	%	$	2.85

Diversified Bond (Class I)	Actual	$	1,000.00	$	1,058.30	0.45	%	$	2.33
Diversified Bond (Class I)	Hypothetical	$	1,000.00	$	1,022.94	0.45	%	$	2.29

Equity (Class I)	Actual	$	1,000.00	$	1,118.80	0.47	%	$	2.51
Equity (Class I)	Hypothetical	$	1,000.00	$	1,022.84	0.47	%	$	2.40

Equity (Class II)	Actual	$	1,000.00	$	1,116.70	0.87	%	$	4.64
Equity (Class II)	Hypothetical	$	1,000.00	$	1,020.82	0.87	%	$	4.43

Flexible Managed (Class I)	Actual	$	1,000.00	$	1,100.10	0.61	%	$	3.23
Flexible Managed (Class I)	Hypothetical	$	1,000.00	$	1,022.13	0.61	%	$	3.11

Global (Class I)	Actual	$	1,000.00	$	1,129.90	0.74	%	$	3.97
Global (Class I)	Hypothetical	$	1,000.00	$	1,021.48	0.74	%	$	3.77

Government Income (Class I)	Actual	$	1,000.00	$	1,044.00	0.51	%	$	2.63
Government Income (Class I)	Hypothetical	$	1,000.00	$	1,022.63	0.51	%	$	2.60

Stock Index (Class I)	Actual	$	1,000.00	$	1,125.80	0.36	%	$	1.93
Stock Index (Class I)	Hypothetical	$	1,000.00	$	1,023.39	0.36	%	$	1.84

Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2006, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2006 (to reflect the six-month period).

The Prudential Series Fund, Conservative Balanced Portfolio

Subadvised by: Prudential Investment Management, Inc., Quantitative Management Associates LLC

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year
Conservative Balanced Portfolio	10.44	%	5.93	%	5.81	%
S&P 500 Index	15.78		6.18		8.42
Conservative Balanced Custom Blend Index	10.00		5.59		7.40
Lipper Mixed Asset Target Allocation Growth Funds Avg.	11.67		6.37		7.18

Portfolio inception: 5/13/1983.

$10,000 INVESTED OVER 10 YEARS

LOGO

Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

For the year ended December 31, 2006, the Conservative Balanced Portfolio had a total return that was above its Blend Index (50% stock, 40% bond, 10% cash), but trailed the average return of its peer group.

The Portfolio’s stock holdings are managed as an index fund, with performance characteristics similar to those of the S&P 500 Index, while its bond holdings are more actively managed, focusing on high-grade bonds. Allocations to these asset classes are actively managed within a fairly wide range to take advantage of different market conditions.

The Portfolio benefited from emphasizing stocks in a year when they had exceptionally high returns. In addition, the managers added a small allocation to international stocks, which substantially outperformed the domestic market. Not only did foreign markets generally have higher returns than the United States, their returns to U.S. investors were augmented by the decline of the U.S. dollar against all major currencies except the Japanese yen. The Portfolio was underweighted in cash equivalents (very short-term securities), which added to its return in the strong markets. Its bond holdings outperformed the Lehman Aggregate Bond Index, thanks to allocations to high yield (junk) and emerging market bonds, good selection among investment grade corporate bonds, and positions in securities backed by mortgages and other assets.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Diversified Bond Portfolio

Subadvised by: Prudential Investment Management, Inc.

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year
Diversified Bond Portfolio	4.98	%	5.67	%	5.97	%
Lehman Brothers U.S Aggregate Bond Index	4.33	%	5.06	%	6.24	%
Lipper VP Intermediate Investment Grade Debt Funds Avg.	4.14	%	4.90	%	5.81	%

Portfolio inception: 5/13/1983.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2006, the Diversified Bond Portfolio had a total return that was above its benchmark index and the average of its peer group.

In the fixed income markets, 2006 proved to be a banner year for emerging market bonds and U.S. high yield corporate bonds, commonly called “junk” bonds because they are rated below investment grade. Money from around the world flowed into these debt securities as investors sought assets that provided attractive yields. They were also drawn to the high yield market by its historically low default rate and the healthy credit fundamentals of companies, many of which generated free cash flow and carried positive cash balances on their financial statements. Investors favored emerging market bonds as the global economic expansion continued, the ratings of many emerging market bonds improved, and prudent fiscal policies resulted in lower levels of public debt in some developing nations.

Both high yield bonds and emerging market bonds significantly outperformed U.S. Treasury and federal agency securities. Exposure to high yield bonds and emerging market bonds, and favorable security selection in both areas, were key reasons that the Portfolio performed better than the benchmark index, a gauge of U.S. investment grade bonds that excludes high yield and emerging market bonds. For example, the Portfolio held General Motors Corp. bonds that rallied as the troubled auto maker cut costs by reducing its work force and raised money by selling a controlling interest in General Motors Acceptance Corp. The Portfolio’s emerging-market exposure consisted of mostly sovereign bonds and a few positions in corporate bonds.

In other areas of the U.S. fixed income market, the Portfolio had overweight exposures to investment-grade corporate bonds, commercial mortgage-backed securities, and asset-backed securities (compared to the benchmark index). This strategy worked well because these markets also outperformed U.S. Treasury and federal agency securities in 2006. Even though economic growth slowed in the United States as repeated increases in short-term interest rates by the Federal Reserve took a toll on the housing sector, corporate earnings remained strong, supporting investment-grade corporate bonds. Among the Portfolio’s holding were bonds of airlines, which benefited from falling fuel prices and higher ticket prices as conditions improved in the travel industry.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

The Prudential Series Fund, Equity Portfolio

Subadvised by: Jennison Associates LLC, ClearBridge Advisors, LLC

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year		Since Inception
Equity Portfolio: Class I	12.57	%	7.12	%	7.09	%	N/A
Equity Portfolio: Class II	12.13		6.70		N/A		2.95
S&P 500 Index	15.78		6.18		8.42		2.41
Russell 1000® Index	15.46		6.82		8.64		2.97
Lipper Large-Cap Core Funds Avg.	13.31		5.22		6.71		1.98

Portfolio (Class I) inception: 5/13/1983. Portfolio (Class II) inception: 5/4/1999.

$10,000 INVESTED OVER 10 YEARS¹

LOGO

Unless noted otherwise, Lipper Average and Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II).

The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

For the year ended December 31, 2006, the Equity Portfolio had a total return that was below its benchmarks and the average return of its peer group.

Approximately half of the Portfolio was managed by Jennison Associates, a unit of Prudential Investment Management, and approximately half by ClearBridge Advisors (formerly known as Salomon Brothers Asset Management).

Stock selection, particularly in the Jennison segment and particularly in the healthcare, technology, telecommunications, consumer non-cyclical, and consumer cyclical sectors, accounted for most of the Portfolio’s underperformance. Moreover, in an investment environment that strongly favored value stocks, it suffered from a tilt to the growth style, primarily in the Jennison segment. This was manifested in above-average acceleration of its holdings’ business fundamentals and their below-average exposure to value characteristics such as low price-to-earnings and price-to-book value ratios and debt levels.

The Portfolio’s sector distribution had a positive impact on its return. It was overweight compared with its benchmark in the strong basic materials sector and underweight in the relatively weak financials and transportation sectors. However, an underweight in the high-returning telecommunications sector detracted from its relative performance. Both managers’ segments contributed to the positive sector exposures.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares.

For average and index definitions, refer to the Glossary of Benchmark Definitions page. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Flexible Managed Portfolio

Subadvised by: Prudential Investment Management, Inc., Quantitative Management Associates, LLC

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year
Flexible Managed Portfolio	12.17	%	6.92	%	6.17	%
S&P 500 Index	15.78		6.18		8.42
Flexible Managed Custom Blended Index	11.13		5.84		7.74
Lipper Mixed Target Allocation Growth Funds Avg.	11.67		6.37		7.18

Portfolio inception: 5/13/1983.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2006, the Flexible Managed Portfolio had a total return that was above both its Blend Index (60% stocks, 35% bonds, 5% cash) and the average of its peer group.

The Portfolio’s stock holdings are actively managed with risk characteristics similar to those of the S&P 500 Index, while its bond holdings are more actively managed, focusing on high-grade bonds. Allocations to these asset classes are actively managed within a fairly wide range to take advantage of different market conditions.

The Portfolio benefited from emphasizing stocks in a year when they had exceptionally high returns. In addition, the managers added a small allocation to international stocks, which substantially outperformed the domestic market. Not only did foreign markets generally have higher returns than the United States, their returns to U.S. investors were augmented by the decline of the U.S. dollar against all major currencies except the Japanese yen. The Portfolio was underweighted in cash equivalents (very short-term securities), which added to its return in the strong markets. Its bond holdings outperformed the Lehman Aggregate Bond index, thanks to allocations to high yield (junk) and emerging market bonds, good selection among investment grade corporate bonds, and positions in securities backed by mortgages and other assets.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

The Prudential Series Fund, Global Portfolio

Subadvised by: William Blair & Company LLC, LSV Asset Management, Marsico Capital Management, LLC, T. Rowe Price Associates, Inc.

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year
Global Portfolio	19.65	%	8.84	%	7.46	%
MSCI World Index (GD)	20.65		10.49		8.08
MSCI World Index (ND)	20.07		9.97		7.64
Lipper (VIP) Global Growth Funds Avg.	18.78		10.54		8.95

Portfolio inception: 9/19/1988.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2006, the Global Portfolio had a total return that was in line with the very strong return of its benchmark and above the average of its peer group.

The Portfolio is co-managed by four specialist asset managers: Marsico Capital Management manages its large-cap domestic growth stocks; T. Rowe Price manages its large-cap domestic value stocks; William Blair & Company manages its international growth stocks; and LSV Asset Management manages its international value stocks. Each firm manages approximately a quarter of the Portfolio’s assets. We expect this diversified structure to reduce style and risk exposures so that most of the Portfolio’s variance from its benchmark will be due to its co-managers’ stock selection. The major exception is that William Blair has the flexibility to invest in emerging markets stocks, which are not part of the Portfolio’s benchmark.

During 2006, the Portfolio benefited from the geographic distribution of its holdings, particularly its underexposure to the United States. Although U.S. stocks performed well over the year, international stocks performed even better, aided by the decline of the U.S. dollar against most other major currencies. In addition, William Blair’s exposure to Mexico, China, India, and Brazil improved the Portfolio’s performance. Its distribution among economic sectors had relatively little impact because the benefit of an overweight in technology compared with the benchmark was largely offset by an underweight in the strong utilities sector and an overweight in the relatively soft industrials sector. Investment style and risk factors made a modestly positive contribution to relative performance, primarily due to an emphasis compared with the benchmark on stocks of smaller companies. These outperformed those of larger firms during 2006. The Portfolio also benefited slightly from a modest emphasis on stocks with rising price momentum.

The Portfolio’s performance was enhanced by its stock selection, particularly within the financials and consumer discretionary sectors. However, its healthcare holdings did not keep up with the corresponding sector of the benchmark.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

The Prudential Series Fund, Government Income Portfolio

Subadvised by: Prudential Investment Management, Inc.

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year
Government Income Portfolio	3.74	%	4.71	%	5.97	%
Lehman Brothers Govt. Bond Index	3.48		4.64		6.01
Lipper (VIP) General U.S. Govt. Funds Avg.	2.81		4.46		5.51

Portfolio inception: 5/1/1989.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2006, the Government Income Portfolio had a total return that was above its benchmark index and the average of its peer group.

The investment environment for U.S. fixed income securities improved in 2006. In the first half of the year, the Federal Reserve (“the Fed”) increased the target for the federal funds rate on overnight loans between banks four times. This was part of its latest effort to slow economic growth and pull down inflation. The total rate increase from 4.25% to 5.25%, along with concern that persistent inflation might lead the Fed to continue tightening monetary policy, at times put upward pressure on bond yields, causing bond prices to fall as bond prices move inversely to yields. But in the second half of the year, the Fed left short-term rates unchanged as economic growth, which had begun to slow in the spring of 2006, continued to moderate in the second half of the year. There was even speculation that the Fed would have to cut short-term rates in 2007 to reinvigorate the economy. From time to time, this expectation of lower rates put downward pressure on bond yields, which boosts bond prices.

The Portfolio performed better than its benchmark index because some of the bonds it held were not included in its benchmark index, which is composed of U.S. Treasury and federal agency securities. In the global low interest-rate environment, investors sought assets with attractive yields, enabling bonds such as mortgage-backed securities and commercial mortgage-backed securities to outperform comparable Treasury securities in 2006. While the Portfolio held Treasury and federal agency securities, the bulk of its holdings consisted of mortgage-backed securities, commercial mortgage-backed securities and sovereign bonds issued by governments of nations, such as Germany and Norway. During the year, the Portfolio began to invest in foreign government bonds because they provide diversification away from the U.S. market, incremental yield, and potential gains from currency appreciation.

The Portfolio also performed better than its benchmark Index because it had a shorter duration. Duration measures a portfolio’s sensitivity to changes in interest rates. Having a shorter duration provided the Portfolio with some degree of protection as, on net, yields rose across the Treasury yield curve for the year.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.

The Prudential Series Fund, Stock Index Portfolio

Subadvised by: Quantitative Management Associates LLC

December 31, 2006

Investment Manager’s Report

Performance Summary - As of December 31, 2006

Average Annual Total Return Percentages


	1-Year		5-Year		10-Year
Stock Index Portfolio	15.54	%	5.88	%	8.15	%
S&P 500 Index	15.78		6.18		8.42
Lipper (VIP) S&P 500 Index Objective Funds Avg.	15.38		5.78		8.11

Portfolio inception: 10/19/1987.

$10,000 INVESTED OVER 10 YEARS

LOGO

In 2006, the Stock Index Portfolio was managed by QMA, a unit of Prudential Investment Management. The average index fund generally trails the S&P 500 Index (“the Index”) primarily because funds have fees and expenses that an index does not. The Portfolio’s return, although slightly below the Index, was above the average of similar funds.

The Index return for 2006 was above its historical average. All sectors, except health care and technology, made double-digit advances, most above 18%. The market benefited from exceptionally high corporate profits. In addition, substantial merger and acquisition activity helped prices in the real estate, utilities, telecommunications services, metals, and media industries. Investment bank stocks reflected high advising and trading income. Shares of ExxonMobil and Chevron, together composing almost 5% of the Index, had substantial gains. The aerospace and defense industry had high returns, in part because of demand for Boeing’s civilian aircraft. The impact of the slowing housing sector was mitigated by a pickup in nonresidential construction and by construction in the developing world. Demand for shares of companies producing construction materials continued to be strong. Metals stocks, particularly those of steel companies, and firms making construction machinery were in high demand. Negative returns for the managed health care and biotechnology industries contributed to making the healthcare sector the weakest in the Index.

Homebuilding stocks, which had fallen 45% from their January peak, recovered somewhat by year-end. Nonetheless, homebuilding and home improvement stocks had negative annual returns. After the U.S. Federal Reserve let its August 8 meeting pass without an interest-rate hike, the first break in two years, other industries rebounded significantly from steep losses earlier in the year. These included Internet & catalog retailers, human resource & employment services, Internet software & services, and wireless telecommunication services. Semiconductor and semiconductor equipment stocks recovered more modestly. Conversely, the rising price of corn drove agricultural products giant Archer-Daniels-Midland to give up some of a huge first-half gain.

Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.


		*CONSERVATIVE BALANCED PORTFOLIO*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments, at value including securities on loan of $196,798,835:
Unaffiliated investments (cost $2,022,194,120)	$	2,469,261,024
Affiliated investments (cost $546,923,952)		546,988,257
Cash		116,699
Foreign currency, at value (cost $26,841)		27,060
Receivable for investments sold		52,574,428
Dividends and interest receivable		10,479,778
Receivable for Series shares sold		46,474
Prepaid expenses		42,886
Foreign tax reclaim receivable		36,623

Total Assets		3,079,573,229

LIABILITIES
Collateral for securities on loan		204,591,018
Payable for investments purchased		101,997,507
Management fee payable		1,297,142
Payable for Series shares repurchased		608,357
Due to broker—variation margin		246,824
Accrued expenses and other liabilities		230,407
Unrealized depreciation on swaps		21,669
Transfer agent fee payable		316

Total Liabilities		308,993,240

NET ASSETS	$	2,770,579,989


Net assets were comprised of:
Paid-in capital	$	2,373,220,128
Retained earnings		397,359,861

Net assets, December 31, 2006	$	2,770,579,989

Net asset value and redemption price per share, $2,770,579,989 / 170,879,134 outstanding shares of beneficial interest (authorized 525,000,000 shares)	$	16.21

STATEMENT OF OPERATIONS

Year Ended December 31, 2006


INVESTMENT INCOME
Interest	$	50,753,367
Unaffiliated dividend income (net of foreign withholding taxes of $233,535)		28,950,414
Affiliated dividend income		16,339,321
Affiliated income from securities loaned, net		260,395

		96,303,497

EXPENSES
Management fee		14,950,476
Custodian’s fees and expenses		205,000
Shareholders’ reports		140,000
Insurance expenses		71,000
Trustees’ fees		40,000
Audit fee		21,000
Legal fees and expenses		14,000
Commitment fee on syndicated credit agreement		2,000
Transfer agent’s fee and expenses (including affiliated expense of $1,800) (Note 4)		2,000
Miscellaneous		18,119

Total expenses		15,463,595

NET INVESTMENT INCOME		80,839,902


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments		(108,622,883	)
Futures transactions		3,473,671
Foreign currency transactions		(35,133	)
Options written		32,695
Short sales		(41,934	)
Swaps		(284,957	)

		(105,478,541	)

Net change in unrealized appreciation (depreciation) on:
Investments		296,538,582
Futures		(1,204,348	)
Foreign currencies		2,278
Options written		(25,332	)
Swaps		(21,669	)

		295,289,511

NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		189,810,970

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	270,650,872

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2006			2005
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	80,839,902		$	68,482,581
Net realized loss on investments, swaps and foreign currency transactions		(105,478,541	)		(14,618,230	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		295,289,511			39,591,655

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		270,650,872			93,456,006

DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income		—			(65,771,642	)
Distributions from net realized capital gains		—			(28,275,553	)
Distributions		(75,726,414	)		—

TOTAL DIVIDENDS AND DISTRIBUTIONS		(75,726,414	)		(94,047,195	)

SERIES SHARE TRANSACTIONS:
Series shares sold [1,557,565 and 2,034,058 shares, respectively]		23,668,066			30,062,884
Series shares issued in reinvestment of dividends and distributions [5,014,994 and 6,595,175 shares, respectively]		75,726,414			94,047,195
Series shares repurchased [17,938,730 and 18,072,236 shares, respectively]		(273,531,887	)		(267,289,008	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(174,137,407	)		(143,178,929	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		20,787,051			(143,770,118	)
NET ASSETS:
Beginning of year		2,749,792,938			2,893,563,056

End of year	$	2,770,579,989		$	2,749,792,938	(a)

(a) Includes undistributed net investment income of:				$	69,851,558

SEE NOTES TO FINANCIAL STATEMENTS.


		*DIVERSIFIED BOND PORTFOLIO*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments, at value including securities on loan of $52,884,013:
Unaffiliated investments (cost $1,137,656,890)	$	1,142,714,909
Affiliated investments (cost $112,153,335)		112,173,480
Foreign currency, at value (cost $325,802)		325,799
Receivable for investments sold		61,345,970
Interest receivable		12,462,570
Unrealized appreciation on forward foreign currency contracts		556,456
Unrealized appreciation on swaps		480,813
Due from broker—variation margin		152,383
Receivable for Series shares sold		133,784
Prepaid expenses		25,596

Total Assets		1,330,371,760

LIABILITIES
Payable for investments purchased		105,083,662
Collateral for securities on loan		54,138,631
Securities sold short, at value (proceeds $19,425,000)		19,287,500
Accrued expenses and other liabilities		407,584
Management fee payable		392,983
Payable for Series shares repurchased		297,214
Unrealized depreciation on forward foreign currency contracts		228,641
Unrealized depreciation on swaps		127,952
Payable to custodian		34,489
Deferred trustees’ fees		7,588
Transfer agent fee payable		436

Total Liabilities		180,006,680

NET ASSETS	$	1,150,365,080


Net assets were comprised of:
Paid-in capital	$	1,154,116,065
Retained earnings		(3,750,985	)

Net assets, December 31, 2006	$	1,150,365,080

Net asset value and redemption price per share, $1,150,365,080 / 106,044,661 outstanding shares of beneficial interest (authorized 275,000,000 shares)	$	10.85

STATEMENT OF OPERATIONS

Year Ended December 31, 2006


INVESTMENT INCOME
Interest (net of foreign withholding taxes of $155,816)	$	61,039,790
Affiliated dividend income		4,830,425
Affiliated income from securities loaned, net		197,570

		66,067,785

EXPENSES
Management fee		4,689,336
Custodian’s fees and expenses		265,000
Shareholders’ reports		214,000
Insurance expenses		42,000
Trustees’ fees		23,000
Audit fee		20,000
Legal fees and expenses		15,000
Commitment fee on syndicated credit agreement		4,000
Transfer agent’s fee and expenses (including affiliated expense of $2,600) (Note 4)		2,800
Miscellaneous		8,658

Total expenses		5,283,794

NET INVESTMENT INCOME		60,783,991


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments		(6,233,676	)
Short sales		(71,504	)
Futures transactions		(577,814	)
Swaps		302,013
Options written		68,013
Foreign currency transactions		(3,144,587	)

		(9,657,555	)

Net change in unrealized appreciation (depreciation) on:
Investments		5,927,207
Securities sold short		137,500
Futures		(773,590	)
Swaps		(349,449	)
Options written		(52,694	)
Foreign currencies		(62,272	)

		4,826,702

NET LOSS ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		(4,830,853	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	55,953,138

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2006			2005
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	60,783,991		$	58,610,798
Net realized gain (loss) on investments, swaps and foreign currency transactions		(9,657,555	)		9,146,862
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies		4,826,702			(28,627,041	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		55,953,138			39,130,619

DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income		—			(64,066,702	)
Distributions from net realized capital gains		—			(8,967,165	)
Distributions		(68,284,295	)		—

TOTAL DIVIDENDS AND DISTRIBUTIONS		(68,284,295	)		(73,033,867	)

SERIES SHARE TRANSACTIONS:
Series shares sold [3,007,043 and 13,510,338 shares, respectively]		32,538,204			149,284,047
Series shares issued in reinvestment of dividends and distributions [6,373,024 and 6,639,907 shares, respectively]		68,284,295			73,033,867
Series shares repurchased [15,646,812 and 21,634,412 shares, respectively]		(168,772,245	)		(241,438,250	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(67,949,746	)		(19,120,336	)

TOTAL DECREASE IN NET ASSETS		(80,280,903	)		(53,023,584	)
NET ASSETS:
Beginning of year		1,230,645,983			1,283,669,567

End of year	$	1,150,365,080		$	1,230,645,983

SEE NOTES TO FINANCIAL STATEMENTS.


		*EQUITY PORTFOLIO*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments, at value including securities on loan of $366,835,888:
Unaffiliated investments (cost $3,521,170,634)	$	4,349,476,968
Affiliated investments (cost $435,213,247)		435,213,247
Cash		199,179
Dividends and interest receivable		5,717,150
Receivable for investments sold		712,998
Prepaid expenses		92,317
Tax reclaim receivable		17,041
Receivable for Series shares sold		15,108

Total Assets		4,791,444,008

LIABILITIES
Collateral for securities on loan		379,439,451
Payable for investments purchased		4,496,794
Management fee payable		1,683,368
Payable for Series shares repurchased		605,883
Accrued expenses and other liabilities		567,957
Deferred trustees’ fees		2,030
Transfer agent fee payable		896
Distribution fee payable		403
Administration fee payable		242

Total Liabilities		386,797,024

NET ASSETS	$	4,404,646,984


Net assets were comprised of:
Paid-in capital	$	3,610,238,397
Retained earnings		794,408,587

Net assets, December 31, 2006	$	4,404,646,984

Class I:
Net asset value and redemption price per share, $4,402,742,586 / 160,390,283 outstanding shares of beneficial interest (authorized 525,000,000 shares)	$	27.45

Class II:
Net asset value and redemption price per share, $1,904,398 / 69,196 outstanding shares of beneficial interest (authorized 50,000,000 shares)	$	27.52

STATEMENT OF OPERATIONS

Year Ended December 31, 2006


INVESTMENT INCOME
Unaffiliated dividend income (net of $1,248,781 foreign withholding tax)	$	62,461,919
Affiliated dividend income		3,573,498
Affiliated income from securities lending, net		1,129,408
Unaffiliated Interest		1,330

		67,166,155

EXPENSES
Management fee		19,172,602
Distribution fee—Class II		4,627
Administration fee—Class II		2,776
Custodian’s fees and expenses		594,000
Insurance expenses		126,000
Shareholders’ reports		120,000
Trustees’ fees		62,000
Commitment fee on syndicated credit agreement		19,000
Audit fee		15,000
Transfer agent’s fees and expenses (including affiliated expense of $5,300) (Note 4)		9,000
Legal fees and expenses		5,000
Miscellaneous		9,694

Total expenses		20,139,699

NET INVESTMENT INCOME		47,026,456


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		333,279,341
Foreign currency transactions		(66,838	)

		333,212,503

Net change in unrealized appreciation (depreciation) on:
Investments		125,859,938
Foreign currencies		(726	)

		125,859,212

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		459,071,715

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	506,098,171

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2006			2005
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	47,026,456		$	41,399,720
Net realized gain on investments and foreign currencies		333,212,503			423,884,584
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		125,859,212			(16,875,093	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		506,098,171			448,409,211

DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income
Class I		—			(39,989,141	)
Class II		—			(9,415	)
Distributions
Class I		(46,000,931	)		—
Class II		(11,345	)		—

TOTAL DIVIDENDS AND DISTRIBUTIONS		(46,012,276	)		(39,998,556	)

SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		56,539,838			69,318,202
Series shares issued in reinvestment of dividends and distributions		46,012,276			39,998,556
Net asset value of shares issued in merger		—			28,041,417
Series shares repurchased		(443,931,719	)		(396,681,659	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(341,379,605	)		(259,323,484	)

TOTAL INCREASE IN NET ASSETS		118,706,290			149,087,171
NET ASSETS:
Beginning of year		4,285,940,694			4,136,853,523

End of year	$	4,404,646,984		$	4,285,940,694	(a)

(a) Includes undistributed net investment income of				$	2,150,120

SEE NOTES TO FINANCIAL STATEMENTS.


		*FLEXIBLE MANAGED PORTFOLIO*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments, at value including securities on loan of $293,454,272:
Unaffiliated investments (cost $3,009,764,519)	$	3,420,923,312
Affiliated investments (cost $702,769,257)		702,847,821
Cash		2,218,393
Foreign currency, at value (cost $37,131)		37,470
Receivable for investments sold		48,042,849
Dividends and interest receivable		11,704,154
Prepaid expenses		78,126
Foreign tax reclaim receivable		57,735
Receivable for Series shares sold		4,420

Total Assets		4,185,914,280

LIABILITIES
Collateral for securities on loan		305,547,916
Payable for investments purchased		153,648,249
Management fee payable		1,896,885
Payable for Series shares repurchased		526,943
Accrued expenses and other liabilities		381,195
Due to broker—variation margin		339,431
Unrealized depreciation on swaps		22,365
Transfer agent fee payable		306

Total Liabilities		462,363,290

NET ASSETS	$	3,723,550,990


Net assets were comprised of:
Paid-in capital	$	3,105,699,602
Retained earnings		617,851,388

Net assets, December 31, 2006	$	3,723,550,990

Net asset value and redemption price per share, $3,723,550,990 / 202,776,598 outstanding shares of beneficial interest (authorized 600,000,000 shares)	$	18.36

STATEMENT OF OPERATIONS

Year Ended December 31, 2006


INVESTMENT INCOME
Interest	$	45,927,732
Unaffiliated dividend income (net of foreign withholding taxes of $359,215)		44,963,085
Affiliated dividend income		19,505,872
Affiliated income from securities loaned, net		398,178

		110,794,867

EXPENSES
Management fee		21,482,143
Shareholders’ reports		175,000
Custodian’s fees and expenses		155,000
Insurance expenses		67,000
Trustees’ fees		60,000
Commitment fee on syndicated credit agreement		30,000
Audit fee		15,000
Legal fees and expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $1,800) (Note 4)		1,900
Miscellaneous		20,171

Total expenses		22,019,214

NET INVESTMENT INCOME		88,775,653


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments		137,675,925
Futures transactions		5,045,557
Foreign currency transactions		(55,311	)
Written options transactions		25,845
Swaps		(254,091	)
Short sales		51,719

		142,489,644

Net change in unrealized appreciation (depreciation) on:
Investments		188,413,266
Futures		(2,129,845	)
Foreign currencies		3,445
Written options		(20,027	)
Swaps		(22,365	)

		186,244,474

NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		328,734,118

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	417,509,771

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2006			2005
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	88,775,653		$	69,761,928
Net realized gain on investments, swaps and foreign currency transactions		142,489,644			187,998,027
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		186,244,474			(116,399,356	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		417,509,771			141,360,599

DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income		—			(68,680,004	)
Distributions		(122,314,562	)		—

TOTAL DIVIDENDS AND DISTRIBUTIONS		(122,314,562	)		(68,680,004	)

SERIES SHARE TRANSACTIONS:
Series shares sold [1,352,364 and 2,131,903 shares, respectively]		23,240,485			35,053,816
Series shares issued in reinvestment of dividends and distributions [7,199,209 and 4,311,362 shares, respectively]		122,314,562			68,680,004
Series shares repurchased [15,165,926 and 31,247,534 shares, respectively]		(261,128,310	)		(515,965,873	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(115,573,263	)		(412,232,053	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		179,621,946			(339,551,458	)
NET ASSETS:
Beginning of year		3,543,929,044			3,883,480,502

End of year	$	3,723,550,990		$	3,543,929,044	(a)

(a) Includes undistributed net investment income of:				$	70,753,332

SEE NOTES TO FINANCIAL STATEMENTS.


		*GLOBAL PORTFOLIO*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments, at value including securities on loan of $48,803,921:
Unaffiliated investments (cost $752,362,931)	$	902,248,491
Affiliated investments (cost $70,116,659)		70,116,659
Cash		1,900
Foreign currency, at value (cost $8,846,990)		8,989,536
Receivable for investments sold		5,928,884
Dividends receivable		705,361
Foreign tax reclaim receivable		265,807
Receivable for Series shares sold		142,605
Prepaid expenses		13,666

Total Assets		988,412,909

LIABILITIES
Collateral for securities on loan		50,850,856
Payable for investments purchased		3,628,829
Management fee payable		588,366
Accrued expenses and other liabilities		251,734
Payable for Series shares repurchased		233,807
Transfer agent fee payable		421

Total Liabilities		55,554,013

NET ASSETS	$	932,858,896


Net assets were comprised of:
Paid-in capital	$	791,374,063
Retained earnings		141,484,833

Net assets, December 31, 2006	$	932,858,896

Net asset value and redemption price per share, $932,858,896 / 41,399,689 outstanding shares of beneficial interest (authorized 125,000,000 shares)	$	22.53

STATEMENT OF OPERATIONS

Year Ended December 31, 2006


INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,103,800)	$	16,427,605
Affiliated dividend income		1,280,168
Affiliated income from securities loaned, net		222,789
Interest		5,781

		17,936,343

EXPENSES
Management fee		6,477,031
Custodian’s fees and expenses		260,000
Shareholders’ reports		200,000
Interest expense		189,169
Insurance expenses		20,000
Trustees’ fees		20,000
Audit fee		15,000
Legal fees and expenses		10,000
Commitment fee on syndicated credit agreement		5,000
Transfer agent’s fees and expenses (including affiliated expense of $5,000 ) (Note 4)		5,000
Miscellaneous		42,513

Total expenses		7,243,713

NET INVESTMENT INCOME		10,692,630


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investments		33,063,490
Futures transactions		(172,946	)
Foreign currency transactions		(450,808	)

		32,439,736

Net change in unrealized appreciation (depreciation) on:
Investments		112,017,163
Futures		159,503
Foreign currencies		79,622

		112,256,288

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		144,696,024

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	155,388,654

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2006			2005
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	10,692,630		$	5,696,521
Net realized gain on investments and foreign currency transactions		32,439,736			172,527,940
Net change in unrealized appreciation (depreciation) on investments, futures and foreign currencies		112,256,288			(64,514,700	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		155,388,654			113,709,761

DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income		—			(4,467,100	)
Distributions		(5,516,655	)		—

TOTAL DIVIDENDS AND DISTRIBUTIONS		(5,516,655	)		(4,467,100	)

SERIES SHARE TRANSACTIONS:
Series shares sold [2,609,905 and 5,440,330 shares, respectively]		53,367,041			90,659,307
Series shares issued in reinvestment of dividends and distributions [272,832 and 279,893 shares, respectively]		5,516,655			4,467,100
Series shares repurchased [4,426,740 and 4,829,904 shares, respectively]		(90,036,644	)		(81,315,937	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(31,152,948	)		13,810,470

TOTAL INCREASE IN NET ASSETS		118,719,051			123,053,131
NET ASSETS:
Beginning of year		814,139,845			691,086,714

End of year	$	932,858,896		$	814,139,845	(a)

(a) Includes undistributed net investment income of:				$	4,677,915

SEE NOTES TO FINANCIAL STATEMENTS.


		*GOVERNMENT INCOME PORTFOLIO*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments, at value including securities on loan of $20,724,279:
Unaffiliated investments (cost $333,011,098)	$	330,285,965
Affiliated investments (cost $83,334,583)		83,347,754
Cash		1,790
Foreign currency (cost $17)		17
Receivable for investments sold		10,335,204
Interest receivable		2,473,614
Receivable for Series shares sold		46,254
Unrealized appreciation on forward currency contracts		31,647
Due from broker—variation margin		31,003
Prepaid expenses		5,736
Unrealized appreciation on swaps		4,555

Total Assets		426,563,539

LIABILITIES
Payable for investments purchased		49,902,378
Collateral for securities on loan		21,369,617
Securities sold short, at value (proceeds $497,344)		494,063
Payable for Series shares repurchased		202,543
Accrued expenses and other liabilities		132,774
Management fee payable		121,118
Unrealized depreciation on swaps		50,898
Unrealized depreciation on forward currency contracts		27,873
Deferred trustees’ fees		3,277
Transfer agent fee payable		213

Total Liabilities		72,304,754

NET ASSETS	$	354,258,785


Net assets were comprised of:
Paid-in capital	$	363,090,300
Retained earnings		(8,831,515	)

Net assets, December 31, 2006	$	354,258,785

Net asset value and redemption price per share, ($354,258,785 / 31,451,198 outstanding shares of beneficial interest (authorized 100,000,000 shares)	$	11.26

STATEMENT OF OPERATIONS

Year Ended December 31, 2006


INVESTMENT INCOME
Unaffiliated interest income	$	16,477,819
Affiliated dividend income		2,434,419
Affiliated income from securities loaned, net		34,508

		18,946,746

EXPENSES
Management fee		1,443,993
Shareholders’ reports		180,000
Custodian’s fees and expenses		125,000
Audit fee		20,000
Trustees’ fees		15,000
Insurance expenses		10,000
Legal fees and expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $1,200) (Note 4)		1,300
Miscellaneous		10,117

Total expenses		1,812,410

NET INVESTMENT INCOME		17,134,336


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		(2,290,853	)
Foreign currency transactions		(458,252	)
Futures transactions		80,611
Short sale transactions		(241,211	)
Swap transactions		21,961
Options written transactions		22,688

		(2,865,056	)

Net change in unrealized appreciation (depreciation) on:
Investments		(818,410	)
Foreign currencies		7,015
Futures		(245,148	)
Short sales		3,281
Swaps		(179,302	)
Options written		(17,582	)

		(1,250,146	)

NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(4,115,202	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	13,019,134

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2006			2005
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	17,134,336		$	16,624,367
Net realized gain (loss) on investments, swaps and foreign currency transactions		(2,865,056	)		225,247
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(1,250,146	)		(6,657,947	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		13,019,134			10,191,667

DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income		—			(18,278,784	)
Distributions		(17,558,195	)		—

TOTAL DIVIDENDS AND DISTRIBUTIONS		(17,558,195	)		(18,278,784	)

SERIES SHARE TRANSACTIONS:
Series share sold [1,318,889 and 1,193,333 shares, respectively]		14,867,273			13,825,736
Series share issued in reinvestment of dividends and distributions [1,568,051 and 1,593,500 shares, respectively]		17,558,195			18,278,784
Series share repurchased [4,593,356 and 5,694,737 shares, respectively]		(51,789,971	)		(66,011,678	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(19,364,503	)		(33,907,158	)

TOTAL DECREASE IN NET ASSETS		(23,903,564	)		(41,994,275	)
NET ASSETS:
Beginning of year		378,162,349			420,156,624

End of year	$	354,258,785		$	378,162,349	(a)

(a) Includes undistributed net investment income of:				$	1,093,680

SEE NOTES TO FINANCIAL STATEMENTS.


		*STOCK INDEX PORTFOLIO*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2006


ASSETS
Investments, at value including securities on loan of $312,744,658:
Unaffiliated investments (cost $1,850,312,530)	$	3,250,965,027
Affiliated investments (cost $377,537,575)		377,537,575
Dividends receivable		4,592,791
Receivable for investments sold		4,107,723
Prepaid expenses		49,878
Receivable for Series shares sold		48,699

Total Assets		3,637,301,693

LIABILITIES
Collateral for securities on loan		324,986,258
Payable for investments purchased		2,864,453
Payable for Series shares repurchased		1,249,938
Management fee payable		981,721
Accrued expenses		553,223
Due to broker-variation margin		226,399
Payable to custodian		29,817
Transfer agent fee payable		908

Total Liabilities		330,892,717

NET ASSETS	$	3,306,408,976


Net assets were comprised of:
Paid-in capital	$	1,990,761,212
Retained earnings		1,315,647,764

Net assets, December 31, 2006	$	3,306,408,976

Net asset value and redemption price per share, $3,306,408,976 / 92,784,961 outstanding shares of beneficial interest (authorized 275,000,000 shares)	$	35.64

STATEMENT OF OPERATIONS

Year Ended December 31, 2006


INVESTMENT INCOME
Unaffiliated dividend income	$	60,380,082
Affiliated dividend income		2,448,969
Affiliated income from securities loaned, net		359,549
Interest		214,996

		63,403,596

EXPENSES
Management fee		11,168,545
Custodian’s fees and expenses		260,000
Shareholders’ reports		250,000
Insurance expenses		84,000
Trustees’ fees		49,000
Commitment fee on syndicated credit agreement		18,000
Audit fee		15,000
Legal fees and expenses		10,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		6,000
Miscellaneous		10,234

Total expenses		11,870,779

NET INVESTMENT INCOME		51,532,817


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments		(71,148,376	)
Futures transactions		4,536,149

		(66,612,227	)

Net change in unrealized appreciation (depreciation) on:
Investments		476,053,748
Futures		1,059,651

		477,113,399

NET GAIN ON INVESTMENTS		410,501,172

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	462,033,989

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2006			2005
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	51,532,817		$	48,182,909
Net realized loss on investments		(66,612,227	)		(10,086,564	)
Net change in unrealized appreciation (depreciation) on investments		477,113,399			103,847,958

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		462,033,989			141,944,303

DIVIDENDS AND DISTRIBUTIONS:
Dividends from net investment income		—			(47,928,302	)
Distributions from net realized capital gains		—			(80,427,226	)
Distributions		(59,982,933	)		—

TOTAL DIVIDENDS AND DISTRIBUTIONS		(59,982,933	)		(128,355,528	)

SERIES SHARE TRANSACTIONS:
Series shares sold [2,413,005 and 10,979,065 shares, respectively]		80,048,346			339,642,147
Series shares issued in reinvestment of dividends and distributions [1,700,891 and 4,228,580 shares, respectively]		59,982,933			128,355,528
Series shares repurchased [13,622,829 and 11,826,004 shares, respectively]		(448,417,431	)		(363,515,389	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(308,386,152	)		104,482,286

TOTAL INCREASE IN NET ASSETS		93,664,904			118,071,061
NET ASSETS:
Beginning of year		3,212,744,072			3,094,673,011

End of year	$	3,306,408,976		$	3,212,744,072	(a)

(a) Includes undistributed net investment income of:				$	1,844,408

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS — 88.9%		Value (Note 2)
COMMON STOCKS — 56.1%	Shares	Value (Note 2)
Aerospace & Defense — 1.2%
Boeing Co.	86,300	$	7,666,892
General Dynamics Corp.	43,000		3,197,050
Goodrich Corp.	14,300		651,365
Honeywell International, Inc.	91,512		4,140,003
L-3 Communications Holdings, Inc.	14,300		1,169,454
Lockheed Martin Corp.	39,200		3,609,144
Northrop Grumman Corp.	37,962		2,570,027
Raytheon Co.	48,200		2,544,960
Rockwell Collins, Inc.	18,100		1,145,549
United Technologies Corp.	109,100		6,820,932

			33,515,376

Air Freight & Logistics — 0.4%
FedEx Corp.	32,200		3,497,564
United Parcel Service, Inc.	117,000		8,772,660

			12,270,224

Airlines — 0.1%
Air France KLM (France)	25,467		1,072,065
British Airways PLC (United Kingdom)(a)	11,347		117,196
Qantas Airways Ltd. (Australia)	147,621		608,460
Southwest Airlines Co.	81,200		1,243,983

			3,041,704

Auto Components — 0.1%
Continental AG (Germany)	7,471		869,932
Goodyear Tire & Rubber Co. (The)(a)(b)	20,500		430,295
Johnson Controls, Inc.	21,300		1,830,096
Michelin (CDGE) “Class B” (France)	4,090		391,426
Rieter Holding AG (Switzerland)	412		215,552
Stanley Electric Co Ltd	11,000		219,756

			3,957,057

Automobiles — 0.4%
DaimlerChrysler AG (Germany)	7,932		491,385
Fiat SpA (Italy)	18,949		362,196
Ford Motor Co.(b)	192,995		1,449,392
General Motors Corp.(b)	59,991		1,842,924
Harley-Davidson, Inc.(b)	29,800		2,100,006
Honda Motor Co. Ltd. (Japan)	31,100		1,227,491
Renault SA (France)	6,703		805,192
Toyota Motor Corp. (Japan)	41,900		2,804,241
Volkswagen AG (Germany)	2,865		325,095
Yamaha Motor Co. Ltd. (Japan)	13,400		421,212

			11,829,134

Beverages — 1.1%
Anheuser-Busch Cos., Inc.	82,400		4,054,080
Brown-Forman Corp. “Class B”	7,700		510,048
Carlsberg A/S (Denmark)	600		59,588
Coca-Cola Co. (The)	223,100		10,764,575
Coca-Cola Enterprises, Inc.	33,500		684,070
Coca-Cola Hellenic Bottling Co. SA (Greece)	3,180		124,253
Constellation Brands, Inc.(a)(b)	19,100		554,282
Foster’s Group Ltd. (Australia)	104,496		569,836
InBev NV (Belgium)	588		38,763


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Beverages (cont’d.)
Molson Coors Brewing Co. “Class B”(a)	6,400	$	489,216
Pepsi Bottling Group, Inc.	16,600		513,106
PepsiCo, Inc.	178,230		11,148,287
SABMiller PLC (United Kingdom)	26,325		605,640

			30,115,744

Biotechnology — 0.7%
Amgen, Inc.(a)	127,260		8,693,131
Biogen Idec, Inc.(a)(b)	36,690		1,804,781
Celgene Corp.(a)(b)	39,700		2,283,941
Genzyme Corp.(a)	28,700		1,767,346
Gilead Sciences, Inc.(a)	46,700		3,032,231
MedImmune, Inc.(a)	28,000		906,360

			18,487,790

Building Products — 0.2%
American Standard Cos., Inc.	19,100		875,735
Cie de Saint-Gobain (France)	14,772		1,241,156
Geberit AG (Switzerland)	257		396,098
JS Group Corp. (Japan)	2,000		42,058
Masco Corp.	45,300		1,353,112
Nippon Sheet Glass Co. Ltd. (Japan)	78,000		365,275
Sanwa Shutter Corp. (Japan)	19,000		112,130

			4,385,564

Capital Markets — 2.2%
Ameriprise Financial, Inc.	30,620		1,668,790
Bank of New York Co., Inc. (The)	85,100		3,350,387
Bear Stearns Cos., Inc. (The)	14,616		2,379,192
Charles Schwab Corp. (The)	116,050		2,244,407
Credit Suisse Group (Switzerland)	24,488		1,713,256
D Carnegie AB (Sweden)	7,500		161,592
Deutsche Bank AG (Germany)	14,435		1,935,591
E*TRADE Financial Corp.(a)	48,300		1,082,886
Federated Investors, Inc. “Class B”	6,700		226,326
Franklin Resources, Inc.	19,700		2,170,349
Goldman Sachs Group, Inc.	48,200		9,608,670
Janus Capital Group, Inc.(b)	31,900		688,721
Legg Mason, Inc.(b)	13,500		1,283,175
Lehman Brothers Holdings, Inc.(b)	62,000		4,843,440
Macquarie Bank Ltd. (Australia)	4,918		305,681
Man Group PLC (United Kingdom	4,122		42,190
Mellon Financial Corp.	43,400		1,829,310
Merrill Lynch & Co., Inc.(b)	100,800		9,384,480
Morgan Stanley	119,580		9,737,400
Northern Trust Corp.	19,700		1,195,593
State Street Corp.	37,800		2,549,232
T. Rowe Price Group, Inc.	27,600		1,208,052
UBS AG (Switzerland)	26,580		1,615,305

			61,224,025

Chemicals — 1.0%
Air Products and Chemicals, Inc.	24,500		1,721,860
Asahi Chemical Industry Co. Ltd	48,000		314,699
Ashland, Inc.	8,100		560,358
BASF AG (Germany)	14,608		1,428,693
Denki Kagaku Kogyo K K (Japan)	11,000		45,647
Dow Chemical Co. (The)	102,331		4,087,100

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Chemicals (cont’d.)
Du Pont E. I. de Nemours & Co.	96,020	$	4,677,135
Eastman Chemical Co.	9,800		581,238
Ecolab, Inc.	21,200		958,240
Hercules, Inc.(a)	11,500		222,065
International Flavors & Fragrances, Inc.	9,100		447,356
Koninklijke DSM NV (Netherlands)	13,669		675,375
Mitsubishi Chemical Holdings Corp. (Japan)	138,000		868,962
Mitsubishi Gas Chemical Co., Inc. (Japan)	24,000		251,109
Mitsui Chemicals Inc.	63,000		484,355
Monsanto Co.	59,194		3,109,461
Nippon Shokubai Co. Ltd.	12,000		127,735
Orica Ltd. (Australia)	8,695		166,228
PPG Industries, Inc.	17,600		1,130,096
Praxair, Inc.	33,100		1,963,823
Rohm & Haas Co.	16,711		854,266
Sigma-Aldrich Corp.	7,900		613,988
Sumitomo Bakelite Co. Ltd. (Japan)	13,000		89,784
Sumitomo Chemical Co. Ltd. (Japan)	50,000		386,923
Teijin Ltd. (Japan)	67,000		412,506
Yara International ASA (Norway)	9,000		204,605

			26,383,607

Commercial Banks — 3.1%
Allied Irish Banks PLC (Ireland)	2,297		68,223
Alpha Bank (Greece)	4,298		129,924
Australia And New Zealand Banking Group Ltd. (Australia)	32,156		713,712
Banche Popolari Unite Scpa (Italy)	16,362		449,682
Banco Bilbao Vizcaya Argentaria SA (Spain)	74,746		1,799,706
Banco Comercial Portugues SA (Portugal)	127,436		471,019
Banco Espirito Santo SA (Portugal)	28,843		518,569
Banco Popolare di Verona (Italy)	27,020		775,771
Banco Popular Espanol SA (Spain)	14,784		267,948
Banco Santander Central Hispano SA (Spain)	127,293		2,375,979
Bank of Ireland (Ireland)	2,712		62,649
Barclay’s PLC (United Kingdom)	85,086		1,216,157
BB&T Corp.	60,600		2,662,158
BNP Paribas (France)	18,630		2,032,565
Comerica, Inc.	20,500		1,202,940
Commerce Bancorp, Inc.	16,700		589,009
Commerzbank AG (Germany)	11,366		431,354
Compass Bancshares, Inc.	12,800		763,520
Credit Agricole SA (France)	26,812		1,127,622
Danske Bank A/S (Denmark)	20,300		902,015
DBS Group Holdings Ltd. (Singapore)	46,000		675,325
Dexia (Belgium)	28,302		775,218
DNB NOR ASA (Norway)	70,000		993,553
Fifth Third Bancorp	61,521		2,518,055
First Horizon National Corp.(b)	13,600		568,208
Gunma Bank Ltd. (The) (Japan)	4,000		24,046
HSBC Holdings PLC (United Kingdom)	192,206		3,503,687


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Commercial Banks (cont’d.)
Huntington Bancshares, Inc.(b)	33,036	$	784,605
KeyCorp	46,600		1,772,198
Lloyds TSB Group PLC (United Kingdom)	33,095		370,329
M&T Bank Corp.	8,300		1,013,928
Marshall & Ilsley Corp.	23,700		1,140,207
Mitsubishi Financial Group, Inc. (Japan)	32		396,986
Mitsui Trust Holdings, Inc. (Japan)	63,000		719,756
Mizuho Financial Group, Inc. (Japan)	115		820,291
National Australia Bank Ltd. (Australia)	6,163		196,210
National City Corp.(b)	64,500		2,358,120
PNC Financial Services Group, Inc.(b)	35,900		2,658,036
Regions Financial Corp.	83,903		3,137,972
Royal Bank of Scotland Group PLC (United Kingdom)	34,725		1,355,059
Sapporo Hokuyo Holdings, Inc (Japan)	3		28,953
Shinsei Bank Ltd. (Japan)	111,000		652,435
Skandinaviska Enskilda Banken AB “A Shares” (Sweden)	14,600		463,851
Societe Generale (France)	9,526		1,617,113
SunTrust Banks, Inc.(b)	40,200		3,394,890
Svenska Handelbanken “A Shares” (Sweden)	7,400		223,753
Synovus Financial Corp.	35,050		1,080,592
U.S. Bancorp	194,985		7,056,506
UniCredito Italiano SpA (Italy)	198,310		1,738,207
Wachovia Corp.(e)	203,540		11,591,602
Wells Fargo & Co.	369,500		13,139,419
Westpac Banking Corp. (Australia)	31,382		598,772
Zions Bancorporation	13,250		1,092,330

			87,020,734

Commercial Services & Supplies — 0.3%
Allied Waste Industries, Inc.(a)(b)	26,400		324,456
Avery Dennison Corp.	12,300		835,539
Cintas Corp.	15,100		599,621
Equifax, Inc.	14,600		592,760
Michael Page International PLC (United Kingdom)	26,133		231,407
Monster Worldwide, Inc.(a)	13,100		610,984
Pitney Bowes, Inc.	21,600		997,704
Randstad Holding NV (Netherlands)	1,545		106,868
Robert Half International, Inc.	21,900		812,928
RR Donnelley & Sons Co.	23,000		817,420
SGS SA (Switzerland)	131		145,998
Waste Management, Inc.	56,942		2,093,757

			8,169,442

Communications Equipment — 1.4%
ADC Telecommunications, Inc.(a)	14,771		214,623
Avaya, Inc.(a)	49,570		692,989
Ciena Corp.(b)	9,142		253,325
Cisco Systems, Inc.(a)	658,600		17,999,537
Comverse Technology, Inc.(a)(b)	18,400		388,424
Corning, Inc.(a)	159,100		2,976,761
Foxconn International Holdings Ltd. (Hong Kong)(a)	274,000		893,669

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Communications Equipment (cont’d.)
JDS Uniphase Corp.(a)	11,375	$	189,508
Juniper Networks, Inc.(a)	51,600		977,304
Motorola, Inc.	266,425		5,477,698
Nokia Corp. (Finland)	12,850		262,581
QUALCOMM, Inc.	180,800		6,832,431
Telent PLC (United Kingdom)(a)	4,333		40,108
Tellabs, Inc.(a)	45,800		469,908

			37,668,866

Computers & Peripherals — 1.9%
Apple Computer, Inc.(a)	91,600		7,771,344
Dell, Inc.(a)	244,500		6,134,505
EMC Corp.(a)(b)	248,350		3,278,220
Hewlett-Packard Co.	302,348		12,453,714
International Business Machines Corp.	167,300		16,253,195
Lexmark International, Inc.(a)(b)	12,533		917,416
NCR Corp.(a)	20,900		893,684
Network Appliance, Inc.(a)	41,700		1,637,976
QLogic Corp.(a)	20,600		451,552
SanDisk Corp.(a)(b)	19,000		817,570
Sun Microsystems, Inc.(a)	369,400		2,002,148
Toshiba Corp. (Japan)	10,000		64,982
Wincor Nixdorf AG (Germany)	486		75,099

			52,751,405

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)	6,223		350,847
Chiyoda Corp. (Japan)	5,000		97,745
COMSYS Holdings Corp. (Japan)	10,000		110,489
Fluor Corp.	9,700		792,005
Fomento de Construcciones Y Contratas SA (Spain)	821		83,666
Kajima Corp. (Japan)	31,000		135,728
Obayashi Corp. (Japan)	135,000		875,175

			2,445,655

Construction Materials — 0.1%
Cimpor Cimentos de Portugal SGPS SA (Portugal)	26,165		217,250
CRH PLC (Ireland)	1,105		46,006
Fletcher Building Ltd. (New Zealand)	8,419		65,521
Holcim Ltd. “B Shares” (Switzerland)	3,487		319,654
Italcementi SpA (Italy)	7,499		211,542
Lafarge SA (France)	2,544		378,468
Taiheiyo Cement Corp. (Japan)	12,000		46,996
Vulcan Materials Co.	10,600		952,623

			2,238,060

Consumer Finance — 0.5%
American Express Co.	132,400		8,032,708
Capital One Financial Corp.	49,661		3,814,958
ORIX Corp. (Japan)	3,080		893,176
SLM Corp.	43,200		2,106,864

			14,847,706

Containers & Packaging — 0.1%
Ball Corp.	12,000		523,200
Bemis Co.	11,300		383,974


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Containers & Packaging (cont’d.)
Pactiv Corp.(a)	15,600	$	556,764
Sealed Air Corp.(a)	9,300		603,756
Temple-Inland, Inc.	13,000		598,390

			2,666,084

Distributors — 0.1%
Genuine Parts Co.	18,800		891,684
Li & Fung Ltd. (Hong Kong)	130,000		403,628
Pacific Brands Ltd. (Australia)	116,210		239,057

			1,534,369

Diversified Consumer Services — 0.1%
Apollo Group, Inc.(a)(b)	14,800		576,756
H&R Block, Inc.	36,100		831,744

			1,408,500

Diversified Financial Services — 3.0%
Babcock & Brown Ltd. (Australia)	11,219		218,600
Bank of America Corp.	495,338		26,446,095
Challenger Financial Services Group Ltd. (Australia)	62,164		201,413
Chicago Mercantile Exchange Holdings, Inc.(b)	4,100		2,089,975
CIT Group, Inc.	23,500		1,310,595
Citigroup, Inc.	538,358		29,986,540
Fortis (Belgium)	32,439		1,383,973
ING Groep NV (Netherlands)	38,582		1,710,738
JPMorgan Chase & Co.	383,601		18,527,928
Moody’s Corp.	28,300		1,954,398
OKO Bank PLC (Finland)	23,100		387,262
Suncorp-Metway Ltd.	10,583		169,611

			84,387,128

Diversified Telecommunication Services — 1.7%
AT&T, Inc.(b)	424,073		15,160,610
Belgacom SA (Belgium)	15,659		689,777
BellSouth Corp.	196,600		9,261,826
BT Group PLC (United Kingdom)	126,583		747,259
CenturyTel, Inc.	14,000		611,240
Citizens Communications Co.	36,000		517,320
Embarq Corp.(a)	15,643		822,196
France Telecom SA (France)	1,419		39,242
Nippon Telegraph & Telephone Corp. (Japan)	220		1,084,927
Qwest Communications International, Inc.(a)(b)	171,257		1,433,421
Royal KPN NV (Netherlands)	43,376		616,672
Swisscom AG (Switzerland)	1,447		547,746
Telecom Corp. of New Zealand Ltd. (New Zealand)	308,025		1,041,749
Telecom Italia SpA (Italy)	295,654		750,112
Telefonica SA (Spain)	20,281		431,562
Telia Sonera AB (Sweden)	41,000		336,878
Verizon Communications Group Inc.	314,676		11,718,534
Windstream Corp.	47,457		674,839

			46,485,910

Electric Utilities — 1.2%
Allegheny Energy, Inc.(a)	16,900		775,879
American Electric Power Co., Inc.	42,660		1,816,463

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Electric Utilities (Cont’d.)
CLP Holdings Ltd. (Hong Kong)	35,500	$	262,039
Duke Energy Corp.(b)	131,324		4,361,270
E.ON AG (Germany)	14,991		2,043,984
Edison International	36,500		1,660,020
Endesa SA (Spain)	30,512		1,443,132
Enel SpA (Italy)	27,024		278,784
Entergy Corp.	21,700		2,003,344
Exelon Corp.	71,774		4,442,093
FirstEnergy Corp.	36,001		2,170,860
FPL Group, Inc.(b)	42,800		2,329,176
Hokkaido Electric Power Co., Inc. (Japan)	23,100		589,958
Hong Kong Electric Holdings (Hong Kong)	7,000		34,229
Kansai Electric Power Co. Inc. (The) (Japan)	18,700		503,405
Kyushu Electric Power Co. Inc.	15,900		419,300
Pinnacle West Capital Corp.	11,500		582,935
PPL Corp.	41,500		1,487,360
Progress Energy, Inc.	27,683		1,358,682
Southern Co. (The)	82,100		3,026,206
Tokyo Electric Power Co., Inc. (The) (Japan)	26,900		869,040
Union Fenosa SA (Spain)	5,956		294,832

			32,752,991

Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)	36,137		648,004
American Power Conversion Corp.	12,100		370,139
Cooper Industries Ltd.	10,300		931,429
Emerson Electric Co.	90,200		3,976,918
Fujikura Ltd. (Japan)	25,000		219,775
Mitsubishi Electronics Corp. (Japan)	114,000		1,038,818
Rockwell Automation, Inc.	19,500		1,191,060
Schneider Electric SA (France)	2,217		246,122

			8,622,265

Electronic Equipment & Instruments — 0.2%
Agilent Technologies, Inc.(a)	54,614		1,903,299
Dainippon Screen Manufacturing Co. Ltd. (Japan)	5,000		44,842
Ibiden Co. Ltd. (Japan)	1,100		55,327
Jabil Circuit, Inc.	18,600		456,630
Kingboard Chemical Holdings Ltd. (Hong Kong)	36,500		143,329
Kyocera Corp. (Japan)	2,000		189,065
Molex, Inc.	16,700		528,221
Nippon Electric Glass Co., Ltd.	8,000		167,749
Sanmina-SCI Corp.(a)	54,200		186,990
Solectron Corp.(a)(b)	109,300		351,946
Symbol Technologies, Inc.	31,900		476,586
TDK Corp. (Japan)	600		47,772
Tektronix, Inc.	10,600		309,202
Venture Manufacturing (Singapore) Ltd. Corp.	13,000		114,021
Yaskawa Electric Corp. (Japan)	58,000		670,436

			5,645,415


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Energy Equipment & Services — 0.9%
Baker Hughes, Inc.	39,150	$	2,922,939
Fugro NV (Netherlands)	5,784		276,392
Halliburton Co.(b)	111,000		3,446,550
Nabors Industries Ltd. (Bermuda)(a)	35,300		1,051,234
National Oilwell Varco, Inc.(a)(b)	18,800		1,150,184
Noble Corp.(b)	14,800		1,127,020
Rowan Cos., Inc.	6,700		222,440
Schlumberger Ltd.	129,300		8,166,588
Smith International, Inc.	17,900		735,153
TGS Nopec Geophysical Co. Asa(a) (Norway)	11,522		238,379
Transocean, Inc.(a)(b)	35,897		2,903,708
Weatherford International Ltd.(a)	36,100		1,508,619

			23,749,206

Food & Staples Retailing — 1.2%
Aeon Co. Ltd. (Japan)	15,700		339,565
Casino GuichardPerrachon SA (France)	7,369		684,810
Costco Wholesale Corp.	52,100		2,754,527
CVS Corp.(b)	90,500		2,797,355
Delhaize Group (Belgium)	2,654		221,240
FamilyMart Co. Ltd. (Japan)	3,000		81,551
J. Sainsbury PLC (United Kingdom)	74,197		594,544
Koninklijke Ahold NV (Netherlands)(a)	51,070		543,362
Kroger Co. (The)	77,146		1,779,758
Safeway, Inc.	48,600		1,679,616
Supervalu, Inc.	20,010		715,358
Sysco Corp.	68,300		2,510,708
Walgreen Co.(b)	108,600		4,983,654
Wal-Mart Stores, Inc.	269,700		12,454,745
Whole Foods Market, Inc.(b)	14,100		661,713
Woolworths Ltd. (Australia)	10,721		201,945

			33,004,451

Food Products — 0.7%
Archer-Daniels-Midland Co.(b)	72,326		2,311,540
Campbell Soup Co.	20,500		797,245
ConAgra Foods, Inc.	57,300		1,547,100
Dean Foods Co.(a)	15,600		659,568
Ebro Puleva SA (Spain)	8,051		204,051
General Mills, Inc.	38,200		2,200,320
Groupe Danone (France)	270		40,916
H.J. Heinz Co.	35,100		1,579,851
Hershey Co. (The)	18,300		911,340
Kellogg Co.	27,400		1,371,644
McCormick & Co., Inc.	15,000		578,400
Nestle SA “B Shares” (Switzerland)	2,874		1,021,290
Nichirei Corp. (Japan)	11,000		61,608
Nisshin Scifon Group, Inc. (Japan)	11,500		118,678
Sara Lee Corp.	86,200		1,467,986
Suedzucker AG (Germany)	31,115		747,121
The East Asiatic Co. Ltd. (Denmark)	8,275		462,912
Tyson Foods, Inc. “Class A”	22,700		373,415
Unilever NV (Netherlands)	40,896		1,117,480
Unilever PLC (United Kingdom)	37,773		1,056,132
WM Wrigley Jr. Co.	23,100		1,194,732
Yamazaki Baking Co. Ltd.	14,000		135,891

			19,959,220

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Gas Utilities — 0.1%
Gas Natural SDG SA (Spain)	5,798	$	229,532
Gaz De France SA (France)	6,055		278,552
Nicor, Inc.	4,600		215,280
Peoples Energy Corp.	1,600		71,312
Questar Corp.	9,400		780,670

			1,575,346

Healthcare Equipment & Supplies — 0.8%
Ansell Ltd	8,085		71,706
Bard C.R., Inc.	10,900		904,373
Bausch & Lomb, Inc.(b)	6,700		348,802
Baxter International, Inc.	69,000		3,200,910
Becton Dickinson & Co.	27,300		1,915,095
Biomet, Inc.	26,300		1,085,401
Boston Scientific Corp.(a)	127,967		2,198,473
Cochlear Ltd. (Australia)	3,521		160,689
Hospira, Inc.(a)	16,760		562,801
Medtronic, Inc.	126,100		6,747,611
Phonak Holding AG (Switzerland)	1,432		113,996
St. Jude Medical, Inc.(a)	39,000		1,425,840
Stryker Corp.	32,600		1,796,586
Zimmer Holdings, Inc.(a)	26,900		2,108,422

			22,640,705

Healthcare Providers & Services — 1.3%
Aetna, Inc.	67,200		2,901,696
AmerisourceBergen Corp.(b)	25,000		1,124,000
Cardinal Health, Inc.	43,850		2,825,256
Caremark Rx, Inc.	50,100		2,861,211
Cigna Corp.	12,600		1,657,782
Coventry Health Care, Inc.(a)	19,750		988,488
Express Scripts, Inc.(a)(b)	17,600		1,260,160
Fresenius Medical Care AG (Germany)	583		77,782
Health Management Associates, Inc. “Class A”	28,600		603,746
Humana, Inc.(a)	17,400		962,394
Laboratory Corp. of America Holdings(a)(b)	13,100		962,457
Manor Care, Inc.	7,500		351,900
McKesson Corp.	32,130		1,628,991
Medco Health Solutions, Inc.(a)	31,549		1,685,979
Patterson Cos., Inc.(a)	10,000		355,100
Quest Diagnostics, Inc.	18,300		969,900
Suzuken Co. Ltd. (Japan)	8,400		315,821
Tenet Healthcare Corp.(a)	44,600		310,862
UnitedHealth Group, Inc.	148,300		7,968,158
WellPoint, Inc.(a)	69,800		5,492,561

			35,304,244

Healthcare Technology
IMS Health, Inc.	22,500		618,300

Hotels, Restaurants & Leisure — 0.8%
Carnival Corp.(b)	47,800		2,344,590
Carnival PLC (United Kingdom)	5,774		292,583
Darden Restaurants, Inc.(b)	15,150		608,576
Enterprise Inns PLC (United Kingdom)	20,592		545,513
Harrah’s Entertainment, Inc.	21,500		1,778,480
Hilton Hotels Corp.(b)	34,500		1,204,050
International Game Technology(b)	35,900		1,658,580


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Hotels, Restaurants & Leisure (cont’d.)
Marriott International, Inc. “Class A”	34,400	$	1,641,568
McDonald’s Corp.(b)	133,600		5,922,488
Starbucks Corp.(a)(b)	82,300		2,915,066
Starwood Hotels & Resorts Worldwide, Inc.	23,100		1,443,750
Wendy’s International, Inc.	9,600		317,664
Wyndham Worldwide Corp.(a)	20,420		653,848
Yum! Brands, Inc.	31,600		1,858,080

			23,184,836

Household Durables — 0.4%
Barratt Developments PLC (United Kingdom)	34,949		845,104
Black & Decker Corp.	8,700		695,739
Bovis Homes Group PLC (United Kingdom)	7,889		167,440
Centex Corp.(b)	12,300		692,121
D.R. Horton, Inc.	23,700		627,813
Fortune Brands, Inc.(b)	16,300		1,391,857
George Wimpey PLC (United Kingdom)	62,831		687,078
Harman International Industries, Inc.	8,000		799,280
KB Home	9,200		471,776
Leggett & Platt, Inc.	22,500		537,750
Lennar Corp.	16,400		860,344
Makita Corp. (Japan)	28,200		864,316
Matsushita Electric Industrial Co. Ltd. (Japan)	14,000		280,721
Newell Rubbermaid, Inc.	32,314		935,490
Pulte Homes, Inc.	17,200		569,664
Sekisui House Ltd.	8,000		116,186
Snap-On, Inc.	4,900		233,436
Stanley Works (The)	5,900		296,711
Taylor Woodrow PLC (United Kingdom)	47,224		394,127
Whirlpool Corp.	7,526		624,809

			12,091,762

Household Products — 1.1%
Clorox Co.	16,500		1,058,475
Colgate-Palmolive Co.	55,600		3,627,344
Kimberly-Clark Corp.	49,400		3,356,730
Procter & Gamble Co.	350,325		22,515,388
Reckitt Benckiser PLC (United Kingdom)	22,401		1,023,710

			31,581,647

Independent Power Producers & Energy Traders — 0.2%
AES Corp. (The)(a)	71,700		1,580,268
Constellation Energy Group, Inc.	20,400		1,404,948
Dynegy, Inc. “Class A”(a)	37,500		271,500
International Power PLC (United Kingdom)	115,618		864,198
TXU Corp.	49,900		2,705,079

			6,825,993

Industrial Conglomerates — 2.1%
3M Co.	81,300		6,335,709
Cookson Group PLC (United Kingdom)	16,043		197,267
General Electric Co.	1,121,600		41,734,737

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Industrial Conglomerates (cont’d.)
Orkla ASA (Norway)	17,600	$	996,407
Siemens AG (Germany)	1,368		136,520
Textron, Inc.	13,800		1,294,026
Tyco International Ltd. (Bermuda)	219,261		6,665,534

			57,360,200

Insurance — 2.6%
ACE Ltd. (Bermuda)	36,000		2,180,520
Aegon NV (Netherlands)	48,143		917,675
Aflac, Inc.(b)	53,800		2,474,800
Allianz AG (Germany)	8,137		1,663,920
Allstate Corp. (The)	72,600		4,726,986
AMBAC Financial Group, Inc.	11,300		1,006,491
American International Group, Inc.	282,188		20,221,592
AON Corp.	34,200		1,208,628
Aviva PLC (United Kingdom)	85,093		1,369,539
AXA SA (France)	24,363		986,355
Chubb Corp.	51,800		2,740,738
Cincinnati Financial Corp.	17,837		808,194
CNP Assurances (France)	2,118		236,529
Fondiaria-Sai SpA (Italy)	2,967		141,937
Genworth Financial, Inc.	49,500		1,693,395
Hartford Financial Services Group, Inc.	33,100		3,088,561
Lincoln National Corp.	30,917		2,052,889
Loews Corp.	45,800		1,899,326
Marsh & McLennan Cos., Inc.	61,300		1,879,458
MBIA, Inc.(b)	14,350		1,048,411
MetLife, Inc.	81,100		4,785,711
Muenchener Rueckversicherungs — Gesellschaft AG (Germany)	7,869		1,360,754
Principal Financial Group	30,700		1,802,090
Progressive Corp. (The)	83,400		2,019,948
Royal & Sun Alliance Insurance Group PLC (United Kingdom)	266,881		796,886
SAFECO Corp.	15,900		994,545
SCOR (France)	24,972		73,840
St. Paul Travelers Cos., Inc. (The)	79,035		4,243,389
Swiss Reinsurance (Switzerland)	9,365		796,236
Topdanmark A/S (Denmark)(a)	600		99,207
Torchmark Corp.	11,500		733,240
Unipol SpA (Italy)	29,919		96,959
UnumProvident Corp.	32,210		669,324
XL Capital Ltd. “Class A” (Bermuda)	18,900		1,361,178
Zurich Financial Services AG (Switzerland)	4,424		1,190,867

			73,370,118

Internet & Catalog Retail — 0.1%
Amazon.com, Inc.(a)(b)	29,500		1,164,070
Experian Group Ltd. (Ireland)(a)	9,339		109,622
IAC/InterActiveCorp(a)(b)	19,300		717,188

			1,990,880

Internet Software & Services — 0.7%
eBay, Inc.(a)(b)	124,100		3,731,687
Google, Inc. “Class A”(a)	22,900		10,544,992
Verisign, Inc.(a)	26,500		637,325
Yahoo!, Inc.(a)	130,400		3,330,416

			18,244,420


COMMON STOCKS (Continued)	Shares	Value (Note 2)
IT Services — 0.6%
Affiliated Computer Services, Inc.(a)	13,700	$	669,108
Automatic Data Processing, Inc.	61,000		3,004,251
Cognizant Technology SolutionsCorp.(a)	14,900		1,149,684
Computer Sciences Corp.(a)	17,400		928,638
Convergys Corp.(a)	14,800		351,944
Electronic Data Systems Corp.	54,100		1,490,455
Fidelity National Information Services, Inc.	14,600		585,314
First Data Corp.	80,610		2,057,167
Fiserv, Inc.(a)	21,300		1,116,546
NTT Data Corp. (Japan)	181		906,122
Paychex, Inc.	36,800		1,455,072
Sabre Holdings Corp.	14,526		463,234
Unisys Corp.(a)	49,200		385,728
Western Union Co.	80,610		1,807,276

			16,370,539

Leisure Equipment & Products — 0.2%
Brunswick Corp.	7,200		229,680
Eastman Kodak Co.	27,400		706,920
FUJIFILM Holdings Corp. (Japan)	12,700		523,089
Hasbro, Inc.	21,500		585,875
Mattel, Inc.	42,651		966,472
Nikon Corp. (Japan)	42,000		920,635
Yamaha Corporation (Japan)	16,900		358,040

			4,290,711

Life Sciences, Tools & Services — 0.1%
Applera Corp. — Applied Biosystems Group	20,300		744,807
Millipore Corp.(a)(b)	4,700		313,020
PerkinElmer, Inc.	12,800		284,544
Thermo Electron Corp.(a)	45,100		2,042,579
Waters Corp.(a)	12,500		612,125

			3,997,075

Machinery — 0.9%
Amada Co. Ltd. (Japan)	30,000		317,629
Caterpillar, Inc.	71,700		4,397,360
Cummins, Inc.	5,400		638,172
Danaher Corp.	24,800		1,796,512
Deere & Co.	24,800		2,357,736
Dover Corp.	22,500		1,102,950
Eaton Corp.	16,400		1,232,296
Illinois Tool Works, Inc.	44,300		2,046,217
Ingersoll-Rand Co. Ltd. “Class A” (Bermuda)	36,800		1,439,984
ITT Corp.	19,200		1,090,944
KCI Konecranes Oyj (Finland)	2,250		66,233
Komatsu Ltd. (Japan)	55,000		1,113,193
Komori Corp. (Japan)	14,000		260,745
Kubota Corp. (Japan)	59,000		546,398
MAN AG (Germany)	3,277		297,225
Metso Oyj (Finland)	6,300		318,015
Mitsubishi Heavy Industries Ltd. (Japan)	25,000		113,422
NSK Ltd. (Japan)	29,000		285,684
Paccar, Inc.(b)	26,262		1,704,404
Pall Corp.	10,000		345,500
Parker Hannifin Corp.	13,710		1,054,025
Terex Corp.(a)	7,500		484,350

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Machinery (cont’d.)
Vallourec	3,667	$	1,066,385
Volvo AB “B Shares” (Sweden)	8,400		578,532

			24,653,911

Marine
Kawasaki Kisen Kaisha Ltd. (Japan)	14,000		109,431
Mitsui O.S.K. Lines Ltd. (Japan)	102,000		1,007,420
Nippon Yusen KK (Japan)	6,000		43,878

			1,160,729

Media — 1.9%
APN News & Media Ltd. (Australia)	15,016		71,582
CBS Corp. “Class B”(b)	85,434		2,663,832
Clear Channel Communications, Inc.	55,600		1,976,024
Comcast Corp. “Class A”(a)(b)	231,960		9,818,868
DIRECTV Group, Inc. (The)(a)	76,000		1,895,440
Dow Jones & Co., Inc.(b)	6,800		258,400
E.W. Scripps Co.	8,600		429,484
Eniro AB (Sweden)	13,900		183,751
Gannett Co., Inc.	25,200		1,523,592
Interpublic Group of Cos., Inc.(a)(b)	37,200		455,328
ITV PLC (United Kingdom)	110,494		230,408
McGraw-Hill Cos., Inc. (The)	38,100		2,591,562
Meredith Corp.	2,700		152,145
New York Times Co. (The) “Class A”(b)	17,800		433,608
News Corp. “Class A”	244,400		5,249,712
Omnicom Group, Inc.	18,900		1,975,806
Reed Elsener PLC (UK)	7,548		82,835
Reed Elsevier NV (New Zealand)	5,029		85,769
Time Warner, Inc.	438,800		9,557,064
Tokyo Broadcasting System, Inc. (Japan)	1,300		43,316
Tribune Co.(b)	24,250		746,415
Univision Communications, Inc.(a)	20,300		719,026
Viacom, Inc. “Class B”(a)	76,234		3,127,881
Vivendi (France)	36,265		1,417,473
Walt Disney Co.	233,300		7,995,191

			53,684,512

Metals & Mining — 0.8%
Acerinox SA (Spain)	17,350		527,909
Alcoa, Inc.	96,240		2,888,161
Allegheny Technologies, Inc.	8,200		743,576
Anglo American PLC (United Kingdom)	30,860		1,505,145
BHP Billiton Ltd. (Australia)	31,001		616,582
BHP Billiton PLC (United Kingdom)	29,379		537,558
Boehler-Uddeholm AG (Austria)	1,268		88,880
Boliden AB (Sweden)	1,792		46,070
Freeport-McMoRan Copper & Gold, Inc.(b)	20,500		1,142,465
Mittal Steel Co. NV	4,664		196,891
Newmont Mining Corp. (Netherlands)	50,700		2,289,105
Nippon Light Metal Co. Ltd. (Japan)	43,000		110,202
Nippon Steel Corp. (Japan)	69,000		395,855
Nucor Corp.	32,200		1,760,052
Outokumpu Oyj “Class A” (Finland)	18,000		704,746
Phelps Dodge Corp.	22,586		2,703,995
Rio Tinto Ltd. (Australia)	5,753		334,932


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Metals & Mining (cont’d.)
Rio Tinto PLC (United Kingdom)	25,934	$	1,380,154
Salzgitter AG (Germany)	1,193		157,009
Sumitomo Metal Industries Ltd. (Japan)	106,000		460,222
ThyssenKrupp AG (Germany)	16,523		779,747
United States Steel Corp.	13,300		972,762
Xstrata PLC. (Switzerland)	10,090		503,779

			20,845,797

Multiline Retail — 0.6%
Big Lots, Inc.(a)	14,100		323,172
Dillard’s, Inc.	7,800		272,766
Dollar General Corp.	35,356		567,817
Family Dollar Stores, Inc.	18,900		554,337
Federated Department Stores, Inc.	59,074		2,252,492
J.C. Penney Co., Inc.	26,800		2,073,248
Kohl’s Corp.(a)	37,700		2,579,811
Marks & Spencer Group PLC (United Kingdom)	66,968		940,146
Nordstrom, Inc.	23,400		1,154,556
PPR SA (France)	602		89,956
Sears Holding Corp.(a)(b)	10,442		1,753,525
Target Corp.	90,400		5,157,320

			17,719,146

Multi-Utilities — 0.6%
Ameren Corp.(b)	21,400		1,149,822
CenterPoint Energy, Inc.(b)	36,700		608,486
CMS Energy Corp.(a)(b)	25,000		417,500
Consolidated Edison, Inc.(b)	27,000		1,297,890
Dominion Resources, Inc.(b)	39,516		3,313,020
DTE Energy Co.(b)	20,000		968,200
KeySpan Corp.	18,200		749,476
National Grid PLC (United Kingdom)	93,691		1,351,992
NiSource, Inc.	29,500		710,950
PG&E Corp.	37,000		1,751,210
Public Service Enterprise Group, Inc.	27,100		1,798,898
RWE AG (Germany)	480		52,882
Sempra Energy	27,819		1,558,977
Suez SA (France)	3,029		156,858
TECO Energy, Inc.	22,300		384,229
Xcel Energy, Inc.	45,810		1,056,379

			17,326,769

Office Electronics — 0.1%
Canon, Inc. (Japan)	20,550		1,156,968
Ricoh Co. Ltd. (Japan)	48,000		977,534
Xerox Corp.(a)	107,300		1,818,736

			3,953,238

Oil, Gas & Consumable Fuels — 4.6%
Anadarko Petroleum Corp.	48,354		2,104,366
Apache Corp.(b)	35,214		2,342,083
B.J. Services Co.	39,000		1,143,480
BP PLC (United Kingdom)	331,078		3,678,789
Chesapeake Energy Corp.	45,600		1,324,680
Chevron Corp.	239,122		17,582,640
ConocoPhillips	178,077		12,812,640
CONSOL Energy, Inc.(b)	17,300		555,849
Devon Energy Corp.	48,700		3,266,796
El Paso Corp.	76,136		1,163,358
ENI SpA (Italy)	60,280		2,027,502
EOG Resources, Inc.	27,300		1,704,885

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Oil, Gas & Consumable Fuels (cont’d.)
Exxon Mobil Corp.	641,240	$	49,138,220
Hess Corp.	24,800		1,229,336
Kinder Morgan, Inc.	10,800		1,142,100
Marathon Oil Corp.	38,291		3,541,918
Murphy Oil Corp.(b)	19,500		991,575
Neste Oil Oyj (Finland)	24,400		741,775
Nippon Oil Corp. (Japan)	88,000		588,495
Norsk Hydro ASA (Norway)	12,517		388,446
Occidental Petroleum Corp.	91,900		4,487,477
Peabody Energy Corp.	22,800		921,348
Repsol YPF SA (Spain)	2,165		74,877
Royal Dutch Shell (Netherlands)	34,918		1,220,383
Royal Dutch Shell PLC “B Shares” (Netherlands)	57,915		2,029,798
Santos Ltd. (Australia)	104,129		810,372
Sunoco, Inc.(b)	15,000		935,400
Total SA (France)	17,654		1,273,568
Valero Energy Corp.	65,500		3,350,980
Williams Cos., Inc.	66,300		1,731,756
XTO Energy, Inc.	40,233		1,892,963

			126,197,855

Paper & Forest Products — 0.2%
International Paper Co.	51,373		1,751,819
MeadWestvaco Corp.	20,714		622,663
Svenska Cellulosa AB (SCA) “B Shares” (Sweden)	7,900		412,543
Weyerhaeuser Co.	24,200		1,709,730

			4,496,755

Personal Products — 0.1%
Avon Products, Inc.	48,800		1,612,352
Estee Lauder Cos., Inc. (The) “Class A”	13,500		551,070

			2,163,422

Pharmaceuticals — 3.5%
Abbott Laboratories	164,700		8,022,537
Allergan, Inc.(b)	16,700		1,999,658
Altana AG (Germany)	2,862		176,998
AstraZeneca PLC (United Kingdom)	34,940		1,877,222
Barr Pharmaceuticals, Inc.(a)	11,500		576,380
Bristol-Myers Squibb Co.	210,500		5,540,360
Daiichi Sankyo Co. Ltd. (Japan)	3,700		115,417
Eisai Co. Ltd. (Japan)	1,100		60,429
Eli Lilly & Co.	112,100		5,840,410
Forest Laboratories, Inc.(a)	36,000		1,821,600
GlaxoSmithKline PLC (United Kingdom)	84,951		2,235,509
Johnson & Johnson	322,448		21,288,016
King Pharmaceuticals, Inc.(a)	28,366		451,587
Mayne Pharma Ltd. (Australia)	23,343		74,903
Merck & Co., Inc.	235,500		10,267,800
Mylan Laboratories, Inc.	20,900		417,164
Novartis AG (Switzerland)	15,479		892,408
Pfizer, Inc.	790,545		20,475,115
Roche Holding AG (Switzerland)	11,467		2,056,249
Sanofi-Aventis (France)	17,248		1,592,631
Santen Pharmaceutical Co. Ltd. (Japan)	4,400		123,773
Schering-Plough Corp.(b)	159,800		3,777,672


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Pharmaceuticals (cont’d.)
Takeda Pharmaceutical Co. Ltd. (Japan)	5,400	$	370,095
Tanabe Seiyaku CO Ltd	16,000		209,230
Watson Pharmaceuticals, Inc.(a)	12,200		317,566
Wyeth	145,200		7,393,584

			97,974,313

Real Estate — 0.1%
CB Richard Ellis Group, Inc.	18,800		624,160
City Developments Ltd. (Singapore)	6,000		49,453
Immofinanz Immobilien Anlagen (Australia)	7,831		111,643
Lend Lease Corp. Ltd. (Australia)	19,977		290,090
Leopalace21 Corp. (Japan)	21,700		693,176
Realogy Corp.(a)	25,775		781,497
Sumitono Realty & Development Co. Ltd. (Japan)	7,000		224,415
Swire Pacific Ltd. (Hong Kong)	19,500		209,097
UOL Group Ltd. (Singapore)	77,000		217,082
Wharf Holdings (Hong Kong)	17,000		62,690

			3,263,303

Real Estate Investment Trust — 0.6%
Apartment Investment & Management Co. “Class A”	9,000		504,180
Archstone-Smith Trust(b)	23,300		1,356,293
Boston Properties, Inc.(b)	11,800		1,320,184
British Land Co. PLC (United Kingdom)	6,336		212,635
Equity Office Properties Trust	40,500		1,950,885
Equity Residential	32,300		1,639,225
Hammerson PLC (United Kingdom)	2,513		77,595
Kimco Realty Corp.(b)	21,500		966,425
Mirvac Group (Australia)	102,795		452,157
Plum Creek Timber Co., Inc.	17,100		681,435
ProLogis	27,100		1,646,867
Public Storage, Inc.	11,400		1,111,500
Simon Property Group, Inc.(b)	22,100		2,238,509
Vornado Realty Trust	13,000		1,579,500

			15,737,390

Road & Rail — 0.4%
Burlington Northern Santa Fe Corp.	40,300		2,974,543
CSX Corp.	52,600		1,811,018
Nippon Express Co. Ltd. (Japan)	23,000		125,841
Norfolk Southern Corp.	45,500		2,288,195
Ryder System, Inc.	6,900		352,314
Toll Holdings Ltd. (Australia)	7,390		106,444
Union Pacific Corp.	29,800		2,742,196

			10,400,551

Semiconductors & Semiconductor Equipment — 1.3%
Advanced Micro Devices, Inc.(a)(b)	51,300		1,043,955
Altera Corp.(a)(b)	42,200		830,496
Analog Devices, Inc.	40,100		1,318,087
Applied Materials, Inc.	166,000		3,062,700
ASM Pacific Technology Ltd. (Hong Kong)	17,500		97,296
Broadcom Corp. “Class A”(a)	43,150		1,394,177
Elpida Memory, Inc. (Japan)(a)	6,400		351,490

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Semiconductors & Semiconductor Equipment (cont’d.)
Intel Corp.	620,500	$	12,565,125
KLA-Tencor Corp.	20,500		1,019,875
Linear Technology Corp.	31,000		939,920
LSI Logic Corp.(a)(b)	47,100		423,900
Maxim Integrated Products, Inc.	27,500		842,050
Micron Technology, Inc.(a)(b)	70,400		982,784
National Semiconductor Corp.	36,500		828,550
Novellus Systems, Inc.(a)(b)	16,000		550,720
NVIDIA Corp.(a)	40,600		1,502,606
PMC — Sierra, Inc.(a)(b)	10,000		67,100
Sumco Corp. (Japan)	12,700		1,073,288
Teradyne, Inc.(a)(b)	22,100		330,616
Texas Instruments, Inc.	172,300		4,962,240
Tokyo Electron Ltd. (Japan)	13,200		1,038,280
Xilinx, Inc.	38,000		904,780

			36,130,035

Software — 1.7%
Adobe Systems, Inc.(a)	62,000		2,549,440
Autodesk, Inc.(a)(b)	23,300		942,718
BMC Software, Inc.(a)	24,200		779,240
CA, Inc.	51,664		1,170,190
Citrix Systems, Inc.(a)	16,400		443,620
Compuware Corp.(a)	45,900		382,347
Electronic Arts, Inc.(a)	33,100		1,666,916
Intuit, Inc.(a)	38,200		1,165,482
Microsoft Corp.	949,600		28,355,056
Novell, Inc.(a)	41,200		255,440
Oracle Corp.(a)	439,000		7,524,460
Symantec Corp.(a)	108,778		2,268,021

			47,502,930

Specialty Retail — 1.0%
Aoyama Trading Co. Ltd. (Japan)	1,600		47,998
Autobacs Seven Co. Ltd. (Japan)	1,600		58,441
AutoNation, Inc.(a)	16,974		361,886
AutoZone, Inc.(a)	4,800		554,688
Bed Bath & Beyond, Inc.(a)	29,800		1,135,380
Best Buy Co., Inc.	46,625		2,293,484
Circuit City Stores, Inc.	17,200		326,456
Gap, Inc. (The)	60,700		1,183,650
Home Depot, Inc.	222,950		8,953,672
Limited Brands, Inc.	37,506		1,085,424
Lowe’s Cos., Inc.	166,000		5,170,900
Office Depot, Inc.(a)	32,200		1,229,074
OfficeMax, Inc.	7,500		372,375
RadioShack Corp.(b)	12,700		213,106
Sherwin-Williams Co. (The)	11,800		750,244
Staples, Inc.	74,849		1,998,468
Tiffany & Co.	15,200		596,448
TJX Cos., Inc. (The)	51,700		1,474,484
USS Co. Ltd. (Japan)	2,460		160,136

			27,966,314

Textiles, Apparel & Luxury Goods — 0.2%
Coach, Inc.(a)	44,500		1,911,720
Folli — Follie SA (Greece)	1,260		49,731
Jones Apparel Group, Inc.	12,600		421,218
Liz Claiborne, Inc.	10,900		473,714


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Textiles, Apparel & Luxury Goods (cont’d.)
NIKE, Inc. “Class B”	20,700	$	2,049,922
Puma AG Rudolf Dassler Sport (Germany)	856		334,490
Swatch Group AG (Switzerland)	2,058		92,048
VF Corp.	10,100		829,008

			6,161,851

Thrifts & Mortgage Finance — 0.7%
Countrywide Financial Corp.	65,100		2,763,495
Fannie Mae	104,100		6,182,500
Freddie Mac	74,000		5,024,600
MGIC Investment Corp.(b)	8,800		550,352
Sovereign Bancorp, Inc.	38,955		989,067
Washington Mutual, Inc.	102,678		4,670,822

			20,180,836

Tobacco — 0.9%
Altria Group, Inc.	227,400		19,515,469
British American Tobacco (United Kingdom)	21,111		590,676
Imperial Tobacco Group (United Kingdom)	16,870		663,926
Reynolds American, Inc.(b)	17,400		1,139,178
Swedish Match AB (Sweden)	35,400		661,880
UST, Inc.	16,900		983,580

			23,554,709

Trading Companies & Distributors — 0.1%
Itochu Corp. (Japan)	69,000		565,597
Marubeni Corp. (Japan)	97,000		491,447
Mitsubishi Corp. (Japan)	20,700		388,927
Mitsui & Co. Ltd. (Japan)	47,000		704,242
Sumitomo Corp. (Japan)	49,000		733,517
W.W. Grainger, Inc.	8,200		573,508

			3,457,238

Transportation Infrastructure
Hopewell Holdings (Hong Kong)	44,000		154,026
Kamigumi Co. Ltd. (Japan)	9,000		73,659
Macquarie Airports Management Ltd. (Australia)	274,081		777,400

			1,005,085

Wireless Telecommunication Services — 0.4%
Alltel Corp.	41,400		2,503,872
Mobistar SA (Belgium)	2,237		190,908
NTT DoCoMo, Inc. (Japan)	85		134,498
Sprint Nextel Corp.	323,477		6,110,481
Vodafone Group PLC (United Kingdom)	812,477		2,251,003

			11,190,762

TOTAL COMMON STOCKS (cost $1,101,623,415)			1,556,741,859

PREFERRED STOCK
Automobiles
Porsche AG (Germany) (cost $381,434)	395		504,190

SEE NOTES TO FINANCIAL STATEMENTS.


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS — 32.8%
Aerospace & Defense — 0.4%
BAE Systems Holdings, Inc.(k)
4.75%	08/15/10	Baa2	$	2,000	$	1,946,228
5.20%	08/15/15	Baa2		1,170		1,114,472
Boeing Capital Corp.(b)
6.10%	03/01/11	A2		975		1,007,285
Goodrich Corp.
6.80%	07/01/36	Baa3		1,301		1,384,029
Lockheed Martin Corp.
6.15%	09/01/36	Baa1		670		703,928
Northrop Grumman Corp.
7.125%	02/15/11	Baa2		1,025		1,093,324
Raytheon Co.
4.50%	11/15/07	Baa2		194		192,464
5.50%	11/15/12	Baa2		625		628,922
6.55%	03/15/10	Baa2		1,150		1,191,510
8.30%	03/01/10	Baa2		700		759,973

						10,022,135

Airlines — 0.1%
Continental Airlines, Inc.
6.648%	09/15/17	Baa3		365		379,178
6.703%	06/15/21	Baa3		183		188,894
Southwest Airlines Co.
6.50%	03/01/12	Baa1		1,290		1,345,052

						1,913,124

Asset Backed Securities — 1.6%
American Express Credit Account Master Trust I,(h)(k)
Series 2004-4, Class C
5.82%	03/15/12	Baa2		1,510		1,518,258
Series 2004-C, Class C
5.85%	02/15/12	Baa2		957		958,416
Amortizing Residential Collateral Trust,
Series 2002-BC9, Class M1(h)
7.00%	12/25/32	Aa2		2,664		2,701,117
Bank of America Credit Card Trust,
Series 2006-C5, Class C5(h)
5.75%	01/15/16	Baa2		4,159		4,159,853
Bank One Issuance Trust,
Series 2003-C1, Class C1
4.54%	09/15/10	Baa2		2,445		2,421,353
CDC Mortgage Capital Trust,(h)
Series 2002-HE3, Class M1
7.00%	03/25/33	Aa2		1,462		1,462,988
Series 2003-HE1, Class M2
8.275%	08/25/33	A2		189		189,827
Centex Home Equity,
Series 2005-A, Class M2(h)
5.85%	01/25/35	Aa2		2,250		2,262,027
Chase Issuance Trust,
Series 2005-A4, Class A4
4.23%	01/15/13	Aaa		4,000		3,903,561
Citibank Credit Card Issuance Trust,
Series 2006-C1, Class C1(h)
5.75%	02/20/15	Baa2		1,500		1,505,016


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Asset Backed Securities (cont’d.)
Credit-Based Asset Servicing and Securitization,
Series 2005-CB6, Class A3
5.12%	07/25/35	Aaa	$	1,740	$	1,725,931
Equity One ABS, Inc.,
Series 2004-3, Class M1
5.70%	07/25/34	Aa2		1,660		1,650,387
First Franklin Mortgage Loan Trust,
Series 2005-FFH1, Class M2(h)
5.87%	06/25/36	Aa2		1,800		1,814,887
HFC Home Equity Loan Trust,
Series 2005-2, Class M2(h)
5.84%	01/20/35	Aa1		911		913,919
Home Equity Asset Trust,
Series 2005-7, Class 2A4(h)
5.73%	01/25/36	Aaa		1,400		1,406,787
MBNA Master Credit Card Trust,
Series 1999-J, Class A
7.00%	02/15/12	Aaa		2,370		2,486,932
Morgan Stanley ABS Capital I,
Series 2004-NC3, Class M2(h)
6.45%	03/25/34	A2		1,800		1,811,268
Morgan Stanley Dean Witter Capital I,(h)
Series 2002-HE1, Class M1
6.25%	07/25/32	Aa2		1,897		1,916,127
Series 2002-NC4, Class M1
6.20%	09/25/32	Aaa		1,879		1,920,655
Prestige Auto Receivables Trust,
Series 2004-1, Class A2(k)
3.69%	06/15/11	Aaa		624		617,289
Saxon Asset Securities Trust,
Series 2005-2, Class M2(h)
5.79%	10/25/35	Aa2		1,480		1,489,024
Securitized Asset Backed Receivables LLC,(h)
Series 2004-OP1, Class M1
5.86%	02/25/34	Aa2		1,660		1,664,284
Series 2006-FR3, Class A3
5.576%	05/25/36	Aaa		1,400		1,404,372
SVO VOI Mortgage Corp.,
Series 2005-AA, Class A
5.25%	02/20/21	Aaa		948		943,605
WFS Financial Owner Trust,
Series 2004-4, Class D
3.58%	05/17/12	A2		717		707,262

						43,555,145

Automotive — 0.2%
Auburn Hills Trust, Inc.
12.375%	05/01/20	Baa1		640		944,922
DaimlerChrysler NA Holding Corp.
8.50%	01/18/31	Baa1		231		274,990
Equus Cayman Finance Ltd. (Cayman Islands)(k)
5.50%	09/12/08	Baa3		410		408,831
Hyundai Motor Manufacturing LLC(k)
5.30%	12/19/08	Baa3		650		645,540

SEE NOTES TO FINANCIAL STATEMENTS.

B10


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Automotive (cont’d.)
Johnson Controls, Inc.
5.50%	01/15/16	Baa1	$	350	$	343,172
Oshkosh Truck Corp. Bank Loan(l)
7.35%	12/06/13	Ba3		2,000		2,001,876

						4,619,331

Banking — 0.6%
Banco Bradesco (Cayman Islands)
8.75%	10/24/13	A2		550		627,000
Bank of America NA
6.00%	10/15/36	Aa2		1,300		1,338,436
Bank One Corp.
7.875%	08/01/10	A1		2,500		2,711,778
Barclays Bank PLC(h)(k)
5.926%	12/15/49	Aa3		1,830		1,853,038
Citigroup, Inc.
5.625%	08/27/12	Aa2		1,900		1,927,491
6.125%	08/25/36	Aa2		725		754,941
HSBC Bank USA, Senior Notes
3.875%	09/15/09	Aa2		250		242,396
ICICI Bank Ltd. (Singapore)(k)
5.75%	11/16/10	Baa2		1,350		1,347,860
J.P. Morgan Chase & Co.
4.60%	01/17/11	Aa3		975		951,488
6.50%	01/15/09	A1		1,100		1,121,019
J.P. Morgan Chase Capital XVIII, Series R
6.95%	08/17/36	A2		690		746,355
Mizuho Finance Group Ltd. (Cayman Islands)(k)
5.79%	04/15/14	A2		1,060		1,066,216
MUFG Capital Finance Group Ltd. (Cayman Islands)(g)
6.346%	07/25/49	Baa2		800		812,556
Santander Central Hispano Issuances Ltd. (Cayman Islands)
7.625%	09/14/10	A1		805		869,696
Washington Mutual, Inc.
5.65%	08/15/14	A3		270		270,374
Wells Fargo Bank
6.45%	02/01/11	Aa1		90		93,988

						16,734,632

Brokerage — 0.4%
Bear Stearns Companies, Inc. (The)
5.30%	10/30/15	A1		550		542,720
Goldman Sachs Group, Inc. (The)
6.45%	05/01/36	A1		1,770		1,841,531
Lehman Brothers Holdings, Inc.
6.625%	01/18/12	A1		1,800		1,901,858
Merrill Lynch & Co., Inc.
4.25%	02/08/10	Aa3		1,470		1,428,412
4.79%	08/04/10	Aa3		375		369,896
5.45%	07/15/14	Aa3		200		201,068
5.77%	07/25/11(b)	Aa3		355		362,838
Morgan Stanley Group, Inc.
4.75%	04/01/14	A1		1,510		1,443,752
5.375%	10/15/15	Aa3		30		29,732
5.75%	10/18/16	Aa3		1,860		1,887,294

						10,009,101


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Building Materials & Construction — 0.2%
American Standard, Inc.
7.625%	02/15/10	Baa3	$	1,000	$	1,048,051
CRH America, Inc.
6.00%	09/30/16	Baa1		660		666,201
Hanson PLC (United Kingdom)
7.875%	09/27/10	Baa1		1,270		1,366,493
Lafarge SA
6.15%	07/15/11	Baa2		1,100		1,125,906
Owens Corning Inc.(k)
6.50%	12/01/16	Baa3		530		538,394
Ryland Group, Inc.
5.375%	06/01/08	Baa3		575		571,149

						5,316,194

Cable — 0.3%
AT&T Broadband
9.455%	11/15/22	Baa2		115		148,918
Comcast Corp.
6.45%	03/15/37	Baa2		580		580,313
Cox Communications, Inc.
6.75%	03/15/11	Baa3		1,195		1,249,272
7.875%	08/15/09	Baa2		1,160		1,227,584
CSC Holdings, Inc.
7.875%	12/15/07	B2		2,135		2,161,688
Tele-Communications, Inc.
9.875%	06/15/22	Baa2		1,440		1,894,974

						7,262,749

Capital Goods — 0.5%
Caterpillar Financial Service Corp.
5.50%	03/15/16	A2		780		780,431
Caterpillar, Inc.
7.25%	09/15/09	A2		1,000		1,049,944
Cooper Cameron Corp.
2.65%	04/15/07	Baa1		425		421,546
Erac USA Finance Co.(k)
7.35%	06/15/08	Baa1		2,450		2,511,326
FedEx Corp.
2.65%	04/01/07	Baa2		2,100		2,085,737
7.25%	02/15/11	Baa2		480		511,419
Honeywell International, Inc.
6.125%	11/01/11	A2		1,120		1,160,232
Stena AB, Sr. Notes (Sweden)
7.50%	11/01/13	Ba3		1,120		1,106,000
Tyco International Group SA (Luxembourg)
6.00%	11/15/13	Baa3		1,530		1,583,051
United Technologies Corp.(f)
6.35%	03/01/11	A2		810		842,215
8.875%	11/15/19	A2		640		829,757
Waste Management, Inc.
7.75%	05/15/32	Baa3		240		283,070

						13,164,728

Chemicals — 0.2%
Dow Chemical Co.
5.97%	01/15/09	A3		430		434,767
6.125%	02/01/11	A3		690		709,313

SEE NOTES TO FINANCIAL STATEMENTS.

B11


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Chemicals (cont’d.)
Huntsman International LLC
9.875%	03/01/09	B2	$	1,344	$	1,384,319
ICI Wilmington, Inc.
5.625%	12/01/13	Baa3		780		770,162
Lubrizol Corp.
4.625%	10/01/09	Baa3		1,090		1,069,226
Monsanto Co., Series 1
5.50%	07/30/35	Baa1		635		598,425
Union Carbide Corp.
7.50%	06/01/25	Ba2		500		531,766

						5,497,978

Collateralized Mortgage Obligations — 0.5%
Bank of America Alternative Loan Trust,
Series 2005-12, Class 3CB1
6.00%	01/25/36	Aaa		4,460		4,462,160
Bank of America Mortgage Securities, Inc.,(h)
Series 2005-A, Class 2A1
4.46%	02/25/35	Aaa		1,462		1,427,678
Series 2005-B, Class 2A1
4.39%	03/25/35	Aaa		1,411		1,375,813
Countrywide Alternative Loan Trust, Pass-Thru Certificates,
Series 2004-18CB, Class 3A1
5.25%	09/25/19	Aaa		2,349		2,276,715
Master Alternative Loans Trust, Pass-Thru Certificates,
Series 2004-4, Class 4A1
5.00%	04/25/19	Aaa		599		584,894
Structured Adjustable Rate Mortgage Loan,
Series 2004-1, Class 4A3(h)
4.17%	02/25/34	Aaa		1,487		1,471,978
Washington Mutual Alternative Loan Trust,
Mortgage Pass-Thru Certificates,
Series 2005-1, Class 3A
5.00%	03/25/20	AAA(d)		1,301		1,284,232
Washington Mutual, Inc.,
Series 2002-AR15, Class A-5(h)
4.38%	12/25/32	Aaa		730		722,417

						13,605,887

Commercial Mortgage Backed Securities — 3.8%
Bank of America Commercial Mortgage, Inc.,
Series 2003-2, Class A3
4.873%	03/11/41	AAA(d)		3,350		3,293,586
Series 2004-2, Class A4
4.153%	11/10/38	Aaa		3,680		3,526,411
Series 2004-3, Class A4
5.176%	06/10/39	Aaa		2,000		1,992,620
Series 2005-1, Class ASB(h)
4.864%	11/10/42	AAA(d)		1,100		1,091,526
Series 2006-2 A4
5.741%	05/10/45	AAA(d)		4,400		4,549,819
Bear Stearns Commercial Mortgage Securities,(h)
Series 2004-T16, Class A6
4.75%	02/13/46	AAA(d)		3,500		3,377,616
Series 2005-T18, Class AAB
4.823%	02/13/42	Aaa		2,250		2,194,669
Series 2005-T20, Class AAB
5.1394%	10/12/42	Aaa		3,000		2,988,393


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Commercial Mortgage Backed Securities (cont’d.)
Citigroup Commercial Mortgage Trust,
Series 2006-C4, Class A3(h)
5.72%	03/15/49	Aaa	$	2,190	$	2,260,899
Commercial Mortgage Pass-Thru Certificate,
Series 2004-LB2A, Class X2, I/O(h)(k)
0.98%	03/10/39	AAA(d)		16,642		451,745
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2004-C4, Class A4
4.283%	10/15/39	Aaa		1,500		1,439,759
Credit Suisse Mortgage Capital Certificates,
Series 2006-C1, Class A4(h)
5.557%	02/15/39	AAA(d)		4,330		4,399,573
Series 2006-C4, Class A3
5.467%	09/15/39	Aaa		5,000		5,038,481
DLJ Commercial Mortgage Corp.,
Series 2000-CF1, Class A1B
7.62%	06/10/33	AAA(d)		3,199		3,402,378
GE Commercial Mortgage Corp.,
Series 2004-C2, Class X2, I/O(h)(k)
0.597%	03/10/40	Aaa		30,083		588,411
Greenwich Capital Commercial Funding Corp.,
Series 2003-C1, Class A-4
4.111%	07/05/35	Aaa		5,000		4,698,361
Series 2003-C2, Class A3
4.533%	01/05/36	Aaa		3,570		3,477,628
J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Series 2000-C10, Class A2
7.371%	08/15/32	Aaa		6,119		6,428,773
Series 2005-CB13, Class A4(h)
5.2943%	01/12/43	Aaa		2,800		2,802,537
Series 2005-LDP5, Class A4(h)
5.1793%	12/15/44	Aaa		3,630		3,616,751
Series 2006-CB16, Class ASB
5.523%	05/12/45	Aaa		2,000		2,020,997
Series 2006-LDP6, Class X2 I/O(h)
0.088%	04/15/43	Aaa		164,744		949,735
Series 2005-LDP2, Class ASB
4.659%	07/15/42	Aaa		6,380		6,185,629
Series 2006-LDP8, Class ASB
5.37%	05/15/45	Aaa		2,000		2,001,016
Series 2006-CB17, Class A4
5.429%	12/12/43	Aaa		5,100		5,125,865
Keycorp.,
Series 2000-C1, Class A2
7.727%	05/17/32	Aaa		10,690		11,313,134
LB-UBS Commercial Mortgage Trust,
Series 2003-C8, Class A3
4.83%	11/15/27	Aaa		2,720		2,672,250
Series 2004-C6, Class A5(h)
4.826%	08/15/29	AAA(d)		5,000		4,893,417
Series 2005-C3, Class A5
4.739%	07/15/30	Aaa		695		668,115
Series 2006-C3, Class A4(h)
5.661%	03/15/39	Aaa		4,950		5,069,015
Merrill Lynch Mortgage Trust,
Series 2004-Key 2, Class A3
4.615%	08/12/39	Aaa		1,900		1,838,915

SEE NOTES TO FINANCIAL STATEMENTS.

B12


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Commercial Mortgage Backed Securities (cont’d.)
Merrill Lynch/Countrywide Commercial Mortgage Trust,
Series 2006-2, Class A4(h)
5.9098%	06/12/46	Aaa	$	2,210	$	2,309,570
Wachovia Bank Commercial Mortgage Trust,
Series 2002-C2, Class A4
4.98%	11/15/34	Aaa		1,700		1,676,493

						108,344,087

Consumer — 0.1%
Realogy Corp.(k)
6.15%	10/15/11	Baa2		950		970,766
Western Union Telegram Co.(k)
5.93%	10/01/16	A3		565		559,590
Whirlpool Corp.
6.125%	06/15/11	Baa2		1,045		1,063,829

						2,594,185

Electric — 0.9%
Appalachian Power Co.
4.40%	06/01/10	Baa2		790		763,213
Arizona Public Services Co.
6.25%	08/01/16	Baa2		1,490		1,524,583
Baltimore Gas & Electric(k)
6.35%	10/01/36	Baa2		530		541,036
Boston Edison Co.
4.875%	04/15/14	A1		730		708,922
Carolina Power & Light Co.
5.25%	12/15/15	A3		660		648,991
CenterPoint Energy Houston Electric LLC
5.70%	03/15/13	Baa2		1,070		1,077,772
6.95%	03/15/33	Baa2		300		332,471
Consolidated Edison, Inc.
5.375%	12/15/15	A1		820		814,632
Consumers Energy Co., First Mortgage Bonds, Series D
5.375%	04/15/13	Baa2		435		430,790
Dominion Resources, Inc.
5.125%	12/15/09	Baa2		1,255		1,246,989
Duke Capital LLC
6.25%	02/15/13	Baa2		205		211,220
8.00%	10/01/19	Baa2		140		162,758
El Paso Electric Co.
6.00%	05/15/35	Baa3		845		809,999
Empresa Nacional de Electricidad S.A. (Chile)
8.50%	04/01/09	Baa3		1,350		1,433,336
8.625%	08/01/15	Baa3		310		364,851
Energy East Corp.
6.75%	09/15/33	Baa2		805		845,516
Exelon Corp.
4.90%	06/15/15	Baa2		195		183,928
FirstEnergy Corp.
7.375%	11/15/31	Baa3		720		819,962
Florida Power & Light Co.
5.95%	10/01/33	Aa3		380		390,538
Indiana Michigan Power Co.
5.05%	11/15/14	Baa2		575		549,508
Nevada Power Co.
6.50%	05/15/18	Ba1		1,180		1,223,259


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Electric (cont’d.)
NiSource Finance Corp.
5.45%	09/15/20	Baa3	$	500	$	465,674
Ohio Edison Co.
6.40%	07/15/16	Baa2		730		762,896
6.875%	07/15/36	Baa2		135		146,980
Oncor Electric Delivery Co.
6.375%	01/15/15	Baa2		465		479,311
7.00%	09/01/22	Baa2		545		586,233
7.25%	01/15/33	Baa2		240		270,486
Pacific Gas & Electric Co.
6.05%	03/01/34	Baa1		1,610		1,623,805
Pepco Holdings, Inc.
5.50%	08/15/07	Baa3		735		734,411
PPL Electric Utilities Corp.
6.25%	08/15/09	A3		1,900		1,943,762
Southern California Edison Co.
4.65%	04/01/15	A2		610		576,434
5.625%	02/01/36	A2		340		329,122
Xcel Energy, Inc.
3.40%	07/01/08	Baa1		785		762,018
6.50%	07/01/36	Baa1		445		470,163
7.00%	12/01/10	Baa1		250		263,683

						24,499,252

Energy – Integrated — 0.2%
Conoco, Inc.
6.95%	04/15/29	A1		270		306,687
ConocoPhillips Canada Funding Co. (Canada)
5.625%	10/15/16	A1		1,595		1,602,583
Phillips Petroleum Co.
8.75%	05/25/10	A1		1,900		2,105,349
TNK-BP Finance(k)
7.50%	07/18/16	Baa2		490		521,238

						4,535,857

Energy – Other — 0.2%
Anadarko Finance (Canada)
7.50%	05/01/31	Baa2		5		5,673
Anadarko Petroleum Corp.
5.95%	09/15/16	Baa2		870		871,821
6.45%	09/15/36	Baa2		450		454,723
Devon Energy Corp.
7.875%	09/30/31	Baa2		280		336,875
Encana Corp. (Canada)
6.50%	08/15/34	Baa2		255		262,801
Halliburton Co.
5.50%	10/15/10	Baa1		200		199,645
Talisman Energy, Inc. (Canada)
5.125%	05/15/15	Baa2		185		175,419
6.25%	02/01/38	Baa2		510		492,054
Valero Energy Corp.
7.50%	04/15/32	Baa3		185		211,067
Weatherford International, Inc.
6.50%	08/01/36	Baa1		575		577,225
Woodside Finance Ltd. (Australia)(k)
5.00%	11/15/13	Baa1		1,660		1,602,667
XTO Energy, Inc.
5.65%	04/01/16	Baa2		335		331,175

						5,521,145

SEE NOTES TO FINANCIAL STATEMENTS.

B13


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Foods — 0.5%
Archer-Daniels-Midland Co.
8.125%	06/01/12	A2	$	195	$	219,704
Bottling Group LLC
5.50%	04/01/16	A3		415		413,477
Bunge Ltd. Finance Corp.(b)
5.35%	04/15/14	Baa2		1,000		961,109
Cadbury Schweppes American Finance, Inc.(k)
3.875%	10/01/08	Baa2		1,050		1,022,574
ConAgra Foods, Inc.
7.125%	10/01/26	Baa2		290		318,165
7.875%	09/15/10	Baa2		585		633,074
General Mills, Inc.
5.125%	02/15/07	Baa1		500		499,642
HJ Heinz Co.(k)
6.428%	12/01/08	Baa2		1,620		1,648,900
Kellogg Co.
6.60%	04/01/11	A3		1,285		1,347,581
Kraft Foods, Inc.
5.25%	06/01/07	A3		400		399,687
5.625%	11/01/11	A3		965		975,257
Kroger Co. (The)
6.75%	04/15/12	Baa2		310		325,288
6.80%	04/01/11	Baa2		575		601,769
7.00%	05/01/18	Baa2		530		560,092
Tricon Global Restaurants, Inc.
8.875%	04/15/11	Baa2		235		263,616
Tyson Foods, Inc.
6.85%	04/01/16	Ba1		785		806,056
Whitman Corp.
6.375%	05/01/09	Baa1		1,645		1,673,555

						12,669,546

Foreign Government Bonds — 0.2%
Export-Import Bank of Korea (The) (South Korea)(k)
4.125%	02/10/09	Aa3		1,120		1,093,634
Korea Development Bank (South Korea)
4.75%	07/20/09	A3		1,530		1,510,411
Pemex Project Funding Master Trust
5.75%	12/15/15	Baa1		1,610		1,598,730
8.625%	12/01/23	Baa1		350		430,938
Petrobras International Finance Co. (PIFCO) (Cayman Islands)
8.375%	12/10/18	Baa2		900		1,073,250

						5,706,963

Gaming — 0.1%
Harrah’s Operating Co., Inc.
5.50%	07/01/10	Baa3		970		950,746
7.125%	06/01/07	Baa3		365		366,712
Mandalay Resort Group
9.375%	02/15/10	B1		12		12,840
Station Casinos
6.625%	03/15/18	Ba3		1,800		1,543,500

						2,873,798


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Health Care & Pharmaceutical — 0.7%
Abbott Laboratories
5.875%	05/15/16	A1	$	2,015	$	2,075,512
Amerisourceberger Corp. Series WI
5.625%	09/15/12	Ba1		915		899,513
Baxter International, Inc.
5.196%	02/16/08	Baa1		1,085		1,082,268
Boston Scientific
6.40%	06/15/16	Baa3		2,135		2,160,528
Cardinal Health, Inc.
5.85%	12/15/17	Baa3		1,475		1,466,709
Genentech, Inc.
4.75%	07/15/15	A1		270		258,480
HCA, Inc.
6.25%	02/15/13	Caa1		33		29,205
HCA, Inc., Bank Loan(l)
8.1137%	11/14/13	Ba3		2,000		2,021,924
Laboratory Corp. of America Holdings
5.625%	12/15/15	Baa3		925		909,365
Merck & Co., Inc.
5.75%	11/15/36	Aa3		900		890,332
5.95%	12/01/28	Aa3		205		206,994
Schering-Plough Corp.
5.55%	12/01/13	Baa1		1,860		1,865,388
Teva Pharmaceutical Finance LLC (Israel)
6.15%	02/01/36	Baa2		1,400		1,360,276
Ventas Realty LP, Sr. Notes
6.625%	10/15/14	Ba2		2,620		2,678,950
Wyeth
5.50%	03/15/13-02/01/14	A3		1,125		1,131,998
6.45%	02/01/24	A3		60		64,188

						19,101,630

Healthcare Insurance — 0.3%
Aetna, Inc.
5.75%	06/15/11	A3		430		436,546
6.625%	06/15/36	A3		575		614,884
Coventry Health Care, Inc.
6.125%	01/15/15	Ba1		1,070		1,054,486
UnitedHealth Group, Inc.
5.25%	03/15/11	A3		1,470		1,464,963
5.375%	03/15/16	A3		695		688,240
Wellpoint, Inc.
3.50%	09/01/07	Baa1		1,970		1,943,394
5.00%	12/15/14	Baa1		1,085		1,050,443
5.25%	01/15/16	Baa1		335		328,395
5.95%	12/15/34	Baa1		210		206,620

						7,787,971

Insurance — 0.3%
Allstate Corp. (The)
5.55%	05/09/35	A1		170		163,487
5.95%	04/01/36	A1		635		645,774
American International Group, Inc.
4.25%	05/15/13	Aa2		1,355		1,270,541
5.05%	10/01/15	Aa2		125		121,547
5.60%	10/18/16	Aa2		800		807,441

SEE NOTES TO FINANCIAL STATEMENTS.

B14


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Insurance (cont’d.)
AXA SA (France)(c)
8.60%	12/15/30	A3	$	230	$	298,209
Berkshire Hathaway, Inc.
4.75%	05/15/12	Aaa		945		926,180
Liberty Mutual Group(k)
7.00%	03/15/34	Baa3		910		936,884
Marsh & Mclennan Cos., Inc.
5.15%	09/15/10	Baa2		335		329,124
5.75%	09/15/15	Baa2		120		118,057
MetLife, Inc.
5.70%	06/15/35	A2		1,185		1,158,024
6.125%	12/01/11	A2		435		449,681
6.375%	06/15/34	A2		85		90,768
St. Paul Travelers
6.75%	06/20/36	A3		740		817,941
W.R. Berkley Corp.
5.60%	05/15/15	Baa2		705		692,504
6.15%	08/15/19	Baa2		575		572,143
XL Capital Ltd. (Cayman Islands)
5.25%	09/15/14	A3		110		107,802

						9,506,107

Lodging
P&O Princess (United Kingdom)
7.30%	06/01/07	A3		345		347,421

Media & Entertainment — 0.3%
CBS Corp.
7.875%	07/30/30	Baa3		345		361,536
Chancellor Media Corp.
8.00%	11/01/08	Baa3		745		774,546
Idearc, Inc. Bank Loan(l)
7.3762%	11/09/14	Ba2		1,500		1,507,500
Knight Ridder, Inc.
6.875%	03/15/29	Ba1		80		75,860
News America Holdings, Inc.
7.625%	11/30/28	Baa2		1,360		1,525,046
Time Warner, Inc.
6.50%	11/15/36	Baa2		155		154,275
6.75%	04/15/11	Baa2		725		758,936
7.25%	10/15/17	Baa2		745		813,826
9.15%	02/01/23	Baa2		625		773,179
Viacom, Inc.
6.25%	04/30/16	Baa3		710		705,082
6.875%	04/30/36	Baa3		740		731,622
Walt Disney Co. (The)
5.375%	06/01/07	A3		300		300,201

						8,481,609

Metals — 0.2%
Alcan, Inc. (Canada)
4.50%	05/15/13	Baa1		255		240,042
5.00%	06/01/15	Baa1		755		718,105
Peabody Energy Corp.
7.375%	11/01/16	Ba1		1,150		1,224,750
Southern Copper Corp.
7.50%	07/27/35	Baa2		1,090		1,181,873


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Metals (cont’d.)
Vale Overseas Ltd. (Cayman Islands)
6.875%	11/21/36	Baa3	$	660	$	676,926
8.25%	01/17/34	Baa3		250		296,136

						4,337,832

Municipals
Illinois State Taxable Pension, G.O.
5.10%	06/01/33	Aa3		1,060		1,014,653

Non Captive Finance — 0.3%
Capital One Bank(g)
6.50%	06/13/13	A3		10		10,541
Capital One Financial Co.
5.70%	09/15/11	A3		570		578,449
6.15%	09/01/16	Baa1		80		82,737
Capital One Financial Corp.
5.50%	06/01/15	A3		275		274,811
CIT Group, Inc.
4.25%	02/01/10	A2		480		464,888
5.50%	11/30/07	A2		1,285		1,287,831
General Electric Capital Corp., MTN
6.75%	03/15/32	Aaa		1,785		2,044,322
Household Finance Corp.
4.75%	05/15/09	Aa3		370		365,997
HSBC Finance Corp.
5.70%	06/01/11	Aa3		585		595,109
International Lease Finance Corp.
3.50%	04/01/09	A1		750		721,442
Residential Capital Corp.
6.00%	02/22/11	Baa3		1,540		1,537,086
6.375%	06/30/10	Baa3		610		617,099

						8,580,312

Packaging — 0.1%
Ball Corp.
6.625%	03/15/18	Ba1		1,900		1,890,500

Paper
Plum Creek Timberlands
5.875%	11/15/15	Baa3		745		732,090
Weyerhaeuser Co.
7.375%	03/15/32	Baa2		425		443,626

						1,175,716

Pipelines & Other — 0.3%
Atmos Energy Corp.
4.00%	10/15/09	Baa3		1,815		1,746,030
Duke Energy Field Services Corp.
7.875%	08/16/10	Baa2		1,830		1,968,423
Enterprise Products Operating LP
4.00%	10/15/07	Baa3		1,000		987,767
4.625%	10/15/09	Baa3		710		695,150
6.875%	03/01/33	Baa3		140		146,183
Kinder Morgan Finance (Canada)
5.70%	01/05/16	Baa2		650		596,387
Oneok, Inc.
5.51%	02/16/08	Baa2		1,630		1,628,843
Oneok Partners LP
6.65%	10/01/36	Baa2		580		593,243

SEE NOTES TO FINANCIAL STATEMENTS.

B15


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Pipelines & Other (cont’d.)
Sempra Energy
4.621%	05/17/07	Baa1	$	790	$	786,986
6.00%	02/01/13	Baa1		80		81,591

						9,230,603

Railroads — 0.2%
Burlington Northern Santa Fe Corp.
6.70%	08/01/28	Baa1		735		799,568
Norfolk Southern Corp.
5.64%	05/17/29	Baa1		571		551,695
7.80%	05/15/27	Baa1		24		29,349
Union Pacific Corp.
3.625%	06/01/10	Baa2		1,395		1,316,323
6.625%	02/01/08	Baa2		1,755		1,775,377
6.65%	01/15/11	Baa2		760		794,300

						5,266,612

Real Estate Investments Trusts — 0.2%
Brandywine Operating Partnership LP
5.75%	04/01/12	Baa3		1,405		1,414,645
ERP Operating LP
5.125%	03/15/16	Baa1		430		417,606
Mack-Cali Realty Corp.
7.25%	03/15/09	Baa2		1,595		1,647,109
Post Apartment Homes LP
5.45%	06/01/12	Baa3		545		533,835
6.30%	06/01/13	Baa3		650		666,449
Simon Property Group LP
5.75%	05/01/12	A3		1,625		1,641,658

						6,321,302

Retailers — 0.1%
Federated Retail Holding, Inc.
5.90%	12/01/16	Baa1		370		369,425
Gap, Inc. (The)
6.90%	09/15/07	Baa3		1,550		1,560,732
Home Depot, Inc.
5.40%	03/01/16	Aa3		10		9,780
5.875%	12/16/36	Aa3		680		667,300
May Department Stores Co.
6.65%	07/15/24	Baa1		730		723,278
Wal-Mart Stores, Inc.
5.25%	09/01/35	Aa2		235		215,800

						3,546,315

Sovereign — 0.3%
Republic of Malaysia (Malaysia)
7.50%	07/15/11	A3		375		408,069
Republic of South Africa (South Africa)
6.50%	06/02/14	Baa1		520		546,650
Russian Federation(k)
11.00%	07/24/18	Baa2		735		1,064,831
United Mexican States (Mexico)
5.625%	01/15/17(b)	Baa1		1,242		1,243,242
6.75%	09/27/34	Baa1		1,030		1,112,400
7.50%	01/14/12(b)	Baa1		1,630		1,786,480
8.125%	12/30/19	Baa1		951		1,155,465

						7,317,137


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Structured Notes — 0.1%
TRAINS, Series HY-1 2006(b)(k)
7.548%	05/01/16	B1	$	3,168	$	3,232,881

Technology — 0.4%
Electronic Data Systems Corp.
7.45%	10/15/29	Ba1		120		131,315
Equifax, Inc.
4.95%	11/01/07	Baa1		475		471,701
Freescale Semiconductor, Inc.(k)
8.875%	12/15/14	B1		1,100		1,095,875
International Business Machines Corp.
5.875%	11/29/32	A1		575		586,928
Jabil Circuit, Inc.
5.875%	07/15/10	Baa3		1,800		1,787,263
Motorola, Inc.
4.608%	11/16/07	Baa1		1,220		1,211,833
8.00%	11/01/11	Baa1		128		141,640
NXP Funding LLC(k)
7.875%	10/15/14	Ba2		2,000		2,067,501
Oracle Corp.
5.00%	01/15/11	A3		1,080		1,069,129
Xerox Corp.
6.40%	03/15/16	Baa3		1,195		1,220,394

						9,783,579

Telecommunications — 1.0%
ALLTEL Ohio LP(k)
8.00%	08/15/10	A2		408		437,459
America Movil SA de CV (Mexico)
6.375%	03/01/35	A3		630		614,655
AT&T Corp.
8.00%	11/15/31	A2		570		707,186
AT&T Wireless Services, Inc.
8.125%	05/01/12	Baa1		800		900,214
8.75%	03/01/31	Baa1		705		916,193
BellSouth Corp.
4.20%	09/15/09	A2		1,365		1,326,967
British Telecommunications PLC (United Kingdom)
7.00%	05/23/07	Baa1		1,400		1,406,416
9.125%	12/15/30	Baa1		245		335,129
Cingular Wireless LLC
7.125%	12/15/31	Baa1		535		592,648
Deutsche Telekom International Finance BV (Netherlands)(c)
8.25%	06/15/30	A3		345		424,122
Embarq Corp.
7.082%	06/01/16	Baa3		350		356,307
7.995%	06/01/36	Baa3		1,035		1,077,048
France Telecom SA (France)
8.50%	03/01/31	A3		360		472,582
Nextel Communications, Inc.
5.95%	03/15/14	Baa3		1,475		1,436,379
Royal KPN NV (Netherlands)
8.00%	10/01/10	Baa2		645		695,945
SBC Communications, Inc.
4.125%	09/15/09(b)	A2		1,335		1,296,624
5.30%	11/15/10	A2		1,180		1,180,163

SEE NOTES TO FINANCIAL STATEMENTS.

B16


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Telecommunications (cont’d.)
Sprint Capital Corp.
6.875%	11/15/28	Baa3	$	265	$	265,267
8.75%	03/15/32	Baa3		220		264,794
Sprint Nextel Corp.
6.00%	12/01/16	Baa3		1,335		1,301,127
Telecom Italia Finance (Luxembourg)
5.25%	11/15/13	Baa2		170		162,093
6.375%	11/15/33	Baa2		520		491,311
7.20%	07/18/36	Baa2		1,660		1,734,232
Telecomunicaciones de Puerto Rico, Inc. (Puerto Rico)
6.80%	05/15/09	Baa1		2,220		2,266,110
Telefonica Emisiones Sau (Spain)
6.421%	06/20/16	Baa1		630		649,919
7.045%	06/20/36	Baa1		1,375		1,460,480
TELUS Corp. (Cananda)
8.00%	06/01/11	Baa2		1,500		1,640,306
US Cellular Corp.
6.70%	12/15/33	Baa3		600		563,481
Verizon Global Funding Corp.
5.85%	09/15/35	A3		380		363,944
7.75%	12/01/30	A3		450		527,840
Vodafone Group PLC (United Kingdom)
7.75%	02/15/10	A3		950		1,012,399

						26,879,340

Tobacco
Altria Group, Inc.
7.65%	07/01/08	Baa1		765		788,691
7.75%	01/15/27	Baa1		300		363,867

						1,152,558

Mortgage Backed Securities — 11.5%
Federal Home Loan Mortgage Corp.
4.50%	02/01/19-07/01/20			8,654		8,348,158
5.00%	07/01/18-05/01/34			15,566		15,234,065
5.00%	TBA 30 YR			4,000		3,858,752
5.242%	12/01/35(h)			4,441		4,426,445
5.50%	12/01/33-07/01/34			13,104		12,975,187
5.50%	TBA 30 YR			9,000		8,898,750
6.00%	03/01/32-12/01/33			3,778		3,819,082
6.00%	TBA 30 YR			14,000		14,100,631
6.50%	12/01/14-09/01/16			883		901,685
7.00%	05/01/31-09/01/33			6,824		7,019,563
Federal National Mortgage Association
4.00%	06/01/19			2,994		2,821,471
4.50%	11/01/18-01/01/35			19,196		18,390,936
4.919%	07/01/33(h)			1,132		1,128,259
5.00%	TBA 15 YR			2,500		2,457,030
5.00%	TBA 30 YR			7,000		6,757,184
5.00%	10/01/18-03/01/34			46,157		44,729,014
5.50%	03/01/16-10/01/35			51,023		50,538,383
5.50%	TBA 15 YR			3,500		3,498,908
5.50%	TBA 30 YR			18,000		17,786,250
6.00%	04/01/13-03/01/35			29,678		29,936,729
6.00%	TBA 30 YR			13,000		13,085,305
6.50%	TBA 30 YR			5,000		5,093,750


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Mortgage Backed Securities (cont’d.)
6.50%	07/01/17-11/01/36		$	12,321	$	12,571,235
7.00%	08/01/11-07/01/32			1,804		1,859,757
7.50%	05/01/12-05/01/32			1,277		1,325,721
Government National Mortgage Association
5.50%	08/15/33-07/15/35			7,387		7,358,164
5.50%	TBA 30 YR			9,500		9,452,500
6.00%	04/15/33-06/20/34			3,352		3,396,912
6.50%	10/15/23-06/15/35			7,579		7,787,973
6.50%	TBA 30 YR			1,000		1,025,625
7.00%	09/15/31			224		230,980
8.00%	01/15/24-04/15/25			217		229,390

						321,043,794

U.S. Government Agency Obligations — 3.5%
Federal Farm Credit Bank
5.125%	08/25/16			1,140		1,153,364
Federal Home Loan Bank
4.375%	10/03/08			7,925		7,828,941
4.75%	06/11/08-12/16/16			7,530		7,479,670
4.875%	11/18/11(b)			3,950		3,934,299
5.00%	10/16/09			10,270		10,227,184
5.125%	08/08/08			5,130		5,133,468
5.375%	08/19/11			6,930		7,048,538
5.60%	01/03/08			18,400		18,400,091
Federal Home Loan Mortgage Corp.
4.75%	11/03/09			645		641,482
4.75%	01/18/11, MTN			180		178,807
5.00%	12/14/18, MTN			5,730		5,594,955
5.125%	10/18/16			100		100,856
5.25%	07/18/11, MTN(b)			3,100		3,137,101
5.40%	02/28/11, MTN			6,040		6,036,509
Federal National Mortgage Association
4.25%	07/27/07			6,485		6,448,457
5.00%	10/15/11, MTN(b)			3,370		3,377,465
5.125%	04/15/11			4,745		4,778,932
6.125%	03/15/12			6,010		6,328,127
Tennessee Valley Authority, Series B
5.88%	04/01/36			1,305		1,434,862

						99,263,108

U.S. Treasury Securities — 2.0%
United States Treasury Bonds
4.50%	02/15/36(b)			2,105		2,001,724
8.125%	05/15/21-08/15/21(c)			2,395		3,190,326
United States Treasury Inflation Index
0.875%	04/15/10			1,705		1,616,471
1.625%	01/15/15			1,168		1,099,684
1.875%	07/15/13-07/15/15			2,276		2,190,684
2.00%	01/15/14-01/15/26			4,503		4,336,070
2.375%	04/15/11-01/15/25			2,621		2,609,651
2.50%	07/15/16			989		996,948
3.00%	07/15/12			1,342		1,380,940
3.375%	01/15/12-04/15/32			705		788,278
3.50%	01/15/11			708		736,589
3.625%	01/15/08-04/15/28			2,161		2,387,439
3.875%	01/15/09-04/15/29			2,128		2,464,020
4.25%	01/15/10			720		757,408

SEE NOTES TO FINANCIAL STATEMENTS.

B17


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
United States Treasury Notes
3.375%	09/15/09		$	420	$	405,612
4.50%	11/30/11			1,340		1,328,066
4.625%	09/30/08-11/15/16(b)			12,377		12,320,948
4.875%	05/15/09			820		821,794
5.00%	07/31/08			120		120,197
United States Treasury Strips
Zero	02/15/19-11/15/26(b)			27,630		13,882,963

						55,435,812

TOTAL LONG-TERM BONDS (cost $917,317,498)						909,142,629

TOTAL LONG-TERM INVESTMENTS (cost $2,019,322,347)						2,466,388,678


SHORT-TERM INVESTMENTS — 12.5%	Shares	Value (Note 2)
Affiliated Mutual Funds — 12.4%
Dryden Core Investment Fund —Dryden Short Term Bond Series(j)	7,845,674	$	78,535,192
Dryden Core Investment Fund —Taxable Money Market Series (cost $468,453,065; includes $204,591,018 of cash collateral received for securities on loan)(i)(j)	468,453,065		468,453,065

TOTAL AFFILIATED MUTUAL FUNDS (cost $546,923,952)			546,988,257



Interest Rate	Maturity Date	Principal Amount (000)
U.S. Government Agency Obligations — 0.1%
United States Treasury Bills (c)(g)
4.80%	03/15/07	$2,900		2,872,346

TOTAL SHORT-TERM INVESTMENTS (cost $549,795,725)				549,860,603

TOTAL INVESTMENTS — 101.4% (cost $2,569,118,072)				3,016,249,281
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (1.4)%				(245,669,292	)

TOTAL NET ASSETS — 100.0%			$	2,770,579,989

The following abbreviations are used in portfolio descriptions:


G.O.		General Obligation
I/O		Interest Only
TBA		Securities purchased on a forward commitment basis
MTN		Medium Term Note

(a)	Non-income producing security.

(b)	All or portion of security is on loan. The aggregate market value of such securities is $196,798,835; cash collateral of $204,591,018 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c)	Security segregated as collateral for futures contracts.

(d)	Standard & Poor’s rating.

(e)	Indicates an affiliated security.

(f)	Increase/decrease in rate variable upon increase/decrease in Moody’s or Standard & Poor’s rating.

(g)	Rate quoted represents yield-to-maturity as of purchase date.

(h)	Indicates variable rate security.

(i)	Represents security, or a portion thereof, purchased with cash collateral for securities on loan.

(j)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series and Dryden Core Investment Fund — Short-Term Bond Series.

(k)	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.

(l)	Indicates a security that has been deemed illiquid.

SEE NOTES TO FINANCIAL STATEMENTS.

B18


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

(m)	Liabilities in excess of other assets include unrealized appreciation (depreciation) on financial futures, interest rate swaps and credit default swaps as follows:

Open future contracts outstanding at December 31, 2006:


Number of Contracts	Type	Expiration Date	Value at Trade Date		Value at December 31, 2006		Unrealized Appreciation (Depreciation)
Long Positions:
55	U.S. Treasury 2 Yr. Notes	Mar. 2007	$	11,257,916	$	11,221,719	$	(36,197	)
600	U.S. Treasury 5 Yr. Notes	Mar. 2007		63,600,000		63,037,500		(562,500	)
3	U.S. Treasury 5 Yr. Notes	Mar. 2007		319,409		315,187		(4,222	)
390	U.S. Treasury 20 Yr. Bonds	Mar. 2007		43,913,121		43,460,625		(452,496	)
58	S&P 500 Index	Mar. 2007		20,619,000		20,711,800		92,800
86	S&P 500 Index	Mar. 2007		30,668,587		30,710,600		42,013

								(920,602	)
Short Positions:
52	U.S. Treasury 10 Yr. Notes	Mar. 2007		5,652,871		5,588,375		64,496

							$	(856,106	)

Interest rate swap agreements outstanding at December 31, 2006:


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate		Floating Rate	Unrealized Depreciation
Merrill Lynch Capital Services, Inc.(a)	11/2/2016	$	5,050	5.151	%	3 month LIBOR	$	(16,744	)

(a)	Portfolio pays the floating rate and receives the fixed rate.

Credit default swap agreements outstanding at December 31, 2006:


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate		Underlying Bond	Unrealized Depreciation
Deutsche Bank AG(a)	12/25/2009	$	1,000	2.75	%	Fieldstone Mortgage Investment Corp.,		(809	)
						7.65%, due 05/25/36
Deutsche Bank AG(a)	06/25/2036		1,000	2.52	%	Residential Asset Securities Corp.,		(4,116	)
						7.32%, 06/25/36

							$	(4,925	)

(a)	The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults.

SEE NOTES TO FINANCIAL STATEMENTS.

B19


		*CONSERVATIVE BALANCED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 were as follows:


Affiliated Mutual Funds (including 7.4% of collateral received for securities on loan)	12.4	%
Mortgage Backed Securities	11.5
Oil, Gas & Consumable Fuels	4.6
Pharmaceuticals	4.2
Commercial Mortgage Backed Securities	3.8
Commercial Banks	3.7
U.S. Government Agency Obligations	3.6
Diversified Financial Services	3.0
Insurance	2.9
Capital Markets	2.2
Electric Utilities	2.1
Industrial Conglomerates	2.1
U.S. Treasury Securities	2.0
Computers & Peripherals	1.9
Media	1.9
Diversified Telecommunication Services	1.7
Software	1.7
Aerospace & Defense	1.6
Asset Backed Securities	1.6
Communications Equipment	1.4
Wireless Telecommunication Services	1.4
Healthcare Providers & Services	1.3
Semiconductor & Semiconductor Equipment	1.3
Chemicals	1.2
Food & Staples Retailing	1.2
Food Products	1.2
Beverages	1.1
Household Products	1.1
Metals & Mining	1.0
Specialty Retail	1.0
Energy Equipment & Services	0.9
Machinery	0.9
Tobacco	0.9
Healthcare Equipment & Supplies	0.8
Hotels, Restaurants & Leisure	0.8
Real Estate Investment Trust	0.8
Biotechnology	0.7
Internet Software & Services	0.7
Thrifts & Mortgage Finance	0.7
Automobiles	0.6
Road & Rail	0.6
IT Services	0.6
Multiline Retail	0.6


Multi-Utilities	0.6	%
Capital Goods	0.5
Collateralized Mortgage Obligations	0.5
Consumer Finance	0.5
Air Freight & Logistics	0.4
Brokerage	0.4
Household Durables	0.4
Technology	0.4
Construction Materials	0.3
Cable	0.3
Commercial Services & Supplies	0.3
Electrical Equipment	0.3
Healthcare Insurance	0.3
Media & Entertainment	0.3
Non Captive Finance	0.3
Pipelines & Other	0.3
Sovereign	0.3
Airlines	0.2
Building Products	0.2
Containers & Packaging	0.2
Electronic Equipment & Instruments	0.2
Energy — Integrated	0.2
Energy — Other	0.2
Foreign Government Bonds	0.2
Independent Power Producers & Energy Traders	0.2
Leisure Equipment & Products	0.2
Paper & Forest Products	0.2
Textiles, Apparel & Luxury Goods	0.2
Auto Components	0.1
Construction & Engineering	0.1
Consumer	0.1
Distributors	0.1
Diversified Consumer Services	0.1
Gaming	0.1
Gas Utilities	0.1
Internet & Catalog Retail	0.1
Life Sciences Tools & Services	0.1
Office Electronics	0.1
Personal Products	0.1
Real Estate	0.1
Retailers	0.1
Structures Notes	0.1
Trading Companies & Distributors	0.1

	101.4
Liabilities in excess of other assets	(1.4	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

B20


		*DIVERSIFIED BOND PORTFOLIO*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS — 99.3% LONG-TERM BONDS	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Aerospace/Defense — 0.8%
BAE Systems Holdings, Inc., 144A(h)	Baa2	5.20%	08/15/15	$	6,850	$	6,524,899
DRS Technologies, Inc.	B1	6.625%	02/01/16		1,580		1,591,850
Raytheon Co.	Baa2	4.50%	11/15/07		335		332,347
Raytheon Co.	Baa2	8.30%	03/01/10		725		787,115

							9,236,211

Airlines — 0.8%
Continental Airlines, Inc., Series 2000-1, Class A-1	Baa3	7.487%	10/02/10		7,954		8,407,378
Continental Airlines, Inc., Series 2000-1, Class A-1	Baa3	6.703%	06/15/21		3		3,564
Continental Airlines, Inc., Pass-Through Certificates, Series 2001-01, Class B	Ba1	7.373%	12/15/15		1,247		1,265,927

							9,676,869

Asset-Backed Securities — 4.1%
American Express Credit Account Master Trust, Series 2004-C, Class C, 144A(g)(h)	Baa2	5.85%	02/15/12		1,208		1,210,371
AmeriQuest Mortgage Securities, Inc., Series 2001-2, Class M3(g)	Baa2	8.275%	10/25/31		725		726,125
AmeriQuest Mortgage Securities, Inc., Series 2003-AR3, Class M6(g)	Baa3	8.3233%	10/25/33		1,600		1,599,123
Amortizing Residential Collateral Trust, Series 2002-BC7, Class M2(g)	AA+(f)	6.70%	10/25/32		189		188,961
Bank of America Credit Card Trust, Series 2006-C5, Class C5(g)	Baa2	5.75%	01/15/16		5,750		5,751,179
Bank One Issuance Trust, Series 2003-C1, Class C1	Baa2	4.54%	09/15/10		2,980		2,951,179
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2(g)	A2	8.725%	03/25/33		501		500,373
Centex Home Equity, Series 2005-A, Class M4(g)	A1	6.15%	01/25/35		2,400		2,420,116
Citibank Credit Card Issuance Trust, Series 2003-C4, Class C-4	Baa2	5.00%	06/10/15		6,500		6,321,122
Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2(g)	A2	6.47%	05/25/32		2,472		2,474,491
Countrywide Asset-Backed Certificates, Series 2004-12, Class MV3(g)	Aa3	6.01%	03/25/35		2,670		2,697,810
CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2(g)	A2	7.60%	08/25/32		250		249,973
Equity One ABS, Inc., Series 2004-3, Class M1	Aa2	5.70%	07/25/34		2,100		2,087,839
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF6, Class M2(g)	Aa2	5.79%	05/25/36		2,575		2,593,821
Ford Credit Auto Owner Trust, Series 2006-B, Class C	Baa2	5.68%	06/15/12		2,100		2,112,847
Fremont Home Loan Trust, Series 2003-B, Class M2(g)	Aa2	6.05%	12/25/33		500		502,790
Home Equity Asset Trust, Series 2005-7, Class 2A4(g)	Aaa	5.73%	01/25/36		1,500		1,507,271
IXIS Real Estate Capital Trust, Series 2006-HE1, Class A4(g)	Aaa	5.65%	03/25/36		3,200		3,212,935
Morgan Stanley ABS Capital I, Series 2002-NC6, Class M2(g)	A2	7.45%	11/25/32		478		479,430
Morgan Stanley ABS Capital I, Series 2003-HE1, Class M1(g)	Aa2	6.15%	05/25/33		2,187		2,194,588
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2(g)	Aa3	6.15%	12/25/34		2,100		2,122,152
Saxon Asset Securities Trust, Series 2002-3, Class M1(g)	Aaa	6.10%	12/25/32		1,930		1,932,681
Structured Asset Securities Corp., Series 2002-HF2, Class M3(g)	BBB(f)	7.35%	07/25/32		1,345		1,243,941

							47,081,118

Automotive — 1.5%
Auburn Hills Trust, Inc.	Baa1	12.375%	05/01/20		640		944,922
Equus Cayman Finance, Ltd. (Cayman Islands), 144A(h)	Baa3	5.50%	09/12/08		830		827,634
Ford Motor Co., Bank Loan(i)	Ba3	8.36%	12/12/13		3,900		3,902,437
Ford Motor Credit Co.	B1	6.625%	06/16/08		3,500		3,497,613
General Motors Acceptance Corp.(a)	Caa1	7.20%	01/15/11		2,175		2,109,750
Hyundai Motor Manufacturing LLC, 144A(h)	Baa3	5.30%	12/19/08		1,820		1,807,513
Johnson Controls Inc.	Baa1	5.50%	01/15/16		300		294,148
Oshkosh Truck Corp., Bank Loan(i)	Ba3	7.35%	12/06/13		3,675		3,678,447

							17,062,464

Banking — 2.9%
Barclays Bank PLC, 144A(g)(h)	Aa3	5.926%	12/15/49		900		911,330
Chuo Mitsui Trust & Banking Co., Ltd., (Japan), 144A(g)(h)	Baa1	5.506%	12/31/49		3,050		2,913,174
Dresdner Kleinwort Wasserstein for CJSC (The) (Ukraine)	Ba2	7.75%	09/23/09		1,400		1,433,180
ICICI Bank, Ltd. (Singapore), 144A(a)(g)(h)	Baa2	7.25%	12/31/49		2,380		2,459,973
ICICI Bank, Ltd. (Singapore), 144A(h)	Baa2	5.75%	11/16/10		2,500		2,496,038

SEE NOTES TO FINANCIAL STATEMENTS.

B21


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM BONDS (Continued)	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (cont’d.)
Kazkommerts International BV, (Netherlands) 144A(h)	Baa1	7.875%	04/07/14	$	4,150	$	4,310,813
KBC Bank Funding Trust III, 144A(g)(h)	A2	9.86%	12/31/49		5,000		5,562,960
Mizuho Finance Group (Cayman Islands), MTN, 144A(h)	A2	5.79%	04/15/14		1,880		1,891,024
Resona Bank Ltd., 144A(g)(h)	Baa1	5.85%	09/29/49		2,900		2,831,725
Russian Standard Finance Bank, SA, 144A(h)	Ba2	7.50%	10/07/10		3,000		2,891,250
Sumitomo Mitsui Banking Corp. (Japan), 144A(g)(h)	A2	5.625%	07/15/49		6,380		6,236,698

							33,938,165

Brokerage — 0.5%
Goldman Sachs Group, Inc.	A1	6.45%	05/01/36		5,575		5,800,302

Building Materials & Construction — 1.0%
American Standard, Inc.	Baa3	7.625%	02/15/10		3,800		3,982,594
CRH America, Inc.	Baa1	6.00%	09/30/16		805		812,563
RPM International, Inc.	Baa3	4.45%	10/15/09		5,150		4,973,056
Ryland Group, Inc.	Baa3	5.375%	06/01/08		1,900		1,887,274

							11,655,487

Cable — 1.3%
AT&T Broadband	Baa2	9.455%	11/15/22		1,065		1,379,107
Charter Communications Operating Charter, Sr. Notes, 144A(h)	B3	8.375%	04/30/14		1,875		1,957,031
Comcast Corp.	Baa2	5.875%	02/15/18		3,500		3,462,393
CSC Holdings, Inc.	B2	7.875%	12/15/07		3,800		3,847,499
Mediacom Broadband LLC, 144A(a)(h)	B3	8.50%	10/15/15		2,925		2,961,563
TCI Communications, Inc.	Baa2	7.875%	02/15/26		750		856,479

							14,464,072

Capital Goods — 1.2%
Caterpillar, Inc.	A2	6.05%	08/15/36		260		267,627
Clarendon Alumina Production Ltd. (Jamaica), 144A(h)	Ba2	8.50%	11/16/21		1,875		1,954,688
FedEx Corp.	Baa2	7.25%	02/15/11		1,750		1,864,550
Rockwell Automation, Inc.	A3	5.20%	01/15/98		6,500		5,293,307
Tyco International Group SA (Luxembourg)	Baa3	6.00%	11/15/13		200		206,935
Tyco International Group SA (Luxembourg)	Baa3	6.75%	02/15/11		805		848,794
Waste Management, Inc.	Baa3	7.125%	10/01/07		1,550		1,564,400
Waste Management, Inc.	Baa3	7.65%	03/15/11		2,100		2,262,041

							14,262,342

Chemicals — 2.2%
Dow Chemical Co.	A3	5.97%	01/15/09		490		495,432
Dow Chemical Co.	A3	7.375%	11/01/29		845		976,700
Huntsman International LLC	B2	9.875%	03/01/09		1,478		1,522,340
Huntsman International LLC	Ba3	11.625%	10/15/10		2,100		2,294,250
ICI Wilmington, Inc.	Baa3	4.375%	12/01/08		2,040		2,001,624
Lubrizol Corp.	Baa3	4.625%	10/01/09		5,600		5,493,274
Lubrizol Corp.	Baa3	5.875%	12/01/08		550		553,226
Lubrizol Corp.	Baa3	6.50%	10/01/34		1,380		1,388,682
Monsanto Co.	Baa1	5.50%	08/15/25		4,560		4,360,226
Nalco Co., Sr. Notes	B1	7.75%	11/15/11		2,800		2,863,000
Union Carbide Chemical & Plastics Co.	Ba2	7.875%	04/01/23		3,058		3,306,909

							25,255,663

Collateralized Mortgage Obligations — 1.0%
Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1	Aaa	5.25%	09/25/19		2,905		2,815,937
Master Alternative Loan Trust, Series 2004-4, Class 4A1	Aaa	5.00%	04/25/19		599		584,894
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3(g)	Aaa	4.17%	02/25/34		4,164		4,121,537
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A	AAA(f)	5.00%	03/25/20		1,996		1,970,129
Washington Mutual, Series 2002-AR15, Class A5(g)	Aaa	4.38%	12/25/32		1,577		1,560,421

							11,052,918

SEE NOTES TO FINANCIAL STATEMENTS.

B22


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM BONDS (Continued)	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Commercial Mortgage-Backed Securities — 8.7%
Banc of America Commercial Mortgage, Inc., Series 2005-1, Class ASB(g)	AAA(f)	4.8645%	11/10/42	$	5,950	$	5,904,162
Banc of America Commercial Mortgage, Inc., Series 2006, Class A4(g)	AAA(f)	5.7405%	05/10/45		9,400		9,720,066
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T18, Class AAB(g)	Aaa	4.823%	02/13/42		2,475		2,414,136
Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-T20, Class AAB(g)	Aaa	5.1394%	10/12/42		3,400		3,386,846
Citigroup Commercial Mortgage Trust, 2006-C4, Class A3(g)	Aaa	5.72%	03/15/49		2,310		2,384,784
GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2	Aaa	4.93%	07/10/39		8,500		8,364,434
Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4	Aaa	4.111%	07/05/35		12,700		11,933,836
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1A, Class A2	Aaa	4.767%	03/12/39		4,969		4,834,230
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB13, Class A4(g)	Aaa	5.2943%	01/12/43		3,275		3,277,967
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class ASB	Aaa	4.659%	07/15/42		9,300		9,016,671
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A4(g)	Aaa	4.918%	10/15/42		3,700		3,591,999
LB-UBS Commercial Mortgage Trust, Series 2003-C8, Class A3	Aaa	4.83%	11/15/27		3,375		3,315,751
LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A6(g)	Aaa	4.799%	12/15/29		4,200		4,064,459
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4(g)	Aaa	5.8996%	06/15/38		6,130		6,411,982
Merrill Lynch/Countrywide Commercial Mortgage, Series 2006-2, Class A4(g)	Aaa	5.9098%	06/12/46		2,325		2,429,751
Morgan Stanley Dean Witter Capital I, Series 2000-PRIN, Class A3	Aaa	7.36%	02/23/34		522		527,659
PNC Mortgage Acceptance Corp., Series 2001-C1, Class A1	Aaa	5.91%	03/12/34		3,042		3,062,585
Wachovia Bank Commercial Mortgage Trust, Series 2002-C2, Class A4	Aaa	4.98%	11/15/34		2,500		2,465,432
Wachovia Bank Commercial Mortgage Trust, Series 2003-C3, Class A2	AAA(f)	4.867%	02/15/35		7,330		7,179,528
Wachovia Bank Commercial Mortgage Trust, Series 2003-C9, Class A3	AAA(f)	4.608%	12/15/35		4,750		4,636,576
Wachovia Bank Commercial Mortgage Trust, Series 2005-C18, Class APB	Aaa	4.807%	04/15/42		1,500		1,462,680

							100,385,534

Consumer — 0.6%
Playtex Products, Inc.	Ba3	8.00%	03/01/11		1,850		1,933,250
Realogy Corp., 144A(h)	Baa2	6.15%	10/15/11		3,000		3,065,577
Western Union (The) Co., 144A(h)	A3	6.20%	11/17/36		2,450		2,301,444

							7,300,271

Electric — 3.8%
Arizona Public Services	Baa2	6.25%	08/01/16		1,750		1,790,618
CenterPoint Energy Houston Electric LLC	Baa2	5.70%	03/15/13		2,950		2,971,428
CMS Energy Corp.	Ba3	8.90%	07/15/08		2,570		2,685,650
Consumers Energy Co.	Baa2	5.00%	02/15/12		1,000		975,581
Consumers Energy Co.	Baa2	5.375%	04/15/13		1,000		990,322
Dominion Resources Inc	Baa2	5.15%	07/15/15		875		847,536
Edison Mission Energy(a)	B1	7.73%	06/15/09		2,420		2,504,700
Edison Mission Energy(a)	B1	7.75%	06/15/16		2,200		2,332,000
El Paso Electric Co.	Baa3	6.00%	05/15/35		2,325		2,228,696
Empresa Nacional de Electricidad SA (Chile)	Baa3	8.35%	08/01/13		625		708,911
Energy East Corp.	Baa2	6.75%	06/15/12		750		786,599
Energy East Corp.	Baa2	6.75%	09/15/33		1,150		1,207,880
Enersis SA (Chile)(a)	Baa3	7.375%	01/15/14		3,700		3,982,017
Exelon Corp.	Baa2	4.90%	06/15/15		500		471,610
FirstEnergy Corp.	Baa3	7.375%	11/15/31		945		1,076,200
Korea East-West Power Co., Ltd. (South Korea), 144A(h)	A1	4.875%	04/21/11		1,700		1,665,808
NiSource Finance Corp.	Baa3	5.45%	09/15/20		1,345		1,252,663
Northern States Power Co.	A2	8.00%	08/28/12		2,800		3,153,863
NRG Energy, Inc.	B1	7.25%	02/01/14		1,840		1,853,800

SEE NOTES TO FINANCIAL STATEMENTS.

B23


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM BONDS (Continued)	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (cont’d.)
NRG Energy, Inc.	B1	7.375%	01/15/17	$	1,735	$	1,739,338
Ohio Edison Co.	Baa2	6.875%	07/15/36		175		190,529
Oncor Electric Delivery Co.	Baa2	7.00%	09/01/22		300		322,697
Orion Power Holdings, Inc., Sr. Notes	B2	12.00%	05/01/10		1,920		2,179,200
Southern California Edison Co.	A3	7.625%	01/15/10		1,100		1,166,209
Teco Energy, Inc.	Ba2	7.50%	06/15/10		955		1,017,075
Xcel Energy, Inc.	Baa1	3.40%	07/01/08		1,330		1,291,062
Xcel Energy, Inc.	Baa1	7.00%	12/01/10		1,850		1,951,256

							43,343,248

Emerging Markets — 0.3%
Alfa Diversified Payment Rights Finance Co., 144A(g)(h)	Baa3	6.96%	03/15/11		3,243		3,230,428

Energy – Integrated — 0.4%
Conocophilips Canada Funding Co. (Canada)	A1	5.625%	10/15/16		4,700		4,722,344

Energy – Other — 1.2%
Anadarko Petroleum Corp.	Baa2	5.95%	09/15/16		1,635		1,638,422
Anadarko Petroleum Corp.	Baa2	6.45%	09/15/36		575		581,035
GS Caltex Corp., 144A(h)	Baa1	7.75%	07/25/11		3,250		3,543,176
Halliburton Co.	Baa1	5.50%	10/15/10		625		623,889
Newfield Exploration Co.	Ba3	6.625%	04/15/16		1,685		1,676,575
Occidental Petroleum Corp., MTN	A3	4.25%	03/15/10		3,250		3,158,360
Talisman Energy, Inc. (Canada)	Baa2	6.25%	02/01/38		1,600		1,543,698
Talisman Energy, Inc., (Canada)	Baa2	5.125%	05/15/15		1,190		1,128,373

							13,893,528

Foods — 1.5%
Cadbury Schweppes US Finance LLC, 144A(h)	Baa2	3.875%	10/01/08		2,600		2,532,088
HJ Heinz Co., 144A(h)	Baa2	6.428%	12/01/08		3,550		3,613,331
Kraft Foods, Inc.	A3	5.625%	11/01/11		860		869,141
Supervalu, Inc., Bank Loan(i)	Ba3	6.85%	06/02/11		3,000		2,927,754
The Kroger Co.	Baa2	6.75%	04/15/12		1,375		1,442,811
Tricon Global Restaurants, Inc.	Baa2	8.875%	04/15/11		1,705		1,912,620
Tyson Foods, Inc.	Ba1	6.85%	04/01/16		1,000		1,026,823
Tyson Foods, Inc.	Ba2	8.25%	10/01/11		2,550		2,755,584

							17,080,152

Gaming — 0.6%
Harrah’s Operating Co., Inc.	Baa3	5.625%	06/01/15		2,500		2,144,120
Mandalay Resorts Group	B1	9.375%	02/15/10		33		35,310
MGM Mirage, Inc.	Ba2	6.875%	04/01/16		3,000		2,880,000
Station Casinos, Inc.	Ba3	6.875%	03/01/16		2,210		1,983,475

							7,042,905

Health Care & Pharmaceutical — 2.0%
Accellent, Inc.	Caa1	10.50%	12/01/13		1,570		1,628,875
Alliance Imaging, Inc., Sr. Sub. Notes(a)	B3	7.25%	12/15/12		1,500		1,425,000
AmerisourceBergen Corp.	Ba1	5.875%	09/15/15		2,325		2,273,332
Boston Scientific Corp.	Baa3	6.40%	06/15/16		1,675		1,695,028
Cardinal Health, Inc.	Baa2	5.85%	12/15/17		3,130		3,112,405
HCA, Inc.	Caa1	6.25%	02/15/13		194		171,690
HCA, Inc.	Caa1	7.69%	06/15/25		1,100		910,472
HCA, Inc., 144A(h)	B2	9.625%	11/15/16		2,200		2,365,000
HCA, Inc., Bank Loan(i)	Ba3	8.086%	11/14/13		2,500		2,527,405
Merck & Co., Inc.	Aa3	5.75%	11/15/36		2,805		2,774,869
Merck & Co., Inc.	Aa3	5.95%	12/01/28		255		257,480
Teva Pharmaceutical Finance LLC	Baa2	6.15%	02/01/36		750		728,720
Ventas Realty LP, Sr. Notes(a)	Ba2	6.625%	10/15/14		2,100		2,147,250
Wyeth(b)	A3	5.50%	03/15/13		1,250		1,258,088
Wyeth(b)	A3	6.45%	02/01/24		95		101,630

							23,377,244

SEE NOTES TO FINANCIAL STATEMENTS.

B24


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM BONDS (Continued)	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Health Care Insurance — 1.0%
Aetna, Inc.	A3	6.625%	06/15/36	$	2,000	$	2,138,728
Coventry Health Care, Inc.	Ba1	6.125%	01/15/15		4,025		3,966,641
United Healthcare Corp.	A3	5.80%	03/15/36		310		304,829
Wellpoint, Inc.	Baa1	5.00%	12/15/14		1,310		1,268,277
Wellpoint, Inc.	Baa1	5.85%	01/15/36		3,500		3,400,061

							11,078,536

Insurance — 1.4%
Allied World Insurance Holdings, Ltd. (Bermuda)	Baa1	7.50%	08/01/16		1,700		1,824,486
Allstate Corp.	A1	5.55%	05/09/35		995		956,878
Allstate Corp.	A1	5.95%	04/01/36		3,730		3,793,286
American International Group, Inc.	Aa2	4.25%	05/15/13		1,820		1,706,556
American International Group, Inc.	Aa2	5.05%	10/01/15		315		306,298
Axis Capital Holdings	Baa1	5.75%	12/01/14		3,350		3,329,243
Berkshire Hathaway Finance Corp.	Aaa	4.75%	05/15/12		3,400		3,332,289
Marsh & Mclennan Cos., Inc.	Baa2	5.75%	09/15/15		500		491,906
XL Capital, Ltd., Class A (Cayman Islands)	A3	5.25%	09/15/14		140		137,203

							15,878,145

Lodging — 0.5%
Carnival PLC (United Kingdom)	A3	7.30%	06/01/07		825		830,790
Felcor Lodging LP, 144A(g)(h)	Ba3	7.275%	12/01/11		1,800		1,809,000
Starwood Hotels & Resorts Worldwide, Inc.	Baa3	7.375%	05/01/07		3,000		3,012,255

							5,652,045

Media & Entertainment — 2.2%
Clear Channel Communications, Inc.	Baa3	8.00%	11/01/08		4,720		4,907,191
Idearc, Inc., Bank Loan(i)	Ba2	7.3762%	11/09/14		1,750		1,758,750
Intelsat Bermuda Ltd. (Bermuda), 144A(h)	B2	9.25%	06/15/16		2,300		2,472,500
Quebecor World Capital Corp. (Canada), 144A(h)	B2	8.75%	03/15/16		1,900		1,819,250
RH Donnelley Corp.	B3	6.875%	01/15/13		1,300		1,246,375
Thomson Corp. (Canada)	A3	5.75%	02/01/08		2,750		2,758,236
Time Warner, Inc.(a)	Baa2	5.875%	11/15/16		4,615		4,603,347
Viacom, Inc.	Baa3	5.75%	04/30/11		1,300		1,300,664
Viacom, Inc.	Baa3	6.25%	04/30/16		4,100		4,071,599
Viacom, Inc.	Baa3	7.875%	07/30/30		425		445,370

							25,383,282

Metals — 0.6%
Arch Western Finance LLC, Sr. Notes	B1	6.75%	07/01/13		3,000		2,977,500
Russel Metals, Inc., Sr. Notes (Canada)	Ba2	6.375%	03/01/14		1,800		1,716,750
Southern Copper Corp.	Baa2	7.50%	07/27/35		1,600		1,734,859

							6,429,109

Non-Captive Finance — 1.8%
Capital One Financial Corp.	Baa1	6.15%	09/01/16		700		723,948
General Electric Capital Australia Funding	Aaa	6.00%	04/15/15		AUD 4,440		3,350,900
General Motors Acceptance Corp.	Ba1	6.15%	04/05/07		3,710		3,710,115
General Motors Acceptance Corp. MTN	Ba1	6.125%	03/15/07		EUR 3,260		4,314,574
Preferred Term Securities X, Class A-1, 144A(g)(h)(i)	Aaa	6.0906%	07/03/33		3,900		3,929,250
Residential Capital Corp.	Baa3	6.50%	04/17/13		3,500		3,547,023
Residential Capital Corp.	Baa3	6.875%	06/30/15		1,550		1,606,863

							21,182,673

Non-Corporate Foreign Agency — 2.0%
Credit Suisse First Boston International for CJSC (The) (Ukraine)	Ba2	6.80%	10/04/12		1,400		1,363,964
Gazprom International SA (Chile), 144A(h)	BBB+(f)	7.201%	02/01/20		2,400		2,538,000
Gazprom OAO (Russia)	BB-(f)	10.50%	10/21/09		1,685		1,904,050
National Power Corp. (Philippines), 144A(g)(h)	BB-(f)	9.62%	08/23/11		1,530		1,723,892
National Power Corp. (Philippines)	B1	9.625%	05/15/28		2,095		2,540,655
Pemex Project Funding Master Trust (Mexico)	Baa1	8.85%	09/15/07		4,450		4,547,900
Petronas Capital, Ltd. (Malaysia), 144A(h)	A1	7.00%	05/22/12		7,300		7,872,393

							22,490,854

SEE NOTES TO FINANCIAL STATEMENTS.

B25


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM BONDS (Continued)	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#	Value (Note 2)
Non-Corporate Sovereign — 7.7%
Deutsche Bundesrepublik (Denmark)	Aaa	4.00%	01/04/37	EUR 595	$	774,195
Federal Republic of Argentina (Argentina)(g)	B3	3.00%	04/30/13	2,468		1,902,443
Federal Republic of Argentina (Argentina)(g)	B3	5.589%	08/03/12	2,400		2,266,043
Federal Republic of Brazil (Brazil)(a)	Ba2	9.25%	10/22/10	5,325		6,017,250
Federal Republic of Brazil (Brazil)	Ba2	10.25%	06/17/13	2,425		2,994,875
Federal Republic of Brazil (Brazil)(a)	Ba2	12.50%	01/05/16	BRL 4,750		2,523,403
Government of Hungary (Hungary)	A2	8.00%	02/12/15	HUF 2,893,570		16,164,121
Government of Japan (Japan)	A2	2.20%	09/20/26	JPY 168,250		1,442,311
Jamaica Government Bond (Jamaica)	B1	11.00%	07/27/12	EUR 995		1,592,552
Norway Government Bond (Norway)	Aaa	5.00%	05/15/15	NOK 30,470		5,089,627
Peru Government International Bond (Peru), 144A(h)	Ba3	Zero	05/31/18	1,837		1,217,013
Republic of Colombia (Colombia)(g)	Ba2	7.175%	11/16/15	2,500		2,587,500
Republic of Peru (Peru)(g)	Ba3	5.00%	03/07/17	2,267		2,249,601
Republic of Panama (Panama)	Ba1	9.375%	07/23/12	1,295		1,518,388
Republic of Panama (Panama)	Ba1	7.25%	03/15/15	2,375		2,570,938
Republic of Poland (Poland)	A2	6.25%	10/24/15	PLN 36,085		13,337,951
Republic of Turkey (Turkey)	Ba3	9.875%	03/19/08	1,845		1,937,250
Republic of Uruguay (Uruguay)	B1	7.25%	02/15/11	660		689,700
Republic of Venezuela (Venezuela)	B2	10.75%	09/19/13	2,385		2,963,363
Russian Government International Bond (Russia), 144A(h)	Baa2	8.25%	03/31/10	4,037		4,218,383
United Mexican States (Mexico)(g)	Baa1	6.0734%	01/13/09	2,090		2,108,810
United Mexican States (Mexico)(a)	Baa1	7.50%	01/14/12	4,250		4,658,000
United Mexican States (Mexico)	Baa1	9.00%	12/20/12	MXP 77,200		7,709,994

						88,533,711

Paper — 1.4%
Catalyst Paper Corp.	B2	8.625%	06/15/11	2,100		2,126,250
Domtar, Inc. (Canada)	B2	7.875%	10/15/11	675		700,313
Domtar, Inc. (Canada)	B2	5.375%	12/01/13	1,000		905,000
Graphic Packaging International, Inc.	B2	8.50%	08/15/11	2,970		3,073,950
International Paper Co.	Baa3	4.00%	04/01/10	2,815		2,701,857
Norampac, Inc., Sr. Notes (Canada)	Ba3	6.75%	06/01/13	1,900		1,847,750
Stora Enso Oyj (Finland), 144A(a)(h)	Baa3	7.25%	04/15/36	1,560		1,635,126
Weyerhaeuser Co.	Baa2	7.375%	03/15/32	3,495		3,648,168

						16,638,414

Pipelines & Other — 1.3%
Atmos Energy Corp.(e)	Baa3	4.00%	10/15/09	5,300		5,098,600
Enterprise Products Operating LP	Baa3	4.00%	10/15/07	4,000		3,951,068
Oneok, Inc.	Baa2	5.51%	02/16/08	6,000		5,995,740

						15,045,408

Real Estate Investment Trusts — 0.4%
Equity One, Inc.	Baa3	3.875%	04/15/09	1,450		1,394,933
Post Apartment Homes LP	Baa3	5.45%	06/01/12	2,300		2,252,883
Spieker Properties LP	Baa2	7.65%	12/15/10	1,000		1,095,380

						4,743,196

Retailers — 1.5%
GSC Holdings Corp.(g)	B1	9.2466%	10/01/11	3,000		3,112,500
Home Depot, Inc.	Aa3	5.875%	12/16/36	4,600		4,514,090
May Department Stores Co.	Baa1	6.65%	07/15/24	900		891,713
The Gap, Inc.	Baa3	6.90%	09/15/07	8,875		8,936,442

						17,454,745

Structured Notes — 3.3%
Dow Jones CDX HY, 144A(h)	B3	8.25%	12/29/10	8,500		8,786,875
Dow Jones CDX HY, 144A(h)	B3	8.625%	06/29/11	10,230		10,632,039
Trains HY-1 2006, 144A(a)(h)	B1	7.548%	05/01/16	18,576		18,956,436

						38,375,350

SEE NOTES TO FINANCIAL STATEMENTS.

B26


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM BONDS (Continued)	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology — 2.0%
Advanced Micro Devices, Inc., Bank Loan(i)	Ba3	7.62%	10/24/13	$	2,666	$	2,671,782
Certegy, Inc.	Ba2	4.75%	09/15/08		1,900		1,835,007
Equifax, Inc.	Baa1	4.95%	11/01/07		1,340		1,330,692
Freescale Semiconductor, Inc., 144A(h)	B1	9.125%	12/15/14		2,600		2,583,750
Freescale Semiconductor, Inc., 144A(h)	B2	10.125%	12/15/16		1,500		1,501,875
Jabil Circuit, Inc.	Baa3	5.875%	07/15/10		2,000		1,985,848
Motorola, Inc.	Baa1	8.00%	11/01/11		121		133,894
NXP BV/NXP Funding LLC, 144A(a)(h)	B2	9.50%	10/15/15		1,970		2,019,250
Sensata Technologies BV (Netherlands), 144A(h)	Caa1	8.25%	05/01/14		3,590		3,446,400
SunGard Data Systems, Inc.	B3	3.75%	01/15/09		720		680,400
Xerox Corp.	Baa3	6.40%	03/15/16		4,450		4,544,563

							22,733,461

Telecommunications — 4.8%
ALLTEL LP, 144A(h)	A2	8.00%	08/15/10		735		788,070
AT&T Corp.(a)	A2	4.125%	09/15/09		4,150		4,030,704
AT&T Corp.	A2	8.00%	11/15/31		2,475		3,070,678
AT&T Wireless Services, Inc.	Baa1	8.75%	03/01/31		2,375		3,086,467
BellSouth Corp.	A2	4.20%	09/15/09		2,750		2,673,377
Citizens Communications Co.	Ba2	7.625%	08/15/08		903		934,605
Embarq Corp.	Baa3	7.082%	06/01/16		5,600		5,700,912
LCI International, Inc.	NR	7.25%	06/15/07		6,675		6,691,687
Level 3 Financing, Inc., 144A(h)	B2	9.25%	11/01/14		1,650		1,683,000
New Cingular Wireless Services, Inc.	Baa1	8.125%	05/01/12		1,810		2,036,735
Sprint Nextel Corp.	Baa3	6.00%	12/01/16		3,625		3,533,023
Telecom de Puerto Rico (Puerto Rico)	Baa1	6.80%	05/15/09		4,365		4,455,661
Telecom Italia Capital (Luxemburg)	Baa2	7.20%	07/18/36		2,400		2,507,323
Telecom Italia Capital (Luxemburg)	Baa2	4.95%	09/30/14		605		560,497
Telecom Italia Capital (Luxemburg)	Baa2	5.25%	10/01/15		1,355		1,265,718
Telefonica Emisiones SAU	Baa1	6.421%	06/20/16		5,500		5,673,899
TELUS Corp. (Canada)	Baa2	7.50%	06/01/07		6,250		6,296,256
TELUS Corp. (Canada)	Baa2	8.00%	06/01/11		150		164,031

							55,152,643

Tobacco — 0.6%
Altria Group, Inc.	Baa1	7.65%	07/01/08		1,100		1,134,066
Altria Group, Inc.	Baa1	7.75%	01/15/27		315		382,060
Reynolds American, Inc.	BB(f)	6.50%	07/15/10		4,000		4,057,456
Reynolds American, Inc.	Ba3	7.625%	06/01/16		1,020		1,080,725

							6,654,307

U.S. Government Agency Obligations — 0.2%
Federal Home Loan Bank	Aaa	4.75%	12/16/16		105		102,803
Federal Home Loan Mortgage Corp.	Aaa	5.50%	07/18/16		120		124,487
Federal Home Loan Mortgage Corp.	Aaa	5.125%	10/18/16		115		115,985
Federal National Mortgage Association	Aaa	4.875%	12/15/16		20		19,776
Federal National Mortgage Association	Aaa	6.625%	11/15/30		170		202,861
Tennessee Valley Authority	Aaa	5.88%	04/01/36		1,315		1,445,857

							2,011,769

U.S. Government Mortgage-Backed Securities — 29.9%
Federal Home Loan Mortgage Corp.	Aaa	4.50%	02/01/19-07/01/19		17,368		16,760,176
Federal Home Loan Mortgage Corp.	Aaa	5.00%	07/01/19-05/01/34		8,642		8,443,933
Federal Home Loan Mortgage Corp.	Aaa	5.00%	TBA 30 YR		8,500		8,199,848
Federal Home Loan Mortgage Corp.	Aaa	5.50%	10/01/33-06/01/34		6,212		6,158,259
Federal Home Loan Mortgage Corp.	Aaa	6.00%	11/01/33-06/01/34		7,104		7,164,221
Federal Home Loan Mortgage Corp.	Aaa	6.00%	TBA 30 YR		2,500		2,517,970
Federal Home Loan Mortgage Corp.	Aaa	6.50%	07/01/32-09/01/32		3,382		3,458,430

SEE NOTES TO FINANCIAL STATEMENTS.

B27


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM BONDS (Continued)	Moody’s Rating (Unaudited)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Government Mortgage-Backed Securities (cont’d.)
Federal Home Loan Mortgage Corp.	Aaa	7.00%	10/01/32-11/01/33	$	6,882	$	7,078,887
Federal National Mortgage Association	Aaa	4.00%	05/01/19-06/01/19		8,263		7,787,500
Federal National Mortgage Association	Aaa	4.50%	06/01/18-02/01/35		33,720		32,395,534
Federal National Mortgage Association	Aaa	5.00%	01/01/19-03/01/34		48,578		47,111,438
Federal National Mortgage Association	Aaa	5.00%	TBA 15 YR		15,000		14,742,180
Federal National Mortgage Association	Aaa	5.00%	TBA 30 YR		3,000		2,895,936
Federal National Mortgage Association(g)	Aaa	5.279%	01/01/36		4,016		4,009,212
Federal National Mortgage Association	Aaa	5.50%	TBA 30 YR		56,500		55,829,063
Federal National Mortgage Association	Aaa	5.50%	12/01/16-09/01/34		39,111		38,839,179
Federal National Mortgage Association	Aaa	6.00%	TBA 15 YR		7,500		7,603,125
Federal National Mortgage Association	Aaa	6.00%	TBA 30 YR		5,500		5,536,091
Federal National Mortgage Association	Aaa	6.00%	09/01/17-02/01/35		21,421		21,623,049
Federal National Mortgage Association	Aaa	6.50%	11/01/09-11/01/33		7,856		8,039,769
Federal National Mortgage Association	Aaa	7.00%	05/01/32-06/01/32		689		708,360
Federal National Mortgage Association	Aaa	9.00%	10/01/16-05/01/17		19		19,797
Government National Mortgage Association	Aaa	5.50%	TBA 30 YR		250		248,750
Government National Mortgage Association	Aaa	5.50%	01/15/33-07/15/35		18,397		18,303,823
Government National Mortgage Association	Aaa	6.00%	12/15/32-11/15/34		11,430		11,587,771
Government National Mortgage Association	Aaa	6.50%	09/15/32-11/15/33		6,099		6,264,218
Government National Mortgage Association	Aaa	7.50%	10/15/25-02/15/26		200		208,667

							343,535,186

U.S. Government Treasury Securities — 0.3%
United States Treasury Bonds(a)	Aaa	4.50%	02/15/36		200		190,188
United States Treasury Notes(a)	Aaa	4.625%	11/15/16		1,285		1,276,568
United States Treasury Notes(a)	Aaa	4.625%	11/15/16		2,430		2,414,054

							3,880,810

TOTAL LONG-TERM BONDS (cost $1,137,656,890)							1,142,714,909

SHORT-TERM INVESTMENTS — 9.8%				Shares
Affiliated Money Market Mutual Funds
Dryden Core Investment Fund- Dryden Short-Term Bond Series(d)					3,345,946		33,492,916
Dryden Core Investment Fund-Taxable Money Market Fund Series (includes $54,138,631 of cash collateral received for securities on loan) (Note 4)(c)(d)					78,680,564		78,680,564

TOTAL AFFILIATED MONEY MARKET MUTUAL FUNDS (cost $112,153,335)							112,173,480

TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 109.1% (cost $1,249,810,225)							1,254,888,389


SECURITY SOLD SHORT — (1.7)%	Moody’s Rating	Interest Rate	Maturity Date	Principal Amount (000)		Value (Note 2)
U.S. Government Mortgage-Backed Securities
Federal National Mortgage Association (proceeds $19,425,000)	Aaa	4.50%	TBA	$	20,000		(19,287,500	)

TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.4% (cost $1,230,385,225)							1,235,600,889
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (7.4%)							(85,235,809	)

TOTAL NET ASSETS — 100.0%						$	1,150,365,080

SEE NOTES TO FINANCIAL STATEMENTS.

B28


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

The following abbreviations are used in portfolio descriptions:


AUD		Australian Dollar
BRL		Brazilian Real
EUR		Euro Dollar
HUF		Hungarian Forint
JPY		Japanese Yen
MTN		Medium Term Note
MXP		Mexican Peso
NOK		Norwegian Krone
NR		Not Rated by Moody’s or Standard & Poor’s
PLN		Polish Zloty
TBA		Securities purchased on a forward commitment basis

#	Principal amount shown in U.S. dollars unless otherwise stated.

(a)	All or portion of security is on loan. The aggregate market value of such securities is $52,884,013; cash collateral of $54,138,631 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Increase/decrease in rate variable upon increase/decrease in Moody’s or Standard & Poor’s rating.

(c)	Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(d)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series and the Dryden Core Investment Fund — Dryden Short-Term Bond Series.

(e)	Security segregated as collateral for future contracts.

(f)	Standard & Poor’s rating.

(g)	Indicates a variable rate security. The maturity date presented for these instruments is the latter of the next date on which the security can be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at December 31, 2006.

(h)	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.

(i)	Indicates a security that has been deemed illiquid.

(j)	Liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures, interest rate swaps, credit default swaps and foreign currency contracts as follows:

Open future contracts outstanding at December 31, 2006:


Number of Contracts	Type	Expiration Date	Value at Trade Date		Value at December 31, 2006		Unrealized Appreciation (Depreciation)
Long Positions:
34	Canadian 10 Yr Bond	Mar. 2007	$	3,352,107	$	3,318,510	$	(33,597	)
80	Eurodollar	Mar. 2007		12,487,910		12,253,185		(234,725	)
41	U.K. 10 Yr Bond	Mar. 2007		8,801,662		8,680,379		(121,283	)
839	U.S. Treasury 10 Yr. Bond	Mar. 2007		94,836,138		93,496,063		(1,340,075	)

								(1,729,680	)

Short Positions:
169	U.S. Treasury 5 Yr. Notes	Mar. 2007		17,946,770		17,755,563		191,207
110	U.S. Treasury 2 Yr. Notes	Mar. 2007		22,592,833		22,443,438		149,395
1358	U.S. Treasury 10 Yr. Notes	Mar. 2007		147,560,657		145,942,563		1,618,094

								1,958,696

							$	229,016

SEE NOTES TO FINANCIAL STATEMENTS.

B29


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

Forward Foreign currency exchange contracts outstanding at December 31, 2006:


Foreign Currency Contract	Value at Settlement Date		Current Value		Unrealized Appreciation/ (Depreciation)
Purchased:
Brazilian Real expiring 10/23/08	$	2,775,000	$	3,092,791	$	317,791
Japanese Yen expiring 01/24/07		2,217,281		2,204,654		(12,627	)
Norwegian Krone expiring 01/22/07		3,398,888		3,401,740		2,852

		8,391,169		8,699,185		308,016

Sold:
Australian Dollar expiring 01/19/07		3,285,773		3,298,715		(12,942	)
Euro expiring 01/24/07		6,690,847		6,739,742		(48,895	)
Hungarian Forint expiring 01/22/07		16,480,840		16,612,076		(131,236	)
Japanese Yen expiring 01/24/07		3,511,312		3,468,046		43,266
Mexican Nuevo Peso expiring 01/18/07		6,075,507		6,098,448		(22,941	)
Norwegian Krone expiring 01/22/07		8,748,426		8,692,160		56,266
Polish Zloty expiring 01/22/07		13,593,679		13,457,398		136,281

		58,386,384		58,366,585		19,799

					$	327,815

Interest rate swap agreements outstanding at December 31, 2006:


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate		Floating Rate	Unrealized Appreciation/ (Depreciation)
Merrill Lynch Capital Services, Inc.(a)	11/02/2016	$	12,030	5.151	%	3 month LIBOR	$	(39,888	)
Morgan Stanley Capital Services(a)	12/22/2016		9,490	6.808	%	3 month NZD-BBR-FRA		14,752
Morgan Stanley Capital Services(a)	01/04/2017		4,735	6.88	%	3 month NZD-BBR-FRA		—

							$	(25,136	)

(a)	Portfolio pays the floating rate and receives the fixed rate.

Credit default swap agreements outstanding at December 31, 2006:


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate		Underlying Bond	Unrealized Appreciation/ (Depreciation)
Morgan Stanley Capital Services, Inc.(a)	06/20/2009	$	4,000	0.82	%	Tyco International Group SA, 6.00%, due 11/15/13	$	61,130
Morgan Stanley Capital Services, Inc.(b)	12/20/2009		3,295	0.60	%	RPM International, Inc., 6.25%, due 12/15/13		(32,058	)
Morgan Stanley Capital Services, Inc.(b)	12/20/2009		1,855	0.75	%	RPM International, Inc., 6.25%, due 12/15/13		(25,925	)
Merrill Lynch Capital Services, Inc.(a)	12/20/2009		4,000	4.55	%	General Motors Corp., 7.125%, 07/15/13		181,411
Deutsche Bank AG(b)	05/25/2036		1,000	2.74	%	Fieldstone Mortgage Investment Corp., Ser. 2006-1, Class M9, 7.62%, due 05/25/36		(809	)
Morgan Stanley Capital Services, Inc.(b)	06/25/2036		1,000	4.25	%	Morgan Stanley ABS Capital I, Ser. 2006-HE4, Class B3, 7.19%, 06/25/36		(15,852	)
Morgan Stanley Capital Services, Inc.(a)	12/20/2014		5,500	1.17	%	Nextel Communications, Inc., 7.375%, due 8/1/15		136,586
Morgan Stanley Capital Services, Inc.(a)	09/20/2015		4,000	0.57	%	Dow Chemical Co., 6.00%, due 10/01/12		86,934

SEE NOTES TO FINANCIAL STATEMENTS.

B30


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate		Underlying Bond	Unrealized Appreciation/ (Depreciation)
Deutsche Bank AG(b)	11/25/2035	$	1,000	1.98	%	Residential Asset Mortgage Products, Inc., Ser. 2005-EFC6, Class M9, 7.57%, 11/25/35	$	(4,311	)
Merrill Lynch Capital Services, Inc.(b)	12/25/2035		800	2.04	%	Accredited Mortgage Loan Trust, Ser. 2005-4, Class M9, 7.82%, 12/25/35		(3,458	)
Deutsche Bank AG(b)	04/25/2036		550	3.05	%	First Franklin Mortgage Loan Asset Backed Certificates,		(2,268	)
Morgan Stanley Capital Services, Inc.(b)	04/25/2036		235	3.15	%	First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2006-FF5, Class M9, 7.27%, 04/25/36		(973	)
Citibank, NA(b)	05/25/2036		1,000	4.55	%	Structured Asset Securities Corp., Ser. 2006-NC1, Class M9, 7.22%, 05/25/36		(2,410	)

							$	377,997

(a)	The Portfolio receives the fixed rate and pays the counterparty par in the event that the underlying bond defaults.

(b)	The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults.

SEE NOTES TO FINANCIAL STATEMENTS.

B31


		*DIVERSIFIED BOND PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:


U.S Government Mortgage-Backed Securities	29.9	%
Affiliated Money Market Mutual Funds (including 4.7% of collateral received for securities on loan)	9.8
Commercial Mortgage-Backed Securities	8.7
Non-Corporate Sovereign	7.7
Telecommunications	4.8
Asset-Backed Securities	4.1
Electric	3.8
Structured Notes	3.3
Banking	2.9
Chemicals	2.2
Media & Entertainment	2.2
Health Care & Pharmaceutical	2.0
Non-Corporate Foreign Agency	2.0
Technology	2.0
Non-Captive Finance	1.8
Automotive	1.5
Foods	1.5
Retailers	1.5
Insurance	1.4
Paper	1.4
Cable	1.3
Pipelines & Other	1.3
Capital Goods	1.2
Energy-Other	1.2
Building Materials & Construction	1.0
Collateralized Mortgage Obligations	1.0
Health Care Insurance	1.0
Aerospace/Defense	0.8
Airlines	0.8
Consumer	0.6
Gaming	0.6
Metals	0.6
Tobacco	0.6
Brokerage	0.5
Lodging	0.5
Energy-Integrated	0.4
Real Estate Investment Trusts	0.4
Emerging Markets	0.3
U.S. Government Treasury Securities	0.3
U.S. Government Agency Obligations	0.2

	109.1
Securities Sold Short	(1.7	)
Liabilities in excess of other assets	(7.4	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

B32


		*EQUITY PORTFOLIO*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS — 98.7%		Value (Note 2)
COMMON STOCKS	Shares	Value (Note 2)
Aerospace & Defense — 3.0%
Boeing Co. (The)	600,559	$	53,353,661
Honeywell International, Inc.	1,490,800		67,443,792
Lockheed Martin Corp.	1,326		122,085
Orbital Sciences Corp.*(a)	681,900		12,574,236
Raytheon Co.	2,400		126,720

			133,620,494

Air Freight & Logistics
United Parcel Service, Inc. (Class B Stock)	1,735		130,090

Beverages — 1.7%
PepsiCo, Inc.	1,221,423		76,400,009

Biotechnology — 1.4%
Amgen, Inc.*	2,315		158,138
Genentech, Inc.*(a)	325,313		26,392,644
Gilead Sciences, Inc.*(a)	560,752		36,409,627

			62,960,409

Building Materials — 0.9%
Masco Corp.	1,360,862		40,648,948

Building Products — 0.7%
American Standard Cos., Inc.(a)	656,200		30,086,770

Capital Markets — 6.1%
Bank of New York Co., Inc. (The)	961,900		37,870,003
Goldman Sachs Group, Inc.	336,712		67,123,537
Lazard Ltd. (Class A Stock)(a)	193,400		9,155,556
Mellon Financial Corp.(a)	16,538		697,077
Merrill Lynch & Co., Inc.(a)	740,859		68,973,973
Schwab, (Charles) Corp.	1,131,700		21,887,078
UBS AG	1,017,600		61,391,808

			267,099,032

Chemicals — 1.8%
Air Products & Chemicals, Inc.	900		63,252
Arkema, ADR (France)*	70		3,593
E.I. Du Pont de Nemours & Co.(a)	1,297,914		63,221,391
Ecolab, Inc.(a)	329,528		14,894,666

			78,182,902

Clothing & Apparel
Cintas Corp.	844		33,515
Hanesbrands, Inc.*	500		11,810

			45,325

Commercial Banks — 2.5%
Bank of America Corp.	751,448		40,119,809
Royal Bank of Scotland Group PLC (United Kingdom)	525,055		20,488,998
Wachovia Corp.	1,401		79,786
Wells Fargo & Co.	1,436,614		51,085,994

			111,774,587

Commercial Services & Supplies — 0.7%
Waste Management, Inc.	883,600		32,489,972

Communication Equipment — 7.4%
Avaya, Inc.*	2,016,800		28,194,864
Cisco Systems, Inc.*	3,132,689		85,616,390
Corning, Inc.*	614,975		11,506,182
Motorola, Inc.	4,189,564		86,137,436


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Communication Equipment (cont’d.)
Nokia Corp., ADR (Finland)	7,542	$	153,254
QUALCOMM, Inc.	2,459,460		92,942,993
Research in Motion Ltd. (Canada)*	151,800		19,397,004

			323,948,123

Computers & Peripherals — 1.4%
Apple Computer, Inc.*	481,700		40,867,428
Dell, Inc.*(a)	10,365		260,058
EMC Corp.*	8,140		107,448
Hewlett-Packard Co.	450,100		18,539,619
Sun Microsystems, Inc.*(a)	5,400		29,268

			59,803,821

Conglomerates
Cooper Industries Ltd. (Bermuda) (Class A Stock)	410		37,076

Construction — 1.0%
Toll Brothers, Inc.*(a)	1,319,100		42,514,593

Consumer Finance — 1.3%
American Express Co.	946,646		57,433,013

Consumer Products & Services — 0.5%
Fortune Brands, Inc.(a)	242,700		20,724,153

Diversified Consumer Services — 1.0%
Career Education Corp.*(a)	679,400		16,835,532
H&R Block, Inc.	1,220,900		28,129,536

			44,965,068

Diversified Financial Services — 5.8%
Capital One Financial Corp.	438,575		33,691,331
Citigroup, Inc.	753,304		41,959,033
Freddie Mac(a)	612,790		41,608,441
IntercontinentalExchange, Inc.*(a)	216,100		23,317,190
JPMorgan Chase & Co.	1,043,247		50,388,830
KKR Private Equity Investors LP(c)	1,295,700		29,606,745
KKR Private Equity Investors LP, RDU (cost $7,567,532; purchased 7/18/06-8/3/06)(c)(e)	334,700		7,647,895
NYSE Group, Inc.*(a)	267,500		26,001,000

			254,220,465

Electronic Components — 1.0%
Dolby Laboratories, Inc. (Class A Stock)*(a)	684,158		21,222,581
Parker Hannifin Corp.	286,900		22,056,872

			43,279,453

Energy Equipment & Services — 1.7%
Baker Hughes, Inc.	362,700		27,079,182
BJ Services Co.	5,010		146,893
Cameron International Corp.*	6,490		344,295
GlobalSantaFe Corp. (Cayman Islands)	2,000		117,560
Halliburton Co.	855,500		26,563,275
Transocean, Inc.*	272,000		22,002,080

			76,253,285

Financial – Bank & Trust — 0.4%
Hudson City Bancorp, Inc.	1,363,500		18,925,380
PNC Financial Services Group, Inc.(a)	1,986		147,043

			19,072,423

SEE NOTES TO FINANCIAL STATEMENTS.

B33


		*EQUITY PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Financial – Brokerage
Ameriprise Financial, Inc.	177	$	9,647

Food & Staples Retailing — 1.7%
Kroger Co. (The)	1,251,500		28,872,105
Wal-Mart Stores, Inc.	1,023,192		47,251,007

			76,123,112

Food Products — 2.3%
Cadbury Schweppes PLC, ADR (United Kingdom)	686,800		29,484,324
ConAgra Foods, Inc.	1,128,200		30,461,400
General Mills, Inc.	792		45,619
Kellogg Co.	395,315		19,789,469
McCormick & Co., Inc.	587,523		22,654,887
Sara Lee Corp.	4,000		68,120

			102,503,819

Healthcare Equipment & Supplies — 0.8%
Alcon, Inc.(a)	265,300		29,652,581
Baxter International, Inc.	88,800		4,119,432
Medtronic, Inc.	1,486		79,516
St. Jude Medical, Inc.*(a)	833		30,454

			33,881,983

Healthcare Providers & Services — 2.1%
Coventry Health Care, Inc.*	357,523		17,894,026
Omnicare, Inc.(a)	611,500		23,622,245
Tenet Healthcare Corp.*(a)	2,352		16,394
UnitedHealth Group, Inc.	497,147		26,711,708
WellPoint, Inc.*	292,800		23,040,432

			91,284,805

Hotels, Restaurants & Leisure — 2.2%
Marriott International, Inc. (Class A Stock)	539,600		25,749,712
McDonald’s Corp.	968,661		42,940,742
OSI Restaurant Partners, Inc.	560		21,952
Station Casinos, Inc.(a)	320,878		26,206,106

			94,918,512

Household Durables
Newell Rubbermaid, Inc.	2,500		72,375

Household Products — 1.0%
Kimberly-Clark Corp.	388,900		26,425,755
Procter & Gamble Co.	302,878		19,465,969

			45,891,724

Independent Power Producers & Energy Traders — 0.7%
NRG Energy, Inc.*(a)	525,500		29,433,255

Industrial Conglomerates — 2.9%
General Electric Co.	2,741,463		102,009,838
Textron, Inc.	265,485		24,894,529
Tyco International Ltd.	16,708		507,923

			127,412,290

Insurance — 5.5%
AFLAC, Inc.(a)	668,670		30,758,820
Allstate Corp. (The)	2,922		190,251
American International Group, Inc.	1,157,110		82,918,503
Axis Capital Holdings Ltd.	644,600		21,510,302


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Insurance (cont’d.)
Berkshire Hathaway, Inc. (Class A Stock)*	207	$	22,767,930
Chubb Corp.	486,664		25,749,392
Conseco, Inc.*	2,165		43,257
Hartford Financial Services Group, Inc.	614		57,292
Loews Corp.	943,200		39,114,504
Marsh & McLennan Cos., Inc.	687,900		21,091,014

			244,201,265

Internet Software & Services — 1.2%
Google, Inc. (Class A Stock)*	109,900		50,606,752
Oracle Corp.*	10,373		177,793
Yahoo!, Inc.*(a)	1,140		29,116

			50,813,661

IT Services — 0.8%
Accenture Ltd. (Class A Stock)	2,802		103,478
Infosys Technologies Ltd., ADR (India)(a)	244,700		13,350,832
Paychex, Inc.	521,110		20,604,689

			34,058,999

Leisure Equipment & Products
Mattel, Inc.	2,812		63,720

Life Science Tools & Services
Thermo Fisher Scientific, Inc.*	550		24,910

Media — 4.9%
CBS Corp. (Class B Stock)	3,523		109,847
Comcast Corp. (Class A Stock)*(a)	655,200		27,734,616
Comcast Corp. (Special Class A Stock)*	1,045		43,764
EchoStar Communications Corp. (Class A Stock)*(a)	551,926		20,989,746
Liberty Global, Inc. (Class C Stock)*	1,022,450		28,628,600
News Corp. (Class A Stock)	1,540,026		33,079,758
News Corp. (Class B Stock)	1,313,938		29,248,260
Time Warner, Inc.	1,541,906		33,582,713
Univision Communications, Inc. (Class A Stock)*	1,102		39,033
Viacom, Inc. (Class B Stock)*	3,523		144,549
Walt Disney Co. (The)	1,248,600		42,789,522

			216,390,408

Metals & Mining — 1.8%
Barrick Gold Corp. (Canada)(a)	1,448,138		44,457,837
Freeport-McMoRan Copper & Gold, Inc. (Class B Stock)	297,100		16,557,383
Phelps Dodge Corp.	171,000		20,472,120

			81,487,340

Multi – Line Retail — 0.7%
J.C. Penney Co., Inc.	1,300		100,568
Kohl’s Corp.*(a)	530		36,268
Staples, Inc.	534,841		14,280,255
Target Corp.	322,013		18,370,841

			32,787,932

Multi – Utilities — 1.8%
Sempra Energy	1,394,046		78,058,502

SEE NOTES TO FINANCIAL STATEMENTS.

B34


		*EQUITY PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Office Electronics — 0.6%
Xerox Corp.*	1,616,100	$	27,392,895

Oil, Gas & Consumable Fuels — 7.5%
Anadarko Petroleum Corp.	515,900		22,451,968
ConocoPhillips	286,986		20,648,643
Exxon Mobil Corp.	759,928		58,233,282
Hess Corp.	565,400		28,026,878
Nexen, Inc.	599,300		32,961,500
Occidental Petroleum Corp.	612,400		29,903,492
Petroleo Brasileiro SA, ADR (Brazil)	276,100		28,435,539
Suncor Energy, Inc. (Canada)	796,620		62,752,676
Total SA, ADR (France)	644,726		46,368,694

			329,782,672

Pharmaceuticals — 6.6%
Abbott Laboratories	830,655		40,461,205
Elan Corp. PLC, ADR (Ireland)*(a)	1,489,000		21,962,750
Eli Lilly & Co.	1,697		88,414
Johnson & Johnson	2,172		143,395
MedImmune, Inc.*(a)	1,986		64,287
Merck & Co., Inc.	4,000		174,400
Novartis AG, ADR (Switzerland)	748,000		42,965,120
Pfizer, Inc.	1,800		46,620
Roche Holdings Ltd., ADR (Switzerland)	476,700		42,663,601
Sanofi-Aventis, ADR (France)	698,922		32,269,229
Schering-Plough Corp.	1,956,100		46,242,204
Sepracor, Inc.*(a)	1,200		73,896
Wyeth	1,234,809		62,876,474

			290,031,595

Retail & Merchandising — 0.6%
Best Buy Co., Inc.	536,100		26,370,759
CVS Corp.(a)	1,060		32,764
TJX Cos., Inc.	1,310		37,309

			26,440,832

Semiconductors & Semiconductor Equipment — 1.8%
Analog Devices, Inc.	1,080		35,500
ASML Holding NV (Netherlands)*	1,061,916		26,154,991
Broadcom Corp. (Class A Stock)*(a)	647,150		20,909,416
Intel Corp.	4,300		87,075
KLA-Tencor Corp.	552		27,462
Marvell Technology Group Ltd.*	1,102,310		21,153,329
Maxim Integrated Products, Inc.(a)	2,600		79,612
Texas Instruments, Inc.	443,955		12,785,904
Xilinx, Inc.(a)	1,070		25,477

			81,258,766

Software — 5.4%
Adobe Systems, Inc.*	1,622,213		66,705,399
Electronic Arts, Inc.*	675,352		34,010,727
Microsoft Corp.	3,802,995		113,557,431
SAP AG, ADR (Germany)(a)	426,600		22,652,460
Symantec Corp.*	13,210		275,428

			237,201,445


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Specialty Retail — 0.6%
Bed Bath & Beyond, Inc.*	770	$	29,337
Home Depot, Inc. (The)	1,445		58,031
Lowe’s Cos., Inc.(a)	697,384		21,723,512
Williams-Sonoma, Inc.(a)	78,200		2,458,608

			24,269,488

Telecommunications — 0.9%
Alltel Corp.	267,948		16,205,495
Comverse Technology, Inc.*	24,403		515,148
Embarq Corp.	661		34,742
Juniper Networks, Inc.*(a)	1,102,500		20,881,350
Nortel Networks Corp. (Canada)*	1,926		51,482

			37,688,217

Textiles, Apparel & Luxury Goods — 1.3%
Coach, Inc.*	827,200		35,536,512
NIKE, Inc. (Class B Stock)	242,000		23,965,260

			59,501,772

Tobacco — 1.6%
Altria Group, Inc.	830,400		71,264,928

Transportation
Expeditors International Washington, Inc.	566		22,923
FedEx Corp.	250		27,155

			50,078

Wireless Telecommunication Services — 1.1%
NII Holdings, Inc.*(a)	442,900		28,540,476
Sprint Nextel Corp.	1,108,816		20,945,534

			49,486,010

TOTAL LONG-TERM INVESTMENTS (cost $3,521,170,634)			4,349,476,968

SHORT-TERM INVESTMENT — 9.9%
AFFILIATED MONEY MARKET MUTUAL FUND
Dryden Core Investment Fund —Taxable Money Market Series (cost $435,213,247 includes $379,439,451 of cash collateral for securities on loan)(b)(w) (Note 4)	435,213,247	$	435,213,247

TOTAL INVESTMENTS(d) — 108.6% (cost $3,956,383,881)			4,784,690,215
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.6)%			(380,043,231	)

NET ASSETS — 100.0%		$	4,404,646,984

SEE NOTES TO FINANCIAL STATEMENTS.

B35


		*EQUITY PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

The following abbreviations are used in portfolio descriptions:


ADR		American Depositary Receipt
RDU		Restricted Depositary Receipt

*	Non-income producing security.

(a)	All or a portion of security is on loan. The aggregate market value of such securities is $366,835,888; cash collateral of $379,439,451 (included with liabilities) was received with which the portfolio purchased highly liquid short-term investments.

(b)	Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(c)	Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.

(d)	As of December 31, 2006, 1 security representing $7,647,895 and 0.17% of the net assets was fair valued in accordance with the policies adopted by the Board of Trustees.

(e)	Indicates a security illiquid and restricted as to resale. The aggregate cost of such security was $7,567,532. The aggregate value of $7,647,895 is approximately .17% of the net assets.

(w)	Prudential Investments LLC, the manager of the Portfolio also serves as manager of the Dryden Core Investment Fund-Taxable Money Market Series.

The industry classification of long-term portfolio holdings, short-term investment and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 were as follows:


Industry
Affiliated Money Market Mutual Fund (including 8.6% of collateral received for securities on loan)	9.9	%
Oil, Gas & Consumable Fuels	7.5
Communication Equipment	7.4
Pharmaceuticals	6.6
Capital Markets	6.1
Diversified Financial Services	5.8
Insurance	5.5
Software	5.4
Media	4.9
Aerospace & Defense	3.0
Industrial Conglomerates	2.9
Commercial Banks	2.5
Food Products	2.3
Hotels, Restaurants & Leisure	2.2
Healthcare Providers & Services	2.1
Metals & Mining	1.8
Semiconductors & Semiconductor Equipment	1.8
Chemicals	1.8
Multi-Utilities	1.8
Beverages	1.7
Energy Equipment & Services	1.7
Food & Staples Retailing	1.7
Tobacco	1.6
Biotechnology	1.4
Computers & Peripherals	1.4
Textiles, Apparel & Luxury Goods	1.3
Consumer Finance	1.3
Internet Software & Services	1.2
Wireless Telecommunication Services	1.1
Household Products	1.0
Diversified Consumer Services	1.0
Electronic Components	1.0
Construction	1.0
Building Materials	0.9
Telecommunications	0.9
IT Services	0.8
Healthcare Equipment & Supplies	0.8
Multi-Line Retail	0.7
Commercial Services & Supplies	0.7


Building Products	0.7	%
Independent Power Producers & Energy Traders	0.7
Office Electronics	0.6
Retail & Merchandising	0.6
Specialty Retail	0.6
Consumer Products & Services	0.5
Financial — Bank & Trust	0.4

	108.6
Liabilities in excess of other assets	(8.6	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

B36


		*FLEXIBLE MANAGED PORTFOLIO*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS — 91.7%		Value (Note 2)
COMMON STOCKS — 66.8%	Shares	Value (Note 2)
Aerospace & Defense — 1.9%
Boeing Co.	101,900	$	9,052,796
Ceradyne, Inc.(a)(b)	51,900		2,932,350
Honeywell International, Inc.	200,200		9,057,048
L-3 Communications Holdings, Inc.	122,900		10,050,762
Lockheed Martin Corp.	190,600		17,548,542
Northrop Grumman Corp.	268,400		18,170,680
Raytheon Co.	54,400		2,872,320
United Technologies Corp.	13,400		837,768

			70,522,266

Air Freight & Logistics — 0.4%
FedEx Corp.	89,400		9,710,628
HUB Group, Inc.(a)	21,200		584,060
United Parcel Service, Inc. (Class “B” Stock)(b)	43,800		3,284,124

			13,578,812

Airlines — 0.1%
Air France KLM (France)	36,941		1,555,077
British Airways PLC (United Kingdom)(a)	35,460		366,243
Qantas Airways Ltd. (Australia)	222,933		918,879

			2,840,199

Auto Components — 0.1%
Bridgestone Corp. (Japan)	4,000		89,265
Compagnie Generale des Etablissements Michelin (France)	6,546		626,474
Continental AG (Germany)	12,157		1,415,575
Rieter Holding AG (Switzerland)	775		405,468
Stanley Electric Co. Ltd. (Japan)	18,500		369,589

			2,906,371

Automobiles — 0.6%
DaimlerChrysler AG (Germany)	13,601		842,578
Fiat S.p.A. (Italy)	34,999		668,980
General Motors Corp.(b)	423,500		13,009,920
Harley-Davidson, Inc.(b)	6,000		422,820
Honda Motor Co. Ltd. (Japan)	51,100		2,016,875
Renault SA (France)	10,333		1,241,242
Toyota Motor Corp. (Japan)	66,000		4,417,182
Volkswagen AG (Germany)	4,477		508,010
Yamaha Motor Co. Ltd. (Japan)	18,000		565,807

			23,693,414

Beverages — 1.2%
Anheuser-Busch Cos., Inc.(b)	39,400		1,938,480
Carlsberg A/S (Denmark)	800		79,451
Coca-Cola Co. (The)(b)	349,800		16,877,850
Coca-Cola Enterprises, Inc.	227,300		4,641,466
Coca-Cola Hellenic Bottling Co. SA (Greece)	5,730		223,890
Foster’s Group Ltd. (Australia)	174,143		949,634
InBev NV (Belgium)	1,030		67,901
Molson Coors Brewing Co.	9,300		710,892
Pepsi Bottling Group, Inc.	87,000		2,689,170
PepsiAmericas, Inc.	10,600		222,388
PepsiCo, Inc.	226,020		14,137,551
SABMiller PLC (United Kingdom)	39,487		908,449

			43,447,122


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Biotechnology — 0.6%
Amgen, Inc.(a)	185,608	$	12,678,882
Biogen Idec, Inc.(a)(b)	161,400		7,939,266
ImClone Systems, Inc.(a)	40,100		1,073,076
PDL BioPharma, Inc.(a)(b)	53,700		1,081,518
United Therapeutics Corp.(a)	24,300		1,321,191

			24,093,933

Building Products — 0.1%
Cie de Saint-Gobain (France)	23,439		1,969,365
Geberit AG (Switzerland)	412		634,991
JS Group Corp. (Japan)	8,000		168,233
NCI Buildings Systems, Inc.(a)	9,800		507,150
Nippon Sheet Glass Co. Ltd. (Japan)	93,000		435,521
Sanwa Shutter Corp. (Japan)	25,000		147,539

			3,862,799

Capital Markets — 3.0%
3i Group PLC (United Kingdom)	8,809		174,117
Bear Stearns Cos., Inc. (The)	42,900		6,983,262
Credit Suisse Group (Switzerland)	42,315		2,960,487
D. Carnegie & Co. AB (Sweden)	10,100		217,610
Deutsche Bank AG (Germany)	22,896		3,070,128
Franklin Resources, Inc.	8,900		980,513
Goldman Sachs Group, Inc.	136,700		27,251,145
Janus Capital Group, Inc.(b)	121,100		2,614,549
Lehman Brothers Holdings, Inc.	303,000		23,670,360
Macquarie Bank Ltd. (Australia)	10,777		669,850
Merrill Lynch & Co.(b)	245,500		22,856,050
Morgan Stanley	217,290		17,693,925
UBS AG (Switzerland)	43,907		2,668,292

			111,810,288

Chemicals — 0.7%
Asahi Kasei Corp. (Japan)	70,000		458,936
Ashland, Inc.	11,200		774,816
BASF AG (Germany)	22,717		2,221,771
Ciba Specialty Chemicals AG (Switzerland)	2,068		137,556
Denki Kagaku Kogyo K K (Japan)	21,000		87,143
Dow Chemical Co. (The)	445,500		17,793,270
Koninklijke DSM NV (Netherlands)	20,779		1,026,675
Mitsubishi Chemical Holdings Corp. (Japan)	219,000		1,379,005
Mitsubishi Gas Chemical Co., Inc. (Japan)	46,000		481,293
Mitsui Chemicals, Inc. (Japan)	107,000		822,634
Nippon Shokubai Co. Ltd. (Japan)	17,000		180,957
Orica Ltd. (Australia)	11,759		224,805
Sumitomo Bakelite Co. Ltd. (Japan)	19,000		131,223
Sumitomo Chemical Co. Ltd. (Japan)	94,000		727,415
Teijin Ltd. (Japan)	89,000		547,956
Yara International ASA (Norway)	11,800		268,259

			27,263,714

Commercial Banks — 3.6%
Allied Irish Banks PLC (Ireland)	4,181		124,180
Alpha Credit Bank (Greece)	6,594		199,330
Australia and New Zealand Banking Group Ltd. (Australia)	54,366		1,206,670

SEE NOTES TO FINANCIAL STATEMENTS.

B37


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Commercial Banks (cont’d.)
Banche Popolari Unite Scpa (Italy)	27,471	$	754,995
Banco Bilbao Vizcaya Argentaria SA (Spain)	117,790		2,836,103
Banco Comercial Portugues SA (Portugal)	176,183		651,195
Banco Espirito Santo SA (Portugal)	43,906		789,386
Banco Popolare di Verona e Novara Scrl (Italy)	43,796		1,257,426
Banco Popular Espanol SA (Spain)	18,614		337,364
Banco Santander Central Hispano SA (Spain)	202,008		3,770,567
Barclays PLC (United Kingdom)	136,015		1,944,099
BB&T Corp.	189,000		8,302,770
BNP Paribas (France)	29,560		3,225,047
Comerica, Inc.	105,800		6,208,344
Comerzbank AG (Germany)	18,415		698,873
Credit Agricole SA (France)	42,549		1,789,468
Danske Bank A/S (Denmark)	31,100		1,381,904
DBS Group Holdings Ltd. (Singapore)	73,000		1,071,712
Dexia (Belgium)	51,666		1,415,180
DNB NOR ASA (Norway)	109,600		1,555,620
Gunma Bank Ltd. (The) (Japan)	22,000		132,255
HSBC Holdings PLC (United Kingdom)	305,300		5,565,256
Joyo Bank Ltd. (The) (Japan)	17,000		93,814
KeyCorp	268,200		10,199,646
Lloyds TSB Group PLC (United Kingdom)	53,801		602,026
Mitsubishi UFJ Financial Group, Inc. (Japan)	50		620,290
Mitsui Trust Holdings, Inc. (Japan)	88,000		1,005,373
Mizuho Financial Group, Inc. (Japan)	162		1,155,541
National City Corp.(b)	321,000		11,735,760
Regions Financial Corp.	220,000		8,228,000
Royal Bank of Scotland Group PLC (United Kingdom)	52,087		2,032,569
Sapporo Hokuyo Holdings, Inc. (Japan)	7		67,557
Shinsei Bank Ltd. (Japan)	153,000		899,302
Skandinaviska Enskilda Banken AB (Class “A” Stock) (Sweden)	23,000		730,724
Societe Generale (France)	15,117		2,566,228
Sumitomo Mitsui Financial Group, Inc. (Japan)	8		81,908
SunTrust Banks, Inc.(b)	48,900		4,129,605
Svenska Handelbanken (Class “A” Stock) (Sweden)	11,200		338,653
Sydbank A/S (Denmark)	1,756		83,933
U.S. Bancorp	371,032		13,427,648
UniCredito Italiano S.p.A (Italy)	308,917		2,707,688
United Overseas Bank Ltd. (Singapore)	11,000		138,741
Wachovia Corp.	210,600		11,993,670
Wells Fargo & Co.	418,900		14,896,084
Westpac Banking Corp. (Australia)	47,410		904,588
Zions Bancorporation	21,100		1,739,484

			135,596,576


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Commercial Services & Supplies — 0.4%
Corporate Executive Board Co.	13,000	$	1,140,100
Hays PLC (United Kingdom)	18,051		56,285
Herman Miller, Inc.	84,300		3,065,148
John H. Harland Co.(b)	29,700		1,490,940
Michael Page International PLC (United Kingdom)	41,077		363,736
R. R. Donnelley & Sons Co.	74,100		2,633,514
Randstad Holdings NV (Netherlands)	2,745		189,873
Robert Half International, Inc.	34,500		1,280,640
Societe Generale Surveilla (Switzerland)	172		191,691
Waste Management, Inc.	145,600		5,353,712

			15,765,639

Communications Equipment — 1.2%
Andrew Corp.(a)	96,100		983,103
Cisco Systems, Inc.(a)	592,400		16,190,292
Foxconn International Holdings Ltd. (Cayman Islands)(a)	427,000		1,392,689
Harris Corp.	47,400		2,173,764
Motorola, Inc.	957,600		19,688,256
Nokia Corp. OYJ (Finland)	20,400		416,860
QUALCOMM, Inc.	115,000		4,345,850
Telent PLC (United Kingdom)	4,705		43,551
Uniden Corp. (Japan)	6,000		41,096

			45,275,461

Computers & Peripherals — 2.7%
Dell, Inc.(a)	327,200		8,209,448
Hewlett-Packard Co.	754,765		31,088,770
International Business Machines Corp.	438,400		42,590,560
Network Appliance, Inc.(a)	297,200		11,674,016
QLogic Corp.(a)	235,400		5,159,968
Western Digital Corp.(a)	116,300		2,379,498
Wincor Nixdorf AG (Germany)	639		98,741

			101,201,001

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)	13,655		769,857
Chiyoda Corp. (Japan)	11,000		215,038
COMSYS Holdings Corp. (Japan)	13,000		143,635
Fomento de Construcciones y Contratas SA (Spain)	1,398		142,467
Kajima Corp. (Japan)	57,000		249,564
Obayashi Corp. (Japan)	225,000		1,458,627

			2,979,188

Construction Materials — 0.3%
Cimpor Cimentos de Portugal SGPS SA (Portugal)	31,783		263,897
CRH PLC (Ireland)	3,297		137,268
Eagle Materials, Inc.	34,000		1,469,820
Holcim Ltd. (Switzerland)	5,589		512,344
Italcementi S.p.A (Italy)	13,516		381,278
Lafarge SA (France)	4,154		617,987
Taiheiyo Cement Corp. (Japan)	28,000		109,658
Vulcan Materials Co.	84,000		7,549,080

			11,041,332

SEE NOTES TO FINANCIAL STATEMENTS.

B38


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Consumer Finance — 0.4%
American Express Co.	22,500	$	1,365,075
AmeriCredit Corp.(a)(b)	127,800		3,216,726
First Cash Financial Services, Inc.(a)	53,700		1,389,219
ORIX Corp. (Japan)	4,600		1,333,964
SLM Corp.	121,900		5,945,063

			13,250,047

Containers & Packaging — 0.1%
Temple-Inland, Inc.	109,900		5,058,697
Distributors
Li & Fung Ltd. (Bermuda)	224,000		695,482
Pacific Brands Ltd. (Australia)	125,751		258,684

			6,012,863

Diversified Consumer Services — 0.1%
Bright Horizons Family Solutions, Inc.(a)	12,600		487,116
ITT Educational Services, Inc.(a)(b)	16,900		1,121,653
Jackson Hewitt Tax Service, Inc.	12,700		431,419

			2,040,188

Diversified Financial Services — 4.0%
Babcock & Brown Ltd. (Australia)	20,314		395,814
Bank of America Corp.	734,082		39,192,638
Challenger Financial Services Group Ltd. (Australia)	103,013		333,764
Chicago Mercantile Exchange Holdings, Inc.(b)	12,100		6,167,975
CIT Group, Inc.	3,900		217,503
Citigroup, Inc.	817,762		45,549,343
Fortis (Belgium)	51,172		2,183,195
Hong Kong Exchanges and Clearing Ltd. (Hong Kong)	8,000		87,577
ING Groep NV (Netherlands)	55,378		2,455,478
JPMorgan Chase & Co.	830,894		40,132,180
Moody’s Corp.	161,500		11,153,190
OKO Bank PLC (Finland)	36,900		618,613
Suncorp-Metway Ltd. (Australia)	24,715		396,101

			148,883,371

Diversified Telecommunication Services — 1.8%
AT&T, Inc.(b)	746,912		26,702,104
Belgacom SA (Belgium)	21,326		939,408
BellSouth Corp.	27,800		1,309,658
BT Group PLC (United Kingdom)	214,484		1,266,167
CenturyTel, Inc.	149,300		6,518,438
France Telecom SA (France)	3,424		94,691
Koninklijke (Royal) KPN NV (Netherlands)	77,107		1,096,221
Nippon Telegraph & Telephone Corp. (Japan)	347		1,711,226
Swisscom AG (Switzerland)	2,707		1,024,706
Telecom Corp. of New Zealand Ltd. (New Zealand)	488,759		1,652,996
Telecom Italia S.p.A (Italy)	497,882		1,263,189
Telefonica SA (Spain)	25,305		538,468
TeliaSonera AB (Sweden)	54,500		447,801
Verizon Communications, Inc.	619,588		23,073,457

			67,638,530


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Electric Utilities — 1.1%
Allegheny Energy, Inc.(a)	103,300	$	4,742,503
American Electric Power Co., Inc.	261,900		11,151,702
CLP Holdings Ltd. (Hong Kong)	54,500		402,285
E.On AG (Germany)	23,795		3,244,387
Endesa SA (Spain)	52,997		2,506,610
Enel S.p.A (Italy)	15,300		157,837
Exelon Corp.	73,200		4,530,348
FirstEnergy Corp.	131,000		7,899,300
Hokkaido Electric Power Co., Inc. (Japan)	28,400		725,316
Hong Kong Electric Holdings Ltd. (Hong Kong)	13,500		66,014
Kansai Electric Power Co., Inc. (The) (Japan)	33,700		907,205
Kyushu Electric Power Co., Inc. (Japan)	24,500		646,091
Pinnacle West Capital Corp.	32,200		1,632,218
Tokyo Electric Power Co., Inc. (The) (Japan)	52,100		1,683,160
Union Fenosa, SA (Spain)	7,205		356,660

			40,651,636

Electrical Equipment — 0.8%
ABB Ltd. (Switzerland)	57,979		1,039,673
Acuity Brands, Inc.(b)	59,700		3,106,788
Cooper Industries Ltd. (Class “A” Stock) (Bermuda)	10,500		949,515
Emerson Electric Co.	359,200		15,837,128
Fujikura Ltd. (Japan)	39,000		342,848
Genlyte Group, Inc.(a)	10,000		781,100
Mitsubishi Electric Corp. (Japan)	168,000		1,530,889
Rockwell Automation, Inc.	46,200		2,821,896
Schneider Electric SA (France)	3,945		437,957
Thomas & Betts Corp.(a)	44,400		2,099,232

			28,947,026

Electronic Equipment & Instruments — 0.6%
Agilent Technologies, Inc.(a)	433,700		15,114,445
Dainippon Screen Manufacturing Co. Ltd. (Japan)	10,000		89,684
Ibiden Co. Ltd. (Japan)	2,300		115,685
Itron, Inc.(a)(b)	67,100		3,478,464
Kingboard Chemical Holdings Ltd. (Hong Kong)	45,000		176,706
Kyocera Corp. (Japan)	3,400		321,411
Nippon Electric Glass Co. Ltd. (Japan)	13,000		272,592
TDK Corp. (Japan)	2,100		167,203
Venture Co. Ltd. (Singapore)	15,000		131,563
Yaskawa Electric Corp. (Japan)	87,000		1,005,655

			20,873,408

Energy Equipment & Services — 1.5%
B.J. Services Co.	239,100		7,010,412
Baker Hughes, Inc.	140,100		10,459,866
Fugro NV-CVA (Netherlands)	9,541		455,923
Halliburton Co.(b)	465,000		14,438,250
Nabors Industries Ltd. (Bermunda)(a)(b)	25,300		753,434

SEE NOTES TO FINANCIAL STATEMENTS.

B39


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Energy Equipment & Services (cont’d.)
Schlumberger Ltd. (Netherlands Antilles)	182,400	$	11,520,384
TGS Nopec Geophysical Co. ASA (Norway)(a)	18,851		390,008
Tidewater, Inc.(b)	61,500		2,974,140
Transocean, Inc. (Cayman Islands)(a)(b)	85,500		6,916,095

			54,918,512

Food & Staples Retailing — 1.2%
Aeon Co. Ltd. (Japan)	20,500		443,381
Casino Guichard-Perrachon SA (France)	12,552		1,166,472
CVS Corp.	11,100		343,101
Delhaize Group (Belgium)	5,838		486,661
FamilyMart Co. Ltd. (Japan)	4,000		108,734
J. Sainsbury PLC (United Kingdom)	94,968		760,982
Jeronimo Martins SGPS SA (Portugal)	3,067		68,826
Koninklijke Ahold NV (Netherlands)(a)	102,977		1,095,630
Kroger Co. (The)	251,600		5,804,412
Safeway, Inc.	454,800		15,717,888
SUPERVALU, Inc.	60,500		2,162,875
Wal-Mart Stores, Inc.	321,200		14,833,016
Woolworths Ltd. (Australia)	22,071		415,737

			43,407,715

Food Products — 0.8%
Archer-Daniels-Midland Co.	449,300		14,359,628
Chiquita Brands International, Inc.(b)	35,100		560,547
ConAgra Foods, Inc.	101,300		2,735,100
Dean Foods Co.(a)	33,300		1,407,924
East Asiatic Co. Ltd. A/S (Denmark)	8,750		489,484
Ebro Puleva SA (Spain)	11,618		294,457
H.J. Heinz Co.	87,000		3,915,870
Nestle SA (Class “B” Stock) (Switzerland)	3,982		1,415,023
Nichirei Corp. (Japan)	19,000		106,413
Nisshin Seifun Group, Inc. (Japan)	24,000		247,675
Smithfield Foods, Inc.(a)	10,400		266,864
Suedzucker AG (Germany)	48,464		1,163,699
Toyo Suisan Kaisha Ltd. (Japan)	4,000		64,077
Unilever NV (Netherlands)	64,290		1,756,720
Unilever PLC (United Kingdom)	62,819		1,756,418
Yamazaki Baking Co. Ltd. (Japan)	20,000		194,129

			30,734,028

Gas Utilities
Gas Natural SDG SA (Spain)	6,002		237,608
Gaz de France (France)	9,751		448,581

			686,189

Healthcare Equipment & Supplies — 0.5%
Baxter International, Inc.	53,300		2,472,587
Becton, Dickinson & Co.	219,100		15,369,865
Cochlear Ltd. (Australia)	5,175		236,173
Mentor Corp.	19,800		967,626
Phonak Holding AG (Switzerland)	6,481		515,927

			19,562,178


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Healthcare Providers & Services — 2.0%
Aetna, Inc.	177,300	$	7,655,814
Caremark Rx, Inc.(a)	293,100		16,738,941
Express Scripts, Inc. (Class “A” Stock)(a)(b)	167,500		11,993,000
Fresenius Medical Care AG & Co. KGaA (Germany)	484		64,574
Medco Health Solutions, Inc.(a)	145,900		7,796,896
Suzuken Co. Ltd. (Japan)	14,100		530,128
UnitedHealth Group, Inc.	215,000		11,551,950
WellPoint, Inc.(a)	211,000		16,603,590

			72,934,893

Healthcare Technology
IMS Health, Inc.	28,800		791,424

Hotels, Restaurants & Leisure — 1.2%
Brinker International, Inc. (Australia)	226,650		6,835,764
Carnival PLC (United Kingdom)	8,895		450,732
Darden Restaurants, Inc.(b)	145,500		5,844,735
Dover Downs Gaming & Entertainment, Inc.	1,400		18,718
Enterprise Inns PLC (United Kingdom)	27,948		740,384
McDonald’s Corp.	384,500		17,044,885
Yum! Brands, Inc.	237,300		13,953,240

			44,888,458

Household Durables — 0.2%
Barratt Developments PLC (United Kingdom)	46,780		1,131,191
Bellway PLC (United Kingdom)	3,967		119,927
Bovis Homes Group PLC (United Kingdom)	10,253		217,615
George Wimpey PLC (United Kingdom)	98,078		1,072,515
Harman International Industries, Inc.	29,100		2,907,381
Makita Corp. (Japan)	39,500		1,210,656
Matsushita Electric Industrial Co. Ltd. (Japan)	20,000		401,030
Sekisui House Ltd. (Japan)	17,000		246,896
Taylor Woodrow PLC (United Kingdom)	80,614		672,796

			7,980,007

Household Products — 1.3%
Kimberly-Clark Corp.	245,400		16,674,930
Procter & Gamble Co.(b)	464,405		29,847,309
Reckitt Benckiser PLC (United Kingdom)	36,636		1,674,239

			48,196,478

Independent Power Producers & Energy Traders — 0.6%
International Power PLC (United Kingdom)	167,025		1,248,444
NRG Energy, Inc.(a)	97,600		5,466,576
TXU Corp.	263,200		14,268,072

			20,983,092

SEE NOTES TO FINANCIAL STATEMENTS.

B40


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Industrial Conglomerates — 2.0%
3M Co.	69,300	$	5,400,549
Cookson Group PLC (United Kingdom)	19,042		234,143
General Electric Co.	1,498,200		55,748,022
Orkla ASA (Class “A” Stock) (Norway)	29,000		1,641,808
Siemens AG (Germany)	2,011		200,689
Textron, Inc.	19,900		1,866,023
Tyco International Ltd. (Bermuda)	339,900		10,332,960

			75,424,194

Insurance — 2.9%
ACE Ltd. (Cayman Islands)	67,600		4,094,532
Aegon NV (Netherlands)	97,879		1,865,715
Allianz AG (Germany)	12,284		2,511,932
Allstate Corp. (The)	281,600		18,334,976
American International Group, Inc.	289,235		20,726,580
Aviva PLC (United Kingdom)	133,120		2,142,514
AXA SA (France)	36,544		1,479,512
Chubb Corp. (The)	182,200		9,640,202
CNP Assurances (France)	2,207		246,468
Compagnia Assicuratrice unipol S.p.A. (Italy)	24,175		78,344
Fondiaria – SAI S.p.A. (Italy)	3,016		144,281
Genworth Financial, Inc. (Class “A” Stock)	22,000		752,620
Hartford Financial Services Group, Inc.	71,200		6,643,672
MetLife, Inc.	54,200		3,198,342
Muenchener Rueckversicherungs – Gesellschaft AG (Germany)	12,487		2,159,325
QBE Insurance Group Ltd. (Australia)	3,606		81,816
Royal & Sun Alliance Insurance Group PLC (United Kingdom)	456,213		1,362,216
SAFECO Corp.	146,300		9,151,065
SCOR (France)	65,782		194,511
St. Paul Travelers Cos., Inc. (The)	364,600		19,575,374
Swiss Reinsurance (Switzerland)	12,986		1,104,103
Topdanmark A/S (Denmark)(a)	1,100		181,879
Zurich Financial Services AG (Switzerland)	7,136		1,920,893

			107,590,872

Internet & Catalog Retail — 0.2%
Experian Group Ltd.(a)	20,266		237,884
IAC/Interactive Corp.(a)(b)	120,800		4,488,928
Priceline.com, Inc.(a)(b)	46,500		2,027,865

			6,754,677

Internet Software & Services — 0.4%
Ariba, Inc.(a)	133,600		1,034,064
Dealertrack Holdings, Inc.(a)	11,300		332,446
Digital Insight Corp.(a)	28,700		1,104,663
eBay, Inc.(a)	68,900		2,071,823
Google, Inc. (Class “A” Stock)(a)	3,400		1,565,632
RealNetworks, Inc.(a)(b)	151,100		1,653,034
SonicWALL, Inc.(a)	135,800		1,143,436


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Internet Software & Services (cont’d.)
Travelzoo, Inc.(a)(b)	73,500	$	2,201,325
Valueclick, Inc.(a)	20,000		472,600
Websense, Inc.(a)	121,000		2,762,430

			14,341,453

IT Services — 0.7%
Automatic Data Processing, Inc.	159,000		7,830,750
Fiserv, Inc.(a)	295,600		15,495,352
NTT Data Corp. (Japan)	287		1,436,779

			24,762,881

Leisure Equipment & Products — 0.2%
FUJIFILM Holdings Corp. (Japan)	21,400		881,426
Nikon Corp. (Japan)	56,000		1,227,514
Pool Corp.(b)	81,300		3,184,521
Sankyo Co. Ltd. (Japan)	2,100		115,929
Yamaha Corp. (Japan)	24,200		512,696

			5,922,086

Life Sciences, Tools & Services — 0.2%
Charles River Laboratories International, Inc.(a)	31,200		1,349,400
Thermo Electron Corp.(a)	96,200		4,356,898
Waters Corp.(a)	71,100		3,481,767

			9,188,065

Machinery — 1.1%
Amada Co. Ltd. (Japan)	51,000		539,969
Caterpillar, Inc.	176,400		10,818,612
Dover Corp.	47,300		2,318,646
Eaton Corp.	63,400		4,763,876
Gardner Denver, Inc.(a)	71,100		2,652,741
Ingersoll-Rand Co. (Class “A” Stock) (Bermuda)	263,500		10,310,755
Komatsu Ltd. (Japan)	88,000		1,781,109
Komori Corp. (Japan)	19,000		353,868
Kubota Corp. (Japan)	86,000		796,444
MAN AG (Germany)	5,446		493,954
Metso Oyj (Finland)	11,400		575,455
Mitsubishi Heavy Industries Ltd. (Japan)	35,000		158,791
NSK Ltd. (Japan)	47,000		463,005
PACCAR, Inc.(b)	33,750		2,190,375
Parker Hannifin Corp.	5,700		438,216
Sandvik AB (Sweden)	7,266		105,605
Vallourec SA (France)	5,820		1,692,490
Volvo AB (Class “B” Stock) (Sweden)	13,300		916,009

			41,369,920

Marine
AP Moller – Maersk A/S (Denmark)	6		56,508
Kawasaki Kisen Kaisha Ltd. (Japan)	17,000		132,880
Mitsui OSK Lines Ltd. (Japan)	137,000		1,353,104

			1,542,492

Media — 1.9%
APN News & Media Ltd. (Australia)	32,325		154,095
CBS Corp. (Class “B” Stock)(b)	384,419		11,986,184
Comcast Corp. (Class “A” Stock)(a)(b)	446,582		18,903,816

SEE NOTES TO FINANCIAL STATEMENTS.

B41


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Media (cont’d.)
DIRECTV Group, Inc. (The)(a)	577,900	$	14,412,826
Emap PLC (Class “B” Stock) (United Kingdom)	2,615		41,345
Eniro AB (Sweden)	14,900		196,970
ITV PLC (United Kingdom)	173,353		361,484
McGraw-Hill Cos., Inc. (The)	30,700		2,088,214
Omnicom Group, Inc.	2,500		261,350
Reed Elsevier NV (United Kingdom)	8,370		142,750
Reed Elsevier PLC (United Kingdom)	15,443		169,479
Time Warner, Inc.	250,750		5,461,335
Viacom, Inc. (Class “B” Stock)(a)	219,700		9,014,291
Vivendi Universal SA (France)	57,540		2,249,039
Walt Disney Co.	139,000		4,763,530

			70,206,708

Metals & Mining — 0.8%
Acerinox SA (Spain)	27,766		844,837
Alcoa, Inc.	180,600		5,419,806
Anglo American PLC (United Kingdom)	48,896		2,384,820
BHP Billiton Ltd. (Australia)	41,980		834,945
BHP Billiton PLC (United Kingdom)	38,506		704,557
Boehler-Uddeholm AG (Austria)	1,057		74,090
Newmont Mining Corp.	108,900		4,916,835
Nippon Light Metal Co. Ltd. (Japan)	61,000		156,332
Nippon Steel Corp. (Japan)	169,000		969,558
OneSteel Ltd. (Australia)	17,774		65,543
Outokumpu OYJ (Finland)	34,000		1,331,186
Phelps Dodge Corp.	43,600		5,219,792
Quanex Corp.	31,150		1,077,479
Rio Tinto Ltd. (Australia)	10,942		637,028
Rio Tinto PLC (United Kingdom)	39,715		2,113,551
Salzgitter AG (Germany)	2,686		353,500
Sumitomo Metal Industries Ltd. (Japan)	176,000		764,143
Thyssenkrupp AG (Germany)	27,577		1,301,403
Wheeling-Pittsburgh Corp.(a)(b)	13,000		243,490
Xstrata PLC (United Kingdom)	15,625		780,133

			30,193,028

Multiline Retail — 1.1%
Family Dollar Stores, Inc.	104,500		3,064,985
Federated Department Stores, Inc.	151,000		5,757,630
J.C. Penney Co., Inc.	199,300		15,417,848
Kohl’s Corp.(a)	215,700		14,760,351
Marks & Spencer Group PLC (United Kingdom)	113,014		1,586,573
Nordstrom, Inc.	11,000		542,740
Pinault Printemps Redoute SA (France)	471		70,381

			41,200,508

Multi-Utilities — 0.5%
Ameren Corp.(b)	52,600		2,826,198
CMS Energy Corp.(a)(b)	10,200		170,340
National Grid PLC (United Kingdom)	150,205		2,167,507
Public Service Enterprise Group, Inc.	114,100		7,573,958
RWE AG (Germany)	751		82,738


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Multi-Utilities (cont’d.)
Sempra Energy	97,273	$	5,451,179
Suez SA (France)	4,383		226,975

			18,498,895

Office Electronics — 0.4%
Canon, Inc. (Japan)	34,150		1,922,650
Ricoh Co. Ltd. (Japan)	73,000		1,486,667
Xerox Corp.(a)	720,600		12,214,170

			15,623,487

Oil, Gas & Consumable Fuels — 5.2%
Anadarko Petroleum Corp.	201,600		8,773,632
BG Group PLC (United Kingdom)	2,761		37,463
BP PLC (United Kingdom)	525,868		5,843,207
Chesapeake Energy Corp.	382,700		11,117,435
Chevron Corp.	564,156		41,482,391
ConocoPhillips (Class “B” Stock)	167,434		12,046,876
ENI S.p.A (Italy)	95,750		3,220,527
Exxon Mobil Corp.	879,716		67,412,636
Marathon Oil Corp.	128,000		11,840,000
Neste Oil OYJ (Finland)	33,700		1,024,501
Nippon Oil Corp. (Japan)	162,000		1,083,365
Norsk Hydro ASA (Norway)	20,173		626,039
Occidental Petroleum Corp.	63,600		3,105,588
Repsol YPF SA (Spain)	5,692		196,859
Royal Dutch Shell PLC (Class “B” Stock) (United Kingdom)	90,079		3,157,077
Royal Dutch Shell PLC (United Kingdom)	55,023		1,923,052
Santos Ltd. (Australia)	136,743		1,064,186
Singapore Petroleum Co. Ltd. (Singapore)	69,000		195,898
Sunoco, Inc.(b)	88,300		5,506,388
Total SA (France)	27,472		1,981,843
Valero Energy Corp.	218,700		11,188,692

			192,827,655

Paper & Forest Products
Svenska Cellulosa AB (Sca) (Class “B” Stock) (Sweden)	12,400		647,536

Personal Products — 0.1%
Avon Products, Inc.	75,700		2,501,128
Chattem, Inc.(a)(b)	9,600		480,768
USANA Health Sciences, Inc.(a)(b)	12,900		666,414

			3,648,310

Pharmaceuticals — 4.6%
Abbott Laboratories	65,500		3,190,505
Altana AG (Germany)	4,760		294,378
AstraZeneca PLC (United Kingdom)	55,439		2,978,572
Daiichi Sankyo Co. Ltd. (Japan)	5,900		184,044
Eli Lilly & Co.	279,400		14,556,740
Forest Laboratories, Inc.(a)	56,400		2,853,840
GlaxoSmithKline PLC (United Kingdom)	136,998		3,605,140
Johnson & Johnson	625,398		41,288,776
King Pharmaceuticals, Inc.(a)	388,700		6,188,104
Mayne Pharma Ltd. (Australia)	67,052		215,157

SEE NOTES TO FINANCIAL STATEMENTS.

B42


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Pharmaceuticals (cont’d.)
Merck & Co., Inc.	570,400	$	24,869,440
Novartis AG (Switzerland)	20,548		1,184,651
Novo Nordisk A/S-B (Denmark)	3,600		299,851
Pfizer, Inc.	1,484,665		38,452,824
Roche Holding AG-Genusshein (Switzerland)	16,692		2,993,190
Sanofi-Aventis (France)	25,739		2,376,666
Santen Pharmaceutical Co., Ltd. (Japan)	7,600		213,789
Takeda Pharmaceutical Co. Ltd. (Japan)	9,900		678,507
Tanabe Seiyaku Co., Ltd. (Japan)	27,000		353,076
Wyeth	476,600		24,268,472

			171,045,722

Real Estate Investment Trusts — 0.3%
American Home Mortgage Investment Corp.(b)	86,400		3,034,368
Ashford Hospitality Trust, Inc.	49,600		617,520
British Land Co. PLC (United Kingdom)	9,755		327,376
Corio NV (Netherlands)	1,109		90,617
FelCor Lodging Trust, Inc.	50,600		1,105,104
Hospitality Properties Trust	6,900		327,957
KKR Financial Corp.	69,300		1,856,547
Land Securities Group PLC (United Kingdom)	2,350		106,887
Luminent Mortgage Capital, Inc.	26,200		254,402
Mirvac Group (Australia)	153,720		676,158
Newcastle Investment Corp.	30,600		958,392
Thornburg Mortgage, Inc.(b)	30,300		761,439

			10,116,767

Real Estate Management & Development — 0.2%
City Developments Ltd.	15,000		123,633
Immofinanz Immobilien Anlagen AG (Austria)(a)	20,519		292,529
Jones Lang Lasalle, Inc.	32,800		3,023,176
Lend Lease Corp. Ltd. (Australia)	33,660		488,784
Leopalace21 Corp. (Japan)	32,700		1,044,555
Sumitomo Realty & Development Co. Ltd. (Japan)	11,000		352,653
Swire Pacific Ltd. (Hong Kong)	29,000		310,964
UOL Group Ltd. (Singapore)	96,000		270,647
Wharf Holdings Ltd. (Hong Kong)	28,000		103,254

			6,010,195

Road & Rail — 0.7%
Burlington Northern Santa Fe Corp.	11,800		870,958
CSX Corp.	389,400		13,407,042
JB Hunt Transport Services, Inc.	32,700		679,179
Nippon Express Co. Ltd. (Japan)	51,000		279,039
Norfolk Southern Corp.	165,500		8,322,995
Ryder System, Inc.	19,500		995,670
Toll Holdings Ltd. (Australia)	18,893		272,130

			24,827,013


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Semiconductors & Semiconductor Equipment — 1.5%
Analog Devices, Inc.	127,200	$	4,181,064
Applied Materials, Inc.	857,600		15,822,720
ASM Pacific Technology Ltd. (Hong Kong)	10,500		58,377
ATMI, Inc.(a)(b)	82,800		2,527,884
Elpida Memory, Inc. (Japan)(a)	12,200		670,029
Intel Corp.	437,200		8,853,300
Lam Research Corp.(a)(b)	12,500		632,750
MEMC Electronic Materials, Inc.(a)	49,800		1,949,172
Novellus Systems, Inc.(b)	275,800		9,493,036
Sirf Technology Holdings, Inc.(a)(b)	17,200		438,944
Sumco Corp. (Japan)	20,100		1,698,669
Texas Instruments, Inc.	65,100		1,874,880
Tokyo Electron Ltd. (Japan)	20,900		1,643,943
Xilinx, Inc.	226,000		5,381,060

			55,225,828

Software — 2.3%
BMC Software, Inc.(a)	50,200		1,616,440
Cadence Design Systems, Inc.(a)(b)	290,000		5,193,900
Fair Isaac Corp.	19,000		772,350
Intuit, Inc.(a)	33,200		1,012,932
Microsoft Corp.	1,221,700		36,479,962
MicroStrategy, Inc. (Class “A” Stock)(a)(b)	85,500		9,747,855
Oracle Corp.(a)	1,015,400		17,403,956
Symantec Corp.(a)(b)	586,600		12,230,610
Synopsys, Inc.(a)	80,500		2,151,765

			86,609,770

Specialty Retail — 1.2%
Aeropostale, Inc.(a)	113,800		3,513,006
AnnTaylor Stores Corp.(a)	18,700		614,108
Aoyama Trading Co. Ltd. (Japan)	2,200		65,998
Autobacs Seven Co. Ltd. (Japan)	1,900		69,399
Best Buy Co., Inc.	91,400		4,495,966
Esprit Holdings Ltd. (Hong Kong)	7,000		77,969
Group 1 Automotive, Inc.	13,700		708,564
Gymboree Corp.(a)	105,600		4,029,696
Home Depot, Inc.	282,050		11,327,128
Lowe’s Cos., Inc.	238,300		7,423,045
Nobia AB (Sweden)	2,622		100,921
Office Depot, Inc.(a)	142,300		5,431,591
Rent-A-Center, Inc.(a)	18,400		542,984
TJX Cos., Inc.	228,400		6,513,968
USS Co. Ltd. (Japan)	3,190		207,656

			45,121,999

Textiles, Apparel & Luxury Goods — 0.7%
Coach, Inc.(a)	394,500		16,947,720
Folli – Follie SA (Greece)	1,750		69,071
Fossil, Inc.(a)(b)	13,100		295,798
Gunze Ltd. (Japan)	18,000		90,371
Jones Apparel Group, Inc.	140,200		4,686,886
Liz Claiborne, Inc.	66,100		2,872,706
Puma AG Rudolf Dassler Sport (Germany)(a)	1,471		574,808
Swatch Group AG (Switzerland)	4,940		220,952

			25,758,312

SEE NOTES TO FINANCIAL STATEMENTS.

B43


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Thrifts & Mortgage Finance — 0.7%
Countrywide Financial Corp.	107,000	$	4,542,150
Fannie Mae	49,400		2,933,866
MGIC Investment Corp.(b)	175,800		10,994,532
PMI Group, Inc. (The)	68,700		3,240,579
Radian Group, Inc.(b)	56,900		3,067,479
Washington Mutual, Inc.	41,300		1,878,737

			26,657,343

Tobacco — 1.0%
Altria Group, Inc.	254,600		21,849,772
British American Tobacco PLC (United Kingdom)	32,134		899,095
Imperial Tobacco Group PLC (United Kingdom)	28,488		1,121,158
Reynolds American, Inc.(b)	196,200		12,845,214
Swedish Match AB (Sweden)	61,000		1,140,528

			37,855,767

Trading Companies & Distributors — 0.1%
Itochu Corp. (Japan)	115,000		942,661
Marubeni Corp. (Japan)	163,000		825,834
Mitsubishi Corp. (Japan)	26,100		490,387
Mitsui & Co. Ltd. (Japan)	75,000		1,123,791
MSC Industrial Direct Co.	12,900		505,035
Sumitomo Corp. (Japan)	80,000		1,197,579

			5,085,287

Transportation Infrastructure
Hopewell Holdings (Hong Kong)	57,000		199,533
Kamigumi Co. Ltd. (Japan)	18,000		147,319
Macquarie Airports Management Ltd. (Australia)	443,638		1,258,330

			1,605,182

Wireless Telecommunication Services — 0.6%
Alltel Corp.	134,200		8,116,416
KDDI Corp. (Japan)	15		101,829
Mobistar SA (Belgium)	1,853		158,137
NTT DoCoMo, Inc. (Japan)	150		237,350
Sprint Nextel Corp.	631,300		11,925,257
Vodafone Group PLC (United Kingdom)	1,336,762		3,703,558

			24,242,547

TOTAL COMMON STOCKS (cost $2,070,322,905)			2,489,162,657

PREFERRED STOCK
Automobiles
Porsche AG (Germany) (cost $566,243)	588		750,541


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS — 24.9%
Aerospace & Defense — 0.3%
BAE Systems Holdings, Inc.,(h)
Notes, 144A
4.75%	08/15/10	Baa2	$	2,150	$	2,092,195
5.20%	08/15/15	Baa2		1,060		1,009,692
Boeing Capital Corp.,
Sr. Notes
6.10%	03/01/11	A2		925		955,630
Goodrich Corp.,
Notes
6.80%	07/01/36	Baa3		1,018		1,082,968
Lockheed Martin Corp.,
Notes, Ser. B
6.15%	09/01/36	Baa1		120		126,077
Northrop Grumman Corp.,
Gtd. Notes
7.125%	02/15/11	Baa2		3,500		3,733,302
Raytheon Co.,
Notes,
4.50%	11/15/07	Baa2		177		175,598
Sr. Notes
5.50%	11/15/12	Baa2		595		598,734
6.55%	03/15/10	Baa2		870		901,404
Sr. Unsec. Notes
8.30%	03/01/10	Baa2		530		575,408

						11,251,008

Airlines
Continental Airlines, Inc.,
Pass-thru Certs.
6.648%	09/15/17	Baa3		400		415,483
Southwest Airlines Co.,
Notes
6.50%	03/01/12	Baa1		1,005		1,047,889

						1,463,372

Asset Backed Securities — 1.0%
American Express Credit Account Master Trust,(g)(h)
Ser. 2004-4, Class C, 144A
5.82%	03/15/12	Baa2		1,170		1,176,398
Ser. 2004-C, Class C, 144A
5.85%	02/15/12	Baa2		735		736,103
Amortizing Residential Collateral Trust,(g)
2002-BC7 M2
6.70%	10/25/32	AA+(f)		151		150,621
2002-BC9 M1
7.00%	12/25/32	Aa2		2,498		2,532,297
Bank of America Credit Card Trust,(g)
Series 2006-C5, Class C5
5.75%	01/15/16	Baa2		3,209		3,209,657
Bank One Issuance Trust,
Ser. 2003-C1, Class C1
4.54%	09/15/10	Baa2		1,820		1,802,398
CDC Mortgage Capital Trust,(g)
Ser. 2002-HE3, Class M1
7.00%	03/25/33	Aa2		1,160		1,161,247

SEE NOTES TO FINANCIAL STATEMENTS.

B44


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Asset Backed Securities (cont’d.)
Centex Home Equity,(g)
Ser. 2005-A, Class M2
5.85%	01/25/35	Aa2	$	1,790	$	1,799,568
Chase Issuance Trust,
Ser. 2005-A4, Class A4
4.23%	01/15/13	Aaa		3,200		3,122,849
Citibank Credit Card Insurance Trust,(g)
Ser. 2006-C1, Class C1
5.75%	02/20/15	Baa2		1,350		1,354,515
Credit-Based Asset Servicing and Securitization,
Ser. 2005-CB6, Class A3
5.12%	07/25/35	Aaa		1,400		1,388,680
Equity One ABS, Inc.,
Ser. 2004-3, Class M1
5.70%	07/25/34	Aa2		1,280		1,272,588
First Franklin Mortgage Loan Trust,(g)
Ser. 2005-FFH1, Class M2
5.87%	06/25/36	Aa2		1,450		1,461,992
Home Equity Asset Trust,(g)
Ser. 2005-7, Class 2A4
5.73%	01/25/36	Aaa		1,100		1,105,332
Household Home Equity Loan Trust,(g)
Ser. 2005-2, Class M2
5.84%	01/20/35	Aa1		736		738,165
MBNA Master Credit Card Trust,
Ser. 1999-J, Class A
7.00%	02/15/12	Aaa		1,830		1,920,289
Morgan Stanley ABS Capital I,(g)
Ser. 2004-NC3, Class M2
6.45%	03/25/34	A2		1,460		1,469,140
Morgan Stanley Dean Witter Capital I,(g)
Ser. 2002-HE1, Class M1
6.25%	07/25/32	Aa2		1,747		1,764,854
Ser. 2002-NC2, Class M2
7.675%	04/25/32	A(f)		456		456,223
Ser. 2002-NC4, Class M1
6.20%	09/25/32	Aaa		1,432		1,463,356
Prestige Auto Receivables Trust,(g)(h)
Ser. 2004-1, Class A2, 144A
3.69%	06/15/11	Aaa		490		485,414
Saxon Asset Securities Trust,(g)
Ser. 2005-2, Class M2
5.79%	10/25/35	Aa2		1,170		1,177,133
Securitized Asset Backed Receivables LLC,(g)
Ser. 2004-OP1, Class M1
5.86%	02/25/34	Aa2		1,325		1,327,634
Ser. 2006-FR3, Class A3
5.57%	05/25/36	Aaa		1,100		1,103,436
SVO VOI Mortgage Corp.,
Ser. 2005-AA, Class A
5.25%	02/20/21	Aaa		759		754,884
WFS Financial Owner Trust,
Ser. 2004-4, Class D
3.58%	05/17/12	A2		571		562,684

						35,497,457


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Automotive — 0.1%
Auburn Hills Trust,
Debs.
12.375%	05/01/20	Baa1	$	510	$	752,984
DaimlerChrysler NA Holding Corp.,
Gtd. Notes
8.50%	01/18/31	Baa1		279		332,131
Equus Cayman Finance Ltd. (Cayman Islands),(h)
Notes, 144A
5.50%	09/12/08	Baa3		315		314,102
Hyundai Motor Manufacturing LLC,(h)
Gtd. Notes, 144A
5.30%	12/19/08	Baa3		500		496,570
Johnson Controls, Inc.,
Sr. Notes
5.50%	01/15/16	Baa1		310		303,953
Oshkosh Truck Corp.,(i)
Bank Loan
7.37%	12/06/13	Ba3		2,000		2,001,875

						4,201,615

Banking — 0.6%
Banco Bradesco (Cayman Islands),
Notes
8.75%	10/24/13	A2		550		627,000
Bank of America Corp.,(b)
Sub. Notes
5.75%	08/15/16	Aa3		1,775		1,811,611
Bank of America NA,
Sub. Notes
6.00%	10/15/36	Aa2		410		422,122
Bank One Corp.,
Sub. Notes
7.875%	08/01/10	A1		2,250		2,440,600
Barclays Bank PLC (United Kingdom),(g)(h)
Notes, 144A
5.926%	12/15/49	Aa3		1,900		1,923,919
Citigroup, Inc.,
Sub. Notes
5.00%	09/15/14	Aa2		454		443,284
5.625%	08/27/12	Aa2		2,800		2,840,513
6.125%	08/25/36	Aa2		570		593,540
First Union National Bank,
Sub. Notes
7.80%	08/18/10	Aa3		2,100		2,258,869
HSBC Bank USA,
Sr. Notes
3.875%	09/15/09	Aa2		250		242,396
Icici Bank Ltd. (Singapore),(h)
Notes, 144A
5.75%	11/16/10	Baa2		1,070		1,068,304
J.P. Morgan Chase & Co.,
Sr. Notes
5.25%	05/30/07	Aa3		210		209,920
Sub. Notes
4.60%	01/17/11	Aa3		720		702,637
6.50%	01/15/09	A1		1,100		1,121,019

SEE NOTES TO FINANCIAL STATEMENTS.

B45


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Banking (cont’d.)
Capital XVIII, Series R
6.95%	08/17/36	A2	$	690	$	746,355
Mizuho Finance Ltd. (Cayman Islands),(h)
Bank Gtd. Notes, 144A
5.79%	04/15/14	A2		815		819,779
MUFG Capital Finance 1 Ltd. (Cayman Islands),(g)
Gtd. Notes
6.346%	07/25/49	Baa2		800		812,556
Santander Central Hispano Issuances (Cayman Islands),
Bank Gtd. Notes
7.625%	09/14/10	A1		695		750,856
Washington Mutual Bank,
Sub. Notes
5.65%	08/15/14	A3		290		290,401
Wells Fargo Bank,
Sub. Notes
4.75%	02/09/15	Aa1		585		560,082
6.45%	02/01/11	Aa1		65		67,881

						20,753,644

Brokerage — 0.3%
Bear Stearns Co., Inc. (The),
Unsec. Notes
5.30%	10/30/15	A1		515		508,183
Goldman Sachs Group Inc. (The),
Sub. Notes
6.45%	05/01/36	A1		1,615		1,680,267
Lehman Brothers Holdings, Inc.,
Notes
6.625%	01/18/12	A1		1,670		1,764,501
Merrill Lynch & Co.,
Notes
4.79%	08/04/10	Aa3		295		290,985
5.45%	07/15/14	Aa3		160		160,854
Notes, Ser. M.T.N.
4.25%	02/08/10	Aa3		1,170		1,136,900
5.00%	01/15/15	Aa3		460		448,129
5.77%(b)	07/25/11	Aa3		520		531,482
Morgan Stanley,
Notes
5.30%	03/01/13	Aa3		845		842,472
5.375%	10/15/15	Aa3		395		391,467
Sub. Notes
4.75%	04/01/14	A1		1,170		1,118,669
Sr. Unsec. Notes, M.T.N.
5.75%	10/18/16	Aa3		1,300		1,319,076

						10,192,985

Building Materials & Construction — 0.1%
American Standard, Inc.,
Gtd. Notes
7.625%	02/15/10	Baa3		770		806,999
CRH America, Inc.,
Gtd. Notes
6.00%	09/30/16	Baa1		720		726,764


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Building Materials & Construction (cont’d.)
Hanson PLC (United Kingdom),
Sr. Unsub. Notes
7.875%	09/27/10	Baa1	$	1,000	$	1,075,980
Lafarge SA (France),
Notes
6.15%	07/15/11	Baa2		910		931,431
Owens Corning, Inc.,(h)
Sr. Unsec. Notes, 144A
6.50%	12/01/16	Baa3		550		558,711
Ryland Group, Inc. (The),
Sr. Notes
5.375%	06/01/08	Baa3		440		437,053

						4,536,938

Cable — 0.2%
AT&T Broadband LLC
9.455%	11/15/22	Baa2		255		330,209
Comcast Corp.,
Gtd. Notes
6.45%	03/15/37	Baa2		1,315		1,315,710
Sr. Unsec. Notes
6.50%	11/15/35	Baa2		450		453,178
Cox Communications, Inc.,
Notes, Class A
6.75%	03/15/11	Baa3		950		993,145
7.875%	08/15/09	Baa3		1,275		1,349,284
CSC Holdings, Inc.,
Sr. Notes
7.875%	12/15/07	B2		1,970		1,994,625

						6,436,151

Capital Goods — 0.3%
Cameron International Corp.,
Sr. Notes
2.65%	04/15/07	Baa1		330		327,318
Caterpillar Financial Services Corp., M.T.N.
5.50%	03/15/16	A2		825		825,456
Caterpillar, Inc.,
Debs.
7.25%	09/15/09	A2		700		734,961
ERAC USA Finance Co.,(h)
Gtd. Notes, 144A
7.35%	06/15/08	Baa1		1,950		1,998,809
Fedex Corp.,
Gtd. Notes
7.25%	02/15/11	Baa2		400		426,183
Notes
2.65%	04/01/07	Baa2		1,600		1,589,132
Honeywell International, Inc.,
Sr. Unsec. Notes
5.70%	03/15/36	A2		140		139,198
Sr. Unsub. Notes
6.125%	11/01/11	A2		1,095		1,134,334
Stena AB (Sweden),
Sr. Notes
7.50%	11/01/13	Ba3		1,160		1,145,500

SEE NOTES TO FINANCIAL STATEMENTS.

B46


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Capital Goods (cont’d.)
Tyco International Group SA (Bermuda),
Gtd. Notes
6.00%	11/15/13	Baa3	$	1,265	$	1,308,863
United Technologies Corp.,
Debs.
8.875%	11/15/19	A2		460		596,388
Notes
6.35%	03/01/11	A2		825		857,812
Waste Management, Inc.,
Gtd. Notes
7.75%	05/15/32	Baa3		220		259,481

						11,343,435

Chemicals — 0.1%
Dow Chemical Co. (The),
Debs.
5.97%	01/15/09	A3		390		394,323
Gtd. Notes
5.625%	12/01/13	Baa3		720		710,919
9.875%	03/01/09	B2		1,083		1,115,490
Sr. Notes
6.125%	02/01/11	A3		685		704,173
Lubrizol Corp.,
Sr. Notes
4.625%	10/01/09	Baa3		860		843,610
Monsanto Co.,
Sr. Unsec. Notes, Ser. 1
5.50%	07/30/35	Baa1		500		471,201
Union Carbide Corp.,
Debs.
7.50%	06/01/25	Ba2		460		489,224

						4,728,940

Collateralized Mortgage Obligations — 0.3%
Banc of America Mortgage Securities,(g)
Ser. 2005-A, Class 2A1
4.46%	02/25/35	Aaa		1,208		1,180,214
Ser. 2005-B, Class 2A1
4.39%	03/25/35	Aaa		1,166		1,137,339
Bank of America Alternative Loan Trust,
Ser. 2005-12, Class 3CB1
6.00%	01/25/36	Aaa		4,460		4,462,158
Countrywide Alternative Loan Trust,
Ser. 2004-18CB, Class 3A1
5.25%	09/25/19	Aaa		1,854		1,797,407
Master Alternative Loan Trust,
Ser. 2004-4, Class 4A1
5.00%	04/25/19	Aaa		599		584,894
Structured Adjustable Rate Mortgage Loan,(g)
Ser. 2004-1, Class 4A3
4.17%	02/25/34	Aaa		1,190		1,177,582
Washington Mutual Mortgage,
Pass-Through Certificates, Ser. 2005-1, Class 3A
5.00%	03/25/20	AAA(f)		665		656,710


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Collateralized Mortgage Obligations (cont’d.)
Washington Mutual, Inc.,(g)
Ser. 2002-AR15, Class A5
4.38%	12/25/32	Aaa	$	584	$	577,934

						11,574,238

Commercial Mortgage Backed Securities — 3.0%
Banc of America Commercial Mortgage, Inc.,(g)
Ser. 2003-2, Class A3
4.873%	03/11/41	AAA(f)		2,500		2,457,900
Ser. 2004-2, Class A4
4.153%	11/10/38	Aaa		2,800		2,683,139
Ser. 2005-1 , Class ASB
4.8645%	11/10/42	AAA(f)		900		893,066
Ser. 2006-2, Class A4
5.7405%	05/10/45	AAA(f)		2,300		2,378,314
Bear Stearns Commercial Mortgage Securities,(g)
Ser. 2004-T16, Class A-6
4.75%	02/13/46	AAA(f)		4,500		4,342,649
Ser. 2005-T18, Class AAB
4.823%	02/13/42	Aaa		1,775		1,731,350
Ser. 2005-T20, Class AAB
5.1394%	10/12/42	Aaa		2,400		2,390,715
Citigroup Commercial Mortgage Trust,(g)
Ser. 2006-C4 A3
5.72%	03/15/49	Aaa		1,775		1,832,464
Commercial Mortgage Pass-Through Certificate, I/O,(g)(h)
Ser. 2004-LB2A, Class X2, 144A
0.978%	03/10/39	AAA(f)		12,788		347,115
CS First Boston Mortgage Securities Corp.,
Ser. 2004-C3, Class A4
4.835%	07/15/36	Aaa		880		862,996
Ser. 2004-C4, Class A4
4.283%	10/15/39	Aaa		1,400		1,343,775
CS Mortgage Capital Certificate Corp.,
Ser. 2006-C1, Class A4(g)
5.557%	02/15/39	AAA(f)		2,700		2,743,383
Ser. 2006-C4, Class A3
5.467%	09/15/39	Aaa		4,100		4,131,554
DLJ Commercial Mortgage Corp.,
Ser. 2000-CF1, Class A1B
7.62%	06/10/33	AAA(f)		2,709		2,881,389
General Electric Capital Commercial Mortgage Corp., I/O,(g)
Ser. 2004-C2, Class X2
0.597%	03/10/40	Aaa		23,404		457,759
Greenwich Capital Commercial Funding Corp.,
Ser. 2003-C1, Class A4
4.111%	07/05/35	Aaa		7,700		7,235,476
Ser. 2003-C2, Class A3
4.533%	01/05/36	Aaa		2,750		2,678,845
GS Mortgage Securities Corp. II,
Ser. 2006-GG6, Class AAB(g)
5.587%	04/10/38	AAA(f)		6,650		6,736,145
J.P. Morgan Chase Commercial Mortgage Securites Corp.,
Ser. 2005-LDP2, Class ASB
4.659%	07/15/42	Aaa		6,350		6,156,544

SEE NOTES TO FINANCIAL STATEMENTS.

B47


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Commercial Mortgage Backed Securities (cont’d.)
Ser. 2005-LDP4, Class A4(g)
4.918%	10/15/42	Aaa	$	2,500	$	2,427,027
Ser. 2006-CB16, Class ASB
5.523%	05/12/45	Aaa		3,900		3,940,943
Ser. 2006-CB17, Class A4
5.429%	12/12/43	Aaa		4,750		4,774,091
Ser. 2006-LDP6, Class X2, I/O,(g)
0.881%	04/15/43	Aaa		149,768		863,395
Ser. 2006-LDP8, Class ASB
5.37%	05/15/45	Aaa		3,700		3,701,879
J.P. Morgan Commercial Mortgage Finance Corp.,
Ser. 2000-C10, Class A2
7.371%	08/15/32	Aaa		7,766		8,159,598
Ser. 2003-CB6, Class A2
5.255%	07/12/37	Aaa		2,100		2,097,686
J.P. Morgan Chase & Co.,(g)
Ser. 2005-CB13, Class A4
5.294%	01/12/43	Aaa		2,340		2,342,120
Ser. 2005-LDP5, Class A4
5.1793%	12/15/44	Aaa		5,000		4,981,750
KeyCorp.,
Ser. 2000-C1, Class A2
7.727%	05/17/32	Aaa		8,605		9,107,176
LB-UBS Commercial Mortgage Trust,
Ser. 2003-C8, Class A3
4.83%	11/15/27	Aaa		1,460		1,434,369
Ser. 2004-C6, Class A5(g)
4.826%	08/15/29	AAA(f)		3,910		3,826,652
Ser. 2006-C3 A4(g)
5.661%	03/15/39	Aaa		4,580		4,690,120
Merrill Lynch Mortgage Trust,
Ser. 2004-KEY2, Class A3
4.615%	08/12/39	Aaa		2,000		1,935,700
Merrill Lynch/Countrywide Commercial Mortgage,(g)
Ser. 2006-2, Class A4
5.910%	06/12/46	Aaa		1,795		1,875,872

						110,442,956

Consumer — 0.1%
Realogy Corp.,(h)
Notes, 144A
6.15%	10/15/11	Baa2		975		996,313
Western Union Co.,(h)
Notes, 144A
5.93%	10/01/16	A3		585		579,399
Whirlpool Corp.,
Notes
6.125%	06/15/11	Baa2		965		982,387

						2,558,099

Electric — 0.6%
Appalachian Power Co.,
Sr. Notes, Ser. J
4.40%	06/01/10	Baa2		620		598,977
Arizona Public Service Co.,
Unsec. Notes
6.25%	08/01/16	Baa2		1,490		1,524,583


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Electric (cont’d.)
Baltimore Gas & Electric Co.,(h)
Sr. Unsec., 144A
6.35%	10/01/36	Baa2	$	550	$	561,453
Boston Edison Co.,
Debs.
4.875%	04/15/14	A1		565		548,686
Carolina Power & Light Co.,
First Mtge.
5.25%	12/15/15	A3		525		516,243
CenterPoint Energy Houston Electric LLC,
Mtge. Bonds, Ser. J2
5.70%	03/15/13	Baa2		740		745,375
Mtge. Bonds, Ser. K2
6.95%	03/15/33	Baa2		590		653,860
Con Edison Co. of New York,
Sr. Unsec. Notes
5.375%	12/15/15	A1		730		725,221
Consumers Energy Co.,
First Mtge. Bonds, Ser. B
5.375%	04/15/13	Baa2		325		321,855
Dominion Resources, Inc.,
Sr. Notes, Ser. D
5.125%	12/15/09	Baa2		970		963,809
Duke Capital LLC, Sr. Notes
6.25%	02/15/13	Baa2		235		242,130
8.00%	10/01/19	Baa2		107		124,393
El Paso Electric Co.,
Sr. Unsec. Notes
6.00%	05/15/35	Baa3		670		642,248
Empresa Nacional de Electricidad S.A. (Chile),
Bonds, Ser. B
8.50%	04/01/09	Baa3		1,070		1,136,051
Notes
8.625%	08/01/15	Baa3		360		423,698
Energy East Corp.,
Notes
6.75%	09/15/33	Baa2		630		661,708
Exelon Corp.,
Notes
4.90%	06/15/15	Baa2		155		146,199
FirstEnergy Corp.,
Notes, Ser. C
7.375%	11/15/31	Baa3		615		700,384
Florida Power & Light Co.,
First Mtge.
5.95%	10/01/33	Aa3		295		303,181
Indiana Michigan Power Co.,
Sr. Notes
5.05%	11/15/14	Baa2		460		439,606
National Rural Utilities Cooperative Finance Corp.,
Notes, Ser. C, M.T.N.
7.25%	03/01/12	A2		185		201,036
Nevada Power Co.,
Mtge. Bonds, Ser. O
6.50%	05/15/18	Ba1		1,080		1,119,593

SEE NOTES TO FINANCIAL STATEMENTS.

B48


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Electric (cont’d.)
NiSource Finance Corp.,
Gtd. Notes
5.25%	09/15/17	Baa3	$	245	$	229,627
5.45%	09/15/20	Baa3		350		325,972
Ohio Edison Co.,
Sr. Unsec. Notes
6.40%	07/15/16	Baa2		775		809,924
6.875%	07/15/36	Baa2		115		125,205
Oncor Electric Delivery Co.,
Debs.
7.00%	09/01/22	Baa2		475		510,937
Sec. Notes
6.375%	01/15/15	Baa2		345		355,618
7.25%	01/15/33	Baa2		250		281,757
Pacific Gas & Electric Co.,
Unsec. Notes
6.05%	03/01/34	Baa1		1,550		1,563,292
Pepco Holdings, Inc.,
Notes
5.50%	08/15/07	Baa3		565		564,547
PPL Electric Utilities Corp.,
Sec. Notes
6.25%	08/15/09	A3		1,500		1,534,551
Southern California Edison Co.,
First Mtge.
4.65%	04/01/15	A2		470		444,137
5.625%	02/01/36	A2		355		343,642
Xcel Energy, Inc.,
Sr. Notes
3.40%	07/01/08	Baa1		605		587,287
6.50%	07/01/36	Baa1		445		470,163
7.00%	12/01/10	Baa1		190		200,399

						21,647,347

Energy - Integrated — 0.1%
ConocoPhilips Canada Funding Co. (Canada),
Gtd. Notes
5.625%	10/15/16	A1		1,695		1,703,057
ConocoPhillips Co.,
Notes
8.75%	05/25/10	A1		1,505		1,667,658
ConocoPhillips Holding Co.,
Sr. Notes
6.95%	04/15/29	A1		375		425,954
Marathon Oil Corp.,
Notes
6.125%	03/15/12	Baa1		310		319,249
TNK-BP Finance SA,(h)
Gtd. Notes, 144A
7.50%	07/18/16	Baa2		450		478,688

						4,594,606

Energy - Other — 0.2%
Anadarko Finance Co. (Canada),
Gtd. Notes, Ser. B
7.50%	05/01/31	Baa2		5		5,673


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Energy - Other (cont’d.)
Anadarko Petroleum Corp.,
Sr. Unsec. Notes
5.95%	09/15/16	Baa2	$	905	$	906,894
6.45%	09/15/36	Baa2		460		464,828
Devon Financing Corp. ULC,
Gtd. Notes
7.875%	09/30/31	Baa2		225		270,703
Encana Corp. (Canada),
Bonds
6.50%	08/15/34	Baa2		290		298,872
Halliburton Co.,
Sr. Unsec. Notes
5.50%	10/15/10	Baa1		150		149,733
Occidental Petroleum Corp.,(b)
Sr. Notes
6.75%	01/15/12	A3		735		779,784
Talisman Energy, Inc. (Canada),
Notes
5.125%	05/15/15	Baa2		170		161,196
Sr. Unsec.
6.25%	02/01/38	Baa2		545		525,822
Valero Energy Corp.,
Sr. Unsec. Notes
7.50%	04/15/32	Baa3		145		165,431
Weatherford International Ltd. (Bermuda),
Gtd. Notes
6.50%	08/01/36	Baa1		575		577,225
Woodside Finance Ltd. (Austrailia),(h)
Gtd. Notes, 144A
5.00%	11/15/13	Baa1		1,315		1,269,583
XTO Energy Inc.,
Sr. Unsec. Notes
5.65%	04/01/16	Baa2		325		321,289

						5,897,033

Foods — 0.4%
Archer-Daniels-Midland Co.,
Debs.
8.125%	06/01/12	A2		300		338,006
Bottling Group LLC,
Sr. Unsec. Notes
5.50%	04/01/16	A3		385		383,587
Bunge Ltd. Finance Corp.,(b)
Notes
5.35%	04/15/14	Baa2		1,040		999,553
Cadbury Schweppes US Finance,(h)
Gtd. Notes, 144A
3.875%	10/01/08	Baa2		810		788,843
Cargill, Inc.,(h)
Notes, 144A
3.625%	03/04/09	A2		1,875		1,810,959
ConAgra Foods, Inc.,
Notes
7.875%	09/15/10	Baa2		430		465,336
Sr. Notes
7.125%	10/01/26	Baa2		355		389,478

SEE NOTES TO FINANCIAL STATEMENTS.

B49


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Foods (cont’d.)
General Mills, Inc.,
Notes
5.125%	02/15/07	Baa1	$	350	$	349,750
Heinz Co.,(h)
Notes 144A
6.428%	12/01/08	Baa2		1,290		1,313,014
Kellogg Co.,
Notes, Ser. B
6.60%	04/01/11	A3		1,875		1,966,313
Kraft Foods, Inc.,
Notes
5.25%	06/01/07	A3		300		299,765
Sr. Unsec. Notes
5.625%	11/01/11	A3		850		859,035
Kroger Co., (The)
Gtd. Notes
6.75%	04/15/12	Baa2		45		47,219
6.80%	04/01/11	Baa2		670		701,191
Sr. Notes
7.00%	05/01/18	Baa2		565		597,080
Tricon Global Restaurants,
Sr. Notes
8.875%	04/15/11	Baa2		180		201,919
Tyson Foods, Inc.,
Sr. Unsec. Notes
6.85%	04/01/16	Ba1		735		754,715
Whitman Corp.,
Notes
6.375%	05/01/09	Baa1		1,530		1,556,559

						13,822,322

Gaming — 0.1%
Harrah’s Operating Co., Inc.,
Gtd. Notes
5.50%	07/01/10	Baa3		625		612,594
Mandalay Resorts Group,
Sr. Sub. Notes
9.375%	02/15/10	B1		10		10,700
Station Casinos Inc.,
6.625%	03/15/18	Ba3		1,500		1,286,250

						1,909,544

Healthcare & Pharmaceutical — 0.5%
Abbott Laboratories,
Notes
5.875%	05/15/16	A1		1,965		2,024,011
Amerisourcebergen Corp.,
Gtd. Notes
5.625%	09/15/12	Ba1		915		899,513
Baxter International, Inc.,
Sr. Unsec. Notes
5.196%	02/16/08	Baa1		860		857,835
Boston Scientific Corp.,
Sr. Notes
6.40%	06/15/16	Baa3		2,075		2,099,810


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Healthcare & Pharmaceutical (cont’d.)
Cardinal Health, Inc.,
Unsub. Notes
5.85%	12/15/17	Baa2	$	1,305	$	1,297,665
Genentech, Inc.,
Sr. Notes
4.75%	07/15/15	A1		280		268,053
HCA, Inc.,
Bank Loan(i)
8.125%	11/14/13	Ba3		2,000		2,021,924
Sr. Unsec.
6.25%	02/15/13	Caa1		30		26,550
Laboratory Corp. of America Holdings,
Sr. Unsec. Notes
5.625%	12/15/15	Baa3		730		717,661
Merck & Co., Inc.,
Bonds
5.75%	11/15/36	Aa3		980		969,473
Debs.
5.95%	12/01/28	Aa3		165		166,605
Pharmacia Corp.,
Debs.
6.60%	12/01/28	Aa1		185		209,439
Schering-Plough Corp.,
Sr. Notes
5.55%	12/01/13	Baa1		1,580		1,584,577
Teva Pharmaceutical Finance LLC,
Gtd. Notes
6.15%	02/01/36	Baa2		1,295		1,258,256
Ventas Realty LP,
Sr. Notes
6.625%	10/15/14	Ba2		2,410		2,464,224
Wyeth,
Unsub. Notes
5.50%	03/15/13	A3		910		915,888
5.50%	02/01/14	A3		255		256,308
6.45%	02/01/24	A3		60		64,188

						18,101,980

Healthcare Insurance — 0.2%
Aetna, Inc.,
Sr. Unsub. Notes
5.75%	06/15/11	A3		390		395,937
6.625%	06/15/36	A3		615		657,659
Anthem, Inc.,
Notes
3.50%	09/01/07	Baa1		1,560		1,538,931
Coventry Health Care, Inc.,
Sr. Notes
6.125%	01/15/15	Ba1		990		975,646
United Health Group, Inc.,
Sr. Unsec. Notes
5.25%	03/15/11	A3		1,350		1,345,374
5.375%	03/15/16	A3		770		762,511
Wellpoint, Inc.,
Notes
5.00%	12/15/14	Baa1		860		832,609
5.95%	12/15/34	Baa1		635		624,780

						7,133,447

SEE NOTES TO FINANCIAL STATEMENTS.

B50


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Insurance — 0.2%
Allstate Corp. (The),
Sr. Notes
5.55%	05/09/35	A1	$	145	$	139,444
5.95%	04/01/36	A1		540		549,162
American International Group, Inc.,
Notes
4.25%	05/15/13	Aa2		1,080		1,012,681
5.60%	10/18/16	Aa2		1,040		1,049,673
Sr. Notes
5.05%	10/01/15	Aa2		180		175,028
AXA SA (France),
Sub. Notes
8.60%	12/15/30	A3		155		200,967
Berkshire Hathaway Finance Corp.,
Gtd. Notes
4.75%	05/15/12	Aaa		830		813,471
Liberty Mutual Group, Inc.,(h)
Bonds, 144A
7.00%	03/15/34	Baa3		850		875,112
Marsh & Mclennan Cos., Inc.,
Sr. Unsec. Notes
5.15%	09/15/10	Baa2		265		260,352
5.75%	09/15/15	Baa2		160		157,410
MetLife, Inc.,
Sr. Notes
5.70%	06/15/35	A2		1,020		996,780
6.125%	12/01/11	A2		335		346,306
6.375%	06/15/34	A2		400		427,145
St. Paul Travelers Cos., Inc. (The),
Sr. Unsec. Notes
6.75%	06/20/36	A3		685		757,148
W.R. Berkley Corp.,
Sr. Notes
5.60%	05/15/15	Baa2		555		545,163
6.15%	08/15/19	Baa2		460		457,714
XL Capital Ltd. (Cayman Islands),
Sr. Notes
5.25%	09/15/14	A3		85		83,302

						8,846,858

Lodging — 0.1%
Carnival Corp. (Panama),
Gtd. Notes
3.75%	11/15/07	A3		2,205		2,175,126
P&O Princess (United Kingdom),
Notes
7.30%	06/01/07	A3		260		261,825

						2,436,951

Media & Entertainment — 0.2%
CBS Corp.,
Gtd. Notes
7.875%	07/30/30	Baa3		320		335,337
Chancellor Media Corp.,
Gtd. Notes
8.00%	11/01/08	Baa3		575		597,804


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Media & Entertainment (cont’d.)
Idearc, Inc.,(i)
Bank Loan
7.3762%	11/09/14	Ba2	$	1,500	$	1,507,501
Knight Ridder, Inc.,
Debs.
6.875%	03/15/29	Ba1		70		66,377
News America, Inc.,
Gtd. Notes
7.625%	11/30/28	Baa2		1,050		1,177,425
Time Warner, Inc.,
Debs.
9.15%	02/01/23	Baa2		505		624,729
Gtd. Notes
6.50%	11/15/36	Baa2		315		313,527
6.75%	04/15/11	Baa2		640		669,957
7.25%	10/15/17	Baa2		790		862,983
Viacom, Inc.,
Sr. Notes,
6.25%	04/30/16	Baa3		650		645,497
6.875%	04/30/36	Baa3		680		672,302
Walt Disney Co.,
Notes
5.375%	06/01/07	A3		225		225,151

						7,698,590

Metals — 0.1%
Alcan, Inc. (Canada),
Notes
4.50%	05/15/13	Baa1		115		108,254
5.00%	06/01/15	Baa1		600		570,680
Peabody Energy Corp.,
Gtd. Notes
7.375%	11/01/16	Ba1		1,200		1,278,000
Southern Copper Corp.,
Sr. Notes
7.50%	07/27/35	Baa2		955		1,035,494
Vale Overseas Ltd. (Cayman Islands),
Gtd. Notes
6.875%	11/21/36	Baa3		710		728,209
8.25%	01/17/34	Baa3		240		284,290

						4,004,927

Municipals
Illinois St., Taxable Pension, G.O.,
5.10%	06/01/33	Aa3		975		933,290

Non Captive Finance — 0.3%
Capital One Bank Corp.,
Sub. Notes
6.50%	06/13/13	A3		20		21,083
Capital One Financial Corp.,
Notes
5.50%	06/01/15	A3		265		264,817
Sr. Notes, M.T.N.
5.70%	09/15/11	A3		600		608,893
Sub. Notes
6.15%	09/01/16	Baa1		80		82,737

SEE NOTES TO FINANCIAL STATEMENTS.

B51


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Non Captive Finance (cont’d.)
CIT Group Funding Co. (Canada),
Gtd. Notes
5.20%	06/01/15	A2	$	680	$	658,636
CIT Group, Inc.,
Sr. Notes
4.25%	02/01/10	A2		400		387,407
5.50%	11/30/07	A2		990		992,181
General Electric Capital Corp.,
Notes
5.50%	04/28/11	Aaa		2,895		2,929,204
Notes, M.T.N.
4.875%	10/21/10	Aaa		1,070		1,058,744
Notes, Ser. A, M.T.N.
6.125%	02/22/11	Aaa		5		5,169
6.75%	03/15/32	Aaa		850		973,486
Household Finance Corp.,
Notes
4.75%	05/15/09	Aa3		370		365,997
4.75%	07/15/13	Aa3		150		145,449
HSBC Finance Corp.,
Sr. Notes
5.70%	06/01/11	Aa3		440		447,604
International Lease Finance Corp.,
Unsub. Notes
3.50%	04/01/09	A1		580		557,915
Residential Capital Corp.,
Gtd. Notes
6.00%	02/22/11	Baa3		1,630		1,626,916
Sr. Unsec. Notes
6.375%	06/30/10	Baa3		480		485,586

						11,611,824

Packaging
Ball Corp.,
Gtd. Notes
6.625%	03/15/18	Ba1		1,900		1,890,500
Paper
Plum Creek Timberlands LP,
Gtd. Notes
5.875%	11/15/15	Baa3		690		678,043
Weyerhaeuser Co.,
Debs.
7.375%	03/15/32	Baa2		390		407,092

						2,975,635

Pipelines & Other — 0.2%
Atmos Energy Corp.,
Notes
4.00%	10/15/09	Baa3		1,680		1,616,160
Duke Energy Field Services LLC,
Notes
7.875%	08/16/10	Baa2		1,760		1,893,129
Enterprise Products Operating LP,
Gtd. Notes, Ser. B
6.875%	03/01/33	Baa3		140		146,183
Sr. Notes
4.625%	10/15/09	Baa3		740		724,522


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Pipelines & Other(cont’d.)
Sr. Notes, Ser. B
4.00%	10/15/07	Baa3	$	780	$	770,458
Kinder Morgan Finance Co. ULC (Canada),
Gtd. Notes
5.70%	01/05/16	Baa2		735		674,376
Oneok Inc.,
Sr. Unsec. Notes
5.51%	02/16/08	Baa2		1,290		1,289,084
Oneok Partners LP,
Notes
6.65%	10/01/36	Baa2		605		618,813
Sempra Energy,
Sr. Notes
4.621%	05/17/07	Baa1		630		627,597
Sr. Unsec. Notes
6.00%	02/01/13	Baa1		90		91,790

						8,452,112

Railroads — 0.1%
Burlington Northern Santa Fe Corp., Debs.
6.70%	08/01/28	Baa1		670		728,857
Norfolk Southern Corp., Sr. Notes
7.80%	05/15/27	Baa1		18		22,011
Sr. Unsec. Notes
5.64%	05/17/29	Baa1		477		460,873
Union Pacific Corp., Notes
3.625%	06/01/10	Baa2		1,375		1,297,452
6.625%	02/01/08	Baa2		1,390		1,406,140
6.65%	01/15/11	Baa2		750		783,848

						4,699,181

Real Estate Investment Trusts — 0.1%
Brandywine Operating Partners LP,
Gtd. Notes
5.75%	04/01/12	Baa3		1,295		1,303,890
ERP Operating LP,
Notes
5.125%	03/15/16	Baa1		345		335,056
Mack-Cali Realty LP,
Notes
7.25%	03/15/09	Baa2		1,270		1,311,491
Post Apartment Homes LP,
Notes
6.30%	06/01/13	Baa3		660		676,702
Sr. Notes
5.45%	06/01/12	Baa3		435		426,089
Simon Property Group LP,
Unsec. Notes
5.75%	05/01/12	A3		1,500		1,515,376

						5,568,604

Retailers — 0.1%
Federated Retail Holdings, Inc.,
Gtd. Notes
5.90%	12/01/16	Baa1		290		289,549
Gap, Inc.,
Notes
6.90%	09/15/07	Baa3		1,230		1,238,516

SEE NOTES TO FINANCIAL STATEMENTS.

B52


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Retailers (cont’d.)
Home Depot, Inc.,
Sr. Unsec. Notes
5.40%	03/01/16	Aa3	$	295	$	288,524
5.875%	12/16/36	Aa3		560		549,541
May Department Stores Co. (The),
Notes
6.65%	07/15/24	Baa1		830		822,357
Wal-Mart Stores, Inc.,
Bonds
5.25%	09/01/35	Aa2		245		224,983

						3,413,470

Structured Notes — 0.1%
Trains HY-1 2006,(b)(h)
Sec. Notes, 144A
7.548%	05/01/16	B1		2,880		2,938,982

Technology — 0.3%
Electronic Data Systems Corp.,
Notes
7.45%	10/15/29	Ba1		120		131,315
Equifax, Inc.,
Notes
4.95%	11/01/07	Baa1		320		317,777
Freescale Semiconductor, Inc.,(h)
Sr. Notes, 144A
8.875%	12/15/14	B1		1,100		1,095,875
International Business Machines Corp.,
Debs.
5.875%	11/29/32	A1		1,150		1,173,857
Jabil Circuit, Inc.,
Sr. Notes
5.875%	07/15/10	Baa3		1,875		1,861,733
Motorola, Inc.,
Notes
4.608%	11/16/07	Baa1		950		943,641
Sr. Notes
8.00%	11/01/11	Baa1		99		109,550
NXP Funding LLC,(h)
Secd. Notes, 144A
7.875%	10/15/14	Ba2		2,000		2,067,499
Oracle Corp. and Ozark Holding, Inc.,
Notes
5.00%	01/15/11	A3		980		970,135
Xerox Corp.,
Sr. Unsec. Notes
6.40%	03/15/16	Baa3		1,239		1,265,329

						9,936,711

Telecommunications — 0.7%
ALLTEL Ohio LP,(h)
Gtd. Notes, 144A
8.00%	08/15/10	A2		323		346,322
America Movil SA de CV (Mexico),
Unsec. Notes
6.375%	03/01/35	A3		580		565,873
AT&T Corp.,
Sr. Notes
8.00%	11/15/31	A2		615		763,017


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Telecommunications (cont’d.)
AT&T Wireless Services, Inc.,
Notes
8.125%	05/01/12	Baa1	$	640	$	720,172
Sr. Notes
8.75%	03/01/31	Baa1		879		1,142,318
AT&T, Inc.,
Notes
4.125%(b)	09/15/09	A2		1,070		1,039,242
5.30%	11/15/10	A2		1,260		1,260,174
BellSouth Corp.,
Notes
4.20%	09/15/09	A2		1,175		1,142,261
British Telecom PLC (United Kingdom),
Bonds
7.00%	05/23/07	Baa1		1,265		1,270,798
9.125%	12/15/30	Baa1		210		287,254
Cingular Wireless LLC,
Sr. Notes
7.125%	12/15/31	Baa1		505		559,415
Deutsche Telekom International Finance BV (Netherlands),
Gtd. Notes
8.25%	06/15/30	A3		295		362,655
Embarq Corp.,
Notes
7.082%	06/01/16	Baa3		350		356,307
7.995%	06/01/36	Baa3		1,100		1,144,689
France Telecom SA (France),
Notes
8.50%	03/01/31	A3		375		492,273
Koninklijke (Royal) KPN NV (Netherlands),
Sr. Unsub. Notes
8.00%	10/01/10	Baa2		530		571,862
Nextel Communications, Inc.,
Sr. Notes, Ser. F
5.95%	03/15/14	Baa3		1,160		1,129,627
Sprint Capital Corp.,
Gtd. Notes
6.875%	11/15/28	Baa3		295		295,297
8.75%	03/15/32	Baa3		230		276,831
Sprint Nextel Corp.
Usec. Notes
6.00%	12/01/16	Baa3		1,580		1,539,911
Telecom Italia Capital SA,
Gtd. Notes
5.25%	11/15/13	Baa2		320		305,116
6.375%	11/15/33	Baa2		395		373,207
7.20%	07/18/36	Baa2		1,630		1,702,889
Telecomunicaciones de Puerto Rico, Inc. (Puerto Rico),
Gtd. Notes
6.80%	05/15/09	Baa1		3,065		3,128,659
Telefonica Emisiones SAU (Spain),
Gtd. Notes
6.421%	06/20/16	Baa1		580		598,338
7.045%	06/20/36	Baa1		1,420		1,508,277

SEE NOTES TO FINANCIAL STATEMENTS.

B53


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Telecommunications (cont’d.)
TELUS Corp. (Canada),
Notes
8.00%	06/01/11	Baa2	$	1,255	$	1,372,389
US Cellular Corp.,
Sr. Notes
6.70%	12/15/33	Baa3		470		441,393
Verizon Global Funding Corp.,
Notes
7.75%	12/01/30	A3		105		123,163
Sr. Notes
5.85%	09/15/35	A3		625		598,592
Vodafone Group PLC (United Kingdom),
Sr. Notes
7.75%	02/15/10	A3		800		852,546

						26,270,867

Tobacco
Altria Group, Inc.,
Debs.
7.75%	01/15/27	Baa1		292		354,164
Notes
7.65%	07/01/08	Baa1		590		608,271

						962,435

Foreign Government Bonds — 0.4%
Korea Development Bank (Korea),
Notes
4.75%	07/20/09	A3		1,180		1,164,892
Pemex Project Funding Master Trust,
Gtd. Notes
5.75%	12/15/15	Baa1		1,480		1,469,640
8.625%	12/01/23	Baa1		350		430,938
Petrobras International Finance Co. (Cayman Islands),
Bonds
8.375%	12/10/18	Baa2		935		1,114,988
Quebec Province (Canada),
Notes(b)
4.60%	05/26/15	Aa2		735		706,827
Sr. Unsec. Notes
5.75%	02/15/09	Aa2		500		506,855
Republic of Italy (Italy),
Notes
5.375%	06/15/33	A+(f)		800		788,862
Republic of Malaysia (Malaysia),
Bonds
7.50%	07/15/11	A3		300		326,455
Republic of South Africa (South Africa),
Notes
6.50%	06/02/14	Baa1		475		499,344
Russian Government International Bond (Russia),(h)
Unsub. Notes, 144A
11.00%	07/24/18	Baa2		735		1,064,831
The Export-Import Bank of Korea (Korea),(h)
Notes, 144A
4.125%	02/10/09	Aa3		860		839,755


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
Foreign Government Bonds (cont’d.)
United Mexican States Global Bond (Mexico),
Notes
5.625%(b)	01/15/17	Baa1	$	1,644	$	1,645,644
7.50%(b)	01/14/12	Baa1		1,290		1,413,840
8.125%	12/30/19	Baa1		816		991,440
Notes, M.T.N.
6.75%	09/27/34	Baa1		1,070		1,155,600

						14,119,911

Mortgage Backed Securities — 9.2%
Federal Home Loan Mortgage Corp.,
4.50%	02/01/19-07/01/20(e)			7,367		7,105,395
5.00%	TBA 30 YR			6,000		5,788,128
5.00%	07/01/18-05/01/34(e)			12,511		12,242,066
5.252%(g)	12/01/35(e)			4,125		4,111,678
5.50%	TBA 30 YR			8,000		7,910,000
5.50%	12/01/33-06/01/34(e)			10,835		10,727,327
6.00%	TBA 30 YR			15,000		15,107,820
6.00%	03/01/32-12/01/33(e)			3,778		3,819,081
6.50%	12/01/14(e)			493		503,946
7.00%	01/01/31-11/01/33(e)			5,110		5,256,972
Federal National Mortgage Assn.,
4.00%	06/01/19(e)			2,245		2,116,103
4.50%	11/01/18-01/01/35(e)			15,583		14,937,562
4.932%(g)	07/01/33(e)			851		847,915
5.00%	TBA 15 YR			7,500		7,371,090
5.00%	TBA 30 YR			13,000		12,549,056
5.00%	10/01/18-07/01/35(e)			39,832		38,582,669
5.50%	TBA 15 YR			7,500		7,497,660
5.50%	TBA 30 YR			44,000		43,477,500
5.50%	03/01/16-10/01/35(e)			38,460		38,101,678
6.00%	TBA 30 YR			27,500		27,680,455
6.00%	04/01/13-02/01/35(e)			21,211		21,401,687
6.50%	TBA 30 YR			12,000		12,225,000
6.50%	07/01/17-11/01/36(e)			12,857		13,112,473
7.00%	08/01/11-07/01/32(e)			1,625		1,675,713
7.50%	06/01/12-05/01/32(e)			1,180		1,217,376
Government National Mortgage Assn.,
5.50%	TBA 30 YR			5,500		5,472,500
5.50%	02/15/33-07/15/35(e)			9,953		9,914,809
6.00%	02/15/33-06/20/34(e)			2,927		2,967,807
6.50%	10/15/23-07/15/35(e)			7,468		7,673,424
8.00%	01/15/24-04/15/25(e)			263		278,246

						341,673,136

U.S. Government Agency Obligations — 2.7%
Federal Farm Credit Bank,
5.125%	08/25/16			1,020		1,031,957
Federal Home Loan Bank,
4.375%	10/03/08			8,140		8,041,335
4.50%	05/13/11			160		157,106
4.75%	06/11/08-12/16/16			9,320		9,256,029
4.875%	11/18/11(b)			4,420		4,402,431
5.00%	10/16/09			14,165		14,105,946
5.125%	08/08/08			6,280		6,284,245
5.375%	08/19/11(b)			6,755		6,870,544
5.60%	01/03/08			11,400		11,400,057

SEE NOTES TO FINANCIAL STATEMENTS.

B54


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
LONG-TERM BONDS (Continued)
U.S. Government Agency Obligations (cont’d.)
Federal Home Loan Mortgage Corp.,
4.75%	11/03/09-01/18/11		$	1,285	$	1,277,608
5.00%	12/14/18, M.T.N.			4,420		4,315,829
5.125%	10/18/16			250		252,141
5.25%	07/18/11, M.T.N.(b)			4,300		4,351,462
5.40%	02/28/11, M.T.N.			8,150		8,145,289
Federal National Mortgage Assn.,
4.25%	07/27/07			4,021		3,998,342
4.875%	12/15/16			25		24,720
5.00%	10/15/11, M.T.N.(b)			3,510		3,517,775
5.125%	04/15/11(b)			5,305		5,342,936
6.125%	03/15/12			6,260		6,591,361
Tennessee Valley Authority,
5.88%	04/01/36			990		1,088,516

						100,455,629

U.S. Government Treasury Obligations — 1.6%
United States Treasury Bonds,
4.50%	02/15/36(b)			2,140		2,035,007
6.00%	02/15/26			115		130,426
6.875%	08/15/25			545		674,693
8.125%	08/15/21			3,665		4,891,343
8.75%	08/15/20			1,270		1,755,775
9.00%	11/15/18			987		1,357,202
9.125%	05/15/18			730		1,004,035
United States Treasury Inflation Index Bonds,
0.875%	04/15/10			1,950		1,848,780
1.625%	01/15/15			1,390		1,308,581
1.875%	07/15/13-07/15/15			2,693		2,593,023
2.00%	01/15/14-01/15/26			5,349		5,151,474
2.375%	04/15/11-01/15/25			3,083		3,069,626
2.50%	07/15/16			1,174		1,183,223
3.00%	07/15/12			1,589		1,635,083
3.375%	01/15/12-04/15/32			824		922,227
3.50%	01/15/11			818		851,277
3.625%	01/15/08-04/15/28			2,635		2,905,027
3.875%	01/15/09-04/15/29			2,527		2,924,239
4.25%	01/15/10			792		833,149


Interest Rate	Maturity Date	Moody’s Rating (Unaudited)	Principal Amount (000)		Value (Note 2)
United States Treasury Notes,
4.00%	06/15/09(j)		$	680	$	668,286
4.50%	11/30/11(b)			2,840		2,814,707
4.625%	09/30/08-11/15/16(b)			10,035		9,985,916
4.875%	05/15/09			475		476,039
5.00%	07/31/08			25		25,041
United States Treasury Strips, I/O,
Zero	02/15/19-05/15/19(b)			18,593		10,323,571

						61,367,750

TOTAL LONG-TERM BONDS (cost $934,320,145)						926,453,980

TOTAL LONG-TERM INVESTMENTS (cost $3,005,209,293)						3,416,367,178

SHORT-TERM INVESTMENTS — 19.0%
U.S. Government Obligations — 0.1%
United States Treasury Bill(j) (cost $4,555,226)
4.80%	03/15/07			4,600		4,556,134
			Shares
Affiliated Money Market Mutual Funds — 18.9%
Dryden Core Investment Fund —Dryden Short-Term Bond Series(d)				13,906,281		139,201,877
Dryden Core Investment Fund —Taxable Money Market Series (cost $563,645,944; includes $305,547,916 of cash collateral for securities on loan) (Note 4)(c)(d)				563,645,944		563,645,944

TOTAL SHORT-TERM INVESTMENTS (cost $707,324,483)						707,403,955

TOTAL INVESTMENTS — 110.7% (cost $3,712,533,776)						4,123,771,133

LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (10.7)%						(400,220,143	)

TOTAL NET ASSETS — 100.0%					$	3,723,550,990

SEE NOTES TO FINANCIAL STATEMENTS.

B55


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

The following abbreviations are used in portfolio descriptions:


G.O.		General Obligation
I/O		Interest Only
M.T.N.		Medium Term Note
TBA		To Be Announced Security

(a)	Non income-producing security.

(b)	All or portion of security is on loan. The aggregate market value of such securities is $293,454,272; cash collateral of $305,547,916 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c)	Represents security, or portion thereof, purchased with cash collateral received for securities on loan.

(d)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of Dryden Core Investment Fund — Taxable Money Market Series and the Dryden Core Investment Fund — Dryden Short-Term Bond Series.

(e)	Securities segregated as collateral for TBAs.

(f)	Standard & Poor’s rating.

(g)	Indicates a variable rate security.

(h)	Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.

(i)	Indicates a security that has been deemed illiquid.

(j)	Security segregated as collateral for futures contracts.

(k)	Liabilities in excess of other assets include net unrealized appreciation (depreciation) on futures contracts and interest rate swap and credit default swap agreements as follows:

Open futures contracts outstanding at December 31, 2006:


Number of Contracts	Type	Expiration Date	Value at December 31, 2006		Value at Trade Date		Unrealized Appreciation (Depreciation)
Long Positions:
93	2-Yr. U.S. T-Notes	Mar. 07	$	18,974,906	$	19,036,112	$	(61,206	)
1,173	5-Yr. U.S. T-Notes	Mar. 07		123,238,313		124,338,000		(1,099,687	)
527	U.S. Long Bond	Mar. 07		58,727,562		59,447,798		(720,236	)
183	S&P 500 Index	Mar. 07		65,349,300		65,056,225		293,075

								(1,588,054	)

Short Positions:
150	10-Yr. U.S. T-Notes	Mar. 07		16,120,313		16,302,148		181,835

							$	(1,406,219	)

Interest rate swap agreements outstanding at December 31, 2006:


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate	Floating Rate	Unrealized (Depreciation)
Merrill Lynch Capital Services, Inc.(a)	11/02/2016	$	5,260	5.151	3 month LIBOR	$	(17,440	)

(a)	The Portfolio pays the floating rate and receives the fixed rate.

Credit default swap agreements outstanding at December 31, 2006:


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate		Underlying Bond	Unrealized (Depreciation)
Deutsche Bank AG(a)	05/25/2036	$	1,000	2.74	%	Fieldstone Mortgage Investment Corp., Ser. 2006-1, Class M9 7.62%, due 05/25/36	$	(809	)
Deutsche Bank AG(a)	06/25/2036		1,000	2.52	%	Residential Asset Securities Corp., Ser. 2006-EMX4, Class M9 7.32%, 06/25/36		(4,116	)

							$	(4,925	)

(a)	The Portfolio pays the fixed rate and receives from the counterparty par in the event that the underlying bond defaults.

SEE NOTES TO FINANCIAL STATEMENTS.

B56


		*FLEXIBLE MANAGED PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:


Affiliated Money Market Mutual Funds (including 8.2% of collateral received for securities on loan)	18.9	%
Mortgage Backed Securities	9.2
Oil, Gas & Consumable Fuels	5.2
Healthcare & Pharmaceutical	5.1
Diversified Financial Services	4.0
Commercial Banks	3.6
Insurance	3.1
Telecommunications	3.1
Capital Markets	3.0
Commercial Mortgage Backed Securities	3.0
Computers & Peripherals	2.7
U.S. Government Agency Obligations	2.7
Food & Staples Retailing	2.4
Software	2.3
Aerospace & Defense	2.2
Media & Entertainment	2.1
Healthcare Providers & Services	2.0
Industrial Conglomerates	2.0
Energy Equipment & Services	1.8
Electric	1.7
U.S. Government Treasury Obligations	1.6
Semiconductors & Semiconductor Equipment	1.5
Electronic Equipment & Instruments	1.4
Household Products	1.3
Retailers	1.2
Beverages	1.2
Communications Equipment	1.2
Hotels, Restaurants & Leisure	1.2
Specialty Retail	1.2
Internet Software & Services	1.1
Machinery	1.1
Asset Backed Securities	1.0
Tobacco	1.0
Metals & Mining	0.9
Chemicals	0.8
Automobiles	0.7
Healthcare Equipment & Supplies	0.7
Road & Rail	0.7
Textiles, Apparel & Luxury Goods	0.7
Thrifts & Mortgage Finance	0.7
Banking	0.6
Biotechnology	0.6
Independent Power Producers & Energy Traders	0.6
Multi-Utilities	0.5
Air Freight & Logistics	0.4
Commercial Services & Supplies	0.4
Construction & Engineering	0.4
Consumer Finance	0.4
Foreign Government Bonds	0.4
Office Electronics	0.4
Real Estate Investment Trusts	0.4
Brokerage	0.3
Capital Goods	0.3
Collateralized Mortgage Obligations	0.3
Non Captive Finance	0.3
Technology	0.3
Building Materials & Construction	0.2


Cable	0.2	%
Household Durables	0.2
Internet & Capital Retail	0.2
Leisure Equipment & Products	0.2
Life Sciences, Tools & Services	0.2
Pipelines & Other	0.2
Real Estate Management & Development	0.2
Airlines	0.1
Auto Components	0.1
Consumer	0.1
Containers & Packaging	0.1
Diversified Consumer Services	0.1
Gaming	0.1
Lodging	0.1
Personal Products	0.1
Railroads	0.1
Structured Notes	0.1
Trading Companies & Distributors	0.1
U.S. Government Obligations	0.1

	110.7
Liabilities in excess of other assets	(10.7	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

B57


		*GLOBAL PORTFOLIO*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS — 96.7%		Value (Note 2)
COMMON STOCKS	Shares	Value (Note 2)
Australia — 1.8%
Allco Finance Group Ltd.	104,171	$	1,057,289
AWB Ltd.	271,500		659,873
BlueScope Steel Ltd.	251,400		1,704,796
Commonwealth Bank of Australia	61,000		2,375,467
CSR Ltd.	173,200		512,074
Macquarie Bank Ltd.	71,300		4,431,689
Quantas Airways Ltd.	515,500		2,124,773
Santos Ltd.	82,000		638,155
Smorgon Steel Group Ltd.	936,900		1,374,401
Telstra Corp. Ltd.	445,700		1,456,475
Zinifex Ltd.	30,000		442,177

			16,777,169

Austria — 0.7%
Boehler-Uddeholm AG	23,200		1,626,190
Erste Bank der Oesterreichischen Sparkassen AG	28,352		2,174,445
Raiffeisen International Bank-Holding AG	11,400		1,738,254
Voestalpine AG	9,500		536,354

			6,075,243

Belgium — 0.4%
Fortis	74,100		3,161,392
InBev NV	14,600		962,476

			4,123,868

Bermuda — 0.4%
Tyco International Ltd.	132,900		4,040,160

Brazil — 0.7%
Banco Itau Holding Financeira, ADR	44,600		1,612,290
Cia de Concessoes Rodoviarias	74,500		1,006,003
Gol Linhas Aereas Inteligentes SA, ADR(b)	19,800		567,666
Localiza Rent A Car SA	15,300		460,110
Natura Cosmeticos SA	82,400		1,162,818
Petroleo Brasilerio SA, ADR	20,000		1,869,599

			6,678,486

Canada — 0.8%
Manulife Financial Corp.	102,500		3,458,710
Shoppers Drug Mart Corp.	50,100		2,151,961
Suncor Energy, Inc.	25,400		1,999,285

			7,609,956

Chile — 0.1%
Cencosud SA, ADR, 144A	26,600		1,248,162

China — 0.9%
China Merchants Bank Co. Ltd.(a)	217,500		460,820
Focus Media Holding Ltd., ADR(a)	15,800		1,048,962
Foxconn International Holdings Ltd.(a)	215,000		701,237
Industrial & Commercial Bank of China(a)	9,354,000		5,808,444

			8,019,463

Colombia — 0.1%
BanColombia SA, ADR	32,400		1,009,260

Denmark — 0.2%
Danske Bank A/S	36,600		1,626,292


COMMON STOCKS		Value (Note 2)
(Continued)	Shares	Value (Note 2)
Finland — 0.4%
Perlos Oyj	73,300	$	339,625
Rautaruukki Oyj	39,900		1,587,994
Stora Enso Oyj (Class R Stock)	88,600		1,403,472

			3,331,091

France — 6.8%
Arkema(a)	530		27,236
BNP Paribas SA	79,260		8,647,401
Capgemini SA	29,100		1,826,553
Cie Generale D’Optique Essilor International SA	21,500		2,311,630
Ciments Francais	5,200		998,746
CNP Assurances	10,300		1,150,261
Compagnie Generale des Etablissements Michelin (Class B Stock)	24,600		2,354,300
Credit Agricole SA	58,900		2,477,136
Eurazeo	13,945		1,991,748
Groupe Danone	39,000		5,910,105
Iliad SA	9,000		781,731
L’Oreal SA	63,400		6,352,135
LVMH Moet Hennessy Louis Vuitton SA	37,700		3,978,767
Natixis	57,000		1,601,162
Peugeot SA	26,000		1,722,923
Rallye SA	13,400		725,763
Renault SA	11,800		1,417,464
Schneider Electric SA	8,900		988,040
Societe Generale	5,300		899,716
Total SA	21,200		1,529,378
Total SA, ADR	85,000		6,113,200
Valeo SA	30,700		1,277,765
Veolia Environnement	53,900		4,155,184
Vinci SA	21,600		2,760,055
Vivendi Universal SA	31,700		1,239,043

			63,237,442

Germany — 2.5%
BASF AG	39,300		3,843,624
Bayer AG	21,600		1,164,185
Bijou Brigitte AG	1,900		374,708
DaimlerChrysler AG	24,800		1,536,353
Deutsche Bank AG	21,900		2,936,574
Deutsche Telekom AG	57,400		1,052,453
E.ON AG	29,600		4,035,883
MAN AG	18,200		1,650,745
SAP AG	35,800		1,906,372
ThyssenKrupp AG	60,200		2,840,935
TUI AG	45,600		914,348
Volkswagen AG	10,200		1,157,405

			23,413,585

Greece — 0.3%
Motor Oil Hellas Corinth Refineries SA	31,000		798,786
National Bank of Greece SA, ADR(b)	248,200		2,308,260

			3,107,046

Hong Kong — 1.3%
Chaoda Modern Agriculture	1,203,600		773,585
China Mobile Ltd.	407,500		3,512,630

SEE NOTES TO FINANCIAL STATEMENTS.

B58


		*GLOBAL PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS		Value (Note 2)
(Continued)	Shares	Value (Note 2)
Hong Kong (cont’d.)
CITIC International Financial Holdings Ltd.	1,095,000	$	980,895
Citic Pacific Ltd.	324,500		1,115,995
Esprit Holdings Ltd.	227,500		2,534,000
Hopson Devolpment Holdings Ltd.	198,000		559,683
Li & Fung Ltd.	981,600		3,047,702

			12,524,490

India — 0.6%
HDFC Bank Ltd., ADR	10,200		769,896
Infosys Technologies Ltd., ADR	95,500		5,210,480

			5,980,376

Ireland — 0.6%
Anglo Irish Bank Corp. PLC (Irish Stock Exchange)	108,100		2,241,768
Anglo Irish Bank Corp. PLC (London Exchange)	21,100		435,899
IAWS Group, PLC	29,300		750,340
Irish Life & Permanent PLC	86,900		2,408,949

			5,836,956

Italy — 1.6%
Banche Popolari Unite Scpa	33,200		912,447
Benetton Group SpA	46,500		887,585
ENI SpA	121,400		4,083,258
Luxottica Group SpA	127,600		3,921,230
Saipem SpA	147,800		3,851,326
Sanpaolo IMI SpA	53,700		1,247,601

			14,903,447

Japan — 10.6%
Aeon Mall Co. Ltd.	28,000		1,581,073
Alpine Electronics, Inc.	41,600		621,259
Alps Electric Co. Ltd.	49,700		538,684
Asahi Breweries Ltd.	89,400		1,428,614
Asahi Kasei Corp.	226,100		1,482,363
Canon, Inc.	83,700		4,712,323
Capcom Co. Ltd.	55,200		991,149
Cosmo Oil Co. Ltd.	303,300		1,231,566
Daiwa Securities Group, Inc.	89,400		1,000,583
Denki Kagaku Kogyo K K	224,900		933,264
Denso Corp.	130,800		5,186,322
Fanuc Ltd.	24,100		2,365,216
Fuji Heavy Industries Ltd.	233,000		1,196,081
Hitachi Ltd.	202,900		1,263,842
Hokkaido Electric Power Co., Inc.	53,200		1,358,691
Hokuetsu Paper Mills Ltd.	68,900		387,301
Honda Motor Co. Ltd.	95,400		3,765,360
Honeys Co. Ltd.	14,300		531,180
Hosiden Corp.	51,900		556,946
Hoya Corp.	52,700		2,054,080
Jupiter Telecommunications Co.(a)	1,529		1,232,443
Kaken Pharmaceutical Co. Ltd.	129,500		1,009,971
Kansai Electric Power Co., Inc. (The)	126,000		3,391,924
Keyence Corp.	10,550		2,604,152
KK Davinci Advisors(a)	598		592,678
Komatsu Ltd.	113,000		2,287,105
Kurabo Industries Ltd.	173,100		447,569


COMMON STOCKS		Value (Note 2)
(Continued)	Shares	Value (Note 2)
Japan (cont’d.)
Kyowa Hakko Kogyo Co. Ltd.	118,000	$	1,008,496
Kyushu Electric Power Co., Inc.	30,700		809,592
Marubeni Corp.	191,700		971,241
Mori Seiki Co. Ltd.	17,400		388,498
Nippon Oil Corp.	284,200		1,900,570
Nippon Paper Group, Inc.	300		1,129,735
Nippon Telegraph and Telephone Corp.	500		2,465,744
Nissan Motor Co. Ltd.	200,100		2,414,547
Nomura Holdings, Inc.	109,900		2,073,236
NSK Ltd.	110,400		1,087,570
NTT DoCoMo, Inc.	1,600		2,531,728
Oji Paper Co., Ltd.	185,000		980,106
Okasan Holdings, Inc.	63,100		403,564
ORIX Corp.	21,700		6,292,829
Osaka Gas Co. Ltd.	439,300		1,632,816
Promise Co., Ltd.	5,100		157,919
Rengo Co. Ltd.	118,900		759,115
Ricoh Co. Ltd.	95,600		1,946,923
Santen Pharmaceutical Co. Ltd.	26,700		751,074
Sharp Corp.	120,000		2,063,289
Sumitomo Corp.	83,000		1,242,488
Suruga Bank Ltd.	119,000		1,473,756
Takefuji Corp.	19,000		751,566
Tanabe Seiyaku Co. Ltd.	143,600		1,877,842
Tohoku Electric Power Co., Inc.	38,900		972,318
Toppan Printing Co. Ltd.	85,000		936,447
Toyota Motor Corp.	35,000		2,342,445
Toyota Motor Corp., ADR	59,828		8,035,500
Yamada Denki Co. Ltd.	11,500		976,135
Yamaha Motor Co. Ltd.	82,500		2,593,284
Yokohama Rubber Co. Ltd. (The)	174,300		1,050,506

			98,772,618

Mexico — 1.2%
America Movil — Ser. L, ADR	80,618		3,645,546
America Movil SA de CV	1,490,500		3,360,972
Wal-Mart de Mexico SA de CV	926,900		4,078,085

			11,084,603

Netherlands — 1.9%
ABN AMRO Holding NV	22,700		729,648
Aegon NV	108,800		2,073,886
Heineken NV, ADR	132,745		3,153,424
ING Groep NV	81,100		3,595,999
Royal Dutch Shell PLC, ADR	31,500		2,229,885
Royal KPN NV	172,200		2,448,147
Royal Numico NV	31,400		1,689,063
TomTom NV(a)	30,900		1,334,629

			17,254,681

New Zealand — 0.1%
Fisher & Paykel Appliances Holdings Ltd.	319,700		864,477

Norway — 0.2%
Norsk Hydro ASA	70,500		2,187,861

Portugal — 0.1%
Energias de Portugal SA	231,100		1,171,440

SEE NOTES TO FINANCIAL STATEMENTS.

B59


		*GLOBAL PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS		Value (Note 2)
(Continued)	Shares	Value (Note 2)
Russia — 0.1%
CTC Media, Inc.(a)	18,800	$	451,388

Singapore — 0.8%
CapitaLand Ltd.	1,121,000		4,511,035
MobileOne Ltd.	433,700		606,351
Neptune Orient Lines Ltd.	432,800		587,414
Singapore Airlines Ltd.	152,000		1,730,852

			7,435,652

South Africa — 0.2%
Naspers Ltd.	32,200		762,157
Sasol Ltd.	21,500		793,354

			1,555,511

South Korea — 0.2%
Samsung Electronics Co. Ltd., GDR	5,300		1,743,700

Spain — 1.5%
Banco Bilbao Vizcaya Argentaria SA	83,800		2,017,704
Banco Santander Central Hispano SA	146,800		2,740,086
Inditex SA	80,700		4,347,393
Repsol YPF SA	93,200		3,223,338
Telefonica SA	55,700		1,185,247

			13,513,768

Sweden — 1.0%
Electrolux AB, Ser. B(a)	68,800		1,376,814
Husqvarna AB (Class B Stock)	68,800		1,075,322
Modern Times Group (Class B Stock)	12,200		801,934
Nordea Bank AB	244,700		3,770,967
Telefonaktiebolaget LM Ericsson (Class B Stock)	665,000		2,685,858

			9,710,895

Switzerland — 4.7%
ABB Ltd.	394,900		7,081,300
Baloise Holding AG	21,900		2,189,101
Credit Suisse Group	68,700		4,806,463
EFG International(a)	35,100		1,323,632
Georg Fischer AG	2,500		1,619,819
Kuehne & Nagel International AG	24,500		1,782,458
Nestle SA	11,010		3,912,458
Nobel Biocare Holding AG	4,150		1,226,949
Rieter Holding AG	2,200		1,151,005
Roche Holdings AG	22,050		3,953,980
SGS SA	1,560		1,738,597
Swiss Reinsurance	8,000		680,181
Swisscom AG	2,900		1,097,764
Syngenta AG	8,200		1,525,597
UBS AG	19,400		1,178,966
UBS AG — New	110,336		6,656,571
Verwalt & Privat-Bank AG	2,578		687,608
Zurich Financial Services AG	5,900		1,588,182

			44,200,631

Taiwan — 0.4%
High Tech Computer Corp. GDR	5,300		419,641
HON HAI Precision Industry Co. Ltd., GDR	200,740		2,830,434

			3,250,075


COMMON STOCKS		Value (Note 2)
(Continued)	Shares	Value (Note 2)
United Kingdom — 10.6%
Acergy SA(a)	55,600	$	1,070,054
Alliance & Leicester PLC	76,000		1,693,419
AstraZeneca PLC	31,100		1,670,910
Aviva PLC	60,000		965,677
Barclays PLC	299,200		4,276,545
BG Group PLC	389,700		5,287,767
BP PLC	317,700		3,530,138
Bradford & Bingley PLC	178,100		1,639,840
BT Group PLC	756,400		4,465,267
Cairn Energy PLC(a)	38,300		1,349,083
Capita Group PLC	207,000		2,460,184
Carphone Warehouse Group PLC	170,400		1,047,630
Davis Service Group PLC	900		8,881
DSG International PLC	566,000		2,122,237
GKN PLC	263,300		1,433,192
GlaxoSmithKline PLC	37,400		984,191
Hanson PLC	70,700		1,066,598
HBOS PLC	468,800		10,390,648
Imperial Chemical Industries PLC	123,100		1,089,445
Interserve PLC	174,800		1,372,443
Legal & General Group PLC	359,600		1,108,942
Lloyds TSB Group PLC	346,200		3,873,931
Man Group PLC	258,500		2,645,838
Northern Foods PLC	211,500		475,195
Northern Rock PLC	127,900		2,950,017
Northumbrian Water Group PLC	73,500		440,370
Old Mutual PLC	319,100		1,088,700
Reckitt Benckiser PLC	118,500		5,415,366
Rolls-Royce Group PLC, B Share entitlement(a)	19,021,610		0
Rolls-Royce Group PLC	516,600		4,528,961
Rotork PLC	48,800		797,838
Royal & Sun Alliance Insurance Group PLC	300,200		896,374
Royal Bank of Scotland Group PLC (The)	57,300		2,235,994
Royal Dutch Shell PLC (Class B Stock)	195,600		6,855,363
Standard Chartered PLC	98,000		2,862,883
Tate & Lyle PLC	71,300		1,072,857
Taylor Woodrow PLC	148,300		1,237,697
Tesco PLC	776,100		6,146,740
Tomkins PLC	113,100		544,208
Tullow Oil PLC	81,300		633,552
Vedanta Resources PLC	55,500		1,326,836
Vodafone Group PLC	1,437,175		3,981,757

			99,043,568

United States — 42.9%
Alltel Corp.	24,100		1,457,568
Altria Group, Inc.	23,600		2,025,352
American Express Co.	36,900		2,238,723
American International Group, Inc.	47,100		3,375,186
Ameriprise Financial, Inc.	40,200		2,190,900
Amylin Pharmaceuticals, Inc.(a)(b)	69,351		2,501,491
Anheuser-Busch Cos., Inc.(b)	69,900		3,439,080
AT&T, Inc.(b)	95,200		3,403,400
Avon Products, Inc.	72,300		2,388,792

SEE NOTES TO FINANCIAL STATEMENTS.

B60


		*GLOBAL PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS		Value (Note 2)
(Continued)	Shares	Value (Note 2)
United States (cont’d.)
Baker Hughes, Inc.	69,600	$	5,196,336
Bank of America Corp.	114,800		6,129,172
Boeing Co.	48,208		4,282,799
Boston Scientific Corp.(a)	75,300		1,293,654
Bowater, Inc.	34,100		767,250
Bristol-Myers Squibb Co.	44,800		1,179,136
Burlington Northern Santa Fe Corp.	104,640		7,723,478
Campbell Soup Co.	38,100		1,481,709
CB Richard Ellis Group, Inc.(a)	19,527		648,296
CBS Corp. (Class B Stock)	35,500		1,106,890
ChevronTexaco Corp.	79,700		5,860,341
Cisco Systems, Inc.(a)	259,467		7,091,233
Citigroup, Inc.	151,144		8,418,721
Coca-Cola Co. (The)	77,000		3,715,250
Comcast Corp. (Class A Stock)(a)(b)	277,261		11,736,458
Dow Chemical Co. (The)	28,900		1,154,266
Dow Jones & Co., Inc.(b)	36,900		1,402,200
Duke Energy Corp.(b)	94,700		3,144,987
E.I. du Pont de Nemours & Co.	59,100		2,878,761
Entergy Corp.	33,700		3,111,184
Exxon Mobil Corp.	78,300		6,000,129
Fannie Mae	33,800		2,007,382
Federated Department Stores, Inc.	87,364		3,331,189
FedEx Corp.	72,454		7,869,953
Fifth Third Bancorp	70,900		2,901,937
Genentech, Inc.(a)	115,170		9,343,742
General Dynamics Corp.	85,774		6,377,297
General Electric Co.	194,500		7,237,345
General Mills, Inc.	31,300		1,802,880
General Motors Corp.(b)	48,900		1,502,208
Genworth Financial, Inc.	41,200		1,409,452
Genzyme Corp.(a)	53,839		3,315,406
Goldman Sachs Group, Inc.	60,328		12,026,387
H&R Block, Inc.	75,400		1,737,216
Hartford Financial Services Group, Inc.	27,700		2,584,687
Home Depot, Inc. (The)	76,100		3,056,176
Honeywell International, Inc.	77,600		3,510,624
Idearc, Inc.(a)	3,430		98,270
Illinois Tool Works, Inc.	41,200		1,903,028
Intel Corp.	241,099		4,882,255
International Business Machines Corp.	40,000		3,886,000
International Paper Co.	96,800		3,300,880
Johnson & Johnson	53,100		3,505,662
JPMorgan Chase & Co.	146,800		7,090,440
KB Home	46,405		2,379,648
Las Vegas Sands Corp.(a)	69,310		6,201,859
Lehman Brothers Holdings, Inc.	92,040		7,190,165
Lennar Corp. (Class A Stock)	66,220		3,473,901
Liberty Media Holdings Corp. — Capital (Class A Stock)(a)	19,780		1,938,044
Liberty Media Holdings Corp. — Interactive (Class A Stock)(a)	92,000		1,984,440


COMMON STOCKS		Value (Note 2)
(Continued)	Shares	Value (Note 2)
United States (cont’d.)
Lincoln National Corp.	27,100	$	1,799,440
Lockheed Martin Corp.	72,935		6,715,125
Lowe’s Cos., Inc.(b)	177,308		5,523,144
Marsh & McLennan Cos., Inc.	154,800		4,746,168
Mellon Financial Corp.(b)	74,200		3,127,530
Merck & Co., Inc.	99,600		4,342,560
Merrill Lynch & Co., Inc.	33,500		3,118,850
Microsoft Corp.	161,700		4,828,362
Monsanto Co.	108,571		5,703,235
Morgan Stanley	44,100		3,591,063
Murphy Oil Corp.(b)	51,600		2,623,860
New York Times Co. (The) (Class A Stock)(b)	67,700		1,649,172
Newell Rubbermaid, Inc.	86,500		2,504,175
NiSource, Inc.	112,400		2,708,840
Nordstrom, Inc.	106,497		5,254,562
NRG Energy, Inc.(a)(b)	19,264		1,078,977
Nucor Corp.	20,700		1,131,462
PepsiCo, Inc.	14,897		931,807
Pfizer, Inc.	144,500		3,742,550
Praxair, Inc.	91,780		5,445,307
Procter & Gamble Co. (The)	136,019		8,741,941
Qwest Communications International, Inc.(a)(b)	171,400		1,434,618
RadioShack Corp.(b)	67,800		1,137,684
Raytheon Co.	49,100		2,592,480
Schering-Plough Corp.(b)	96,500		2,281,260
Schlumberger Ltd.	76,167		4,810,708
Sprint Nextel Corp.	145,000		2,739,050
St. Joe Co. (The)(b)	49,051		2,627,662
St. Paul Travelers Cos., Inc. (The)	39,700		2,131,493
Starbucks Corp.(a)(b)	83,311		2,950,876
State Street Corp.	41,000		2,765,040
Station Casinos, Inc.	43,314		3,537,454
Target Corp.	90,204		5,146,138
Time Warner Cos., Inc.	191,500		4,170,870
U.S. Bancorp	111,600		4,038,804
Union Pacific Corp.	97,444		8,966,797
United Technologies Corp.	81,039		5,066,558
UnitedHealth Group, Inc.	247,272		13,285,925
Verizon Communications, Inc.	68,600		2,554,664
Viacom, Inc. (Class B Stock)(a)	39,200		1,608,376
Wal-Mart Stores, Inc.	56,400		2,604,552
Walt Disney Co.	65,100		2,230,977
Waste Management, Inc.	82,600		3,037,202
Wells Fargo & Co.	125,405		4,459,402
Wyeth	48,100		2,449,252
Wynn Resorts Ltd.(b)	78,188		7,337,944

			400,465,131

TOTAL LONG-TERM INVESTMENTS (cost $752,362,931)			902,248,491

SEE NOTES TO FINANCIAL STATEMENTS.

B61


		*GLOBAL PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


SHORT-TERM INVESTMENT — 7.5%	Shares	Value (Note 2)
Affiliated Money Market Mutual Fund
Dryden Core Investment Fund — Taxable Money Market Series (cost $70,116,659 includes $50,850,856 of cash collateral received for securities on loan) (Note 4)(c)(d)	70,116,659	$	70,116,659

TOTAL INVESTMENTS(e) — 104.2% (cost $822,479,590)			972,365,150

LIABILITIES IN EXCESS OF OTHER ASSETS — (4.2)%			(39,506,254	)

TOTAL NET ASSETS — 100.0%		$	932,858,896

The following abbreviations are used in portfolio descriptions:


ADR		American Depositary Receipt
GDR		Global Depositary Receipt
144A		Security was purchased pursuant to rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.

(a)	Non-income producing security.

(b)	All or a portion of security is on loan. The aggregate market value of such securities is $48,803,921; cash collateral of $50,850,856 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c)	Represents security, or a portion thereof, purchased with cash collateral for securities on loan.

(d)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series.

(e)	As of December 31, 2006, 80 securities representing $128,063,028 and 13.7% of the net assets were fair valued in accordance with policies adopted by the Board of Trustees.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 were as follows:


Commercial Banks	9.3	%
Affiliated Money Market Mutual Fund (including 5.5% of collateral received for securities on loan)	7.5
Oil, Gas & Consumable Fuels	7.0
Capital Markets	6.8
Telecommunications	4.7
Automobiles	4.3
Food & Staples Retailing	3.8
Aerospace & Defense	3.6
Insurance	3.6
Media	3.4
Diversified Financial Services	3.3
Household Durables	3.3
Pharmaceuticals	3.1
Utilities	2.9
Chemicals	2.7
Specialty Retail	2.3
Hotels, Restaurants & Leisure	2.2
Electric Equipment & Instruments	2.1
Road & Rail	1.8
Biotechnology	1.6
Beverages	1.5
Multiline Retail	1.5
Health Care Providers & Services	1.4
Industrial Conglomerates	1.4
Metals & Mining	1.4
Software	1.4
Machinery	1.2
Communications Equipment	1.1
Energy Equipment & Services	1.1
Personal Products	1.1
Real Estate Management & Development	1.1
Consumer Finance	1.0
Textiles, Apparel & Luxury Goods	1.0
Commercial Services & Supplies	0.9
Paper & Forest Products	0.9
Air Freight & Logistics	0.8
Office Electronics	0.7
Semiconductors & Semiconductor Equipment	0.7
Thrifts & Mortgage Finance	0.7
Airlines	0.5
Computers & Peripherals	0.5
Distributors	0.5
Health Care Equipment & Supplies	0.5
Construction & Engineering	0.4
Marine	0.3
Construction Materials	0.2
Diversified Consumer Services	0.2
Internet & Catalog Retail	0.2
IT Services	0.2
Tobacco	0.2
Containers & Packaging	0.1
Independent Power Producers & Energy Traders	0.1
Transportation Infrastructure	0.1

	104.2
Liabilities in excess of other assets	(4.2	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

B62


		*GOVERNMENT INCOME PORTFOLIO*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS — 93.2%	Interest Rate	Maturity Date	Principal Amount (000)		Value (Note 2)
Asset Backed Securities — 3.8%
Small Business Administration Participation Certificates,
Series 1996-20J, Class 1	7.20%	10/01/16	$	4,437	$	4,607,951
Series 1997-20A, Class 1	7.15%	01/01/17		4,311		4,471,480
Series 1997-20G, Class 1	6.85%	07/01/17		1,376		1,422,139
Series 1998-20I, Class 1	6.00%	09/01/18		2,863		2,921,201

						13,422,771

Collateralized Mortgage Obligations — 6.6%
Federal Home Loan Mortgage Corp.,
Series 2496, Class PM	5.50%	09/15/17		2,819		2,789,991
Series 2501, Class MC	5.50%	09/15/17		2,000		2,005,337
Series 2513, Class HC	5.00%	10/15/17		2,339		2,267,501
Series 2518, Class PV	5.50%	06/15/19		1,920		1,896,040
Federal National Mortgage Association,
Series 1993-29, Class PH	6.50%	01/25/23		178		177,297
Series 2002-18, Class PC	5.50%	04/25/17		5,000		5,027,849
Series 2002-57, Class ND	5.50%	09/25/17		2,600		2,603,574
Series 2002-94, Class HQ	4.50%	01/25/18		6,419		6,063,051
Structured Adjustable Rate Mortgage Loan, Series 2004-1, Class 4A-3(a)	4.17%	02/25/34		684		677,110

						23,507,750

Commercial Mortgage Backed Securities — 5.8%
Banc of America Commercial Mortgage, Inc., Series 2005-2, Class A5(a)	4.857%	07/10/43		1,750		1,695,191
Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2000-WF1, Class A1(b)	7.64%	02/15/32		683		695,331
Series 2004-T16, Class A5	4.60%	02/13/46		4,200		4,045,327
Series 2005-PWR8, Class A4	4.674%	06/11/41		1,750		1,675,310
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class A4	4.686%	07/15/37		1,750		1,674,679
First Union National Bank Commercial Mortgage Trust,
Series 2000-C1, Class A1	7.739%	05/17/32		386		390,016
Series 2000-C2, Class A1	6.94%	10/15/32		266		265,296
GS Mortgage Securities Corp. II, Series 2003-C1, Class A3	4.608%	01/10/40		6,800		6,572,978
Merrill Lynch Mortgage Trust, Series 2006-C1, Class ASB	5.66%	05/12/39		1,500		1,535,100
Morgan Stanley Capital I, Series 2005-T19, Class AAB	4.852%	06/12/47		1,375		1,346,279
Morgan Stanley Dean Witter I, Series 2001-TOP1, Class A2	6.32%	02/15/33		612		614,196

						20,509,703

Foreign Government Bonds — 1.6%
Australian Government Bond, Series 415	6.25%	04/15/15		AUD 1,045		842,381
Deutsche Bundesrepublik, Series 06	4.00%	07/04/16		EUR 2,080		2,753,655
Japanese Government Bond, Series 90	2.20%	09/20/26		JPY 51,950		445,338
Norwegian Government Bonds	5.00%	05/15/15		NOK 9,400		1,570,151

						5,611,525

Mortgage Backed Securities — 43.9%
Federal Home Loan Mortgage Corp.	5.00%	06/01/33-5/01/34		11,362		10,978,044
Federal Home Loan Mortgage Corp.	5.00%	TBA 30 YR		5,500		5,305,784
Federal Home Loan Mortgage Corp.	6.00%	TBA 30 YR		3,000		3,021,564
Federal Home Loan Mortgage Corp.	6.00%	09/01/34		731		736,882
Federal Home Loan Mortgage Corp.	6.50%	06/01/08-9/01/32		1,112		1,133,997
Federal Home Loan Mortgage Corp.	7.00%	08/01/11-10/01/32		1,272		1,294,381
Federal National Mortgage Association(a)	4.249%	04/01/34		2,333		2,313,991
Federal National Mortgage Association(a)	4.439%	06/01/34		2,297		2,268,233
Federal National Mortgage Association	4.50%	TBA 15 YR		5,000		4,821,875
Federal National Mortgage Association(a)	4.032%	08/01/33		3,684		3,576,331
Federal National Mortgage Association(a)	4.876%	10/01/34		3,043		3,006,202
Federal National Mortgage Association(a)	4.976%	06/01/36		4,742		4,699,684
Federal National Mortgage Association	5.00%	07/01/18-03/01/34		15,056		14,736,302
Federal National Mortgage Association	5.00%	TBA 15 YR		10,500		10,319,526

SEE NOTES TO FINANCIAL STATEMENTS.

B63


		*GOVERNMENT INCOME PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS (Continued)	Interest Rate	Maturity Date	Principal Amount (000)		Value (Note 2)
Mortgage Backed Securities (cont’d.)
Federal National Mortgage Association	5.00%	TBA 30 YR	$	4,000	$	3,861,248
Federal National Mortgage Association	5.50%	01/01/17-11/01/35		43,647		43,180,308
Federal National Mortgage Association	6.00%	TBA 30 YR		500		503,281
Federal National Mortgage Association	6.00%	11/01/14-01/01/36		9,275		9,349,293
Federal National Mortgage Association(a)	6.276%	03/01/11		1,269		1,311,230
Federal National Mortgage Association	6.50%	11/01/09-10/01/32		5,035		5,148,094
Federal National Mortgage Association	6.50%	TBA 30 YR		2,500		2,546,875
Federal National Mortgage Association	7.00%	TBA 30 YR		2,000		2,052,500
Federal National Mortgage Association	7.00%	02/01/12-01/01/36		2,297		2,362,271
Federal National Mortgage Association	7.50%	03/01/07-10/01/12		336		344,982
Federal National Mortgage Association	8.00%	03/01/22-05/01/26		68		71,547
Federal National Mortgage Association	9.00%	02/01/25-04/01/25		270		293,484
Government National Mortgage Association	5.00%	TBA 30 YR		3,000		2,916,564
Government National Mortgage Association	5.00%	07/15/33-04/15/34		4,571		4,450,351
Government National Mortgage Association	5.50%	TBA 30 YR		4,500		4,477,500
Government National Mortgage Association	6.50%	07/15/32-08/15/32		1,036		1,064,653
Government National Mortgage Association	7.00%	03/15/23-08/15/28		2,297		2,374,603
Government National Mortgage Association	7.50%	12/15/25-02/15/26		468		489,417
Government National Mortgage Association	8.50%	09/15/24-04/15/25		556		600,414

						155,611,411

U.S. Government Agency Obligations — 23.4%
Federal Home Loan Bank	4.75%	06/11/08-08/13/10		1,920		1,908,111
Federal Home Loan Bank(c)	4.875%	11/18/11		7,490		7,460,227
Federal Home Loan Bank	5.125%	08/08/08		450		450,304
Federal Home Loan Bank	5.375%	08/19/11		3,580		3,641,236
Federal Home Loan Bank(a)	9.148%	02/20/07		2,000		1,995,980
Federal Home Loan Mortgage Corp.	4.75%	01/18/11		645		640,724
Federal Home Loan Mortgage Corp., M.T.N.	5.00%	12/14/18		2,475		2,416,669
Federal National Mortgage Association	4.875%	04/10/08		28,535		28,436,926
Federal National Mortgage Association(c)	5.125%	04/15/11		6,920		6,969,485
Federal National Mortgage Association	5.30%	02/22/11		16,310		16,231,973
FICO Strip Principal	Zero	05/11/18		4,000		2,244,916
Tennessee Valley Authority, Series B	4.375%	06/15/15		9,850		9,444,298
Tennessee Valley Authority, Series B	5.88%	04/01/36		1,090		1,198,467

						83,039,316

U.S. Government Treasury Securities — 8.1%
United States Treasury Bonds(c)	4.50%	02/15/36		1,025		974,712
United States Treasury Bonds(c)	4.625%	11/15/16		4,165		4,137,669
United States Treasury Bonds	8.125%	05/15/21		840		1,118,447
United States Treasury Inflation Index Notes	2.375%	04/15/11		3,040		3,028,328
United States Treasury Inflation Index Notes	3.875%	01/15/09		8,270		8,497,737
United States Treasury Notes	3.375%	09/15/09		1,860		1,796,280
United States Treasury Notes	4.875%	04/30/08		8		7,993
United States Treasury Notes	5.00%	07/31/08		15		15,025
United States Treasury Strip(c)	Zero	02/15/12-05/15/21		15,230		9,007,298

						28,583,489

TOTAL LONG-TERM INVESTMENTS (cost $333,011,098)						330,285,965


SHORT-TERM INVESTMENTS — 23.5%			Shares
Affiliated Money Market Mutual Funds
Dryden Core Investment Fund — Short Term Bond Series (cost $36,554,024)(e)				3,653,066		36,567,195
Dryden Core Investment Fund — Taxable Money Market Series (cost $46,780,559; includes $21,369,617 of cash collateral received for securities on loan) (Note 4)(d)(e)				46,780,559		46,780,559

TOTAL SHORT-TERM INVESTMENTS (cost $83,334,583)						83,347,754

TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT — 116.7% (cost $416,345,681)						413,633,719

SEE NOTES TO FINANCIAL STATEMENTS.

B64


		*GOVERNMENT INCOME PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


SECURITIES SOLD SHORT — (0.1)%	Interest Rate	Maturity Date	Principal Amount (000)		Value (Note 2)
Mortgage Backed Securities
Federal National Mortgage Association (proceeds received $497,344)	5.50%	TBA 30 YR	$	500	$	(494,063	)

TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT — 116.6% (cost $415,848,337)						413,139,656
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (16.6%)						(58,880,871	)

TOTAL NET ASSETS — 100.0%					$	354,258,785

The following abbreviations are used in portfolio descriptions:


AUD		Australian Dollar
EUR		Euro
FICO		Financing Corporation
JPY		Japanese Yen
M.T.N.		Medium Term Note
NOK		Norwegian Krone
NZD		New Zealand Dollar
TBA		To be announced security

(a)	Indicates a variable rate security. The maturity date presented for these instruments is the later of the next date on which the security can be redeemed at par or the next date on which the rate of interest is adjusted. The interest rate shown reflects the rate in effect at December 31, 2006.

(b)	Security segregated as collateral for futures contracts.

(c)	All or portion of security is on loan. The aggregate market value of such securities is $20,724,279; cash collateral of $21,369,617 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(d)	Represents security, or a portion thereof, purchased with cash collateral received for securities on loan.

(e)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series and the Dryden Core Investment Fund — Short-Term Bond Series.

(f)	Other liabilities in excess of other assets include net unrealized appreciation (depreciation) on financial futures contracts, forward foreign currency contracts and interest rate swap agreements as follows:

Open futures contracts outstanding at December 31, 2006:


Number of Contracts	Type	Expiration Date	Value at December 31, 2006		Value at Trade Date		Unrealized Appreciation (Depreciation)
Long Positions:
10	Canadian 10 Yr. Bond	Mar. 07	$	976,032	$	985,914	$	(9,882	)
9	10 Yr. Euro-Bund	Mar. 07		1,378,483		1,394,757		(16,274	)
13	Long-Term U.K. Gilt	Mar. 07		2,752,315		2,790,771		(38,456	)
249	U.S. 30 Yr. Bond	Mar. 07		27,747,937		28,142,827		(394,890	)

								(459,502	)
Short Positions:
114	U.S. Treasury 2 Yr. Notes	Mar. 07		23,259,562		23,398,622		139,060
106	U.S. Treasury 5 Yr. Notes	Mar. 07		11,136,625		11,192,473		55,848
202	U.S. Treasury 10 Yr. Notes	Mar. 07		21,708,687		21,961,044		252,357

								447,265

							$	(12,237	)

SEE NOTES TO FINANCIAL STATEMENTS.

B65


		*GOVERNMENT INCOME PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

Open forward foreign currency exchange contracts outstanding at December 31, 2006:


Purchase Contracts:	Contracts to Deliver	Payable at Statement Date		Value at December 31, 2006		Unrealized Appreciation (Depreciation)
Japanese Yen expiring 01/24/07	JPY 80,446,708	$	682,139	$	678,254	$	(3,885	)
Norwegian Krone expiring 01/22/07	NOK 6,603,277		1,059,281		1,060,170		889

							(2,996	)


Sales Contracts:	Contracts to Deliver	Receivable at Statement Date		Value at December 31, 2006		Unrealized Appreciation (Depreciation)
Australian Dollar expiring 01/19/07	AUD 1,097,963	$	862,813	$	866,211	$	(3,398	)
Euros expiring 01/24/07	EUR 2,147,334		2,817,495		2,838,085		(20,590	)
Japanese Yen expiring 01/24/07	JPY 126,734,619		1,081,842		1,068,512		13,330
Norwegian Krone expiring 01/22/07	NOK 16,768,796		2,709,693		2,692,265		17,428

							6,770

						$	3,774

Interest rate swap agreements outstanding at December 31, 2006:


Counterparty (1)	Termination Date	Notional Amount (000)		Fixed Rate		Floating Rate	Unrealized Appreciation (Depreciation)
Merrill Lynch Capital Services	11/02/16	$	4,660	5.151	%	3 month LIBOR	$	(15,451	)
Merrill Lynch Capital Services	08/15/22		3,150	5.185	%	3 month LIBOR		(35,447	)
Morgan Stanley Capital Services	01/04/17		NZD 1,460	6.880	%	3 month NZD-BBR-FRA		—
Morgan Stanley Capital Services	12/22/16		NZD 2,930	6.808	%	3 month NZD-BBR-FRA		4,555

							$	(46,343	)

(1)	The Portfolio pays the floating rate and receives the fixed rate.

The industry classification of portfolio holdings and other liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:


Mortgage Backed Securities	43.9	%
Affiliated Money Market Mutual Funds (including 6.0% of collateral received for securities on loan)	23.5
U.S. Government Agency Obligations	23.4
U.S. Government Treasury Securities	8.1
Collateralized Mortgage Obligations	6.6
Commercial Mortgage Backed Securities	5.8
Asset Backed Securities	3.8
Foreign Government Bonds	1.6

	116.7
Securities Sold Short	(0.1	)
Other liabilities in excess of other assets	(16.6	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

B66


		*STOCK INDEX PORTFOLIO*

SCHEDULE OF INVESTMENTS

December 31, 2006


LONG-TERM INVESTMENTS — 98.2%		Value (Note 2)
COMMON STOCKS	Shares	Value (Note 2)
Aerospace/Defense — 2.4%
Boeing Co.	204,136	$	18,135,442
General Dynamics Corp.	104,600		7,777,010
Goodrich Corp.	31,800		1,448,490
Honeywell International, Inc.	215,150		9,733,386
L-3 Communications Holdings, Inc.	32,900		2,690,562
Lockheed Martin Corp.	93,698		8,626,775
Northrop Grumman Corp.	97,226		6,582,200
Raytheon Co.	115,818		6,115,190
Rockwell Collins, Inc.	45,100		2,854,379
United Technologies Corp.	260,000		16,255,200

			80,218,634

Air Freight & Logistics — 0.9%
FedEx Corp.	80,740		8,769,979
United Parcel Service, Inc. (Class B Stock)	274,800		20,604,504

			29,374,483

Airlines — 0.1%
Southwest Airlines Co.	176,637		2,706,079

Auto Components — 0.1%
Goodyear Tire & Rubber Co. (The)(a)(b)	49,200		1,032,708
Johnson Controls, Inc.	46,100		3,960,912

			4,993,620

Automobiles — 0.4%
Ford Motor Co.(b)	462,045		3,469,958
General Motors Corp.	139,100		4,273,152
Harley-Davidson, Inc.(b)	69,700		4,911,759

			12,654,869

Beverages — 2.1%
Anheuser-Busch Cos., Inc.(b)	204,500		10,061,400
Brown-Forman Corp.	16,200		1,073,088
Coca-Cola Co. (The) (Class B Stock)	522,700		25,220,275
Coca-Cola Enterprises, Inc.	84,700		1,729,574
Constellation Brands, Inc. (Class A Stock)(a)	38,200		1,108,564
Molson Coors Brewing Co. (Class B Stock)	16,000		1,223,040
Pepsi Bottling Group, Inc.	33,600		1,038,576
PepsiCo, Inc.	429,640		26,873,982

			68,328,499

Biotechnology — 1.3%
Amgen, Inc.(a)	303,164		20,709,133
Biogen Idec, Inc.(a)(b)	90,825		4,467,682
Celgene Corp.(a)(b)	87,200		5,016,616
Genzyme Corp.(a)	58,800		3,620,904
Gilead Sciences, Inc.(a)	109,200		7,090,356
MedImmune, Inc.(a)	61,200		1,981,044

			42,885,735

Building Products — 0.1%
American Standard Cos., Inc.	38,900		1,783,565
Masco Corp.	103,400		3,088,558

			4,872,123


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Capital Markets — 3.8%
Ameriprise Financial, Inc.	62,300	$	3,395,350
Bank of New York Co., Inc.	199,200		7,842,504
Bear Stearns & Co., Inc.	32,110		5,226,866
Charles Schwab Corp.	275,400		5,326,236
E*Trade Financial Corp.(a)	106,800		2,394,456
Federated Investors, Inc. (Class B Stock)	22,600		763,428
Franklin Resources, Inc.	40,400		4,450,868
Goldman Sachs Group, Inc.	113,100		22,546,485
Janus Capital Group, Inc.	55,000		1,187,450
Legg Mason, Inc.(b)	30,800		2,927,540
Lehman Brothers Holdings, Inc.	141,100		11,022,732
Mellon Financial Corp.(b)	105,700		4,455,255
Merrill Lynch & Co., Inc.(b)	234,100		21,794,710
Morgan Stanley	277,710		22,613,925
Northern Trust Corp.	48,800		2,961,672
State Street Corp.	85,600		5,772,864
T. Rowe Price Group, Inc.	59,600		2,608,692

			127,291,033

Chemicals — 1.5%
Air Products & Chemicals, Inc.	55,700		3,914,596
Ashland, Inc.	18,600		1,286,748
Dow Chemical Co.	259,761		10,374,854
Du Pont (E.I.) de Nemours & Co.	234,391		11,417,186
Eastman Chemical Co.	22,400		1,328,544
Ecolab, Inc.	48,800		2,205,760
Hercules, Inc.(a)	27,900		538,749
International Flavors & Fragrances, Inc.	18,700		919,292
Monsanto Co.	131,396		6,902,232
PPG Industries, Inc.	42,600		2,735,346
Praxair, Inc.	79,000		4,687,070
Rohm and Haas Co.	38,800		1,983,456
Sigma-Aldrich Corp.	12,800		994,816

			49,288,649

Commercial Banks — 4.1%
BB&T Corp.	140,900		6,189,737
Comerica, Inc.	44,750		2,625,930
Commerce Bancorp, Inc.	33,300		1,174,491
Compass Bancshares, Inc.	33,800		2,016,170
Fifth Third Bancorp	143,249		5,863,182
First Horizon National Corp.(b)	35,900		1,499,902
Huntington Bancshares, Inc.(b)	60,875		1,445,781
KeyCorp	106,900		4,065,407
M&T Bank Corp.	20,100		2,455,416
Marshall & Ilsley Corp.	58,700		2,824,057
National City Corp.(b)	151,500		5,538,840
PNC Financial Services Group, Inc.(b)	77,900		5,767,716
Regions Financial Corp.	196,812		7,360,769
SunTrust Banks, Inc.	90,700		7,659,615
Synovus Financial Corp.	85,100		2,623,633
US Bancorp	455,381		16,480,238
Wachovia Corp.	491,855		28,011,142
Wells Fargo & Co.	873,620		31,065,927
Zions Bancorporation	27,700		2,283,588

			136,951,541

SEE NOTES TO FINANCIAL STATEMENTS.

B67


		*STOCK INDEX PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Commercial Services & Supplies — 0.5%
Allied Waste Industries, Inc.(a)(b)	71,800	$	882,422
Avery Dennison Corp.	25,000		1,698,250
Cintas Corp.	35,800		1,421,618
Donnelley (R.R.) & Sons Co.	57,500		2,043,550
Equifax, Inc.	31,100		1,262,660
Monster Worldwide, Inc.(a)	22,900		1,068,056
Pitney Bowes, Inc.	58,300		2,692,877
Robert Half International, Inc.	45,800		1,700,096
Waste Management, Inc.	145,030		5,332,753

			18,102,282

Communications Equipment — 2.6%
ADC Telecommunications, Inc.(a)	27,200		395,216
Avaya, Inc.(a)	110,908		1,550,494
Ciena Corp.(a)(b)	21,657		600,115
Cisco Systems, Inc.(a)	1,577,600		43,115,808
Comverse Technology, Inc.(a)(b)	37,000		781,070
Corning, Inc.(a)	371,400		6,948,894
JDS Uniphase Corp.(a)	24,887		414,617
Juniper Networks, Inc.(a)	115,000		2,178,100
Motorola, Inc.	652,695		13,419,409
QUALCOMM, Inc.	427,200		16,143,888
Tellabs, Inc.(a)	116,000		1,190,160

			86,737,771

Computers & Peripherals — 3.7%
Apple Computer, Inc.(a)	213,600		18,121,824
Dell, Inc.(a)	596,100		14,956,149
EMC Corp.(a)	588,274		7,765,217
Hewlett-Packard Co.	720,616		29,682,173
International Business Machines Corp.	392,100		38,092,515
Lexmark International, Inc.(a)(b)	29,014		2,123,825
NCR Corp.(a)	46,300		1,979,788
Network Appliance, Inc.(a)	96,800		3,802,304
QLogic Corp.(a)	51,800		1,135,456
SanDisk Corp.(a)(b)	47,700		2,052,531
Sun Microsystems, Inc.(a)	808,600		4,382,612

			124,094,394

Construction & Engineering — 0.1%
Fluor Corp.	23,500		1,918,775

Construction Materials — 0.1%
Vulcan Materials Co.	27,000		2,426,490

Consumer Finance — 1.0%
American Express Co.	310,800		18,856,236
Capital One Financial Corp.	113,569		8,724,371
SLM Corp.	109,000		5,315,930

			32,896,537

Containers & Packaging — 0.2%
Ball Corp.	23,400		1,020,240
Bemis Co.	25,900		880,082
Pactiv Corp.(a)	33,000		1,177,770
Sealed Air Corp.	19,910		1,292,557
Temple-Inland, Inc.	29,600		1,362,488

			5,733,137

Distributors — 0.1%
Genuine Parts Co.	46,225		2,192,452


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)(a)(b)	29,800	$	1,161,306
H&R Block, Inc.	87,900		2,025,216

			3,186,522

Diversified Financial Services — 5.7%
Bank of America Corp.	1,164,207		62,157,011
Chicago Mercantile Exchange Holdings, Inc.(b)	8,200		4,179,950
CIT Group, Inc.	53,800		3,000,426
Citigroup, Inc.	1,260,476		70,208,512
JPMorgan Chase & Co.	903,385		43,633,496
Moody’s Corp.	65,320		4,510,999

			187,690,394

Diversified Telecommunication Services — 2.0%
AT&T, Inc.(b)	993,409		35,514,372
BellSouth Corp.	467,700		22,033,347
CenturyTel, Inc.	30,000		1,309,800
Citizens Communications Co.	90,300		1,297,611
Embarq Corp.	39,376		2,069,603
Qwest Communications International, Inc.(a)(b)	411,647		3,445,485
Windstream Corp.	102,565		1,458,474

			67,128,692

Electric Utilities — 1.8%
Allegheny Energy, Inc.(a)	36,200		1,661,942
American Electric Power Co., Inc.	109,940		4,681,245
Duke Energy Corp.(b)	308,482		10,244,687
Edison International	85,100		3,870,348
Entergy Corp.	52,100		4,809,872
Exelon Corp.	171,550		10,617,230
FirstEnergy Corp.	87,436		5,272,391
FPL Group, Inc.(b)	99,700		5,425,674
Pinnacle West Capital Corp.	26,000		1,317,940
PPL Corp.	95,100		3,408,384
Progress Energy, Inc.	56,714		2,783,523
Southern Co.	179,100		6,601,626

			60,694,862

Electrical Equipment — 0.5%
American Power Conversion Corp.	31,500		963,585
Cooper Industries Ltd.	25,000		2,260,750
Emerson Electric Co.	210,000		9,258,900
Rockwell Automation, Inc.	45,800		2,797,464

			15,280,699

Electronic Equipment & Instruments — 0.3%
Agilent Technologies, Inc.(a)	113,682		3,961,818
Jabil Circuit, Inc.	30,900		758,595
Molex, Inc.	32,600		1,031,138
Sanmina Corp.(a)	150,600		519,570
Solectron Corp.(a)(b)	261,700		842,674
Symbol Technologies, Inc.	67,400		1,006,956
Tektronix, Inc.	18,300		533,811

			8,654,562

Energy Equipment & Services — 1.7%
Baker Hughes, Inc.	84,630		6,318,476

SEE NOTES TO FINANCIAL STATEMENTS.

B68


		*STOCK INDEX PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Energy Equipment & Services (cont’d.)
BJ Services Co.	87,400	$	2,562,568
Halliburton Co.	264,200		8,203,410
Nabors Industries Ltd.(a)(b)	86,800		2,584,904
National-Oilwell Varco, Inc.(a)	43,200		2,642,976
Noble Corp.(b)	32,800		2,497,720
Rowan Cos., Inc.	12,700		421,640
Schlumberger Ltd.	308,800		19,503,808
Smith International Inc.	37,900		1,556,553
Transocean, Inc.(a)	83,133		6,724,628
Weatherford International Ltd.(a)	85,500		3,573,045

			56,589,728

Food & Staples Retailing — 2.2%
Costco Wholesale Corp.	123,332		6,520,563
CVS Corp.(b)	206,600		6,386,006
Kroger Co.	186,300		4,297,941
Safeway, Inc.	117,300		4,053,888
SUPERVALU, Inc.	57,208		2,045,186
Sysco Corp.	153,700		5,650,012
Walgreen Co.(b)	257,900		11,835,031
Wal-Mart Stores, Inc.	629,900		29,088,782
Whole Foods Market, Inc.(b)	31,300		1,468,909

			71,346,318

Food Products — 1.0%
Archer-Daniels-Midland Co.	168,138		5,373,690
Campbell Soup Co.	48,800		1,897,832
ConAgra Foods, Inc.	135,800		3,666,600
Dean Foods Co.(a)	27,200		1,150,016
General Mills, Inc.	94,300		5,431,680
Heinz (H.J.) & Co.	80,350		3,616,554
Hershey Foods Corp.	46,100		2,295,780
Kellogg Co.	66,000		3,303,960
McCormick & Co., Inc.	31,300		1,206,928
Sara Lee Corp.	185,900		3,165,877
Tyson Foods, Inc. (Class A Stock)	51,800		852,110
Wrigley (William) Jr. Co.	49,100		2,539,452

			34,500,479

Gas Utilities — 0.1%
Nicor, Inc.	12,200		570,960
Peoples Energy Corp.	6,000		267,420
Questar Corp.	21,900		1,818,795

			2,657,175

Healthcare Equipment & Supplies — 1.5%
Bausch & Lomb, Inc.(b)	12,100		629,926
Baxter International, Inc.	164,700		7,640,433
Becton Dickinson & Co.	68,800		4,826,320
Biomet, Inc.	46,625		1,924,214
Boston Scientific Corp.(a)	289,199		4,968,439
C.R. Bard, Inc.	26,600		2,207,002
Hospira, Inc.(a)	42,820		1,437,896
Medtronic, Inc.	294,800		15,774,748
St. Jude Medical, Inc.(a)	84,600		3,092,976
Stryker Corp.	69,500		3,830,145
Zimmer Holdings, Inc.(a)	59,286		4,646,837

			50,978,936


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Healthcare Providers & Services — 2.5%
Aetna, Inc.	150,348	$	6,492,027
AmerisourceBergen Corp.(b)	58,400		2,625,664
Cardinal Health, Inc.	103,475		6,666,894
Caremark Rx, Inc.	111,400		6,362,054
CIGNA Corp.	31,200		4,104,984
Coventry Health Care, Inc.(a)	39,750		1,989,488
Express Scripts, Inc.(a)	34,700		2,484,520
Health Management Associates, Inc.	66,300		1,399,593
Humana, Inc.(a)	41,900		2,317,489
Laboratory Corp. of America Holdings(a)(b)	33,800		2,483,286
Manor Care, Inc.	12,750		598,230
McKesson Corp.	72,107		3,655,825
Medco Health Solutions, Inc.(a)	74,396		3,975,722
Patterson Cos., Inc.(a)	21,400		759,914
Quest Diagnostics, Inc.	44,300		2,347,900
Tenet Healthcare Corp.(a)	111,100		774,367
UnitedHealth Group, Inc.	349,500		18,778,635
Wellpoint, Inc.(a)	168,200		13,235,658

			81,052,250

Healthcare Technology
IMS Health, Inc.	51,320		1,410,274

Hotels, Restaurants & Leisure — 1.6%
Carnival Corp.(b)	106,800		5,238,540
Darden Restaurants, Inc.	38,650		1,552,571
Harrah’s Entertainment, Inc.	41,450		3,428,744
Hilton Hotels Corp.	84,000		2,931,600
International Game Technology(b)	79,000		3,649,800
Marriott International, Inc. (Class A Stock)	77,900		3,717,388
McDonald’s Corp.(b)	330,500		14,651,065
Starbucks Corp.(a)(b)	200,100		7,087,542
Starwood Hotels & Resorts Worldwide, Inc.	47,300		2,956,250
Wendy’s International, Inc.	21,700		718,053
Wyndham Worldwide Corp.(a)	42,663		1,366,069
Yum! Brands, Inc.	72,500		4,263,000

			51,560,622

Household Durables — 0.6%
Black & Decker Corp.	16,500		1,319,505
Centex Corp.(b)	32,000		1,800,640
D.R. Horton, Inc.	52,200		1,382,778
Fortune Brands, Inc.(b)	33,000		2,817,870
Harman International Industries, Inc.	16,700		1,668,497
KB Home	21,932		1,124,673
Leggett & Platt, Inc.	50,900		1,216,510
Lennar Corp. (Class A Stock)	29,000		1,521,340
Newell Rubbermaid, Inc.	58,249		1,686,309
Pulte Homes, Inc.	39,800		1,318,176
Snap-On, Inc.	12,300		585,972
Stanley Works	12,200		613,538
Whirlpool Corp.(b)	16,507		1,370,411

			18,426,219

Household Products — 2.2%
Clorox Co.	37,900		2,431,285

SEE NOTES TO FINANCIAL STATEMENTS.

B69


		*STOCK INDEX PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Household Products (cont’d.)
Colgate-Palmolive Co.	130,400	$	8,507,296
Kimberly-Clark Corp.	124,788		8,479,345
Procter & Gamble Co.	814,681		52,359,547

			71,777,473

Independent Power Producers & Energy Traders — 0.4%
AES Corp.(a)	159,700		3,519,788
Constellation Energy Group, Inc.(b)	48,350		3,329,865
Dynegy, Inc.(a)	87,800		635,672
TXU Corp.	125,512		6,804,006

			14,289,331

Industrial Conglomerates — 4.0%
3M Co.	190,000		14,806,700
General Electric Co.	2,633,800		98,003,697
Textron, Inc.	32,100		3,010,017
Tyco International Ltd.	510,543		15,520,507

			131,340,921

Insurance — 4.5%
ACE Ltd.	87,200		5,281,704
AFLAC, Inc.(b)	121,400		5,584,400
Allstate Corp.	164,888		10,735,858
Ambac Financial Group, Inc.	28,800		2,565,216
American International Group, Inc.	667,487		47,832,118
Aon Corp.	74,725		2,640,782
Chubb Corp.	113,000		5,978,830
Cincinnati Financial Corp.	45,628		2,067,405
Genworth Financial, Inc. (Class A Stock)	106,800		3,653,628
Hartford Financial Services Group, Inc.	82,500		7,698,075
Lincoln National Corp.	71,363		4,738,503
Loews Corp.	104,300		4,325,321
Marsh & McLennan Cos., Inc.	121,800		3,734,388
MBIA, Inc.(b)	36,850		2,692,261
MetLife, Inc.	198,800		11,731,188
Principal Financial Group, Inc.	66,300		3,891,810
Progressive Corp.	195,800		4,742,276
SAFECO Corp.	35,800		2,239,290
St. Paul Travelers Cos., Inc.	181,898		9,766,104
Torchmark Corp.	24,100		1,536,616
UnumProvident Corp.	86,456		1,796,556
XL Capital Ltd. (Class A Stock)	45,300		3,262,506

			148,494,835

Internet & Catalog Retail — 0.1%
Amazon.Com, Inc.(a)(b)	67,000		2,643,820
IAC/InterActiveCorp(a)(b)	45,200		1,679,632

			4,323,452

Internet Software & Services — 1.3%
eBay, Inc.(a)(b)	285,300		8,578,971
Google, Inc. (Class A Stock)(a)	53,950		24,842,896
VeriSign, Inc.(a)	50,500		1,214,525
Yahoo!, Inc.(a)(b)	301,300		7,695,202

			42,331,594


COMMON STOCKS (Continued)	Shares	Value (Note 2)
IT Services — 1.1%
Affiliated Computer Services, Inc. (Class A Stock)(a)	25,300	$	1,235,652
Automatic Data Processing, Inc.	147,100		7,244,675
Cognizant Technology Solutions(a)	31,300		2,415,108
Computer Sciences Corp.(a)	47,400		2,529,738
Convergys Corp.(a)	37,600		894,128
Electronic Data Systems Corp.	123,300		3,396,915
Fidelity Information Services, Inc.	31,500		1,262,835
First Data Corp.	187,004		4,772,342
Fiserv, Inc.(a)	54,900		2,877,858
Paychex, Inc.	89,350		3,532,899
Sabre Holdings Corp.	39,619		1,263,450
Unisys Corp.(a)	67,000		525,280
Western Union Co.	192,004		4,304,730

			36,255,610

Leisure Equipment & Products — 0.2%
Brunswick Corp.	26,400		842,160
Eastman Kodak Co.	53,000		1,367,400
Hasbro, Inc.	42,650		1,162,213
Mattel, Inc.	98,281		2,227,047

			5,598,820

Life Sciences, Tools & Services — 0.3%
Applera Corp.-Applied Biosystems Group	49,100		1,801,479
Millipore Corp.(a)	10,800		719,280
PerkinElmer, Inc.	31,000		689,130
Thermo Electron Corp.(a)	104,800		4,746,392
Waters Corp.(a)	27,600		1,351,572

			9,307,853

Machinery — 1.4%
Caterpillar, Inc.	167,300		10,260,509
Cummins, Inc.	12,400		1,465,432
Danaher Corp.	61,500		4,455,060
Deere & Co.	57,600		5,476,032
Dover Corp.	55,100		2,701,002
Eaton Corp.	40,200		3,020,628
Illinois Tool Works, Inc.	106,600		4,923,854
Ingersoll-Rand Co. (Class A Stock)	81,800		3,200,834
ITT Corp.	50,000		2,841,000
PACCAR, Inc.(b)	60,952		3,955,785
Pall Corp.	17,600		608,080
Parker Hannifin Corp.	32,325		2,485,146
Terex Corp.(a)	17,000		1,097,860

			46,491,222

Media — 3.6%
CBS Corp. (Class B Stock)	212,768		6,634,106
Clear Channel Communications, Inc.	123,100		4,374,974
Comcast Corp. (Class A Stock)(a)(b)	536,430		22,707,082
DIRECTV Group, Inc. (The)(a)	176,600		4,404,404
Dow Jones & Co., Inc.(b)	17,400		661,200
E.W. Scripps Co. (Class A Stock)	16,700		833,998
Gannett Co., Inc.	59,100		3,573,186
Interpublic Group of Cos., Inc.(a)(b)	69,800		854,352
McGraw-Hill Cos., Inc.	89,800		6,108,196
Meredith Corp.	11,000		619,850

SEE NOTES TO FINANCIAL STATEMENTS.

B70


		*STOCK INDEX PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Media (cont’d.)
New York Times Co.(b)	41,900	$	1,020,684
News Corp. (Class A Stock)	573,100		12,310,188
Omnicom Group, Inc.	44,600		4,662,484
Time Warner, Inc.	1,037,720		22,601,542
Tribune Co.	49,000		1,508,220
Univision Communications, Inc. (Class A Stock)(a)	49,400		1,749,748
Viacom, Inc. (Class B Stock)(a)	174,468		7,158,422
Walt Disney Co.	540,301		18,516,115

			120,298,751

Metals & Mining — 0.9%
Alcoa, Inc.	228,376		6,853,564
Allegheny Technologies, Inc.	20,040		1,817,227
Freeport-McMoran Copper & Gold, Inc.	41,100		2,290,503
Newmont Mining Corp.	119,503		5,395,560
Nucor Corp.	78,600		4,296,276
Phelps Dodge Corp.	50,756		6,076,508
United States Steel Corp.	27,740		2,028,904

			28,758,542

Multiline Retail — 1.2%
Big Lots, Inc.(a)	26,200		600,504
Dillard’s, Inc.	20,750		725,628
Dollar General Corp.	78,203		1,255,940
Family Dollar Stores, Inc.	45,600		1,337,448
Federated Department Stores, Inc.	139,820		5,331,337
J.C. Penney Co., Inc.	61,900		4,788,584
Kohl’s Corp.(a)	84,700		5,796,021
Nordstrom, Inc.	56,000		2,763,040
Sears Holdings Corp.(a)(b)	20,412		3,427,787
Target Corp.	223,568		12,754,554

			38,780,843

Multi-Utilities — 1.1%
Ameren Corp.(b)	48,300		2,595,159
CenterPoint Energy, Inc.(b)	86,610		1,435,994
CMS Energy Corp.(a)(b)	53,000		885,100
Consolidated Edison, Inc.(b)	62,800		3,018,796
Dominion Resources, Inc.(b)	88,842		7,448,513
DTE Energy Co.(b)	37,000		1,791,170
KeySpan Corp.	33,800		1,391,884
NiSource, Inc.	73,000		1,759,300
PG&E Corp.	78,500		3,715,405
Public Service Enterprise Group, Inc.	60,300		4,002,714
Sempra Energy	70,054		3,925,826
TECO Energy, Inc.	37,900		653,017
Xcel Energy, Inc.	109,495		2,524,955

			35,147,833

Office Electronics — 0.1%
Xerox Corp.(a)	246,892		4,184,819

Oil, Gas & Consumable Fuels — 8.0%
Anadarko Petroleum Corp.	122,526		5,332,332
Apache Corp.	85,250		5,669,978
Chesapeake Energy Corp.	104,700		3,041,535
Chevron Corp.	561,592		41,293,860
ConocoPhillips	421,779		30,346,999
Consol Energy, Inc.(b)	28,800		925,344


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Oil, Gas & Consumable Fuels (cont’d.)
Devon Energy Corp.	114,800	$	7,700,784
El Paso Corp.	176,311		2,694,032
EOG Resources, Inc.	59,700		3,728,265
Exxon Mobil Corp.(b)	1,491,970		114,329,660
Hess Corp.	66,000		3,271,620
Kinder Morgan, Inc.	22,600		2,389,950
Marathon Oil Corp.	92,997		8,602,223
Murphy Oil Corp.(b)	43,100		2,191,635
Occidental Petroleum Corp.	223,500		10,913,505
Peabody Energy Corp.	53,500		2,161,935
Sunoco, Inc.(b)	37,000		2,307,320
Valero Energy Corp.	161,700		8,272,572
Williams Cos., Inc.	150,000		3,918,000
XTO Energy, Inc.	98,200		4,620,310

			263,711,859

Paper & Forest Products — 0.3%
International Paper Co.	123,267		4,203,405
MeadWestvaco Corp.	48,289		1,451,567
Weyerhaeuser Co.	61,200		4,323,780

			9,978,752

Personal Products — 0.1%
Avon Products, Inc.	104,100		3,439,464
Estee Lauder Cos., Inc. (The)	25,500		1,040,910

			4,480,374

Pharmaceuticals — 6.3%
Abbott Laboratories	396,700		19,323,257
Allergan, Inc.(b)	36,300		4,346,562
Barr Pharmaceuticals, Inc.(a)	20,800		1,042,496
Bristol-Myers Squibb Co.	501,860		13,208,955
Forest Laboratories, Inc.(a)	89,700		4,538,820
Johnson & Johnson	752,371		49,671,533
King Pharmaceuticals, Inc.(a)	71,033		1,130,845
Lilly (Eli) & Co.	262,600		13,681,460
Merck & Co., Inc.	573,400		25,000,240
Mylan Laboratories, Inc.	40,900		816,364
Pfizer, Inc.	1,873,508		48,523,857
Schering-Plough Corp.(b)	381,400		9,016,296
Watson Pharmaceuticals, Inc.(a)	27,900		726,237
Wyeth	356,600		18,158,072

			209,184,994

Real Estate Investment Trust — 1.0%
Apartment Investment & Management Co. (Class A Stock)	24,700		1,383,694
Archstone-Smith Trust(b)	57,100		3,323,791
Boston Properties, Inc.(b)	25,700		2,875,316
Equity Office Properties Trust	79,100		3,810,247
Equity Residential Properties Trust	66,700		3,385,025
Kimco Realty Corp.(b)	47,700		2,144,115
Plum Creek Timber Co., Inc.	46,200		1,841,070
ProLogis	65,600		3,986,512
Public Storage, Inc.	25,500		2,486,250
Simon Property Group, Inc.(b)	56,400		5,712,756
Vornado Realty Trust	29,800		3,620,700

			34,569,476

SEE NOTES TO FINANCIAL STATEMENTS.

B71


		*STOCK INDEX PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


COMMON STOCKS (Continued)	Shares	Value (Note 2)
Real Estate Management & Development — 0.1%
CB Richard Ellis Group Inc.(a)	48,500	$	1,610,200
Realogy Corp.(a)	56,254		1,705,621

			3,315,821

Road & Rail — 0.7%
Burlington Northern Santa Fe Corp.	94,726		6,991,726
CSX Corp.	117,824		4,056,680
Norfolk Southern Corp.	98,900		4,973,681
Ryder System, Inc.	17,600		898,656
Union Pacific Corp.	69,400		6,386,188

			23,306,931

Semiconductors & Semiconductor Equipment — 2.3%
Advanced Micro Devices, Inc.(a)(b)	112,900		2,297,515
Altera Corp.(a)(b)	95,200		1,873,536
Analog Devices, Inc.	98,900		3,250,843
Applied Materials, Inc.	389,600		7,188,120
Broadcom Corp.(a)(b)	102,550		3,313,391
Intel Corp.	1,487,700		30,125,925
KLA-Tencor Corp.	43,700		2,174,075
Linear Technology Corp.	64,900		1,967,768
LSI Logic Corp.(a)(b)	110,800		997,200
Maxim Integrated Products, Inc.	64,000		1,959,680
Micron Technology, Inc.(a)	151,900		2,120,524
National Semiconductor Corp.	86,000		1,952,200
Novellus Systems, Inc.(a)(b)	40,000		1,376,800
NVIDIA Corp.(a)	80,400		2,975,604
PMC-Sierra, Inc.(a)(b)	20,000		134,200
Teradyne, Inc.(a)(b)	30,800		460,768
Texas Instruments, Inc.	397,700		11,453,760
Xilinx, Inc.	92,200		2,195,282

			77,817,191

Software — 3.3%
Adobe Systems, Inc.(a)	141,700		5,826,704
Autodesk, Inc.(a)(b)	46,700		1,889,482
BMC Software, Inc.(a)	57,900		1,864,380
CA, Inc.	121,673		2,755,893
Citrix Systems, Inc.(a)	27,500		743,875
Compuware Corp.(a)	108,600		904,638
Electronic Arts, Inc.(a)	74,200		3,736,712
Intuit, Inc.(a)(b)	91,600		2,794,716
Microsoft Corp.	2,226,600		66,486,275
Novell, Inc.(a)	89,100		552,420
Oracle Corp.(a)	1,019,020		17,466,003
Symantec Corp.(a)(b)	273,011		5,692,279

			110,713,377

Specialty Retail — 2.0%
AutoNation, Inc.(a)	40,589		865,357
AutoZone, Inc.(a)	13,600		1,571,616
Bed Bath & Beyond, Inc.(a)	57,800		2,202,180
Best Buy Co., Inc.	104,225		5,126,828
Circuit City Stores, Inc.	37,000		702,260
Gap, Inc.	133,787		2,608,847
Home Depot, Inc.	526,819		21,157,051
Limited Brands, Inc.	89,796		2,598,696
Lowe’s Cos., Inc.(b)	386,900		12,051,935
Office Depot, Inc.(a)	77,000		2,939,090


COMMON STOCKS (Continued)	Shares		Value (Note 2)
Specialty Retail (cont’d.)
OfficeMax, Inc.		16,786	$	833,425
Radioshack Corp.(b)		31,760		532,933
Sherwin-Williams Co.		31,400		1,996,412
Staples, Inc.		180,000		4,806,000
Tiffany & Co.		30,300		1,188,972
TJX Cos., Inc.		122,000		3,479,440

				64,661,042

Textiles, Apparel & Luxury Goods — 0.4%
Coach, Inc.(a)		106,400		4,570,944
Jones Apparel Group, Inc.		28,000		936,040
Liz Claiborne, Inc.		26,400		1,147,344
NIKE, Inc. (Class B Stock)		47,100		4,664,313
V.F. Corp.		24,536		2,013,915

				13,332,556

Thrifts & Mortgage Finance — 1.5%
Countrywide Financial Corp.		159,498		6,770,690
Fannie Mae		250,900		14,900,951
Freddie Mac		176,900		12,011,510
MGIC Investment Corp.(b)		23,600		1,475,944
Sovereign Bancorp, Inc.		87,405		2,219,213
Washington Mutual, Inc.		246,326		11,205,370

				48,583,678

Tobacco — 1.6%
Altria Group, Inc.		536,700		46,059,594
Reynolds American, Inc.		44,400		2,906,868
UST, Inc.		42,200		2,456,040

				51,422,502

Trading Companies & Distributors
Grainger (W.W.), Inc.		20,300		1,419,782

Wireless Telecommunication Services — 1.5%
Alltel Corp.		99,200		5,999,616
Sprint Nextel Corp.		763,522		14,422,931
Verizon Communications, Inc.		748,538		27,875,555

				48,298,102

TOTAL LONG-TERM INVESTMENTS (cost $1,846,351,504)				3,247,003,171

SHORT-TERM INVESTMENTS — 11.5%
Affiliated Money Market Mutual Fund — 11.4%
Dryden Core Investment Fund —Taxable Money Market Series (includes $324,986,258 of cash collateral received for securities on loan)(Note 4)(c)(f)		377,537,575		377,537,575

	Principal Amount (000)
U. S. Government Obligation — 0.1%
United States Treasury Bills(d)(e) 4.8%, 03/15/07 (cost $3,961,026)	$	4,000		3,961,856

SEE NOTES TO FINANCIAL STATEMENTS.

B72


		*STOCK INDEX PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006


	Value (Note 2)
TOTAL SHORT-TERM INVESTMENTS (cost $381,498,601)	$	381,499,431
TOTAL INVESTMENTS — 109.7% (cost $2,227,850,105)		3,628,502,602
LIABILITIES IN EXCESS OF OTHER ASSETS(g) — (9.7)%		(322,093,626	)

NET ASSETS — 100.0%	$	3,306,408,976

(a)	Non income-producing security.

(b)	All or portion of security is on loan. The aggregate market value of such securities is $312,744,658; cash collateral of $324,986,258 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c)	Represents security, or portion thereof, purchased with cash collateral received for securities on loan.

(d)	Security segregated as collateral for futures contracts.

(e)	Rate quoted represents yield-to-maturity at purchase date.

(f)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Dryden Core Investment Fund — Taxable Money Market Series.

(g)	Liabilities in excess of other assets include net unrealized appreciation on futures contracts as follows:

Open futures contract outstanding at December 31, 2006:


Number of Contracts	Type	Expiration Date	Value at December 31, 2006		Value at Trade Date		Unrealized Appreciation
Long Position:
167	S&P 500 Index	Mar. 2007	$	59,635,700	$	59,530,462	$	105,238

SEE NOTES TO FINANCIAL STATEMENTS.

B73


		*STOCK INDEX PORTFOLIO (Continued)*

SCHEDULE OF INVESTMENTS

December 31, 2006

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2006 was as follows:


Affiliated Money Market Mutual Fund (including 9.8% of collateral received for securities on loan)	11.4	%
Oil, Gas & Consumable Fuels	8.0
Pharmaceuticals	6.3
Diversified Financial Services	5.7
Insurance	4.5
Commercial Banks	4.1
Industrial Conglomerates	4.0
Capital Markets	3.8
Computers & Peripherals	3.7
Media	3.6
Software	3.3
Communications Equipment	2.6
Healthcare Providers & Services	2.5
Aerospace/Defense	2.4
Semiconductors & Semiconductor Equipment	2.3
Food & Staples Retailing	2.2
Household Products	2.2
Beverages	2.1
Diversified Telecommunication Services	2.0
Specialty Retail	2.0
Electric Utilities	1.8
Energy Equipment & Services	1.7
Hotels, Restaurants & Leisure	1.6
Tobacco	1.6
Chemicals	1.5
Healthcare Equipment & Supplies	1.5
Thrifts & Mortgage Finance	1.5
Wireless Telecommunication Services	1.5
Machinery	1.4
Biotechnology	1.3
Internet Software & Services	1.3
Multiline Retail	1.2
IT Services	1.1


Multi-Utilities	1.1	%
Consumer Finance	1.0
Food Products	1.0
Real Estate Investment Trust	1.0
Air Freight & Logistics	0.9
Metals & Mining	0.9
Road & Rail	0.7
Household Durables	0.6
Commercial Services & Supplies	0.5
Electrical Equipment	0.5
Automobiles	0.4
Independent Power Producers & Energy Traders	0.4
Textiles, Apparel & Luxury Goods	0.4
Electronic Equipment & Instruments	0.3
Life Sciences, Tools & Services	0.3
Paper & Forest Products	0.3
Containers & Packaging	0.2
Leisure Equipment & Products	0.2
Airlines	0.1
Auto Components	0.1
Building Products	0.1
Construction & Engineering	0.1
Construction Materials	0.1
Distributors	0.1
Diversified Consumer Services	0.1
Gas Utilities	0.1
Internet & Catalog Retail	0.1
Office Electronics	0.1
Personal Products	0.1
Real Estate Management & Development	0.1
U. S. Government Obligation	0.1
Healthcare Technology	0.0
Trading Companies & Distributors	0.0

	109.7
Liabilities in excess of other assets	(9.7	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

B74

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1:

General

The Prudential Series Fund, Inc. (“Series Fund”), was a Maryland corporation, organized on November 15, 1982, and continues to be a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. On January 2, 2006, each Portfolio of the Fund changed its federal income tax status from a regulated investment company to a partnership. As a result of that conversion, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of thirty-two Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to seven Portfolios: Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, and Stock Index Portfolio.

The Portfolios of the Series Fund presented herein have the following as investment objectives:

Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio by investing in a mix of equity-related securities, debt obligations and money market instruments.

Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital by investing in intermediate and long-term debt obligations that are rated investment grade and high quality money market instruments. The types of debt obligations in which the Portfolio can invest include U.S. government securities, mortgage-related securities and corporate bonds.

Equity Portfolio: Capital appreciation by investing primarily in stocks of major, established corporations as well as small companies.

Flexible Managed Portfolio: High total return consistent with an aggressively managed diversified portfolio by investing in a mix of equity and equity-related securities, debt obligations and money market instruments.

Global Portfolio: Long-term growth of capital by investing primarily in equity and equity-related securities of foreign and U.S. companies.

Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital by investing primarily in intermediate and long-term U.S. government securities, including U.S. Treasuries and agencies and mortgage-related securities.

Stock Index Portfolio: Investment results that generally correspond to the price and yield performance of the S&P 500 Index by investing primarily in stocks in the S&P 500 Index.

The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country.

Note 2:

Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.

options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price. Prices may be obtained from independent pricing services which use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Securities for which reliable market quotations are not readily available, or whose values have been affected by events occurring after the close of the security’s foreign market and before the Series Fund’s normal pricing time, are valued at fair value in accordance with Board of Trustees’ approved fair valuation procedures. When determining the fair value of securities, some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment advisor regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values. As of December 31, 2006, Conservative Balanced and Global, held foreign securities whose value required adjustment in accordance with such procedures.

Investments in mutual funds are valued at their net asset value as of the close of the New York Stock Exchange on the date of valuation.

The Conservative Balanced and Flexible Managed Portfolios use amortized cost to value short-term securities. Short-term securities that are held in the other Portfolios which mature in more than 60 days are valued at current market quotations and those short-term securities which mature in 60 days or less are valued at amortized cost which approximates market value. The amortized cost method values a security at its cost at the time of purchase and there after assumes a constant amortization to maturity of any discount or premium.

The Diversified Bond Portfolio may hold up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Certain issues of restricted securities held by the portfolio at December 31, 2006 may include registration rights, under which the portfolios may demand registration by the issuer, of which the portfolios may bear the cost of such registration. Restricted securities, including private placements, are valued pursuant to the valuation procedures noted above.

Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Series Fund may by delayed or limited.

Foreign Currency Translation: The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i) market value of investment securities, other assets and liabilities – at the current daily rates of exchange.

(ii) purchases and sales of investment securities, income and expenses – at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on investments and foreign currencies.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios of the Series Fund may enter into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and renegotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

Short Sales: Certain portfolios of the Series Fund may sell a security it does not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

Options: The Series Fund may either purchase or write options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates or foreign currency exchange rates or currencies with respect to securities which the Series Fund currently owns or intends to purchase. The Series Fund’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Series Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Series Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Series Fund realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase in determining whether the Series Fund has realized a gain (loss). The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain (loss). Gains (losses) on purchased options are included in net realized gains (losses) on investment transactions. Gains (losses) on written options are presented separately as net realized gains (losses) on written option transactions.

The Series Fund, as writer of an option, may have no control over whether the contract may be exercised. As a result, the Series Fund bears the market risk of an unfavorable change in the price of the security underlying the written option. The Series Fund, as purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts.

Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Series Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, are made or received by the Series Fund each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain

(loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on financial futures contracts.

The Series Fund invests in financial futures contracts in order to hedge its existing portfolio securities, or securities the Series Fund intends to purchase, against fluctuations in value caused by changes in prevailing rates or market conditions. Under a variety of circumstances, the Series Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts and the underlying hedged assets.

Swap Agreements: The Portfolios may enter into interest rate swap agreements, forward swap spread lock agreements, credit default swap agreements and total return swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Interest rate swap agreements involve the exchange by the Portfolio with another party of their respective commitments to pay or receive interest. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap. The swap spread is the difference between the benchmark swap rate (market rate) and the specific Treasury rate. In a credit default swap agreement, one party (the protection buyer) makes a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default by a third party, typically corporate issues or sovereign issues of an emerging country, on its obligation. The maximum amount of the payment may equal the notional, at par, of the underlying index or security as a result of a default (or “credit event”). In addition to bearing the risk that the credit event will occur, the Portfolios could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities, or that the counterparty may default on it’s obligation to perform. Total return swap agreements are contracts in which one party agrees to make periodic payments based on the change in market value of the underlying assets, which may include a specified security, basket of securities or securities indices during the specified period, in return for periodic payments based on a fixed or variable interest rate or the total return from other underlying assets. Total return swap agreements may be used to obtain exposure to a security or market without owning or taking physical custody of such security or market. The swaps are valued daily at current market value and any change in value is included in net unrealized appreciation or depreciation on investments. Payments received or paid by the Portfolio are recorded as realized gains or losses. Risk of loss may exceed amounts recognized on the statements of assets and liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

Securities Lending: The Series Fund may lend its portfolio securities to broker-dealers. The loans are secured by collateral at least equal at all times to the market value of the securities loaned. Loans are subject to termination at the option of the borrower or the Series Fund. Upon termination of the loan, the borrower will return to the lender securities identical to the loaned securities. Should the borrower of the securities fail financially, the Series has the right to repurchase the securities using the collateral in the open market. The Series Fund recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Series Fund also continues to receive interest and dividends or amounts equivalent thereto on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date; interest income, which is comprised of four elements: stated coupon, original issue discount, market discount and market premium, is recorded on the accrual basis. Expenses are

recorded on the accrual basis. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are attributable directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income (loss) (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.

Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios are the responsibility of their partners. The Portfolios are not subject to tax. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and regulations.

Dividends and Distributions: Dividends and distributions of each Portfolio are declared in cash and automatically reinvested in additional shares of the same Portfolio. The Diversified Bond Portfolio will declare and distribute dividends from net investment income, if any, quarterly and distributions from net capital gains, if any, at least annually. All other Portfolios will declare and distribute dividends from net investment income and distributions from net capital gains, if any, at least annually. Dividends and distributions are recorded on the ex-dividend date.

Dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles.

Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

Note 3:

Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), LSV Asset Management (“LSV”), Marsico Capital Management, LLC (“Marsico”), Quantitative Management Associates LLC (“QMA”), ClearBridge Advisors LLC (“ClearBridge”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Company, L.L.C. (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Series Fund bears all other costs and expenses.

The management fee paid to PI is computed daily and payable monthly, at the annual rates specified below, of the value of each of the Portfolio’s average daily net assets.


Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%	0.55	%
Diversified Bond Portfolio	0.40	0.40
Equity Portfolio	0.45	0.45
Flexible Managed Portfolio	0.60	0.60
Global Portfolio	0.75	0.75
Government Income Portfolio	0.40	0.40
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion	0.35

At December 31, 2006 the Subadvisors that provide investment advisory services to the Portfolios are as follows. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:


Portfolio		Subadvisor(s)
Conservative Balanced Portfolio		PIM, QMA
Diversified Bond Portfolio		PIM
Equity Portfolio		Jennison, ClearBridge (Formerly Salomon)
Flexible Managed Portfolio		PIM, QMA
Global Portfolio		LSV, Marsico, T. Rowe & William Blair
Government Income Portfolio		PIM
Stock Index Portfolio		QMA

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

PI has agreed to reimburse each Portfolio (other than Global Portfolio) the portion of the management fee for that Portfolio equal to the amount that the aggregate annual ordinary operating expenses (excluding interest, taxes, and brokerage commissions) exceeded the percentage stated below, of the Portfolio’s average daily net assets.


Portfolio	Class I Expense Limit		Class II Expense Limit
Conservative Balanced Portfolio	0.75	%	N/A
Diversified Bond Portfolio	0.75		N/A
Equity Portfolio	0.75		1.15	%
Flexible Managed Portfolio	0.75		N/A
Government Income Portfolio	0.75		N/A
Stock Index Portfolio	0.75		N/A

N/A – Not applicable – There are no Class II shares outstanding for this portfolio.

PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4:

Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statements of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

PIM is the Series Fund’s security lending agent. For the year ended December 31, 2006, PIM was compensated as follows for these services by the Series Fund Portfolios:


Portfolio	PIM
Conservative Balanced Portfolio	$	111,599
Diversified Bond Portfolio		84,483
Equity Portfolio		480,394
Flexible Managed Portfolio		165,775
Global Portfolio		95,240
Government Income Portfolio		14,817
Stock Index Portfolio		154,048

For the year ended December 31, 2006, Prudential Equity Group, LLC, an indirect, wholly-owned subsidiary of Prudential, and Wachovia Securities, LLC, an affiliate of PI, earned brokerage commissions from transactions executed on behalf of the Series Fund Portfolios as follows:


Portfolio	Prudential Equity Group		Wachovia
Equity Portfolio	$	77,388	$	48,044

Certain Portfolios invest in the Taxable Money Market Series and Short-Term Bond Series (the “Portfolios”), portfolios of Dryden Core Investment Fund, pursuant to an exemptive order received from the Securities and Exchange Commission. The Portfolios are a money market mutual fund and a short term bond fund, respectively, registered under the Investment Company Act of 1940, as amended, and managed by PI.

Note 5:

Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2006 were as follows:

Cost of Purchases:


Portfolio
Conservative Balanced Portfolio	$	581,674,096
Diversified Bond Portfolio		820,395,985
Equity Portfolio		2,525,011,169
Flexible Managed Portfolio		2,372,555,167
Global Portfolio		415,180,971
Government Income Portfolio		1,800,381,464
Stock Index Portfolio		109,010,698

Proceeds from Sales:


Portfolio
Conservative Balanced Portfolio	$	787,873,804
Diversified Bond Portfolio		746,009,763
Equity Portfolio		2,817,139,158
Flexible Managed Portfolio		2,620,007,714
Global Portfolio		427,602,371
Government Income Portfolio		1,821,928,491
Stock Index Portfolio		413,875,700

The Conservative Balanced, Diversified Bond, Flexible Managed and Government Income Portfolios’ written options activity for the year ended December 31, 2006 were as follows:


Conservative Balanced Portfolio
	Contracts		Premiums
Balance as of December 31, 2005	62		$	32,695
Options written	—			—
Options terminated in closing purchase transactions	—			—
Options expired	(62	)		(32,695	)

Balance as of December 31, 2006	—		$	—


Diversified Bond Portfolio
	Contracts		Premiums
Balance as of December 31, 2005	129		$	68,013
Options written	—			—
Options terminated in closing purchase transactions	—			—
Options expired	(129	)		(68,013	)

Balance as of December 31, 2006	—		$	—


Flexible Managed Portfolio
	Contracts		Premiums
Balance as of December 31, 2005	49		$	25,846
Options written	—			—
Options terminated in closing purchase transactions	—			—
Options expired	(49	)		(25,846	)

Balance as of December 31, 2006	—		$	—


Government Income Portfolio
	Contracts		Premiums
Balance as of December 31, 2005	43		$	22,688
Options written	—			—
Options terminated in closing purchase transactions	—			—
Options expired	(43	)		(22,688	)

Balance as of December 31, 2006	—		$	—

Note 6:

Tax Information

As of January 2, 2006 all portfolios are treated as partnerships for tax purposes. The character of the cash distributions paid by the partnership are generally classified as return of capital non taxable distributions. Later in 2007 each partner will receive information regarding their distributive allocable share of the partnerships’s income, gains, losses and deductions.

Prior to January 2, 2006 each Portfolio qualified as a regulated investment company under the Internal Revenue Code and distributed all of its taxable income, including any net realized gains on investments, to shareholders. Accordingly, no provision for federal income or excise tax has been made.

Income and capital gains of the Portfolios were determined in accordance with both tax regulations and accounting principles generally accepted in the United States of America. Prior to being structured as partnerships for tax purposes such determinations may have resulted in temporary and permanent differences between tax basis earnings and earnings reported for financial statement purposes.

The tax character of distributions paid during the year ended December 31, 2005 were as follows:


Portfolio	Ordinary Income		Long-Term Capital Gains		Total Distributions
Conservative Balanced Portfolio	$	75,600,623	$	18,446,572	$	94,047,195
Diversified Bond Portfolio		66,587,402		6,446,465		73,033,867
Equity Portfolio		39,998,556		—		39,998,556
Flexible Managed Portfolio		68,680,004		—		68,680,004
Global Portfolio		4,467,100		—		4,467,100
Government Income Portfolio		18,278,784		—		18,278,784
Stock Index Portfolio		51,121,948		77,233,580		128,355,528

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value. See Note 10 below regarding “Change in Federal Income Tax Status and Related Reorganization.”

Note 7:

Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2006, the Equity Portfolio had Class II shares outstanding.

Transactions in shares of beneficial interest of the Equity Portfolio were as follows:



Equity Portfolio:
Class I	Shares		Amount
Year ended December 31, 2006:
Series shares sold	2,168,346		$	55,202,137
Series shares issued in reinvestment of dividends and distributions	1,669,920			46,000,931
Series shares repurchased	(17,323,133	)		(442,264,123	)

Net increase (decrease) in shares outstanding	(13,484,867	)	$	(341,061,055	)

Year ended December 31, 2005:
Series shares sold	2,989,262		$	68,173,944
Series shares issued in reinvestment of dividends and distributions	1,608,530			39,989,141
Series shares issued in connection with the merger	1,320,590			28,041,417
Series shares repurchased	(17,406,826	)		(396,297,859	)

Net increase (decrease) in shares outstanding	(11,488,444	)	$	(260,093,357	)


Class II	Shares		Amount
Year ended December 31, 2006:
Series shares sold	50,883		$	1,337,701
Series shares issued in reinvestment of dividends and distributions	409			11,345
Series shares repurchased	(65,345	)		(1,667,596	)

Net increase (decrease) in shares outstanding	(14,053	)	$	(318,550	)

Year ended December 31, 2005:
Series shares sold	48,657		$	1,144,258
Series shares issued in reinvestment of dividends and distributions	377			9,415
Series shares repurchased	(16,483	)		(383,800	)

Net increase (decrease) in shares outstanding	32,551		$	769,873

Note 8:

Borrowings

The Series Fund (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with two banks. The SCA provides for a commitment of $500 million. Interest on any borrowings under the SCA is incurred at contracted market rates and a commitment fee for the unused amount is accrued daily and paid quarterly. Effective October 27, 2006, the Funds renewed SCA with the banks. The commitment under the renewed SCA continues to be $500 million. The Series Fund pays a commitment fee of .07 of 1% of the unused portion of the renewed SCA. The expiration date of the renewed SCA will be October 26, 2007. For the period from October 29, 2005 through October 26, 2006, the Funds paid a commitment fee of .0725 of 1% of the unused portion of the agreement. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The Portfolios presented herein did not utilize the line of credit during the year ended December 31, 2006.

Note 9:

Ownership and Affiliates

As of December 31, 2006, all of Class I shares of each Portfolio were owned of record by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10:

Change in Federal Income Tax Status and Related Reorganization

On January 2, 2006, each portfolio of the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Each Portfolio of the Series Fund changed its federal income tax status from a regulated investment company to a partnership as a result of that conversion. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” Subsequent to January 2, 2006, each Portfolio’s income, gains, losses and credits will be allocated directly to its partners and will retain the same character for federal income tax purposes. Furthermore, subsequent to January 2, 2006 each Portfolio will not

be able to realize any future benefit from any unused capital loss carryforward and other losses (if any) deferred from each Portfolio.

The investment objectives, policies, restrictions, net asset values per share, service providers, fiscal years, and investment portfolios of the Portfolios have not changed. In addition, the Series Fund obtained opinions of counsel that the change in the tax status and the related reorganization had no adverse federal income tax consequences for the Portfolios or contract owners.

Note 11:

New Accounting Pronouncements

On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Portfolios’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. The impact of the tax positions not deemed to meet the more-likely-than-not threshold would be recorded in the year in which they arise. On December 22, 2006 the Securities and Exchange Commission delayed the effective date until June 30, 2007. At this time, management is evaluating the implications of FIN 48 and its impact, if any, in the financial statements has not yet been determined.

C10

Financial Highlights


	Conservative Balanced Portfolio
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.09		$	15.10		$	14.34		$	12.43		$	13.69

Income (Loss) From Investment Operations:
Net investment income		.48			.38			.34			.28			.34
Net realized and unrealized gains (losses) on investments		1.06			.11			.78			1.99			(1.57	)

Total from investment operations		1.54			.49			1.12			2.27			(1.23	)

Less Dividends and Distributions:
Dividends from net investment income		—			(.35	)		(.28	)		(.36	)		—
Distributions from net realized gains		—			(.15	)		(.08	)		—			(.03	)
Distributions		(.42	)		—			—			—			—

Total dividends and distributions		(.42	)		(.50	)		(.36	)		(.36	)		(.03	)

Net Asset Value, end of year	$	16.21		$	15.09		$	15.10		$	14.34		$	12.43

Total Investment Return(a)		10.44	%		3.43	%		8.04	%		18.77	%		(8.98	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,770.6		$	2,749.8		$	2,893.6		$	2,895.0		$	2,660.3
Ratios to average net assets:
Expenses		.57	%		.58	%		.59	%		.58	%		.58	%
Net investment income		2.97	%		2.45	%		2.27	%		2.02	%		2.49	%
Portfolio turnover rate		114	%		110	%		153	%		248	%		260	%

(a)

Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results.


	Diversified Bond Portfolio
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	10.96		$	11.28		$	11.17		$	10.82		$	11.36

Income From Investment Operations:
Net investment income		.57			.55			.52			.45			.57
Net realized and unrealized gains (losses) on investments		(.05	)		(.20	)		.09			.35			.17

Total from investment operations		.52			.35			.61			.80			.74

Less Dividends and Distributions:
Dividends from net investment income		—			(.59	)		(.50	)		(.45	)		(1.27	)
Distributions from net realized gains		—			(.08	)		—			—			—
Distributions		(.63	)		—			—			—			—
Tax return of capital distributions		—			—			—			—			(.01	)

Total dividends and distributions		(.63	)		(.67	)		(.50	)		(.45	)		(1.28	)

Net Asset Value, end of year	$	10.85		$	10.96		$	11.28		$	11.17		$	10.82

Total Investment Return(a)		4.98	%		3.28	%		5.59	%		7.49	%		7.07	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,150.4		$	1,230.6		$	1,283.7		$	1,418.0		$	1,370.3
Ratios to average net assets:
Expenses		.45	%		.45	%		.45	%		.44	%		.44	%
Net investment income		5.18	%		4.81	%		4.57	%		4.02	%		5.25	%
Portfolio turnover rate		393	%		278	%		382	%		706	%		595	%

(a)

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Equity Portfolio Class I
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.64		$	22.31		$	20.55		$	15.75		$	20.49

Income (Loss) From Investment Operations:
Net investment income		.30			.24			.28			.17			.17
Net realized and unrealized gain (loss) on investments		2.80			2.32			1.75			4.81			(4.75	)

Total from investment operations		3.10			2.56			2.03			4.98			(4.58	)

Less Dividends and Distributions:
Dividends from net investment income		—			(.23	)		(.27	)		(.18	)		(.16	)
Distributions		(.29	)		—			—			—			—

Total dividends and distributions		(.29	)		(.23	)		(.27	)		(.18	)		(.16	)

Net Asset Value, end of year	$	27.45		$	24.64		$	22.31		$	20.55		$	15.75

Total Investment Return(a)		12.57	%		11.47	%		9.93	%		31.65	%		(22.34	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	4,402.7		$	4,283.9		$	4,135.7		$	4,012.3		$	3,273.6
Ratios to average net assets:
Expenses		.47	%		.47	%		.48	%		.49	%		.48	%
Net investment income		1.10	%		1.01	%		1.29	%		.96	%		.88	%
Portfolio turnover rate		60	%		77	%		50	%		54	%		54	%

(a)

Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results.


	Equity Portfolio Class II
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.69		$	22.34		$	20.58		$	15.76		$	20.49

Income (Loss) From Investment Operations:
Net investment income		.19			.12			.20			.08			.09
Net realized and unrealized gain (loss) on investments		2.80			2.35			1.74			4.83			(4.72	)

Total from investment operations		2.99			2.47			1.94			4.91			(4.63	)

Less Dividends and Distributions:
Dividends from net investment income		—			(.12	)		(.18	)		(.09	)		(.10	)
Distributions		(.16	)		—			—			—			—

Total dividends and distributions		(.16	)		(.12	)		(.18	)		(.09	)		(.10	)

Net Asset Value, end of year	$	27.52		$	24.69		$	22.34		$	20.58		$	15.76

Total Investment Return(a)		12.13	%		11.04	%		9.51	%		31.11	%		(22.62	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1.9		$	2.1		$	1.1		$	0.8		$	0.4
Ratios to average net assets:
Expenses		.87	%		.87	%		.88	%		.89	%		.88	%
Net investment income		.71	%		.64	%		.91	%		.54	%		.46	%
Portfolio turnover rate		60	%		77	%		50	%		54	%		54	%

(a)

Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Flexible Managed Portfolio
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	16.92		$	16.58		$	15.19		$	12.55		$	14.79

Income (loss) From Investment Operations:
Net investment income		.44			.32			.29			.22			.27
Net realized and unrealized gain (loss) on investments		1.59			.34			1.32			2.70			(2.10	)

Total from investment operations		2.03			.66			1.61			2.92			(1.83	)

Less Dividends and Distributions:
Dividends from net investment income		—			(.32	)		(.22	)		(.28	)		(.41	)
Distributions		(.59	)		—			—			—			—

Total dividends and distributions		(.59	)		(.32	)		(.22	)		(.28	)		(.41	)

Net Asset Value, end of year	$	18.36		$	16.92		$	16.58		$	15.19		$	12.55

Total Investment Return(a)		12.17	%		4.16	%		10.74	%		23.76	%		(12.74	)%
Ratios/Supplemental Data:
Net assets, end of year (000,000)	$	3,723.6		$	3,543.9		$	3,883.5		$	3,693.6		$	3,181.0
Ratios to average net assets:
Expenses		.62	%		.63	%		.62	%		.62	%		.63	%
Net investment income		2.48	%		1.95	%		1.83	%		1.55	%		1.92	%
Portfolio turnover rate		153	%		126	%		150	%		204	%		238	%

(a)

(b)	Calculated based upon average shares outstanding during the year.


	Global Portfolio
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	18.96		$	16.43		$	15.14		$	11.35		$	15.29

Income (Loss) From Investment Operations:
Net investment income		.26			.13			.11			.10			.07
Net realized and unrealized gain (loss) on investments		3.44			2.50			1.33			3.74			(3.87	)

Total from investment operations		3.70			2.63			1.44			3.84			(3.80	)

Less Dividends and Distributions:
Dividends from net investment income		—			(.10	)		(.15	)		(.05	)		(.14	)
Distributions		(.13	)		—			—			—			—

Total dividends and distributions		(.13	)		(.10	)		(.15	)		(.05	)		(.14	)

Net Asset Value, end of year	$	22.53		$	18.96		$	16.43		$	15.14		$	11.35

Total Investment Return(a)		19.65	%		16.06	%		9.59	%		34.07	%		(25.14	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	932.9		$	814.1		$	691.1		$	665.6		$	514.9
Ratios to average net assets:
Expenses		.84	%		.82	%		.84	%		.87	%		.82	%
Net investment income		1.24	%		.77	%		.67	%		.78	%		.47	%
Portfolio turnover rate		50	%		155	%		128	%		88	%		75	%

(a)

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Government Income Portfolio
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.40		$	11.65		$	11.92		$	12.50		$	12.26

Income from investment operations:
Net investment income		.54			.49			.49			.46			.38
Net realized and unrealized gain (loss) on investments		(.13	)		(.20	)		(.13	)		(.15	)		1.00

Total from investment operations		.41			.29			.36			.31			1.38

Less Dividends and Distributions:
Dividends from net investment income		—			(.54	)		(.44	)		(.46	)		(1.06	)
Distributions from net realized gains		—			—			(.19	)		(.43	)		(.08	)
Distributions		(.55	)		—			—			—			—

Total dividends and distributions		(.55	)		(.54	)		(.63	)		(.89	)		(1.14	)

Net Asset Value, end of year	$	11.26		$	11.40		$	11.65		$	11.92		$	12.50

Total Investment Return(a)		3.74	%		2.51	%		3.12	%		2.46	%		12.05	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	354.3		$	378.2		$	420.2		$	461.5		$	484.3
Ratios to average net assets:
Expenses		.50	%		.47	%		.47	%		.46	%		.44	%
Net investment income		4.75	%		4.16	%		4.07	%		3.76	%		4.29	%
Portfolio turnover rate		734	%		507	%		617	%		695	%		508	%

(a)

Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of each year reported and includes reinvestment of dividends and distributions. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and /or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results.


	Stock Index Portfolio
	Year Ended December 31,
	2006			2005			2004			2003			2002
Per Share Operating Performance:
Net Asset Value, beginning of year	$	31.41		$	31.29		$	29.29		$	24.09		$	31.64

Income (Loss) From Investment Operations:
Net investment income		.56			.48			.50			.36			.37
Net realized and unrealized gain (loss) on investments		4.31			.88			2.50			6.14			(7.34	)

Total from investment operations		4.87			1.36			3.00			6.50			(6.97	)

Less Dividends and Distributions:
Dividends from net investment income		—			(.47	)		(.49	)		(.37	)		(.36	)
Distributions from net realized gains		—			(.77	)		(.51	)		(.93	)		(.22	)
Distributions		(.64	)		—			—			—			—

Total dividends and distributions		(.64	)		(1.24	)		(1.00	)		(1.30	)		(.58	)

Net Asset Value, end of year	$	35.64		$	31.41		$	31.29		$	29.29		$	24.09

Total Investment Return(a)		15.54	%		4.54	%		10.45	%		28.18	%		(22.19	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,306.4		$	3,212.7		$	3,094.7		$	2,940.9		$	2,352.3
Ratios to average net assets:
Expenses		.37	%		.38	%		.38	%		.37	%		.37	%
Net investment income		1.61	%		1.52	%		1.64	%		1.42	%		1.25	%
Portfolio turnover rate		3	%		7	%		3	%		2	%		4	%

(a)

SEE NOTES TO FINANCIAL STATEMENTS.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS OF THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio (each a portfolio of The Prudential Series Fund, hereafter referred to as the “Funds”), including the portfolios of investments, as of December 31, 2006, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the years presented prior to the year ended December 31, 2004, were audited by another independent registered public accounting firm whose report dated February 13, 2004, expressed an unqualified opinion thereon.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio as of December 31, 2006, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 19, 2007

MANAGEMENT OF THE FUND

(Unaudited)

Information pertaining to the Trustees of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund as defined in the Investment Company Act are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” “Fund Complex” consists of the Fund and any other investment companies managed by PI.


Name, Address**, and Age	Position with Fund* Term of Office*** Length of Time Served	Number of Portfolios In Fund Complex Overseen by Trustee	Other Directorships Held by the Trustee****

Saul K. Fenster, Ph.D. (73)	Trustee, Since 1983	77	Member (since 2006), Board of The Ridgefield Foundation and The Leir Foundation.

Principal Occupations During Past 5 Years – Currently President Emeritus of New Jersey Institute of Technology (since 2002); formerly President (1978-2002) of New Jersey Institute of Technology; Commissioner (1998-2002) of the Middle States Association Commission on Higher Education; Commissioner (1985-2002) of the New Jersey Commission on Science and Technology; formerly Director (1998-2005) of Society of Manufacturing Engineering Education Foundation; formerly Director of Prosperity New Jersey; formerly a director or trustee of Liberty Science Center, Research and Development Council of New Jersey, New Jersey State Chamber of Commerce, and National Action Council for Minorities in Engineering.

Delayne Dedrick Gold (68)	Trustee, Since 2001	76	—

Principal Occupations During Past 5 Years – Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.

W. Scott McDonald, Jr. (69)	Vice Chairman and Trustee, Since 1983	77	—

Principal Occupations During Past 5 Years – Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); Formerly principal (1995-1997), Scott McDonald & Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.

Thomas T. Mooney (65)	Chairman and Trustee, Since 2001	76	—

Principal Occupations During Past 5 Years – Chief Executive Officer, Excell Partners, Inc.; formerly President of the Greater Rochester Metro Chamber of Commerce, Rochester City Manager; formerly Deputy Monroe County Executive.

Thomas M. O’Brien (56)	Trustee, Since 2003	76	Formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; Formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (since November 2006) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.

Principal Occupations During Past 5 Years – President and COO (since November 2006) of State Bancorp, Inc. and State Bank; Vice Chairman (January 1997-April 2000) of North Fork Bank; President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.

John A. Pileski (67)	Trustee, Since 2003	76	Director (since April 2001) of New York Community Bank. Director (since May 1980) of Surf Club of Quogue, Inc.

Principal Occupations During Past 5 Years – Retired since June 2000; Tax Partner (July 1974-June 2000) of KPMG, LLP.

F. Don Schwartz (71)	Trustee, Since 2003	76	—

Principal Occupations During Past 5 Years – Management Consultant (since April 1985).



Interested Trustees
Name, Address**, and Age	Position with Fund* Term of Office*** Length of Time Served	Number of Portfolios In Fund Complex Overseen by Trustee	Other Directorships Held by the Trustee****

*David R. Odenath (49)	President and Trustee Since 1999	76	—

Principal Occupations During Past 5 Years – President of Prudential Annuities (since August 2002); Senior Vice President (since June 1999) of Prudential; Executive Vice President (since May 2003) of Prudential Investment Management Services LLC; President, Chief Executive Officer, Chief Operating Officer, Officer in Charge and Director (since June 2005) of American Skandia Investment Services, Inc; Formerly President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (September 1999-February 2003) of Prudential Investments LLC.

*Robert F. Gunia (60)	Vice President and Trustee since 2001	154	Vice President and Director (since May 1989) and Treasurer (since 1999) of The Asia Pacific Fund, Inc.;

Principal Occupations During Past 5 Years – Chief Administrative Officer (since September 1999) and Executive Vice President (since December 1996) of Prudential Investments LLC; President (since April 1999) of Prudential Investment Management Services LLC; Executive Vice President (since March 1999) and Treasurer (since May 2000) of Prudential Mutual Fund Services LLC; Chief Administrative Officer, Executive Vice President and Director (since May 2003) of American Skandia Investment Services, Inc.



Officers
Name, Address**, and Age	Position with Fund* Term of Office*** Length of Time Served	Principal Occupations During Past 5 Years

Grace C. Torres (47)	Treasurer and Principal Financial and Accounting Officer Since 1997	Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of American Skandia Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of American Skandia Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of American Skandia Investment Services, Inc.

Kathryn L. Quirk (54)	Chief Legal Officer Since 2005	Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of Prudential Investments LLC and Prudential Mutual Fund Services LLC; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.

Deborah A. Docs (49)	Secretary Since 2005	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of American Skandia Investment Services, Inc.

Jonathan D. Shain (48)	Assistant Secretary Since 2005	Vice President and Corporate Counsel (since August 1998) of Prudential Insurance; Vice President and Assistant Secretary (since May 2003) of American Skandia Investment Services, Inc. and American Skandia Fund Services, Inc.; formerly Attorney with Fleet Bank, N.A. (January 1997-July 1998).

Claudia DiGiacomo (32)	Assistant Secretary Since 2005	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).

John P. Schwartz (35)	Assistant Secretary Since 2006	Vice President and Corporate Counsel (since April 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1997-2005).

Lee D. Augsburger (47)	Chief Compliance Officer Since 2004	Senior Vice President and Chief Compliance Officer (since April 2003) of PI; Vice President (since November 2000) and Chief Compliance Officer (since October 2000) of Prudential Investment Management, Inc.; Chief Compliance Officer and Senior Vice President (since May 2003) of American Skandia Investment Services, Inc.

Valerie M. Simpson (48)	Deputy Chief Compliance Officer	Vice President and Senior Compliance Officer (since March 2006) of PI; Vice President – Financial Reporting (since March 2006) for Prudential Life and Annuities Finance.


Name, Address**, and Age	Position with Fund* Term of Office*** Length of Time Served	Principal Occupations During Past 5 Years

M. Sadiq Peshimam (43)	Assistant Treasurer Since 2006	Vice President (since 2005) and Director (2000-2005) within Prudential Mutual Fund Administration.

Jack Benintende (42)	Assistant Treasurer Since 2006	Vice President (since June 2000) within Prudential Mutual Fund Administration; formerly Senior Manager within the investment management practice of PricewaterhouseCoopers LLP (May 1994-June 2000).

Alan Fu (50)	Assistant Treasurer Since 2006	Vice President – Tax, The Prudential Insurance Company of America (1999-October 2003); Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).

Andrew French (44)	Assistant Secretary Since 2006	Director and Corporate Counsel (since May 2006) of Prudential; formerly Senior Legal Analyst of Prudential Mutual Fund Law Department (1997-2006).

Noreen M. Fierro (42)	Anti-Money Laundering Compliance Officer Since 2006	Vice President, Corporate Compliance Officer (since May 2006) of Prudential; formerly Corporate Vice President, Associate General Counsel (April 2002-May 2005) of UBS Financial Services, Inc., in their Money Laundering Prevention Group; Senior Manager (May 2005-May 2006) of Deloitte Financial Advisory Services, LLP, in their Forensic and Dispute Services, Anti-Money Laundering Group.

* “Interested” Trustee, as defined in the Investment Company Act, by reason of employment with the Manager (as defined below), and/or the Distributor (as defined below).

** Unless otherwise noted, the address of the Trustees and Officers is c/o: Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

*** There is no set term of office for Trustees and Officers.

**** This column includes only directorships of companies required to register, or file reports with the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Investment Company Act.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. The phone lines are open each business day during the hours shown. Please be sure to have your contract number available when you call.

LOGO

In the past, participants who held several variable contracts at the same address received multiple copies of annual and semiannual reports. In an effort to lessen waste and reduce expenses of postage and printing, we will attempt to mail only one copy of this report, based on our current records for participants with the same last name and same address. No action on your part is necessary. Upon request, we will furnish you with additional reports. The toll-free number listed on the inside back cover should be used to request additional copies. Proxy material and tax information will continue to be sent for each account of record.

The Prudential Insurance Company of America

751 Broad Street

Newark NJ 07102-3777

LOGO

Presorted

Standard

U.S. Postage

PAID

Prudential

IFS-A114833 MD.RS.011 Ed. 02/2007

LOGO

Item 2 –

Code of Ethics – – See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the "Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers") that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant's Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 –

Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. David E. A. Carson, member of the Board's Audit Committee is an "audit committee financial expert," and that he is "independent," for purposes of this Item.

Item 4 –

Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal years ended December 31, 2006 and December 31, 2005, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $13,400 and $13,400, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

None.

(d) All Other Fees

None.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

•

a review of the nature of the professional services expected to be provided,

•

a review of the safeguards put into place by the accounting firm to safeguard independence, and

•

periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

•

Annual Fund financial statement audits

•

Seed audits (related to new product filings, as required)

•

SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

•

Accounting consultations

•

Fund merger support services

•

Agreed Upon Procedure Reports

•

Attestation Reports

•

Other Internal Control Reports

Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

•

Tax compliance services related to the filing or amendment of the following:

•

Federal, state and local income tax compliance; and,

•

Sales and use tax compliance

•

Timely RIC qualification reviews

•

Tax distribution analysis and planning

•

Tax authority examination services

•

Tax appeals support services

•

Accounting methods studies

•

Fund merger support services

•

Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Other Non-audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

•

Bookkeeping or other services related to the accounting records or financial statements of the Fund

•

Financial information systems design and implementation

•

Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

•

Actuarial services

•

Internal audit outsourcing services

•

Management functions or human resources

•

Broker or dealer, investment adviser, or investment banking services

•

Legal services and expert services unrelated to the audit

•

Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

(e) (2) Percentage of services referred to in 4(b)- (4)(d) that were approved by the audit committee –

Not applicable.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

Not applicable.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2006 and 2005. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2006 and 2005 was $317,300 and $51,000, respectively.

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5 –

Audit Committee of Listed Registrants – Not applicable.

Item 6 –

Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 –

Submission of Matters to a Vote of Security Holders – Not applicable.

Item 11 –

Controls and Procedures

(a)

It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b)

There has been no significant change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant's internal control over financial reporting.

Item 12 –

Exhibits

(a)(1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

(3) Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

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


(Registrant)		The Prudential Variable Account Contract-11



By (Signature and Title)*		/s/ Deborah A. Docs
		Deborah A. Docs
		Secretary



Date		February 23, 2007

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


By (Signature and Title)*		/s/ Judy A. Rice
		Judy A. Rice
		President and Principal Executive Officer



Date		February 23, 2007


By (Signature and Title)*		/s/ Grace C. Torres
		Grace C. Torres
		Treasurer and Principal Financial Officer



Date		February 23, 2007

^*	Print the name and title of each signing officer under his or her signature.

Prudential Variable Contract Account 11 N-CSRCertified annual shareholder report (management investment company)