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

Prudential Variable Contract Account 11 N-CSRCertified 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:		12/31/2011

Date of reporting period:		12/31/2011

Item 1 – Reports to Stockholders

LOGO

The MEDLEY Program

ANNUAL REPORT Ÿ DECEMBER 31, 2011

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) (Collectively known as the “Accounts”) 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 is distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, Three Gateway Center, 14th Floor, Newark, NJ 07102-4077. Both are Prudential Financial companies.

All are Prudential Financial companies and each is solely responsible for its financial condition and contractual obligations.

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 includes the financial statements of VCA-10, VCA-11, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-24.

This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements, 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 each Account’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call 800-458-6333 to obtain a description of the Account’s proxy voting policies and procedures. Information regarding how the Account’s voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on the Account’s website.

The Account’s Statement of Additional Information contains additional information about the Accounts’ Committee Members and is available without charge upon request by calling 800-458-6333.

Each Account 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 800-458-6333.

The Prudential MEDLEY Program

Table of Contents

Annual Report

December 31, 2011

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

The Prudential MEDLEY Program

Letter to Participants

December 31, 2011

DEAR PARTICIPANT:

After an extraordinary career at Prudential, Judy Rice retired at the end of 2011 as President of Prudential Investments and President and Committee Member of The Prudential Variable Contract Accounts 10 & 11. While she will remain as Chairman of Prudential Investments until the end of 2012, I was named to succeed her as President and Committee Member of The Prudential Variable Contract Accounts 10 & 11 effective January 1, 2012. I previously served as Executive Vice President of Retail Mutual Fund Distribution for Prudential Investments for the past six years.

Since this is my first letter to shareholders, I would like to recognize Judy for the significant contributions she made in building the Prudential Investments fund family and her unflagging commitment to helping investors meet the challenges of a rapidly changing investment environment. My goal is to build on Judy’s accomplishments, with a particular focus on delivering the solutions you need to address your financial goals.

I hope you find this annual report for the Prudential Variable Contract Accounts 10 & 11 informative. We recognize that ongoing market volatility may make it a difficult time for investors. We continue to believe a prudent response to uncertainty is to maintain a diversified portfolio, including investment funds consistent with your tolerance for risk, time horizon, and financial goals. Keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets. We encourage you to call your financial professional before making any investment decision.

Sincerely,

Stuart Parker

President,

The Prudential Variable Contract Accounts 10 & 11

January 31, 2012

Prudential Variable Contract Account-10 (VCA-10) & Variable Contract

Account-24 (VCA-24)

Presentation of Portfolio Holdings — unaudited

December 31, 2011


Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	1.9%
Apple, Inc.	1.8%
International Business Machines Corp.	1.0%
Chevron Corp.	1.0%
Microsoft Corp.	0.9%


Diversified Bond
Allocation	(% of Net Assets	)
Corporate Bonds	44.7%
Commercial Mortgage-Backed Securities	17.9%
Non-Residential Mortgage-Backed Securities	7.8%
Mortgage-Backed Securities	7.2%
Residential Mortgage-Backed Securities	4.0%


Equity
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.4%
Anadarko Petroleum Corp.	2.4%
American Express Co.	2.2%
National Oilwell Varco, Inc.	2.2%
Google, Inc. (Class A Stock)	1.9%


Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.4%
Exxon Mobil Corp.	2.4%
Chevron Corp.	1.6%
Microsoft Corp.	1.3%
AT&T, Inc.	1.3%


Global
Top Five Countries	(% of Net Assets	)
United States	46.9%
United Kingdom	13.5%
Japan	6.5%
France	5.0%
Germany	4.7%


Government Income
Allocation	(% of Net Assets	)
Mortgage-Backed Securities	41.3%
U.S. Treasury Securities	41.3%
Commercial Mortgage-Backed Securities	10.5%
Collateralized Mortgage Obligations	1.9%
U.S. Government Agency Obligations	1.8%


Stock Index
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	3.5%
Apple, Inc.	3.2%
International Business Machines Corp.	1.9%
Chevron Corp.	1.8%
Microsoft Corp.	1.7%


VCA-10
Five Largest Holdings	(% of Net Assets	)
Wells Fargo & Co.	2.3%
Noble Energy, Inc.	2.2%
Smithfield Foods, Inc.	2.2%
Anadarko Petroleum Corp.	2.2%
Occidental Petroleum Corp.	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		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year			Since Inception
Capital Growth Account (VCA-10)¹—Standard Contract		-7.41	%		-1.95	%		3.55	%		N/A
Capital Growth Account (VCA-10)¹—0.50% Contract		-6.95			-1.46			4.07			N/A
Capital Growth Account (VCA-10)¹—0.45% Contract		N/A			N/A			N/A			-12.70	%
S&P 500 Index		2.09			-0.25			2.92			-3.61

Past performance does not guarantee future returns. Account performance is net of investment fees and fund expenses. 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.

0.45% Contract inception: 4/1/2011. Unless noted otherwise, Index since inception returns reflect performance beginning the closest month-end date to the Account’s inception of the 0.45% contract.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2011, the value of the standard contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) declined 7.41%, and the value of a contract with annual expenses of 0.50% declined 6.95%. Since inception on April 1, 2011 through December 31, 2011, the value of a contract with annual expenses of 0.45% declined 12.70%.

The Account’s investment object is long-term growth of capital. It is subadvised by Jennison Associates LLC.

On the back of solid fourth quarter performance, U.S. equity markets, as measured by the broad market indexes, eked out a positive return for 2011. The S&P 500 Index (the Index) rose 2.09% for the year, as seven out of the 10 major sectors in the index advanced. The exceptions were financials, materials, and industrials. There was however, significant disparity among sector performance, with utilities climbing nearly 20% and financials losing more than 16%. The Account posted a loss and underperformed the index. Stock selection proved detrimental in most sectors, but especially in energy, telecommunications services, materials, and information technology.

Some key detractors were in the financials sector. Concerns about potential litigation against Goldman Sachs related to allegations it misled clients by not disclosing its proprietary interest in certain collateralized debt transactions weighed on its share price. More recently an unexpectedly large loss in its Investing and Lending Segment and S&P’s downgrade of Goldman’s credit rating caused investor unease. Jennison continues to view Goldman as best in class and offers a compelling risk/reward opportunity amid a lackluster financial market landscape at its current valuation. Morgan Stanley was also a key detractor.

Other major detractors were in the materials sector. A strengthening dollar hurt gold mining stocks in general especially toward the end of the period and Freeport-McMoRan and Kinross declined in tandem. Jennison continues to like Freeport for its strong management team that has executed well operationally throughout the ups and downs of volatile commodity markets, as well as Kinross for its diverse production base.

Within telecommunications services, NII Holdings suffered outsized losses primarily due to fears of increasing competition in Brazil, one of its key markets, and also from ambiguity over its 3G rollout. Jennison is following recent competitive developments closely, and likes NII’s continued strong growth, and very capable management.

Notable contributors came from a variety of different sectors, led by information technology stock IAC/InterActive. The internet company has surpassed consensus expectations on a fairly regular basis and enjoyed faster growth than industry peers. Shares of consumer discretionary position H&R Block appreciated considerably earlier in the year, primarily on solid trends during tax season. Healthcare positions Pfizer and Shire, as well as Smithfield Foods from the consumer staples sector rounded out the Account’s key contributors.

The Account no longer holds positions in IAC/Interactive and H&R Block.

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

The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-10 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-10 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-10 contracts with reduced expenses will be higher than the performance of the standard VCA-10 contract. All total returns are for the periods indicated and are calculated based on changes in unit values.

The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to differences in the fee structure. All the Contracts include total annual expenses (as a percentage of net assets) of 1.00%, 0.50%, and 0.45%, respectively, which are reflected in the performance.

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.

Jennison Associates LLC is a registered investment advisor and Prudential Financial company.

FINANCIAL STATEMENTS OF

VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2011


LONG-TERM INVESTMENTS — 100.0%
COMMON STOCKS — 97.2%	Shares		Value (Note 2)
Aerospace & Defense — 4.0%
Boeing Co. (The)		18,345	$	1,345,606
Northrop Grumman Corp.		47,516		2,778,736
Precision Castparts Corp.		13,330		2,196,651

				6,320,993

Airlines — 1.5%
United Continental Holdings, Inc.(a)		120,497		2,273,778

Auto Components — 1.9%
Lear Corp.		74,201		2,953,200

Automobiles — 1.1%
General Motors Corp.(a)		82,489		1,672,052

Biotechnology — 1.4%
Celgene Corp.(a)		32,660		2,207,816

Capital Markets — 4.8%
Bank of New York Mellon Corp. (The)		74,244		1,478,198
Goldman, Sachs Group, Inc. (The)		24,364		2,203,237
Lazard Ltd. Cl. A		51,193		1,336,649
Morgan Stanley		167,573		2,535,379

				7,553,463

Chemicals — 4.5%
El du Pont de Nemours & Co.		21,329		976,442
Monsanto Co.		43,762		3,066,403
Mosaic Co. (The)		59,811		3,016,269

				7,059,114

Commercial Banks — 3.8%
PNC Financial Services Group, Inc.		41,569		2,397,284
Wells Fargo & Co.		130,496		3,596,470

				5,993,754

Communications Equipment — 1.0%
QUALCOMM, Inc.		28,936		1,582,799

Computers & Peripherals — 2.1%
Apple, Inc.(a)		8,032		3,252,960

Diversified Financial Services — 3.3%
Citigroup, Inc.		76,149		2,003,480
JPMorgan Chase & Co.		92,631		3,079,981

				5,083,461

Electronic Equipment & Instruments — 1.9%
Flextronics International, Ltd.(a)		528,445		2,990,999

Electronic Utilities — 1.4%
Exelon Corp.		51,708		2,242,576

Energy Equipment & Services — 3.1%
Halliburton Co.		65,330		2,254,538
National Oilwell Varco, Inc.		37,056		2,519,437

				4,773,975

Food & Staples Retailing — 1.5%
Wal-Mart Stores, Inc.		40,473		2,418,666



COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products — 7.7%
Bunge, Ltd.		56,736	$	3,245,299
Kraft Foods, Inc.		70,501		2,633,917
Smithfield Foods, Inc.(a)		143,736		3,489,910
Tyson Foods, Inc. Cl. A		132,564		2,736,121

				12,105,247

Hotels, Restaurants & Leisure — 1.8%
International Game Technology		165,803		2,851,812


Independent Power Producers & Energy Traders — 2.0%
Calpine Corp.(a)		187,311		3,058,789

Insurance — 2.5%
Arch Capital Group, Ltd.(a)		35,975		1,339,349
MetLife, Inc.		84,262		2,627,289

				3,966,638

Internet Software & Services — 3.0%
Baidu, Inc.(a) ADR (China)		19,148		2,230,168
Google, Inc. Cl. A(a)		3,804		2,457,004

				4,687,172

IT Services — 1.5%
Mastercard Inc.		6,084		2,268,237

Machinery — 1.3%
Ingersoll-Rand PLC		69,029		2,103,314

Media — 5.4%
Comcast Corp.		134,654		3,192,646
Liberty Global, Inc. Ser. C(a)		61,134		2,416,016
Viacom, Inc.		63,233		2,871,410

				8,480,072

Metals & Mining — 3.6%
Freeport-McMoRan Copper & Gold, Inc.		56,594		2,082,093
Goldcorp, Inc.		38,332		1,696,191
Kinross Gold Corp.		163,324		1,861,894

				5,640,178

Oil, Gas & Consumable Fuels — 13.6%
Anadarko Petroleum Corp.		44,444		3,392,411
Hess Corp.		36,731		2,086,321
Marathon Oil Corp.		91,328		2,673,171
Marathon Petroleum Corp.		55,309		1,841,237
Noble Energy, Inc.		37,164		3,507,910
Occidental Petroleum Corp.		34,921		3,272,098
Suncor Energy, Inc.		85,052		2,452,049
Trident Resources Corp.CVR, Private Placement (original cost $1,639,692; purchased 6/30/2010)(a)(b)(c)		4,067		2,004,064

				21,229,261

Pharmaceuticals — 6.3%
Allergan, Inc.		25,418		2,230,175
Pfizer, Inc.		139,387		3,016,335
Sanofi ADR (France)		49,048		1,792,214
Shire PLC ADR (Ireland)		26,207		2,722,907

				9,761,631

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF

VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2011


COMMON STOCKS (continued)	Shares		Value (Note 2)
Road & Rail — 0.3%
Union Pacific Corp.		3,776	$	400,029

Semiconductors & Semiconductor Equipment — 1.1%
Maxim Integrated Products, Inc.		64,449		1,678,252

Software — 2.6%
Oracle Corp.		86,556		2,220,161
Salesforce.com, Inc.(a)		18,833		1,910,796

				4,130,957

Specialty Retail — 1.4%
Staples, Inc.		161,032		2,236,734

Textiles, Apparel & Luxury Goods — 2.3%
Lululemon Athletica Inc.(a)		33,725		1,573,608
Ralph Lauren Corp.		14,163		1,955,627

				3,529,235

Wireless Telecommunication Services — 3.5%
MetroPCS Communications, Inc.(a)		309,301		2,684,733
NII Holdings, Inc.(a)		127,827		2,722,715

				5,407,448

TOTAL COMMON STOCKS (Cost: $137,596,597)				151,914,612

RIGHT
	Units
Oil, Gas & Consumable Fuels
Trident Resources Corp. CVR, Private Placement, expiring 6/30/2015(a)(b)(c) (Cost: $0; purchase date 6/30/2010)		1,512		—

TOTAL LONG-TERM INVESTMENTS (Cost: $137,596,597)			$	151,914,612


SHORT-TERM INVESTMENTS — 2.8%
	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund(d) (Cost: $4,340,497)		4,340,497	$	4,340,497

TOTAL INVESTMENTS — 100.0% (Cost: $141,937,094)			$	156,255,109

LIABILITIES LESS, OTHER ASSETS
Dividends Receivable			$	114,079
Receivable for Securities Sold				41,902
Payable for Securities Purchased				(47,304	)
Payable for Pending Capital Transactions				(140,233	)

LIABILITIES IN EXCESS OF OTHER ASSETS				(31,556	)

NET ASSETS — 100%			$	156,223,553

NET ASSETS, representing:
Equity of Participants			$	156,211,816
Equity of The Prudential Insurance Company of America				11,737

			$	156,223,553

(a)	Non-income producing security.

(b)	Indicates an illiquid security.

(c)	Indicates a security restricted to resale. The aggregate cost of such securities is $1,639,692. The aggregate value of $2,004,064 is approximately 1.4% of net assets.

(d)	Prudential Investments LLC, the Manager of the Fund, also serves as Manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.


ADR		American Depository Receipt

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF

VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2011

Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—quoted

prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other

significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—significant

unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


Investments in Securities	Level 1		Level 2		Level 3
Common Stocks	$	149,910,548	$	—	$	2,004,064
Right		—		—		—
Affiliated Mutual Funds		4,340,497		—		—

Total	$	154,251,045	$	—	$	2,004,064

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:


	Common Stock
Balance as of 12/31/2010	$	2,265,850
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		(261,786	)
Purchases		—
Sales		—
Accrued discount/premium		—
Transfers into Level 3		—
Transfers out of Level 3		—

Balance as of 12/31/2011	$	2,004,064

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:


Oil, Gas & Consumable Fuels	13.6	%
Food Products	7.7
Pharmaceuticals	6.3
Media	5.4
Capital Markets	4.8
Chemicals	4.5
Aerospace and Defense	4.0
Commercial Banks	3.8
Metals & Mining	3.6
Wireless Telecommunication Services	3.5
Diversified Financial Services	3.3
Energy Equipment & Services	3.1
Internet Software & Services	3.0
Affiliated Money Market Mutual Fund	2.8
Software	2.6
Insurance	2.5
Textiles, Apparel & Luxury Goods	2.3
Computers and Peripherals	2.1
Independent Power Producers & Energy Traders	2.0
Auto Components	1.9
Electronic Equipment & Instruments	1.9
Hotels, Restaurants & Leisure	1.8
Airlines	1.5

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF
VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2011


Food & Staples Retailing	1.5	%
IT Services	1.5
Specialty Retail	1.4
Electronic Utilities	1.4
Biotechnology	1.4
Machinery	1.3
Semiconductors & Semiconductor Equipment	1.1
Automobiles	1.1
Communications Equipment	1.0
Road & Rail	0.3

	100.0
Liabilities in excess of other assets	0.0	*

	100.0	%

*	Less than 0.005%.

The Account invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are commodity risk, credit risk, equity risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Account’s financial position and financial performance as reflected in the Statement of Net Assets and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Net Assets:

Derivatives not designated as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Equity contracts

Unaffiliated investments

—

*	Includes one security with a fair value of $0.

For the year ended December 31, 2011, the Account did not have any realized gain or (loss) on derivatives recognized in income.

For the year ended December 31, 2011, the Account did not have any unrealized appreciation or (depreciation) on derivatives recognized in income.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF

VCA-10


		*STATEMENT OF OPERATIONS*

Year Ended December 31, 2011



INVESTMENT INCOME
Unaffiliated Dividend Income (net of $1,502 foreign withholding tax)	$	2,537,520
Affiliated Dividend Income		3,825
Total Income		2,541,345
EXPENSES
Fees Charged to Participants for Investment Management Services		(442,929	)
Fees Charged to Participants for Administrative Expenses		(1,270,222	)
Total Expenses .		(1,713,151	)
NET INVESTMENT INCOME		828,194
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions		13,028,100
Net Change in Unrealized Appreciation (Depreciation) on Investments		(26,495,327	)
NET LOSS ON INVESTMENTS		(13,467,227	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(12,639,033	)


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2011			2010
OPERATIONS
Net Investment Income	$	828,194		$	1,233,529
Net Realized Gain on Investment Transactions		13,028,100			8,983,601
Net Change In Unrealized Appreciation (Depreciation) on Investments		(26,495,327	)		8,941,510
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(12,639,033	)		19,158,640
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		17,515,149			4,853,154
Withdrawals and Transfers Out		(34,097,838	)		(20,614,741	)
Annual Account Charges Deducted from Participants’ Accounts		(24,271	)		(25,734	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(16,606,960	)		(15,787,321	)
NET INCREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		68,084			10,771
TOTAL INCREASE (DECREASE) IN NET ASSETS		(29,177,909	)		3,382,090
NET ASSETS
Beginning of year		185,401,462			182,019,372
End of year	$	156,223,553		$	185,401,462


Accumulation Unit Values and Equity Of Participants as of December 31, 2011
Standard Contract:
Accumulation Unit Value and Equity Of Participants, $144,013,394 / 15,386,298 outstanding Accumulation Units	$	9.3598

0.50% Contract:
Accumulation Unit Value and Equity Of Participants, $2,070,165 / 204,673 outstanding Accumulation Units	$	10.1145

0.45% Contract:
Accumulation Unit Value and Equity Of Participants, $10,128,257 / 1,000,911 outstanding Accumulation Units	$	10.1190

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR

VCA-10


		INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the period)


	Period Ended December 31, 2011
	Standard Contract			0.50% Contract			0.45% Contract†
Investment Income	$	.1448		$	.1559		$	.1203
Expenses
Investment management fee		(.0250	)		(.0270	)		(.0200	)
Administrative expenses		(.0749	)		(.0270	)		(.0160	)
Net Investment Income		.0449			.1019			.0843
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		(.7945	)		(.8579	)		(1.5558	)
Net Increase (Decrease) in Accumulation Unit Value		(.7496	)		(.7560	)		(1.4715	)
Accumulation Unit Value
Beginning of period		10.1094			10.8705			11.5905
End of period	$	9.3598		$	10.1145		$	10.1190
Total Return**		(7.41	%)		(6.95	%)		(12.70	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%††
Ratio of Net Investment Income To Average Net Assets***		.44	%		.94	%		1.03	%††
Portfolio Turnover Rate		56	%		56	%		56	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		15,386			205			1,001

†	Inception Date — April 1, 2011.

††	Annualized.


	Year Ended December 31,
	2010			2009			2008			2007
Investment Income	$	.1531		$	.1215		$	.1628		$	.1753
Expenses
Investment management fee		(.0227	)		(.0186	)		(.0226	)		(.0274	)
Administrative expenses		(.0678	)		(.0557	)		(.0677	)		(.0821	)
Net Investment Income		.0626			.0472			.0725			.0658
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		.9846			2.8854			(4.8662	)		.5349
Net Increase (Decrease) in Accumulation Unit Value		1.0472			2.9326			(4.7937	)		.6007
Accumulation Unit Value
Beginning of year		9.0708			6.1382			10.9319			10.3312
End of year	$	10.1180		$	9.0708		$	6.1382		$	10.9319
Total Return**		11.54	%		47.78	%		(43.85	%)		5.81	%
Ratio of Expenses To Average Net Assets***		1.00	%		1.00	%		1.00	%		1.00	%
Ratio of Net Investment Income To Average Net Assets***		.69	%		1.00	%		1.01	%		.60	%
Portfolio Turnover Rate		70	%		62	%		81	%		65	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		18,330			20,072			21,633			24,945

*	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 a share on the first day and a sale on the last day of each year reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized.

***	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 (“1940 Act”), 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.

PICA issues standard VCA-10 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-10 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.

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 NASDAQ official closing price (“NOCP”) on the day of valuation or if there was no NOCP, at the last sale price. 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. 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 Account’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 open end, non-exchange traded 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 debt securities of sufficient credit quality, which mature in 60 days or less, are valued at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter to assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. Short-term debt securities which mature in more than 60 days, are valued at fair value.

Rights: The Account may hold rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such rights are held as long positions by the Account until exercised, sold or expired. Rights are valued at fair value in accordance with the Committee Members’ approved fair valuation procedures.

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.

VCA-10 is subject to fees for investment management and administration 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.

Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.

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.

Note 4:

Purchases and Sales of Portfolio Securities

For the year ended December 31, 2011, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $98,241,571 and $105,542,598, respectively.

Investment in the Core Fund: The Account invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5:

Unit Transactions

The number of Accumulation Units issued and redeemed for the years ended December 31, 2011 and December 31, 2010, respectively, are as follows:


Standard Contracts	Units			Amount
Year ended December 31, 2011:
Account units issued		499,673		$	5,016,579
Account units redeemed		(3,237,565	)		(33,240,098	)

Net increase (decrease) in units outstanding		(2,737,892	)	$	(28,223,519	)


0.50% Contracts	Units			Amount
Year ended December 31, 2011:
Account units issued		25,294		$	270,939
Account units redeemed		(25,983	)		(272,165	)

Net increase (decrease) in units outstanding		(689	)	$	(1,226	)


0.45% Contracts
Period ended December 31, 2011:
Account units issued		1,054,937		$	12,227,631
Account units redeemed		(54,026	)		(585,575	)

Net increase (decrease) in units outstanding		1,000,911		$	11,642,056


	Year Ended December 31,
	2010
Units issued		530,845
Units redeemed		(2,273,297	)
Net increase (decrease)		(1,742,452	)

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. 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.

For the year ended December 31, 2011, $385,475 in participant loans were withdrawn from VCA-10 and $173,744 of principal and interest was repaid to VCA-10. For the year ended December 31, 2010, $378,509 in participant loans were withdrawn from VCA-10 and $156,993 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, 2011, PICA has advised the Account that it received $2,245 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

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control for Repurchase Agreements.” The objective of ASU No. 2011-03 is to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. Under previous guidance, whether or not to account for a transaction as a sale was based on, in part, if the entity maintained effective control over the transferred financial assets. ASU No. 2011-03 removes the transferor’s ability criterion from the effective control assessment. This guidance is effective prospectively for interim and annual reporting periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-03 and its impact on the financial statements has not yet been determined.

reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not yet been determined.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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, 2011, 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 five-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.

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, 2011, 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, 2011, and the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 28, 2012


The Prudential MEDLEY Program — VCA-11 Money Market Account		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	7-Day Current Net Yield			1-Year			5-Year			10-Year			Since Inception
VCA-11 Money Market Account¹—Standard Contract		-0.80	%		-0.78	%		0.93	%		1.27	%		N/A
VCA-11 Money Market Account—0.50% Contract		-0.30			-0.29			1.43			1.78			N/A
VCA-11 Money Market Account—0.45% Contract		-0.25			N/A			N/A			N/A			-0.19	%
Citigroup 3-Month Treasury Bill Index		N/A			0.08			1.36			1.85			0.04

The yield quotation more closely reflects the current earnings of the Account than the total return quotation. 0.45% contract inception: 4/1/2011. Unless noted otherwise, Index since inception returns reflect performance beginning the closest month-end date to the Account’s inception of the 0.45% contract.

MONEY MARKET ACCOUNT

ONE-YEAR TOTAL RETURN FOR THE

PAST 10 YEARS²

LOGO

For the year ended December 31, 2011, the value of the standard contract for the Prudential Variable Contract Account 11 (“VCA-11” or the “Account”) declined 0.78%, and the value of a contract with annual expenses of 0.50% declined 0.29%. Since inception on April 1, 2011 through December 31, 2011, the value of a contract with annual expenses of 0.45% declined 0.19%.

The Account’s Standard Contracts, 0.50% Contracts and 0.45% Contracts underperformed the Citigroup Three-Month U.S. Treasury Bill Index, which returned 0.08% in 2011. On December 31, 2011, the 7-day current net yield was -0.80% for the Standard Contract, -0.30% for the 0.50% Contract, and -0.25% for the 0.45% Contract.

The Account’s investment objective is to seek as high a level of current income as is consistent with the preservation of capital and liquidity. It is subadvised by Prudential Fixed Income, a unit of Prudential Investment Management, Inc.

The seven-day current yields of the Account remained slightly above zero throughout the period. The low level of yields reflected the extraordinary accommodative monetary policy of the Federal Reserve (the Fed), which kept its target for the federal funds rate between zero and a quarter percentage point in an effort to stimulate economic growth in the United States. Moreover, Fed policymakers signaled in August their intent to keep short-term rates near zero at least through mid-2013. (Shortly after the reporting period ended, the Fed announced it expects economic conditions will likely warrant that the federal funds rate remains at exceptionally low levels through at least late 2014.)

The investment environment was largely dominated by growing concerns about an ongoing sovereign-debt crisis in the euro zone rather than developments in the United States, where the economy began to show modest signs of improvement late in the year. Despite repeated efforts, the European Union, European Central Bank, and International Monetary Fund failed to come up with a viable solution to the euro zone crisis, which worsened during the summer of 2011.

The Account adopted an increasingly conservative investment strategy, especially as it pertained to European banks, in which it largely limited its purchases to money market securities that matured in three months or less. It boosted its participation in very short-term transactions known as repurchase agreements, which are collateralized by U.S. Treasury securities or federal agency securities. It also increased its outright purchases of U.S. government securities. Standard & Poor’s affirmed the short-term credit rating of the United States at A-1+ but it downgraded the nation’s long-term rating to AA+ from AAA in August. This occurred after a battle over the budget and debt ceiling produced insufficient savings to stabilize the government debt trajectory.

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

The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-11 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-11 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-11 contracts with reduced expenses will be higher than the performance of the standard VCA-11 contract. All total returns are for the periods indicated and are calculated based on changes in unit values.

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. Investors cannot invest directly in an index.

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.

Prudential Investment Management, Inc. is a registered investment advisor and Prudential Financial company.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2011


SHORT TERM INVESTMENTS — 100.1%	Principal Amount (000)		Value (Note 2)

Certificates of Deposit — 14.8%
Bank of Nova Scotia (Scotiabank)(b) 0.426%, 5/10/2012	$	500	$	500,000
Branch Banking & Trust Company 0.23%, 3/19/2012		500		500,000
DNB NOR BANK ASA 0.52%, 3/12/2012		400		400,000
Nordea Bank Finland PLC(b) 0.682%, 2/3/2012		300		300,073
Norinchukin BK NY. 0.31%, 1/3/2012		500		500,000
RaboBank Nederland NV(b) 0.57%, 4/20/2012		425		424,973
Royal Bank of Canada(b) 0.328%, 2/14/2012		500		500,000
State Street Bank & Trust 0.12%, 1/17/2012		800		800,000
Sumitomo Mitsui Banking Corp. 0.21%, 1/5/2012		200		199,998
0.39%, 2/9/2012		264		263,997
0.32%, 1/17/2012		500		500,000
Svenska Handelsbanken AB 0.35%, 1/12/2012		800		800,000

				5,689,041

Commercial Paper — 24.3%
ABN AMRO Fundings USA LLC. 144A(a) 0.47%, 1/9/2012		500		499,941
AXA Financial Inc., 144A(a) 0.35%, 1/4/2012		500		499,981
Barclays BK PLC Corp.(a) 0.42%, 2/10/2012		1,000		999,522
BHP Billiton Finance Ltd. 144A(a) 0.20%, 2/15/2012		500		499,872
Cargill Global Funding PLC. 144A(a) 0.08%, 1/13/2012		500		499,986
Commonwealth Bank of Australia. 144A(a) 0.30%, 1/17/2012		400		399,943
0.30%, 6/22/2012		300		299,891
Electricite De France 144A(a) 0.30%, 1/5/2012		500		499,979
GDF Suez, 144A(a) 0.22%, 1/10/2012		500		499,969
HSBC Bank USA, Inc.(a) 0.15%, 1/12/2012		500		499,975
0.40%, 1/18/2012		250		249,950
Old Line Funding LLC, 144A(a) 0.22%, 2/9/2012		500		499,878
RaboBank USA Financial Corp(a) 0.35%, 1/13/2012		500		499,937
Schlumberger Holdings Corp., 144A(a) 0.10%, 1/17/2012		500		499,976
Skandinaviska Enskilada Banken AB, 144A(a) 0.58%, 3/1/2012		500		499,509


SHORT TERM INVESTMENTS (continued)	Principal Amount (000)			Value (Note 2)

Standard Chartered Bank, 144A(a) 0.47%, 2/10/2012	$	500		$	499,732
Swedbank AB(a) 0.43%, 1/13/2012		900			899,860
US Bank National Association(a) 0.15%, 1/17/2012		500			500,000

					9,347,901

Other Instruments — Agency Bonds — 4.6%
Bank of America Corp.
Gtd., FDIC Notes, MTN 3.125%, 6/15/2012,		564			571,363
2.10%, 4/30/2012,		692			696,539
Pooled Funding Trust.
Gtd., FDIC. Notes, 2.625%, 3/30/2012		500			503,092

					1,770,994

Other Instruments — Corporate Bonds — 1.3%
Toyota Motor Credit Corp. 0.603%, 10/18/2012(b)		250			250,000
0.650%, 11/9/2012(b)		250			250,000

					500,000

U.S. Government Agencies — 25.8%
Federal Home Loan Bank 0.03%, 1/20/2012		500			499,992
0.278%, 1/30/2012		500			499,938
0.12%, 1/30/2012		500			499,991
0.03%, 3/16/2012		500			499,968
0.20%, 5/11/2012		500			499,958
0.00%, 5/15/2012		480			479,710
0.16%, 6/15/2012		500			499,629
Federal Farm Credit Bank 0.181%, 2/22/2012(b)		150			149,976
Fannie Mae 0.15%, 1/17/2012(a)		1,000			999,929
0.10%, 2/13/2012(a)		500			499,939
0.10%, 3/1/2012(a)		500	��		499,915
0.00%, 4/16/2012(b)		500			499,955
0.00%, 5/7/2012(b)		500			499,893
0.10%, 6/1/2012(a)		1,000			999,575
0.312%, 8/23/2012(a)		600			600,238
Freddie Mac 0.243%, 2/16/2012		500			500,014
0.00%, 4/25/2012(a)		500			499,951
0.10%, 6/6/2012(a)		300			299,868
1.75%, 6/15/2012		400			402,974

					9,931,413

U.S. Treasury Obligations — 8.8%
U.S. Treasury Bill 0.04%, 1/5/2012		500			499,997
0.03%, 1/5/2012		500			499,998
0.05%, 1/12/2012(a)		500			499,992

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2011


SHORT TERM INVESTMENTS (continued)	Principal Amount (000)		Value (Note 2)

U.S. Treasury Obligations (continued)
U.S. Treasury Note 0.875%, 1/31/2012	$	500	$	500,238
1.875%, 6/15/2012		500		504,085
4.125%, 8/31/2012		500		513,347
U.S. Treasury Strip 0.00%, 2/15/2012		400		399,964

				3,417,621

Repurchase Agreements(c) — 20.5%
BNP Paribas Securities Corp. 0.10%, dated 12/27/2011, due 1/3/2012 in the amount of $1,000,019 (cost $1,000,000; the value of the collateral including accrued interest was $1,020,000)		1,000		1,000,000
Deutsche Bank Securities 0.08%, dated 12/27/2011, due 1/3/2012 in the amount of $1,000,015 (cost $1,000,000; the value of the collateral including accrued interest was $1,021,503)		1,000		1,000,000
Deutsche Bank Securities 0.05%, dated 12/28/2011, due 1/4/2012 in the amount of $1,000,010 (cost $1,000,000; the value of the collateral including accrued interest was $1,023,119)		1,000		1,000,000
Deutsche Bank Securities 0.06%, dated 12/29/2011, due 1/5/2012 in the amount of $1,000,012 (cost $1,000,000; the value of the collateral including accrued interest was $1,021,107)		1,000		1,000,000
Goldman Sachs & Co. 0.14%, dated 12/15/2011, due 1/5/2012 in the amount of $1,000,082 (cost $1,000,000; the value of the collateral including accrued interest was $1,020,000)(d)		1,000		1,000,000
Goldman Sachs & Co. 0.09%, dated 12/28/2011, due 1/4/2012 in the amount of $1,000,018 (cost $1,000,000; the value of the collateral including accrued interest was $1,020,000)		1,000		1,000,000


SHORT TERM INVESTMENTS (continued)	Principal Amount (000)		Value (Note 2)

Repurchase Agreements (continued)
HSBC Securities (USA) Inc. 0.05%, dated 12/30/2011, due 1/3/2012 in the amount of $901,005 (cost $901,000; the value of the collateral including accrued interest was $923,870)	$	901	$	901,000
UBS Securities LLC. 0.02%, dated 12/30/2011, due 1/3/2012 in the amount of $1,000,002 (cost $1,000,000; the value of the collateral including accrued interest was $1,020,110)		1,000		1,000,000

				7,901,000

TOTAL INVESTMENTS — 100.1% (Cost: $38,557,970)			$	38,557,970

LIABILITIES LESS, OTHER ASSETS — (0.1%)
Interest Receivable				20,068
Cash				100
Payable for Pending Capital Transactions				(43,662	)

LIABILITIES IN EXCESS OF OTHER ASSETS				(23,494	)

NET ASSETS — 100%			$	38,534,476

NET ASSETS, representing:
Equity of Participants			$	38,516,210
Equity of The Prudential Insurance Company of America				18,266

			$	38,534,476


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 liquid.
FMAC		Freddie Mac
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
MTN		Medium Term Note

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

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2011.

(c)	Repurchase agreements are collateralized by FMAC (7.0%, 3/1/2039), FNMA (1.0%-6.0%, 7/15/2014-5/1/2041), GNMA (6.5%, 7/15/2037) and U.S. Treasury Notes (3.625%, 2/15/2021).

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

Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—

quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—

other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—

significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2011

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	5,689,041	$	—
Commercial Paper		—		9,347,901		—
Repurchase Agreements		—		7,901,000		—
Other Instruments – Agency Bonds		—		1,770,994		—
Other Instruments – Corporate Bonds		—		500,000		—
U.S. Government Agencies		—		9,931,413		—
U.S. Treasury Obligations		—		3,417,621		—

Total	$	—	$	38,557,970	$	—

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage on net assets as of December 31, 2011 were as follows:


U.S. Government Agencies	25.8	%
Commercial Paper	24.3
Repurchase Agreements	20.5
Certificates of Deposit	14.8
U.S. Treasury Obligations	8.8
Other Instruments – Agency Bonds	4.6
Other Instruments – Corporate Bonds	1.3

	100.1
Liabilities in excess of other assets	(0.1	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF OPERATIONS*

Year Ended December 31, 2011



INVESTMENT INCOME
Unaffiliated Interest Income	$	83,731
Total		83,731
EXPENSES
Fees Charged to Participants for Investment Management Services		(98,718	)
Fees Charged to Participants for Administrative Expenses		(289,431	)
Total Expenses		(388,149	)
NET INVESTMENT LOSS		(304,418	)
Realized Gain on Investment Transactions		856
NET DECREASE IN NET ASSETS FROM OPERATIONS	$	(303,562	)


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2011			2010
OPERATIONS
Net Investment Loss	$	(304,418	)	$	(322,170	)
Net Realized Gain on Investment Transactions		856			662
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(303,562	)		(321,508	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		6,296,546			5,120,684
Withdrawals and Transfers Out		(10,401,503	)		(11,369,807	)
Annual Account Charges Deducted from Participants’ Accounts		(19,612	)		(21,394	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(4,124,569	)		(6,270,517	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(2,822	)		(2,430	)
TOTAL DECREASE IN NET ASSETS		(4,430,953	)		(6,594,455	)
NET ASSETS
Beginning of year		42,965,429			49,559,884
End of year	$	38,534,476		$	42,965,429


Accumulation Unit Values and Equity Of Participants as of December 31, 2011
Standard Contract:
Accumulation Unit Value and Equity Of Participants, $35,146,920 / 10,650,257 outstanding Accumulation Units	$	3.3001

0.50% Contract:
Accumulation Unit Value and Equity Of Participants, $1,749,861 / 494,838 outstanding Accumulation Units	$	3.5362

0.45% Contract:
Accumulation Unit Value and Equity Of Participants, $1,619,429 / 457,745 outstanding Accumulation Units	$	3.5378

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11


		INCOME PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the period)


		Period Ended December 31, 2011
		Standard Contract			0.50% Contract			0.45% Contract†
Investment Income		$	.0070		$	.0073		$	.0051
Expenses
Investment management fee			(.0083	)		(.0088	)		(.0067	)
Administrative expenses			(.0248	)		(.0088	)		(.0053	)
Net Investment Income			(.0261	)		(.0103	)		(.0069	)
Capital Changes	��
Net realized gain (loss) on investment transactions			.0001			.0001			.0000	*
Net Increase (Decrease) in Accumulation Unit Value			(.0260	)		(.0102	)		(.0069	)
Accumulation Unit Value
Beginning of period			3.3261			3.5464			3.5447
End of period		$	3.3001		$	3.5362		$	3.5378
Total Return**			(.78	%)		(.29	%)		(.19	%)
Ratio of Expenses To Average Net Assets***			1.00	%		.50	%		.45	%††
Ratio of Net Investment Income To Average Net Assets***			(.79	%)		(.29	%)		(.23	%)††
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)			10,650			495			458

†	Inception Date — April 1, 2011.

††	Annualized.

*	Less than $.00005


	Year Ended December 31,
	2010			2009			2008			2007
Investment Income	$	.0136		$	.0239		$	.1010		$	.1735
Expenses
Investment management fee		(.0083	)		(.0084	)		(.0083	)		(.0080	)
Administrative expenses		(.0249	)		(.0251	)		(.0250	)		(.0235	)
Net Increase (Decrease) in Accumulation Unit Value		(.0196	)		(.0096	)		.0677			.1420
Accumulation Unit Value
Beginning of year		3.3520			3.3616			3.2939			3.1519
End of year	$	3.3324		$	3.3520		$	3.3616		$	3.2939
Total Return**		(.58	%)		(.29	%)		2.06	%		4.51	%
Ratio Of Expenses To Average Net Assets***		1.00	%		1.00	%		1.00	%		1.00	%
Ratio Of Net Investment Income (Loss) To Average Net Assets***		(.71	%)		(.30	%)		2.00	%		4.39	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		12,886			14,777			16,736			16,560

*	Calculated by accumulating the actual per unit amounts daily.

***	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.

PICA issues standard VCA-11 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-11 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.

Note 2:

Summary of Significant Accounting Policies

Securities Valuation: Portfolio securities of VCA-11 are valued at amortized cost, which approximates fair 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.

VCA-11 is subject to fees for investment management and administration 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 PIM are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Note 4:

Unit Transactions

The number of Accumulation Units issued and redeemed for the years ended December 31, 2011 and December 31, 2010, are as follows:


Standard Contracts	Units			Amount
Year ended December 31, 2011:
Account units issued		1,159,884		$	3,842,466
Account units redeemed		(3,027,129	)		(10,020,696	)

Net increase (decrease) in units outstanding		(1,867,245	)	$	(6,178,230	)


0.50% Contracts
Year ended December 31, 2011:
Account units issued		173,352		$	613,671
Account units redeemed		(47,164	)		(167,056	)

Net increase (decrease) in units outstanding		126,188		$	446,615


0.45% Contracts
Period ended December 31, 2011:
Account units issued		518,078		$	1,836,409
Account units redeemed		(60,333	)		(213,751	)

Net increase (decrease) in units outstanding		457,745		$	1,622,658


	Year Ended December 31,
	2010
Units issued		1,519,347
Units redeemed		(3,410,606	)
Net increase (decrease)		(1,891,259	)

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

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. 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.

For the year ended December 31, 2011, $108,715 in participant loans were withdrawn from VCA-11 and $117,979 of principal and interest was repaid to VCA-11. For the year ended December 31, 2010, $214,360 in participant loans were withdrawn from VCA-11 and $145,249 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, 2011, PICA has advised the Account that it received $1,837 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

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” ASU No. 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU No. 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU No. 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not yet been determined.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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, 2011, 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 five-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.

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, 2011, 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, 2012

THE VCA 10 AND VCA 11 COMMITTEES AND OFFICERS

MANAGEMENT OF VCA 10 AND VCA 11 (Unaudited)

VCA 10 and VCA 11 are managed by The Prudential Variable Contract Account 10 Committee and The Prudential Variable Contract Account 11 Committees (the VCA Committees). The members of the VCA Committees are elected by the persons having voting rights in respect of the VCA 10 Account and the VCA 11 Account. The affairs of the Accounts are conducted in accordance with the Rules and Regulations of the Accounts.

Information pertaining to the Committee Members of VCA 10 and VCA 11 (hereafter referred to as Board Members) is set forth below. Board Members who are not deemed to be “interested persons” of VCA 10 and VCA 11 as defined in the Investment Company Act of 1940 are referred to as “Independent Board Members.” Board Members who are deemed to be “interested persons” of VCA 10 and VCA 11 are referred to as “Interested Board Members.” “Fund Complex” consists of VCA 10 and VCA 11 and any other investment companies managed by PI. VCA 10 and VCA 11 are also referred to as “Funds.”


Independent Board Members⁽¹⁾
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Kevin J. Bannon (59) Board Member Portfolios Overseen: 58	Managing Director (since April 2008) and Chief Investment Officer (since October 2008) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May 2003-May 2007) of BNY Hamilton Family of Mutual Funds.	Director of Urstadt Biddle Properties (since September 2008).
Linda W. Bynoe (59) Board Member Portfolios Overseen: 58	President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co (broker-dealer).	Director of Simon Property Group, Inc. (retail real estate) (since May 2003); Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009); formerly Director of Dynegy Inc. (power generation) (September 2002-May 2006).
Michael S. Hyland, CFA (66) Board Member Portfolios Overseen: 58	Independent Consultant (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999).	None.
Douglas H. McCorkindale (72) Board Member Portfolios Overseen: 58	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).	Director of Lockheed Martin Corp. (aerospace and defense) (since May 2001).
Stephen P. Munn (69) Board Member Portfolios Overseen: 58	Lead Director (since 2007) and formerly Chairman (1993-2007) of Carlisle Companies Incorporated (manufacturer of industrial products).	Lead Director (since 2007) of Carlisle Companies Incorporated (manufacturer of industrial products).
Richard A. Redeker (68) Board Member & Independent Chair Portfolios Overseen: 58	Retired Mutual Fund Senior Executive (43 years); Management Consultant; Independent Directors Council (organization of 2,800 Independent Mutual Fund Directors)–Executive Committee, Chair of Policy Steering Committee, Governing Council.	None.
Robin B. Smith (72) Board Member Portfolios Overseen: 58	Chairman of the Board (since January 2003) of Publishers Clearing House (direct marketing); Member of the Board of Directors of ADLPartner (marketing) (since December 2010); formerly Chairman and Chief Executive Officer (August 1996-January 2003) of Publishers Clearing House.	Formerly Director of BellSouth Corporation (telecommunications) (1992-2006).
Stephen G. Stoneburn (68) Board Member Portfolios Overseen: 58	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).	None.


Interested Board Members⁽¹⁾
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Stuart S. Parker (49) Board Member & President Portfolios Overseen: 58	President of Prudential Investments LLC (since January 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of Prudential Investments LLC (June 2005-December 2011).	None.
Scott E. Benjamin (38) Board Member & Vice President Portfolios Overseen: 58	Executive Vice President (since June 2009) of Prudential Investments LLC and Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, Prudential Investments (since February 2006); Vice President of Product Development and Product Management, Prudential Investments (2003-2006).	None.

⁽¹⁾ The year in which each individual joined the Board is as follows: Kevin J. Bannon, 2008; Linda W. Bynoe, 2005; Michael S. Hyland, 2008; Douglas H. McCorkindale, 2003, Stephen P. Munn, 2008; Richard A. Redeker, 2003; Robin B. Smith, 2003; Stephen G. Stoneburn, 2003; Kevin J. Bannon, 2008; Michael S. Hyland, 2008; Stephen P. Munn, 2008; Stuart S. Parker, Board Member and President since 2012; Scott E. Benjamin, Board Member since 2010 and Vice President since 2009.


Fund Officers^(a)(1)
Name, Address and Age Position with Fund		Principal Occupation(s) During Past Five Years
Judy A. Rice (64) Vice President		Formerly President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (February 2003-December 2011) of Prudential Investments LLC; formerly President, Chief Executive Officer and Officer-In-Charge (April 2003-December 2011) of Prudential Mutual Fund Services LLC; formerly President, Chief Executive Officer (May 2011-December 2011) and Executive Vice President (December 2008-December 2011) of Prudential Investment Management Services LLC; formerly Member of the Board of Directors of Jennison Associates LLC (November 2010-December 2011); formerly Vice President (February 1999-April 2006) of Prudential Investment Management Services LLC; President, COO, CEO and Manager of PIFM Holdco, LLC (since April 2006); formerly President, Chief Executive Officer, Chief Operating Officer and Officer-In-Charge (May 2003-June 2005) and Director (May 2003-March 2006) and Executive Vice President (June 2005-March 2006) of AST Investment Services, Inc.; Member of Board of Governors of the Investment Company Institute.
Kathryn L. Quirk (59) Chief Legal Officer		Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.
Deborah A. Docs (54) Secretary		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 AST Investment Services, Inc.
Jonathan D. Shain (53) Assistant Secretary		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) of AST Investment Services, Inc.
Claudia DiGiacomo (37) Assistant Secretary		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 (40) Assistant Secretary		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).
Andrew R. French (49) Assistant Secretary		Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Timothy J. Knierim (53) Chief Compliance Officer		Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007).
Valerie M. Simpson (53) Deputy Chief Compliance Officer		Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (49) Deputy Chief Compliance Officer		Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001-2004).
Richard W. Kinville (43) Anti-Money Laundering Compliance Officer		Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009).


Fund Officers^(a)(1)
Name, Address and Age Position with Fund		Principal Occupation(s) During Past Five Years
Grace C. Torres (52) Treasurer and Principal Financial and Accounting Officer		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 AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.
M. Sadiq Peshimam (48) Assistant Treasurer		Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (53) Assistant Treasurer		Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).

^(a) Excludes Mr. Parker and Mr. Benjamin, interested Board Members who also serve as President and Vice President, respectively.

⁽¹⁾ The year that each individual became a Fund officer is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Grace C. Torres, 1997; Valerie Simpson, 2007; Peter Parrella, 2007, M. Sadiq Peshimam, 2006; Richard W. Kinville, 2011; Theresa C. Thompson, 2008.

Explanatory Notes to Tables:

Board Members are deemed to be “Interested,” as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC.

Unless otherwise noted, the address of all Board Members and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102-4077.

There is no set term of office for Board Members or Officers. The Board Members have adopted a retirement policy, which calls for the retirement of Board Members on December 31 of the year in which they reach the age of 75.

“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the 1934 Act) (that is, “public companies”) or other investment companies registered under the 1940 Act.

“Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC. The investment companies for which PI serves as manager include the Prudential Investments Mutual Funds, The Prudential Variable Contract Accounts, Target Mutual Funds, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc. and the Advanced Series Trust.

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 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.

The Prudential MEDLEY Program

Letter to Participants

December 31, 2011

DEAR PARTICIPANT:

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.

Sincerely,

Stephen Pelletier

President,

The Prudential Series Fund

January 31, 2012


The Prudential Series Fund, Conservative Balanced Portfolio		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		4.60	%		3.19	%		4.55	%
Blended Index		4.47			3.02			4.30
S&P 500 Index		2.09			-0.25			2.92

Past performance does not guarantee future returns. 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.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. 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.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2011, the Conservative Balanced Portfolio returned 4.60%.

The Portfolio’s investment objective is total investment return consistent with a conservatively managed, diversified portfolio. It invests in stocks, equity-related securities, debt obligations, and money market instruments. The Portfolio is subadvised by Prudential Investment Management, Inc. and Quantitative Management Associates LLC.

The Portfolio’s gain for the year reflected slightly positive equity returns and solid fixed income returns. The Portfolio marginally outperformed the 4.47% return of its benchmark, the Blended Index (defined below). The Portfolio benefited from tactical asset allocation positioning in which it had a larger exposure to stocks than its guideline weight of 50% early in 2011 as the equity market rose. A strategic retreat from equities in May, as stocks pulled back, and a more aggressive stance toward year-end after stocks again rallied, helped performance. The Portfolio uses equity futures contracts to enhance liquidity, and a well-timed purchase of equity futures made a small positive contribution to its performance in 2011.

The U.S. equity market gained early in the period, reaching a peak for the year in April, as measured by the S&P 500 Index. Stocks then declined for five consecutive months due to investor anxiety over the global economic outlook and a worsening sovereign-debt crisis in the euro zone. Yet signs of improving economic conditions in the United States and renewed hopes for a solution to the euro zone turmoil sent stock prices higher in the fourth quarter, enabling the S&P 500 Index to deliver a modest gain for the year including dividends.

In the U.S. bond market, all sectors ended 2011 in the black, although the year was marked by sharp shifts in investor willingness to assume risk. An upbeat first quarter in which risky debt securities performed well gave way to a summer of anxiety that reflected concerns over the global economic outlook and the euro zone crisis. This fueled heavy investor demand for safe haven assets, particularly U.S. Treasury securities. Meanwhile, after efforts to stabilize the U.S. government debt trajectory failed, Standard & Poor’s lowered the long-term U.S. credit rating to AA+ from AAA in August.

Despite the rating cut, investors continued to flee to Treasury securities, driving Treasury yields lower and Treasury prices higher, as bond prices move inversely to yields. The Federal Reserve (the Fed) also tried to apply downward pressure on rates to boost economic growth. For example, it began to sell shorter-term Treasury securities and buy their longer-term counterparts in October. Fed action, coupled with continued strong investor demand for safe haven assets, ultimately helped push Treasury yields back down during the fourth quarter, even as better economic conditions in the United States and renewed hopes for a solution to the euro zone crisis stoked investor appetite for risky assets.

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

Blended Index consists of S&P 500 Index (50%), Barclays Capital U.S. Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Prudential Investment Management, Inc., and Quantitative Management Associates LLC are registered investment advisors and Prudential Financial companies.


The Prudential Series Fund, Diversified Bond Portfolio		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		7.51	%		7.89	%		6.77	%
Barclays Capital U.S. Aggregate Bond Index		7.84			6.50			5.78

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2011, the Diversified Bond Portfolio returned 7.51%.

The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital. The subadviser for the Portfolio is Prudential Investment Management, Inc.

The Portfolio’s gain reflected a favorable environment for investing in bonds. However, the U.S. fixed income market endured sharp shifts in investor willingness to assume risk that largely occurred due to developments in Europe and the United States. Risky debt securities, particularly high yield corporate bonds commonly known as “junk” bonds, performed well for the first quarter, but they soon fell out of favor. An upbeat start to the second quarter gave way to increasing anxiety that turned into a panic in the third quarter, which favored U.S. Treasury securities. This occurred as a prolonged sovereign-debt crisis in the euro zone worsened. In the United States, economic data turned soft. Also a battle over the national budget and debt ceiling produced insufficient savings to stabilize the government debt trajectory. Consequently, Standard & Poor’s lowered the long-term U.S. credit rating to AA+ from AAA in August.

Despite the rating cut, investors continued to flee to the relative safety of Treasury securities, driving Treasury yields lower and Treasury prices higher, as bond prices move inversely to yields. The Federal Reserve also tried to put downward pressure on rates to boost economic growth. For example, it began “Operation Twist” in October in which it sold short-term Treasury securities and purchased their long-term counterparts. Its purchases, along with continued strong investor demand for safe-haven assets, ultimately helped push Treasury yields back down to generational lows late in the year, even as improving economic conditions and renewed hope for a resolution to the euro zone crisis stoked investor appetite for risky assets. All sectors of the U.S. fixed income market finished the year in the black.

The Portfolio slightly lagged its benchmark, the Barclays Capital U.S. Aggregate Bond Index (the Index), which returned 7.84%. It utilized Treasury futures contracts to help position its duration in the U.S. Treasury market longer than that of the Index. Duration measures the approximate price volatility of a bond portfolio for a given change in interest rates and is expressed in years. A longer duration enabled the Portfolio to derive greater benefit as falling rates drove prices of Treasury securities higher. However, tactical bond trading had a net negative impact overall on the Portfolio’s return for the year.

The net impact of its foreign exchange strategy was slightly negative for the year. Compared to the Index, it had an underweight exposure to the U.S. dollar during the third and fourth quarters of 2011 that detracted from its return, as did a non-benchmark exposure to the euro during the final two quarters of the year.

The combined impact of sector allocation and security selection was a net positive overall for the Portfolio’s return in 2011. At the sector-specific level, however, the impact was mixed. The combined effect of sector allocation and security selection in high yield corporate bonds and commercial mortgage-backed securities added to the Portfolio’s return. But, in mortgage-backed securities and emerging market bonds, it detracted from results.

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

Barclays Capital U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Equity Portfolio		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		-3.47	%		0.18	%		3.59	%
Portfolio: Class II		-3.87			-0.22			3.18
Russell 1000^® Index		1.50			-0.02			3.34
S&P 500 Index		2.09			-0.25			2.92

$10,000 INVESTED OVER 10 YEARS¹

LOGO

The Russell 1000^® Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company.

For the year ended December 31, 2011, the Equity Portfolio Class I shares declined 3.47% and Class II shares declined 3.87%.

The Portfolio’s investment objective is long-term growth of capital. The Portfolio is subadvised by Jennison Associates LLC (Jennison).

After reaching a high in April, U.S. equity markets declined for five consecutive months. But double-digit performance in the fourth quarter drove the S&P 500 Index to a 2.09% gain. Seven out of 10 S&P 500 sectors advanced, although industrials, materials, and financials declined. The Russell 1000^® Index (the Index) returned 1.50% for the year, as seven out of the 10 major sectors in the Index also advanced. The exceptions were financials, materials, and industrials. There was, however, significant disparity among sector performance, with utilities climbing nearly 19.0% and financials losing 17.0%.

The Portfolio posted a loss and underperformed the Index largely because of stock selection, most particularly in energy, consumer discretionary, and materials.

Financials and materials sector holdings ranked among the most notable detractors for the year. Concerns about potential litigation against Goldman Sachs related to allegations it misled clients by not disclosing its proprietary interest in certain collateralized debt transactions weighed on its share price. More recently, an unexpectedly large loss in its Investing and Lending Segment and S&P’s downgrade of Goldman’s credit rating caused investor unease. Jennison continues to view Goldman as best in class and, at its current valuation, Jennison believes it offers a compelling risk/reward opportunity amid a lackluster financial market landscape.

A strengthening dollar hurt gold mining stocks in general especially toward the end of the period; Freeport-McMoRan Copper and Gold and Kinross Gold declined in tandem. Jennison continues to like Freeport for its strong management team that has executed well throughout the ups and downs of volatile commodity markets. Jennison likes Kinross for its diverse production base.

Another noteworthy detractor, telecommunications services firm NII Holdings, suffered outsized losses primarily stemming from fears of increasing competition in Brazil, one of its key markets, and ambiguity around its 3G rollout. While Jennison is following recent competitive developments closely, it continues to believe NII has strong long-term growth prospects and very capable management.

Information technology dominated the Portfolio’s key contributors for the year. MasterCard’s revenues and earnings during the reporting period often exceeded consensus forecasts. The company received an additional boost mid-year when the U.S. Federal Reserve decided to limit debit-transaction fees charged by banks less onerously than had been feared. Apple’s financial results beat consensus projections owing in large part to strong sales of iPhones, iPads, and Mac personal computers. IBM climbed on better-than-expected revenue and earnings, including growth across global geographies, and strong cash flow.

Strong gains in healthcare holdings Pfizer and Shire also made noteworthy contributions.

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.

Russell 1000^® Index is an unmanaged 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. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Jennison Associates LLC is a registered investment advisor and a Prudential Financial company.


The Prudential Series Fund, Flexible Managed Portfolio		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		4.34	%		2.31	%		4.59	%
Blended Index		4.28			2.58			4.20
S&P 500 Index		2.09			-0.25			2.92

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2011, the Flexible Managed Portfolio returned 4.34%.

The Portfolio’s investment objective is total return consistent with an aggressively managed, diversified portfolio. It invests in stocks, equity-related securities, debt obligations, and money market obligations. The Portfolio is subadvised by Prudential Investment Management, Inc. and Quantitative Management Associates LLC.

The Portfolio’s gain for the year reflected slightly positive equity returns and solid fixed income returns. The Portfolio marginally outperformed the 4.28% return of its benchmark, the Blended Index (described below). It benefited from tactical asset allocation positioning in which it had a larger exposure to stocks than its 60% guideline weight for about the first 4.5 months of 2011. A strategic retreat from equities in mid-year was another positive as stocks pulled back. Also, the Portfolio used equity futures contracts to manage liquidity, and a well-timed purchase of equity futures made a small positive contribution to its performance in 2011.

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

Blended Index consists of S&P 500 Index (60%), Barclays Capital U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Global Portfolio		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		-6.97	%		-2.77	%		2.87	%
MSCI World Index (GD)		-5.02			-1.82			4.15

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2011, the Global Portfolio declined by 6.97%.

The investment objective of the Portfolio is long-term growth of capital. The Portfolio is co-managed by four subadvisers: Marsico Capital Management, LLC (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), and LSV Asset Management (international value stocks). The Portfolio seeks long-term growth of capital by investing in stocks, with about half of its assets invested in companies in the United States and half in companies located abroad.

The Portfolio underperformed its benchmark, the MSCI World Index during the period, largely due to the underperformance of the segments managed by Marsico Capital Management and T. Rowe Price Associates.

Marsico’s large cap segment lagged behind the Russell 1000 Growth Index largely due to the underperformance of positions in the financial services and energy sectors. Within financials, the top detractors were Citigroup, Goldman Sachs, PNC Financial, and Itau Unibanco. Within energy the top detractors were an overweight to Schlumberger and not owning Exxon Mobil, which is held in the Russell 1000 Growth Index. These outweighed the positive impact of the manager’s stock selection in the consumer discretionary sector, where a position in Starbucks contributed meaningfully to results.

T. Rowe Price’s segment underperformed the Russell 1000 Value Index due to negative stock selection in a number of sectors including utilities, consumer staples, telecommunications services, and healthcare. Conversely, the portfolio benefited from an underweight to the bottom-performing financial services sector.

Both of the international subadvisers, William Blair and LSV, outperformed the MSCI EAFE Index during the period. William Blair benefited from strong security selection in the consumer discretionary and financials sectors, while LSV modestly outperformed the index target due to strong stock selection within financial services and overweighting the telecommunications services, sector, which fell significantly less than the overall international market.

The use of derivative instruments is not a principal strategy of the four subadvisers with regard to the Portfolio. The types of derivatives employed most often are equity futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of currency exposure in the Portfolio). Currency hedging in the segment managed by William Blair had a modestly positive impact on performance during 2011.

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

MSCI World Index (GD) - 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 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Government Income Portfolio		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		7.63	%		6.46	%		5.58	%
Barclays Capital Government Bond Index		7.69			6.42			5.59

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2011, the Government Income Portfolio returned 7.63%.

The investment objective of the Portfolio is a high level of income over a longer term while providing reasonable safety of capital. The Portfolio subadviser is Prudential Investment Management, Inc.

The Portfolio gained in what proved to be a favorable year for U.S. government securities as well as the remainder of the U.S. fixed income market. However, the market endured sharp shifts in investor willingness to assume risk that occurred largely due to developments in Europe and the United States. Risky debt securities performed well for the first quarter, but they soon fell out of favor. An upbeat start to the second quarter gave way to increasing anxiety that turned into a panic in the third quarter, which heavily favored U.S. Treasury securities.

This flight to quality occurred as a prolonged sovereign-debt crisis in the euro zone went from bad to worse, threatening financial stability in the region, in spite of efforts by European policymakers to improve government finances. In the United States, economic data turned decidedly soft. Also a battle over the national budget and debt ceiling produced insufficient savings to stabilize the government debt trajectory. Consequently, Standard & Poor’s lowered the long-term U.S. credit rating to AA+ from AAA in August.

Despite the rating cut, investors continued to flee from risky assets to the relative safety of Treasury securities, driving Treasury yields sharply lower and Treasury prices higher, as bond prices move inversely to yields. The Federal Reserve (the Fed) also tried to keep downward pressure on rates to boost economic growth. For example, it began “Operation Twist” in October in which it sold short-term Treasury securities and purchased their long-term counterparts. Its purchases, along with continued strong investor demand for safe-haven assets, ultimately helped push Treasury yields back down towards generational lows late in the year, even as improving economic conditions and renewed hope for a resolution to the euro zone crisis stoked investor appetite for risky assets. All sectors of the U.S. fixed income market finished the year in the black.

The largest contributor to the Portfolio’s performance was favorable security selection, particularly among commercial mortgage-backed securities (CMBS) and Treasury securities. Selection in the CMBS sector had a net positive impact, even as a bias in favor of higher-quality CMBS, which helped performance in the third quarter, detracted in the fourth quarter as the sector rallied broadly late in the year. Favorable selection among residential mortgage-backed securities of federal agencies was also a positive for the Portfolio.

The Portfolio used interest-rate swaps and futures contracts to position its duration, a measure of the approximate price volatility of a bond portfolio for a given change in interest rates. The Portfolio’s duration strategy enabled it to benefit moderately as declining bond yields pushed bond prices higher.

During the year, long-term bond yields declined considerably more than short-term bond yields, causing the slope of the Treasury yield curve to flatten. (A yield curve shows the relationship between yields on bonds from the shortest to the longest maturities.) The Portfolio was positioned to benefit from the flattening in the Treasury yield curve.

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

Barclays Capital Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the U.S. Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Stock Index Portfolio		December 31, 2011

Investment Manager’s Report - As of December 31, 2011


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		1.95	%		-0.48	%		2.65	%
S&P 500 Index		2.09			-0.25			2.92

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2011, the Stock Index Portfolio returned 1.95%.

The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly-traded common stocks. Quantitative Management Associates, LLC (QMA) manages the Portfolio, which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of its benchmark, the S&P 500 Index. While Prudential is one of the components of the S&P 500, the Portfolio cannot hold shares of Prudential Financial, Inc. because of compliance restrictions.

Potential tracking error differences, brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the S&P 500 Index. It underperformed the S&P 500 Index by a modest amount in 2011.

In the flight to safety that ensued in 2011, investors favored larger companies with strong capital positions, attractive dividend streams, and continued earnings growth. This preference helped the S&P 500 Index achieve a positive return despite global financial market turbulence. Within the S&P 500 Index, less economically sensitive sectors, including utilities, consumer staples, and healthcare enjoyed double-digit returns. The more economically sensitive sectors, including financials and materials, were the weakest performing with double-digit losses.

The Portfolio uses derivative instruments, though not as a principal investment strategy. It had a small position in futures contracts on the S&P 500 Index to enhance the liquidity of the Portfolio. This exposure did not have a material impact on its performance.

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

S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. 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. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund

Fees and Expenses — unaudited

December 31, 2011

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, 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.

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, 2011 through December 31, 2011.

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, 2011		Ending Account Value December 31, 2011		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	998.80		0.60	%	$	3.02
	Hypothetical	$	1,000.00	$	1,022.18		0.60	%	$	3.06
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,030.30		0.42	%	$	2.15
	Hypothetical	$	1,000.00	$	1,023.09		0.42	%	$	2.14
Equity (Class I)	Actual	$	1,000.00	$	905.00		0.48	%	$	2.30
	Hypothetical	$	1,000.00	$	1,022.79		0.48	%	$	2.45
Equity (Class II)	Actual	$	1,000.00	$	903.20		0.88	%	$	4.22
	Hypothetical	$	1,000.00	$	1,020.77		0.88	%	$	4.48
Flexible Managed (Class I)	Actual	$	1,000.00	$	987.00		0.63	%	$	3.16
	Hypothetical	$	1,000.00	$	1,022.03		0.63	%	$	3.21
Global (Class I)	Actual	$	1,000.00	$	884.10		0.86	%	$	4.08
	Hypothetical	$	1,000.00	$	1,020.87		0.86	%	$	4.38
Government Income (Class I)	Actual	$	1,000.00	$	1,049.50		0.44	%	$	2.27
	Hypothetical	$	1,000.00	$	1,022.99		0.44	%	$	2.24
Stock Index (Class I)	Actual	$	1,000.00	$	962.70		0.33	%	$	1.63
	Hypothetical	$	1,000.00	$	1,023.54		0.33	%	$	1.68

* 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, 2011, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2011 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.


LONG-TERM INVESTMENTS — 92.6%
COMMON STOCKS — 54.7%	Shares		Value (Note 2)

Aerospace & Defense — 1.4%
BAE Systems PLC (United Kingdom)		32,880	$	145,578
Boeing Co. (The)		75,400		5,530,590
European Aeronautic Defence and Space Co. NV (Netherlands)		3,474		108,584
General Dynamics Corp.		38,000		2,523,580
Goodrich Corp.		12,800		1,583,360
Honeywell International, Inc.		80,312		4,364,957
L-3 Communications Holdings, Inc.		10,800		720,144
Lockheed Martin Corp.(a)		28,300		2,289,470
Northrop Grumman Corp.		28,262		1,652,762
Precision Castparts Corp.		14,700		2,422,413
Raytheon Co.		36,400		1,761,032
Rockwell Collins, Inc.(a)		16,300		902,531
Safran SA (France)		2,868		86,135
Textron, Inc.(a)		28,200		521,418
United Technologies Corp.		93,500		6,833,915

				31,446,469

Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc.(a)		16,600		1,158,348
Deutsche Post AG (Germany)		8,206		126,173
Expeditors International of Washington, Inc.		21,700		888,832
FedEx Corp.		32,200		2,689,022
United Parcel Service, Inc. (Class B Stock)		100,700		7,370,233

				12,232,608

Airlines
All Nippon Airways Co. Ltd. (Japan)		27,000		75,419
Deutsche Lufthansa AG (Germany)		1,159		13,778
Southwest Airlines Co.		83,700		716,472

				805,669

Auto Components — 0.1%
BorgWarner, Inc.*(a)		8,300		529,042
Bridgestone Corp. (Japan)		1,400		31,740
CIE Generale des Etablissements Michelin (France) (Class B Stock)		1,285		75,962
Continental AG (Germany)*		572		35,605
Goodyear Tire & Rubber Co. (The)*		28,000		396,760
Johnson Controls, Inc.		69,300		2,166,318

				3,235,427

Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		832		55,736
Daimler AG (Germany)		2,422		106,328
Ford Motor Co.*(a)		387,785		4,172,566
Harley-Davidson, Inc.		25,700		998,959
Isuzu Motors Ltd. (Japan)		9,000		41,627
Nissan Motor Co. Ltd. (Japan)		7,700		69,227
Peugeot SA (France)		1,176		18,432
Toyota Motor Corp. (Japan)		3,100		103,306
Volkswagen AG (Germany)		68		9,122

				5,575,303


COMMON STOCKS (continued)	Shares		Value (Note 2)

Beverages — 1.5%
Anheuser-Busch InBev NV (Belgium)		3,767	$	230,632
Beam, Inc.		16,300		835,049
Brown-Forman Corp. (Class B Stock)		10,700		861,457
Carlsberg A/S (Denmark) (Class B Stock)		55		3,878
Coca-Cola Amatil Ltd. (Australia)		2,410		28,372
Coca-Cola Co. (The)		234,800		16,428,956
Coca-Cola Enterprises, Inc.		33,200		855,896
Constellation Brands, Inc. (Class A Stock)*		17,200		355,524
Diageo PLC (United Kingdom)		6,018		131,450
Dr Pepper Snapple Group, Inc.		23,300		919,884
Heineken NV (Netherlands)		1,486		68,795
Molson Coors Brewing Co. (Class B Stock)		16,300		709,702
PepsiCo, Inc.		161,407		10,709,354
Pernod-Ricard SA (France)		992		92,004
SABMiller PLC (United Kingdom)		399		14,044

				32,244,997

Biotechnology — 0.7%
Amgen, Inc.		79,287		5,091,018
Biogen Idec, Inc.*		24,690		2,717,135
Celgene Corp.*		47,800		3,231,280
Gilead Sciences, Inc.*		80,400		3,290,772

				14,330,205

Building Products
Asahi Glass Co. Ltd. (Japan)		6,000		50,357
ASSA Abloy AB (Sweden) (Class B Stock)		374		9,380
Masco Corp.		33,500		351,080
TOTO Ltd. (Japan)		14,000		108,042

				518,859

Capital Markets — 1.0%
3i Group PLC (United Kingdom)		8,093		22,749
Ameriprise Financial, Inc.		24,720		1,227,101
Bank of New York Mellon Corp. (The)		128,258		2,553,617
BlackRock, Inc. (Class A Stock)		10,200		1,818,048
Charles Schwab Corp. (The)(a)		104,550		1,177,233
Credit Suisse Group AG (Switzerland)		3,142		73,825
Deutsche Bank AG (Germany)		3,431		130,708
ETrade Financial Corp.(a)		25,520		203,139
Federated Investors, Inc. (Class B Stock)(a)		10,800		163,620
Franklin Resources, Inc.		14,700		1,412,082
Goldman Sachs Group, Inc. (The)		52,900		4,783,747
Invesco Ltd.		47,800		960,302
Legg Mason, Inc.(a)		14,800		355,940
Morgan Stanley		153,180		2,317,613
Northern Trust Corp.		24,700		979,602
Ratos AB (Sweden) (Class B Stock)		4,029		47,274
State Street Corp.		51,500		2,075,965
T. Rowe Price Group, Inc.(a)		26,500		1,509,175
UBS AG (Switzerland)*		9,787		116,489

				21,928,229

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Chemicals — 1.2%
Air Products & Chemicals, Inc.		21,600	$	1,840,104
Airgas, Inc.		6,700		523,136
Arkema SA (France)		225		15,929
Asahi Kasei Corp. (Japan)		14,000		84,396
BASF SE (Germany)		3,137		218,796
CF Industries Holdings, Inc.		7,300		1,058,354
Dow Chemical Co. (The)		120,031		3,452,092
E.I. du Pont de Nemours & Co.		94,820		4,340,860
Eastman Chemical Co.		13,800		539,028
Ecolab, Inc.		27,800		1,607,118
FMC Corp.		6,900		593,676
Incitec Pivot Ltd. (Australia)		11,411		36,297
International Flavors & Fragrances, Inc.		8,200		429,844
Israel Chemicals Ltd. (Israel)		5,458		56,571
K+S AG (Germany)		658		29,738
Koninklijke DSM NV (Netherlands)		754		34,985
Lanxess AG (Germany)		974		50,424
Monsanto Co.		54,694		3,832,409
Mosaic Co. (The)		30,600		1,543,158
PPG Industries, Inc.(a)		17,000		1,419,330
Praxair, Inc.		31,000		3,313,900
Sherwin-Williams Co. (The)		8,600		767,722
Sigma-Aldrich Corp.		12,400		774,504
Syngenta AG (Switzerland)		366		107,154
Toray Industries, Inc. (Japan)		4,000		28,634
Wacker Chemie AG (Germany)(a)		323		25,981
Yara International ASA (Norway)		1,989		79,815

				26,803,955

Commercial Banks — 1.5%
Aozora Bank Ltd. (Japan)		22,000		60,595
Australia & New Zealand Banking Group Ltd. (Australia)		7,849		164,814
Banco Bilbao Vizcaya Argentaria SA (Spain)		8,066		69,735
Banco Santander SA (Spain)		14,639		111,216
Barclays PLC (United Kingdom)		62,926		172,042
BB&T Corp.(a)		71,100		1,789,587
Bendigo and Adelaide Bank Ltd. (Australia)		6,544		53,746
BNP Paribas SA (France)		3,604		141,567
Comerica, Inc.(a)		19,400		500,520
Commonwealth Bank of Australia (Australia)		2,745		138,189
DnB NOR ASA (Norway)		3,264		31,953
Fifth Third Bancorp		95,721		1,217,571
First Horizon National Corp.(a)		28,587		228,696
HSBC Holdings PLC (United Kingdom)		25,166		191,915
Huntington Bancshares, Inc.		100,136		549,747
KeyCorp		105,200		808,988
M&T Bank Corp.(a)		12,800		977,152
Mitsubishi UFJ Financial Group, Inc. (Japan)		56,300		239,185
Mizrahi Tefahot Bank Ltd. (Israel)		2,697		21,323
Mizuho Financial Group, Inc. (Japan)		59,700		80,665
National Australia Bank Ltd. (Australia)		3,494		83,481


COMMON STOCKS (continued)	Shares		Value (Note 2)

Commercial Banks (continued)
Nordea Bank AB (Sweden)		14,649	$	113,347
PNC Financial Services Group, Inc.		53,733		3,098,782
Raiffeisen International Bank Holding AG (Austria)		1,096		28,462
Regions Financial Corp.		142,703		613,623
Resona Holdings, Inc. (Japan)		29,900		131,689
Shinsei Bank Ltd. (Japan)		9,000		9,354
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		13,437		78,275
Societe Generale (France)		2,470		55,001
Sumitomo Mitsui Financial Group, Inc. (Japan)		7,600		211,698
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		29,000		85,150
SunTrust Banks, Inc.		55,200		977,040
Svenska Handelsbanken AB (Sweden) (Class A Stock)		1,740		45,762
Swedbank AB (Sweden) (Class A Stock)		869		11,257
U.S. Bancorp		196,685		5,320,329
Wells Fargo & Co.		542,364		14,947,552
Westpac Banking Corp. (Australia)		4,530		92,665
Zions Bancorporation(a)		22,350		363,858

				33,816,531

Commercial Services & Supplies — 0.2%
Avery Dennison Corp.		10,200		292,536
Cintas Corp.(a)		12,200		424,682
Iron Mountain, Inc.		19,900		612,920
Pitney Bowes, Inc.(a)		20,700		383,778
Republic Services, Inc. (Class A Stock)		32,865		905,431
RR Donnelley & Sons Co.(a)		19,200		277,056
Securitas AB (Sweden) (Class B Stock)		6,636		57,276
Stericycle, Inc.*		9,700		755,824
Waste Management, Inc.(a)		48,042		1,571,454

				5,280,957

Communications Equipment — 1.1%
Cisco Systems, Inc.		564,600		10,207,968
F5 Networks, Inc.*		8,200		870,184
Harris Corp.(a)		12,400		446,896
JDS Uniphase Corp.*		21,475		224,199
Juniper Networks, Inc.*		54,400		1,110,304
Motorola Mobility Holdings, Inc.*		28,778		1,116,586
Motorola Solutions, Inc.		33,289		1,540,948
QUALCOMM, Inc.		172,500		9,435,750
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		1,580		16,163

				24,968,998

Computers & Peripherals — 2.5%
Apple, Inc.*		95,800		38,799,000
Dell, Inc.*		169,400		2,478,322
EMC Corp.*		212,150		4,569,711
Hewlett-Packard Co.		208,348		5,367,044
Lexmark International, Inc. (Class A Stock)		8,733		288,800

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Computers & Peripherals (continued)
NetApp, Inc.*		37,100	$	1,345,617
SanDisk Corp.*(a)		24,700		1,215,487
Toshiba Corp. (Japan)		13,000		53,203
Western Digital Corp.*		26,000		804,700

				54,921,884

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		1,194		35,388
Bouygues SA (France)		623		19,630
Chiyoda Corp. (Japan)		4,000		40,691
Fluor Corp.		17,800		894,450
Jacobs Engineering Group, Inc.*		12,700		515,366
Leighton Holdings, Ltd. (Australia)		2,314		45,063
Quanta Services, Inc.*(a)		22,000		473,880
Vinci SA (France)		583		25,474

				2,049,942

Construction Materials
Imerys SA (France)		303		13,957
Vulcan Materials Co.(a)		13,400		527,290

				541,247

Consumer Finance — 0.4%
American Express Co.		106,800		5,037,756
Capital One Financial Corp.		46,861		1,981,752
Discover Financial Services		56,140		1,347,360
SLM Corp.		54,700		732,980

				9,099,848

Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		17,851		131,640
Ball Corp.		16,200		578,502
Bemis Co., Inc.		11,300		339,904
Owens-Illinois, Inc.*		18,900		366,282
Sealed Air Corp.		17,100		294,291

				1,710,619

Distributors
Genuine Parts Co.		16,100		985,320
Jardine Cycle & Carriage Ltd. (Singapore)		2,000		74,199

				1,059,519

Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*		12,700		684,149
DeVry, Inc.		6,300		242,298
H&R Block, Inc.		35,100		573,183

				1,499,630

Diversified Financial Services — 1.5%
Bank of America Corp.		1,034,621		5,752,493
Citigroup, Inc.		301,385		7,929,439
CME Group, Inc. (Class A Stock)		6,840		1,666,703
Deutsche Boerse AG (Germany)*		460		24,118
Exor SpA (Italy)		1,733		34,878
IntercontinentalExchange, Inc.*		7,500		904,125
Investor AB (Sweden) (Class B Stock)		370		6,903
JPMorgan Chase & Co.		399,045		13,268,246
Leucadia National Corp.		19,700		447,978


COMMON STOCKS (continued)		Shares		Value (Note 2)

Diversified Financial Services (continued)
London Stock Exchange Group PLC (United Kingdom)			3,961	$	48,903
Moody’s Corp.(a)			20,200		680,336
NASDAQ OMX Group, Inc. (The)*			16,600		406,866
NYSE Euronext			28,900		754,290
ORIX Corp. (Japan)			970		80,151
Pohjola Bank PLC (Finland) (Class A Stock)			1,983		19,274

					32,024,703

Diversified Telecommunication Services — 1.6%
AT&T, Inc.			609,168		18,421,240
BT Group PLC (United Kingdom)			36,574		108,429
CenturyLink, Inc.			62,736		2,333,779
France Telecom SA (France)	��		6,158		96,716
Frontier Communications Corp.(a)			101,590		523,189
Koninklijke KPN NV (Netherlands)			3,071		36,746
Nippon Telegraph & Telephone Corp. (Japan)			2,800		143,147
Swisscom AG (Switzerland)			122		46,226
Telecom Italia SpA (Italy)			50,437		45,172
Telecom Italia SpA (Italy)			53,868		57,936
Telefonica SA (Spain)			8,390		145,344
Verizon Communications, Inc.(a)			288,876		11,589,705
Vivendi SA (France)			8,374		183,379
Windstream Corp.			57,357		673,371

					34,404,379

Electric Utilities — 1.1%
American Electric Power Co., Inc.			49,160		2,030,800
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)			4,000		23,434
Duke Energy Corp.(a)			135,924		2,990,328
E.ON AG (Germany)			1,475		31,823
Edison International			33,300		1,378,620
Enel SpA (Italy)			45,121		183,602
Energias de Portugal SA (Portugal)			5,224		16,166
Entergy Corp.			18,500		1,351,425
Exelon Corp.			67,674		2,935,021
FirstEnergy Corp.			43,606		1,931,746
Iberdrola SA (Spain)			29,445		184,410
NextEra Energy, Inc.(a)			43,100		2,623,928
Northeast Utilities			18,200		656,474
Pepco Holdings, Inc.			26,800		544,040
Pinnacle West Capital Corp.			10,500		505,890
PPL Corp.			59,700		1,756,374
Progress Energy, Inc.			30,083		1,685,250
Red Electrica Corp. SA (Spain)			694		29,699
Scottish & Southern Energy PLC (United Kingdom)			3,994		80,076
Southern Co.(a)			86,700		4,013,343

					24,952,449

Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)			2,613		49,183
Cooper Industries PLC (Ireland)			15,300		828,495
Emerson Electric Co.			76,800		3,578,112
Mitsubishi Electric Corp. (Japan)			11,000		105,470
Rockwell Automation, Inc.			15,300		1,122,561

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Electrical Equipment (continued)
Roper Industries, Inc.		9,900	$	860,013
Schneider Electric SA (France)		426		22,429

				6,566,263

Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		18,600		844,254
Corning, Inc.		160,300		2,080,694
FLIR Systems, Inc.		15,600		391,092
Hamamatsu Photonics KK (Japan)		500		17,494
Hitachi Ltd. (Japan)		32,000		167,961
Jabil Circuit, Inc.		20,000		393,200
Molex, Inc.		13,000		310,180
TE Connectivity Ltd.		43,600		1,343,316

				5,548,191

Energy Equipment & Services — 1.1%
Baker Hughes, Inc.		44,398		2,159,519
Cameron International Corp.*		25,000		1,229,750
Diamond Offshore Drilling, Inc.(a)		7,900		436,554
FMC Technologies, Inc.*		24,400		1,274,412
Halliburton Co.		94,100		3,247,391
Helmerich & Payne, Inc.(a)		10,700		624,452
Nabors Industries Ltd.*		27,700		480,318
National Oilwell Varco, Inc.		43,200		2,937,168
Noble Corp.		25,700		776,654
Petrofac Ltd. (United Kingdom)		2,686		60,109
Rowan Cos., Inc.*		13,200		400,356
Schlumberger Ltd.		138,518		9,462,165
Technip SA (France)		973		91,450
Transocean Ltd. (Switzerland)		816		31,509

				23,211,807

Food & Staples Retailing — 1.3%
Aeon Co. Ltd. (Japan)		8,700		119,474
Costco Wholesale Corp.		44,600		3,716,072
CVS Caremark Corp.		138,448		5,645,909
Jeronimo Martins SGPS SA (Portugal)*		960		15,891
Koninklijke Ahold NV (Netherlands)		3,328		44,817
Kroger Co. (The)		61,946		1,500,332
Safeway, Inc.		39,500		831,080
Seven & I Holdings Co. Ltd. (Japan)		3,100		86,391
SUPERVALU, Inc.(a)		21,410		173,849
Sysco Corp.(a)		58,600		1,718,738
Tesco PLC (United Kingdom)		13,265		83,112
Walgreen Co.(a)		93,500		3,091,110
Wal-Mart Stores, Inc.		183,100		10,942,056
Whole Foods Market, Inc.		16,300		1,134,154
WM Morrison Supermarkets PLC (United Kingdom)		30,201		152,994
Woolworths Ltd. (Australia)		2,982		76,555

				29,332,534

Food Products — 1.1%
Archer-Daniels-Midland Co.		69,626		1,991,304
Aryzta AG (Switzerland)		1,769		85,503
Associated British Foods PLC (United Kingdom)		4,274		73,477
Campbell Soup Co.(a)		18,600		618,264


COMMON STOCKS (continued)	Shares		Value (Note 2)

Food Products (continued)
ConAgra Foods, Inc.		43,700	$	1,153,680
Danone (France)		472		29,671
Dean Foods Co.*		20,800		232,960
General Mills, Inc.		65,200		2,634,732
Golden Agri-Resources Ltd. (Singapore)		120,000		66,150
H.J. Heinz Co.(a)		32,900		1,777,916
Hershey Co. (The)(a)		15,700		969,946
Hormel Foods Corp.		14,600		427,634
J.M. Smucker Co. (The)		12,300		961,491
Kellogg Co.(a)		25,600		1,294,592
Kraft Foods, Inc. (Class A Stock)		181,553		6,782,820
Lindt & Spruengli AG (Switzerland)		1		33,418
McCormick & Co., Inc.		12,800		645,376
Mead Johnson Nutrition Co.		20,867		1,434,189
Nestle SA (Switzerland)		6,246		359,080
Sara Lee Corp.		59,700		1,129,524
Suedzucker AG (Germany)		191		6,093
Tyson Foods, Inc. (Class A Stock)		30,600		631,584
Unilever NV CVA (Netherlands)		2,164		74,416
Unilever PLC (United Kingdom)		1,108		37,219

				23,451,039

Gas Utilities — 0.1%
AGL Resources, Inc.		6,939		293,242
Enagas (Spain)		3,593		66,452
Gas Natural SDG SA (Spain)		3,581		61,479
Hong Kong & China Gas Co. Ltd. (Hong Kong)		37,000		85,752
ONEOK, Inc.		10,900		944,921

				1,451,846

Healthcare Equipment & Supplies — 1.0%
Baxter International, Inc.		58,200		2,879,736
Becton Dickinson and Co.		22,300		1,666,256
Boston Scientific Corp.*		157,667		841,942
C.R. Bard, Inc.(a)		9,100		778,050
CareFusion Corp.*		25,375		644,778
Coloplast A/S (Denmark) (Class B Stock)		833		119,802
Covidien PLC		50,600		2,277,506
DENTSPLY International, Inc.		14,400		503,856
Edwards Lifesciences Corp.*		11,700		827,190
Intuitive Surgical, Inc.*(a)		4,000		1,852,040
Medtronic, Inc.		109,200		4,176,900
St. Jude Medical, Inc.		33,600		1,152,480
Stryker Corp.		34,100		1,695,111
Varian Medical Systems, Inc.*(a)		12,000		805,560
Zimmer Holdings, Inc.*		19,600		1,047,032

				21,268,239

Healthcare Providers & Services — 1.1%
Aetna, Inc.		38,400		1,620,096
AmerisourceBergen Corp. (Class A Stock)		28,000		1,041,320
Cardinal Health, Inc.		35,750		1,451,808
CIGNA Corp.		29,300		1,230,600
Coventry Health Care, Inc.*		17,050		517,809
DaVita, Inc.*(a)		9,400		712,614

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Healthcare Providers & Services (continued)
Express Scripts, Inc.*(a)		49,600	$	2,216,624
Fresenius Se & Co. KGaA (Germany)		182		16,837
Humana, Inc.		17,200		1,506,892
Laboratory Corp. of America Holdings*(a)		9,600		825,312
McKesson Corp.		25,730		2,004,624
Medco Health Solutions, Inc.*		40,798		2,280,608
Patterson Cos., Inc.(a)		9,000		265,680
Quest Diagnostics, Inc.		16,300		946,378
Tenet Healthcare Corp.*		44,600		228,798
UnitedHealth Group, Inc.		110,600		5,605,208
WellPoint, Inc.		37,200		2,464,500

				24,935,708

Healthcare Technology
Cerner Corp.*		14,800		906,500

Hotels, Restaurants & Leisure — 1.1%
Carnival Corp.		45,600		1,488,384
Chipotle Mexican Grill, Inc.*(a)		3,150		1,063,881
Darden Restaurants, Inc.		13,150		599,377
Galaxy Entertainment Group Ltd. (Hong Kong)*		37,000		67,839
International Game Technology		28,200		485,040
Marriott International, Inc. (Class A Stock)		29,528		861,332
McDonald’s Corp.		105,900		10,624,947
Sands China Ltd. (Hong Kong)*		53,200		150,354
Starbucks Corp.		76,500		3,519,765
Starwood Hotels & Resorts Worldwide, Inc.		19,900		954,603
Wyndham Worldwide Corp.		17,620		666,565
Wynn Macau Ltd. (Macau)		24,400		61,262
Wynn Resorts Ltd.		8,200		906,018
Yum! Brands, Inc.		47,500		2,802,975

				24,252,342

Household Durables — 0.1%
D.R. Horton, Inc.(a)		28,700		361,907
Harman International Industries, Inc.		6,400		243,456
Leggett & Platt, Inc.(a)		17,500		403,200
Lennar Corp. (Class A Stock)(a)		17,200		337,980
Newell Rubbermaid, Inc.		27,314		441,121
Pulte Group, Inc.*(a)		33,522		211,524
Sekisui Chemical Co. Ltd. (Japan)		17,000		140,249
Whirlpool Corp.(a)		7,326		347,619

				2,487,056

Household Products — 1.2%
Clorox Co. (The)(a)		13,600		905,216
Colgate-Palmolive Co.		49,900		4,610,261
Henkel AG & Co. KGaA (Germany)		653		31,608
Kimberly-Clark Corp.		40,100		2,949,756
Procter & Gamble Co. (The)		282,625		18,853,914
Reckitt Benckiser Group PLC (United Kingdom)		1,735		85,683

				27,436,438


COMMON STOCKS (continued)	Shares		Value (Note 2)

Independent Power Producers & Energy Traders — 0.1%
AES Corp. (The)*		65,000	$	769,600
Constellation Energy Group, Inc.		22,300		884,641
EDP Renovaveis SA (Spain)*		2,684		16,424
NRG Energy, Inc.*		23,200		420,384

				2,091,049

Industrial Conglomerates — 1.4%
3M Co.		72,600		5,933,598
Danaher Corp.		55,900		2,629,536
General Electric Co.		1,085,200		19,435,932
Keppel Corp. Ltd. (Singapore)		7,000		50,191
Siemens AG (Germany)		1,786		170,914
Tyco International Ltd.		47,900		2,237,409

				30,457,580

Insurance — 1.9%
ACE Ltd.		34,500		2,419,140
Aegon NV (Netherlands)*		1,561		6,265
Aflac, Inc.		47,800		2,067,828
Allianz SE (Germany)		1,665		159,270
Allstate Corp. (The)		53,400		1,463,694
American International Group, Inc.*(a)		46,839		1,086,665
Aon Corp.		34,300		1,605,240
Assurant, Inc.		12,300		505,038
Aviva PLC (United Kingdom)		27,910		130,378
AXA SA (France)		6,996		90,953
Berkshire Hathaway, Inc. (Class B Stock)*		178,900		13,650,070
Chubb Corp.		29,800		2,062,756
Cincinnati Financial Corp.		19,237		585,959
Delta Lloyd NV (Netherlands)		5,497		92,488
Genworth Financial, Inc. (Class A Stock)*		63,400		415,270
Gjensidige Forsikring ASA (Norway)		340		3,940
Hannover Rueckversicherung AG (Germany)		864		42,856
Hartford Financial Services Group, Inc. (The)		49,700		807,625
Legal & General Group PLC (United Kingdom)		56,773		90,636
Lincoln National Corp.(a)		36,318		705,296
Loews Corp.		32,875		1,237,744
Mapfre SA (Spain)		4,505		14,314
Marsh & McLennan Cos., Inc.		55,900		1,767,558
MetLife, Inc.		107,900		3,364,322
Muenchener Rueckversicherungs AG (Germany)		107		13,126
Old Mutual PLC (United Kingdom)		76,653		161,301
Principal Financial Group, Inc.		34,800		856,080
Progressive Corp. (The)		68,600		1,338,386
Resolution Ltd. (United Kingdom)		7,378		28,805
RSA Insurance Group PLC (United Kingdom)		42,876		70,048
SCOR SE (France)		1,109		25,922
Swiss Life Holding AG (Switzerland)		579		53,258
Swiss Re AG (Switzerland)		231		11,773
Torchmark Corp.		13,750		596,612

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Insurance (continued)
Travelers Cos., Inc. (The)		42,735	$	2,528,630
Unum Group		34,410		725,019
XL Group PLC (Class A Stock)		35,200		695,904
Zurich Financial Services AG (Switzerland)*		577		130,536

				41,610,705

Internet & Catalog Retail — 0.4%
Amazon.com, Inc.*		36,700		6,352,770
Expedia, Inc.(a)		11,150		323,573
Netflix, Inc.*(a)		4,600		318,734
priceline.com, Inc.*		5,100		2,385,321
Tripadvisor, Inc.*(a)		11,150		281,091

				9,661,489

Internet Software & Services — 1.1%
Akamai Technologies, Inc.*		19,700		635,916
Dena Co. Ltd. (Japan)		700		20,999
eBay, Inc.*		116,600		3,536,478
Google, Inc. (Class A Stock)*		25,800		16,664,220
Gree, Inc. (Japan)		5,000		172,275
VeriSign, Inc.		16,900		603,668
Yahoo!, Inc.*		131,000		2,113,030

				23,746,586

IT Services — 2.1%
Accenture PLC (Ireland) (Class A Stock)		66,300		3,529,149
Automatic Data Processing, Inc.		51,000		2,754,510
Cognizant Technology Solutions Corp. (Class A Stock)*		32,100		2,064,351
Computer Sciences Corp.		17,000		402,900
Fidelity National Information Services, Inc.		28,700		763,133
Fiserv, Inc.*		15,100		886,974
International Business Machines Corp.		123,100		22,635,628
Mastercard, Inc. (Class A Stock)		11,000		4,101,020
Otsuka Corp. (Japan)		2,100		144,602
Paychex, Inc.		34,000		1,023,740
SAIC, Inc.*(a)		29,000		356,410
Teradata Corp.*		17,200		834,372
Total System Services, Inc.		15,596		305,058
Visa, Inc. (Class A Stock)		52,500		5,330,325
Western Union Co. (The)		64,510		1,177,952

				46,310,124

Leisure Equipment & Products — 0.1%
Hasbro, Inc.		13,600		433,704
Mattel, Inc.(a)		37,051		1,028,536
Namco Bandai Holdings, Inc. (Japan)		3,300		46,990
Nikon Corp. (Japan)		2,700		60,124

				1,569,354

Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.*		35,514		1,240,504
Life Technologies Corp.*		18,301		712,092
PerkinElmer, Inc.		12,600		252,000
Thermo Fisher Scientific, Inc.*		39,100		1,758,327
Waters Corp.*		8,800		651,640

				4,614,563


COMMON STOCKS (continued)	Shares		Value (Note 2)

Machinery — 1.1%
Caterpillar, Inc.(a)		65,800	$	5,961,480
Cummins, Inc.		19,900		1,751,598
Deere & Co.		42,900		3,318,315
Dover Corp.		19,600		1,137,780
Eaton Corp.		34,800		1,514,844
FANUC Corp. (Japan)		1,400		214,265
Flowserve Corp.		5,700		566,124
Illinois Tool Works, Inc.		51,100		2,386,881
Ingersoll-Rand PLC		33,800		1,029,886
Joy Global, Inc.		10,300		772,191
Kone OYJ (Finland) (Class B Stock)		933		48,422
Metso OYJ (Finland)		1,312		48,649
PACCAR, Inc.(a)		36,943		1,384,254
Pall Corp.		11,700		668,655
Parker Hannifin Corp.		16,565		1,263,081
Snap-on, Inc.		7,000		354,340
Stanley Black & Decker, Inc.		17,197		1,162,517
Sumitomo Heavy Industries Ltd. (Japan)		6,000		35,001
Volvo AB (Sweden) (Class B Stock)		6,299		68,921
Weir Group PLC (The) (United Kingdom)		962		30,358
Xylem, Inc.		14,000		359,660
Yangzijiang Shipbuilding Holdings Ltd. (Singapore)		103,000		72,264

				24,149,486

Marine
AP Moller-Maersk A/S (Denmark) (Class B Stock)		3		19,807

Media — 1.7%
Cablevision Systems Corp. (Class A Stock)		23,500		334,170
CBS Corp. (Class B Stock)		68,334		1,854,585
Comcast Corp. (Class A Stock)		285,190		6,761,855
DIRECTV (Class A Stock)*(a)		77,000		3,292,520
Discovery Communications, Inc. (Class A Stock)*		28,400		1,163,548
Gannett Co., Inc.		24,900		332,913
Interpublic Group of Cos., Inc. (The)		48,331		470,261
ITV PLC (United Kingdom)		59,791		63,281
McGraw-Hill Cos., Inc. (The)		31,400		1,412,058
News Corp. (Class A Stock)		233,300		4,162,072
Omnicom Group, Inc.(a)		28,700		1,279,446
Reed Elsevier NV (Netherlands)		1,732		20,190
Scripps Networks Interactive, Inc. (Class A Stock)(a)		9,200		390,264
Time Warner Cable, Inc.		32,914		2,092,343
Time Warner, Inc.(a)		108,666		3,927,189
Viacom, Inc. (Class B Stock)		59,734		2,712,521
Walt Disney Co. (The)		188,900		7,083,750
Washington Post Co. (The) (Class B Stock)(a)		600		226,086
WPP PLC (United Kingdom)		3,740		39,234

				37,618,286

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Metals & Mining — 0.5%
Alcoa, Inc.		108,640	$	939,736
Allegheny Technologies, Inc.		9,900		473,220
Anglo American PLC (United Kingdom)		1,259		46,515
Antofagasta PLC (United Kingdom)		300		5,661
BHP Billiton Ltd. (Australia)		6,906		243,124
BHP Billiton PLC (Australia)		8,584		250,287
Cliffs Natural Resources, Inc.		14,800		922,780
Daido Steel Co. Ltd. (Japan)		1,000		6,275
Freeport-McMoRan Copper & Gold, Inc.		96,688		3,557,152
Fresnillo PLC (United Kingdom)		3,686		87,410
Iluka Resources Ltd. (Australia)		3,366		53,362
Newmont Mining Corp.		50,400		3,024,504
Nippon Steel Corp. (Japan)		25,000		62,362
Nucor Corp.		32,300		1,278,111
OZ Minerals Ltd. (Australia)		2,449		25,073
Randgold Resources Ltd. (United Kingdom)		535		54,711
Rio Tinto Ltd. (Australia)		2,403		148,204
Rio Tinto PLC (United Kingdom)		4,078		197,909
Titanium Metals Corp.		12,900		193,242
United States Steel Corp.(a)		14,700		388,962
Vedanta Resources PLC (India)		5,517		86,964
Voestalpine AG (Austria)		776		21,764
Xstrata PLC (United Kingdom)		1,010		15,340

				12,082,668

Multiline Retail — 0.5%
Big Lots, Inc.*		7,200		271,872
Dollar Tree, Inc.*		10,300		856,033
Family Dollar Stores, Inc.		12,900		743,814
Isetan Mitsukoshi Holdings, Ltd. (Japan)		1,000		10,485
J.C. Penney Co., Inc.(a)		14,400		506,160
Kohl’s Corp.		28,600		1,411,410
Lifestyle International Holdings Ltd. (Hong Kong)		32,500		71,640
Macy’s, Inc.		43,574		1,402,211
Nordstrom, Inc.		17,100		850,041
PPR (France)		235		33,654
Sears Holdings Corp.*(a)		4,442		141,167
Target Corp.		70,400		3,605,888

				9,904,375

Multi-Utilities — 0.8%
Ameren Corp.		25,700		851,441
CenterPoint Energy, Inc.		44,200		887,978
Centrica PLC (United Kingdom)		1,632		7,332
CMS Energy Corp.		29,000		640,320
Consolidated Edison, Inc.(a)		29,900		1,854,697
Dominion Resources, Inc.		58,832		3,122,803
DTE Energy Co.		16,600		903,870
GDF Suez (France)		3,031		82,851
Integrys Energy Group, Inc.		8,120		439,942
National Grid PLC (United Kingdom)		1,959		19,014
NiSource, Inc.		28,000		666,680
PG&E Corp.		40,600		1,673,532


COMMON STOCKS (continued)	Shares		Value (Note 2)

Multi-Utilities (continued)
Public Service Enterprise Group, Inc.		52,000	$	1,716,520
RWE AG (Germany)		2,345		82,401
SCANA Corp.(a)		11,300		509,178
Sempra Energy		24,419		1,343,045
TECO Energy, Inc.		20,500		392,370
Wisconsin Energy Corp.		26,200		915,952
Xcel Energy, Inc.		49,410		1,365,692

				17,475,618

Office Electronics — 0.1%
Canon, Inc. (Japan)		4,000		177,212
Xerox Corp.		143,263		1,140,373

				1,317,585

Oil, Gas & Consumable Fuels — 5.6%
Alpha Natural Resources, Inc.*(a)		21,808		445,537
Anadarko Petroleum Corp.		50,754		3,874,053
Apache Corp.		40,114		3,633,526
BG Group PLC (United Kingdom)		178		3,805
BP PLC (United Kingdom)		49,905		356,896
Cabot Oil & Gas Corp.		10,500		796,950
Chesapeake Energy Corp.(a)		67,200		1,497,888
Chevron Corp.		205,722		21,888,821
ConocoPhillips		140,477		10,236,559
Consol Energy, Inc.		23,100		847,770
Denbury Resources, Inc.*		38,600		582,860
Devon Energy Corp.		43,200		2,678,400
El Paso Corp.		79,036		2,099,987
ENI SpA (Italy)		9,524		197,346
EOG Resources, Inc.		27,400		2,699,174
EQT Corp.		15,300		838,287
Exxon Mobil Corp.		498,299		42,235,823
Hess Corp.		30,900		1,755,120
Idemitsu Kosan Co. Ltd. (Japan)		300		30,947
Japan Petroleum Exploration Co. (Japan)		200		7,821
JX Holdings, Inc. (Japan)		12,400		74,912
Marathon Oil Corp.		72,682		2,127,402
Marathon Petroleum Corp.		36,341		1,209,792
Murphy Oil Corp.		19,800		1,103,652
Newfield Exploration Co.*		13,900		524,447
Noble Energy, Inc.		18,000		1,699,020
Occidental Petroleum Corp.		84,100		7,880,170
Peabody Energy Corp.		27,600		913,836
Pioneer Natural Resources Co.		12,700		1,136,396
QEP Resources, Inc.		19,800		580,140
Range Resources Corp.		17,300		1,071,562
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		9,278		353,588
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		10,290		378,892
Santos Ltd. (Australia)		6,689		83,740
Southwestern Energy Co.*		35,600		1,137,064
Spectra Energy Corp.		66,362		2,040,632
Statoil ASA (Norway)		1,688		43,323
Sunoco, Inc.(a)		11,500		471,730
Tesoro Corp.*(a)		15,000		350,400
Total SA (France)		6,568		335,774

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Oil, Gas & Consumable Fuels (continued)
Valero Energy Corp.		59,400	$	1,250,370
Williams Cos., Inc. (The)		60,100		1,984,502
Woodside Petroleum Ltd. (Australia)		1,220		38,208

				123,497,122

Paper & Forest Products — 0.1%
Holmen AB (Sweden), Ser. B (Class B Stock)		149		4,280
International Paper Co.		46,973		1,390,401
MeadWestvaco Corp.		16,514		494,594

				1,889,275

Personal Products — 0.1%
Avon Products, Inc.		47,100		822,837
Estee Lauder Cos., Inc. (The) (Class A Stock)		11,900		1,336,608
Kao Corp. (Japan)		3,000		81,967

				2,241,412

Pharmaceuticals — 3.5%
Abbott Laboratories		159,800		8,985,554
Allergan, Inc.		31,100		2,728,714
AstraZeneca PLC (United Kingdom)		6,715		310,242
Bayer AG (Germany)		1,889		120,775
Bristol-Myers Squibb Co.		174,170		6,137,751
Eli Lilly & Co.		104,000		4,322,240
Forest Laboratories, Inc.*		29,900		904,774
GlaxoSmithKline PLC (United Kingdom)		10,710		244,747
Hospira, Inc.*		18,460		560,630
Johnson & Johnson		281,448		18,457,360
Merck & Co., Inc.		316,533		11,933,294
Mylan, Inc.*		48,100		1,032,226
Novartis AG (Switzerland)		5,566		318,210
Novo Nordisk A/S (Denmark) (Class B Stock)		1,973		226,730
Orion OYJ (Finland) (Class B Stock)		1,970		38,373
Otsuka Holdings Co. Ltd. (Japan)		200		5,623
Perrigo Co.		7,200		700,560
Pfizer, Inc.		801,870		17,352,467
Roche Holding AG (Switzerland)		1,853		314,061
Sanofi (France)		4,020		295,263
Shire PLC (United Kingdom)		1,057		36,819
Taisho Pharmaceutical Holdings Co. Ltd. (Japan)*		100		7,717
Takeda Pharmaceutical Co. Ltd. (Japan)		1,900		83,435
Teva Pharmaceutical Industries Ltd. (Israel)		1,317		53,012
Watson Pharmaceuticals, Inc.*		12,900		778,386

				75,948,963

Professional Services — 0.1%
Dun & Bradstreet Corp. (The)		4,800		359,184
Equifax, Inc.(a)		12,700		491,998
Robert Half International, Inc.		14,200		404,132

				1,255,314


COMMON STOCKS (continued)	Shares		Value (Note 2)

Real Estate Investment Trusts — 1.0%
Apartment Investment & Management Co. (Class A Stock)(a)		13,033	$	298,586
AvalonBay Communities, Inc.		9,075		1,185,195
Boston Properties, Inc.		14,900		1,484,040
Dexus Property Group (Australia)		26,340		22,361
Equity Residential		30,100		1,716,603
GPT Group (Australia)		18,234		57,255
HCP, Inc.(a)		43,400		1,798,062
Health Care REIT, Inc.(a)		19,400		1,057,882
Host Hotels & Resorts, Inc.(a)		74,882		1,106,007
Kimco Realty Corp.		39,000		633,360
Mirvac Group (Australia)		16,340		19,721
Plum Creek Timber Co., Inc.(a)		15,700		573,992
ProLogis, Inc.*		46,377		1,325,918
Public Storage(a)		14,300		1,922,778
Simon Property Group, Inc.		29,943		3,860,850
Stockland (Australia)		33,434		109,086
Ventas, Inc.		29,318		1,616,301
Vornado Realty Trust		18,525		1,423,832
Westfield Retail Trust (Australia)		17,094		43,534
Weyerhaeuser Co.		52,698		983,872

				21,239,235

Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		28,100		427,682
Cheung Kong Holdings Ltd. (Hong Kong)		2,000		23,794
Daito Trust Construction Co. Ltd. (Japan)		300		25,725
Daiwa House Industry Co. Ltd. (Japan)		10,000		119,267
IMMOFINANZ AG (Austria)		4,999		15,010
Lend Lease Group (Australia)(b)		10,136		74,228
Tokyu Land Corp. (Japan)		24,000		90,737
UOL Group Ltd. (Singapore)		23,000		70,930
Wheelock & Co. Ltd. (Hong Kong)		11,000		27,250

				874,623

Road & Rail — 0.5%
Central Japan Railway Co. (Japan)		15		126,673
CSX Corp.		112,600		2,371,356
East Japan Railway Co. (Japan)		2,700		171,885
Nippon Express Co. Ltd. (Japan)		8,000		31,181
Norfolk Southern Corp.		36,900		2,688,534
Ryder System, Inc.		4,900		260,386
Union Pacific Corp.		50,100		5,307,594
West Japan Railway Co. (Japan)		1,000		43,458

				11,001,067

Semiconductors & Semiconductor Equipment — 1.3%
Advanced Micro Devices, Inc.*(a)		55,700		300,780
Altera Corp.		33,200		1,231,720
Analog Devices, Inc.		32,400		1,159,272
Applied Materials, Inc.		134,600		1,441,566
Broadcom Corp. (Class A Stock)		48,750		1,431,300
First Solar, Inc.*(a)		5,500		185,680
Intel Corp.		534,600		12,964,050
KLA-Tencor Corp.		17,100		825,075
Linear Technology Corp.		24,400		732,732
LSI Corp.*		65,700		390,915

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Semiconductors & Semiconductor Equipment (continued)
Microchip Technology, Inc.(a)		19,400	$	710,622
Micron Technology, Inc.*		87,900		552,891
Novellus Systems, Inc.*		8,800		363,352
NVIDIA Corp.*(a)		61,450		851,697
Teradyne, Inc.*(a)		19,800		269,874
Texas Instruments, Inc.		118,600		3,452,446
Xilinx, Inc.		27,100		868,826

				27,732,798

Software — 1.9%
Adobe Systems, Inc.*		51,500		1,455,905
Autodesk, Inc.*		24,700		749,151
BMC Software, Inc.*		19,900		652,322
CA, Inc.		37,064		749,249
Citrix Systems, Inc.*		19,100		1,159,752
Dassault Systemes SA (France)		120		9,618
Electronic Arts, Inc.*		33,600		692,160
Intuit, Inc.		31,300		1,646,067
Microsoft Corp.		768,000		19,937,280
Nice Systems Ltd. (Israel)*		1,535		52,201
Oracle Corp.		405,800		10,408,770
Red Hat, Inc.*		18,800		776,252
Salesforce.com, Inc.*		12,900		1,308,834
SAP AG (Germany)		3,428		181,238
Symantec Corp.*		77,178		1,207,836

				40,986,635

Specialty Retail — 1.1%
Abercrombie & Fitch Co. (Class A Stock)		8,300		405,372
AutoNation, Inc.*(a)		3,874		142,834
AutoZone, Inc.*		3,000		974,910
Bed Bath & Beyond, Inc.*		25,400		1,472,438
Best Buy Co., Inc.		32,925		769,457
CarMax, Inc.*(a)		24,000		731,520
GameStop Corp. (Class A Stock)*(a)		13,600		328,168
Gap, Inc. (The)		37,900		703,045
Hennes & Mauritz AB (Sweden) (Class B Stock)		362		11,641
Home Depot, Inc. (The)		162,550		6,833,602
Inditex SA (Spain)		1,070		87,633
Kingfisher PLC (United Kingdom)		18,431		71,758
Limited Brands, Inc.(a)		25,706		1,037,237
Lowe’s Cos., Inc.(a)		131,700		3,342,546
Orchard Supply Hardware Stores Corp. (Class A Stock)*		200		449
O’Reilly Automotive, Inc.*		14,600		1,167,270
Ross Stores, Inc.		23,800		1,131,214
Staples, Inc.		74,049		1,028,541
Tiffany & Co.		13,000		861,380
TJX Cos., Inc.		39,100		2,523,905
Urban Outfitters, Inc.*(a)		11,100		305,916
USS Co. Ltd. (Japan)		590		53,351
Yamada Denki Co. Ltd. (Japan)		760		51,740

				24,035,927

Textiles, Apparel & Luxury Goods — 0.4%
Christian Dior SA (France)		168		19,919
Cie Financiere Richemont SA (Switzerland)		1,680		84,975


COMMON STOCKS (continued)	Shares		Value (Note 2)

Textiles, Apparel & Luxury Goods (continued)
Coach, Inc.		30,700	$	1,873,928
LVMH Moet Hennessy Louis Vuitton SA (France)		622		88,069
NIKE, Inc. (Class B Stock)		38,700		3,729,519
Ralph Lauren Corp. (Class A Stock)		6,600		911,328
Swatch Group AG (The) (Bearer Shares) (Switzerland)		106		39,667
Swatch Group AG (The) (Registered Shares) (Switzerland)		883		58,848
V.F. Corp.(a)		8,900		1,130,211

				7,936,464

Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.(a)		49,900		311,875
People’s United Financial, Inc.		36,300		466,455

				778,330

Tobacco — 1.1%
Altria Group, Inc.		213,800		6,339,170
British American Tobacco PLC (United Kingdom)		3,977		188,715
Imperial Tobacco Group PLC (United Kingdom)		4,986		188,547
Lorillard, Inc.		14,647		1,669,758
Philip Morris International, Inc.		181,400		14,236,272
Reynolds American, Inc.		34,800		1,441,416
Swedish Match AB (Sweden)		670		23,783

				24,087,661

Trading Companies & Distributors — 0.1%
Fastenal Co.(a)		30,100		1,312,661
ITOCHU Corp. (Japan)		8,000		81,278
Marubeni Corp. (Japan)		10,000		60,933
Mitsubishi Corp. (Japan)		3,400		68,689
Mitsui & Co. Ltd. (Japan)		3,700		57,541
Sumitomo Corp. (Japan)		7,700		104,241
Toyota Tsusho Corp. (Japan)		2,900		51,278
W.W. Grainger, Inc.		6,200		1,160,578

				2,897,199

Transportation Infrastructure
Atlantia SpA (Italy)		710		11,367
Kamigumi Co. Ltd. (Japan)		3,000		25,880

				37,247

Wireless Telecommunication Services — 0.2%
American Tower Corp. (Class A Stock)		40,500		2,430,405
KDDI Corp. (Japan)		19		122,190
MetroPCS Communications, Inc.*		29,500		256,060
Millicom International Cellular SA (Luxembourg)		185		18,535
Softbank Corp. (Japan)		3,300		97,195
Sprint Nextel Corp.*		322,977		755,766
Vodafone Group PLC (United Kingdom)		112,485		312,517

				3,992,668

TOTAL COMMON STOCKS (cost $840,097,921)				1,199,361,605

SEE NOTES TO FINANCIAL STATEMENTS.


EXCHANGE TRADED FUND	Shares		Value (Note 2)

iShares MSCI EAFE Index Fund (cost $452,631)		9,100	$	450,723

PREFERRED STOCKS — 0.1%
Automobiles
Bayerische Motoren Werke AG (Germany)		317		14,996
Porsche Automobil Holding SE (Germany)		1,428		76,422
Volkswagen AG (Germany)		821		122,994

				214,412

Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(c)		20,000		521,200


PREFERRED STOCKS (continued)	Shares		Value (Note 2)

Banking (continued)
JPMorgan Chase Capital XXVI, 8.000% (Capital Security, fixed to floating preferred)(c)		28,000	$	725,200

				1,246,400

Household Products
Henkel AG & Co. KGaA (Germany)		145		8,368

Multi-Utilities
RWE AG (Germany)		408		13,431

Specialty Retail
Orchard Supply Hardware Stores Corp., Ser. A*		200		449

TOTAL PREFERRED STOCKS (cost $1,478,911)				1,483,060


ASSET-BACKED SECURITIES — 1.2%	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#

Non-Residential Mortgage-Backed Securities — 0.8%
Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(c)	Aaa		0.672%	10/27/18	$	1,000	$	952,556
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(c)	Aaa		2.066%	05/17/21		500		493,465
BA Credit Card Trust, Ser. 2006-C5, Class C5(c)	A3		0.678%	01/15/16		4,159		4,101,408
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.756%	05/25/17		1,908		1,840,350
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.682%	08/03/19		454		436,765
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(c)	Baa2		0.685%	02/20/15		1,500		1,486,562
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(c)	Aaa		0.772%	07/27/16		49		48,670
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(c)	Aaa		0.666%	07/22/20		817		764,869
Fuel Trust, Sec’d. Notes, 144A	Baa2		3.984%	06/15/16		430		429,942
Fuel Trust, Sec’d. Notes, 144A	Baa2		4.207%	04/15/16		1,440		1,452,224
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.663%	12/15/17		1,139		1,113,531
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(c)	Aaa		0.763%	07/15/16		92		90,879
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(c)	Aaa		0.646%	10/19/20		1,257		1,194,699
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(c)	Aaa		0.787%	06/01/17		500		475,000
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2004-3A, Class A1LA, 144A(c)	Aaa		0.872%	02/15/16		165		165,026
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(c)	Aaa		0.796%	03/15/18		395		378,922
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		224		229,052
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(c)	Aaa		0.679%	11/01/18		2,100		1,994,120

								17,648,040

Residential Mortgage-Backed Securities — 0.4%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(c)	B2		1.944%	03/25/33		533		315,672
CDC Mortgage Capital Trust, Ser. 2003-HE1, Class M2(c)	Ca		3.219%	08/25/33		42		22,861
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(c)	Baa1		1.044%	03/25/34		3,240		2,284,019
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3	B3		5.120%	07/25/35		395		324,655
Equity One ABS, Inc., Ser. 2004-3, Class M1	Baa1		5.700%	07/25/34		868		688,542
Fremont Home Loan Trust, Ser. 2004-2, Class M1(c)	Aa2		1.149%	07/25/34		506		373,259

SEE NOTES TO FINANCIAL STATEMENTS.

A10


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Residential Mortgage-Backed Securities (continued)
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(c)	Aa1		0.775%	01/20/35	$	385	$	333,864
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(c)	B1		0.824%	06/25/34		1,074		764,149
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(c)	Ba2		1.494%	05/25/33		260		196,706
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(c)	Baa2		1.344%	12/27/33		1,468		1,162,585
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(c)	Caa3		1.194%	07/25/32		782		551,063
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(c)	B2		1.569%	09/25/32		913		703,920
Securitized Asset Backed Receivables LLC, Ser. 2004-OP1, Class M1(c)	Ba3		1.059%	02/25/34		1,413		1,036,493
Securitized Asset Backed Receivables LLC, Ser. 2006-FR3, Class A3(c)	Ca		0.544%	05/25/36		1,400		454,089

								9,211,877

TOTAL ASSET-BACKED SECURITIES (cost $29,377,550)								26,859,917

BANK LOANS(c) — 0.2%
Cable
Insight Midwest Holding LLC	Ba3		1.270%	10/06/13		678		669,448

Foods
Del Monte Foods Co.	Ba3		4.500%	03/08/18		1,025		971,045

Healthcare & Pharmaceutical — 0.1%
HCA, Inc.	Ba3		3.688%	05/01/18		370		348,567
HCA, Inc.	Ba3		3.829%	03/31/17		886		839,351

								1,187,918

Technology — 0.1%
First Data Corp.	B1		3.044%	09/24/14		126		113,668
First Data Corp.	B1		3.044%	09/24/14		93		83,357
First Data Corp.	B1		4.294%	03/26/18		2,055		1,717,546
Flextronics International Ltd. (Singapore)	Ba1		2.520%	10/01/14		414		404,983
Flextronics International Ltd. (Singapore)	Ba1		2.546%	10/01/14		119		117,044

								2,436,598

TOTAL BANK LOANS (cost $5,707,415)								5,265,009

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,597		1,849,910
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(c)	B2		2.875%	02/25/35		616		504,363
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(c)	Caa1		2.835%	03/25/35		640		493,754
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(c)	Ba2		2.760%	02/25/37		1,558		1,413,271
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		858		874,160
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(c)	B1		2.782%	07/25/35		982		864,207
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		223		228,328
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(c)	Baa1		2.480%	02/25/34		691		616,250
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(d)		5.000%	03/25/20		568		505,907

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $8,703,512)								7,350,150

COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.0%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		3,680		3,800,785
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		2,000		2,033,582
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(c)	Aaa		5.622%	06/10/49		3,779		3,816,463

SEE NOTES TO FINANCIAL STATEMENTS.

A11


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45	$	3,400	$	3,586,306
Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, Class A4(c)	AAA(d)		5.441%	03/11/39		1,200		1,330,325
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(c)	Aaa		5.344%	01/15/46		1,000		1,081,202
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A(c)	AA-(d)		5.440%	09/15/30		714		742,481
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(c)	AAA(d)		5.751%	06/10/46		4,000		4,416,992
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		2,161		2,167,505
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		900		947,458
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(c)	AAA(d)		5.419%	02/15/39		4,330		4,791,963
CS First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4	Aaa		4.283%	10/15/39		107		107,664
CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4	AAA(d)		5.100%	08/15/38		3,000		3,284,139
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(c)	AAA(d)		5.816%	05/15/46		2,100		2,221,498
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(d)		4.697%	05/10/43		2,610		2,824,002
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(c)	Aaa		5.224%	04/10/37		1,400		1,498,956
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,107		3,124,200
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(c)	Aaa		5.778%	08/10/45		2,004		2,037,302
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(c)	Aaa		4.853%	03/15/46		2,094		2,177,785
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		452		455,835
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,035,081
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		3,803		3,956,429
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(c)	Aa2		4.999%	10/15/42		1,170		1,230,867
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		1,861		1,990,103
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class A4(c)	Aaa		5.475%	04/15/43		2,436		2,679,710
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A2(c)	Aaa		5.802%	06/15/49		1,991		2,013,217
JPMorgan Chase Commercial Mortgage Securities Corp. I/O, Ser. 2006-LDP6, Class X2(c)	Aaa		0.223%	04/15/43		101,779		123,866
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(c)	AAA(d)		4.826%	08/15/29		4,614		4,691,923
LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5	Aaa		4.739%	07/15/30		695		750,183
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(c)	AA(d)		5.263%	11/15/40		1,390		1,468,114
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(d)		5.084%	02/15/31		3,037		3,068,088
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,773
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(c)	Aaa		5.661%	03/15/39		1,630		1,791,740
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		1,900		2,002,136
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(c)	AAA(d)		5.666%	05/12/39		3,400		3,791,507
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4	Aaa		5.878%	06/12/46		2,210		2,466,733
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5, Class A3	Aaa		5.364%	08/12/48		440		455,499
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		4,460		4,472,390
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(c)	Aaa		5.417%	03/12/44		1,500		1,642,807

SEE NOTES TO FINANCIAL STATEMENTS.

A12


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(c)	AAA(d)		5.728%	10/15/42	$	2,600	$	2,870,876
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(d)		5.332%	12/15/43		4,080		4,560,424
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		4,400		4,610,074
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(c)	AAA(d)		5.638%	06/11/42		1,040		1,099,864
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(c)	Aaa		5.418%	01/15/45		1,300		1,416,229
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(c)	Aaa		5.737%	05/15/43		5,188		5,741,260
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		2,000		2,108,744

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $99,671,124)								108,539,080

CORPORATE BONDS — 10.7%
Aerospace & Defense
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		475		469,324

Airlines — 0.2%
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 01A1(e)	Baa2		6.703%	06/15/21		128		129,633
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 981A	Baa2		6.648%	09/15/17		215		219,513
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. A(a)	Baa2		4.750%	01/12/21		735		746,025
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. A	Baa2		7.250%	11/10/19		672		715,651
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., Ser. A(a)	Baa2		5.300%	04/15/19		1,140		1,151,400
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 071A	Baa1		6.821%	08/10/22		378		394,696
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs.,, Pass-thru Certs., Ser. 2A(a)	Baa2		4.950%	05/23/19		662		670,768
Southwest Airlines Co., Sr. Unsec’d. Notes	Baa3		6.500%	03/01/12		965		972,742

								5,000,428

Automotive
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN.	Baa1		5.750%	12/15/14		495		534,392
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		235		262,941

								797,333

Banking — 3.0%
American Express Co., Sr. Unsec’d. Notes	A3		8.125%	05/20/19		2,000		2,585,742
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%	09/19/16		1,210		1,215,929
Banco Bradesco SA (Brazil), Sub. Notes	A2		8.750%	10/24/13		1,690		1,850,550
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(c)	Ba3		8.000%	12/29/49		2,100		1,880,424
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		4.500%	04/01/15		185		178,522
Bank of America Corp., Sr. Unsec’d. Notes(f)	Baa1		6.000%	09/01/17		1,330		1,298,915
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa1		3.750%	07/12/16		790		731,476
Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN	Baa1		5.650%	05/01/18		105		100,039
Bank of America NA, Sub. Notes	A3		5.300%	03/15/17		850		766,624
Bank of America NA, Sub. Notes	A3		6.000%	10/15/36		805		669,546
Bank of Montreal (Canada), Covered Notes, 144A	Aaa		1.300%	10/31/14		3,000		2,994,852
Bank of Nova Scotia (Canada), Covered Notes, 144A	Aaa		1.250%	11/07/14		2,750		2,738,381
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	Aa3		5.300%	10/30/15		550		591,464
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	Aa3		6.400%	10/02/17		270		301,652
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	Aa3		7.250%	02/01/18		1,135		1,330,618
Capital One Bank Corp., Sub. Notes	Baa1		6.500%	06/13/13		10		10,548
Capital One Capital V, Ltd. Gtd. Notes	Baa3		10.250%	08/15/39		555		575,813
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%	05/15/40		1,130		1,172,817
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.500%	01/14/22		2,125		2,044,299

SEE NOTES TO FINANCIAL STATEMENTS.

A13


CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Banking (continued)
Citigroup, Inc., Sr. Unsec’d. Notes(a)	A3		5.375%	08/09/20	$	595	$	611,821
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.875%	03/05/38		320		351,556
Citigroup, Inc., Sr. Unsec’d. Notes	A3		8.125%	07/15/39		850		1,040,682
Citigroup, Inc., Sub. Notes(a)	Baa1		5.625%	08/27/12		1,900		1,928,696
Citigroup, Inc., Sub. Notes	Baa1		6.125%	08/25/36		725		627,132
Citigroup, Inc., Unsec’d. Notes(a)	A3		8.500%	05/22/19		1,195		1,406,618
Countrywide Financial Corp., Gtd. Notes, MTN(a)(e)	Baa1		5.800%	06/07/12		1,160		1,162,441
DEPFA ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		1,325		947,201
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		485		507,440
Discover Bank, Sub. Notes	Ba1		8.700%	11/18/19		900		1,026,167
Goldman Sachs Group, Inc. (The), Sr. Notes	A1		6.250%	02/01/41		220		215,826
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.250%	07/27/21		2,305		2,248,620
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.450%	11/01/12		580		589,848
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, MTN	A1		6.000%	06/15/20		700		717,053
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		5.625%	01/15/17		765		750,153
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.450%	05/01/36		1,770		1,597,108
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.750%	10/01/37		113		105,148
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa2		4.875%	01/14/22		1,730		1,828,425
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa2		5.100%	04/05/21		920		977,586
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		150		170,000
JPMorgan Chase & Co., Ser. 1(a)(c)	Baa1		7.900%	04/29/49		2,000		2,129,380
JPMorgan Chase & Co., Sr. Unsec’d. Notes	Aa3		3.150%	07/05/16		1,935		1,944,056
JPMorgan Chase & Co., Sr. Unsec’d. Notes	Aa3		4.250%	10/15/20		2,360		2,376,574
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA	A2		7.000%	11/01/39		1,500		1,509,375
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A1		5.800%	01/13/20		1,770		1,680,399
Morgan Stanley, Sr. Unsec’d. Notes(a)	A2		5.300%	03/01/13		30		30,367
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.500%	07/28/21		635		587,143
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.625%	09/23/19		2,110		1,954,027
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.950%	12/28/17		495		471,604
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		6.625%	04/01/18		100		98,744
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	A2		5.450%	01/09/17		2,530		2,435,793
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(c)	Ba1		6.346%	07/25/49		800		812,513
National Bank of Canada (Canada), Covered Notes, 144A	Aaa		2.200%	10/19/16		1,045		1,053,652
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		925		941,627
PNC Funding Corp., Gtd. Notes.	A3		6.700%	06/10/19		390		475,816
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	A3		6.400%	10/21/19		1,775		1,661,734
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A2		3.400%	08/23/13		95		92,422
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A(a)	Aaa		1.625%	09/14/16		2,600		2,565,776
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39		755		767,050

								65,435,784

Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		5.250%	02/06/12		1,850		474,062
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	05/02/18		700		185,500

								659,562

Cable — 0.4%
Charter Communications Operating LLC, Sec’d. Notes, 144A	Ba2		8.000%	04/30/12		1,940		1,978,800
Comcast Cable Holdings LLC, Gtd. Notes	Baa1		9.875%	06/15/22		1,440		2,063,991
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		310		372,444
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		290		368,969
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		605		623,709
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		171,744
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		1,755		1,895,690
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		386,281

								7,861,628

SEE NOTES TO FINANCIAL STATEMENTS.

A14


CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Capital Goods — 0.2%
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $459,646; purchased 10/10/07)(e)(h)	Baa1		5.800%	10/15/12	$	460	$	475,896
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(e)(h)	Baa1		6.375%	10/15/17		1,198		1,384,352
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(e)(h)	Baa1		7.000%	10/15/37		390		469,199
General Electric Co., Sr. Unsec’d. Notes	Aa2		5.250%	12/06/17		320		367,284
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41		180		204,811
United Technologies Corp., Sr. Unsec’d. Notes	A2		5.375%	12/15/17		515		609,207
Xylem, Inc., Gtd. Notes, 144A	Baa2		4.875%	10/01/21		1,060		1,123,341

								4,634,090

Chemicals — 0.2%
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		1,600		1,809,309
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		35		52,609
Ecolab, Inc., Sr. Unsec’d. Notes(a)	Baa1		5.500%	12/08/41		290		321,361
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		780		825,863
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		135		156,350
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.500%	06/01/25		500		590,116

								3,755,608

Consumer — 0.2%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,600		1,818,712
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		1,104		1,206,120
VF Corp., Sr. Unsec’d. Notes	A3		3.500%	09/01/21		520		540,176

								3,565,008

Electric — 0.8%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa2		6.250%	08/01/16		170		199,499
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa2		6.350%	10/01/36		530		669,447
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		1,070		1,123,086
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		300		409,107
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		145		176,788
Consumers Energy Co., First Mtge. Bonds, Ser. D	A3		5.375%	04/15/13		435		457,710
Duke Energy Carolinas LLC, First Mtge. Bonds(a)	A1		6.050%	04/15/38		530		693,840
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		845		997,848
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,160		1,382,285
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	A3		6.000%	10/07/39		1,260		1,014,106
Exelon Corp., Sr. Unsec’d. Notes	Baa1		4.900%	06/15/15		195		210,108
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.250%	10/01/39		1,375		1,675,427
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		380		486,009
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		470		557,706
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	09/15/33		140		148,858
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		575		626,721
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		325		384,054
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa2		6.500%	05/15/18		1,210		1,451,849
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		545		609,462
NSTAR, Sr. Unsec’d. Notes	A2		4.500%	11/15/19		605		669,338
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a)	Baa1		6.375%	01/15/15		465		531,347
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa1		7.000%	09/01/22		30		38,429
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		135		157,805
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN.	A2		5.800%	05/01/37		515		660,358
Southern California Edison Co., Ser. 04-F	A1		4.650%	04/01/15		610		673,871
Xcel Energy, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.800%	09/15/41		480		523,071
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		263		298,301

								16,826,430

SEE NOTES TO FINANCIAL STATEMENTS.

A15


CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20	$	480	$	528,658
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		960		1,029,661

								1,558,319

Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.375%	09/15/17		1,070		1,240,273
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.450%	09/15/36		305		347,731
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.950%	06/15/19		225		268,610
Nabors Industries, Inc., Gtd. Notes, 144A	Baa2		4.625%	09/15/21		890		903,977
Pioneer Natural Resources Co., Sr. Unsec’d. Notes(a)	Ba1		6.875%	05/01/18		1,450		1,639,915
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		140		155,516
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		685		711,837
Weatherford International Ltd. (Bermuda), Gtd. Notes	Baa2		6.500%	08/01/36		25		27,227
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,660		1,740,308

								7,035,394

Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.000%	11/15/39		1,160		1,797,468
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.200%	01/15/39		230		362,611
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		650		666,250
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		708		774,155
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,000		1,048,853
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		860		1,046,826
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $646,913; purchased 11/19/07)(e)(h)	A2		6.000%	11/27/17		650		766,273
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		460		540,649
J.M. Smucker Co. (The), Gtd. Notes	A3		3.500%	10/15/21		410		419,450
Kroger Co. (The), Gtd. Notes	Baa2		6.750%	04/15/12		215		218,581
Safeway, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	12/01/21		480		491,694
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		695		807,937
Tyson Foods, Inc., Gtd. Notes(a)	Ba1		6.850%	04/01/16		785		861,537

								9,802,284

Healthcare & Pharmaceutical — 0.3%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,590		1,648,328
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,060		2,084,975
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes	A1		6.450%	09/15/37		480		647,435
Genentech, Inc., Sr. Unsec’d. Notes	AA-(d)		4.750%	07/15/15		270		301,169
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		470		520,367
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		560		623,418
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		205		256,842
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	08/15/19		440		517,462

								6,599,996

Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		480		596,106
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		540		571,332
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		640		686,524
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,200		1,313,755
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		115		135,262
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		400		508,734
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		410		526,370
WellPoint, Inc., Sr. Unsec’d. Notes	Baa1		5.000%	12/15/14		1,085		1,185,458

								5,523,541

Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		480		480,866
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		655		654,103
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		910		918,399
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		900		952,651

SEE NOTES TO FINANCIAL STATEMENTS.

A16


CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Insurance (continued)
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20	$	990	$	1,017,820
Chubb Corp. (The)(a)(c)	A3		6.375%	03/29/67		1,260		1,244,250
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		910		966,953
Lincoln National Corp.(c)	Ba1		6.050%	04/20/67		250		208,125
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		476		490,494
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		660		746,155
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		505		614,261
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		960		1,071,499
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		85		100,478
MetLife, Inc., Sr. Unsec’d. Notes(a)	A3		6.750%	06/01/16		270		311,050
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		650		830,015
Northwestern Mutual Life Insurance, Notes, 144A(a)	Aa2		6.063%	03/30/40		350		420,151
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.350%	04/01/13		1,000		1,044,837
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		640		695,992
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		870		1,158,552
Progressive Corp. (The)(c)	A2		6.700%	06/15/37		715		722,150
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,430		1,835,265
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		315		324,346
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		705		747,931
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		575		605,513
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		110		116,327

								18,278,183

Lodging — 0.2%
Host Marriott LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		750		763,125
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Ba1		6.250%	02/15/13		1,585		1,636,512
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	Ba1		6.750%	05/15/18		2,700		3,051,000

								5,450,637

Media & Entertainment — 0.4%
Gannett Co., Inc., Sr. Unsec’d. Notes	Ba2		6.375%	04/01/12		2,500		2,512,500
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		250		273,278
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		475		547,481
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		35		40,459
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,265		1,527,843
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		175		206,133
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		495		593,481
Time Warner, Inc., Gtd. Notes	Baa2		7.250%	10/15/17		745		892,679
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		155		200,087
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		625		854,912
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	10/05/37		420		521,216

								8,170,069

Metals — 0.3%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.125%	06/01/18		860		849,303
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		125		148,002
Peabody Energy Corp., Sr. Unsec’d. Notes, 144A	Ba1		6.000%	11/15/18		1,275		1,300,500
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(d)		4.500%	05/15/13		255		265,635
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		120		131,076
Steel Dynamics, Inc., Gtd. Notes	Ba2		7.375%	11/01/12		900		937,125
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes(a)	Baa2		6.875%	11/10/39		745		853,323
Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		995		1,000,082

								5,485,046

Non-Captive Finance — 0.5%
CIT Group, Inc., Sec’d. Notes, 144A	B2		7.000%	05/04/15		250		250,313
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN.	Aa2		5.875%	01/14/38		970		1,027,799
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(i)	Aa2		6.000%	08/07/19		3,010		3,457,370

SEE NOTES TO FINANCIAL STATEMENTS.

A17


CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)

Non-Captive Finance (continued)
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	Aa2		6.875%	01/10/39	$	730		$	874,563
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		5.750%	05/15/16		230			213,335
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	B1		6.375%	03/25/13		1,750			1,741,250
SLM Corp., Sr. Notes, MTN.	Ba1		6.250%	01/25/16		365			354,955
SLM Corp., Sr. Unsec’d. Notes, MTN(a)	Ba1		8.000%	03/25/20		1,000			1,010,000
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,025			1,055,750

									9,985,335

Packaging							��
Sealed Air Corp., Sr. Unsec’d. Notes, 144A	B1		6.875%	07/15/33		450			393,750

Paper — 0.2%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(e)(h)	Baa3		5.400%	11/01/20		275			304,603
International Paper Co., Sr. Unsec’d. Notes(a)	Baa3		6.000%	11/15/41		740			803,354
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		615			748,596
Rock-Tenn Co., Gtd. Notes	Ba2		9.250%	03/15/16		1,530			1,621,800

									3,478,353

Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		610			597,554
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		500			553,828
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		130			153,741
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		80			83,779
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,310			3,753,288
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		205			214,915

									5,357,105

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		735			937,359
CSX Corp., Sr. Unsec’d. Notes	Baa3		6.150%	05/01/37		690			829,759
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		630			727,744
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		7.800%	05/15/27		24			33,965

									2,528,827

Real Estate Investment Trusts — 0.3%
Brandywine Operating Partnership LP, Gtd. Notes	Baa3		5.750%	04/01/12		391			393,491
HCP, Inc., Sr. Unsec’d. Notes(a)	Baa2		2.700%	02/01/14		670			669,026
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		685			816,267
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		5.450%	06/01/12		545			551,860
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		6.300%	06/01/13		650			679,333
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		68			75,502
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		550			561,788
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		2,700			3,099,613

									6,846,880

Retailers — 0.2%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		335			407,656
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		345			423,964
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.350%	03/15/12		330			332,263
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Ba1		5.875%	01/15/13		2,000			2,059,098
Nordstrom, Inc., Sr. Unsec’d. Notes	Baa1		4.000%	10/15/21		220			229,335
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(a)	Aa2		5.625%	04/15/41		650			840,061

									4,292,377

Technology — 0.2%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		370			370,476
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		330			336,004
Intuit, Inc., Sr. Unsec’d. Notes	Baa1		5.400%	03/15/12		575			579,859

SEE NOTES TO FINANCIAL STATEMENTS.

A18


CORPORATE BONDS (continued)	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Technology (continued)
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14	$	1,225	$	1,385,781
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,650		2,793,090

								5,465,210

Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		560		665,816
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		18		25,426
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		323		363,343
AT&T, Inc., Sr. Unsec’d. Notes(a)	A2		5.550%	08/15/41		1,195		1,407,013
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,115		1,418,324
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		350		493,255
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,400		3,239,280
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/12/06)(e)(h)	Baa3		7.082%	06/01/16		325		352,282
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,667,844; purchased 05/12/06-04/10/07)(e)(h)	Baa3		7.995%	06/01/36		1,645		1,704,529
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		170		163,299
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.175%	06/18/19		440		412,328
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		1,260		1,040,694
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		5.877%	07/15/19		325		321,187
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		7.045%	06/20/36		210		204,765
US Cellular Corp., Sr. Unsec’d. Notes	Baa2		6.700%	12/15/33		255		256,038
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.400%	02/15/38		55		69,817
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		700		749,000

								12,886,396

Tobacco — 0.3%
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		3,040		4,090,056
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		130		197,728
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		850		1,322,702
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		290		345,447
Reynolds American, Inc., Gtd. Notes	Baa3		7.250%	06/15/37		285		330,591

								6,286,524

TOTAL CORPORATE BONDS (cost $221,611,277)								234,429,421

MORTGAGE-BACKED SECURITIES — 11.9%
Federal Home Loan Mortgage Corp.(c)			2.386%	06/01/36		680		711,127
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		1,500		1,548,281
Federal Home Loan Mortgage Corp.			3.500%	TBA 15 YR		1,000		1,042,344
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		7,366		7,762,682
Federal Home Loan Mortgage Corp.			4.000%	TBA 30 YR		2,500		2,621,875
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		27,358		29,021,481
Federal Home Loan Mortgage Corp.			4.500%	TBA 30 YR		1,000		1,059,531
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-05/01/34		5,920		6,400,299
Federal Home Loan Mortgage Corp.			5.000%	TBA 30 YR		8,000		8,596,249
Federal Home Loan Mortgage Corp.(c)			5.227%	12/01/35		1,325		1,412,073
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-05/01/38		5,453		5,938,975
Federal Home Loan Mortgage Corp.			5.500%	TBA 30 YR		8,500		9,222,500
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-12/01/33		1,427		1,591,577
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		3,000		3,294,375
Federal Home Loan Mortgage Corp.			6.500%	12/01/14-09/01/16		104		108,988
Federal Home Loan Mortgage Corp.			7.000%	05/01/31-10/01/32		735		843,533
Federal National Mortgage Association(c)			2.016%	07/01/33		619		647,352
Federal National Mortgage Association			3.500%	06/01/39		1,882		1,937,215

SEE NOTES TO FINANCIAL STATEMENTS.

A19


MORTGAGE-BACKED SECURITIES (continued)		Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Federal National Mortgage Association			3.500%	TBA 15 YR	$	5,000	$	5,228,125
Federal National Mortgage Association			4.000%	TBA 30 YR		7,500		7,878,516
Federal National Mortgage Association			4.000%	TBA 30 YR		5,000		5,239,063
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		19,683		21,097,923
Federal National Mortgage Association			5.000%	10/01/18-05/01/36		9,020		9,757,074
Federal National Mortgage Association			5.000%	TBA 30 YR		3,000		3,234,375
Federal National Mortgage Association			5.500%	03/01/16-04/01/37		18,078		19,785,800
Federal National Mortgage Association(c)			5.545%	07/01/37		778		828,263
Federal National Mortgage Association(c)			5.581%	06/01/37		212		226,167
Federal National Mortgage Association			6.000%	04/01/13-06/01/38		16,081		17,853,199
Federal National Mortgage Association			6.000%	TBA 30 YR		1,000		1,101,094
Federal National Mortgage Association			6.500%	07/01/17-01/01/37		6,133		6,921,884
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		471		547,713
Federal National Mortgage Association			7.500%	05/01/12-05/01/32		149		176,740
Government National Mortgage Association			3.500%	TBA 30 YR		4,500		4,683,515
Government National Mortgage Association			4.000%	05/20/41		424		454,779
Government National Mortgage Association			4.000%	TBA 30 YR		18,500		19,844,140
Government National Mortgage Association			4.000%	TBA 30 YR		5,000		5,347,656
Government National Mortgage Association			4.500%	01/20/41		2,807		3,067,595
Government National Mortgage Association			4.500%	TBA 30 YR		17,250		18,745,897
Government National Mortgage Association			4.500%	TBA 30 YR		1,500		1,634,297
Government National Mortgage Association			5.000%	TBA 30 YR		6,000		6,633,750
Government National Mortgage Association			5.000%	TBA 30 YR		4,500		4,985,157
Government National Mortgage Association			5.500%	08/15/33-04/15/36		5,321		6,015,950
Government National Mortgage Association			6.000%	11/15/23-07/15/34		1,752		1,994,548
Government National Mortgage Association			6.500%	10/15/23-09/15/36		3,346		3,843,736
Government National Mortgage Association			8.000%	01/15/24-07/15/24		48		56,206

TOTAL MORTGAGE-BACKED SECURITIES (cost $250,615,644)								260,943,619

	Moody’s Ratings (Unaudited)†
MUNICIPAL BONDS — 0.6%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,305		1,695,704
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		970		1,186,242
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		945		1,133,735
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,000		1,426,270
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,100		1,294,084
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		415		475,984
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		275		310,819
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		425		520,009
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		505		574,094
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		625		812,138
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		1,250		1,489,312
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		350		418,842
State of California, General Obligation Unlimited, BABs	A1		7.550%	04/01/39		245		299,821
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		205		253,591
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		305		355,066

TOTAL MUNICIPAL BONDS (cost $10,072,626)								12,245,711

SEE NOTES TO FINANCIAL STATEMENTS.

A20


NON-CORPORATE FOREIGN AGENCIES — 0.7%	Moody’s Ratings (Unaudited)†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Commonwealth Bank of Australia (Australia), 144A	Aaa		2.700%	11/25/14	$	7,220	$	7,501,392
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		800		862,976
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes	Aaa		2.375%	08/25/21		730		729,072
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		439,250
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,100		2,097,375
Export Development Canada (Canada)	Aaa		1.250%	10/26/16		1,530		1,547,341
Export-Import Bank of Korea (South Korea)	A1		4.000%	01/29/21		460		443,912
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		5.125%	06/29/20		365		382,174
Qatar Government International Bond (Qatar), 144A	Aa2		5.250%	01/20/20		285		312,788
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		6.400%	01/20/40		180		211,500

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $14,109,531)								14,527,780

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Federal Home Loan Banks			5.500%	07/15/36		950		1,232,252
Federal Home Loan Mortgage Corp.(a)			5.125%	11/17/17		420		505,718
Resolution Funding Corp. Interest Strip, Bonds(j)			1.620%	04/15/18		2,645		2,396,714
Tennessee Valley Authority			5.880%	04/01/36		85		115,923

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $3,692,072)								4,250,607

U.S. GOVERNMENT TREASURY OBLIGATIONS — 7.0%
U.S. Treasury Bonds(a)			3.750%	08/15/41		55		64,685
U.S. Treasury Bonds			4.250%	11/15/40		175		223,180
U.S. Treasury Bonds			4.375%	05/15/40		3,605		4,683,118
U.S. Treasury Bonds			4.750%	02/15/41		8,755		12,065,484
U.S. Treasury Bonds			6.500%	11/15/26		1,395		2,116,477
U.S. Treasury Bonds			4.375%	05/15/41		2,780		3,622,254
U.S. Treasury Inflation Indexed Note			1.375%	01/15/20		9,032		10,283,797
U.S. Treasury Notes			1.875%	09/30/17		5,650		5,907,340
U.S. Treasury Notes			1.875%	10/31/17		11,550		12,076,068
U.S. Treasury Notes			3.250%	12/31/16		7,220		8,061,578
U.S. Treasury Notes			3.500%	02/15/18		6,000		6,840,468
U.S. Treasury Notes			4.250%	11/15/17		6,475		7,648,089
U.S. Treasury Notes			4.625%	11/15/16		4,135		4,883,179
U.S. Treasury Notes			4.750%	08/15/17		2,110		2,540,571
U.S. Treasury Notes(a)			0.250%	12/15/14		4,335		4,320,777
U.S. Treasury Notes			2.000%	11/15/21		4,515		4,566,498
U.S. Treasury Notes			3.250%	03/31/17		1,420		1,589,957
U.S. Treasury Strips Coupon(k)			1.530%	02/15/19		9,905		8,918,521
U.S. Treasury Strips Coupon(k)			2.480%	05/15/24		16,380		12,080,741
U.S. Treasury Strips Coupon(k)			2.510%	08/15/24		11,695		8,531,994
U.S. Treasury Strips Coupon(k)			2.520%	11/15/24		4,145		2,995,969
U.S. Treasury Strips Coupon(k)			2.740%	11/15/23		12,715		9,563,091
U.S. Treasury Strips Coupon(k)			2.780%	02/15/24		10,000		7,448,860
U.S. Treasury Strips Coupon(k)			3.040%	05/15/25		6,000		4,247,490
U.S. Treasury Strips Coupon(k)			3.380%	05/15/27		2,280		1,493,747
U.S. Treasury Strips Coupon(k)			4.130%	08/15/33		8,260		4,332,593
U.S. Treasury Strips Principal(j)			0.390%	11/15/14		2,150		2,126,036

TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $139,508,328)								153,232,562

TOTAL LONG-TERM INVESTMENTS (cost $1,625,098,542)								2,028,939,244

SEE NOTES TO FINANCIAL STATEMENTS.

A21


SHORT-TERM INVESTMENTS — 18.5%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

U.S. GOVERNMENT TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill (cost $3,849,098)(i)(l)		0.047%	06/28/12	$	3,850	$	3,848,864


				Shares
AFFILIATED MUTUAL FUNDS — 18.3%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $124,974,009) (Note 4)(m)					12,896,102		114,259,463
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $287,158,467; includes $134,741,536 of cash collateral received for securities on loan) (Note 4)(m)(n)					287,158,467		287,158,467

TOTAL AFFILIATED MUTUAL FUNDS (cost $412,132,476)							401,417,930

TOTAL SHORT-TERM INVESTMENTS (cost $415,981,574)							405,266,794

TOTAL INVESTMENTS — 111.1% (cost $2,041,080,116)							2,434,206,038
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (11.1)%							(242,591,242	)

NET ASSETS — 100.0%						$	2,191,614,796

The following abbreviations are used in portfolio descriptions:


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.
BABs		Build America Bonds
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
I/O		Interest Only
LIBOR		London Interbank Offered Rate
MTN		Medium Term Note
NR		Not Rated by Moody’s or Standard & Poor’s
TBA		To Be Announced

*	Non-income producing security.

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

†	The ratings reflected are as of December 31, 2011. Ratings of certain bonds may have changed subsequent to that date.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $131,130,353; cash collateral of $134,741,536 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Stapled Security — A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(c)	Indicates a variable rate security. The interest rate shown reflects the rate in effect at December 31, 2011.

(d)	Standard & Poor’s Rating.

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

(f)	Represents security, or a portion thereof, segregated as collateral for swap agreements.

(g)	Represents issuer in default on interest payments and/or principal repayment; non-income producing security.

(h)	Indicates a restricted security; the aggregate original cost of such securities is $4,997,696. The aggregate value of $5,457,134 is approximately 0.2% of net assets.

(i)	Represents security, or a portion thereof, segregated as collateral for futures contracts.

(j)	Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(k)	Rate shown reflects the effective yield at December 31, 2011.

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

(m)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A22

(o)	Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Long Positions:
272	2 Year U.S. Treasury Notes		Mar. 2012	$	60,001,397	$	59,988,750	$	(12,647	)
397	5 Year U.S. Treasury Notes		Mar. 2012		48,704,931		48,933,352		228,421
405	S&P 500 E-mini		Mar. 2012		24,864,218		25,365,150		500,932
96	S&P 500 Index		Mar. 2012		29,411,501		30,062,400		650,899
6	U.S. Ultra Bond		Mar. 2012		943,273		961,125		17,852

									1,385,457

Short Positions:
164	10 Year U.S. Treasury Notes		Mar. 2012		21,446,298		21,504,500		(58,202	)
251	U.S. Long Bond		Mar. 2012		35,992,824		36,347,938		(355,114	)

									(413,316	)

								$	972,141

Interest rate swap agreements outstanding at December 31, 2011:


Counterparty	Termination Date		Notional Amount (000)#		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-Counter Swap Agreements:
Morgan Stanley Capital Services, Inc.		11/01/14	$	2,750		0.784%	3 month LIBOR(2)	$	(61,101	)	$	—	$	(61,101	)
Barclays Bank PLC		05/31/16		5,400		1.175%	3 month LIBOR(1)		10,969			—		10,969
Barclays Bank PLC		05/31/16		5,400		1.180%	3 month LIBOR(1)		11,935			—		11,935
Barclays Bank PLC		05/31/16		1,360		1.220%	3 month LIBOR(1)		5,251			—		5,251
Deutsche Bank AG		09/14/16		2,860		1.206%	3 month LIBOR(2)		(15,652	)		—		(15,652	)
Citibank, NA		07/20/21		5,155		3.035%	3 month LIBOR(1)		546,324			—		546,324
Citibank, NA		11/23/21		4,650		2.148%	3 month LIBOR(2)		(466	)		—		(466	)

								$	497,260		$	—	$	497,260

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

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

#	Notional amount is shown in U.S. dollars unless otherwise stated.

Credit default swap agreements outstanding at December 31, 2011:


Counterparty	Termination Date		Notional Amount (000)#(2)		Fixed Rate		Reference Entity/Obligation	Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-Counter Credit Default Swaps on Corporate Issues—Buy Protection(1):
JPMorgan Chase Bank		06/20/14	$	1,110		0.650%	Bunge Ltd. Finance Corp.	$	20,579		$	—		$	20,579
Deutsche Bank AG		03/20/12		2,000		5.000%	Gannett Co., Inc.		(21,836	)		(4,759	)		(17,077	)
Morgan Stanley Capital Services, Inc.		03/20/12		500		5.000%	Gannett Co., Inc.		(5,459	)		(1,720	)		(3,739	)
Deutsche Bank AG		12/20/12		2,000		1.000%	Macy’s Retail Holdings, Inc.		(11,444	)		24,323			(35,767	)
Morgan Stanley Capital Services, Inc.		06/20/18		1,600		1.000%	Newell Rubbermaid, Inc.		49,252			—			49,252
Morgan Stanley Capital Services, Inc.		06/20/18		2,700		0.970%	Simon Property Group LP		78,221			—			78,221
Deutsche Bank AG		06/20/18		2,800		1.150%	Spectra Energy Capital LLC		61,105			—			61,105
Deutsche Bank AG		03/20/14		1,585		7.050%	Starwood Hotels & Resorts Worldwide, Inc.		(207,576	)		—			(207,576	)
Merrill Lynch Capital Services, Inc.		06/20/18		2,700		1.450%	Starwood Hotels & Resorts Worldwide, Inc.		68,334			—			68,334

								$	31,176		$	17,844		$	13,332

(1)	If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery

SEE NOTES TO FINANCIAL STATEMENTS.

A23

of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)	Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

#	Notional amount is shown in U.S. dollars unless otherwise stated.

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—

quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which are traded at daily net asset value.

Level 2—

other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—

significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,199,361,156	$	—	$	449
Exchange Traded Fund		450,723		—		—
Preferred Stocks		1,482,611		—		449
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—		17,173,040		475,000
Residential Mortgage-Backed Securities		—		9,211,877		—
Bank Loans		—		5,265,009		—
Collateralized Mortgage Obligations		—		7,350,150		—
Commercial Mortgage-Backed Securities		—		108,539,080		—
Corporate Bonds		—		234,429,421		—
Mortgage-Backed Securities		—		260,943,619		—
Municipal Bonds		—		12,245,711		—
Non-Corporate Foreign Agencies		—		14,527,780		—
U.S. Government Agency Obligations		—		4,250,607		—
U.S. Government Treasury Obligations		—		157,081,426		—
Affiliated Mutual Funds		401,417,930		—		—
Other Financial Instruments*
Futures Contracts		972,141		—		—
Interest Rate Swap Agreements		—		497,260		—
Credit Default Swap Agreements		—		13,332		—

Total	$	1,603,684,561	$	831,528,312	$	475,898

*	Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:


Affiliated Mutual Fund (including 6.1% of collateral received for securities on loan)	18.3	%
Mortgage-Backed Securities	11.9
U.S. Government Treasury Obligations	7.2
Oil, Gas & Consumable Fuels	5.6
Commercial Mortgage-Backed Securities	5.0
Pharmaceuticals	3.5
Banking	3.1
Insurance	2.7
Computers & Peripherals	2.5
IT Services	2.1
Software	1.9


Media	1.7	%
Diversified Telecommunication Services	1.6
Beverages	1.5
Commercial Banks	1.5
Diversified Financial Services	1.5
Aerospace & Defense	1.4
Chemicals	1.4
Industrial Conglomerates	1.4
Tobacco	1.4
Food & Staples Retailing	1.3
Real Estate Investment Trusts	1.3
Semiconductors & Semiconductor Equipment	1.3
Household Products	1.2
Communications Equipment	1.1
Electric Utilities	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A24


Energy Equipment & Services	1.1	%
Food Products	1.1
Healthcare Providers & Services	1.1
Hotels, Restaurants & Leisure	1.1
Internet Software & Services	1.1
Machinery	1.1
Specialty Retail	1.1
Capital Markets	1.0
Healthcare Equipment & Supplies	1.0
Electric	0.8
Multi-Utilities	0.8
Non-Residential Mortgage-Backed Securities	0.8
Biotechnology	0.7
Non-Corporate Foreign Agencies	0.7
Air Freight & Logistics	0.6
Municipal Bonds	0.6
Telecommunications	0.6
Metals & Mining	0.5
Multiline Retail	0.5
Non-Captive Finance	0.5
Road & Rail	0.5
Cable	0.4
Consumer Finance	0.4
Foods	0.4
Healthcare & Pharmaceutical	0.4
Internet & Catalog Retail	0.4
Media & Entertainment	0.4
Residential Mortgage-Backed Securities	0.4
Textiles, Apparel & Luxury Goods	0.4
Automobiles	0.3
Collateralized Mortgage Obligations	0.3
Electrical Equipment	0.3
Electronic Equipment, Instruments & Components	0.3
Energy – Other	0.3


Healthcare Insurance	0.3	%
Metals	0.3
Technology	0.3
Airlines	0.2
Capital Goods	0.2
Commercial Services & Supplies	0.2
Consumer	0.2
Life Sciences Tools & Services	0.2
Lodging	0.2
Paper	0.2
Pipelines & Other	0.2
Retailers	0.2
U.S. Government Agency Obligations	0.2
Wireless Telecommunication Services	0.2
Auto Components	0.1
Construction & Engineering	0.1
Containers & Packaging	0.1
Diversified Consumer Services	0.1
Energy – Integrated	0.1
Gas Utilities	0.1
Household Durables	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Paper & Forest Products	0.1
Personal Products	0.1
Professional Services	0.1
Railroads	0.1
Trading Companies & Distributors	0.1

	111.1
Liabilities in excess of other assets	(11.1	)

	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:


Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premium paid for swap agreements	$	24,323		Premium received for swap agreements	$	6,479
Credit contracts	Unrealized appreciation on swap agreements		277,491		Unrealized depreciation on swap agreements		264,159
Equity contracts	Due to broker — variation margin		1,151,831	*	—		—
Interest rate contracts	Unrealized appreciation on swap agreements		574,479		Unrealized depreciation on swap agreements		77,219
Interest rate contracts	Due to broker — variation margin		246,273	*	Due to broker — variation margin		425,963	*

Total		$	2,274,397			$	773,820

*	Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A25

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps			Rights			Warrants			Total
Credit contracts	$	—		$	(84,737	)	$	—		$	—		$	(84,737	)
Equity contracts		8,197,262			—			8,260			(10,424	)		8,195,098
Interest rate contracts		(2,677,107	)		665,039			—			—			(2,012,068	)

Total	$	5,520,155		$	580,302		$	8,260		$	(10,424	)	$	6,098,293


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value							Futures			Swaps			Total
Credit contracts							$	—		$	413,002		$	413,002
Equity contracts								41,827			—			41,827
Interest rate contracts								(1,345,998	)		497,260			(848,738	)

Total							$	(1,304,171	)	$	910,262		$	(393,909	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities is as follows:


Futures Long Position (Value at Trade Date)		Futures Short Position (Value at Trade Date)
$224,887,814		$82,953,126


Interest Rate Swaps (Notional Amount in USD (000))		Credit Default Swaps as Buyer (Notional Amount in USD (000))
$22,826		$23,312

SEE NOTES TO FINANCIAL STATEMENTS.

A26


		*CONSERVATIVE BALANCED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011


ASSETS
Investments, at value including securities on loan of $131,130,353:
Unaffiliated investments (cost $1,628,947,640)	$	2,032,788,108
Affiliated investments (cost $412,132,476)		401,417,930
Foreign currency, at value (cost $87,949)		87,875
Cash		80,718
Receivable for investments sold		51,299,662
Dividends and interest receivable		7,178,026
Unrealized appreciation on swap agreements		851,970
Foreign tax reclaim receivable		26,264
Premium paid for swap agreements		24,323
Receivable for Series shares sold		21,935
Prepaid expenses		13,476

Total Assets		2,493,790,287

LIABILITIES
Payable for investments purchased		164,952,661
Collateral for securities on loan		134,741,536
Management fee payable		1,018,412
Payable for Series shares repurchased		532,774
Unrealized depreciation on swap agreements		341,378
Accrued expenses and other liabilities		329,569
Due to broker-variation margin		251,756
Premium received for swap agreements		6,479
Affiliated transfer agent fee payable		926

Total Liabilities		302,175,491

NET ASSETS	$	2,191,614,796

Net assets were comprised of:
Paid-in capital	$	1,819,283,952
Retained earnings		372,330,844

Net assets, December 31, 2011	$	2,191,614,796

Net asset value and redemption price per share, $2,191,614,796 / 134,281,948 outstanding shares of beneficial interest	$	16.32

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


INVESTMENT INCOME
Interest	$	33,061,237
Unaffiliated dividend income (net of foreign withholding taxes of $118,149)		24,995,489
Affiliated dividend income		2,065,123
Affiliated income from securities loaned, net		249,253

		60,371,102

EXPENSES
Management fee		12,227,210
Shareholders’ reports		385,000
Custodian’s fees and expenses		360,000
Audit fee		36,000
Trustees’ fees		31,000
Insurance expenses		29,000
Legal fees and expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		8,000
Miscellaneous		52,379

Total expenses		13,153,589

NET INVESTMENT INCOME		47,217,513

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions (including affiliated: $(1,671,086))		42,989,678
Futures transactions		5,520,155
Swap agreement transactions		580,302
Foreign currency transactions		23,060

		49,113,195

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $(72,670))		5,116,051
Securities sold short		4,542
Futures		(1,304,171	)
Swap agreements		910,262
Foreign currencies		(30,037	)

		4,696,647

NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		53,809,842

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	101,027,355

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	47,217,513		$	50,041,489
Net realized gain on investments, swaps and foreign currencies		49,113,195			26,327,189
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies		4,696,647			163,178,375

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		101,027,355			239,547,053

DISTRIBUTIONS		(50,030,858	)		(52,703,504	)

SERIES SHARE TRANSACTIONS:
Series shares sold [648,345 and 812,903 shares, respectively]		10,475,022			12,182,009
Series shares issued in reinvestment of distributions [3,117,187 and 3,642,260 shares, respectively]		50,030,858			52,703,504
Series shares repurchased [9,540,307 and 10,357,369 shares, respectively]		(154,546,244	)		(155,802,464	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(94,040,364	)		(90,916,951	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		(43,043,867	)		95,926,598
NET ASSETS:
Beginning of year		2,234,658,663			2,138,732,065

End of year	$	2,191,614,796		$	2,234,658,663

SEE NOTES TO FINANCIAL STATEMENTS.

A27


LONG-TERM INVESTMENTS — 91.6% ASSET-BACKED SECURITIES — 11.8%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Non-Residential Mortgage-Backed Securities — 7.8%
Apidos CDO (Cayman Islands), 144A Ser. 2006-4A, Class A1(a)	Aaa		0.672%	10/27/18	$	2,000	$	1,905,112
Ser. 2011-8A, Class A1(a)	Aaa		2.094%	10/17/21		4,000		3,899,776
ARES CLO Funds (Cayman Islands), 144A Ser. 2004-8A, Class A1A(a)	Aaa		0.942%	02/26/16		583		570,334
Ser. 2005-10A, Class A2(a)	Aaa		0.799%	09/18/17		672		655,572
Ser. 2005-10A, Class A3(a)	Aaa		0.799%	09/18/17		572		555,433
BA Credit Card Trust, Ser. 2006-C5, Class C5(a)	A3		0.678%	01/15/16		5,750		5,670,376
Bank One Issuance Trust, Ser. 2004-C2, Class C2(a)	Baa2		1.078%	02/15/17		2,100		2,079,404
Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.833%	06/20/17		5,121		4,795,703
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.756%	05/25/17		954		920,175
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.682%	08/03/19		4,539		4,367,654
Citibank Credit Card Issuance Trust Ser. 2003-C4, Class C4	Baa2		5.000%	06/10/15		6,500		6,776,743
Ser. 2005-C2, Class C2(a)	Baa2		0.764%	03/24/17		2,320		2,258,517
Ser. 2005-C3, Class C3(a)	Baa2		0.688%	07/15/14		5,280		5,267,845
Ser. 2006-C1, Class C1(a)	Baa2		0.685%	02/20/15		6,320		6,263,379
COA Tempus CLO Ltd., Ser. 2010-1A, Class A1, 144A(a)(b)	Aaa		2.309%	04/20/19		2,000		1,991,870
Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, Class A1A, 144A(a)(b)	Aaa		0.619%	04/20/19		1,900		1,821,169
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(a)	Aaa		0.772%	07/27/16		198		194,680
Four Corners CLO (Cayman Islands), 144A Ser. 2005-1A, Class A3(a)	Aaa		0.874%	03/26/17		1,582		1,519,751
Ser. 2006-3A, Class A(a)	Aaa		0.666%	07/22/20		2,042		1,912,172
Fuel Trust, 144A Sec’d. Notes	Baa2		3.984%	06/15/16		1,050		1,049,858
Sec’d. Notes	Baa2		4.207%	04/15/16		3,925		3,958,320
GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a)	Baa3		1.278%	05/15/34		252		89,261
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.663%	12/15/17		1,495		1,461,510
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a)	Aaa		0.763%	07/15/16		647		636,155
Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a)	Aaa		0.701%	05/09/18		2,764		2,658,309
Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a)	Aaa		0.717%	11/15/17		3,381		3,249,047
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(a)	Aaa		0.646%	10/19/20		1,451		1,378,499
LCM LP (Cayman Islands), 144A Ser. 2004-2A, Class A(a)	Aaa		0.736%	10/22/16		574		550,682
Ser. 2005-3A, Class A(a)	Aaa		0.787%	06/01/17		2,500		2,375,000
Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A	A(c)		3.540%	10/20/32		5,085		5,136,431
MBNA Credit Card Master Note Trust Ser. 2002-C3, Class C3(a)	A3		1.628%	10/15/14		1,900		1,903,589
Ser. 2004-C2, Class C2(a)	A3		1.178%	11/15/16		9,800		9,704,937
Ser. 2006-C1, Class C1(a)	A3		0.698%	07/15/15		16,600		16,465,822
Mountain Capital CLO Ltd. (Cayman Islands), 144A Ser. 2004-3A, Class A1LA(a)	Aaa		0.872%	02/15/16		251		250,840
Ser. 2005-4A, Class A1L(a)	Aaa		0.796%	03/15/18		2,963		2,841,912
North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a)	Aaa		2.103%	09/14/19	EUR	5,229		6,225,949
Pacifica CDO Ltd. (Cayman Islands), Ser. 2003-2A, Class A1, 144A(a)	Aaa		0.971%	07/10/15		595		585,506
Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A	Aa2		7.125%	01/15/13		961		988,115
Stanfield Vantage CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.867%	03/21/17		1,735		1,659,149

SEE NOTES TO FINANCIAL STATEMENTS.

A28


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Non-Residential Mortgage-Backed Securities (continued)
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(a)	Aaa		0.679%	11/01/18	$	4,500	$	4,273,114
Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, Class A1, 144A(a)(b)	Aaa		0.912%	01/21/16		1,590		1,550,372

								122,418,042

Residential Mortgage-Backed Securities — 4.0%
ACE Securities Corp., Ser. 2004-FM1, Class M1(a)	Baa3		1.194%	09/25/33		1,841		1,402,114
Ameriquest Mortgage Securities, Inc. Ser. 2001-2, Class M3(a)	Caa2		3.219%	10/25/31		557		402,761
Ser. 2004-R8, Class M1(a)	Baa1		1.254%	09/25/34		950		721,599
Argent Securities, Inc. Ser. 2003-W2, Class M4(a)	Ba2		5.919%	09/25/33		2,400		1,506,230
Ser. 2004-W6, Class M1(a)	Baa1		0.844%	05/25/34		3,532		2,641,941
Ser. 2004-W10, Class A2(a)	Aaa		0.684%	10/25/34		1,802		1,591,236
Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a)	Baa3		1.344%	08/25/33		2,152		1,607,119
Asset Backed Securities Corp. Home Equity Ser. 2003-HE3, Class M1(a)	A3		1.523%	06/15/33		1,706		1,249,749
Ser. 2004-HE1, Class M1(a)	Ba1		1.328%	01/15/34		295		236,260
Ser. 2004-HE5, Class M1(a)	A2		0.894%	08/25/34		2,600		2,007,767
Bear Stearns Asset Backed Securities Trust Ser. 2004-HE2, Class M1(a)	Ba1		1.194%	03/25/34		4,784		3,698,684
Ser. 2004-HE3, Class M2(a)	B1		2.019%	04/25/34		2,207		1,827,048
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a)	C		3.669%	03/25/33		275		28,536
Centex Home Equity, Ser. 2004-B, Class AF6	Aa3		4.186%	03/25/34		1,300		1,210,603
Citigroup Mortgage Loan Trust, Inc., Ser. 2004-RES1, Class M3(a)	C		1.374%	11/25/34		137		64,186
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, Class M2(a)	C		2.544%	08/25/32		125		63,009
Equity One ABS, Inc., Ser. 2004-3, Class M1	Baa1		5.700%	07/25/34		1,099		871,047
FBR Securitization Trust, Ser. 2005-2, Class M1(a)	B2		1.014%	09/25/35		3,600		2,296,051
Fremont Home Loan Trust, Ser. 2003-B, Class M1(a)	Baa3		1.344%	12/25/33		315		226,752
GSAMP Trust, Ser. 2004-FM1, Class M1(a)	Ba3		1.269%	11/25/33		3,254		2,521,708
HSBC Home Equity Loan Trust Ser. 2006-1, Class M1(a)	Aa1		0.565%	01/20/36		850		753,561
Ser. 2006-2, Class A1(a)	Aaa		0.435%	03/20/36		232		214,286
Ser. 2006-2, Class A2(a)	Aaa		0.465%	03/20/36		282		263,226
IXIS Real Estate Capital Trust, Ser. 2006-HE1, Class A4(a)	Ca		0.594%	03/25/36		3,200		1,044,874
Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a)	A3		1.044%	02/25/34		4,250		3,119,798
Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a)	B3		1.074%	02/25/34		3,005		2,198,247
Merrill Lynch Mortgage Investors, Inc. Ser. 2004-HE2, Class M1(a)	A-(c)		1.094%	08/25/35		1,000		635,852
Ser. 2004-OPT1, Class A1A(a)	AAA(c)		0.554%	06/25/35		2,806		2,008,824
Morgan Stanley ABS Capital I Ser. 2002-NC6, Class M2(a)	Ca		3.444%	11/25/32		167		44,177
Ser. 2003-HE1, Class M1(a)	Ba2		1.494%	05/25/33		1,937		1,465,464
Ser. 2003-HE3, Class M1(a)	Ba3		1.314%	10/25/33		1,419		1,031,396
Ser. 2004-NC1, Class M1(a)	Baa2		1.344%	12/27/33		1,193		944,600
Ser. 2004-OP1, Class M1(a)	Aa1		0.874%	11/25/34		3,688		2,666,773
Ser. 2004-WMC1, Class M1(a)	B1		1.224%	06/25/34		2,996		2,195,200
Ser. 2004-WMC2, Class M1(a)	B2		1.209%	07/25/34		2,575		1,898,054
New Century Home Equity Loan Trust Ser. 2003-4, Class M1(a)	A2		1.419%	10/25/33		4,376		3,447,587
Ser. 2004-4, Class M1(a)	Ba1		1.059%	02/25/35		3,048		2,261,709
Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a)	Aa3		1.094%	12/25/34		916		793,896
Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5	Baa2		5.221%	02/25/34		1,000		944,755
Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a)	Ba2		1.419%	12/25/32		520		403,964

SEE NOTES TO FINANCIAL STATEMENTS.

A29


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Residential Mortgage-Backed Securities (continued)
Securitized Asset Backed Receivables LLC Trust Ser. 2004-NC1, Class M1(a)	B1		1.074%	02/25/34	$	4,452	$	3,350,933
Ser. 2006-FR1, Class M1(a)	C		0.694%	11/25/35		2,000		241,390
Specialty Underwriting & Residential Finance, Ser. 2004-BC1, Class M1(a)	A1		1.059%	02/25/35		79		64,063
Structured Asset Investment Loan Trust Ser. 2004-2, Class A4(a)	AAA(c)		0.999%	03/25/34		2,297		1,657,407
Ser. 2004-7, Class A8(a)	AAA(c)		1.494%	08/25/34		1,400		1,028,693
Structured Asset Securities Corp., Ser. 2002-HF2, Class M3(a)	CC(c)		3.294%	07/25/32		1,327		1,018,425

								61,871,554

TOTAL ASSET-BACKED SECURITIES (cost $187,078,263)								184,289,596

BANK LOANS — 1.6%
Automotive — 0.2%
Chrysler Group LLC(a)	Ba2		6.000%	05/24/17		2,488		2,348,023

Cable — 0.1%
Insight Midwest Holding LLC(a)	Ba3		1.270%	10/06/13		1,789		1,766,599

Capital Goods — 0.1%
Capital Safety Group Ltd.(a)	B3		2.010%	06/15/15		409		405,156
Capital Safety Group Ltd.(a)	B3		3.014%	06/14/16		1,091		1,079,844

								1,485,000

Consumer
Huish Detergents, Inc.(a)	Ba3		2.260%	04/26/14		201		177,779

Electric — 0.1%
Texas Competitive Electric Holdings Co. LLC(a)	B2		4.891%	10/10/17		1,860		1,175,597

Foods — 0.2%
Del Monte Foods Co.(a)	Ba3		4.500%	03/08/18		1,866		1,767,680
OSI Restaurant Partners, Inc.(a)	B3		2.617%	06/14/13		442		417,474
OSI Restaurant Partners, Inc.(a)	B3		2.743%	06/14/14		1,012		955,781

								3,140,935

Gaming — 0.2%
CCM Merger, Inc.(a)	B3		7.000%	03/01/17		2,880		2,846,339

Healthcare & Pharmaceutical — 0.3%
HCA, Inc.(a)	Ba3		3.688%	05/01/18		462		435,710
HCA, Inc.(a)	Ba3		3.829%	03/31/17		1,108		1,049,188
RPI Finance Trust(a)	Baa2		4.000%	05/09/18		3,980		3,945,175

								5,430,073

Non-Captive Finance — 0.2%
International Lease Finance Corp.(a)	Ba2		6.750%	03/17/15		1,990		1,992,458
International Lease Finance Corp.(a)	Ba3		7.000%	03/17/16		1,460		1,461,805

								3,454,263

Technology — 0.2%
First Data Corp.(a)	B1		3.044%	09/24/14		88		79,567
First Data Corp.(a)	B1		3.044%	09/24/14		168		151,557
First Data Corp.(a)	B1		4.294%	03/26/18		2,411		2,014,814
Flextronics International Ltd. (Singapore)(a)	Ba1		2.522%	10/01/14		410		400,502
Flextronics International Ltd. (Singapore)(a)	Ba1		2.546%	10/01/14		118		115,749

								2,762,189

TOTAL BANK LOANS (cost $26,055,501)								24,586,797

SEE NOTES TO FINANCIAL STATEMENTS.

A30


COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19	$	1,062	$	1,081,198
Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		223		228,327
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)	Baa1		2.480%	02/25/34		1,935		1,725,500
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		872		776,108

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $4,125,681)								3,811,133

COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.9%
Banc of America Commercial Mortgage, Inc. Ser. 2006-1, Class A2(a)	Aaa		5.334%	09/10/45		237		238,130
Ser. 2006-5, Class A2	Aaa		5.317%	09/10/47		2,989		3,020,820
Ser. 2006-6, Class A2	Aaa		5.309%	10/10/45		3,458		3,454,837
Ser. 2007-1, Class A2	Aaa		5.381%	01/15/49		2,392		2,389,316
Ser. 2007-1, Class A3	Aaa		5.449%	01/15/49		3,500		3,682,952
Ser. 2007-4, Class A3(a)	AAA(c)		5.791%	02/10/51		6,460		6,801,747
Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		2,445		2,573,739
Bear Stearns Commercial Mortgage Securities Ser. 2005-PWR9, Class A2	Aaa		4.735%	09/11/42		857		871,566
Ser. 2005-T20, Class A2(a)	Aaa		5.127%	10/12/42		1,206		1,205,770
Ser. 2006-PW13, Class A3	AAA(c)		5.518%	09/11/41		4,024		4,221,792
Citigroup Commercial Mortgage Trust Ser. 2006-C5, Class A2	Aaa		5.378%	10/15/49		3,195		3,223,988
Ser. 2007-C6, Class A3(a)	Aaa		5.697%	12/10/49		4,850		5,144,754
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser. 2006-CD2, Class A2	Aaa		5.408%	01/15/46		56		56,033
Ser. 2006-CD2, Class AAB(a)	Aaa		5.374%	01/15/46		2,488		2,569,505
Ser. 2007-CD4, Class A3	Aaa		5.293%	12/11/49		2,515		2,675,075
Commercial Mortgage Pass-Through Certificates Ser. 2006-C7, Class A3(a)	AAA(c)		5.689%	06/10/46		2,703		2,752,525
Ser. 2006-C7, Class A4(a)	AAA(c)		5.751%	06/10/46		4,000		4,416,992
Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		4,325		4,337,328
Credit Suisse Mortgage Capital Certificates Ser. 2006-C1, Class A4(a)	AAA(c)		5.419%	02/15/39		4,400		4,869,432
Ser. 2006-C5, Class A2	Aaa		5.246%	12/15/39		107		106,906
Ser. 2007-C1, Class A2	Aaa		5.268%	02/15/40		2,133		2,130,879
Ser. 2007-C4, Class A2(a)	Aaa		5.795%	09/15/39		416		417,573
Ser. 2007-C4, Class A3(a)	Aaa		5.795%	09/15/39		10,550		10,994,123
DBUBS Mortgage Trust Ser. 2011-LC2A, Class A1, 144A	Aaa		3.527%	07/10/44		5,579		5,785,809
Ser. 2011-LC3A, Class A2	Aaa		3.642%	08/10/44		3,800		4,003,087
GE Capital Commercial Mortgage Corp. Ser. 2006-C1, Class A4(a)	AAA(c)		5.330%	03/10/44		6,700		7,356,030
Ser. 2007-C1, Class A2	Aaa		5.417%	12/10/49		9,765		9,787,958
GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, Class A4(a)	AAA(c)		5.238%	11/10/45		1,280		1,378,016
Greenwich Capital Commercial Funding Corp. Ser. 2005-GG3, Class A2	Aaa		4.305%	08/10/42		115		115,307
Ser. 2005-GG5, Class A2	Aaa		5.117%	04/10/37		7,244		7,275,924
Ser. 2005-GG5, Class A5(a)	Aaa		5.224%	04/10/37		4,900		5,246,347
Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,891		3,913,061
GS Mortgage Securities Corp. II Ser. 2006-GG6, Class A4(a)	AA-(c)		5.553%	04/10/38		6,700		7,284,475
Ser. 2006-GG8, Class A2	Aaa		5.479%	11/10/39		1,274		1,277,818
Ser. 2007-GG10, Class A2(a)	Aaa		5.778%	08/10/45		6,605		6,713,395
JPMorgan Chase Commercial Mortgage Securities Corp. Ser. 2005-LDP4, Class AM(a)	Aa2		4.999%	10/15/42		1,820		1,914,682
Ser. 2005-LDP5, Class A4(a)	Aaa		5.206%	12/15/44		3,350		3,705,770

SEE NOTES TO FINANCIAL STATEMENTS.

A31


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Ser. 2006-CB14, Class A4(a)	Aaa		5.481%	12/12/44	$	5,000	$	5,437,410
Ser. 2006-LDP6, Class A4(a)	Aaa		5.475%	04/15/43		1,640		1,804,074
Ser. 2006-LDP7, Class A2(a)	Aaa		5.861%	04/15/45		251		252,091
Ser. 2007-LD11, Class A2(a)	Aaa		5.802%	06/15/49		10,543		10,659,982
Ser. 2007-LD12, Class A3(a)	Aaa		5.986%	02/15/51		9,200		9,788,313
Ser. 2007-LDPX, Class A2	Aaa		5.434%	01/15/49		4,150		4,386,349
LB-UBS Commercial Mortgage Trust Ser. 2004-C8, Class A6(a)	Aaa		4.799%	12/15/29		4,200		4,457,447
Ser. 2005-C7, Class AM(a)	AA(c)		5.263%	11/15/40		2,100		2,218,014
Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		2		1,738
Ser. 2006-C6, Class AAB	Aaa		5.341%	09/15/39		6,766		7,103,436
Ser. 2006-C7, Class A2	AAA(c)		5.300%	11/15/38		1,187		1,189,290
Ser. 2007-C1, Class A2	AAA(c)		5.318%	02/15/40		3,075		3,076,748
Ser. 2007-C6, Class A2	Aaa		5.845%	07/15/40		3,358		3,397,749
Merrill Lynch Mortgage Trust Ser. 2006-C1, Class A4(a)	AAA(c)		5.666%	05/12/39		7,920		8,831,980
Ser. 2007-C1, Class A3(a)	A+(c)		5.834%	06/12/50		690		719,083
Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 2006-1, Class A4(a)	AAA(c)		5.430%	02/12/39		3,000		3,300,468
Ser. 2006-2, Class A4(a)	Aaa		5.906%	06/12/46		2,625		2,929,944
Ser. 2006-3, Class ASB(a)	Aaa		5.382%	07/12/46		1,987		2,088,330
Ser. 2006-4, Class A2(a)	Aaa		5.112%	12/12/49		1,893		1,891,657
Ser. 2007-7, Class A2(a)	Aaa		5.693%	06/12/50		120		120,424
Ser. 2007-9, Class A2	AAA(c)		5.590%	09/12/49		4,426		4,489,940
Morgan Stanley Capital I Ser. 2006-HQ8, Class A4(a)	Aaa		5.417%	03/12/44		10,000		10,952,050
Ser. 2006-HQ10, Class A4	Aaa		5.328%	11/12/41		2,500		2,729,840
Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		2,475		2,766,434
Ser. 2006-T23, Class A3(a)	AAA(c)		5.811%	08/12/41		1,318		1,350,959
Ser. 2007-IQ14, Class AAB(a)	Aaa		5.654%	04/15/49		6,100		6,480,054
Wachovia Bank Commercial Mortgage Trust Ser. 2003-C9, Class A3	AAA(c)		4.608%	12/15/35		709		717,282
Ser. 2005-C20, Class AMFX(a)	Aa1		5.179%	07/15/42		3,145		3,300,111
Ser. 2006-C23, Class A4(a)	Aaa		5.418%	01/15/45		7,838		8,538,772
Ser. 2006-C24, Class A3(a)	Aaa		5.558%	03/15/45		2,050		2,261,451
Ser. 2006-C25, Class A4(a)	Aaa		5.737%	05/15/43		6,000		6,640,494
Ser. 2006-C28, Class A2	Aaa		5.500%	10/15/48		359		359,375
Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		3,300		3,479,428
Ser. 2007-C33, Class A2(a)	Aaa		5.854%	02/15/51		4,545		4,584,088
Ser. 2007-C33, Class A3(a)	Aaa		5.899%	02/15/51		4,564		4,837,584
Ser. 2007-C34, Class A2	Aaa		5.569%	05/15/46		3,559		3,607,483

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $258,218,705)								278,663,333

CORPORATE BONDS — 44.7%
Aerospace & Defense — 0.2%
BE Aerospace, Inc., Sr. Unsec’d. Notes	Ba2		8.500%	07/01/18		1,480		1,620,600
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		700		691,635
L-3 Communications Corp., Gtd. Notes, Ser. B	Ba1		6.375%	10/15/15		1,420		1,455,500

								3,767,735

Airlines — 0.4%
Continental Airlines 2001-1 Class A-1 Pass Through Trust, Pass-thru Certs., Ser. 01A1(b)	Baa2		6.703%	06/15/21		2		2,446
Continental Airlines 2001-1 Class B Pass Through Trust, Pass-thru Certs., Ser. 011B	Ba1		7.373%	12/15/15		394		384,526
Continental Airlines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(d)	Baa1		5.983%	04/19/22		1,720		1,790,377

SEE NOTES TO FINANCIAL STATEMENTS.

A32


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Airlines (continued)
Continental Airlines 2010-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(d)	Baa2		4.750%	01/12/21	$	560	$	568,400
Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A	Baa1		6.821%	08/10/22		1,403		1,464,323
Delta Air Lines 2010-2 Class A Pass Through Trust, Pass-thru Certs., Ser. 2A(d)	Baa2		4.950%	05/23/19		767		776,932
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., Ser. A	Baa2		5.300%	04/15/19		850		858,500
UAL 2007-1 Pass Through Trust, Pass-thru Certs., Ser. 071A, Class A	Baa2		6.636%	07/02/22		1,041		1,040,949

								6,886,453

Automotive — 0.2%
BorgWarner, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	09/15/20		825		876,661
Delphi Corp., Gtd. Notes, 144A(d)	Ba3		5.875%	05/15/19		1,400		1,428,000
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		660		712,523

								3,017,184

Banking — 8.5%
Alfa MTN Markets Ltd. for ABH Financial Ltd. (Cyprus), Gtd. Notes., 144A, MTN(b)	Ba1		8.200%	06/25/12		1,500		1,513,125
American Express Co., Sr. Unsec’d. Notes(e)	A3		8.125%	05/20/19		2,785		3,600,646
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%	09/19/16		3,570		3,587,493
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(d)	Ba3		8.000%	12/29/49		3,500		3,134,040
Bank of America Corp., Sr. Unsec’d. Notes, MTN	Baa1		5.000%	05/13/21		860		783,318
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		6.000%	09/01/17		4,590		4,482,723
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa1		3.750%	07/12/16		1,340		1,240,731
Bank of America NA, Sub. Notes	A3		5.300%	03/15/17		790		712,510
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		6.750%	05/22/19		1,610		1,784,883
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		7.250%	02/01/18		1,575		1,846,453
Capital One Capital V, Ltd. Gtd. Notes	Baa3		10.250%	08/15/39		2,380		2,469,250
Capital One Financial Corp., Sub. Notes	Baa2		6.150%	09/01/16		700		728,372
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.500%	01/14/22		1,000		962,023
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.125%	11/21/17		2,050		2,187,824
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.125%	05/15/18		2,500		2,660,892
Citigroup, Inc., Sr. Unsec’d. Notes	A3		8.125%	07/15/39		4,120		5,044,248
Citigroup, Inc., Unsec’d. Notes(d)	A3		8.500%	05/22/19		1,375		1,618,493
Countrywide Financial Corp., Gtd. Notes, MTN(b)(d)	Baa1		5.800%	06/07/12		3,670		3,677,722
Depfa ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		3,065		2,191,073
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		2,005		2,097,767
Goldman Sachs Group, Inc. (The), Sr. Notes	A1		6.250%	02/01/41		2,195		2,153,359
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.250%	07/27/21		2,055		2,004,735
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, MTN	A1		6.000%	06/15/20		2,420		2,478,956
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		6.150%	04/01/18		1,355		1,398,480
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		6.250%	09/01/17		3,195		3,340,171
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.750%	10/01/37		440		409,426
Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.500%	10/30/15		4,035		4,136,145
HSBC Holdings PLC (United Kingdom), Sub. Notes	A1		6.500%	05/02/36		995		1,005,354
HSBC Holdings PLC (United Kingdom), Sub. Notes	A1		6.500%	09/15/37		1,625		1,604,023
HSBC Holdings PLC (United Kingdom), Sub. Notes	A1		6.800%	06/01/38		2,650		2,744,727
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		260		294,666
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a)	Ba2		7.250%	08/29/49		2,380		2,070,600
ICICI Bank Ltd. (India), Sr. Unsec’d. Notes, 144A, MTN	Baa2		4.750%	11/25/16		4,000		3,800,564
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)(d)	Baa1		7.900%	04/29/49		6,130		6,526,550
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)	Aa3		3.150%	07/05/16		4,245		4,264,866
JPMorgan Chase & Co., Sr. Unsec’d. Notes(d)	Aa3		4.250%	10/15/20		600		604,214
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)	Aa3		4.400%	07/22/20		5,100		5,208,202
KeyCorp, Sr. Unsec’d. Notes, MTN	Baa1		5.100%	03/24/21		1,155		1,199,421

SEE NOTES TO FINANCIAL STATEMENTS.

A33


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Banking (continued)
Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a)	B2		7.378%	10/29/49	$	1,590	$	1,472,003
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A1		5.800%	01/13/20		2,650		2,515,852
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(d)	Baa1		6.050%	08/15/12		1,500		1,521,662
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.500%	07/28/21		1,650		1,525,648
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.625%	09/23/19		2,635		2,440,218
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.750%	01/25/21		1,920		1,790,987
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	A2		5.450%	01/09/17		4,035		3,884,753
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		2,325		2,366,792
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A2		3.400%	08/23/13		1,720		1,673,322
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec’d. Notes, MTN	A3		6.400%	10/21/19		1,525		1,427,687
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa1		4.625%	04/19/16		525		504,162
Shinhan Bank (South Korea), Sr. Unsec’d. Notes, 144A(d)	A1		4.125%	10/04/16		2,200		2,215,059
State Street Corp., Jr. Sub. Debs.	Baa1		4.956%	03/15/18		3,025		3,144,249
Turkiye Garanti Bankasi AS (Turkey), Sr. Unsec’d. Notes, 144A	Ba1		6.250%	04/20/21		1,225		1,166,812
US Bancorp, Jr. Sub. Notes	A2		3.442%	02/01/16		4,120		4,255,190
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39		1,975		2,006,521
Wells Fargo & Co., Sr. Unsec’d. Notes(d)	A2		3.676%	06/15/16		7,240		7,565,786

								133,044,748

Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(f)	NR		6.875%	05/02/18		2,740		726,100

Building Materials & Construction — 0.7%
Country Garden Holdings Co. Ltd. (Cayman Islands), Sr. Unsec’d. Notes, 144A	Ba3		11.750%	09/10/14		500		482,500
Country Garden Holdings Co. Ltd. (Cayman Islands), Sr. Unsec’d. Notes, Reg.-S	Ba3		11.750%	09/10/14		3,650		3,522,250
Masco Corp., Sr. Unsec’d. Notes	Ba2		7.125%	08/15/13		2,600		2,706,943
Toll Brothers Finance Corp., Gtd. Notes(d)	Ba1		5.150%	05/15/15		4,695		4,849,987

								11,561,680

Cable — 2.8%
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A	B3		8.625%	11/15/17		2,300		2,438,000
Charter Communications Operating LLC, Sec’d. Notes, 144A	Ba2		8.000%	04/30/12		11,930		12,168,600
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A	Ba3		6.750%	11/15/21		2,225		2,341,813
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		8.500%	04/15/14		3,025		3,346,406
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		8.625%	02/15/19		1,610		1,855,525
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		2,825		2,912,360
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		275		286,239
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		2,800		3,024,462
Echostar DBS Corp., Gtd. Notes	Ba2		6.625%	10/01/14		1,000		1,067,500
Echostar DBS Corp., Gtd. Notes	Ba2		7.000%	10/01/13		2,000		2,135,000
Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, Reg.-S	B1		8.875%	12/01/18	EUR	800		911,150
TCI Communications, Inc., Sr. Unsec’d. Notes	Baa1		7.875%	02/15/26		750		993,315
Time Warner Cable, Inc., Gtd. Notes	Baa2		6.750%	07/01/18		5,520		6,556,187
Time Warner Cable, Inc., Gtd. Notes	Baa2		8.250%	02/14/14		1,115		1,256,779
Videotron Ltee (Canada), Gtd. Notes	Ba1		9.125%	04/15/18		1,996		2,198,095

								43,491,431

Capital Goods — 1.1%
Case New Holland, Inc., Gtd. Notes	Ba2		7.750%	09/01/13		1,000		1,062,500
Clean Harbors, Inc., Sr. Sec’d. Notes	Ba3		7.625%	08/15/16		1,350		1,434,375

SEE NOTES TO FINANCIAL STATEMENTS.

A34


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Capital Goods (continued)
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41	$	350	$	398,243
MHP SA (Luxembourg), Gtd. Notes, 144A	B3		10.250%	04/29/15		3,175		2,794,000
Rockwell Automation, Inc., Sr. Unsec’d. Notes	A3		5.200%	01/15/98		6,500		6,361,959
Textron, Inc., Sr. Unsec’d. Notes	Baa3		7.250%	10/01/19		2,350		2,657,871
Xylem, Inc., Gtd. Notes, 144A	Baa2		4.875%	10/01/21		1,960		2,077,122

								16,786,070

Chemicals — 1.3%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		6.125%	01/15/41		450		558,158
Ashland, Inc., Gtd. Notes	Baa3		9.125%	06/01/17		750		836,250
CF Industries, Inc., Gtd. Notes	Ba1		6.875%	05/01/18		785		898,825
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		5.900%	02/15/15		750		834,541
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		2,050		2,318,177
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		1,252		1,881,883
Ecolab, Inc., Sr. Unsec’d. Notes(d)	Baa1		5.500%	12/08/41		525		581,775
Lyondell Chemical Co., Sec’d. Notes	Ba2		11.000%	05/01/18		900		983,250
Lyondell Chemical Co., Sr. Sec’d. Notes	Ba2		8.000%	11/01/17		605		660,962
Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes	Ba2		6.500%	01/15/12		1,440		1,440,443
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		350		405,352
Rockwood Specialties Group, Inc., Gtd. Notes	B1		7.500%	11/15/14		5,175		5,239,687
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.875%	04/01/23		3,058		3,668,264

								20,307,567

Consumer — 0.5%
Realogy Corp., Gtd. Notes	Caa3		12.000%	04/15/17		2		1,393
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		5,783		6,317,927
VF Corp., Sr. Unsec’d. Notes	A3		3.500%	09/01/21		1,200		1,246,560

								7,565,880

Electric — 2.0%
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		9.750%	04/15/16		775		887,375
Consumers Energy Co., First Mtge. Bonds, Ser. D	A3		5.375%	04/15/13		1,000		1,052,207
Dubai Electricity & Water Authority (United Arab Emirates), Sr. Unsec’d. Notes, 144A	Ba1		8.500%	04/22/15		1,275		1,377,000
EDP Finance BV (Netherlands), Sr. Unsec’d. Notes, 144A	Baa3		6.000%	02/02/18		600		504,710
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		2,325		2,745,558
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.350%	08/01/13		625		682,826
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	A3		6.000%	10/07/39		3,200		2,575,507
Enersis SA (Chile), Sr. Unsec’d. Notes	Baa2		7.375%	01/15/14		3,700		4,043,271
Exelon Corp., Sr. Unsec’d. Notes	Baa1		4.900%	06/15/15		500		538,739
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.200%	10/01/17		1,930		2,216,323
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.250%	10/01/39		1,900		2,315,135
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	06/15/12		750		766,958
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	09/15/33		1,150		1,222,760
Mirant Mid Atlantic Pass Through Trust A, Pass-thru Certs., Ser. A	Ba1		8.625%	06/30/12		1,178		1,201,108
North American Energy Alliance LLC/North American Energy Alliance Finance Corp., Sec’d. Notes (original cost $1,563,824; purchased 09/30/09)(b)(g)	Ba3		10.875%	06/01/16		1,600		1,696,000
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa1		6.800%	09/01/18		1,460		1,775,504
Star Energy Geothermal Wayang Windu Ltd., Reg.-S (Virgin Islands (US)), Sr. Sec’d. Notes	B2		11.500%	02/12/15		800		860,000
TransAlta Corp. (Canada), Sr. Unsec’d. Notes	Baa2		6.650%	05/15/18		1,953		2,258,578
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		1,947		2,208,334

								30,927,893

SEE NOTES TO FINANCIAL STATEMENTS.

A35


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Energy – Integrated — 0.2%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20	$	870	$	958,193
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		1,510		1,619,571

								2,577,764

Energy – Other — 1.4%
Alliance Oil Co. Ltd. (Bermuda), Gtd. Notes, 144A(d)	B+(c)		9.875%	03/11/15		1,685		1,706,063
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.375%	09/15/17		2,515		2,915,222
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.450%	09/15/36		445		507,345
Anadarko Petroleum Corp., Sr. Unsec’d. Notes(d)	Ba1		6.950%	06/15/19		250		298,455
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A	A1		5.888%	06/15/19		2,777		3,013,431
Forest Oil Corp., Gtd. Notes	B1		8.500%	02/15/14		1,000		1,090,000
Nabors Industries, Inc., Gtd. Notes, 144A	Baa2		4.625%	09/15/21		1,650		1,675,913
Newfield Exploration Co., Sr. Sub. Notes	Ba2		6.625%	04/15/16		1,000		1,030,000
Novatek Finance Ltd. (Russia), Sr. Unsec’d. Notes, 144A	Baa3		5.326%	02/03/16		5,175		5,213,812
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Ba1		6.875%	05/01/18		1,750		1,979,208
Precision Drilling Corp. (Canada), Gtd. Notes	Ba1		6.625%	11/15/20		1,000		1,022,500
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		275		305,478
Weatherford International Ltd. (Bermuda), Gtd. Notes(d)	Baa2		5.125%	09/15/20		1,165		1,210,642

								21,968,069

Foods — 2.3%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		6.875%	11/15/19		2,200		2,762,773
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		7.750%	01/15/19		1,640		2,124,061
ARAMARK Corp., Gtd. Notes	B3		5.000%	06/01/12		1,000		1,005,000
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		5,369		5,503,225
ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A	B3		8.625%	05/01/16		1,185		1,220,550
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A	B2		9.000%	02/10/17		1,000		1,022,500
Dole Food Co., Inc., Sec’d. Notes	B2		13.875%	03/15/14		2,600		3,003,000
Ingles Markets, Inc., Sr. Unsec’d. Notes	B1		8.875%	05/15/17		1,500		1,623,750
J.M. Smucker Co. (The), Gtd. Notes	A3		3.500%	10/15/21		775		792,862
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A	B1		7.250%	06/01/21		1,330		1,240,225
Safeway, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	12/01/21		875		896,317
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		4,715		5,481,187
Stater Brothers Holdings, Inc., Gtd. Notes	B2		7.750%	04/15/15		2,200		2,257,750
SUPERVALU, Inc., Sr. Unsec’d. Notes	B2		7.500%	05/15/12		650		658,125
SUPERVALU, Inc., Sr. Unsec’d. Notes(d)	B2		7.500%	11/15/14		2,415		2,457,263
Tyson Foods, Inc., Gtd. Notes	Ba1		6.850%	04/01/16		1,000		1,097,500
Wendy’s/Arby’s Restaurants LLC, Gtd. Notes	B3		10.000%	07/15/16		2,750		3,025,000

								36,171,088

Gaming — 0.8%
Ameristar Casinos, Inc., Gtd. Notes(d)	B3		7.500%	04/15/21		1,550		1,596,500
Marina District Finance Co., Inc., Sr. Sec’d. Notes(d)	B2		9.500%	10/15/15		1,710		1,598,850
MGM Resorts International, Sr. Sec’d. Notes(d)	Ba2		10.375%	05/15/14		1,115		1,273,887
MGM Resorts International, Sr. Sec’d. Notes	Ba2		13.000%	11/15/13		3,875		4,601,563
Pinnacle Entertainment, Inc., Gtd. Notes(d)	B1		8.625%	08/01/17		2,500		2,643,750
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $1,087,500; purchased 06/22/11)(b)(g)	B1		11.375%	07/15/16		1,000		1,030,000

								12,744,550

Healthcare & Pharmaceutical — 1.0%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		2,920		3,027,117
Apria Healthcare Group, Inc., Sr. Sec’d. Notes(d)	B3		12.375%	11/01/14		1,650		1,513,875
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		3,750		3,795,465
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		825		913,409
HCA, Inc., Gtd. Notes(d)	B3		8.000%	10/01/18		2,250		2,379,375
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		1,000		1,018,750
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		320		333,600
Mylan, Inc., Gtd. Notes, 144A	Ba3		7.625%	07/15/17		2,030		2,215,238

								15,196,829

SEE NOTES TO FINANCIAL STATEMENTS.

A36


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Healthcare Insurance — 1.1%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	12/15/37	$	1,900	$	2,375,764
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		4.375%	12/15/20		745		761,153
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.375%	03/15/17		2,125		2,327,736
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		750		793,517
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		4,025		4,406,554
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		2,610		3,069,853
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		760		966,594
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		195		250,347
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.875%	02/15/38		2,000		2,682,126

								17,633,644

Insurance — 2.8%
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		5.500%	11/15/20		430		430,775
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		7.500%	08/01/16		2,475		2,793,196
American International Group, Inc., Sr. Unsec’d. Notes(d)	Baa1		4.250%	05/15/13		1,820		1,817,508
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		5.050%	10/01/15		315		304,992
American International Group, Inc., Sr. Unsec’d. Notes, MTN	Baa1		5.850%	01/16/18		3,700		3,618,655
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		950		958,768
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		2,005		2,122,295
Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		5.750%	12/01/14		3,350		3,522,287
Chubb Corp. (The), Jr. Sub. Notes(a)(d)	A3		6.375%	03/29/67		1,775		1,752,813
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		7.000%	07/15/34		1,350		1,367,751
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		6.500%	03/15/35		1,030		1,004,134
Lincoln National Corp., Jr. Sub. Notes(a)	Ba1		6.050%	04/20/67		350		291,375
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		1,265		1,430,129
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		1,265		1,538,694
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A	A1		8.875%	06/01/39		1,200		1,755,310
MetLife, Inc., Sr. Unsec’d. Notes(d)	A3		7.717%	02/15/19		2,000		2,507,892
Northwestern Mutual Life Insurance, Notes, 144A(d)	Aa2		6.063%	03/30/40		500		600,216
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		850		924,364
Progressive Corp. (The), Jr. Sub. Notes(a)	A2		6.700%	06/15/37		1,015		1,025,150
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		2,310		2,964,659
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		500		514,836
Willis Group Holdings PLC (Ireland), Gtd. Notes(d)	Baa3		4.125%	03/15/16		1,280		1,300,015
XL Capital Finance Europe PLC (United Kingdom), Gtd. Notes	Baa2		6.500%	01/15/12		6,820		6,834,097
XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)	Ba1		6.500%	12/31/49		1,880		1,471,100
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		140		148,052

								42,999,063

Lodging — 0.8%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		3,938		4,312,110
Host Hotels & Resorts LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		4,715		4,797,513
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Ba1		6.250%	02/15/13		980		1,011,850
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		5.750%	02/01/18		2,150		2,276,035

								12,397,508

Media & Entertainment — 2.9%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A	Baa1		6.100%	02/15/18		210		235,233
CBS Corp., Gtd. Notes	Baa2		8.200%	05/15/14		4,800		5,442,254
Gannett Co., Inc., Sr. Unsec’d. Notes	Ba2		6.375%	04/01/12		1,100		1,105,500
Historic TW, Inc., Gtd. Notes	Baa2		6.625%	05/15/29		225		265,234
Intelsat Jackson Holdings SA (Bermuda), Gtd. Notes	Caa2		11.250%	06/15/16		2,000		2,101,250
Liberty Interactive LLC, Sr. Unsec’d. Notes	B3		5.700%	05/15/13		800		825,000
LIN Television Corp., Gtd. Notes(d)	Caa1		6.500%	05/15/13		1,249		1,250,561
LIN Television Corp., Gtd. Notes, Ser. B	Caa1		6.500%	05/15/13		1,840		1,842,300
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		4.375%	04/01/21		1,350		1,424,717
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		460		502,832

SEE NOTES TO FINANCIAL STATEMENTS.

A37


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Media & Entertainment (continued)
News America, Inc., Gtd. Notes(d)	Baa1		6.150%	02/15/41	$	1,430	$	1,648,205
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		65		75,138
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,415		1,709,010
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.500%	05/01/16		2,800		3,206,000
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.625%	02/01/14		1,400		1,608,250
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba1		4.950%	04/01/14		7,000		6,842,500
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba1		8.600%	08/15/16		4,750		4,755,938
Time Warner Cos., Inc., Gtd. Notes	Baa2		6.950%	01/15/28		2,153		2,600,423
Time Warner Cos., Inc., Gtd. Notes	Baa2		7.250%	10/15/17		1,440		1,725,447
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		4.375%	09/15/14		860		921,274
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	10/05/37		1,820		2,258,604
Vivendi SA (France), Sr. Unsec’d. Notes, 144A	Baa2		5.750%	04/04/13		2,000		2,089,498

								44,435,168

Metals — 2.2%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d)	Baa3		6.125%	06/01/18		1,585		1,565,286
Bumi Investment Pte Ltd. (Singapore), Sec’d. Notes, MTN, Reg.-S	Ba3		10.750%	10/06/17		2,660		2,660,000
Century Aluminum Co., Sec’d. Notes	B(c)		8.000%	05/15/14		2,100		2,094,750
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes	Baa3		8.375%	04/01/17		2,095		2,225,938
Indo Integrated Energy II BV (Netherlands), Sr. Sec’d. Notes, Reg.-S	B1		9.750%	11/05/16		2,025		2,161,687
Metals USA, Inc., Sr. Sec’d. Notes	B3		11.125%	12/01/15		7,450		7,738,688
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		2,025		2,397,624
Novelis, Inc. (Canada), Gtd. Notes(d)	B2		8.375%	12/15/17		3,525		3,745,313
Peabody Energy Corp., Sr. Unsec’d. Notes, 144A	Ba1		6.000%	11/15/18		4,075		4,156,500
Steel Dynamics, Inc., Gtd. Notes	Ba2		7.375%	11/01/12		1,590		1,655,587
Teck Resources Ltd. (Canada), Sr. Sec’d. Notes	Baa2		10.250%	05/15/16		287		330,050
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes	Baa2		6.875%	11/21/36		690		785,600
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes(d)	Baa2		6.875%	11/10/39		1,400		1,603,560
Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,825		1,834,320

								34,954,903

Non-Captive Finance — 2.4%
Bosphorus Financial Services Ltd. (Cayman Islands), Sr. Sec’d. Notes, MTN, Reg.-S(a)	Baa2		2.257%	02/15/12		139		138,926
CIT Group, Inc., Sec’d. Notes, 144A(d)	B2		7.000%	05/04/15		350		350,438
CIT Group, Inc., Sec’d. Notes, 144A(d)	B2		7.000%	05/02/17		3,475		3,470,656
GATX Corp., Sr. Unsec’d. Notes	Baa1		4.750%	10/01/12		1,500		1,530,287
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	Aa2		5.875%	01/14/38		1,675		1,774,808
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(h)	Aa2		6.000%	08/07/19		6,315		7,253,586
General Electric Capital Corp., Sub. Notes	Aa3		5.300%	02/11/21		1,185		1,266,708
HSBC Finance Corp., Sr. Sub. Notes	Baa1		6.676%	01/15/21		295		305,147
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba3		6.500%	09/01/14		2,875		2,939,687
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		5.750%	05/15/16		1,125		1,043,485
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		6.250%	05/15/19		1,400		1,293,306
Nelnet, Inc., Jr. Sub. Notes(a)	Ba2		3.951%	09/29/36		6,100		5,206,216
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(a)(b)	Baa1		1.078%	07/03/33		2,374		1,305,950
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		1,385		1,346,883
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		5.050%	11/14/14		4,150		4,093,145
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		3,200		3,296,000
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN	B3		6.900%	12/15/17		2,000		1,440,000

								38,055,228

Packaging — 0.7%
Greif Luxembourg Finance SCA (Luxembourg), 144A	Ba2		7.375%	07/15/21	EUR	1,470		1,850,223
Greif, Inc., Sr. Unsec’d. Notes	Ba2		7.750%	08/01/19		1,815		1,960,200

SEE NOTES TO FINANCIAL STATEMENTS.

A38


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Packaging (continued)
Sealed Air Corp., Sr. Unsec’d. Notes, 144A	B1		5.625%	07/15/13	$	6,600	$	6,859,123

								10,669,546

Paper — 1.0%
International Paper Co., Sr. Unsec’d. Notes(d)	Baa3		6.000%	11/15/41		675		732,789
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.300%	11/15/39		1,000		1,216,484
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		2,205		2,683,990
MeadWestvaco Corp., Sr. Unsec’d. Notes(d)	Ba1		7.375%	09/01/19		4,400		5,111,511
Rock-Tenn Co., Gtd. Notes	Ba2		9.250%	03/15/16		1,000		1,060,000
Verso Paper Holdings LLC/Verso Paper, Inc., Sr. Sec’d. Notes(d)	Ba2		11.500%	07/01/14		3,863		3,940,260

								14,745,034

Pipelines & Other — 0.8%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		1,065		1,043,270
ENN Energy Holdings Ltd. (Cayman Islands), Sr. Unsec’d. Notes, 144A(d)	Baa3		6.000%	05/13/21		4,750		4,289,293
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		7.300%	08/15/33		1,550		1,810,042
Mega Advance Investments Ltd. (Virgin Islands (BR)), Gtd. Notes, 144A	Baa1		5.000%	05/12/21		1,250		1,271,136
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		1,345		1,489,799
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.500%	06/01/16		2,275		2,653,787

								12,557,327

Railroads — 0.1%
Union Pacific Corp., Sr. Unsec’d. Notes	Baa2		4.163%	07/15/22		1,268		1,376,250

Real Estate Investment Trusts — 1.1%
Hospitality Properties Trust, Sr. Unsec’d. Notes	Baa2		7.875%	08/15/14		2,900		3,151,143
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		5.450%	06/01/12		2,300		2,328,952
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		8		8,883
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		8.625%	01/15/12		3,500		3,507,873
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		100		102,143
Simon Property Group LP, Sr. Unsec’d. Notes	A3		4.200%	02/01/15		765		811,224
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.750%	05/15/14		980		1,079,218
Simon Property Group LP, Sr. Unsec’d. Notes	A3		10.350%	04/01/19		1,685		2,313,000
WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A	A2		5.750%	09/02/15		4,000		4,251,648

								17,554,084

Retailers — 1.1%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		2,000		2,433,766
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.350%	03/15/12		1,800		1,812,343
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1		5.875%	01/15/13		7,800		8,030,482
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes	B2		8.500%	05/15/16		2,565		2,766,994
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(d)	Aa2		5.625%	04/15/41		1,190		1,537,957

								16,581,542

Technology — 1.5%
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes	Ba3		8.125%	12/15/17		1,530		1,587,375
Amphenol Corp., Sr. Unsec’d. Notes	Baa2		4.750%	11/15/14		2,475		2,651,888
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		600		600,772
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	10/01/15		195		199,759
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		545		554,915
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A	BB(c)		10.000%	07/15/13		1,789		1,936,593
Seagate HDD Cayman (Cayman Islands), Gtd. Notes	Ba1		6.875%	05/01/20		2,875		2,954,062
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		2,794		3,160,713
SunGard Data Systems, Inc., Gtd. Notes(d)	Caa1		7.625%	11/15/20		1,700		1,746,750
SunGard Data Systems, Inc., Gtd. Notes	Caa1		10.250%	08/15/15		2,610		2,704,613
SunGard Data Systems, Inc., Gtd. Notes	Caa1		10.625%	05/15/15		2,000		2,130,000
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,000		2,107,992

SEE NOTES TO FINANCIAL STATEMENTS.

A39


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Technology (continued)
Xerox Corp., Sr. Unsec’d. Notes	Baa2		5.500%	05/15/12	$	870	$	884,425

								23,219,857

Telecommunications — 2.3%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		795		945,221
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		103		145,494
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		483		543,327
AT&T, Inc., Sr. Unsec’d. Notes(e)	A2		5.550%	08/15/41		2,410		2,837,575
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,990		2,531,357
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		328		462,250
CC Holdings GS V LLC/Crown Castle GS III Corp., Sr. Sec’d. Notes, 144A	Baa3		7.750%	05/01/17		3,000		3,232,500
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,960		3,995,112
Digicel Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A	B1		12.000%	04/01/14		1,910		2,139,200
Embarq Corp., Sr. Unsec’d. Notes (original cost $5,906,280; purchased 05/04/11-05/11/11)(b)(g)	Baa3		7.082%	06/01/16		5,225		5,663,618
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,303,800; purchased 04/22/10)(b)(g)	Baa3		7.995%	06/01/36		1,250		1,295,235
MetroPCS Wireless, Inc., Gtd. Notes(d)	B2		7.875%	09/01/18		775		785,656
Nextel Communications, Inc., Gtd. Notes, Ser. E(d)	B1		6.875%	10/31/13		2,845		2,830,775
Qwest Corp., Sr. Unsec’d. Notes(a)(d)	Baa3		3.796%	06/15/13		3,750		3,760,549
Qwest Corp., Sr. Unsec’d. Notes	Baa3		8.375%	05/01/16		1,100		1,259,910
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		5.134%	04/27/20		1,090		1,023,857
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		7.045%	06/20/36		5		4,875
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Unsec’d. Notes, 144A	Ba3		7.748%	02/02/21		1,500		1,284,375
Wind Acquisition Finance SA (Luxembourg), Gtd. Notes, 144A	B3		11.750%	07/15/17	EUR	450		479,033

								35,219,919

Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		3,715		5,650,448
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		515		520,914
Lorillard Tobacco Co., Gtd. Notes(d)	Baa2		8.125%	06/23/19		895		1,066,122

								7,237,484

TOTAL CORPORATE BONDS (cost $668,183,849)								696,377,598

FOREIGN AGENCIES — 2.2%
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		4.125%	09/09/15		2,000		2,050,524
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		4.950%	05/23/16		1,950		1,952,437
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, Reg.-S	Baa1		9.250%	04/23/19		2,055		2,443,189
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		9.250%	04/23/19		3,440		4,089,816
Gazprom International SA For Gazprom (Luxembourg), Gtd. Notes, 144A	BBB+(c)		7.201%	02/01/20		663		700,808
IPIC GMTN Ltd. (Cayman Islands), Gtd. Notes, 144A, MTN	Aa3		5.500%	03/01/22		3,625		3,625,000
Kazmunaygas National Co. (Kazakhstan), Sr. Unsec’d. Notes, 144A, MTN(d)	Baa3		8.375%	07/02/13		1,200		1,257,000
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes(d)	A1		3.875%	05/04/17		1,475		1,456,539
Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, Ser. G, 144A, MTN	A1		4.500%	03/23/15		1,785		1,850,501
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	A1		3.250%	09/20/16		2,250		2,212,434

SEE NOTES TO FINANCIAL STATEMENTS.

A40


FOREIGN AGENCIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	A1		4.625%	11/16/21	$	600	$	595,373
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.750%	07/13/21		1,650		1,672,326
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		2,730		2,944,906
NAK Naftogaz Ukraine (Ukraine), Gtd. Notes	NR		9.500%	09/30/14		3,765		3,529,688
National Agricultural Cooperative Federation (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A1		3.500%	02/08/17		1,575		1,529,224
Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, Ser. 2014	NR		4.900%	10/28/14		1,735		1,357,638
Qtel International Finance Ltd. (Bermuda), Gtd. Notes, 144A	A2		4.750%	02/16/21		1,295		1,304,712

TOTAL FOREIGN AGENCIES (cost $34,210,380)								34,572,115

MORTGAGE-BACKED SECURITIES — 7.2%
Federal Home Loan Mortgage Corp.			4.500%	TBA 30 YR		8,000		8,476,250
Federal Home Loan Mortgage Corp.			5.000%	07/01/19		401		433,899
Federal Home Loan Mortgage Corp.			5.500%	10/01/33-06/01/34		2,741		3,031,261
Federal Home Loan Mortgage Corp.			5.500%	TBA 30 YR		13,000		14,105,000
Federal Home Loan Mortgage Corp.			6.000%	11/01/33-06/01/34		2,733		3,042,763
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		1,500		1,647,188
Federal Home Loan Mortgage Corp.			6.500%	07/01/32-09/01/32		1,540		1,761,405
Federal Home Loan Mortgage Corp.			7.000%	10/01/32		170		194,803
Federal National Mortgage Association			4.000%	05/01/19		265		282,407
Federal National Mortgage Association			4.500%	12/01/18-02/01/35		2,171		2,337,230
Federal National Mortgage Association			5.500%	03/01/17-09/01/34		7,374		8,079,722
Federal National Mortgage Association			5.500%	TBA 30 YR		7,500		8,166,796
Federal National Mortgage Association			6.000%	09/01/17-11/01/36		5,465		6,079,874
Federal National Mortgage Association			6.000%	TBA 30 YR		12,000		13,213,126
Federal National Mortgage Association			6.500%	12/01/14-11/01/33		3,440		3,890,837
Federal National Mortgage Association			7.000%	05/01/32-06/01/32		244		283,160
Government National Mortgage Association			4.500%	TBA 30 YR		1,000		1,089,531
Government National Mortgage Association			4.500%	TBA 30 YR		19,000		20,647,654
Government National Mortgage Association			5.500%	01/15/33-07/15/35		5,133		5,820,598
Government National Mortgage Association			6.000%	12/15/32-11/15/34		4,214		4,800,403
Government National Mortgage Association			6.500%	09/15/32-11/15/33		3,316		3,838,243
Government National Mortgage Association			7.500%	10/15/25-02/15/26		78		90,923

TOTAL MORTGAGE-BACKED SECURITIES (cost $107,105,186)								111,313,073

MUNICIPAL BONDS — 1.2%
Bay Area Toll Authority, Revenue Bonds, BABs	A1		6.907%	10/01/50		1,125		1,467,000
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		1,380		1,687,643
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,375		1,649,615
New Jersey State Turnpike Authority, Revenue Bonds, Ser. 2010A, BABs	A3		7.102%	01/01/41		1,175		1,614,427
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		2,050		2,923,853
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		695		797,130
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		450		508,613
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		615		752,483
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		800		909,456
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		1,000		1,299,420

SEE NOTES TO FINANCIAL STATEMENTS.

A41


MUNICIPAL BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39	$	2,280	$	2,716,506
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		725		896,847
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		425		494,764
University of California, Revenue Bonds, BABs	Aa1		5.770%	05/15/43		1,400		1,608,418

TOTAL MUNICIPAL BONDS (cost $15,530,646)								19,326,175

SOVEREIGNS — 2.4%
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes	NR		7.820%	12/31/33	EUR	4,437		3,503,083
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Ba1		4.875%	05/05/21		1,600		1,712,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Ba1		7.250%	04/20/15		1,600		1,812,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Ba1		10.375%	05/04/14		1,400		1,636,250
Ireland Government Bond (Ireland), Bonds	Ba1		4.500%	04/18/20	EUR	1,850		1,833,144
Jamaica Government International Bond (Jamaica), Sr. Unsub. Notes	B3		11.000%	07/27/12	EUR	620		810,458
Mexican Bonos (Mexico), Bonds, Ser. M 30	Baa1		10.000%	11/20/36	MXN	567		5,036,070
Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), Pass-thru Certs., 144A(i)	Baa3		3.350%	05/31/18		1,285		1,054,816
Poland Government International Bond (Poland), Sr. Unsec’d. Notes, Ser. 3BR	A2		1.000%	06/20/12	JPY	500,000		6,449,026
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		815		894,462
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		6.400%	01/20/40		1,090		1,280,750
Republic of Ghana (Ghana), Unsec’d. Notes, 144A(d)	B(c)		8.500%	10/04/17		2,000		2,190,000
South Africa Government Bond (South Africa), Ser. R213	A3		7.000%	02/28/31	ZAR	69,870		7,155,301
Venezuela Government International Bond (Venezuela), Sr. Unsec’d. Notes(d)	B2		9.250%	09/15/27		3,180		2,297,550

TOTAL SOVEREIGNS (cost $39,495,406)								37,664,910

U.S. GOVERNMENT TREASURY SECURITIES — 2.2%
U.S. Treasury Bonds(d)			3.750%	08/15/41		2,295		2,699,136
U.S. Treasury Bonds			6.500%	11/15/26		18,920		28,705,197
U.S. Treasury Notes			0.500%	10/15/14		1,500		1,506,211
U.S. Treasury Notes			2.000%	11/15/21		1,950		1,972,242

TOTAL U.S. GOVERNMENT TREASURY SECURITIES (cost $34,246,467)								34,882,786


					Shares
PREFERRED STOCK — 0.1%
Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a) (cost $1,125,000)						45,000		1,172,700

TOTAL LONG-TERM INVESTMENTS (cost $1,375,375,084)								1,426,660,216

SEE NOTES TO FINANCIAL STATEMENTS.

A42


SHORT-TERM INVESTMENTS — 17.8%	Shares		Value (Note 2)
AFFILATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(j) (cost $165,711,329)		16,762,945	$	148,519,695
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(j)(k) (cost $128,742,241; includes $87,137,730 of cash collateral received for securities on loan)		128,742,241		128,742,241

TOTAL SHORT-TERM INVESTMENTS (cost $294,453,570)				277,261,936

TOTAL INVESTMENTS — 109.4% (cost $1,669,828,654)				1,703,922,152
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (9.4)%				(147,022,963	)

NET ASSETS — 100.0%			$	1,556,899,189

The following abbreviations are used in portfolio descriptions:


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.
Reg.-S		Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
BABs		Build America Bonds
BTP		Buoni del Tesoro Poliennali — Long Term Treasury Bonds
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
MTN		Medium Term Note
NR		Not Rated by Moody’s or Standard & Poor’s
PIK		Payment in Kind
TBA		To Be Announced
AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
CLP		Chilean Peso
CNY		Chinese Yuan Renminbi
COP		Colombian Peso
CZK		Czech Koruna
EUR		Euro
GBP		Pound Sterling
HUF		Hungarian Forint
IDR		Indonesian Rupiah
INR		Indian Rupee
JPY		Japanese Yen
KRW		South Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
PEN		Peruvian Nuevo Sol
PHP		Philippine Peso
PLN		Polish Zloty
RON		Romanian New Lei
RUB		Russian Rouble
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thai Baht
TRY		Turkish Lira
TWD		New Taiwan Dollar
ZAR		South African Rand
BBR		New Zealand Bank Bill Rate
BBSW		Australian Bank Bill Rate
LIBOR		London Interbank Offered Rate

SEE NOTES TO FINANCIAL STATEMENTS.

A43

†	The ratings reflected are as of December 31, 2011. Ratings of certain bonds may have changed subsequent to that date.

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2011.

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

(c)	Standard & Poor’s Rating.

(d)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $85,497,038; cash collateral of $87,137,730 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(e)	Represents security, or a portion thereof, segregated as collateral for swap agreements.

(f)	Represents issuer in default on interest payments and/or principal repayment; non-income producing security.

(g)	Indicates a restricted security; the aggregate original cost of such securities is $9,861,404. The aggregate value of $9,684,853 is approximately 0.6% of net assets.

(h)	Represents security, or a portion thereof, segregated as collateral for futures contracts.

(i)	Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(j)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

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

(l)	Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Long Positions:
925	2 Year U.S. Treasury Notes		Mar. 2012	$	204,078,543	$	204,005,859	$	(72,684	)
879	5 Year U.S. Treasury Notes		Mar. 2012		107,751,108		108,343,617		592,509
64	10 Year Euro-BTP		Mar. 2012		7,821,277		7,588,222		(233,055	)
24	10 Year Euro-Bund		Mar. 2012		4,157,530		4,318,850		161,320
246	U.S. Ultra Bond		Mar. 2012		38,594,115		39,406,125		812,010
411	U.S. Long Bond		Mar. 2012		58,139,085		59,517,938		1,378,853

									2,638,953

Short Position:
108	10 Year U.S. Treasury Notes		Mar. 2012		14,161,367		14,161,500		(133	)

								$	2,638,820

Forward currency contracts outstanding at December 31, 2011:


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 01/19/12	Citibank NA	AUD	9,222	$	9,278,004	$	9,409,806	$	131,802
Australian Dollar expiring 01/19/12	Citibank NA	AUD	802		814,300		817,857		3,557
Australian Dollar expiring 01/19/12	Goldman Sachs Group LP	AUD	3,881		3,871,000		3,960,006		89,006
Australian Dollar expiring 01/19/12	Goldman Sachs Group LP	AUD	3,841		3,885,100		3,919,255		34,155
Australian Dollar expiring 01/19/12	JPMorgan Chase & Co.	AUD	158		155,000		161,483		6,483
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	4,657		4,632,300		4,752,007		119,707
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	3,883		3,885,300		3,962,055		76,755
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	2,262		2,316,000		2,308,512		(7,488	)
Australian Dollar expiring 01/19/12	UBS AG	AUD	4,679		4,632,300		4,774,770		142,470
Australian Dollar expiring 01/20/12	Citibank NA	AUD	311		309,800		317,633		7,833
Australian Dollar expiring 01/20/12	Morgan Stanley	AUD	3,095		3,107,400		3,157,317		49,917
Brazilian Real expiring 01/19/12	Citibank NA	BRL	8,681		4,632,300		4,631,294		(1,006	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	7,258		3,872,200		3,872,392		192
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,782		3,102,600		3,084,546		(18,054	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,644		3,064,800		3,010,994		(53,806	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,498		3,134,700		2,933,335		(201,365	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	5,440		3,065,100		2,902,382		(162,718	)

SEE NOTES TO FINANCIAL STATEMENTS.

A44


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,314	$	2,330,600	$	2,301,496	$	(29,104	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,212		2,316,000		2,246,922		(69,078	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,186		2,317,300		2,233,347		(83,953	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,937		1,547,000		1,566,884		19,884
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,922		1,560,500		1,558,912		(1,588	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,881		1,537,300		1,536,966		(334	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,874		1,537,300		1,533,275		(4,025	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,859		1,552,700		1,525,027		(27,673	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,842		1,532,400		1,516,125		(16,275	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,839		1,542,600		1,514,695		(27,905	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,719		1,539,900		1,450,428		(89,472	)
Brazilian Real expiring 01/19/12	Morgan Stanley	BRL	5,336		3,107,900		2,846,576		(261,324	)
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	3,273		3,200,400		3,211,174		10,774
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	3,188		3,091,600		3,128,299		36,699
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	1,583		1,547,000		1,553,180		6,180
Canadian Dollar expiring 01/18/12	JPMorgan Chase & Co.	CAD	2,353		2,317,300		2,308,290		(9,010	)
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	6,315		6,160,651		6,196,128		35,477
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	4,783		4,632,300		4,692,805		60,505
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	2,457		2,366,500		2,411,152		44,652
Canadian Dollar expiring 01/18/12	UBS AG	CAD	3,903		3,843,200		3,829,109		(14,091	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	2,404,986		4,632,100		4,622,985		(9,115	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,584,700		3,092,400		3,046,190		(46,210	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,214,121		2,298,600		2,333,843		35,243
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,198,932		2,317,000		2,304,646		(12,354	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,190,465		2,327,400		2,288,372		(39,028	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,182,503		2,298,800		2,273,066		(25,734	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	1,179,191		2,323,300		2,266,700		(56,600	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	823,070		1,537,300		1,582,147		44,847
Chilean Peso expiring 01/09/12	Citibank NA	CLP	814,769		1,537,300		1,566,190		28,890
Chilean Peso expiring 01/09/12	Citibank NA	CLP	810,180		1,532,400		1,557,368		24,968
Chilean Peso expiring 01/09/12	Citibank NA	CLP	792,639		1,533,300		1,523,651		(9,649	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	771,875		1,539,900		1,483,736		(56,164	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	49,235		7,782,400		7,800,350		17,950
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	100,235		15,790,000		15,880,203		90,203
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	98,787		15,496,000		15,650,809		154,809
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	24,658		3,895,900		3,906,614		10,714
Chinese Yuan Renminbi expiring 10/29/12	Morgan Stanley	CNY	14,861		2,351,100		2,352,652		1,552
Colombian Peso expiring 03/06/12	Citibank NA	COP	8,988,214		4,633,100		4,648,201		15,101
Colombian Peso expiring 03/06/12	Citibank NA	COP	7,482,062		3,871,000		3,869,304		(1,696	)
Czech Koruna expiring 01/20/12	Citibank NA	CZK	44,350		2,358,331		2,245,071		(113,260	)
Czech Koruna expiring 01/20/12	Citibank NA	CZK	44,078		2,331,400		2,231,337		(100,063	)
Czech Koruna expiring 01/20/12	Citibank NA	CZK	43,665		2,331,200		2,210,400		(120,800	)
Czech Koruna expiring 01/20/12	Goldman Sachs Group LP	CZK	59,145		3,088,200		2,994,037		(94,163	)
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	88,896		4,632,300		4,500,119		(132,181	)
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	59,956		3,097,800		3,035,108		(62,692	)
Czech Koruna expiring 01/20/12	UBS AG	CZK	86,501		4,632,100		4,378,889		(253,211	)
Euro expiring 01/23/12	Morgan Stanley	EUR	116		154,400		149,528		(4,872	)
Euro expiring 01/23/12	UBS AG	EUR	2,319		3,099,400		3,001,841		(97,559	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	1,036,868		4,634,500		4,251,206		(383,294	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	712,426		3,107,400		2,920,977		(186,423	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	536,116		2,331,400		2,198,098		(133,302	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	529,225		2,328,000		2,169,845		(158,155	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	526,451		2,331,200		2,158,472		(172,728	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	526,356		2,316,000		2,158,083		(157,917	)

SEE NOTES TO FINANCIAL STATEMENTS.

A45


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	351,169	$	1,544,800	$	1,439,810		$ (104,990	)
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	346,546		1,550,600		1,420,854		(129,746	)
Indian Rupee expiring 03/05/12	UBS AG	INR	240,299		4,634,500		4,466,777		(167,723	)
Indonesian Rupiah expiring 01/19/12	UBS AG	IDR	41,664,155		4,634,500		4,585,599		(48,901	)
Indonesian Rupiah expiring 01/19/12	UBS AG	IDR	21,132,792		2,327,400		2,325,896		(1,504	)
Indonesian Rupiah expiring 01/19/12	UBS AG	IDR	21,052,671		2,317,300		2,317,078		(222	)
Indonesian Rupiah expiring 01/20/12	UBS AG	IDR	25,434,020		2,821,300		2,798,988		(22,312	)
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	14,759		4,637,500		4,639,116		1,616
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	9,719		3,088,000		3,055,103		(32,897	)
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	9,667		3,088,000		3,038,602		(49,398	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	65,222		4,632,300		4,666,224		33,924
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	62,740		4,634,500		4,488,641		(145,859	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	50,940		3,731,506		3,644,426		(87,080	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	31,678		2,335,500		2,266,380		(69,120	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	21,339		1,545,800		1,526,647		(19,153	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	2,974		214,987		212,757		(2,230	)
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	43,454		3,100,800		3,108,838		8,038
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	2,177		155,000		155,731		731
Mexican Nuevo Peso expiring 01/18/12	Morgan Stanley	MXN	42,038		3,091,600		3,007,578		(84,022	)
New Taiwan Dollar expiring 03/02/12	UBS AG	TWD	92,794		3,088,000		3,068,283		(19,717	)
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	6,101		4,637,500		4,742,306		104,806
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	5,141		3,872,200		3,995,688		123,488
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	4,020		3,094,600		3,125,052		30,452
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	2,972		2,316,000		2,310,487		(5,513	)
New Zealand Dollar expiring 01/19/12	Goldman Sachs Group LP	NZD	6,146		4,632,300		4,777,390		145,090
New Zealand Dollar expiring 01/19/12	Goldman Sachs Group LP	NZD	1,052		814,300		818,034		3,734
New Zealand Dollar expiring 01/19/12	Morgan Stanley	NZD	3,449		2,639,052		2,680,991		41,939
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	36,242		6,183,300		6,055,435		(127,865	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	23,089		3,871,000		3,857,867		(13,133	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	22,431		3,885,300		3,747,866		(137,434	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	18,211		3,099,400		3,042,841		(56,559	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	14,034		2,329,600		2,344,774		15,174
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	13,492		2,328,000		2,254,227		(73,773	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	4,877		814,300		814,859		559
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	926		154,900		154,691		(209	)
Norwegian Krone expiring 01/20/12	Goldman Sachs Group LP	NOK	17,848		3,101,200		2,982,160		(119,040	)
Norwegian Krone expiring 01/20/12	Goldman Sachs Group LP	NOK	8,949		1,552,400		1,495,222		(57,178	)
Norwegian Krone expiring 01/20/12	Morgan Stanley	NOK	1,776		307,061		296,795		(10,266	)
Norwegian Krone expiring 01/20/12	UBS AG	NOK	66,384		11,437,624		11,091,664		(345,960	)
Peruvian Nuevo Sol expiring 01/13/12	Citibank NA	PEN	8,411		3,081,100		3,115,679		34,579
Peruvian Nuevo Sol expiring 01/13/12	Citibank NA	PEN	4,291		1,537,300		1,589,573		52,273
Philippine Peso expiring 01/06/12	Morgan Stanley	PHP	99,619		2,310,800		2,270,924		(39,876	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	133,340		3,088,000		3,039,640		(48,360	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	100,610		2,298,600		2,293,518		(5,082	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	100,092		2,299,900		2,281,708		(18,192	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	99,515		2,298,800		2,268,564		(30,236	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	67,349		1,537,300		1,535,303		(1,997	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,999		4,646,600		4,627,174		(19,426	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,719		4,632,300		4,546,226		(86,074	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,413		4,634,500		4,457,627		(176,873	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	15,328		4,655,800		4,433,301		(222,499	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,905		2,321,000		2,286,346		(34,654	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,821		2,317,200		2,261,895		(55,305	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,636		2,331,200		2,208,411		(122,789	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	5,166		1,544,800		1,494,005		(50,795	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	539		154,900		155,765		865
Polish Zloty expiring 01/20/12	JPMorgan Chase & Co.	PLN	7,734		2,317,300		2,236,708		(80,592	)
Pound Sterling expiring 01/23/12	Citibank NA	GBP	2,458		3,885,300		3,817,058		(68,242	)
Pound Sterling expiring 01/23/12	Goldman Sachs Group LP	GBP	1,485		2,327,400		2,305,035		(22,365	)

SEE NOTES TO FINANCIAL STATEMENTS.

A46


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Pound Sterling expiring 01/23/12	Morgan Stanley	GBP	2,972	$	4,632,300	$	4,614,747	$	(17,553	)
Romanian New Lei expiring 01/20/12	Citibank NA	RON	7,418		2,276,438		2,212,863		(63,575	)
Russian Rouble expiring 02/06/12	Citibank NA	RUB	143,549		4,632,100		4,433,417		(198,683	)
Russian Rouble expiring 02/06/12	Citibank NA	RUB	95,966		3,134,700		2,963,843		(170,857	)
Russian Rouble expiring 02/06/12	Citibank NA	RUB	95,935		3,089,700		2,962,900		(126,800	)
Russian Rouble expiring 02/06/12	UBS AG	RUB	73,158		2,321,000		2,259,438		(61,562	)
Singapore Dollar expiring 01/19/12	Goldman Sachs Group LP	SGD	17,929		13,878,771		13,821,717		(57,054	)
Singapore Dollar expiring 01/19/12	Goldman Sachs Group LP	SGD	6,002		4,637,500		4,627,284		(10,216	)
Singapore Dollar expiring 01/19/12	Goldman Sachs Group LP	SGD	5,035		3,871,000		3,881,963		10,963
Singapore Dollar expiring 01/19/12	JPMorgan Chase & Co.	SGD	6,015		4,632,300		4,637,013		4,713
Singapore Dollar expiring 01/19/12	UBS AG	SGD	3,963		3,089,700		3,055,504		(34,196	)
Singapore Dollar expiring 01/19/12	UBS AG	SGD	2,970		2,317,300		2,289,527		(27,773	)
South African Rand expiring 01/30/12	Citibank NA	ZAR	25,411		3,094,600		3,131,012		36,412
South African Rand expiring 01/30/12	Goldman Sachs Group LP	ZAR	18,925		2,316,000		2,331,852		15,852
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	38,953		4,632,300		4,799,578		167,278
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	37,364		4,634,500		4,603,760		(30,740	)
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	18,856		2,317,300		2,323,268		5,968
South African Rand expiring 01/30/12	UBS AG	ZAR	31,663		3,885,100		3,901,317		16,217
South Korean Won expiring 02/07/12	UBS AG	KRW	3,504,707		3,134,100		3,033,794		(100,306	)
South Korean Won expiring 02/27/12	UBS AG	KRW	5,417,635		4,659,530		4,683,876		24,346
South Korean Won expiring 02/27/12	UBS AG	KRW	5,314,575		4,637,500		4,594,774		(42,726	)
South Korean Won expiring 02/27/12	UBS AG	KRW	3,489,440		3,088,000		3,016,834		(71,166	)
South Korean Won expiring 02/27/12	UBS AG	KRW	2,677,268		2,331,100		2,314,662		(16,438	)
South Korean Won expiring 02/27/12	UBS AG	KRW	2,616,501		2,316,000		2,262,125		(53,875	)
Swedish Krona expiring 01/20/12	Citibank NA	SEK	48,900		7,192,284		7,097,641		(94,643	)
Swedish Krona expiring 01/20/12	Citibank NA	SEK	32,246		4,632,300		4,680,380		48,080
Swedish Krona expiring 01/20/12	Citibank NA	SEK	32,120		4,632,300		4,662,191		29,891
Swedish Krona expiring 01/20/12	Citibank NA	SEK	20,879		3,088,000		3,030,542		(57,458	)
Swedish Krona expiring 01/20/12	Citibank NA	SEK	15,733		2,331,100		2,283,663		(47,437	)
Swedish Krona expiring 01/20/12	Goldman Sachs Group LP	SEK	26,754		3,871,000		3,883,307		12,307
Thai Baht expiring 02/07/12	UBS AG	THB	120,607		3,917,600		3,812,079		(105,521	)
Turkish Lira expiring 01/30/12	JPMorgan Chase & Co.	TRY	8,711		4,632,300		4,565,883		(66,417	)
Turkish Lira expiring 01/30/12	JPMorgan Chase & Co.	TRY	4,282		2,316,000		2,244,278		(71,722	)
Turkish Lira expiring 01/30/12	UBS AG	TRY	4,286		2,317,300		2,246,515		(70,785	)

				$	535,854,639	$	530,006,156	$	(5,848,483	)


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 01/19/12	Citibank NA	AUD	3,106	$	3,108,400	$	3,168,955	$	(60,555	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	7,972		7,891,300		8,134,727		(243,427	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	7,842		7,736,500		8,001,788		(265,288	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	6,260		6,217,100		6,388,101		(171,001	)
Australian Dollar expiring 01/19/12	Morgan Stanley	AUD	3,975		3,880,000		4,055,931		(175,931	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	15,572		8,208,778		8,307,721		(98,943	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	8,678		4,787,600		4,629,477		158,123
Brazilian Real expiring 01/19/12	Citibank NA	BRL	6,863		3,724,800		3,661,394		63,406
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,272		2,187,910		2,279,064		(91,154	)
Brazilian Real expiring 01/19/12	Citibank NA	BRL	4,173		2,316,600		2,226,493		90,107
Brazilian Real expiring 01/19/12	Citibank NA	BRL	3,971		2,152,867		2,118,516		34,351
Brazilian Real expiring 01/19/12	Citibank NA	BRL	2,812		1,544,700		1,500,275		44,425
Brazilian Real expiring 01/19/12	UBS AG	BRL	7,288		3,872,700		3,888,387		(15,687	)
Brazilian Real expiring 01/19/12	UBS AG	BRL	5,671		3,093,600		3,025,260		68,340
Brazilian Real expiring 01/19/12	UBS AG	BRL	4,348		2,313,900		2,319,570		(5,670	)
Brazilian Real expiring 01/19/12	UBS AG	BRL	4,003		2,230,023		2,135,551		94,472
Canadian Dollar expiring 01/18/12	Citibank NA	CAD	4,813		4,647,200		4,722,227		(75,027	)
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	7,318		6,973,700		7,180,501		(206,801	)
Canadian Dollar expiring 01/18/12	Morgan Stanley	CAD	4,798		4,662,800		4,707,993		(45,193	)

SEE NOTES TO FINANCIAL STATEMENTS.

A47


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,662,800	$	7,162,300	$	7,040,818	$	121,482
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,595,451		6,893,781		6,911,357		(17,576	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,485,391		6,675,076		6,699,793		(24,717	)
Chilean Peso expiring 01/09/12	Citibank NA	CLP	3,223,788		6,187,100		6,196,927		(9,827	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	67,431		10,630,850		10,683,159		(52,309	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	14,789		2,317,300		2,343,020		(25,720	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	67,442		10,630,850		10,684,844		(53,994	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	24,844		3,881,800		3,935,955		(54,155	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	19,758		3,142,200		3,130,281		11,919
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	14,634		2,331,500		2,318,408		13,092
Czech Koruna expiring 01/20/12	Goldman Sachs Group LP	CZK	79,464		4,189,400		4,022,659		166,741
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	153,189		7,736,500		7,754,754		(18,254	)
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	134,233		6,973,700		6,795,162		178,538
Czech Koruna expiring 01/20/12	JPMorgan Chase & Co.	CZK	59,705		3,033,286		3,022,385		10,901
Euro expiring 01/23/12	Citibank NA	EUR	4,425		5,987,825		5,728,223		259,602
Euro expiring 01/23/12	Citibank NA	EUR	3,933		5,269,000		5,091,112		177,888
Euro expiring 01/23/12	Citibank NA	EUR	387		521,751		501,359		20,392
Euro expiring 01/23/12	Morgan Stanley	EUR	3,477		4,649,100		4,500,344		148,756
Euro expiring 01/23/12	Morgan Stanley	EUR	2,104		2,790,100		2,723,212		66,888
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	747,705		3,174,023		3,065,621		108,402
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	728,888		3,094,600		2,988,475		106,125
Hungarian Forint expiring 01/20/12	Citibank NA	HUF	544,586		2,324,600		2,232,828		91,772
Hungarian Forint expiring 01/20/12	Goldman Sachs Group LP	HUF	1,480,469		6,350,400		6,069,987		280,413
Hungarian Forint expiring 01/20/12	Goldman Sachs Group LP	HUF	532,432		2,325,600		2,182,995		142,605
Hungarian Forint expiring 01/20/12	JPMorgan Chase & Co.	HUF	531,077		2,325,600		2,177,438		148,162
Indian Rupee expiring 03/05/12	UBS AG	INR	240,299		4,454,102		4,466,777		(12,675	)
Indonesian Rupiah expiring 01/20/12	UBS AG	IDR	25,434,020		2,752,600		2,798,989		(46,389	)
Japanese Yen expiring 06/20/12	Barclays Bank PLC	JPY	500,000		6,456,287		6,521,063		(64,776	)
Malaysian Ringgit expiring 03/01/12	UBS AG	MYR	9,456		2,939,900		2,972,343		(32,443	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	97,319		6,962,900		6,962,572		328
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	52,338		3,724,800		3,744,418		(19,618	)
Mexican Nuevo Peso expiring 01/18/12	Citibank NA	MXN	44,037		3,099,400		3,150,598		(51,198	)
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	107,100		7,771,300		7,662,336		108,964
Mexican Nuevo Peso expiring 01/18/12	JPMorgan Chase & Co.	MXN	32,521		2,317,200		2,326,683		(9,483	)
New Taiwan Dollar expiring 03/02/12	UBS AG	TWD	92,794		3,074,087		3,068,283		5,804
New Zealand Dollar expiring 01/19/12	Citibank NA	NZD	50		38,961		38,865		96
New Zealand Dollar expiring 01/19/12	Goldman Sachs Group LP	NZD	15,614		11,724,300		12,136,447		(412,147	)
New Zealand Dollar expiring 01/19/12	Morgan Stanley	NZD	4,271		3,263,800		3,319,499		(55,699	)
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	54,593		9,129,100		9,121,613		7,487
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	50,774		8,703,900		8,483,447		220,453
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	35,505		6,043,800		5,932,237		111,563
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	27,256		4,647,200		4,553,978		93,222
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	23,128		3,871,480		3,864,303		7,177
Norwegian Krone expiring 01/20/12	Citibank NA	NOK	18,094		3,108,400		3,023,190		85,210
Peruvian Nuevo Sol expiring 01/13/12	Citibank NA	PEN	12,703		4,626,762		4,705,252		(78,490	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	234,355		5,382,526		5,342,404		40,122
Philippine Peso expiring 01/06/12	UBS AG	PHP	133,340		3,008,570		3,039,640		(31,070	)
Philippine Peso expiring 01/06/12	UBS AG	PHP	131,993		3,107,900		3,008,926		98,974
Philippine Peso expiring 01/06/12	UBS AG	PHP	100,836		2,350,500		2,298,686		51,814
Polish Zloty expiring 01/20/12	Citibank NA	PLN	18,498		5,266,800		5,349,902		(83,102	)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	18,437		5,366,700		5,332,406		34,294
Polish Zloty expiring 01/20/12	Citibank NA	PLN	14,966		4,496,200		4,328,580		167,620
Polish Zloty expiring 01/20/12	Citibank NA	PLN	13,372		3,885,700		3,867,353		18,347

SEE NOTES TO FINANCIAL STATEMENTS.

A48


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,998	$	2,329,600	$	2,313,326	$	16,274
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,890		2,331,100		2,282,086		49,014
Polish Zloty expiring 01/20/12	Citibank NA	PLN	7,779		2,331,300		2,249,853		81,447
Pound Sterling expiring 01/23/12	Citibank NA	GBP	1,481		2,321,000		2,300,026		20,974
Pound Sterling expiring 01/23/12	Morgan Stanley	GBP	2,481		3,876,000		3,852,412		23,588
Pound Sterling expiring 01/23/12	UBS AG	GBP	2,993		4,657,300		4,646,438		10,862
Romanian New Lei expiring 01/20/12	JPMorgan Chase & Co.	RON	7,418		2,239,599		2,212,863		26,736
Russian Rouble expiring 02/06/12	Citibank NA	RUB	122,381		3,881,100		3,779,657		101,443
Russian Rouble expiring 02/06/12	Citibank NA	RUB	117,103		3,678,152		3,616,661		61,491
Russian Rouble expiring 02/06/12	Citibank NA	RUB	95,966		3,004,938		2,963,843		41,095
Russian Rouble expiring 02/06/12	Citibank NA	RUB	73,158		2,317,214		2,259,438		57,776
Singapore Dollar expiring 01/19/12	JPMorgan Chase & Co.	SGD	5,996		4,654,900		4,622,497		32,403
Singapore Dollar expiring 01/19/12	Morgan Stanley	SGD	6,044		4,662,600		4,659,364		3,236
Singapore Dollar expiring 01/19/12	Morgan Stanley	SGD	2,028		1,547,300		1,563,639		(16,339	)
Singapore Dollar expiring 01/19/12	UBS AG	SGD	12,007		9,143,200		9,256,542		(113,342	)
South African Rand expiring 01/30/12	Citibank NA	ZAR	13,142		1,547,300		1,619,310		(72,010	)
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	61,271		7,099,964		7,549,442		(449,478	)
South African Rand expiring 01/30/12	JPMorgan Chase & Co.	ZAR	38,304		4,667,000		4,719,517		(52,517	)
South African Rand expiring 01/30/12	UBS AG	ZAR	38,898		4,667,000		4,792,743		(125,743	)
South Korean Won expiring 02/07/12	UBS AG	KRW	3,504,707		3,070,265		3,033,794		36,471
South Korean Won expiring 02/27/12	Morgan Stanley	KRW	5,417,635		4,644,152		4,683,876		(39,724	)
South Korean Won expiring 02/27/12	UBS AG	KRW	7,228,708		6,123,429		6,249,659		(126,230	)
South Korean Won expiring 02/27/12	UBS AG	KRW	6,869,076		5,879,800		5,938,736		(58,936	)
Swedish Krona expiring 01/19/12	Goldman Sachs Group LP	SEK	21,244		3,108,400		3,083,659		24,741
Swedish Krona expiring 01/20/12	Citibank NA	SEK	13,772		2,015,500		1,998,922		16,578
Swedish Krona expiring 01/20/12	UBS AG	SEK	46,780		6,653,400		6,789,910		(136,510	)
Swedish Krona expiring 01/20/12	UBS AG	SEK	32,532		4,647,200		4,721,971		(74,771	)
Swedish Krona expiring 01/20/12	UBS AG	SEK	14,067		2,015,100		2,041,769		(26,669	)
Thai Baht expiring 02/07/12	UBS AG	THB	120,607		3,859,432		3,812,079		47,353
Turkish Lira expiring 01/30/12	Goldman Sachs Group LP	TRY	5,599		2,943,200		2,934,623		8,577
Turkish Lira expiring 01/30/12	JPMorgan Chase & Co.	TRY	5,875		3,096,800		3,079,501		17,299
Turkish Lira expiring 01/30/12	UBS AG	TRY	5,784		3,104,800		3,031,807		72,993

				$	455,841,940	$	455,333,800		508,140

								$	(5,340,343	)

Interest rate swap agreements outstanding at December 31, 2011:


Counterparty	Termination Date		Notional Amount (000)#		Fixed Rate	Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-counter swap agreements:
Barclays Bank PLC		05/31/16	$	19,585	1.175%	3 month LIBOR(a)	$	39,784		$	—	$	39,784
Barclays Bank PLC		05/31/16		19,585	1.180%	3 month LIBOR(a)		43,288			—		43,288
Barclays Bank PLC		05/31/16		4,815	1.220%	3 month LIBOR(a)		18,590			—		18,590
Citibank NA		09/07/21	AUD	8,000	4.945%	6 month BBSW(a)		237,136			—		237,136
Barclays Bank PLC		07/05/13	MXN	199,700	5.480%	28 day Mexican Interbank Rate(a)		124,231			—		124,231
Barclays Bank PLC		12/15/16	MXN	100,000	5.750%	28 day Mexican Interbank Rate(a)		(34,792	)		—		(34,792	)
Barclays Bank PLC		09/20/21	MXN	58,400	6.790%	28 day Mexican Interbank Rate(a)		17,020			—		17,020
Citibank NA		08/18/16	NZD	13,400	4.173%	3 month BBR(a)		564,207			—		564,207

							$	1,009,464		$	—	$	1,009,464

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

#	Notional amount is shown in U.S. dollars unless otherwise stated.

SEE NOTES TO FINANCIAL STATEMENTS.

A49

Credit default swap agreements outstanding at December 31, 2011:


Counterparty	Termination Date		Notional Amount (000)#(2)		Fixed Rate		Reference Entity/Obligation	Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
Deutsche Bank AG		03/20/18	$	3,700		3.700%	American International Group, Inc.	$	187,228		$	—		$	187,228
Citibank NA		06/20/14		4,800		1.000%	CBS Corp.		(45,599	)		186,220			(231,819	)
Credit Suisse International		06/20/14		2,500		1.000%	Centex Corp.		115,164			(8,600	)		123,764
Goldman Sachs International, Inc.		03/20/14		3,400		0.700%	Duke Energy Corp.		(26,934	)		—			(26,934	)
Deutsche Bank AG		03/20/12		1,100		5.000%	Gannett Co., Inc.		(12,010	)		(2,618	)		(9,392	)
Credit Suisse International		12/20/12		1,500		1.000%	GATX Financial Corp.		(3,752	)		4,876			(8,628	)
Deutsche Bank AG		12/20/12		7,800		1.000%	Macy’s Retail Holdings, Inc.		(44,630	)		95,840			(140,470	)
Deutsche Bank AG		09/20/13		2,600		1.000%	Masco Corp.		48,673			42,294			6,379
Deutsche Bank AG		06/20/13		3,750		1.000%	Qwest Corp.		(901	)		27,692			(28,593	)
Deutsche Bank AG		06/20/14		7,000		1.000%	R.R. Donnelley & Sons Co.		678,809			278,463			400,346
JPMorgan Chase Bank		09/20/16		4,750		1.000%	R.R. Donnelley & Sons Co.		1,006,320			398,727			607,593
Deutsche Bank AG		06/20/13		6,600		1.000%	Sealed Air Corp.		(26,072	)		41,428			(67,500	)
JPMorgan Chase Bank		06/20/14		4,150		5.000%	SLM Corp.		11,605			399,788			(388,183	)
Deutsche Bank AG		03/20/14		980		7.050%	Starwood Hotels & Resorts Holdings, Inc.		(128,344	)		—			(128,344	)
Credit Suisse International		03/20/15		4,695		1.000%	Toll Brothers Financial Corp.		40,681			23,586			17,095
JPMorgan Chase Bank		09/20/19		4,400		1.000%	Westvaco Corp.		213,835			66,852			146,983
Citibank NA		03/20/12		6,900		5.000%	XL Group PLC		(80,672	)		(30,277	)		(50,395	)
Over-the-counter credit default swap on credit index—Buy Protection(1):
Morgan Stanley Capital Services, Inc.		06/20/13	EUR	3,700		1.650%	Itraxx Euro Ser. 9		1,235			(51,845	)		53,080

								$	1,934,636		$	1,472,426		$	462,210

(1)

If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)	Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

#	Notional amount is shown in U.S. dollars unless otherwise stated.

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—

quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—

other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—

significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A50

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities	$	—	$	112,828,978		$	9,589,064
Residential Mortgage-Backed Securities		—		61,871,554			—
Bank Loans		—		24,586,797			—
Collateralized Mortgage Obligations		—		3,811,133			—
Commercial Mortgage-Backed Securities		—		278,663,333			—
Corporate Bonds		—		696,377,598			—
Foreign Agencies		—		34,572,115			—
Mortgage-Backed Securities		—		111,313,073			—
Municipal Bonds		—		19,326,175			—
Sovereigns		—		37,664,910			—
U.S. Government Treasury Securities		—		34,882,786			—
Preferred Stock		1,172,700		—			—
Affiliated Mutual Funds		277,261,936		—			—
Other Financial Instruments*
Futures Contracts		2,638,820		—			—
Forward Currency Contracts		—		(5,340,343	)		—
Interest Rate Swap Agreements		—		1,009,464			—
Credit Default Swap Agreements		—		489,144			(26,934	)

Total	$	281,073,456	$	1,412,056,717		$	9,562,130

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:


	Non-Residential Mortgage-Backed Securities			Bank Loans			Sovereigns			Credit Default Swaps
Balance as of 12/31/10	$	55,732,296		$	7,221,737		$	1,185,799		$	(47,359	)
Realized gain (loss)		102,207			335,280			—			—	**
Change in unrealized appreciation (depreciation)***		(1,011,867	)		(173,080	)		—			20,425
Purchases		6,956,783			—			—			—
Sales		(9,170,510	)		(4,282,200	)		—			—
Accrued discount/premium		104,490			—			—			—
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		(43,124,335	)		(3,101,737	)		(1,185,799	)		—

Balance as of 12/31/11	$	9,589,064		$	—		$	—		$	(26,934	)

*	Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument.

**	The realized loss incurred during the period for other financial instruments was $(24,131).

***	Of which, $(765,531) was included in Net Assets relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there were 19 non-residential mortgage-backed securities, 3 bank loans and 1 sovereign transferred from Level 3 into Level 2 as a result of no longer using a single broker quote.

SEE NOTES TO FINANCIAL STATEMENTS.

A51

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:


Commercial Mortgage-Backed Securities	17.9	%
Affiliated Mutual Funds (including 5.6% of collateral received for securities on loan)	17.8
Banking	8.6
Non-Residential Mortgage-Backed Securities	7.8
Mortgage-Backed Securities	7.2
Residential Mortgage-Backed Securities	4.0
Cable	2.9
Media & Entertainment	2.9
Insurance	2.8
Non-Captive Finance	2.6
Foods	2.5
Sovereigns	2.4
Telecommunications	2.3
Foreign Agencies	2.2
Metals	2.2
U.S. Government Treasury Securities	2.2
Electric	2.1
Technology	1.7
Energy – Other	1.4
Chemicals	1.3
Healthcare & Pharmaceutical	1.3
Capital Goods	1.2
Municipal Bonds	1.2
Healthcare Insurance	1.1
Real Estate Investment Trusts	1.1
Retailers	1.1
Gaming	1.0
Paper	1.0
Lodging	0.8
Pipelines & Other	0.8
Building Materials & Construction	0.7
Packaging	0.7
Consumer	0.5
Tobacco	0.5
Airlines	0.4
Automotive	0.4
Collateralized Mortgage Obligations	0.3
Aerospace & Defense	0.2
Energy – Integrated	0.2
Railroads	0.1

	109.4
Liabilities in excess of other assets	(9.4	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A52

The Portfolio Invested in derivative instruments during the Period. The types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial performance as reflected in the Statements of Assets and liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Credit contracts

Premium paid for swap agreements

1,565,766

Premium received for swap agreements

93,340

Credit contracts

Unrealized appreciation on swap agreements

1,542,468

Unrealized depreciation on swap agreements

1,080,258

Foreign exchange contracts

Unrealized appreciation on forward currency contracts

6,678,348

Unrealized depreciation on forward currency contracts

12,018,691

Interest rate contracts

Due from broker-variation margin

2,944,692

Due from broker-variation margin

305,872

Interest rate contracts

Unrealized appreciation on swap agreements

1,044,256

Unrealized depreciation on swap agreements

34,792

Total

13,775,530

13,532,953

*	Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Purchased Options			Written Options			Futures		Forward Currency Contracts			Swaps		Total
Credit contracts	$	—		$	—		$	—	$	—		$	100,536	$	100,536
Foreign exchange contracts		—			—			—		818,563			—		818,563
Interest rate contracts		(87,617	)		1,333,657			31,855,652		—			6,881,630		39,983,323

Total	$	(87,617	)	$	1,333,657		$	31,855,652	$	818,563		$	6,982,166	$	40,902,422


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Purchased Options			Written Options			Futures		Forward Currency Contracts			Swaps		Total
Credit contracts	$	—		$	—		$	—	$	—		$	3,346,193	$	3,346,193
Foreign exchange contracts		—			—			—		(7,482,695	)		—		(7,482,695	)
Interest rate contracts		(53,547	)		(1,287,923	)		3,151,001		—			751,426		2,560,957

Total	$	(53,547	)	$	(1,287,923	)	$	3,151,001	$	(7,482,695	)	$	4,097,619	$	(1,575,545	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities is as follows:


Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)	Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)
$392,483,669	$34,658,184	$324,436,949	$213,696,603


Interest Rate Swaps (Notional Amount in USD (000))		Credit Default Swaps as Buyer (Notional Amount in USD (000))
$109,413		$105,990

SEE NOTES TO FINANCIAL STATEMENTS.

A53


		*DIVERSIFIED BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011


ASSETS
Investments, at value including securities on loan of $85,497,038:
Unaffiliated investments (cost $1,375,375,084)	$	1,426,660,216
Affiliated investments (cost $294,453,570)		277,261,936
Cash		350,286
Foreign currency, at value (cost $850,759)		852,765
Receivable for investments sold		22,651,648
Dividends and interest receivable		15,225,257
Unrealized appreciation on forward currency contracts		6,678,348
Unrealized appreciation on swap agreements		2,586,724
Premium paid for swap agreements		1,565,766
Due from broker—variation margin		477,663
Receivable for Series shares sold		107,097
Prepaid expenses		9,142

Total Assets		1,754,426,848

LIABILITIES
Payable for investments purchased		96,034,975
Collateral for securities on loan		87,137,730
Unrealized depreciation on forward currency contracts		12,018,691
Unrealized depreciation on swap agreements		1,115,050
Management fee payable		525,963
Payable for Series shares repurchased		379,701
Accrued expenses and other liabilities		216,855
Premium received for swap agreements		93,340
Deferred trustees’ fees		4,428
Affiliated transfer agent fee payable		926

Total Liabilities		197,527,659

NET ASSETS	$	1,556,899,189

Net assets were comprised of:
Paid-in capital	$	1,449,765,514
Retained earnings		107,133,675

Net assets, December 31, 2011	$	1,556,899,189

Net asset value and redemption price per share, $1,556,899,189 / 132,666,123 outstanding shares of beneficial interest	$	11.74

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


INVESTMENT INCOME
Interest	$	77,511,985
Affiliated dividend income		2,072,619
Affiliated income from securities loaned, net		153,894
Unaffiliated dividend income		94,746

		79,833,244

EXPENSES
Management fee		6,161,929
Custodian’s fees and expenses		200,000
Shareholders’ reports		65,000
Audit fee		36,000
Trustees’ fees		24,000
Insurance expenses		17,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		8,000
Commitment fee on syndicated credit agreement		7,000
Miscellaneous		5,531

Total expenses		6,536,460

NET INVESTMENT INCOME		73,296,784

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		20,453,007
Futures transactions		31,855,652
Swap agreement transactions		6,982,166
Foreign currency transactions		(1,040,636	)
Written options transactions		1,333,657

		59,583,846

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $(2,170,220))		(20,973,312	)
Futures		3,151,001
Swap agreements		4,097,619
Foreign currencies		(7,498,502	)
Written options		(1,287,923	)

		(22,511,117	)

NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		37,072,729

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	110,369,513

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	73,296,784		$	65,361,314
Net realized gain on investments, swaps and foreign currencies		59,583,846			35,344,819
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies		(22,511,117	)		44,388,675

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		110,369,513			145,094,808

DISTRIBUTIONS		(101,657,374	)		(80,204,850	)

SERIES SHARE TRANSACTIONS:
Series shares sold [2,282,678 and 10,945,584 shares, respectively]		26,944,061			126,200,132
Series shares issued in reinvestment of distributions [8,678,375 and 7,014,688 shares, respectively]		101,657,374			80,204,850
Series shares repurchased [8,765,284 and 9,638,967 shares, respectively]		(103,339,982	)		(111,838,362	)

NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		25,261,453			94,566,620

TOTAL INCREASE IN NET ASSETS		33,973,592			159,456,578
NET ASSETS:
Beginning of year		1,522,925,597			1,363,469,019

End of year	$	1,556,899,189		$	1,522,925,597

SEE NOTES TO FINANCIAL STATEMENTS.

A54


LONG-TERM INVESTMENTS — 98.3%
COMMON STOCKS	Shares		Value (Note 2)

Aerospace & Defense — 5.0%
Boeing Co. (The)		553,955	$	40,632,599
Northrop Grumman Corp.		567,924		33,212,195
Precision Castparts Corp.(a)		282,338		46,526,479
United Technologies Corp.		414,629		30,305,234

				150,676,507

Airlines — 0.7%
United Continental Holdings, Inc.*(a)		1,102,273		20,799,891

Auto Components — 1.6%
BorgWarner, Inc.*(a)		259,174		16,519,751
Lear Corp.		800,756		31,870,089

				48,389,840

Automobiles — 1.1%
General Motors Co.*		1,156,694		23,446,187
Tesla Motors, Inc.*(a)		326,715		9,330,981

				32,777,168

Biotechnology — 1.2%
Celgene Corp.*		535,902		36,226,975

Capital Markets — 2.2%
Bank of New York Mellon Corp. (The)		678,574		13,510,408
Goldman Sachs Group, Inc. (The)(a)		267,715		24,209,468
Morgan Stanley(a)		1,810,439		27,391,942

				65,111,818

Chemicals — 2.7%
Monsanto Co.		584,920		40,985,344
Mosaic Co. (The)		798,881		40,287,569

				81,272,913

Commercial Banks — 2.2%
PNC Financial Services Group, Inc.		515,210		29,712,161
Wells Fargo & Co.		1,303,960		35,937,137

				65,649,298

Communications Equipment — 1.8%
QUALCOMM, Inc.		986,421		53,957,229

Computers & Peripherals — 5.4%
Apple, Inc.*		251,491		101,853,855
EMC Corp.*(a)		1,740,542		37,491,275
NetApp, Inc.*		600,781		21,790,327

				161,135,457

Consumer Finance — 2.2%
American Express Co.		1,404,966		66,272,246

Diversified Financial Services — 1.8%
Citigroup, Inc.		975,066		25,653,986
JPMorgan Chase & Co.		829,000		27,564,250

				53,218,236

Electric Utilities — 1.0%
Exelon Corp.		692,182		30,019,933

Electronic Equipment & Instruments — 1.3%
Flextronics International Ltd. (Singapore)*		6,579,992		37,242,755


COMMON STOCKS (continued)	Shares		Value (Note 2)

Energy Equipment & Services — 4.6%
Halliburton Co.		887,495	$	30,627,452
National Oilwell Varco, Inc.		960,396		65,297,324
Schlumberger Ltd. (Curacao)		603,792		41,245,032

				137,169,808

Food & Staples Retailing — 3.7%
Costco Wholesale Corp.		486,995		40,576,423
CVS Caremark Corp.		817,329		33,330,677
Wal-Mart Stores, Inc.		594,221		35,510,647

				109,417,747

Food Products — 6.1%
Bunge Ltd. (Bermuda)		633,757		36,250,900
Kraft Foods, Inc. (Class A Stock)		922,233		34,454,625
Mead Johnson Nutrition Co.		497,814		34,214,756
Smithfield Foods, Inc.*(a)		1,548,970		37,608,992
Tyson Foods, Inc. (Class A Stock)		2,001,905		41,319,319

				183,848,592

Hotels, Restaurants & Leisure — 2.3%
Chipotle Mexican Grill, Inc.*(a)		76,583		25,865,142
Starbucks Corp.(a)		949,002		43,663,582

				69,528,724

Independent Power Producers & Energy Traders — 1.3%
Calpine Corp.*		2,454,230		40,077,576

Insurance — 1.0%
MetLife, Inc.		973,474		30,352,919

Internet & Catalog Retail — 1.9%
Amazon.com, Inc.*		328,207		56,812,632

Internet Software & Services — 3.7%
Baidu, Inc., ADR (Cayman Islands)*		376,795		43,885,314
Google, Inc. (Class A Stock)*		90,025		58,147,147
LinkedIn Corp. (Class A Stock)*(a)		153,891		9,696,672

				111,729,133

IT Services — 3.1%
International Business Machines Corp.		203,637		37,444,772
MasterCard, Inc. (Class A Stock)		149,027		55,560,246

				93,005,018

Life Sciences Tools & Services — 0.8%
Agilent Technologies, Inc.*		677,664		23,670,804

Machinery — 0.9%
Ingersoll-Rand PLC (Ireland)(a)		924,080		28,156,718

Media — 4.4%
Comcast Corp. (Class A Stock)		1,976,764		46,869,075
Liberty Global, Inc. (Class C Stock)*		792,756		31,329,717
Viacom, Inc. (Class B Stock)		710,213		32,250,772
Walt Disney Co. (The)(a)		569,326		21,349,725

				131,799,289

Metals & Mining — 2.3%
Freeport-McMoRan Copper & Gold, Inc.		847,809		31,190,893
Goldcorp, Inc. (Canada)		351,066		15,534,671
Kinross Gold Corp. (Canada)		1,983,500		22,611,900

				69,337,464

SEE NOTES TO FINANCIAL STATEMENTS.

A55


COMMON STOCKS (continued)	Shares		Value (Note 2)

Oil, Gas & Consumable Fuels — 8.5%
Anadarko Petroleum Corp.		950,490	$	72,550,902
Marathon Oil Corp.		970,005		28,392,046
Marathon Petroleum Corp.		379,315		12,627,396
Noble Energy, Inc.(a)		422,056		39,837,866
Occidental Petroleum Corp.		442,150		41,429,455
Southwestern Energy Co.*		819,620		26,178,663
Suncor Energy, Inc. (Canada)		1,181,729		34,080,194

				255,096,522

Personal Products — 1.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		301,449		33,858,752

Pharmaceuticals — 7.1%
Allergan, Inc.		413,621		36,291,107
Bristol-Myers Squibb Co.		920,327		32,432,323
Novo Nordisk A/S, ADR (Denmark)		319,952		36,877,668
Pfizer, Inc.		1,798,734		38,924,604
Sanofi, ADR (France)		660,780		24,144,901
Shire PLC, ADR (United Kingdom)		413,775		42,991,222

				211,661,825

Road & Rail — 0.2%
Union Pacific Corp.		64,962		6,882,074

Semiconductors & Semiconductor Equipment — 1.0%
Avago Technologies Ltd. (Singapore)		516,432		14,904,227
Maxim Integrated Products, Inc.		593,721		15,460,495

				30,364,722

Software — 5.5%
CA, Inc.		1,982,675		40,079,775
Oracle Corp.		1,735,358		44,511,933
Red Hat, Inc.*		430,059		17,757,136
salesforce.com, Inc.*(a)		265,202		26,907,395
VMware, Inc. (Class A Stock)*(a)		427,042		35,525,624

				164,781,863

Specialty Retail — 1.0%
Staples, Inc.		2,120,704		29,456,579

Textiles, Apparel & Luxury Goods — 4.5%
Coach, Inc.		486,948		29,723,306
Lululemon Athletica, Inc.*(a)		323,300		15,085,178
LVMH Moet Hennessy Louis Vuitton SA, ADR (France)		479,609		13,477,013
NIKE, Inc. (Class B Stock)		477,275		45,994,992
Ralph Lauren Corp.		230,405		31,814,322

				136,094,811

Wireless Telecommunication Services — 3.1%
American Tower Corp. (Class A Stock)		537,230		32,239,172
MetroPCS Communications, Inc.*		3,646,134		31,648,443
NII Holdings, Inc.*(a)		1,354,933		28,860,073

				92,747,688

TOTAL LONG-TERM INVESTMENTS (cost $2,451,647,418)				2,948,601,526


SHORT-TERM INVESTMENT — 8.7%
	Shares		Value (Note 2)

Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $261,297,640; includes $204,399,512 of cash collateral for securities on loan)(b)(w) (Note 4)		261,297,640	$	261,297,640

TOTAL INVESTMENTS — 107.0% (cost $2,712,945,058)				3,209,899,166
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.0)%				(210,437,929	)

NET ASSETS — 100.0%			$	2,999,461,237

The following abbreviation is used in the Portfolio description:


ADR		American Depositary Receipt

*	Non-income producing security.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $198,456,005; cash collateral of $204,399,512 (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.

(w)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—

quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—

other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—

significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,948,601,526	$	—	$	—
Affiliated Money Market Mutual Fund		261,297,640		—		—

Total	$	3,209,899,166	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A56

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:


Affiliated Money Market Mutual Fund (6.8% represents investments purchased with collateral from securities on loan)	8.7	%
Oil, Gas & Consumable Fuels	8.5
Pharmaceuticals	7.1
Food Products	6.1
Software	5.5
Computers & Peripherals	5.4
Aerospace & Defense	5.0
Energy Equipment & Services	4.6
Textiles, Apparel & Luxury Goods	4.5
Media	4.4
Internet Software & Services	3.7
Food & Staples Retailing	3.7
IT Services	3.1
Wireless Telecommunication Services	3.1
Chemicals	2.7
Hotels, Restaurants & Leisure	2.3
Metals & Mining	2.3
Consumer Finance	2.2


Commercial Banks	2.2	%
Capital Markets	2.2
Internet & Catalog Retail	1.9
Communications Equipment	1.8
Diversified Financial Services	1.8
Auto Components	1.6
Independent Power Producers & Energy Traders	1.3
Electronic Equipment & Instruments	1.3
Biotechnology	1.2
Personal Products	1.1
Automobiles	1.1
Semiconductors & Semiconductor Equipment	1.0
Insurance	1.0
Electric Utilities	1.0
Specialty Retail	1.0
Machinery	0.9
Life Sciences Tools & Services	0.8
Airlines	0.7
Road & Rail	0.2

	107.0
Liabilities in excess of other assets	(7.0	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A57


		*EQUITY PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011


ASSETS
Investments at value, including securities on loan of $198,456,005:
Unaffiliated investments (cost $2,451,647,418)	$	2,948,601,526
Affiliated investments (cost $261,297,640)		261,297,640
Cash		170
Dividends receivable		2,368,520
Receivable for investments sold		708,606
Receivable for Series shares sold		8,816
Prepaid expenses		20,985

Total Assets		3,213,006,263

LIABILITIES
Collateral for securities on loan		204,399,512
Payable for investments purchased		6,906,087
Management fee payable		1,156,413
Payable for Series shares repurchased		793,374
Accrued expenses and other liabilities		286,551
Deferred trustees’ fees		1,187
Affiliated transfer agent fees payable		926
Administration fee payable		533
Distribution fee payable		443

Total Liabilities		213,545,026

NET ASSETS	$	2,999,461,237

Net assets were comprised of:
Paid-in capital	$	2,837,948,450
Retained earnings		161,512,787

Net assets, December 31, 2011	$	2,999,461,237

Class I:
Net asset value and redemption price per share, $2,997,491,601 / 126,293,929 outstanding shares of beneficial interest	$	23.73

Class II:
Net asset value and redemption price per share, $1,969,636 / 82,097 outstanding shares of beneficial interest	$	23.99

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


INVESTMENT INCOME
Unaffiliated dividend income (net of $217,045 foreign withholding tax)	$	33,936,619
Affiliated income from securities lending, net		438,214
Affiliated dividend income		110,893

		34,485,726

EXPENSES
Management fee		14,621,455
Distribution fee—Class II		5,594
Administration fee—Class II		3,356
Shareholders’ reports		487,000
Custodian’s fees and expenses		390,000
Trustees’ fees		42,000
Insurance expenses		35,000
Audit fee		23,000
Legal fees and expenses		15,000
Commitment fee on syndicated credit agreement		14,000
Transfer agent’s fees and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Miscellaneous		15,490

Total expenses		15,663,895

NET INVESTMENT INCOME		18,821,831

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		204,340,790
Foreign currency transactions		(88,228	)

		204,252,562

Net change in unrealized appreciation (depreciation) on:
Investments		(327,808,310	)
Foreign currencies		(782	)

		(327,809,092	)

NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(123,556,530	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(104,734,699	)

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	18,821,831		$	22,114,154
Net realized gain on investment and foreign currency transactions		204,252,562			255,826,765
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(327,809,092	)		77,326,344

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(104,734,699	)		355,267,263

DISTRIBUTIONS
Class I		(22,097,344	)		(24,392,657	)
Class II		(4,010	)		(1,854	)

TOTAL DISTRIBUTIONS		(22,101,354	)		(24,394,511	)

SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		19,970,190			22,052,724
Series shares issued in reinvestment of distributions		22,101,354			24,394,511
Series shares repurchased		(242,019,698	)		(246,614,547	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(199,948,154	)		(200,167,312	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		(326,784,207	)		130,705,440
NET ASSETS:
Beginning of year		3,326,245,444			3,195,540,004

End of year	$	2,999,461,237		$	3,326,245,444

SEE NOTES TO FINANCIAL STATEMENTS.

A58


LONG-TERM INVESTMENTS — 97.7%
COMMON STOCKS — 64.8%	Shares		Value (Note 2)

Aerospace & Defense — 1.5%
Alliant Techsystems, Inc.		17,900	$	1,023,164
BAE Systems PLC (United Kingdom)		33,670		149,076
European Aeronautic Defense and Space Co. NV (Netherlands)		3,410		106,583
Exelis, Inc.		203,800		1,844,390
General Dynamics Corp.		213,700		14,191,817
HEICO Corp.		6,900		403,512
L-3 Communications Holdings, Inc.		41,400		2,760,552
Northrop Grumman Corp.		149,200		8,725,216
Precision Castparts Corp.		11,300		1,862,127
Raytheon Co.		28,700		1,388,506
Safran SA (France)		2,930		87,997
United Technologies Corp.		174,300		12,739,587

				45,282,527

Air Freight & Logistics — 0.4%
Deutsche Post AG (Germany)		9,688		148,959
United Parcel Service, Inc. (Class B Stock)		149,200		10,919,948

				11,068,907

Airlines
Deutsche Lufthansa AG (Germany)		2,088		24,821

Auto Components — 0.2%
Bridgestone Corp. (Japan)		3,300		74,815
Cie Generale des Etablissements Michelin (France) (Class B Stock)		1,604		94,820
Lear Corp.		14,700		585,060
NHK Spring Co. Ltd. (Japan)		2,000		17,721
Pirelli & C SpA (Italy)		7,621		64,162
Toyota Industries Corp. (Japan)		200		5,444
TRW Automotive Holdings Corp.*		114,000		3,716,400

				4,558,422

Automobiles — 0.6%
Bayerische Motoren Werke AG (Germany)		1,332		89,231
Daimler AG (Germany)		2,116		92,894
Ford Motor Co.*(a)		809,000		8,704,840
General Motors Co.*(a)		410,900		8,328,943
Isuzu Motors Ltd. (Japan)		2,000		9,251
Nissan Motor Co. Ltd. (Japan)		9,400		84,511
Toyota Motor Corp. (Japan)		3,500		116,636
Volkswagen AG (Germany)		89		11,939

				17,438,245

Beverages — 1.7%
Anheuser-Busch InBev NV (Belgium)		4,410		269,999
Coca-Cola Amatil Ltd. (Australia)		6,750		79,464
Coca-Cola Co. (The)		231,800		16,219,046
Coca-Cola Enterprises, Inc.		361,100		9,309,158
Constellation Brands, Inc. (Class A Stock)*		79,100		1,634,997
Diageo PLC (United Kingdom)		7,089		154,843
Dr Pepper Snapple Group, Inc.(a)		47,200		1,863,456
Heineken NV (Netherlands)		1,755		81,248
Molson Coors Brewing Co. (Class B Stock)		189,600		8,255,184


COMMON STOCKS (continued)	Shares		Value (Note 2)

Beverages (continued)
Monster Beverage Corp.*		23,100	$	2,128,434
PepsiCo, Inc.		162,420		10,776,567
SABMiller PLC (United Kingdom)		1,781		62,689

				50,835,085

Biotechnology — 1.1%
Alexion Pharmaceuticals, Inc.*		6,500		464,750
Amgen, Inc.		180,708		11,603,261
Biogen Idec, Inc.*		52,600		5,788,630
Celgene Corp.*		226,400		15,304,640

				33,161,281

Building Products — 0.1%
Armstrong World Industries, Inc.*(a)		11,600		508,892
Asahi Glass Co. Ltd. (Japan)		5,000		41,964
Geberit AG (Switzerland)		51		9,828
Lennox International, Inc.		21,600		729,000
Owens Corning*		76,400		2,194,208

				3,483,892

Capital Markets — 1.4%
3i Group PLC (United Kingdom)		7,016		19,721
Bank of New York Mellon Corp. (The)		672,200		13,383,502
Deutsche Bank AG (Germany)		4,113		156,690
ETrade Financial Corp.(a)		43,200		343,872
Goldman Sachs Group, Inc. (The)		184,200		16,657,206
Morgan Stanley		878,690		13,294,580
Ratos AB (Sweden) (Class B Stock)		4,758		55,828
UBS AG (Switzerland)*		10,434		124,190

				44,035,589

Chemicals — 1.1%
Arkema SA (France)		1,694		119,927
Asahi Kasei Corp. (Japan)		13,000		78,368
BASF SE (Germany)		3,028		211,194
Celanese Corp., Ser. A		12,300		544,521
CF Industries Holdings, Inc.		63,400		9,191,732
Eastman Chemical Co.		187,300		7,315,938
Israel Chemicals Ltd. (Israel)		4,244		43,988
K+S AG (Germany)		692		31,275
Koninklijke DSM NV (Netherlands)		890		41,295
Kuraray Co. Ltd. (Japan)		5,500		78,245
Lanxess AG (Germany)		779		40,329
LSB Industries, Inc.*		23,500		658,705
LyondellBasell Industries NV (Class A Stock)		35,900		1,166,391
Mitsubishi Chemical Holdings Corp. (Japan)		15,500		85,384
Mosaic Co. (The)		248,400		12,526,812
Rockwood Holdings, Inc.*		31,900		1,255,903
Syngenta AG (Switzerland)		557		163,074
Ube Industries Ltd. (Japan)		13,000		35,637
Wacker Chemie AG (Germany)(a)		264		21,235
Yara International ASA (Norway)		1,593		63,924

				33,673,877

Commercial Banks — 2.3%
Aozora Bank Ltd. (Japan)		27,000		74,367
Australia & New Zealand Banking Group Ltd. (Australia)		11,893		249,730

SEE NOTES TO FINANCIAL STATEMENTS.

A59


COMMON STOCKS (continued)	Shares		Value (Note 2)

Commercial Banks (continued)
Banco Bilbao Vizcaya Argentaria SA (Spain)		10,939	$	94,574
Banco Santander SA (Spain)		17,191		130,604
Barclays PLC (United Kingdom)		71,618		195,806
Bendigo and Adelaide Bank Ltd. (Australia)		5,887		48,350
BNP Paribas SA (France)		3,043		119,530
Commonwealth Bank of Australia (Australia)		4,299		216,421
DBS Group Holdings Ltd. (Singapore)		2,000		17,763
DnB NOR ASA (Norway)		2,889		28,282
Fifth Third Bancorp		404,200		5,141,424
HSBC Holdings PLC (United Kingdom)		26,175		199,609
Huntington Bancshares, Inc.		606,300		3,328,587
KeyCorp		82,000		630,580
Mitsubishi UFJ Financial Group, Inc. (Japan)		65,500		278,271
Mizuho Financial Group, Inc. (Japan)		53,500		72,288
National Australia Bank Ltd. (Australia)		3,655		87,327
Natixis (France)		33,612		84,568
Nordea Bank AB (Sweden)		15,256		118,044
PNC Financial Services Group, Inc.		247,100		14,250,257
Resona Holdings, Inc. (Japan)		36,500		160,757
Shinsei Bank Ltd. (Japan)		21,000		21,827
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		12,757		74,313
Societe Generale (France)		2,470		55,001
Sumitomo Mitsui Financial Group, Inc. (Japan)		9,100		253,481
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		41,000		120,385
SunTrust Banks, Inc.		166,000		2,938,200
Svenska Handelsbanken AB (Sweden) (Class A Stock)		1,613		42,422
Swedbank AB (Sweden) (Class A Stock)		1,662		21,529
U.S. Bancorp		196,232		5,308,076
Wells Fargo & Co.		1,255,912		34,612,935
Westpac Banking Corp. (Australia)		6,709		137,239

				69,112,547

Commercial Services & Supplies
Babcock International Group PLC (United Kingdom)		4,836		55,238
Copart, Inc.*		11,200		536,368
Securitas AB (Sweden) (Class B Stock)		2,798		24,150

				615,756

Communications Equipment — 1.8%
Cisco Systems, Inc.		1,313,900		23,755,312
Motorola Solutions, Inc.		154,000		7,128,660
QUALCOMM, Inc.		439,000		24,013,300


COMMON STOCKS (continued)	Shares		Value (Note 2)

Communications Equipment (continued)
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		1,413	$	14,454

				54,911,726

Computers & Peripherals — 3.2%
Apple, Inc.*		182,000		73,710,000
Dell, Inc.*		740,200		10,829,126
EMC Corp.*		337,800		7,276,212
Hewlett-Packard Co.		100,265		2,582,827
SanDisk Corp.*		21,600		1,062,936
Toshiba Corp. (Japan)		10,000		40,925
Western Digital Corp.*		82,500		2,553,375

				98,055,401

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		4,596		136,217
Balfour Beatty PLC (United Kingdom)		12,829		52,757
Chiyoda Corp. (Japan)		5,000		50,864
KBR, Inc.		24,400		680,028
URS Corp.*		46,400		1,629,568
Vinci SA (France)		465		20,318

				2,569,752

Consumer Finance — 0.3%
Discover Financial Services		173,000		4,152,000
SLM Corp.		477,500		6,398,500

				10,550,500

Containers & Packaging — 0.2%
Amcor Ltd. (Australia)		17,581		129,649
Crown Holdings, Inc.*		9,300		312,294
Owens-Illinois, Inc.*		115,500		2,238,390
Sealed Air Corp.		219,700		3,781,037

				6,461,370

Distributors — 0.3%
Genuine Parts Co.		120,100		7,350,120
Jardine Cycle & Carriage Ltd. (Singapore)		2,000		74,199
LKQ Corp.*		19,500		586,560

				8,010,879

Diversified Consumer Services — 0.1%
Benesse Holdings, Inc. (Japan)		1,700		82,272
Capella Education Co.*		17,300		623,665
DeVry, Inc.		91,500		3,519,090

				4,225,027

Diversified Financial Services — 1.6%
Bank of America Corp.		704,482		3,916,920
Citigroup, Inc.		667,050		17,550,085
Deutsche Boerse AG (Germany)*		543		28,469
Exor SpA (Italy)		2,198		44,236
First Pacific Co. Ltd. (Hong Kong)		4,000		4,161
Groupe Bruxelles Lambert SA (Belgium)		216		14,400
JPMorgan Chase & Co.		822,594		27,351,251
Kinnevik Investment AB (Sweden) (Class B Stock)		1,159		22,584
ORIX Corp. (Japan)		880		72,714

				49,004,820

SEE NOTES TO FINANCIAL STATEMENTS.

A60


COMMON STOCKS (continued)	Shares		Value (Note 2)

Diversified Telecommunication Services — 2.1%
AT&T, Inc.		1,284,147	$	38,832,605
BT Group PLC (United Kingdom)		55,796		165,416
CenturyLink, Inc.		320,400		11,918,880
France Telecom SA (France)		4,928		77,398
Koninklijke KPN NV (Netherlands)		7,737		92,576
Nippon Telegraph & Telephone Corp. (Japan)		3,300		168,709
Swisscom AG (Switzerland)		98		37,132
Telecom Italia SpA (Italy) (Risparmio Shares)		58,776		52,641
Telecom Italia SpA (Italy)		86,491		93,023
Telefonica SA (Spain)		9,951		172,386
Verizon Communications, Inc.(a)		218,288		8,757,714
Vivendi SA (France)		9,224		201,993
Windstream Corp.		173,300		2,034,542

				62,605,015

Electric Utilities — 0.9%
American Electric Power Co., Inc.		90,200		3,726,162
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		2,000		11,717
Duke Energy Corp.(a)		236,800		5,209,600
E.ON AG (Germany)		1,741		37,562
El Paso Electric Co.		15,100		523,064
Enel SpA (Italy)		45,657		185,783
Energias de Portugal SA (Portugal)		7,446		23,042
Entergy Corp.		79,700		5,822,085
Exelon Corp.		19,300		837,041
FirstEnergy Corp.		4,700		208,210
Iberdrola SA (Spain)		17,342		108,611
NextEra Energy, Inc.(a)		94,000		5,722,720
NV Energy, Inc.		212,300		3,471,105
PPL Corp.		28,300		832,586
Red Electrica Corp. SA (Spain)		2,320		99,283
Scottish & Southern Energy PLC (United Kingdom)		6,364		127,592
Terna Rete Elettrica Nazionale SpA (Italy)		14,113		47,564

				26,993,727

Electrical Equipment — 0.6%
ABB Ltd. (Switzerland)		2,988		56,242
AMETEK, Inc.		38,600		1,625,060
Babcock & Wilcox Co. (The)*		9,200		222,088
Emerson Electric Co.		333,500		15,537,765
EnerSys*		29,000		753,130
Mitsubishi Electric Corp. (Japan)		10,000		95,882
Schneider Electric SA (France)		525		27,641

				18,317,808

Electronic Equipment, Instruments & Components — 0.4%
Arrow Electronics, Inc.*		18,600		695,826
Avnet, Inc.*		30,100		935,809
Corning, Inc.		416,200		5,402,276
Hamamatsu Photonics KK (Japan)		1,100		38,486
Hitachi Ltd. (Japan)		45,000		236,196
Ingram Micro, Inc.*		25,400		462,026
Jabil Circuit, Inc.		41,400		813,924


COMMON STOCKS (continued)	Shares		Value (Note 2)

Electronic Equipment, Instruments & Components (continued)
Keyence Corp. (Japan)		200	$	48,227
TE Connectivity Ltd.		68,100		2,098,161
Tech Data Corp.*		22,100		1,091,961

				11,822,892

Energy Equipment & Services — 1.0%
Halliburton Co.		459,000		15,840,090
Helmerich & Payne, Inc.(a)		10,900		636,124
National Oilwell Varco, Inc.		79,800		5,425,602
Oceaneering International, Inc.(a)		23,800		1,097,894
RPC, Inc.(a)		110,900		2,023,925
SBM Offshore NV (Netherlands)		1,543		31,793
Schlumberger Ltd.		90,500		6,182,055
Technip SA (France)		1,091		102,541
Transocean Ltd.		963		37,185
WorleyParsons Ltd. (Australia)		3,377		88,664

				31,465,873

Food & Staples Retailing — 1.9%
Aeon Co. Ltd. (Japan)		8,300		113,981
Casino Guichard Perrachon SA (France)		87		7,328
CVS Caremark Corp.		402,000		16,393,560
Delhaize Group SA (Belgium)		1,820		102,242
Koninklijke Ahold NV (Netherlands)		2,756		37,114
Kroger Co. (The)		518,200		12,550,804
Seven & I Holdings Co. Ltd. (Japan)		4,300		119,832
Tesco PLC (United Kingdom)		25,624		160,548
Walgreen Co.(a)		52,700		1,742,262
Wal-Mart Stores, Inc.		442,500		26,443,800
Wesfarmers Ltd. (Australia)		2,047		61,763
Woolworths Ltd. (Australia)		1,311		33,656

				57,766,890

Food Products — 1.4%
Archer-Daniels-Midland Co.		343,000		9,809,800
Aryzta AG (Switzerland)		2,288		110,588
Associated British Foods PLC (United Kingdom)		3,426		58,898
Bunge Ltd.		136,900		7,830,680
Corn Products International, Inc.		97,500		5,127,525
Danone SA (France)		396		24,893
Diamond Foods, Inc.(a)		53,500		1,726,445
Golden Agri-Resources Ltd. (Singapore)		142,000		78,278
Hormel Foods Corp.		19,600		574,084
J.M. Smucker Co. (The)		16,800		1,313,256
Kellogg Co.(a)		19,500		986,115
Lindt & Spruengli AG (Switzerland)		2		66,837
Nestle SA (Switzerland)		7,375		423,986
Smithfield Foods, Inc.*		109,100		2,648,948
Suedzucker AG (Germany)		1,982		63,232
Tyson Foods, Inc. (Class A Stock)		495,300		10,222,992
Unilever NV (Netherlands)		2,831		97,353
Unilever PLC (United Kingdom)		1,672		56,164

				41,220,074

SEE NOTES TO FINANCIAL STATEMENTS.

A61


COMMON STOCKS (continued)	Shares		Value (Note 2)

Gas Utilities
Enagas (Spain)		2,924	$	54,079
Gas Natural SDG SA (Spain)		4,504		77,325
Hong Kong & China Gas Co. Ltd. (Hong Kong)		31,000		71,846

				203,250

Healthcare Equipment & Supplies — 1.3%
Baxter International, Inc.		158,700		7,852,476
Becton, Dickinson & Co.		66,100		4,938,992
C.R. Bard, Inc.(a)		10,000		855,000
CareFusion Corp.*		50,600		1,285,746
Coloplast A/S (Denmark) (Class B Stock)		983		141,375
Covidien PLC		225,200		10,136,252
Getinge AB (Sweden) (Class B Stock)		740		18,752
Hill-Rom Holdings, Inc.		83,800		2,823,222
Stryker Corp.		178,600		8,878,206
Zimmer Holdings, Inc.*(a)		57,900		3,093,018

				40,023,039

Healthcare Providers & Services — 1.6%
Aetna, Inc.		284,400		11,998,836
CIGNA Corp.		47,400		1,990,800
Fresenius SE & Co. KGaA (Germany)		137		12,674
Humana, Inc.		4,100		359,201
Ramsay Health Care Ltd. (Australia)		110		2,169
UnitedHealth Group, Inc.		419,000		21,234,920
WellPoint, Inc.		205,700		13,627,625

				49,226,225

Hotels, Restaurants & Leisure — 0.8%
Brinker International, Inc.(a)		43,600		1,166,736
Carnival Corp.		73,500		2,399,040
Cracker Barrel Old Country Store, Inc.		11,800		594,838
Darden Restaurants, Inc.(a)		52,600		2,397,508
Galaxy Entertainment Group Ltd. (Hong Kong)*		42,000		77,007
McDonald’s Corp.		88,700		8,899,271
Panera Bread Co. (Class A Stock)*		9,400		1,329,630
Sands China Ltd. (Hong Kong)*		33,200		93,830
Wyndham Worldwide Corp.		150,500		5,693,415
Yum! Brands, Inc.		50,900		3,003,609

				25,654,884

Household Durables — 0.3%
Blyth, Inc.(a)		8,900		505,520
Harman International Industries, Inc.		74,900		2,849,196
Jarden Corp.		31,700		947,196
Newell Rubbermaid, Inc.		27,900		450,585
Sekisui House Ltd. (Japan)		6,000		53,242
Whirlpool Corp.(a)		111,200		5,276,440

				10,082,179

Household Products — 1.0%
Colgate-Palmolive Co.		56,400		5,210,796
Henkel AG & Co. KGaA (Germany)		925		44,774
Kimberly-Clark Corp.		72,100		5,303,676
Procter & Gamble Co. (The)		298,905		19,939,953


COMMON STOCKS (continued)	Shares		Value (Note 2)

Household Products (continued)
Reckitt Benckiser Group PLC (United Kingdom)		2,452	$	121,092
Spectrum Brands Holdings, Inc.*		19,000		520,600

				31,140,891

Independent Power Producers & Energy Traders — 0.4%
AES Corp. (The)*		820,600		9,715,904
NRG Energy, Inc.*		177,200		3,210,864

				12,926,768

Industrial Conglomerates — 1.2%
3M Co.		15,200		1,242,296
General Electric Co.		1,953,000		34,978,230
Keppel Corp. Ltd. (Singapore)		3,000		21,510
Siemens AG (Germany)		2,139		204,695
Wendel SA (France)		458		30,528

				36,477,259

Insurance — 1.9%
ACE Ltd.		51,800		3,632,216
Aflac, Inc.		285,200		12,337,752
Allianz SE (Germany)		1,601		153,148
American Financial Group, Inc.		51,400		1,896,146
Assurant, Inc.		76,900		3,157,514
Aviva PLC (United Kingdom)		32,330		151,026
AXA SA (France)		11,999		155,996
Berkshire Hathaway, Inc. (Class B Stock)*		147,100		11,223,730
Delta Lloyd NV (Netherlands)		5,697		95,853
Genworth Financial, Inc. (Class A Stock)*		155,000		1,015,250
Hannover Rueckversicherung AG (Germany)		1,013		50,247
HCC Insurance Holdings, Inc.		78,400		2,156,000
Legal & General Group PLC (United Kingdom)		100,022		159,682
Loews Corp.		62,600		2,356,890
Mapfre SA (Spain)		24,688		78,443
MetLife, Inc.		93,400		2,912,212
Muenchener Rueckversicherungs AG (Germany)		141		17,296
Old Mutual PLC (United Kingdom)		86,392		181,795
Primerica, Inc.		18,900		439,236
Principal Financial Group, Inc.		19,800		487,080
Reinsurance Group of America, Inc.		7,600		397,100
RSA Insurance Group PLC (United Kingdom)		34,553		56,451
Sampo OYJ (Finland) (Class A Stock)		180		4,466
Swiss Life Holding AG (Switzerland)		558		51,327
Swiss Re AG (Switzerland)		241		12,282
Symetra Financial Corp.		77,600		703,832
Travelers Cos., Inc. (The)		45,400		2,686,318
Unum Group		193,200		4,070,724
XL Group PLC		313,300		6,193,941
Zurich Financial Services AG (Switzerland)		512		115,831

				56,949,784

SEE NOTES TO FINANCIAL STATEMENTS.

A62


COMMON STOCKS (continued)	Shares		Value (Note 2)

Internet & Catalog Retail — 0.2%
Amazon.com, Inc.*		1,000	$	173,100
HSN, Inc.		52,600		1,907,276
Liberty Interactive Corp., (Class A Stock)*		14,800		239,982
priceline.com, Inc.*		10,400		4,864,184

				7,184,542

Internet Software & Services — 0.9%
Akamai Technologies, Inc.*		218,800		7,062,864
Dena Co. Ltd. (Japan)		600		17,999
Dice Holdings, Inc.*		30,500		252,845
Digital River, Inc.*		26,800		402,536
eBay, Inc.*		14,800		448,884
Google, Inc. (Class A Stock)*		21,500		13,886,850
Gree, Inc. (Japan)		5,000		172,275
Liquidity Services, Inc.*		7,500		276,750
Yahoo!, Inc.*		214,400		3,458,272

				25,979,275

IT Services — 2.5%
Accenture PLC (Class A Stock)		193,100		10,278,713
Fidelity National Information Services, Inc.		35,500		943,945
Fiserv, Inc.*(a)		27,700		1,627,098
International Business Machines Corp.		137,100		25,209,948
Mastercard, Inc. (Class A Stock)		49,300		18,380,026
Otsuka Corp. (Japan)		1,900		130,830
SAIC, Inc.*(a)		14,100		173,289
Unisys Corp.*		12,800		252,288
Visa, Inc. (Class A Stock)		183,000		18,579,990

				75,576,127

Leisure Equipment & Products — 0.2%
Hasbro, Inc.		77,500		2,471,475
Mattel, Inc.(a)		40,800		1,132,608
Namco Bandai Holdings, Inc. (Japan)		12,200		173,720
Nikon Corp. (Japan)		3,100		69,032
Polaris Industries, Inc.		42,700		2,390,346
Sturm Ruger & Co., Inc.		29,700		993,762

				7,230,943

Life Sciences Tools & Services — 0.5%
Life Technologies Corp.*		84,100		3,272,331
PerkinElmer, Inc.		198,500		3,970,000
Thermo Fisher Scientific, Inc.*		198,400		8,922,048

				16,164,379

Machinery — 1.8%
AGCO Corp.*		44,100		1,894,977
Cummins, Inc.		135,500		11,926,710
Deere & Co.		164,800		12,747,280
Eaton Corp.		186,700		8,127,051
FANUC Corp. (Japan)		1,600		244,875
Illinois Tool Works, Inc.		28,100		1,312,551
ITT Corp.		101,900		1,969,727
Kennametal, Inc.(a)		11,900		434,588
Kone OYJ (Finland) (Class B Stock)		1,101		57,141
MAN SE (Germany)		429		38,145
Metso OYJ (Finland)		1,816		67,338


COMMON STOCKS (continued)	Shares		Value (Note 2)

Machinery (continued)
Nabtesco Corp. (Japan)		1,300	$	23,696
Parker Hannifin Corp.		159,000		12,123,750
SKF AB (Sweden) (Class B Stock)		871		18,427
Sumitomo Heavy Industries Ltd. (Japan)		10,000		58,334
Volvo AB (Sweden) (Class B Stock)		6,288		68,800
Weir Group PLC (The) (United Kingdom)		555		17,514
Xylem, Inc.		89,500		2,299,255
Yangzijiang Shipbuilding Holdings Ltd. (Singapore)		126,000		88,401

				53,518,560

Marine
AP Moeller-Maersk A/S (Denmark) (Class A Stock)		11		68,644
AP Moeller-Maersk A/S (Denmark) (Class B Stock)		2		13,205
Orient Overseas International Ltd. (Hong Kong)		7,500		43,793

				125,642

Media — 1.8%
Comcast Corp. (Class A Stock)		47,173		1,118,472
DIRECTV (Class A Stock)*(a)		347,100		14,841,996
Hakuhodo DY Holdings, Inc. (Japan)		1,670		95,899
ITV PLC (United Kingdom)		73,350		77,631
Liberty Media Corp.—Liberty Starz (Class A Stock)*		41,376		3,229,397
News Corp. (Class A Stock)		604,300		10,780,712
Reed Elsevier NV (Netherlands)		2,813		32,792
Time Warner, Inc.		104,500		3,776,630
Viacom, Inc. (Class B Stock)		323,200		14,676,512
Walt Disney Co. (The)		154,600		5,797,500
WPP PLC (United Kingdom)		2,996		31,429

				54,458,970

Metals & Mining — 1.0%
Alcoa, Inc.		462,400		3,999,760
Anglo American PLC (United Kingdom)		1,625		60,037
BHP Billiton Ltd. (Australia)		8,316		292,762
BHP Billiton PLC (United Kingdom)		9,685		282,389
Coeur d’Alene Mines Corp.*		142,600		3,442,364
Daido Steel Co. Ltd. (Japan)		4,000		25,101
Freeport-McMoRan Copper & Gold, Inc.		364,300		13,402,597
Iluka Resources Ltd. (Australia)		3,980		63,096
Nippon Steel Corp. (Japan)		32,000		79,823
Randgold Resources Ltd. (United Kingdom)		571		58,393
Reliance Steel & Aluminum Co.		26,300		1,280,547
Rio Tinto Ltd. (Australia)		2,589		159,676
Rio Tinto PLC (United Kingdom)		6,181		299,969
Salzgitter AG (Germany)		134		6,699
Schnitzer Steel Industries, Inc. (Class A Stock)		8,300		350,924
Steel Dynamics, Inc.		526,900		6,928,735

SEE NOTES TO FINANCIAL STATEMENTS.

A63


COMMON STOCKS (continued)	Shares		Value (Note 2)

Metals & Mining (continued)
Voestalpine AG (Austria)		2,517	$	70,593
Xstrata PLC (United Kingdom)		2,192		33,293

				30,836,758

Multiline Retail — 0.3%
Dollar Tree, Inc.*		26,400		2,194,104
Isetan Mitsukoshi Holdings, Ltd. (Japan)		700		7,339
Lifestyle International Holdings Ltd. (Hong Kong)		39,000		85,968
Next PLC (United Kingdom)		3,754		159,565
PPR (France)		288		41,244
Target Corp.		112,500		5,762,250

				8,250,470

Multi-Utilities — 0.6%
Centrica PLC (United Kingdom)		1,869		8,397
Dominion Resources, Inc.		8,500		451,180
GDF Suez (France)		2,315		63,279
National Grid PLC (United Kingdom)		7,973		77,387
PG&E Corp.		226,100		9,319,842
Public Service Enterprise Group, Inc.		85,000		2,805,850
RWE AG (Germany)		2,763		97,089
Sempra Energy		117,900		6,484,500

				19,307,524

Office Electronics — 0.2%
Canon, Inc. (Japan)		4,100		181,642
Xerox Corp.		573,200		4,562,672

				4,744,314

Oil, Gas & Consumable Fuels — 7.2%
Apache Corp.		165,500		14,990,990
BG Group PLC (United Kingdom)		211		4,511
BP PLC (United Kingdom)		58,161		415,939
Chevron Corp.		448,456		47,715,718
ConocoPhillips		332,834		24,253,614
Consol Energy, Inc.		56,700		2,080,890
CVR Energy, Inc.*		27,000		505,710
Devon Energy Corp.		106,100		6,578,200
ENI SpA (Italy)		7,801		161,644
Exxon Mobil Corp.		866,416		73,437,420
Hess Corp.		190,400		10,814,720
HollyFrontier Corp.		22,200		519,480
Idemitsu Kosan Co. Ltd. (Japan)		200		20,631
Japan Petroleum Exploration Co. (Japan)		400		15,643
JX Holdings, Inc. (Japan)		7,900		47,726
Marathon Oil Corp.		299,400		8,763,438
Marathon Petroleum Corp.		62,800		2,090,612
Murphy Oil Corp.		118,500		6,605,190
Occidental Petroleum Corp.		110,900		10,391,330
Peabody Energy Corp.		92,900		3,075,919
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		12,090		445,170
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		10,065		383,580
Santos Ltd. (Australia)		8,704		108,966
Southwestern Energy Co.*		50,300		1,606,582


COMMON STOCKS (continued)	Shares			Value (Note 2)

Oil, Gas & Consumable Fuels (continued)
Statoil ASA (Norway)		5,217		$	133,896
Total SA (France)		7,887			403,205
Valero Energy Corp.		97,100			2,043,955

					217,614,679

Paper & Forest Products
Holmen AB (Sweden) (Class B Stock)		397			11,405
OJI Paper Co. Ltd. (Japan)		5,000			25,659

					37,064

Personal Products — 0.3%
Avon Products, Inc.		339,700			5,934,559
Herbalife Ltd.		36,200			1,870,454

					7,805,013

Pharmaceuticals — 3.6%
Abbott Laboratories		403,300			22,677,559
AstraZeneca PLC (United Kingdom)		7,123			329,093
Bayer AG (Germany)		2,257			144,303
Bristol-Myers Squibb Co.(a)		103,300			3,640,292
Eli Lilly & Co.		223,800	��		9,301,128
GlaxoSmithKline PLC (United Kingdom)		21,453			490,249
Hospira, Inc.*		18,600			564,882
Johnson & Johnson		290,198			19,031,185
Merck & Co., Inc.		644,600			24,301,420
Mylan, Inc.*		51,700			1,109,482
Novartis AG (Switzerland)		6,572			375,723
Novo Nordisk A/S (Denmark) (Class B Stock)		1,864			214,204
Orion OYJ (Finland) (Class B Stock)		1,742			33,931
Par Pharmaceutical Cos., Inc.*		45,900			1,502,307
Pfizer, Inc.		1,002,997			21,704,855
Roche Holding AG (Switzerland)		1,889			320,163
Sanofi (France)		5,254			385,899
Shire PLC (United Kingdom)		853			29,713
Taisho Pharmaceutical Holdings Co. Ltd. (Japan)*		100			7,717
Takeda Pharmaceutical Co. Ltd. (Japan)		1,600			70,261
Teva Pharmaceutical Industries Ltd. (Israel)		1,101			44,317
Warner Chilcott PLC (Class A Stock)*		112,500			1,702,125
Watson Pharmaceuticals, Inc.*		15,300			923,202

					108,904,010

Professional Services — 0.1%
Manpower, Inc.		50,600			1,808,950

Real Estate Investment Trusts — 0.6%
Annaly Capital Management, Inc.		499,800			7,976,808
Ashford Hospitality Trust, Inc.		29,400			235,200
Chimera Investment Corp.(a)		375,600			942,756
CommonWealth REIT		111,000			1,847,040
Corporate Office Properties Trust		14,200			301,892
First Industrial Realty Trust, Inc.*		33,600			343,728
GPT Group (Australia)		14,547			45,678
Hospitality Properties Trust		187,800			4,315,644

SEE NOTES TO FINANCIAL STATEMENTS.

A64


COMMON STOCKS (continued)	Shares		Value (Note 2)

Real Estate Investment Trusts (continued)
Invesco Mortgage Capital, Inc.		53,200	$	747,460
Link REIT (The) (Hong Kong)		42,000		154,662
Mack-Cali Realty Corp.		16,800		448,392
MFA Financial, Inc.		78,100		524,832
Redwood Trust, Inc.		24,900		253,482
Simon Property Group, Inc.		2,000		257,880
Stockland (Australia)		26,528		86,554
Unibail-Rodamco SE (France)		401		72,088
Westfield Group (Australia)		4,010		32,032
Winthrop Realty Trust		31,300		318,321

				18,904,449

Real Estate Management & Development — 0.1%
Cheung Kong Holdings Ltd. (Hong Kong)		1,000		11,897
Daito Trust Construction Co. Ltd. (Japan)		2,000		171,495
Daiwa House Industry Co. Ltd. (Japan)		14,000		166,974
Immofinanz AG (Austria)		7,734		23,223
Jones Lang LaSalle, Inc.(a)		44,700		2,738,322
Kerry Properties Ltd. (Hong Kong)		13,500		44,672
Sun Hung Kai Properties Ltd. (Hong Kong)		4,000		50,138
Tokyu Land Corp. (Japan)		25,000		94,517

				3,301,238

Road & Rail — 1.1%
Asciano Ltd. (Australia)		21,370		98,358
Central Japan Railway Co. (Japan)		18		152,007
CSX Corp.		455,000		9,582,300
East Japan Railway Co. (Japan)		2,800		178,251
Norfolk Southern Corp.		144,200		10,506,412
Union Pacific Corp.		110,300		11,685,182
West Japan Railway Co. (Japan)		300		13,038

				32,215,548

Semiconductors & Semiconductor Equipment — 1.1%
Applied Materials, Inc.		414,300		4,437,153
ARM Holdings PLC (United Kingdom)		3,580		32,913
ASM Pacific Technology Ltd. (Hong Kong)		6,200		69,571
Intel Corp.		1,205,600		29,235,800

				33,775,437

Software — 2.7%
Activision Blizzard, Inc.(a)		82,900		1,021,328
BMC Software, Inc.*		89,000		2,917,420
CA, Inc.		174,000		3,517,410
FactSet Research Systems, Inc.		4,600		401,488
Intuit, Inc.		123,200		6,479,088
Konami Corp. (Japan)		500		14,973
Microsoft Corp.		1,519,700		39,451,412
Oracle Corp.		859,300		22,041,045
SAP AG (Germany)		4,011		212,062
Symantec Corp.*		326,000		5,101,900

				81,158,126


COMMON STOCKS (continued)	Shares		Value (Note 2)

Specialty Retail — 1.5%
ANN, Inc.*		15,100	$	374,178
Ascena Retail Group, Inc.*(a)		82,900		2,463,788
Bed Bath & Beyond, Inc.*		38,500		2,231,845
Express, Inc.*		70,400		1,403,776
Finish Line, Inc. (The) (Class A Stock)		62,600		1,207,241
Guess?, Inc.		52,900		1,577,478
Hennes & Mauritz AB (Sweden) (Class B Stock)		977		31,417
Home Depot, Inc. (The)		283,950		11,937,258
Inditex SA (Spain)		1,190		97,461
Kingfisher PLC (United Kingdom)		14,618		56,913
Limited Brands, Inc.(a)		47,000		1,896,450
PetSmart, Inc.		34,100		1,748,989
Ross Stores, Inc.		116,400		5,532,492
TJX Cos., Inc.		186,300		12,025,665
USS Co. Ltd. (Japan)		700		63,297
Williams-Sonoma, Inc.		73,300		2,822,050
Yamada Denki Co. Ltd. (Japan)		1,190		81,013

				45,551,311

Textiles, Apparel & Luxury Goods — 0.5%
Burberry Group PLC (United Kingdom)		2,698		49,651
Christian Dior SA (France)		183		21,697
Cie Financiere Richemont SA (Switzerland)		1,096		55,436
Coach, Inc.		209,600		12,793,984
Crocs, Inc.*		87,100		1,286,467
LVMH Moet Hennessy Louis Vuitton SA (France)		83		11,752
Swatch Group AG (The) (Bearer Shares) (Switzerland)		264		98,793
Swatch Group AG (The) (Registered Shares) (Switzerland)		1,111		74,043
True Religion Apparel, Inc.*		49,600		1,715,168

				16,106,991

Tobacco — 0.8%
British American Tobacco PLC (United Kingdom)		5,133		243,569
Imperial Tobacco Group PLC (United Kingdom)		5,142		194,446
Japan Tobacco, Inc. (Japan)		1		4,703
Lorillard, Inc.		74,200		8,458,800
Philip Morris International, Inc.		173,200		13,592,736
Reynolds American, Inc.		64,800		2,684,016
Swedish Match AB (Sweden)		1,767		62,725

				25,240,995

Trading Companies & Distributors — 0.1%
ITOCHU Corp. (Japan)		11,000		111,758
Marubeni Corp. (Japan)		8,000		48,746
Mitsubishi Corp. (Japan)		4,100		82,831
Mitsui & Co. Ltd. (Japan)		5,100		79,313
Sumitomo Corp. (Japan)		10,600		143,500
Toyota Tsusho Corp. (Japan)		4,100		72,497
W.W. Grainger, Inc.		16,400		3,069,916

				3,608,561

SEE NOTES TO FINANCIAL STATEMENTS.

A65


COMMON STOCKS (continued)	Shares		Value (Note 2)

Transportation Infrastructure
Atlantia SpA (Italy)		567	$	9,078
Kamigumi Co. Ltd. (Japan)		2,000		17,253
Transurban Group (Australia)(b)		9,401		54,038

				80,369

Water Utilities — 0.2%
American Water Works Co., Inc.		162,400		5,174,064

Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		2		12,862
MetroPCS Communications, Inc.*		284,900		2,472,932
Millicom International Cellular SA (Luxembourg)		219		21,941
Mobistar SA (Belgium)		112		5,869
Softbank Corp. (Japan)		6,200		182,609
StarHub Ltd. (Singapore)		3,000		6,731
Vodafone Group PLC (United Kingdom)		131,333		364,882

				3,067,826

TOTAL COMMON STOCKS (cost $1,734,201,909)				1,967,689,117


EXCHANGE TRADED FUND	Shares		Value (Note 2)

iShares MSCI EAFE Index Fund (cost $534,053)		10,700	$	529,971

PREFERRED STOCKS — 0.1%
Automobiles
Porsche Automobil Holding SE (Germany)		1,769		94,672
Volkswagen AG (Germany)		961		143,966

				238,638

Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(c)		22,000		573,320
JPMorgan Chase Capital XXVI, 8.000% (Capital Security, fixed to floating preferred)(c)		28,000		725,200

				1,298,520

Household Products
Henkel AG & Co. KGaA (Germany)		620		35,781

Multi-Utilities
RWE AG (Germany)		1,313		43,223

TOTAL PREFERRED STOCKS (cost $1,618,614)				1,616,162


ASSET-BACKED SECURITIES — 1.0%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#

Non-Residential Mortgage-Backed Securities — 0.8%
Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(c)	Aaa		0.672%	10/27/18	$	1,000	952,556
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(c)	Aaa		2.066%	05/17/21		500	493,465
BA Credit Card Trust, Ser. 2006-C5, Class C5(c)	A3		0.678%	01/15/16		3,209	3,164,563
Bank One Issuance Trust, Ser. 2003-C3, Class C3	Baa2		4.770%	02/16/16		5,200	5,418,881
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.756%	05/25/17		1,908	1,840,350
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.682%	08/03/19		454	436,765
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(c)	Baa2		0.685%	02/20/15		1,350	1,337,905
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(c)	Aaa		0.772%	07/27/16		49	48,670
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(c)	Aaa		0.666%	07/22/20		1,225	1,147,303
Fuel Trust, Sec’d. Notes, 144A	Baa2		3.984%	06/15/16		415	414,944
Fuel Trust, Sec’d. Notes, 144A	Baa2		4.207%	04/15/16		1,655	1,669,049
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(c)	Aaa		0.663%	12/15/17		1,139	1,113,532
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(c)	Aaa		0.763%	07/15/16		92	90,879
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(c)	Aaa		0.646%	10/19/20		1,161	1,102,800
LCM LP (Cayman Islands), Ser. 2004-2A, Class A, 144A(c)	Aaa		0.736%	10/22/16		574	550,682
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(c)	Aaa		0.787%	06/01/17		500	475,000
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2004-3A, Class A1LA, 144A(c)	Aaa		0.872%	02/15/16		165	165,026
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(c)	Aaa		0.796%	03/15/18		593	568,382
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		179	183,241
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(c)	Aaa		0.679%	11/01/18		2,500	2,373,953

							23,547,946

SEE NOTES TO FINANCIAL STATEMENTS.

A66


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Residential Mortgage-Backed Securities — 0.2%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(c)	B2		1.944%	03/25/33	$	423	$	250,565
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3	B3		5.120%	07/25/35		318		261,216
Equity One ABS, Inc., Ser. 2004-3, Class M1	Baa1		5.700%	07/25/34		670		530,924
GSAMP Trust, Ser. 2004-HE2, Class A3C(c)	Aaa		0.874%	09/25/34		674		512,720
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(c)	Aa1		0.775%	01/20/35		311		269,660
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(c)	B1		0.824%	06/25/34		1,074		764,149
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(c)	Ba2		1.494%	05/25/33		650		491,766
Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(c)	B3		1.239%	06/25/34		1,232		884,813
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(c)	Baa2		1.344%	12/27/33		1,193		944,600
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(c)	Caa3		1.194%	07/25/32		720		507,558
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC2, Class M2, 144A(c)	B(d)		2.619%	04/25/32		261		112,280
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(c)	B2		1.569%	09/25/32		696		536,320
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(c)	Ba3		1.059%	02/25/34		1,128		826,832
Securitized Asset Backed Receivables LLC Trust, Ser. 2006-FR3, Class A3(c)	Ca		0.544%	05/25/36		1,100		356,784

								7,250,187

TOTAL ASSET-BACKED SECURITIES (cost $32,987,959)								30,798,133

BANK LOANS — 0.2%
Cable
Insight Midwest Holdings LLC(c)	Ba3		1.270%	10/06/13		678		669,448

Foods
Del Monte Foods Co.(c).	Ba3		4.500%	03/08/18		1,139		1,079,463

Healthcare & Pharmaceutical — 0.1%
HCA, Inc.(c)	Ba3		3.688%	05/01/18		370		348,567
HCA, Inc.(c)	Ba3		3.829%	03/31/17		886		839,351

								1,187,918

Technology — 0.1%
First Data Corp.(c)	B1		3.044%	09/24/14		126		113,668
First Data Corp.(c)	B1		3.044%	09/24/14		101		90,934
First Data Corp.(c)	B1		4.294%	03/26/18		2,134		1,783,606
Flextronics International Ltd. (Singapore)(c)	Ba1		2.520%	10/01/14		539		526,478
Flextronics International Ltd. (Singapore)(c)	Ba1		2.546%	10/01/14		155		152,157

								2,666,843

TOTAL BANK LOANS (cost $6,075,372)								5,603,672

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		3,116		2,219,893
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(c)	B2		2.875%	02/25/35		674		551,436
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(c)	Caa1		2.835%	03/25/35		529		408,170
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(c)	Ba2		2.760%	02/25/37		1,614		1,463,746
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		678		690,126
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(c)	B1		2.782%	07/25/35		1,060		932,747
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		223		228,327
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(c)	Baa1		2.480%	02/25/34		553		493,000
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(d)		5.000%	03/25/20		291		258,703

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $8,451,028)								7,246,148

SEE NOTES TO FINANCIAL STATEMENTS.

A67


COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38	$	2,800	$	2,891,902
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		3,700		3,762,127
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(c)	Aaa		5.622%	06/10/49		3,891		3,929,691
Banc of America Commercial Mortgage, Inc., Ser. 2007-5, Class A3	AAA(d)		5.620%	02/10/51		1,920		2,021,096
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,900		4,113,704
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2007-2, Class A3(c)	AAA(d)		5.606%	04/10/49		1,500		1,635,413
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4(c)	AAA(d)		5.405%	12/11/40		2,000		2,201,552
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(c)	Aaa		5.344%	01/15/46		1,200		1,297,442
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A(c)	AA-(d)		5.440%	09/15/30		714		742,481
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(c)	AAA(d)		5.751%	06/10/46		5,450		6,018,151
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		578		579,547
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4	Aaa		4.835%	07/15/36		631		642,498
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4	Aaa		4.283%	10/15/39		100		100,486
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		1,900		2,000,189
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(c)	AAA(d)		5.419%	02/15/39		2,700		2,988,060
CW Capital Cobalt Ltd., Ser. 2007-C2, Class A2	Aaa		5.334%	04/15/47		513		523,022
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(c)	AAA(d)		5.816%	05/15/46		2,200		2,327,283
GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(c)	Aaa		5.309%	11/10/45		2,585		2,854,902
GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(c)	AAA(d)		5.330%	03/10/44		2,060		2,261,705
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(d)		4.697%	05/10/43		2,720		2,943,021
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A3	Aaa		4.569%	08/10/42		992		1,002,959
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(c)	Aaa		5.224%	04/10/37		8,050		8,618,998
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,107		3,124,200
GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB(c)	AAA(d)		5.587%	04/10/38		5,817		6,178,076
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(c)	Aaa		5.778%	08/10/45		2,100		2,134,316
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(c)	Aaa		4.853%	03/15/46		2,199		2,286,675
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		543		547,002
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,035,081
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		3,785		3,937,825
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(c)	Aa2		4.999%	10/15/42		1,270		1,336,069
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		3,629		3,880,701
JPMorgan Chase Commercial Mortgage Securities Corp., I/O, Ser. 2006-LDP6, Class X2(c)	Aaa		0.051%	04/15/43		92,527		112,605
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP7, Class A3A(c)	Aaa		5.875%	04/15/45		563		579,019
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD12, Class A2	Aaa		5.827%	02/15/51		2,034		2,073,402
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(c)	AAA(d)		4.826%	08/15/29		3,608		3,669,084

SEE NOTES TO FINANCIAL STATEMENTS.

A68


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(c)	AA(d)		5.263%	11/15/40	$	1,510	$	1,594,857
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(d)		5.084%	02/15/31		3,093		3,125,169
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,773
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(c)	Aaa		5.661%	03/15/39		2,676		2,941,531
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		2,000		2,107,512
Merrill Lynch Mortgage Trust, Ser. 2008-C1, Class A2	Aaa		5.425%	02/12/51		147		149,065
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(c)	Aaa		5.906%	06/12/46		1,795		2,003,523
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		4,955		4,969,322
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(c)	Aaa		5.417%	03/12/44		1,500		1,642,807
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(c)	AAA(d)		5.728%	10/15/42		2,600		2,870,876
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(d)		5.332%	12/15/43		4,720		5,275,785
Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31	Aaa		5.439%	02/12/44		1,230		1,281,535
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		4,600		4,819,622
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(c)	AAA(d)		5.638%	06/11/42		1,105		1,168,606
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(c)	Aaa		5.418%	01/15/45		5,000		5,447,035
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(c)	Aaa		5.737%	05/15/43		1,000		1,106,749
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		2,300		2,425,056

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $121,317,986)								129,334,107

CORPORATE BONDS — 8.9%
Aerospace & Defense
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		515		508,846

Airlines — 0.2%
Continental Airlines 1998-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 981A	Baa2		6.648%	09/15/17		236		240,531
Continental Airlines 2009-2 Class A Pass Through Trust, Pass-thru Certs., Ser. A	Baa2		7.250%	11/10/19		732		779,812
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-A, Class A(a)	Baa2		4.750%	01/12/21		855		867,825
Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A	Baa1		6.821%	08/10/22		393		410,484
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., Ser. A(a)	Baa2		5.300%	04/15/19		1,485		1,499,850
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-2, Class A(a)	Baa2		4.950%	05/23/19		729		738,327
Southwest Airlines Co., Sr. Unsec’d. Notes	Baa3		6.500%	03/01/12		1,005		1,013,063

								5,549,892

Automotive
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		500		539,790
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		245		274,130

								813,920

Banking — 2.8%
American Express Co., Sr. Unsec’d. Notes	A3		8.125%	05/20/19		1,925		2,488,777
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%	09/19/16		2,030		2,039,947
Banco Bradesco SA (Brazil), Sub. Notes	A2		8.750%	10/24/13		1,760		1,927,200
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(c)	Ba3		8.000%	12/29/49		2,200		1,969,968
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		4.500%	04/01/15		595		574,167
Bank of America Corp., Sr. Unsec’d. Notes, MTN	Baa1		5.000%	05/13/21		630		573,826
Bank of America Corp., Sr. Unsec’d. Notes	Baa1		6.000%	09/01/17		1,060		1,035,226
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa1		3.750%	07/12/16		870		805,550
Bank of America Corp., Sub. Notes	Baa2		5.750%	08/15/16		1,775		1,648,499

SEE NOTES TO FINANCIAL STATEMENTS.

A69


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Banking (continued)
Bank of America NA, Sub. Notes	A3		5.300%	03/15/17	$	930	$	838,777
Bank of America NA, Sub. Notes	A3		6.000%	10/15/36		410		341,011
Bank of Montreal (Canada), Covered Notes, 144A	Aaa		1.300%	10/31/14		3,500		3,493,994
Bank of Nova Scotia (Canada), Covered Notes, 144A	Aaa		1.250%	11/07/14		3,285		3,271,121
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		5.300%	10/30/15		515		553,825
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		6.400%	10/02/17		330		368,686
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	Aa3		7.250%	02/01/18		1,175		1,377,512
Capital One Bank USA NA, Sub. Notes	Baa1		6.500%	06/13/13		20		21,096
Capital One Bank USA NA, Sub. Notes	Baa1		8.800%	07/15/19		1,300		1,487,187
Capital One Capital V, Ltd. Gtd. Notes	Baa3		10.250%	08/15/39		620		643,250
Capital One Capital VI, Ltd. Gtd. Notes(a)	Baa3		8.875%	05/15/40		1,080		1,120,922
Citigroup, Inc., Sr. Unsec’d. Notes(a)	A3		3.953%	06/15/16		1,010		1,006,519
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.500%	01/14/22		1,660		1,596,958
Citigroup, Inc., Sr. Unsec’d. Notes	A3		4.750%	05/19/15		2,265		2,293,899
Citigroup, Inc., Sr. Unsec’d. Notes(a)	A3		5.375%	08/09/20		920		946,009
Citigroup, Inc., Sr. Unsec’d. Notes	A3		6.875%	03/05/38		215		236,202
Citigroup, Inc., Sr. Unsec’d. Notes	A3		8.125%	07/15/39		710		869,276
Citigroup, Inc., Sub. Notes	Baa1		5.000%	09/15/14		454		449,327
Citigroup, Inc., Sub. Notes(a)	Baa1		5.625%	08/27/12		2,800		2,842,288
Citigroup, Inc., Sub. Notes	Baa1		6.125%	08/25/36		570		493,056
Citigroup, Inc., Unsec’d. Notes(a)	A3		8.500%	05/22/19		1,895		2,230,578
Countrywide Financial Corp., Gtd. Notes, MTN(a)(e)	Baa1		5.800%	06/07/12		1,190		1,192,504
Depfa ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		1,380		986,519
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		570		596,373
Discover Bank, Sub. Notes	Ba1		8.700%	11/18/19		900		1,026,166
Goldman Sachs Group, Inc. (The), Sr. Notes	A1		6.250%	02/01/41		270		264,878
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		3.625%	02/07/16		2,000		1,932,446
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.250%	07/27/21		2,055		2,004,735
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		5.450%	11/01/12		600		610,187
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A1		6.000%	06/15/20		1,000		1,024,362
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		5.625%	01/15/17		1,190		1,166,904
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.450%	05/01/36		1,615		1,457,248
Goldman Sachs Group, Inc. (The), Sub. Notes	A2		6.750%	10/01/37		104		96,773
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa2		4.875%	01/14/22		1,910		2,018,666
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa2		5.100%	04/05/21		1,025		1,089,158
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		170		192,666
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)(c)	Baa1		7.900%	04/29/49		2,000		2,129,380
JPMorgan Chase & Co., Sr. Unsec’d. Notes	Aa3		3.150%	07/05/16		3,210		3,225,023
JPMorgan Chase & Co., Sr. Unsec’d. Notes(a)	Aa3		4.250%	10/15/20		2,930		2,950,577
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA	A2		7.000%	11/01/39		1,500		1,509,375
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A1		5.800%	01/13/20		1,870		1,775,337
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes.(a)	A1		6.375%	01/21/21		1,400		1,402,989
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(a)	Baa1		6.400%	08/28/17		35		33,891
Morgan Stanley, Sr. Unsec’d. Notes(a)	A2		5.300%	03/01/13		265		268,244
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.500%	07/28/21		760		702,723
Morgan Stanley, Sr. Unsec’d. Notes	A2		5.750%	01/25/21		1,400		1,305,928
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.625%	09/23/19		1,415		1,310,402
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		5.950%	12/28/17		510		485,895
Morgan Stanley, Sr. Unsec’d. Notes, MTN	A2		6.625%	04/01/18		105		103,682
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	A2		5.450%	01/09/17		2,345		2,257,682
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(c)	Ba1		6.346%	07/25/49		800		812,513
National Bank of Canada (Canada), Covered Notes, 144A	Aaa		2.200%	10/19/16		1,240		1,250,266
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		1,110		1,129,952
PNC Funding Corp., Gtd. Notes.	A3		6.700%	06/10/19		440		536,818
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	A3		6.400%	10/21/19		1,775		1,661,734
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A(a)	Aaa		1.625%	09/14/16		3,000		2,960,511

SEE NOTES TO FINANCIAL STATEMENTS.

A70


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Banking (continued)
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39	$	775	$	787,369
Wells Fargo Bank NA, Sub. Notes, Ser. AI	A1		4.750%	02/09/15		585		610,324

								84,414,853

Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(f)	NR		5.250%	02/06/12		1,715		439,469
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(f)	NR		6.875%	05/02/18		700		185,500

								624,969

Cable — 0.2%
AT&T Broadband LLC, Gtd. Notes	Baa1		9.455%	11/15/22		255		363,349
Charter Communications Operating LLC/Charter Communications Operating Capital, Sec’d. Notes, 144A	Ba2		8.000%	04/30/12		2,130		2,172,600
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		570		684,817
Comcast Corp., Gtd. Notes	Baa1		6.450%	03/15/37		155		187,898
Comcast Corp., Gtd. Notes	Baa1		6.500%	11/15/35		450		542,423
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		605		769,746
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		920		948,450
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		171,744
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		386,281

								6,227,308

Capital Goods — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $459,646; purchased 10/10/07)(e)(g)	Baa1		5.800%	10/15/12		460		475,896
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(e)(g)	Baa1		6.375%	10/15/17		1,302		1,504,530
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(e)(g)	Baa1		7.000%	10/15/37		380		457,168
General Electric Co., Sr. Unsec’d. Notes	Aa2		5.250%	12/06/17		200		229,552
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41		215		244,635
Xylem, Inc., Gtd. Notes, 144A	Baa2		4.875%	10/01/21		1,260		1,335,293

								4,247,074

Chemicals — 0.1%
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		1,800		2,035,473
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		432		649,340
Ecolab, Inc., Sr. Unsec’d. Notes(a)	Baa1		5.500%	12/08/41		345		382,309
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		720		762,335
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		150		173,722
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.500%	06/01/25		460		542,907

								4,546,086

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,700		1,932,382
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		1,350		1,474,875
VF Corp., Sr. Unsec’d. Notes	A3		3.500%	09/01/21		620		644,056

								4,051,313

Electric — 0.6%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa2		6.250%	08/01/16		175		205,366
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa2		6.350%	10/01/36		550		694,709
Carolina Power & Light Co., First Mtge. Bonds	A1		5.250%	12/15/15		525		601,524
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		740		776,714
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		590		804,577
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		220		268,230
Consumers Energy Co., First Mtge. Bonds, Ser. D	A3		5.375%	04/15/13		325		341,967
Duke Energy Carolinas LLC, First Mtge. Bonds(a)	A1		6.050%	04/15/38		550		720,022
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		670		791,193

SEE NOTES TO FINANCIAL STATEMENTS.

A71


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Electric (continued)
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15	$	1,295	$	1,543,154
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	A3		6.000%	10/07/39		1,280		1,030,203
Exelon Corp., Sr. Unsec’d. Notes	Baa1		4.900%	06/15/15		155		167,009
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	A3		6.250%	10/01/39		1,425		1,736,351
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		295		377,296
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		495		587,371
Iberdrola International BV (Netherlands), Gtd. Notes	A3		6.750%	09/15/33		145		154,174
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		460		501,377
Midamerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		300		354,512
National Rural Utilities Cooperative Finance Corp., Sr. Unsec’d. Notes, Ser. C, MTN	A2		7.250%	03/01/12		62		62,652
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa2		6.500%	05/15/18		1,260		1,511,843
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		610		682,150
NSTAR, Sr. Unsec’d. Notes	A2		4.500%	11/15/19		615		680,402
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a)	Baa1		6.375%	01/15/15		345		394,225
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa1		7.000%	09/01/22		110		140,908
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		140		163,650
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A2		5.800%	05/01/37		535		686,003
Xcel Energy, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.800%	09/15/41		480		523,071
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		199		225,711

								16,726,364

Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		535		589,233
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		1,040		1,115,467

								1,704,700

Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.375%	09/15/17		1,195		1,385,165
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.450%	09/15/36		325		370,533
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Ba1		6.950%	06/15/19		250		298,455
Cameron International Corp., Sr. Unsec’d. Notes	Baa1		4.500%	06/01/21		2,200		2,361,676
Nabors Industries, Inc., Gtd. Notes, 144A	Baa2		4.625%	09/15/21		1,070		1,086,804
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Ba1		6.875%	05/01/18		1,500		1,696,464
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		170		188,841
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		810		841,734
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,315		1,378,617

								9,608,289

Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.000%	11/15/39		1,285		1,991,160
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	Baa1		8.200%	01/15/39		250		394,143
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		850		871,250
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		727		794,930
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,040		1,090,807
Bunge Ltd. Finance Corp., Gtd. Notes(a)	Baa2		8.500%	06/15/19		985		1,198,981
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $666,818; purchased 11/19/07)(e)(g)	A2		6.000%	11/27/17		670		789,850
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		480		564,155
J.M. Smucker Co. (The), Gtd. Notes	A3		3.500%	10/15/21		490		501,294
Kroger Co. (The), Gtd. Notes	Baa2		6.750%	04/15/12		45		45,750
Safeway, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	12/01/21		570		583,886
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		1,321		1,535,662
Tyson Foods, Inc., Gtd. Notes	Ba1		6.850%	04/01/16		735		806,663

								11,168,531

Gaming
MGM Resorts International, Sr. Sec’d. Notes	Ba2		13.000%	11/15/13		1,260		1,496,250

SEE NOTES TO FINANCIAL STATEMENTS.

A72


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Healthcare & Pharmaceutical — 0.2%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41	$	1,910	$	1,980,066
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,460		2,489,825
Genentech, Inc., Sr. Unsec’d. Notes	AA-(d)		4.750%	07/15/15		280		312,324
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		565		625,547
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		580		645,683
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		165		206,726
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	08/15/19		445		523,342
Wyeth, Gtd. Notes	A1		6.450%	02/01/24		60		78,395

								6,861,908

Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.500%	09/15/18		1,570		1,915,664
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		515		639,572
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		650		687,715
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		670		718,704
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,290		1,412,287
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		5.950%	02/15/41		730		897,501
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		195		229,357
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		420		534,171
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		420		539,208
WellPoint, Inc., Sr. Unsec’d. Notes	Baa1		5.000%	12/15/14		860		939,626

								8,513,805

Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		525		525,947
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		580		579,206
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		1,055		1,064,738
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		990		1,047,916
AON Corp., Sr. Unsec’d. Notes	Baa2		3.125%	05/27/16		2,655		2,685,147
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20		1,030		1,058,944
Chubb Corp. (The), Jr. Sub. Notes(c)	A3		6.375%	03/29/67		1,300		1,283,750
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		850		903,198
Lincoln National Corp., Jr. Sub. Notes(c)	Ba1		6.050%	04/20/67		260		216,450
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		492		506,981
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		705		797,029
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		605		735,897
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		835		931,981
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		400		472,837
MetLife, Inc., Sr. Unsec’d. Notes(a)	A3		6.750%	06/01/16		430		495,376
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		660		842,784
Northwestern Mutual Life Insurance, Notes, 144A(a)	Aa2		6.063%	03/30/40		370		444,160
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.350%	04/01/13		1,120		1,170,217
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		680		739,491
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		995		1,325,011
Progressive Corp. (The), Jr. Sub. Notes(c)	A2		6.700%	06/15/37		735		742,350
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,450		1,860,933
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		350		360,385
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		555		588,797
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		460		484,410
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		85		89,889

								21,953,824

Lodging — 0.2%
Host Marriott LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		750		763,125
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Ba1		6.250%	02/15/13		1,645		1,698,463
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	Ba1		6.750%	05/15/18		2,800		3,164,000

								5,625,588

SEE NOTES TO FINANCIAL STATEMENTS.

A73


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Media & Entertainment — 0.3%
Gannett Co., Inc., Sr. Unsec’d. Notes	Ba2		6.375%	04/01/12	$	2,500	$	2,512,500
Historic TW, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		505		690,769
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		620		677,730
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		1,315		1,515,657
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		90		104,037
Time Warner Cos., Inc., Gtd. Notes	Baa2		7.250%	10/15/17		790		946,599
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		210		247,360
Time Warner, Inc., Gtd. Notes(a)	Baa2		6.250%	03/29/41		1,465		1,756,463
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		180		232,359
Viacom, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	10/05/37		430		533,626

								9,217,100

Metals — 0.2%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.125%	06/01/18		1,030		1,017,189
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		880		1,041,931
Peabody Energy Corp., Gtd. Notes, 144A	Ba1		6.000%	11/15/18		1,525		1,555,500
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(d)		4.500%	05/15/13		115		119,796
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		125		136,538
Steel Dynamics, Inc., Gtd. Notes	Ba2		7.375%	11/01/12		1,085		1,129,756
Vale Overseas Ltd. (Cayman Islands), Gtd. Notes(a)	Baa2		6.875%	11/10/39		815		933,501
Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,185		1,191,052

								7,125,263

Non-Captive Finance — 0.4%
CIT Group, Inc., Sec’d. Notes, 144A(a)	B2		7.000%	05/04/15		350		350,438
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	Aa2		4.650%	10/17/21		1,272		1,327,544
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	Aa2		5.875%	01/14/38		1,060		1,123,162
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(h)	Aa2		6.000%	08/07/19		920		1,056,738
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(a)(h)	Aa2		6.875%	01/10/39		1,625		1,946,802
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		5.750%	05/15/16		375		347,828
International Lease Finance Corp., Sr. Unsec’d. Notes	B1		6.375%	03/25/13		1,850		1,840,750
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		570		554,313
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,050		1,060,500
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,070		1,102,100

								10,710,175

Packaging
Sealed Air Corp., Sr. Unsec’d. Notes, 144A	B1		6.875%	07/15/33		515		450,625

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(e)(g)	Baa3		5.400%	11/01/20		290		321,218
International Paper Co., Sr. Unsec’d. Notes(a)	Baa3		6.000%	11/15/41		885		960,767
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		685		833,802
Rock-Tenn Co., Gtd. Notes	Ba2		9.250%	03/15/16		1,840		1,950,400

								4,066,187

Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		675		661,227
NiSource Finance Corp., Gtd. Notes	Baa3		5.250%	09/15/17		245		270,446
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		350		387,680
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		145		171,480
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		90		94,251
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,190		3,617,218
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		235		246,366

								5,448,668

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		670		854,463
CSX Corp., Sr. Unsec’d. Notes	Baa3		6.150%	05/01/37		715		859,822

SEE NOTES TO FINANCIAL STATEMENTS.

A74


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)		Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Railroads (continued)
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1			5.590%	05/17/25	$	525	$	606,454
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1			7.800%	05/15/27		18		25,474

									2,346,213

Real Estate Investment Trusts — 0.2%
Brandywine Operating Partnership LP, Gtd. Notes	Baa3			5.750%	04/01/12		361		363,300
HCP, Inc., Sr. Unsec’d. Notes(a)	Baa2			2.700%	02/01/14		750		748,910
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2			7.750%	08/15/19		765		911,597
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3			5.450%	06/01/12		435		440,476
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3			6.300%	06/01/13		660		689,784
ProLogis LP, Gtd. Notes	Baa2			6.875%	03/15/20		72		79,943
Simon Property Group LP, Sr. Unsec’d. Notes	A3			2.800%	01/30/17		690		704,788
Simon Property Group LP, Sr. Unsec’d. Notes	A3			6.125%	05/30/18		2,800		3,214,414

		��							7,153,212

Retailers — 0.2%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2			6.125%	09/15/39		515		626,695
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3			6.500%	03/15/29		385		473,120
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1			5.350%	03/15/12		390		392,674
Macy’s Retail Holdings, Inc., Gtd. Notes	Ba1			5.875%	01/15/13		2,000		2,059,098
Nordstrom, Inc., Sr. Unsec’d. Notes	Baa1			4.000%	10/15/21		260		271,033
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(a)	Aa2			5.625%	04/15/41		720		930,529

									4,753,149

Technology — 0.2%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3			3.375%	11/01/15		400		400,515
Fiserv, Inc., Gtd. Notes	Baa2			3.125%	06/15/16		340		346,186
Intuit, Inc., Sr. Unsec’d. Notes	Baa1			5.400%	03/15/12		600		605,070
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3			10.000%	05/01/14		1,500		1,696,875
Xerox Corp., Sr. Unsec’d. Notes	Baa2			4.250%	02/15/15		2,720		2,866,869

									5,915,515

Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes	A2			6.125%	03/30/40		590		701,485
AT&T Corp., Gtd. Notes	A2			8.000%	11/15/31		7		9,888
AT&T Mobility LLC, Sr. Unsec’d. Notes	A-(d)			7.125%	12/15/31		405		524,132
AT&T, Inc., Sr. Unsec’d. Notes(a)	A2			5.550%	08/15/41		1,070		1,259,836
AT&T, Inc., Sr. Unsec’d. Notes	A2			6.550%	02/15/39		1,720		2,187,907
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2			9.625%	12/15/30		400		563,720
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(e)(g)	Baa3			7.082%	06/01/16		325		352,282
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,626,279; purchased 05/12/06-04/10/07)(e)(g)	Baa3			7.995%	06/01/36		1,600		1,657,901
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2			5.250%	11/15/13		320		307,387
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2			7.175%	06/18/19		445		417,013
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2			7.200%	07/18/36		1,030		850,726
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1			5.877%	07/15/19		390		385,425
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1			7.045%	06/20/36		210		204,765
United States Cellular Corp., Sr. Unsec’d. Notes	Baa2			6.700%	12/15/33		275		276,119
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)	A3			6.100%	04/15/18		3,165		3,802,320
Windstream Corp., Gtd. Notes	Ba3			8.125%	08/01/13		1,000		1,070,000

									14,570,906

Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes	Baa1			4.750%	05/05/21		1,000		1,101,038
Altria Group, Inc., Gtd. Notes	Baa1			9.700%	11/10/18		1,215		1,634,677
Altria Group, Inc., Gtd. Notes	Baa1			9.950%	11/10/38		140		212,937

SEE NOTES TO FINANCIAL STATEMENTS.

A75


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Tobacco (continued)
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39	$	790	$	1,229,335
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		465		470,340
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		325		387,139
Reynolds American, Inc., Gtd. Notes	Baa3		7.250%	06/15/37		320		371,190

								5,406,656

TOTAL CORPORATE BONDS (cost $257,958,889)								271,807,189

MORTGAGE-BACKED SECURITIES — 10.4%
Federal Home Loan Mortgage Corp.(c)			2.386%	06/01/36		1,021		1,066,690
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		2,500		2,580,469
Federal Home Loan Mortgage Corp.			3.500%	TBA 15 YR		1,000		1,042,344
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		7,833		8,257,566
Federal Home Loan Mortgage Corp.			4.000%	TBA 30 YR		3,000		3,146,250
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		31,978		33,918,768
Federal Home Loan Mortgage Corp.			4.500%	TBA 30 YR		2,000		2,119,062
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-05/01/34		4,807		5,197,561
Federal Home Loan Mortgage Corp.			5.000%	TBA 30 YR		11,000		11,819,843
Federal Home Loan Mortgage Corp.(c)			5.227%	12/01/35		1,231		1,311,659
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-05/01/38		5,832		6,353,906
Federal Home Loan Mortgage Corp.			5.500%	TBA 30 YR		12,000		13,020,000
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-12/01/33		1,427		1,591,577
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		5,500		6,039,688
Federal Home Loan Mortgage Corp.			6.500%	12/01/14		81		84,167
Federal Home Loan Mortgage Corp.			7.000%	01/01/31-10/01/32		692		795,704
Federal National Mortgage Association(c)			2.016%	07/01/33		507		530,434
Federal National Mortgage Association			3.000%	TBA 15 YR		3,000		3,097,969
Federal National Mortgage Association			3.000%	TBA 15 YR		500		514,766
Federal National Mortgage Association			3.500%	06/01/39		2,352		2,421,518
Federal National Mortgage Association			3.500%	TBA 15 YR		8,000		8,365,000
Federal National Mortgage Association			4.000%	TBA 30 YR		5,000		5,252,344
Federal National Mortgage Association			4.000%	TBA 30 YR		4,500		4,715,156
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		25,602		27,425,561
Federal National Mortgage Association			5.000%	10/01/18-02/01/36		15,142		16,378,122
Federal National Mortgage Association			5.000%	TBA 30 YR		4,500		4,851,562
Federal National Mortgage Association			5.500%	03/01/16-08/01/37		20,732		22,699,491
Federal National Mortgage Association(c)			5.581%	06/01/37		394		420,607
Federal National Mortgage Association			6.000%	04/01/13-05/01/38		16,612		18,421,389
Federal National Mortgage Association			6.000%	TBA 30 YR		2,000		2,202,188
Federal National Mortgage Association			6.500%	07/01/17-09/01/37		6,396		7,209,387
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		440		512,070
Federal National Mortgage Association			7.500%	06/01/12-05/01/32		139		166,305
Government National Mortgage Association			3.500%	TBA 30 YR		5,500		5,724,297
Government National Mortgage Association			4.000%	05/20/41		1,904		2,039,756
Government National Mortgage Association			4.000%	TBA 30 YR		22,000		23,598,436
Government National Mortgage Association			4.000%	TBA 30 YR		4,500		4,812,890
Government National Mortgage Association			4.500%	01/20/41		3,743		4,090,126
Government National Mortgage Association			4.500%	TBA 30 YR		19,500		21,191,014
Government National Mortgage Association			4.500%	TBA 30 YR		2,000		2,179,062
Government National Mortgage Association			5.000%	TBA 30 YR		7,000		7,739,374
Government National Mortgage Association			5.000%	TBA 30 YR		5,500		6,092,970
Government National Mortgage Association			5.500%	11/15/32-02/15/36		6,293		7,108,821
Government National Mortgage Association			6.000%	02/15/33-10/15/34		2,731		3,107,965
Government National Mortgage Association			6.500%	10/15/23-07/15/35		2,877		3,306,642
Government National Mortgage Association			8.000%	01/15/24-04/15/25		79		92,858

TOTAL MORTGAGE-BACKED SECURITIES (cost $303,254,736)								314,613,334

SEE NOTES TO FINANCIAL STATEMENTS.

A76


MUNICIPAL BONDS — 0.4%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49	$	1,325	$	1,721,692
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		1,030		1,259,618
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,000		1,199,720
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,070		1,526,109
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,130		1,329,377
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		455		521,862
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		300		339,075
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		445		544,480
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		550		625,251
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		680		883,605
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		1,270		1,513,142
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		475		568,428
State of California, General Obligation Unlimited, BABs	A1		7.550%	04/01/39		245		299,821
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		215		265,961
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		335		389,990

TOTAL MUNICIPAL BONDS (cost $10,685,018)								12,988,131

NON-CORPORATE FOREIGN AGENCIES — 0.5%
Commonwealth Bank of Australia (Australia), Gov’t. Gtd., 144A	Aaa		2.700%	11/25/14		7,435		7,724,772
Export Development Canada (Canada), Sr. Unsec’d. Notes	Aaa		1.250%	10/26/16		1,830		1,850,741
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		4.000%	01/29/21		515		496,988
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		5.125%	06/29/20		400		418,821
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		1,000		1,078,720
Kreditanstalt Fuer Wiederaufbau (Germany), Gov’t. Gtd. Notes	Aaa		2.375%	08/25/21		880		878,882
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		439,250
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,190		2,187,262

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $14,656,348)								15,075,436

NON-CORPORATE SOVEREIGN
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		315		345,713
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		6.400%	01/20/40		215		252,625

TOTAL NON-CORPORATE SOVEREIGN (cost $565,133)								598,338

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3%
Federal Home Loan Banks			5.500%	07/15/36		1,080		1,400,876
Federal Home Loan Mortgage Corp.(a)			5.125%	11/17/17		630		758,578
Federal National Mortgage Association(a)			1.375%	11/15/16		1,970		1,987,399
Resolution Funding Corp. Interest Strip, Bonds(i)			1.620%	04/15/18		2,615		2,369,530
Western Corporate Federal Credit Union, Gtd. Notes.			1.750%	11/02/12		2,610		2,642,690

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $8,515,166)								9,159,073

U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.6%
U.S. Treasury Bonds			3.125%	11/15/41		505		529,066
U.S. Treasury Bonds(a)			3.750%	08/15/41		1,920		2,258,100
U.S. Treasury Bonds(j)			4.250%	11/15/40		570		726,928
U.S. Treasury Bonds			4.375%	05/15/40		1,260		1,636,818
U.S. Treasury Bonds			4.375%	05/15/41		3,320		4,325,857

SEE NOTES TO FINANCIAL STATEMENTS.

A77


U.S. GOVERNMENT TREASURY OBLIGATIONS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)

U.S. Treasury Bonds		4.750%		02/15/41	$	10,465	$	14,422,078
U.S. Treasury Bonds		6.500%		11/15/26		1,670		2,533,704
U.S. Treasury Inflation Indexed Bonds		1.375%		01/15/20		5,822		6,629,323
U.S. Treasury Notes		0.125%		08/31/13		610		608,928
U.S. Treasury Notes(a)		0.250%		12/15/14		4,930		4,913,825
U.S. Treasury Notes		1.875%		09/30/17		6,760		7,067,898
U.S. Treasury Notes		1.875%		10/31/17		6,975		7,292,690
U.S. Treasury Notes(a)		2.000%		11/15/21		5,345		5,405,965
U.S. Treasury Notes		2.250%		11/30/17		11,795		12,583,791
U.S. Treasury Notes		2.750%		02/15/19		7,385		8,088,303
U.S. Treasury Notes		3.000%		09/30/16		6,525		7,193,304
U.S. Treasury Notes		3.250%		12/31/16		4,730		5,281,338
U.S. Treasury Notes		3.250%		03/31/17		7,685		8,604,802
U.S. Treasury Notes		3.500%		02/15/18		6,500		7,410,507
U.S. Treasury Notes		4.250%		11/15/17		7,015		8,285,922
U.S. Treasury Notes		4.625%		11/15/16		7,655		9,040,080
U.S. Treasury Notes		4.750%		08/15/17		2,525		3,040,257
U.S. Treasury Strips Coupon(k)		1.570%		08/15/19		7,740		6,870,024
U.S. Treasury Strips Coupon(k)		2.480%		05/15/24		18,495		13,640,617
U.S. Treasury Strips Coupon(k)		2.510%		08/15/24		6,520		4,756,614
U.S. Treasury Strips Coupon(k)		2.520%		11/15/24		4,590		3,317,611
U.S. Treasury Strips Coupon(k)		2.550%		02/15/25		4,500		3,219,574
U.S. Treasury Strips Coupon(k)		2.610%		08/15/25		1,055		739,850
U.S. Treasury Strips Coupon(k)		2.740%		11/15/23		10,490		7,889,644
U.S. Treasury Strips Coupon(k)		2.780%		02/15/24		10,000		7,448,860
U.S. Treasury Strips Coupon(k)		3.040%		05/15/25		5,000		3,539,575
U.S. Treasury Strips Coupon(k)		3.380%		05/15/27		2,280		1,493,747
U.S. Treasury Strips Coupon(k)		3.450%		11/15/27		9,450		6,073,713
U.S. Treasury Strips Coupon(k)		4.130%		08/15/33		10,730		5,628,175
U.S. Treasury Strips Principal(i)		0.390%		11/15/14		7,500		7,416,405

TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $186,201,487)								199,913,893

TOTAL LONG-TERM INVESTMENTS (cost $2,687,023,698)								2,966,972,704

SHORT-TERM INVESTMENTS — 10.6%
U.S. GOVERNMENT TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill(l) (cost $1,599,801)		0.025%		06/28/12		1,600		1,599,528


					Shares
AFFILIATED MUTUAL FUNDS — 10.5%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $144,213,940)(m)						14,599,845		129,354,630
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $190,849,047; includes $121,894,849 of cash collateral received for securities on loan)(m)(n)						190,849,047		190,849,047

TOTAL AFFILIATED MUTUAL FUNDS (cost $335,062,987)								320,203,677

TOTAL SHORT-TERM INVESTMENTS (cost $336,662,788)								321,803,205

TOTAL INVESTMENTS — 108.3% (cost $3,023,686,486)								3,288,775,909
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (8.3)%								(251,974,519	)

NET ASSETS — 100.0%							$	3,036,801,390

SEE NOTES TO FINANCIAL STATEMENTS.

A78

The following abbreviations are used in portfolio descriptions:


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.
ABS		Asset-Backed Security
BABs		Build America Bonds
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
I/O		Interest Only
LIBOR		London Interbank Offered Rate
MTN		Medium Term Note
NR		Not Rated by Moody’s or Standard & Poor’s
TBA		To Be Announced

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

†	The ratings reflected are as of December 31, 2011. Ratings of certain bonds may have changed subsequent to that date.

*	Non-income producing security.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $119,082,965; cash collateral of $121,894,849 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Stapled Security — A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2011.

(d)	Standard & Poor’s Rating.

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

(f)	Represents issuer in default on interest payments and/or principal repayment; non-income producing security.

(g)	Indicates a restricted security; the aggregate original cost of such securities is $5,084,852. The aggregate value of $5,558,845 is approximately 0.2% of net assets.

(h)	Represents security, or a portion thereof, segregated as collateral for futures contracts.

(i)	Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(j)	Represents security, or a portion thereof, segregated as collateral for swap agreements.

(k)	Rate shown reflects the effective yield at December 31, 2011.

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

(m)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

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

(o)	Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Long Positions:
304	2 Year U.S. Treasury Notes		Mar. 2012	$	67,056,311	$	67,046,250	$	(10,061	)
205	5 Year U.S. Treasury Notes		Mar. 2012		25,173,100		25,267,851		94,751
1	U.S. Ultra Bond		Mar. 2012		160,157		160,187		30
269	S&P 500 E-mini		Mar. 2012		16,532,659		16,847,470		314,811

									399,531

Short Positions:
116	10 Year U.S. Treasury Notes		Mar. 2012		15,172,201		15,210,500		(38,299	)
262	U.S. Long Bond		Mar. 2012		37,578,489		37,940,875		(362,386	)

									(400,685	)

								$	(1,154	)

SEE NOTES TO FINANCIAL STATEMENTS.

A79

Interest rate swap agreements outstanding at December 31, 2011:


Counterparty	Termination Date		Notional Amount (000)#		Fixed Rate		Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-Counter Swap Agreements:
Morgan Stanley Capital Services		11/01/14	$	3,285		0.784%	3 month LIBOR(2)	$	(556	)	$	—	$	(556	)
Barclays Bank PLC		05/31/16		6,455		1.175%	3 month LIBOR(1)		13,112			—		13,112
Barclays Bank PLC		05/31/16		6,455		1.180%	3 month LIBOR(1)		14,267			—		14,267
Barclays Bank PLC		05/31/16		1,605		1.220%	3 month LIBOR(1)		6,197			—		6,197
Deutsche Bank AG		09/14/16		3,300		1.206%	3 month LIBOR(2)		(18,061	)		—		(18,061	)
Citibank, NA		07/20/21		6,335		3.035%	3 month LIBOR(1)		671,380			—		671,380
Citibank, NA		11/23/21		5,570		2.148%	3 month LIBOR(2)		(73,191	)		—		(73,191	)

								$	613,148		$	—	$	613,148

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

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

#	Notional amount is shown in U.S. dollars unless otherwise stated.

Credit default swap agreements outstanding at December 31, 2011:


Counterparty	Termination Date		Notional Amount (000)#(2)		Fixed Rate		Reference Entity/Obligation	Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Over-the-Counter Credit Default Swaps—Buy Protection(1):
JPMorgan Chase Bank		06/20/14	$	1,150		0.650%	Bunge Ltd. Finance Corp.	$	21,321		$	—		$	21,321
Deutsche Bank AG		03/20/12		2,000		5.000%	Gannett Co., Inc.		(21,836	)		(6,671	)		(15,165	)
Morgan Stanley Capital Services, Inc.		03/20/12		500		5.000%	Gannett Co., Inc.		(5,459	)		(1,720	)		(3,739	)
Deutsche Bank AG		12/20/12		2,000		1.000%	Macy’s Retail Holdings, Inc.		(11,444	)		23,182			(34,626	)
Morgan Stanley Capital Services, Inc.		06/20/18		1,700		1.000%	Newell Rubbermaid, Inc.		52,330			—			52,330
Morgan Stanley Capital Services, Inc.		06/20/18		2,800		0.970%	Simon Property Group L.P.		81,118			—			81,118
Deutsche Bank AG		06/20/18		2,200		1.150%	Spectra Energy Capital LLC		48,011			—			48,011
Merrill Lynch Capital Services, Inc.		06/20/18		500		1.130%	Spectra Energy Capital LLC		11,508			—			11,508
Deutsche Bank AG		03/20/14		1,645		7.050%	Starwood Hotels & Resorts Worldwide		(215,434	)		—			(215,434	)
Merrill Lynch Capital Services, Inc.		06/20/18		2,800		1.450%	Starwood Hotels & Resorts Worldwide, Inc.		70,865			—			70,865

								$	30,980		$	14,791		$	16,189

(1)

(2)	Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

#	Notional amount is shown in U.S. dollars unless otherwise stated.

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—

quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—

other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—

significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A80

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	1,967,689,117		$	—	$	—
Exchange Traded Fund		529,971
Preferred Stocks		1,616,162			—		—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—			23,072,946		475,000
Residential Mortgage-Backed Securities		—			7,250,187		—
Bank Loans		—			5,603,672		—
Collateralized Mortgage Obligations		—			7,246,148		—
Commercial Mortgage-Backed Securities		—			129,334,107		—
Corporate Bonds		—			271,807,189		—
Mortgage-Backed Securities		—			314,613,334		—
Municipal Bonds		—			12,988,131		—
Non-Corporate Foreign Agencies		—			15,075,436		—
Non-Corporate Sovereign		—			598,338		—
U.S. Government Agency Obligations		—			9,159,073		—
U.S. Government Treasury Obligations		—			201,513,421		—
Affiliated Mutual Funds		320,203,677			—		—
Other Financial Instruments*
Futures Contracts		(1,154	)		—		—
Interest Rate Swap Agreements		—			613,148		—
Credit Default Swap Agreements		—			16,189		—

Total	$	2,290,037,773		$	998,891,319	$	475,000

*	Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:


Affiliated Mutual Funds (including 4.0% of collateral received for securities on loan)	10.5	%
Mortgage-Backed Securities	10.4
Oil, Gas & Consumable Fuels	7.2
U.S. Government Treasury Obligations	6.7
Commercial Mortgage-Backed Securities	4.3
Pharmaceuticals	3.6
Computers & Peripherals	3.2
Banking	2.9
Software	2.7
Insurance	2.6
IT Services	2.5
Commercial Banks	2.3
Diversified Telecommunication Services	2.1
Food & Staples Retailing	1.9
Communications Equipment	1.8
Machinery	1.8
Media	1.8
Beverages	1.7
Diversified Financial Services	1.6
Healthcare Providers & Services	1.6
Aerospace & Defense	1.5
Specialty Retail	1.5
Capital Markets	1.4
Food Products	1.4
Healthcare Equipment & Supplies	1.3
Chemicals	1.2
Industrial Conglomerates	1.2


Biotechnology	1.1	%
Road & Rail	1.1
Semiconductors & Semiconductor Equipment	1.1
Energy Equipment & Services	1.0
Household Products	1.0
Metals & Mining	1.0
Tobacco	1.0
Electric Utilities	0.9
Internet Software & Services	0.9
Hotels, Restaurants & Leisure	0.8
Non-Residential Mortgage-Backed Securities	0.8
Real Estate Investment Trusts	0.8
Automobiles	0.6
Electric	0.6
Electrical Equipment	0.6
Multi-Utilities	0.6
Life Sciences Tools & Services	0.5
Non-Corporate Foreign Agencies	0.5
Telecommunications	0.5
Textiles, Apparel & Luxury Goods	0.5
Air Freight & Logistics	0.4
Electronic Equipment, Instruments & Components	0.4
Foods	0.4
Independent Power Producers & Energy Traders	0.4
Municipal Bonds	0.4
Non-Captive Finance	0.4
Consumer Finance	0.3
Distributors	0.3
Energy – Other	0.3

SEE NOTES TO FINANCIAL STATEMENTS.

A81


Healthcare & Pharmaceutical	0.3	%
Healthcare Insurance	0.3
Household Durables	0.3
Media & Entertainment	0.3
Multiline Retail	0.3
Personal Products	0.3
Technology	0.3
U.S. Government Agency Obligations	0.3
Airlines	0.2
Auto Components	0.2
Cable	0.2
Collateralized Mortgage Obligations	0.2
Containers & Packaging	0.2
Internet & Catalog Retail	0.2
Leisure Equipment & Products	0.2
Lodging	0.2
Metals	0.2
Office Electronics	0.2
Pipelines & Other	0.2


Residential Mortgage-Backed Securities	0.2	%
Retailers	0.2
Water Utilities	0.2
Building Products	0.1
Capital Goods	0.1
Construction & Engineering	0.1
Consumer	0.1
Diversified Consumer Services	0.1
Energy – Integrated	0.1
Paper	0.1
Professional Services	0.1
Railroads	0.1
Real Estate Management & Development	0.1
Trading Companies & Distributors	0.1
Wireless Telecommunication Services	0.1

	108.3
Liabilities in excess of other assets	(8.3	)

	100.0	%

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:


Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premium paid for swap agreements	$	23,182		Premium received for swap agreements	$	8,391
Credit contracts	Unrealized appreciation on swap agreements		285,153		Unrealized depreciation on swap agreements		268,964
Interest rate contracts	Unrealized appreciation on swap agreements		704,956		Unrealized depreciation on swap agreements		91,808
Equity contracts	Due to broker — variation margin		314,811	*	—		—
Interest rate contracts	Due to broker — variation margin		94,781	*	Due to broker — variation margin		410,746	*

Total		$	1,422,883			$	779,909

*	Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures		Swaps			Rights		Total
Credit contracts	$	—	$	(58,151	)	$	—	$	(58,151	)
Equity contracts		6,526,248		—			9,676		6,535,924
Interest rate contracts		1,170,844		840,476			—		2,011,320

Total	$	7,697,092	$	782,325		$	9,676	$	8,489,093



Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps		Total
Credit contracts	$	—		$	405,233	$	405,233
Equity contracts		(432,789	)		—		(432,789	)
Interest rate contracts		(2,341,562	)		613,148		(1,728,414	)

Total	$	(2,774,351	)	$	1,018,381	$	(1,755,970	)

SEE NOTES TO FINANCIAL STATEMENTS.

A82

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities is as follows:


Futures Long Position (Value at Trade Date)		Futures Short Position (Value at Trade Date)
$202,131,587		$86,517,452


Interest Rate Swaps (Notional Amount in USD (000))		Credit Default Swaps as Buyer (Notional Amount in USD (000))
$27,719		$23,702

SEE NOTES TO FINANCIAL STATEMENTS.

A83


		*FLEXIBLE MANAGED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011


ASSETS
Investments, at value including securities on loan of $119,082,965:
Unaffiliated investments (cost $2,688,623,499)	$	2,968,572,232
Affiliated investments (cost $335,062,987)		320,203,677
Cash		120,788
Foreign currency, at value (cost $93,163)		93,088
Receivable for investments sold		60,802,601
Dividends and interest receivable		9,374,757
Unrealized appreciation on swap agreements		990,109
Foreign tax reclaim receivable		25,606
Premium paid for swap agreements		23,182
Prepaid expenses		18,808
Receivable for Series shares sold		1,514

Total Assets		3,360,226,362

LIABILITIES
Payable for investments purchased		198,771,855
Collateral for securities on loan		121,894,849
Management fee payable		1,538,487
Payable for Series shares repurchased		372,874
Unrealized depreciation on swap agreements		360,772
Accrued expenses and other liabilities		342,491
Due to broker—variation margin		134,327
Premium received for swap agreements		8,391
Affiliated transfer agent fee payable		926

Total Liabilities		323,424,972

NET ASSETS	$	3,036,801,390

Net assets were comprised of:
Paid-in capital	$	2,925,314,753
Retained earnings		111,486,637

Net assets, December 31, 2011	$	3,036,801,390

Net asset value and redemption price per share, $3,036,801,390 / 189,970,031 outstanding shares of beneficial interest	$	15.99

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $115,211)	$	42,076,259
Interest		36,812,500
Affiliated dividend income		2,231,464
Affiliated income from securities loaned, net		177,258

		81,297,481

EXPENSES
Management fee		18,493,636
Custodian’s fees and expenses		410,000
Shareholders’ reports		290,000
Trustees’ fees		39,000
Insurance expenses		37,000
Audit fee		36,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		10,000
Miscellaneous		56,690

Total expenses		19,396,326

NET INVESTMENT INCOME		61,901,155

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions (including affiliated: $(2,057,740))		194,355,716
Futures transactions		7,697,092
Swap agreement transactions		782,325
Foreign currency transactions		27,065

		202,862,198

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $51,883)		(133,376,770	)
Futures		(2,774,351	)
Swap agreements		1,018,381
Foreign currencies		(48,734	)

		(135,181,474	)

NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES		67,680,724

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	129,581,879

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	61,901,155		$	60,267,161
Net realized gain on investment, swap agreement and foreign currency transactions		202,862,198			164,747,735
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies		(135,181,474	)		111,985,470

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		129,581,879			337,000,366

DISTRIBUTIONS		(60,257,696	)		(65,760,146	)

SERIES SHARE TRANSACTIONS:
Series shares sold [664,274 and 965,601 shares, respectively]		10,513,628			14,188,409
Series shares issued in reinvestment of distributions [3,811,366 and 4,680,438 shares, respectively]		60,257,696			65,760,146
Series shares repurchased [11,331,831 and 12,309,724 shares, respectively]		(180,636,555	)		(179,839,115	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(109,865,231	)		(99,890,560	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		(40,541,048	)		171,349,660
NET ASSETS:
Beginning of year		3,077,342,438			2,905,992,778

End of year	$	3,036,801,390		$	3,077,342,438

SEE NOTES TO FINANCIAL STATEMENTS.

A84


LONG-TERM INVESTMENTS — 97.1%
COMMON STOCKS — 96.8%	Shares		Value (Note 2)

Australia — 2.4%
Bendigo and Adelaide Bank Ltd.		103,400	$	849,231
BHP Billiton PLC		122,408		3,569,093
BlueScope Steel Ltd.		218,400		90,469
Caltex Australia Ltd.		34,900		420,138
Challenger Ltd.		204,700		864,685
Downer EDI Ltd.*		214,250		701,231
Goodman Fielder Ltd.		628,858		279,790
Metcash Ltd.		175,000		723,118
National Australia Bank Ltd.		62,400		1,490,896
OneSteel Ltd.		447,200		320,177
Pacific Brands Ltd.		460,600		259,105
Qantas Airways Ltd.*		419,500		626,433
Rio Tinto Ltd.		13,100		807,939
TABCORP Holdings Ltd.		99,800		278,666
Telstra Corp. Ltd.		282,900		963,534
Westpac Banking Corp.		55,600		1,137,352

				13,381,857

Austria — 0.3%
OMV AG		32,300		979,890
Voestalpine AG		14,500		406,672

				1,386,562

Belgium — 0.2%
AGFA-Gevaert NV*		86,100		137,065
Delhaize Group SA		18,200		1,022,418

				1,159,483

Brazil — 0.6%
Petroleo Brasileiro SA		267,200		3,294,786

Canada — 0.8%
Brookfield Asset Management, Inc. (Class A Stock)		93,105		2,558,525
Canadian Pacific Railway Ltd.		24,400		1,651,148
Lululemon Athletica, Inc.*(a)		11,244		524,645

				4,734,318

China — 1.2%
Baidu, Inc., ADR*		39,408		4,589,850
Industrial & Commercial Bank of China (Class H Stock)		2,469,000		1,465,518
Youku, Inc., ADR*(a)		39,903		625,280

				6,680,648

Denmark — 0.7%
H Lundbeck A/S		49,400		928,943
Novo Nordisk A/S (Class B Stock)		26,751		3,074,132

				4,003,075

Finland — 0.2%
Nokia OYJ		83,800		409,103
Tieto OYJ		56,200		800,104

				1,209,207

France — 5.0%
Arkema SA		18,857		1,334,987
AXA SA		47,100		612,334
BNP Paribas SA		117,864		4,629,745
CIE de Saint-Gobain		40,591		1,558,444


COMMON STOCKS
(continued)	Shares		Value (Note 2)

France (continued)
CIE Generale des Etablissements Michelin (Class B Stock)		24,312	$	1,437,197
CIE Generale d’Optique Essilor International SA		32,411		2,288,255
Ciments Francais SA		5,200		402,459
Credit Agricole SA		105,684		596,366
Dassault Systemes SA		26,596		2,131,742
France Telecom SA		31,800		499,441
Rallye SA		10,700		299,196
Renault SA		12,300		426,635
Sanofi		41,490		3,047,379
SCOR SE		22,000		514,230
Societe Generale		14,658		326,397
Thales SA		14,269		450,610
Total SA		43,500		2,223,840
Total SA, ADR(a)		52,400		2,678,164
Valeo SA		17,300		687,611
Vivendi SA		86,100		1,885,475

				28,030,507

Germany — 4.7%
Allianz SE		12,600		1,205,288
Aurubis AG		6,200		330,602
BASF SE		14,400		1,004,356
Bayer AG		80,535		5,149,070
Bayerische Motoren Werke AG		41,376		2,771,788
Brenntag AG		14,105		1,313,473
Daimler AG		16,000		702,414
Deutsche Bank AG		26,100		994,310
E.ON AG		26,300		567,425
Fresenius Medical Care AG & Co. KGaA		41,668		2,831,256
Hannover Rueckversicherung AG		11,800		585,304
Merck KGaA		13,600		1,355,863
Metro AG		21,300		777,402
Muenchener Rueckversicherungs AG		7,200		883,215
Rheinmetall AG		13,300		589,304
RWE AG		21,600		758,998
SAP AG		71,681		3,789,774
ThyssenKrupp AG		36,700		841,917

				26,451,759

Greece
Alpha Bank AE*		15,700		10,932

Hong Kong — 1.3%
Cathay Pacific Airways Ltd.		440,000		754,616
Chaoda Modern Agriculture Holdings Ltd.		966,070		1,244
First Pacific Co. Ltd.		1,227,000		1,276,512
Hutchison Port Holdings Trust (Class U Stock)		2,393,000		1,483,660
Jardine Cycle & Carriage Ltd.		47,000		1,743,680
Kingboard Chemical Holdings Ltd.		180,000		533,052
Li & Fung Ltd.		612,000		1,133,129
Singamas Container Holdings Ltd.		2,676,000		506,492

				7,432,385

SEE NOTES TO FINANCIAL STATEMENTS.

A85


COMMON STOCKS (continued)	Shares		Value (Note 2)

Indonesia — 0.3%
Bank Rakyat Indonesia Persero Tbk PT		2,555,000	$	1,901,985

Ireland — 0.6%
Accenture PLC (Class A Stock)		67,800		3,608,994
Allied Irish Banks PLC*		42,100		3,760
Bank of Ireland (Governor & Co.)*		83,300		8,840
Irish Life & Permanent Group Holdings PLC*		51,300		1,593

				3,623,187

Israel — 0.8%
Bank Hapoalim BM		176,900		576,515
Check Point Software Technologies Ltd.*(a)		59,054		3,102,697
Elbit Systems Ltd.		11,400		468,145
Teva Pharmaceutical Industries Ltd.		12,500		503,149

				4,650,506

Italy — 0.8%
Banco Popolare SC		38,200		49,440
Enel SpA		323,000		1,314,323
ENI SpA		88,000		1,823,439
Finmeccanica SpA		43,100		159,425
Fondiaria-Sai SpA*		19,900		15,968
Telecom Italia SpA		796,300		856,436

				4,219,031

Japan — 6.5%
Alpine Electronics, Inc.		22,700		244,489
Aoyama Trading Co. Ltd.		52,100		978,779
Circle K Sunkus Co. Ltd.		46,900		776,894
COMSYS Holdings Corp.		72,800		764,225
Daito Trust Construction Co. Ltd.		13,500		1,157,594
Fast Retailing Co. Ltd.		15,200		2,764,714
Fukuoka Financial Group, Inc.		158,000		663,038
Hitachi Capital Corp.		49,400		684,810
ITOCHU Corp.		87,400		887,967
Itochu Techno-Solutions Corp.		12,500		561,095
JX Holdings, Inc.		101,400		612,589
KDDI Corp.		230		1,479,148
Keihin Corp.		44,800		742,689
K’s Holdings Corp.		19,700		780,629
Kurabo Industries Ltd.		173,100		328,343
Kyowa Exeo Corp.		81,900		771,437
Marubeni Corp.		176,000		1,072,418
Mitsubishi Corp.		34,500		696,992
Mitsubishi UFJ Financial Group, Inc.		140,200		595,627
Mitsui & Co. Ltd.		56,300		875,550
Mizuho Financial Group, Inc.		801,800		1,083,373
Nichii Gakkan Co.		3,200		39,039
Nichirei Corp.		83,000		402,222
Nippon Electric Glass Co. Ltd.		54,000		534,598
Nippon Shokubai Co. Ltd.		68,000		730,622
Nippon Telegraph & Telephone Corp.		37,000		1,891,581
Nissan Shatai Co. Ltd.		90,000		874,627
NTT DoCoMo, Inc.		900		1,654,541
ORIX Corp.		30,420		2,513,592
Sankyu, Inc.		210,000		793,946
Seino Holdings Corp.		65,000		504,157


COMMON STOCKS (continued)	Shares		Value (Note 2)

Japan (continued)
Shimachu Co. Ltd.		30,700	$	703,982
Softbank Corp.		53,300		1,569,847
Sumitomo Corp.		126,900		1,717,939
Sumitomo Mitsui Financial Group, Inc.		59,300		1,651,802
Sumitomo Mitsui Trust Holdings, Inc.		64,070		188,123
Toagosei Co. Ltd.		147,000		603,508
Toyo Suisan Kaisha Ltd.		15,000		363,453
Toyota Tsusho Corp.		34,300		606,500
Yokohama Rubber Co. Ltd. (The)		100,000		561,258

				36,427,737

Liechtenstein
Verwaltungs-und Privat-Bank AG		2,578		227,802

Netherlands — 2.1%
Aegon NV*		56,800		227,965
ASM Pacific Technology Ltd.		203,700		2,285,743
ASML Holding NV		58,200		2,446,185
ING Groep NV CVA*		119,400		859,204
Koninklijke Ahold NV		85,400		1,150,051
Koninklijke DSM NV		20,400		946,535
Koninklijke KPN NV		82,600		988,335
Unilever NV CVA		86,345		2,969,244

				11,873,262

New Zealand
Air New Zealand Ltd.		737,900		516,942

Norway — 0.3%
DnB ASA		54,100		529,616
Statoil ASA		45,100		1,157,503

				1,687,119

Peru — 0.4%
Credicorp Ltd.		21,000		2,298,870

Portugal
Banco Espirito Santo SA		43,600		76,179

Singapore — 0.1%
CapitaMalls Asia Ltd.		378,000		329,317

South Africa — 0.2%
Truworths International Ltd.		147,200		1,346,628

South Korea — 0.9%
Samsung Electronics Co. Ltd.		5,276		4,845,493

Spain — 1.0%
Banco Bilbao Vizcaya Argentaria SA		60,800		525,651
Banco Espanol de Credito SA		79,800		384,721
Banco Santander Chile, ADR(a)		15,611		1,181,753
Banco Santander SA		186,100		1,413,845
Repsol YPF SA		57,200		1,757,124
Telefonica SA		25,100		434,820

				5,697,914

Sweden — 0.8%
Atlas Copco AB (Class A Stock)		112,841		2,426,670
Boliden AB		91,200		1,331,812
Electrolux AB (Class B Stock)		25,100		400,094
NCC AB (Class B Stock)		15,700		276,037

				4,434,613

SEE NOTES TO FINANCIAL STATEMENTS.

A86


COMMON STOCKS (continued)	Shares		Value (Note 2)

Switzerland — 4.5%
Baloise Holding AG		13,000	$	891,302
CIE Financiere Richemont SA		38,454		1,945,012
CIE Financiere Richemont SA, ADR		619,111		3,107,937
Clariant AG*		42,200		416,474
Credit Suisse Group AG*		36,700		862,311
Georg Fischer AG*		2,000		683,488
Glencore International PLC		395,914		2,410,211
Julius Baer Group Ltd.		56,849		2,223,605
Kuehne + Nagel International AG		10,762		1,208,763
Novartis AG		28,700		1,640,786
Partners Group Holding AG		11,595		2,023,231
Roche Holding AG		10,000		1,694,879
Sika AG		366		689,684
Swiss Re AG*		19,300		983,595
Syngenta AG		10,096		2,955,818
UBS AG*		32,000		380,879
Zurich Financial Services AG		6,700		1,515,756

				25,633,731

United Kingdom — 13.5%
AMEC PLC		122,127		1,721,180
AstraZeneca PLC		55,900		2,582,658
Aviva PLC		144,400		674,548
Babcock International Group PLC		159,884		1,826,231
BAE Systems PLC		256,400		1,135,229
Barclays PLC		332,700		909,614
Beazley PLC		286,700		597,960
Berendsen PLC		24,300		164,234
Berkeley Group Holdings PLC*		76,699		1,519,877
BG Group PLC		109,722		2,345,514
BP PLC		288,000		2,059,635
British American Tobacco PLC		77,341		3,669,950
British Sky Broadcasting Group PLC		157,176		1,787,977
BT Group PLC		602,100		1,785,018
Burberry Group PLC		93,972		1,729,358
Cable & Wireless Communications PLC		28,000		16,611
Centrica PLC		512,815		2,303,972
Compass Group PLC		346,240		3,285,387
Cookson Group PLC		104,200		823,671
Drax Group PLC		63,400		536,604
DS Smith PLC		199,700		614,061
GlaxoSmithKline PLC		48,600		1,110,618
Home Retail Group PLC		259,200		335,714
J Sainsbury PLC		204,700		962,909
Johnson Matthey PLC		85,034		2,424,562
Kesa Electricals PLC		365,500		382,006
Legal & General Group PLC		483,800		772,373
Logica PLC*		583,800		559,393
Marks & Spencer Group PLC		182,600		881,920
Marston’s PLC		339,130		483,215
Mondi PLC		105,500		745,473
Next PLC		48,519		2,062,314
Old Mutual PLC		411,400		865,708
Pearson PLC		157,307		2,955,980
Petrofac Ltd.		122,762		2,747,236
Premier Foods PLC*		1,525,600		137,653
Prudential PLC		394,113		3,907,957


COMMON STOCKS (continued)	Shares		Value (Note 2)

United Kingdom (continued)
Rexam PLC		125,100	$	685,415
Rolls-Royce Holdings PLC*		301,026		3,489,811
Royal Bank of Scotland Group PLC*		263,527		82,587
Royal Dutch Shell PLC (Class B Stock)		122,300		4,660,893
Royal Dutch Shell PLC, ADR(a)		32,950		2,408,316
RSA Insurance Group PLC		300,200		490,450
SSE PLC		136,003		2,726,734
Standard Chartered PLC		136,419		2,985,066
Thomas Cook Group PLC		164,000		37,567
Tullow Oil PLC		94,229		2,051,638
Vodafone Group PLC		411,600		1,143,546
WM Morrison Supermarkets PLC		320,700		1,624,617

				75,810,960

United States — 46.6%
3M Co.		31,600		2,582,668
Allergan, Inc.		27,613		2,422,765
Allstate Corp. (The)		50,800		1,392,428
AMC Networks, Inc. (Class A Stock)*		10,700		402,106
American Express Co.		38,650		1,823,121
Ameriprise Financial, Inc.		18,000		893,520
Amgen, Inc.		25,300		1,624,513
Apple, Inc.*		16,019		6,487,695
AT&T, Inc.		114,100		3,450,384
AutoZone, Inc.*		1,860		604,444
Avon Products, Inc.		59,300		1,035,971
Baker Hughes, Inc.		38,100		1,853,184
Bank of America Corp.		273,400		1,520,104
Beam, Inc.		13,650		699,290
Biogen Idec, Inc.*		35,717		3,930,656
Boeing Co. (The)		12,450		913,207
Bristol-Myers Squibb Co.		73,598		2,593,593
Cablevision Systems Corp. (Class A Stock)		37,900		538,938
Chevron Corp.		48,300		5,139,120
Cisco Systems, Inc.		94,800		1,713,984
Coach, Inc.		46,789		2,856,001
Cognizant Technology Solutions Corp. (Class A Stock)*		3,611		232,223
Comcast Corp. (Class A Stock)		46,600		1,104,886
Continental Resources, Inc.*(a)		8,794		586,648
Covidien PLC		36,600		1,647,366
Cummins, Inc.		28,191		2,481,372
Danaher Corp.		59,910		2,818,166
Deckers Outdoor Corp.*		7,179		542,517
Dell, Inc.*		73,400		1,073,842
Dollar Tree, Inc.*		9,623		799,768
Dow Chemical Co. (The)		63,599		1,829,107
Eaton Corp.		57,110		2,485,998
Entergy Corp.		27,650		2,019,833
EQT Corp.		10,550		578,034
Estee Lauder Cos., Inc. (The) (Class A Stock)		33,011		3,707,796
Exelon Corp.		57,600		2,498,112
Exxon Mobil Corp.		51,300		4,348,188
Fifth Third Bancorp		91,800		1,167,696
General Electric Co.		161,100		2,885,301

SEE NOTES TO FINANCIAL STATEMENTS.

A87


COMMON STOCKS (continued)	Shares		Value (Note 2)

United States (continued)
General Motors Co.*(a)		78,100	$	1,583,087
Goldman Sachs Group, Inc. (The)		6,450		583,273
Google, Inc. (Class A Stock)*		6,701		4,328,176
H&R Block, Inc.		69,000		1,126,770
Halliburton Co.		125,322		4,324,862
Hewlett-Packard Co.		26,500		682,640
Home Depot, Inc. (The)		61,800		2,598,072
Honeywell International, Inc.		23,900		1,298,965
Illinois Tool Works, Inc.		46,400		2,167,344
Ingersoll-Rand PLC(a)		24,600		749,562
International Business Machines Corp.		14,125		2,597,305
International Paper Co.		67,800		2,006,880
Johnson & Johnson		43,150		2,829,777
JPMorgan Chase & Co.		109,100		3,627,575
Kellogg Co.(a)		25,700		1,299,649
KeyCorp		151,700		1,166,573
Kimberly-Clark Corp.		13,400		985,704
Kohl’s Corp.		27,400		1,352,190
Liberty Media Corp.—Liberty Starz, Ser. A (Class A Stock)*		7,358		574,292
Lockheed Martin Corp.(a)		9,200		744,280
Lowe’s Cos., Inc.(a)		74,800		1,898,424
Madison Square Garden, Inc. (Class A Stock)*		13,500		386,640
Marsh & McLennan Cos., Inc.		82,500		2,608,650
McDonald’s Corp.		49,352		4,951,486
Mead Johnson Nutrition Co.		65,807		4,522,915
Merck & Co., Inc.		91,800		3,460,860
MetLife, Inc.		22,600		704,668
Microsoft Corp.		132,500		3,439,700
Monsanto Co.		61,925		4,339,085
Morgan Stanley		141,100		2,134,843
Murphy Oil Corp.		38,650		2,154,351
National Oilwell Varco, Inc.		47,352		3,219,463
Newfield Exploration Co.*		25,800		973,434
NIKE, Inc. (Class B Stock)		50,954		4,910,437
NiSource, Inc.		26,900		640,489
NRG Energy, Inc.*		76,700		1,389,804
Nucor Corp.		18,200		720,174
Occidental Petroleum Corp.		49,179		4,608,072
O’Reilly Automotive, Inc.*		31,316		2,503,714
PepsiCo, Inc.		18,550		1,230,792
Pfizer, Inc.		183,400		3,968,776
PPG Industries, Inc.		18,971		1,583,889
Praxair, Inc.		47,158		5,041,190
Precision Castparts Corp.		21,628		3,564,078
priceline.com, Inc.*		10,046		4,698,614
Procter & Gamble Co. (The)		26,750		1,784,492
QUALCOMM, Inc.		54,720		2,993,184
Raytheon Co.		26,550		1,284,489
Rockwell Automation, Inc.(a)		20,547		1,507,533
Schlumberger Ltd.		9,450		645,530
SLM Corp.		75,600		1,013,040
Sotheby’s		8,730		249,067
Southwest Airlines Co.		226,500		1,938,840
Spectra Energy Corp.		82,200		2,527,650


COMMON STOCKS (continued)	Shares		Value (Note 2)

United States (continued)
Sprint Nextel Corp.*		263,500	$	616,590
St Joe Co. (The)*(a)		45,500		667,030
Starbucks Corp.		118,344		5,445,007
State Street Corp.		33,300		1,342,323
TE Connectivity Ltd.		34,500		1,062,945
Thermo Fisher Scientific, Inc.*		28,450		1,279,396
Tiffany & Co.		12,342		817,781
Time Warner, Inc.(a)		219,686		7,939,452
Time Warner Cable, Inc.		34,950		2,221,772
TJX Cos., Inc.		112,242		7,245,221
U.S. Bancorp		173,888		4,703,670
Union Pacific Corp.		70,701		7,490,064
United States Steel Corp.(a)		14,700		388,962
Visa, Inc. (Class A Stock)		46,501		4,721,247
Vulcan Materials Co.(a)		40,000		1,574,000
Wal-Mart Stores, Inc.		27,700		1,655,352
Wells Fargo & Co.		108,896		3,001,174
Western Union Co. (The)		96,100		1,754,786
Weyerhaeuser Co.		100,700		1,880,069
Wynn Resorts Ltd.		39,849		4,402,916
Yum! Brands, Inc.		82,484		4,867,381

				262,587,032

TOTAL COMMON STOCKS (cost $539,731,617)				545,963,827

PREFERRED STOCK — 0.3%
United States
Wells Fargo & Co. (cost $1,510,954)		63,000		1,791,090

TOTAL LONG-TERM INVESTMENTS (cost $541,242,571)				547,754,917

SHORT-TERM INVESTMENTS — 8.1%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $45,663,701; includes $27,538,119 of cash collateral received for securities on loan) (Note 4)(b)(c)		45,663,701		45,663,701


	Principal Amount (000)
U.S. Government Obligation
U.S. Treasury Bill, 0.077%, 08/23/12 (cost $149,925)(d)	$	150		149,932

TOTAL SHORT-TERM INVESTMENTS (cost $45,813,626)				45,813,633

TOTAL INVESTMENTS — 105.2% (cost $587,056,197)				593,568,550
LIABILITIES IN EXCESS OF OTHER ASSETS(e) — (5.2)%				(29,390,127	)

NET ASSETS — 100.0%			$	564,178,423

SEE NOTES TO FINANCIAL STATEMENTS.

A88

The following abbreviations are used in portfolio descriptions:


ADR		American Depositary Receipt
CVA		Certificate Van Aandelen (Bearer)
JPY		Japanese Yen

*	Non-income producing security.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $26,693,249; cash collateral of $27,538,119 (included in 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)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.

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

(e)	Includes net unrealized appreciation (depreciation) on the following derivative contracts held at the reporting period end:

Forward foreign currency contracts outstanding at December 31, 2011:


Purchase Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date Payable		Value at December 31, 2011		Unrealized Appreciation
Japanese Yen expiring 03/22/12		Bank of New York		JPY	41,808	$	543,759	$	544,008	$	249
Japanese Yen expiring 03/22/12		Bank of New York		JPY	37,662		482,784		490,060		7,276

						$	1,026,543	$	1,034,068	$	7,525


Sale Contract	Counterparty		Notional Amount (000)			Value at Settlement Date Receivable		Value at December 31, 2011		Unrealized Depreciation
Japanese Yen expiring 03/22/12		Bank of New York		JPY	310,463	$	3,998,802	$	4,039,763	$	(40,961	)

										$	(33,436	)

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—quoted

prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—other

significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—significant

unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	13,381,857	$	—	$	—
Austria		1,386,562		—		—
Belgium		1,159,483		—		—
Brazil		3,294,786		—		—
Canada		4,734,318		—		—
China		6,680,648		—		—
Denmark		4,003,075		—		—
Finland		1,209,207		—		—
France		28,030,507		—		—
Germany		26,451,759		—		—
Greece		10,932		—		—
Hong Kong		7,431,141		—		1,244
Indonesia		1,901,985		—		—
Ireland		3,623,187		—		—
Israel		4,650,506		—		—
Italy		4,219,031		—		—
Japan		36,427,737		—		—
Liechtenstein		227,802		—		—
Netherlands		11,873,262		—		—
New Zealand		516,942		—		—
Norway		1,687,119		—		—
Peru		2,298,870		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A89


	Level 1		Level 2			Level 3
Portugal	$	76,179	$	—		$	—
Singapore		329,317		—			—
South Africa		1,346,628		—			—
South Korea		4,845,493		—			—
Spain		5,697,914		—			—
Sweden		4,434,613		—			—
Switzerland		25,633,731		—			—
United Kingdom		75,810,960		—			—
United States		262,587,032		—			—
Preferred Stock
United States		1,791,090		—			—
U.S. Government Obligation		—		149,932			—
Affiliated Money Market Mutual Fund		45,663,701		—			—

Other Financial Instruments*
Forward Foreign Currency Contracts		—		(33,436	)		—

Total	$	593,417,374	$	116,496		$	1,244

*	Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:


Oil, Gas & Consumable Fuels	8.7	%
Affiliated Money Market Mutual Fund (including 4.9% of collateral received for securities on loan)	8.1
Commercial Banks	7.0
Pharmaceuticals	6.4
Chemicals	4.2
Hotels, Restaurants & Leisure	4.2
Specialty Retail	4.0
Insurance	3.4
Media	3.2
Textiles, Apparel & Luxury Goods	2.8
Energy Equipment & Services	2.6
IT Services	2.6
Aerospace & Defense	2.4
Diversified Telecommunication	2.3
Software	2.2
Capital Markets	2.1
Machinery	2.0
Metals & Mining	2.0
Diversified Financial Services	1.9
Road & Rail	1.9
Food Products	1.8
Industrial Conglomerates	1.7
Internet Software & Services	1.7
Semiconductors & Semiconductor Equipment	1.7
Electric Utilities	1.6
Food & Staples Retailing	1.6
Computers & Peripherals	1.5
Trading Companies & Distributors	1.3
Wireless Telecommunication Services	1.1
Automobiles	1.0
Biotechnology	1.0
Communications Equipment	0.9


Internet & Catalog Retail	0.9	%
Multiline Retail	0.9
Auto Components	0.8
Personal Products	0.8
Real Estate Management & Development	0.8
Airlines	0.7
Healthcare Equipment & Supplies	0.7
Multi-Utilities	0.7
Tobacco	0.7
Consumer Finance	0.6
Distributors	0.6
Commercial Services & Supplies	0.5
Healthcare Providers & Services	0.5
Household Products	0.5
Paper & Forest Products	0.5
Construction Materials	0.4
Electronic Equipment & Instruments	0.4
Household Durables	0.4
Beverages	0.3
Building Products	0.3
Construction & Engineering	0.3
Electrical Equipment	0.3
Independent Power Producers & Energy Traders	0.3
Real Estate Investment Trusts	0.3
Transportation Infrastructure	0.3
Containers & Packaging	0.2
Diversified Consumer Services	0.2
Life Sciences Tools & Services	0.2
Marine	0.2

	105.2
Liabilities in excess of other assets	(5.2	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A90

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Foreign exchange contracts

Unrealized appreciation on forward foreign currency exchange contracts

7,525

Unrealized depreciation on forward foreign currency exchange contracts

40,961

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights			Forward Currency Contracts			Futures			Total
Equity contracts	$	(270,750	)	$	—		$	(41,519	)	$	(312,269	)
Foreign exchange contracts		—			(854,350	)		—			(854,350	)

Total	$	(270,750	)	$	(854,350	)	$	(41,519	)	$	(1,166,619	)



Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Forward Currency Contracts
Foreign exchange contracts	$	(33,436	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities are as follows:


Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)	Futures Long Position (Value at Trade Date)
$2,525,966	$19,949,102	$1,655,359

SEE NOTES TO FINANCIAL STATEMENTS.

A91


		*GLOBAL PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011


ASSETS
Investments, at value including securities on loan of $26,693,249:
Unaffiliated investments (cost $541,392,496)	$	547,904,849
Affiliated investments (cost $45,663,701)		45,663,701
Foreign currency, at value (cost $2,804,879)		2,744,038
Receivable for investments sold		1,455,928
Dividends and interest receivable		676,369
Foreign tax reclaim receivable		459,477
Unrealized appreciation on forward foreign currency exchange contracts		7,525
Prepaid expenses		3,934
Receivable for Series shares sold		2,264

Total Assets		598,918,085

LIABILITIES
Collateral for securities on loan		27,538,119
Payable for investments purchased		6,339,899
Management fee payable		358,632
Accrued expenses and other liabilities		276,712
Payable for Series shares repurchased		184,413
Unrealized depreciation on forward foreign currency exchange contracts		40,961
Affiliated transfer agent fee payable		926

Total Liabilities		34,739,662

NET ASSETS	$	564,178,423

Net assets were comprised of:
Paid-in capital	$	656,083,801
Retained earnings		(91,905,378	)

Net assets, December 31, 2011	$	564,178,423

Net asset value and redemption price per share, $564,178,423 / 33,304,164 outstanding shares of beneficial interest	$	16.94

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,686,418)	$	14,548,956
Affiliated income from securities loaned, net		249,701
Affiliated dividend income		35,346
Interest		726

		14,834,729

EXPENSES
Management fee		4,669,105
Custodian’s fees and expenses		325,000
Shareholders’ reports		146,000
Audit fee		24,000
Trustees’ fees		16,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		10,000
Insurance expenses		7,000
Commitment fee on syndicated credit agreement		3,000
Loan interest expense (Note 8)		20
Miscellaneous		41,734

Total expenses		5,253,859

NET INVESTMENT INCOME		9,580,870

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		26,652,934
Futures transactions		(41,519	)
Foreign currency transactions		(436,928	)

		26,174,487

Net change in unrealized appreciation (depreciation) on:
Investments		(78,218,824	)
Foreign currencies		(290,483	)

		(78,509,307	)

NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(52,334,820	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(42,753,950	)

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	9,580,870		$	9,687,610
Net realized gain on investments and foreign currencies		26,174,487			34,990,328
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(78,509,307	)		29,124,838

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(42,753,950	)		73,802,776

DISTRIBUTIONS		(9,684,066	)		(9,476,827	)

SERIES SHARE TRANSACTIONS:
Series shares sold [843,518 and 619,301 shares, respectively]		15,384,776			10,445,077
Series shares issued in reinvestment of distributions [525,167 and 613,784 shares, respectively]		9,684,066			9,476,827
Series shares repurchased [3,129,794 and 3,317,264 shares, respectively]		(56,971,187	)		(55,260,539	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(31,902,345	)		(35,338,635	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		(84,340,361	)		28,987,314
NET ASSETS:
Beginning of year		648,518,784			619,531,470

End of year	$	564,178,423		$	648,518,784

SEE NOTES TO FINANCIAL STATEMENTS.

A92


LONG-TERM INVESTMENTS — 99.2%	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)

Asset-Backed Securities — 1.2%
Citibank Credit Card Issuance Trust, Ser. 2007-A8, Class A8		5.650%	09/20/19		$	1,500	$	1,800,166
Small Business Administration Participation Certificates, Ser. 1996-20J, Class 1		7.200%	10/01/16			1,059		1,148,262
Ser. 1997-20A, Class 1		7.150%	01/01/17			742		810,785
Ser. 1997-20G, Class 1		6.850%	07/01/17			411		447,819
Ser. 1998-20I, Class 1		6.000%	09/01/18			940		1,021,333

								5,228,365

Collateralized Mortgage Obligations — 1.9%
Federal Home Loan Mortgage Corp., Ser. 2002-2496, Class PM		5.500%	09/15/17			1,420		1,527,435
Ser. 2002-2501, Class MC		5.500%	09/15/17			499		533,992
Ser. 2002-2513, Class HC		5.000%	10/15/17			2,339		2,522,569
Ser. 2002-2518, Class PV		5.500%	06/15/19			1,117		1,127,876
Federal National Mortgage Association, Ser. 2002-18, Class PC		5.500%	04/25/17			1,067		1,104,958
Ser. 2002-57, Class ND		5.500%	09/25/17			568		607,949
Merrill Lynch Mortgage Investors, Inc., Ser. 2003-E, Class A1(a)		0.914%	10/25/28			92		79,979
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)		2.480%	02/25/34			318		283,475

								7,788,233

Commercial Mortgage-Backed Securities — 10.5%
Banc of America Commercial Mortgage, Inc., Ser. 2007-1, Class A2		5.381%	01/15/49			1,201		1,199,437
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4(a)		5.405%	12/11/40			2,000		2,201,552
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2007-CD4, Class A3		5.293%	12/11/49			1,800		1,914,566
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(a)		5.942%	06/10/46			2,000		2,208,496
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4		4.832%	04/15/37			2,700		2,842,374
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a)		6.010%	05/15/46			1,300		1,375,213
Federal Home Loan Mortgage Corp., Ser. 2010-K005, Class A2		4.317%	11/25/19			2,600		2,886,905
Ser. 2010-K007, Class A2		4.224%	03/25/20	��		3,600		3,986,129
Ser. 2010-K009, Class A2		3.808%	08/25/20			2,900		3,147,477
Ser. 2011-K013, Class A2(a)		3.974%	01/25/21			3,400		3,738,181
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2		5.381%	03/10/39			1,876		1,886,236
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(a)		5.778%	08/10/45			1,909		1,940,288
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A3(a)		6.005%	06/15/49			1,000		1,052,854
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(a)		5.854%	05/12/39			2,000		2,230,298
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-9, Class A2		5.590%	09/12/49			2,452		2,487,501
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4		5.332%	12/15/43			1,800		2,011,952
NCUA Gtd. Notes, Ser. 2010-C1, Class A2		2.900%	10/29/20			2,000		2,111,624
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(a)		5.922%	05/15/43			2,000		2,213,498
Ser. 2006-C27, Class A3(a)		5.765%	07/15/45			2,000		2,212,996

								43,647,577

Corporate Bonds — 1.0%
Export Development Canada (Canada)		1.250%	10/26/16			760		768,614
DEPFA ACS Bank (Ireland), Covered Notes, 144A		5.125%	03/16/37			1,520		1,086,601
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes		2.375%	08/25/21			660		659,161
National Bank of Canada (Canada), Covered Notes, 144A		2.200%	10/19/16			460		463,808
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A(b)		1.625%	09/14/16			1,200		1,184,205

								4,162,389

Mortgage-Backed Securities — 41.3%
Federal Home Loan Mortgage Corp.(a)		2.479%	05/01/34			728		769,892
Federal Home Loan Mortgage Corp.		4.000%	06/01/26-12/01/40			4,110		4,321,805
Federal Home Loan Mortgage Corp.(c)		4.500%	TBA 30 Year			9,000		9,535,781

SEE NOTES TO FINANCIAL STATEMENTS.

A93


LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Mortgage-Backed Securities (continued)
Federal Home Loan Mortgage Corp.		5.000%	06/01/33-05/01/34	$	4,800	$	5,183,305
Federal Home Loan Mortgage Corp.		5.500%	05/01/37-05/01/38		2,002		2,175,670
Federal Home Loan Mortgage Corp.		5.500%	TBA 30 Year		3,000		3,255,000
Federal Home Loan Mortgage Corp.		6.000%	09/01/34		253		282,178
Federal Home Loan Mortgage Corp.(c)		6.000%	TBA 30 Year		2,000		2,196,250
Federal Home Loan Mortgage Corp.		6.500%	03/01/12-09/01/32		195		219,961
Federal Home Loan Mortgage Corp.		7.000%	09/01/12-10/01/32		78		89,922
Federal National Mortgage Association(a)		2.231%	07/01/33		2,308		2,426,066
Federal National Mortgage Association(a)		2.287%	04/01/34		268		281,714
Federal National Mortgage Association(a)		2.356%	06/01/34		623		656,962
Federal National Mortgage Association(a)		2.393%	08/01/33		1,352		1,420,691
Federal National Mortgage Association(a)		2.410%	04/01/34		529		557,327
Federal National Mortgage Association		3.000%	TBA 15 Year		1,500		1,544,297
Federal National Mortgage Association		3.000%	TBA 15 Year		10,500		10,842,890
Federal National Mortgage Association		3.500%	06/01/39		941		968,608
Federal National Mortgage Association		3.500%	TBA 15 Year		4,500		4,705,313
Federal National Mortgage Association		3.500%	TBA 30 Year		2,500		2,571,094
Federal National Mortgage Association		4.000%	TBA 30 Year		18,000		18,908,438
Federal National Mortgage Association		4.000%	TBA 30 Year		2,000		2,095,625
Federal National Mortgage Association		4.500%	05/01/40		8,498		9,121,761
Federal National Mortgage Association		4.500%	TBA 30 Year		500		532,031
Federal National Mortgage Association		5.000%	07/01/18-05/01/36		9,089		9,826,618
Federal National Mortgage Association		5.000%	TBA 30 Year		4,000		4,312,500
Federal National Mortgage Association		5.500%	01/01/17-11/01/35		17,359		19,099,484
Federal National Mortgage Association		6.000%	11/01/14-05/01/38		5,620		6,225,587
Federal National Mortgage Association		6.000%	TBA 30 Year		1,500		1,651,641
Federal National Mortgage Association		6.500%	01/01/15-10/01/37		3,262		3,685,776
Federal National Mortgage Association		7.000%	12/01/31-01/01/36		581		672,153
Federal National Mortgage Association		7.500%	06/01/12-07/01/12		3		3,015
Federal National Mortgage Association		8.000%	03/01/22-02/01/26		22		22,930
Federal National Mortgage Association		9.000%	02/01/25-04/01/25		92		107,061
Government National Mortgage Association(c)		3.500%	TBA 30 Year		500		520,391
Government National Mortgage Association		4.000%	TBA 30 Year		13,000		13,944,530
Government National Mortgage Association		4.000%	TBA 30 Year		4,000		4,278,125
Government National Mortgage Association(c)		4.500%	TBA 30 Year		7,500		8,171,484
Government National Mortgage Association		4.500%	TBA 30 Year		6,000		6,520,312
Government National Mortgage Association		5.000%	07/15/33-04/15/34		1,978		2,204,576
Government National Mortgage Association		5.000%	TBA 30 Year		2,000		2,211,250
Government National Mortgage Association		5.500%	03/15/34-03/15/36		1,713		1,932,496
Government National Mortgage Association		6.500%	07/15/32-08/15/32		422		489,466
Government National Mortgage Association		7.000%	03/15/23-08/15/28		999		1,155,675
Government National Mortgage Association		7.500%	12/15/25-02/15/26		182		213,117
Government National Mortgage Association		8.500%	09/15/24-04/15/25		254		304,893

							172,215,661

Municipal Bond — 0.2%
State of Utah, BABs, Ser. D		4.554%	07/01/24		630		742,972

U.S. Government Agency Obligations — 1.8%
Federal Home Loan Mortgage Corp.(b)		5.125%	11/17/17		1,270		1,529,197
Federal National Mortgage Association(b)		1.375%	11/15/16		785		791,933
Financing Corp. FICO, Ser. 1P(d)		1.780%	05/11/18		4,000		3,581,296
Tennessee Valley Authority		5.250%	09/15/39		870		1,110,565
Tennessee Valley Authority		5.500%	06/15/38		465		606,918

							7,619,909

U.S. Treasury Securities — 41.3%
U.S. Treasury Bonds(b)		3.750%	08/15/41		770		905,592
U.S. Treasury Bonds		3.875%	08/15/40		2,245		2,691,194

SEE NOTES TO FINANCIAL STATEMENTS.

A94


LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

U.S. Treasury Securities (continued)
U.S. Treasury Bonds		4.375%	05/15/40	$	2,120	$	2,754,011
U.S. Treasury Bonds		4.375%	05/15/41		1,360		1,772,038
U.S. Treasury Bonds(e)		4.750%	02/15/41		7,285		10,039,641
U.S. Treasury Bonds		6.500%	11/15/26		860		1,304,782
U.S. Treasury Bonds		9.250%	02/15/16		2,925		3,948,522
U.S. Treasury Notes		2.000%	11/15/21		90		91,026
U.S. Treasury Notes		3.000%	09/30/16		2,680		2,954,491
U.S. Treasury Notes		3.125%	10/31/16		12,000		13,305,936
U.S. Treasury Notes		3.125%	04/30/17		4,500		5,011,875
U.S. Treasury Notes		3.125%	08/31/13		3,155		3,305,355
U.S. Treasury Notes(e)		3.125%	05/15/21		17		18,982
U.S. Treasury Notes		3.250%	06/30/16		13,400		14,881,330
U.S. Treasury Notes		3.250%	03/31/17		9,175		10,273,137
U.S. Treasury Notes		3.500%	05/31/13		9,720		10,168,034
U.S. Treasury Notes		4.250%	11/15/17		3,725		4,399,866
U.S. Treasury Notes		4.250%	08/15/15		21,475		24,335,534
U.S. Treasury Notes		4.625%	11/15/16		5,660		6,684,109
U.S. Treasury Notes		4.750%	08/15/17		4,025		4,846,349
U.S. Treasury Strips Coupon(f)		0.550%	05/15/15		12,430		12,202,693
U.S. Treasury Strips Coupon(f)		2.480%	05/15/24		12,105		8,927,801
U.S. Treasury Strips Coupon(f)		2.510%	08/15/24		10,095		7,364,726
U.S. Treasury Strips Coupon(f)		2.520%	11/15/24		1,835		1,326,321
U.S. Treasury Strips Coupon(f)		2.780%	02/15/24		6,500		4,841,759
U.S. Treasury Strips Coupon(f)		3.040%	05/15/25		5,815		4,116,526
U.S. Treasury Strips Coupon(f)		3.380%	05/15/27		5,240		3,432,996
U.S. Treasury Strips Coupon(f)		3.450%	11/15/27		3,700		2,378,068
U.S. Treasury Strips Coupon(b)(f)		3.660%	08/15/29		3,700		2,235,991
U.S. Treasury Strips Coupon(f)		4.130%	08/15/33		2,725		1,429,336

							171,948,021

TOTAL LONG-TERM INVESTMENTS (cost $394,072,166)							413,353,127


				Shares
SHORT-TERM INVESTMENTS — 25.6%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $53,181,499)(g)					5,389,666		47,752,437
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $58,761,472; includes $6,793,055 of cash collateral received for securities on loan) (Note 4)(g)(h)					58,761,472		58,761,472

TOTAL AFFILIATED MUTUAL FUNDS (cost $111,942,971)							106,513,909

TOTAL INVESTMENTS — 124.8% (cost $506,015,137)							519,867,036
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (24.8)%							(103,213,110	)

NET ASSETS — 100.0%						$	416,653,926

The following abbreviations are used in portfolio descriptions:


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.
BABs		Build America Bonds
FICO		Financing Corp.
TBA		To Be Announced

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

(a)	Indicted a variable rate security. The interest rate shown reflects the rate in effect at December 31, 2011.

SEE NOTES TO FINANCIAL STATEMENTS.

A95

(b)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $6,661,741; cash collateral of $6,793,055 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c)	All or partial principal amount totaling $19,000,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement.

(d)	Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2011.

(e)	Represents security, or a portion thereof, segregated as collateral for futures contracts.

(f)	Rate shown reflects the effective yield at December 31, 2011.

(g)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

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

(i)	Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Futures contracts outstanding at December 31, 2011:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized (Depreciation)
Long Position:
162	2 Year U.S. Treasury Notes		Mar. 2012	$	35,736,871	$	35,728,594	$	(8,277	)

Short Positions:
100	5 Year U.S. Treasury Notes		Mar. 2012		12,294,088		12,325,781		(31,693	)
158	10 Year U.S. Treasury Notes		Mar. 2012		20,655,477		20,717,750		(62,273	)
197	U.S. Long Bond		Mar. 2012		28,258,683		28,528,063		(269,380	)

									(363,346	)

								$	(371,623	)

Interest rate swap agreements outstanding at December 31, 2011:


Counterparty	Termination Date	Notional Amount (000)#		Fixed Rate		Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Over-the-counter swap agreements:
Barclays Bank PLC	05/31/16		5,255		1.180%	3 month LIBOR(1)	$	11,615		$	—	$	11,615
Barclays Bank PLC	05/31/16		5,255		1.175%	3 month LIBOR(1)		10,675			—		10,675
Barclays Bank PLC	05/31/16		1,360		1.220%	3 month LIBOR(1)		5,251			—		5,251
Deutsche Bank AG	09/14/16		1,320		1.206%	3 month LIBOR(1)		(7,224	)		—		(7,224	)
Citibank, NA	07/20/21		4,550		3.035%	3 month LIBOR(2)		482,206			—		482,206
Citibank, NA	11/23/21		4,560		2.148%	3 month LIBOR(2)		(59,919	)		—		(59,919	)

							$	442,604		$	—	$	442,604

#	Notional amount is shown in U.S. dollars unless otherwise stated.


LIBOR		London Interbank Offered Rate

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

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

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—

quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which are traded at daily net asset value.

Level 2—

other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—

significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A96

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Asset-Backed Securities	$	—		$	5,228,365	$	—
Collateralized Mortgage Obligations		—			7,788,233		—
Commercial Mortgage-Backed Securities		—			43,647,577		—
Corporate Bonds		—			4,162,389		—
Mortgage-Backed Securities		—			172,215,661		—
Municipal Bond		—			742,972		—
U.S. Government Agency Obligations		—			7,619,909		—
U.S. Treasury Securities		—			171,948,021		—
Affiliated Mutual Funds		106,513,909			—		—
Other Financial Instruments*
Futures Contracts		(371,623	)		—		—
Interest Rate Swaps		—			442,604		—

Total	$	106,142,286		$	413,795,731	$	—

*	Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 were as follows:


Mortgage-Backed Securities	41.3	%
U.S. Treasury Securities	41.3
Affiliated Mutual Funds (including 1.6% of collateral received for securities on loan)	25.6
Commercial Mortgage-Backed Securities	10.5
Collateralized Mortgage Obligations	1.9
U.S. Government Agency Obligations	1.8
Asset-Backed Securities	1.2
Corporate Bonds	1.0
Municipal Bond	0.2

	124.8
Liabilities in excess of other assets	(24.8	)

	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate risk. Detailed discussion about these risks can be found in the Notes to the Financial Statements. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:


Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due to broker — variation margin	$	—	*	Due to broker — variation margin	$	(371,623	)*
Interest rate contracts	Unrealized appreciation on swap agreements		509,747		Unrealized depreciation on swap agreements		67,143

Total		$	509,747			$	(304,480	)

*	Includes cumulative appreciation/depreciation of futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A97

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2011 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps		Total
Interest rate contracts	$	(5,713,637	)	$	762,245	$	(4,951,392	)


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Swaps		Total
Interest rate contracts	$	(2,309,044	)	$	497,543	$	(1,811,501	)

For the year ended December 31, 2011, the Portfolio’s average volume of derivative activities are as follows:


Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)	Interest Rate Swaps (Notional Amount in USD (000))
$88,500,853	$92,673,681	$27,949

SEE NOTES TO FINANCIAL STATEMENTS.

A98


		*GOVERNMENT INCOME PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2011


ASSETS
Investments, at value including securities on loan of $6,661,741:
Unaffiliated investments (cost $394,072,166)	$	413,353,127
Affiliated investments (cost $111,942,971)		106,513,909
Cash		49,355
Receivable for investments sold		93,521,597
Dividends and interest receivable		2,141,035
Unrealized appreciation on swap agreements		509,747
Prepaid expenses		2,396
Receivable for Series shares sold		1,116

Total Assets		616,092,282

LIABILITIES
Payable for investments purchased		192,009,459
Collateral for securities on loan		6,793,055
Payable for Series shares repurchased		200,320
Management fee payable		140,611
Due to broker—variation margin		115,071
Accrued expenses and other liabilities		109,862
Unrealized depreciation on swap agreements		67,143
Deferred trustees’ fees		1,909
Affiliated transfer agent fee payable		926

Total Liabilities		199,438,356

NET ASSETS	$	416,653,926

Net assets were comprised of:
Paid-in capital	$	389,440,503
Retained earnings		27,213,423

Net assets, December 31, 2011	$	416,653,926

Net asset value and redemption price per share, $416,653,926 / 33,690,740 outstanding shares of beneficial interest	$	12.37

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


INVESTMENT INCOME
Interest	$	11,090,912
Affiliated dividend income		770,462
Affiliated income from securities loaned, net		36,358

		11,897,732

EXPENSES
Management fee		1,620,279
Custodian’s fees and expenses		92,000
Shareholders’ reports		51,000
Audit fee		29,000
Trustees’ fees		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Legal fees and expenses		9,000
Insurance expenses		5,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		9,700

Total expenses		1,845,979

NET INVESTMENT INCOME		10,051,753

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		17,444,972
Foreign currency transactions		(11	)
Futures transactions		(5,713,637	)
Swap agreement transactions		762,245

		12,493,569

Net change in unrealized appreciation (depreciation) on: Investments (including affiliated: $(697,772))		9,185,328
Futures		(2,309,044	)
Swap agreements		497,543

		7,373,827

NET GAIN ON INVESTMENTS		19,867,396

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	29,919,149

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	10,051,753		$	11,481,089
Net realized gain on investments		12,493,569			8,366,571
Net change in unrealized appreciation (depreciation) on investments		7,373,827			6,702,759

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		29,919,149			26,550,419

DISTRIBUTIONS		(18,318,094	)		(21,211,457	)

SERIES SHARE TRANSACTIONS:
Series shares sold [2,166,785 and 3,844,283 shares, respectively]		26,321,036			46,399,951
Series shares issued in reinvestment of distributions [1,519,181 and 1,770,163 shares, respectively]		18,318,094			21,211,457
Series shares repurchased [3,193,994 and 4,057,749 shares, respectively]		(38,827,001	)		(49,100,020	)

NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		5,812,129			18,511,388

TOTAL INCREASE IN NET ASSETS		17,413,184			23,850,350
NET ASSETS:
Beginning of year		399,240,742			375,390,392

End of year	$	416,653,926		$	399,240,742

SEE NOTES TO FINANCIAL STATEMENTS.

A99


LONG-TERM INVESTMENTS — 98.0%
COMMON STOCKS	Shares		Value (Note 2)

Aerospace & Defense — 2.6%
Boeing Co. (The)		135,736	$	9,956,236
General Dynamics Corp.		67,800		4,502,598
Goodrich Corp.		23,300		2,882,210
Honeywell International, Inc.		144,650		7,861,728
L-3 Communications Holdings, Inc.		18,700		1,246,916
Lockheed Martin Corp.(a)		49,198		3,980,118
Northrop Grumman Corp.		47,726		2,791,016
Precision Castparts Corp.		26,800		4,416,372
Raytheon Co.		65,318		3,160,085
Rockwell Collins, Inc.(a)		29,300		1,622,341
Textron, Inc.(a)		44,900		830,201
United Technologies Corp.		168,200		12,293,738

				55,543,559

Air Freight & Logistics — 1.0%
C.H. Robinson Worldwide, Inc.(a)		30,200		2,107,356
Expeditors International of Washington, Inc.		41,600		1,703,936
FedEx Corp.		59,740		4,988,887
United Parcel Service, Inc. (Class B Stock)		181,200		13,262,028

				22,062,207

Airlines — 0.1%
Southwest Airlines Co.		139,337		1,192,725

Auto Components — 0.3%
BorgWarner, Inc.*(a)		17,400		1,109,076
Goodyear Tire & Rubber Co. (The)*		38,600		546,962
Johnson Controls, Inc.		128,700		4,023,162

				5,679,200

Automobiles — 0.4%
Ford Motor Co.*(a)		715,659		7,700,491
Harley-Davidson, Inc.(a)		44,300		1,721,941

				9,422,432

Beverages — 2.6%
Beam, Inc.		25,900		1,326,857
Brown-Forman Corp. (Class B Stock)		18,500		1,489,435
Coca-Cola Co. (The)		421,500		29,492,355
Coca-Cola Enterprises, Inc.		60,600		1,562,268
Constellation Brands, Inc. (Class A Stock)*		34,100		704,847
Dr Pepper Snapple Group, Inc.(a)		38,800		1,531,824
Molson Coors Brewing Co. (Class B Stock)		31,100		1,354,094
PepsiCo, Inc.		288,139		19,118,023

				56,579,703

Biotechnology — 1.2%
Amgen, Inc.(a)		143,594		9,220,171
Biogen Idec, Inc.*		45,625		5,021,031
Celgene Corp.*		87,000		5,881,200
Gilead Sciences, Inc.*		141,100		5,775,223

				25,897,625

Building Products
Masco Corp.		54,800		574,304


COMMON STOCKS (continued)	Shares		Value (Note 2)

Capital Markets — 1.8%
Ameriprise Financial, Inc.		44,000	$	2,184,160
Bank of New York Mellon Corp. (The)		235,389		4,686,595
BlackRock, Inc. (Class A Stock)		17,800		3,172,672
Charles Schwab Corp. (The)(a)		189,300		2,131,518
ETrade Financial Corp.		43,610		347,136
Federated Investors, Inc. (Class B Stock)(a)		15,000		227,250
Franklin Resources, Inc.(a)		26,400		2,535,984
Goldman Sachs Group, Inc. (The)		94,600		8,554,678
Invesco Ltd.		84,800		1,703,632
Legg Mason, Inc.(a)		25,900		622,895
Morgan Stanley		281,410		4,257,733
Northern Trust Corp.		44,200		1,752,972
State Street Corp.		93,000		3,748,830
T. Rowe Price Group, Inc.(a)		48,100		2,739,295

				38,665,350

Chemicals — 2.2%
Air Products & Chemicals, Inc.		40,300		3,433,157
Airgas, Inc.		13,200		1,030,656
CF Industries Holdings, Inc.		13,400		1,942,732
Dow Chemical Co. (The)		213,461		6,139,138
E.I. du Pont de Nemours & Co(a)		172,391		7,892,060
Eastman Chemical Co.		25,600		999,936
Ecolab, Inc.		51,600		2,982,996
FMC Corp.		12,600		1,084,104
International Flavors & Fragrances, Inc.		16,100		843,962
Monsanto Co.		100,096		7,013,727
Mosaic Co. (The)		54,200		2,733,306
PPG Industries, Inc.		29,100		2,429,559
Praxair, Inc.		55,600		5,943,640
Sherwin-Williams Co. (The)		15,700		1,401,539
Sigma-Aldrich Corp.		20,700		1,292,922

				47,163,434

Commercial Banks — 2.6%
BB&T Corp.(a)		134,400		3,382,848
Comerica, Inc.(a)		31,550		813,990
Fifth Third Bancorp		167,749		2,133,767
First Horizon National Corp.(a)		44,745		357,960
Huntington Bancshares, Inc.		148,775		816,775
KeyCorp		179,700		1,381,893
M&T Bank Corp.(a)		23,800		1,816,892
PNC Financial Services Group, Inc.		98,993		5,708,926
Regions Financial Corp.		245,212		1,054,412
SunTrust Banks, Inc.		100,800		1,784,160
U.S. Bancorp		358,881		9,707,731
Wells Fargo & Co.		980,986		27,035,974
Zions Bancorporation.(a)		30,000		488,400

				56,483,728

Commercial Services & Supplies — 0.4%
Avery Dennison Corp.		21,600		619,488
Cintas Corp.(a)		21,700		755,377
Iron Mountain, Inc.		34,100		1,050,280
Pitney Bowes, Inc.(a)		37,700		698,958
Republic Services, Inc.		58,310		1,606,441

SEE NOTES TO FINANCIAL STATEMENTS.

A100


COMMON STOCKS (continued)	Shares		Value (Note 2)

Commercial Services & Supplies (continued)
RR Donnelley & Sons Co(a)		38,800	$	559,884
Stericycle, Inc.*		14,400		1,122,048
Waste Management, Inc.		88,830		2,905,629

				9,318,105

Communications Equipment — 2.1%
Cisco Systems, Inc.		1,013,900		18,331,312
F5 Networks, Inc.*		14,800		1,570,576
Harris Corp.(a)		23,400		843,336
JDS Uniphase Corp.*		43,587		455,048
Juniper Networks, Inc.*		101,400		2,069,574
Motorola Mobility Holdings, Inc.*		49,336		1,914,237
Motorola Solutions, Inc.		56,327		2,607,377
QUALCOMM, Inc.		312,900		17,115,630

				44,907,090

Computers & Peripherals — 4.5%
Apple, Inc.*		172,350		69,801,750
Dell, Inc.*		297,200		4,348,036
EMC Corp.*.(a)		384,874		8,290,186
Hewlett-Packard Co.		369,116		9,508,428
Lexmark International, Inc. (Class A Stock)		15,514		513,048
NetApp, Inc.*		66,800		2,422,836
SanDisk Corp.*.(a)		43,900		2,160,319
Western Digital Corp.*		40,600		1,256,570

				98,301,173

Construction & Engineering — 0.2%
Fluor Corp.		32,900		1,653,225
Jacobs Engineering Group, Inc.*		22,200		900,876
Quanta Services, Inc.*(a)		33,000		710,820

				3,264,921

Construction Materials
Vulcan Materials Co.(a)		22,300		877,505

Consumer Finance — 0.8%
American Express Co.		188,900		8,910,413
Capital One Financial Corp.		86,369		3,652,545
Discover Financial Services		106,505		2,556,120
SLM Corp.		102,000		1,366,800

				16,485,878

Containers & Packaging — 0.1%
Ball Corp.		32,200		1,149,862
Bemis Co., Inc.		17,900		538,432
Owens-Illinois, Inc.*		30,400		589,152
Sealed Air Corp.		31,620		544,180

				2,821,626

Distributors — 0.1%
Genuine Parts Co.		32,025		1,959,930

Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*		22,700		1,222,849
DeVry, Inc.		10,000		384,600
H&R Block, Inc.		63,400		1,035,322

				2,642,771


COMMON STOCKS (continued)	Shares		Value (Note 2)

Diversified Financial Services — 2.6%
Bank of America Corp.		1,889,932	$	10,508,022
Citigroup, Inc.		543,197		14,291,513
CME Group, Inc.		12,520		3,050,748
IntercontinentalExchange, Inc.*		14,200		1,711,810
JPMorgan Chase & Co.		707,045		23,509,246
Leucadia National Corp.		37,600		855,024
Moody’s Corp.(a)		38,120		1,283,882
NASDAQ OMX Group, Inc. (The)*		25,600		627,456
NYSE Euronext		50,600		1,320,660

				57,158,361

Diversified Telecommunication Services — 2.8%
AT&T, Inc.		1,099,711		33,255,261
CenturyLink, Inc.		113,585		4,225,362
Frontier Communications Corp.(a)		177,916		916,267
Verizon Communications, Inc.(a).		523,938		21,020,393
Windstream Corp.		90,665		1,064,407

				60,481,690

Electric Utilities — 2.0%
American Electric Power Co., Inc.		90,040		3,719,552
Duke Energy Corp.(a)		250,382		5,508,404
Edison International		61,100		2,529,540
Entergy Corp.		33,800		2,469,090
Exelon Corp.		121,450		5,267,287
FirstEnergy Corp.		76,280		3,379,204
NextEra Energy, Inc.(a)		78,700		4,791,256
Northeast Utilities		33,300		1,201,131
Pepco Holdings, Inc.		36,200		734,860
Pinnacle West Capital Corp.		20,900		1,006,962
PPL Corp.		102,700		3,021,434
Progress Energy, Inc.		55,814		3,126,700
Southern Co.(a)		159,100		7,364,739

				44,120,159

Electrical Equipment — 0.5%
Cooper Industries PLC		27,700		1,499,955
Emerson Electric Co.		141,500		6,592,485
Rockwell Automation, Inc.		25,900		1,900,283
Roper Industries, Inc.		17,100		1,485,477

				11,478,200

Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		33,300		1,511,487
Corning, Inc.		293,700		3,812,226
FLIR Systems, Inc.		23,500		589,145
Jabil Circuit, Inc.		36,400		715,624
Molex, Inc.		26,600		634,676
TE Connectivity Ltd.		76,600		2,360,046

				9,623,204

Energy Equipment & Services — 1.9%
Baker Hughes, Inc.		80,248		3,903,263
Cameron International Corp.*		43,800		2,154,522
Diamond Offshore Drilling, Inc.(a)		12,500		690,750
FMC Technologies, Inc.*(a)		45,600		2,381,688
Halliburton Co.		173,500		5,987,485
Helmerich & Payne, Inc.(a)		21,100		1,231,396
Nabors Industries Ltd.*		56,600		981,444

SEE NOTES TO FINANCIAL STATEMENTS.

A101


COMMON STOCKS (continued)	Shares		Value (Note 2)

Energy Equipment & Services (continued)
National Oilwell Varco, Inc.		80,000	$	5,439,200
Noble Corp.		45,300		1,368,966
Rowan Cos., Inc.*		21,500		652,095
Schlumberger Ltd.		249,822		17,065,341

				41,856,150

Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		81,632		6,801,578
CVS Caremark Corp.		248,638		10,139,458
Kroger Co. (The)		118,900		2,879,758
Safeway, Inc.		66,800		1,405,472
SUPERVALU, Inc.(a)		23,408		190,073
Sysco Corp.(a)		112,600		3,302,558
Walgreen Co.(a)		166,300		5,497,878
Wal-Mart Stores, Inc.		326,800		19,529,568
Whole Foods Market, Inc.		29,000		2,017,820

				51,764,163

Food Products — 1.9%
Archer-Daniels-Midland Co.		126,438		3,616,127
Campbell Soup Co.(a)		34,900		1,160,076
ConAgra Foods, Inc.		70,300		1,855,920
Dean Foods Co.*		20,000		224,000
General Mills, Inc.		120,100		4,853,241
H.J. Heinz Co.(a)		59,450		3,212,678
Hershey Co. (The)(a)		28,900		1,785,442
Hormel Foods Corp.		27,600		808,404
J.M. Smucker Co. (The)		20,300		1,586,851
Kellogg Co.		45,100		2,280,707
Kraft Foods, Inc. (Class A Stock)		327,211		12,224,603
McCormick & Co., Inc.		24,800		1,250,416
Mead Johnson Nutrition Co.		38,493		2,645,624
Sara Lee Corp.		110,700		2,094,444
Tyson Foods, Inc. (Class A Stock)		56,100		1,157,904

				40,756,437

Gas Utilities — 0.1%
AGL Resources, Inc.		16,637		703,079
ONEOK, Inc.		18,120		1,570,823

				2,273,902

Health Care Equipment & Supplies — 1.8%
Baxter International, Inc.		108,100		5,348,788
Becton, Dickinson & Co.		40,500		3,026,160
Boston Scientific Corp.*		300,299		1,603,597
C.R. Bard, Inc.		16,700		1,427,850
CareFusion Corp.*		39,537		1,004,635
Covidien PLC		93,700		4,217,437
DENTSPLY International, Inc.		24,700		864,253
Edwards Lifesciences Corp.*		20,200		1,428,140
Intuitive Surgical, Inc.*		7,400		3,426,274
Medtronic, Inc.		196,000		7,497,000
St. Jude Medical, Inc.		62,700		2,150,610
Stryker Corp.		63,700		3,166,527
Varian Medical Systems, Inc.*(a)		22,500		1,510,425
Zimmer Holdings, Inc.*		35,386		1,890,320

				38,562,016


COMMON STOCKS (continued)	Shares		Value (Note 2)

Health Care Providers & Services — 2.1%
Aetna, Inc.		72,348	$	3,052,362
AmerisourceBergen Corp.		51,900		1,930,161
Cardinal Health, Inc.		65,175		2,646,757
CIGNA Corp.		52,100		2,188,200
Coventry Health Care, Inc.*		27,650		839,730
DaVita, Inc.*(a)		18,400		1,394,904
Express Scripts, Inc.*(a)		91,700		4,098,073
Humana, Inc.		32,800		2,873,608
Laboratory Corp. of America Holdings*(a)		19,400		1,667,818
McKesson Corp.		45,707		3,561,032
Medco Health Solutions, Inc.*		72,992		4,080,253
Patterson Cos., Inc.		15,900		469,368
Quest Diagnostics, Inc.		28,100		1,631,486
Tenet Healthcare Corp.*		80,000		410,400
UnitedHealth Group, Inc.		203,200		10,298,176
WellPoint, Inc.		68,700		4,551,375

				45,693,703

Health Care Technology — 0.1%
Cerner Corp.*		23,600		1,445,500

Hotels, Restaurants & Leisure — 2.0%
Carnival Corp.		82,900		2,705,856
Chipotle Mexican Grill, Inc.*(a)		5,500		1,857,570
Darden Restaurants, Inc.(a)		25,350		1,155,453
International Game Technology		56,100		964,920
Marriott International, Inc. (Class A Stock)		49,403		1,441,086
McDonald’s Corp.		191,800		19,243,294
Starbucks Corp.		138,300		6,363,183
Starwood Hotels & Resorts Worldwide, Inc.		32,800		1,573,416
Wyndham Worldwide Corp.		32,563		1,231,858
Wynn Resorts Ltd.		13,100		1,447,419
Yum! Brands, Inc.		85,300		5,033,553

				43,017,608

Household Durables — 0.2%
D.R. Horton, Inc.(a)		45,200		569,972
Harman International Industries, Inc.		14,100		536,364
Leggett & Platt, Inc.(a)		28,200		649,728
Lennar Corp. (Class A Stock)		25,700		505,005
Newell Rubbermaid, Inc.		60,049		969,791
Pulte Group, Inc.*(a)		48,385		305,310
Whirlpool Corp.(a)		14,607		693,102

				4,229,272

Household Products — 2.3%
Clorox Co. (The)(a)		24,400		1,624,064
Colgate-Palmolive Co.(a)		89,700		8,287,383
Kimberly-Clark Corp.		73,388		5,398,421
Procter & Gamble Co. (The)(a)		510,381		34,047,517

				49,357,385

Independent Power Producers & Energy Traders — 0.2%
AES Corp. (The)*		128,900		1,526,176
Constellation Energy Group, Inc.		38,950		1,545,146
NRG Energy, Inc.*		45,800		829,896

				3,901,218

SEE NOTES TO FINANCIAL STATEMENTS.

A102


COMMON STOCKS (continued)	Shares		Value (Note 2)

Industrial Conglomerates — 2.5%
3M Co.		131,300	$	10,731,149
Danaher Corp.		101,500		4,774,560
General Electric Co.		1,963,600		35,168,076
Tyco International Ltd.		87,500		4,087,125

				54,760,910

Insurance — 3.4%
ACE Ltd.		64,300		4,508,716
Aflac, Inc.		90,500		3,915,030
Allstate Corp. (The)		100,288		2,748,894
American International Group, Inc.*(a)		76,629		1,777,793
Aon Corp.		62,425		2,921,490
Assurant, Inc.		20,600		845,836
Berkshire Hathaway, Inc. (Class B Stock)*		327,300		24,972,990
Chubb Corp. (The)		52,900		3,661,738
Cincinnati Financial Corp.		32,528		990,803
Genworth Financial, Inc. (Class A Stock)*		103,200		675,960
Hartford Financial Services Group, Inc. (The)		86,300		1,402,375
Lincoln National Corp.(a)		58,963		1,145,061
Loews Corp.		62,026		2,335,279
Marsh & McLennan Cos., Inc.		103,400		3,269,508
MetLife, Inc.		197,700		6,164,286
Principal Financial Group, Inc.		63,600		1,564,560
Progressive Corp. (The)		119,800		2,337,298
Torchmark Corp.		22,550		978,444
Travelers Cos., Inc. (The)		79,498		4,703,897
Unum Group		63,456		1,337,018
XL Group PLC (Class A Stock)		59,500		1,176,315

				73,433,291

Internet & Catalog Retail — 0.8%
Amazon.com, Inc.*		66,700		11,545,770
Expedia, Inc.(a)		18,800		545,576
Netflix, Inc.*(a)		8,100		561,249
priceline.com, Inc.*		9,200		4,302,932
TripAdvisor, Inc.*(a)		18,800		473,948

				17,429,475

Internet Software & Services — 2.0%
Akamai Technologies, Inc.*		33,500		1,081,380
eBay, Inc.*		214,700		6,511,851
Google, Inc. (Class A Stock)*		46,650		30,131,235
VeriSign, Inc.		27,400		978,728
Yahoo!, Inc.*		233,200		3,761,516

				42,464,710

IT Services — 3.8%
Accenture PLC (Ireland) (Class A Stock)		119,400		6,355,662
Automatic Data Processing, Inc.		92,200		4,979,722
Cognizant Technology Solutions Corp. (Class A Stock)*		55,600		3,575,636
Computer Sciences Corp.		29,900		708,630
Fidelity National Information Services, Inc.		46,100		1,225,799


COMMON STOCKS (continued)	Shares		Value (Note 2)

IT Services (continued)
Fiserv, Inc.*		27,900	$	1,638,846
International Business Machines Corp.		219,500		40,361,660
Mastercard, Inc. (Class A Stock)		19,800		7,381,836
Paychex, Inc.		61,250		1,844,238
SAIC, Inc.*(a)		54,400		668,576
Teradata Corp.*		31,200		1,513,512
Total System Services, Inc.		29,993		586,663
Visa, Inc. (Class A Stock)		95,000		9,645,350
Western Union Co. (The)		115,004		2,099,973

				82,586,103

Leisure Equipment & Products — 0.1%
Hasbro, Inc.		27,150		865,813
Mattel, Inc.(a)		65,281		1,812,201

				2,678,014

Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.*		65,682		2,294,272
Life Technologies Corp.*		35,430		1,378,582
PerkinElmer, Inc.		23,200		464,000
Thermo Fisher Scientific, Inc.*		72,900		3,278,313
Waters Corp.*		17,700		1,310,685

				8,725,852

Machinery — 2.0%
Caterpillar, Inc.(a)		118,500		10,736,100
Cummins, Inc.		38,300		3,371,166
Deere & Co.		77,800		6,017,830
Dover Corp.		36,000		2,089,800
Eaton Corp.		64,200		2,794,626
Flowserve Corp.		9,400		933,608
Illinois Tool Works, Inc.		92,600		4,325,346
Ingersoll-Rand PLC.(a)		60,000		1,828,200
Joy Global, Inc.		17,700		1,326,969
PACCAR, Inc.(a)		66,128		2,477,816
Pall Corp.		20,100		1,148,715
Parker Hannifin Corp.		31,087		2,370,384
Snap-on, Inc.		11,000		556,820
Stanley Black & Decker, Inc.		31,535		2,131,766
Xylem, Inc.		27,600		709,044

				42,818,190

Media — 3.1%
Cablevision Systems Corp. (Class A Stock)		35,800		509,076
CBS Corp. (Class B Stock)		122,868		3,334,637
Comcast Corp. (Class A Stock)		510,346		12,100,304
DIRECTV (Class A Stock)*(a)		138,300		5,913,708
Discovery Communications, Inc. (Class A Stock)*		51,500		2,109,955
Gannett Co., Inc.		42,900		573,573
Interpublic Group of Cos., Inc. (The)		83,162		809,166
McGraw-Hill Cos., Inc. (The)		57,100		2,567,787
News Corp. (Class A Stock)		413,700		7,380,408
Omnicom Group, Inc.(a)		53,100		2,367,198
Scripps Networks Interactive, Inc. (Class A Stock)(a)		15,600		661,752
Time Warner Cable, Inc.		57,226		3,637,857
Time Warner, Inc.		188,140		6,799,380

SEE NOTES TO FINANCIAL STATEMENTS.

A103


COMMON STOCKS (continued)	Shares		Value (Note 2)

Media (continued)
Viacom, Inc. (Class B Stock)		108,168	$	4,911,909
Walt Disney Co. (The)(a)		331,501		12,431,287
Washington Post Co. (The) (Class B Stock)(a)		1,000		376,810

				66,484,807

Metals & Mining — 0.9%
Alcoa, Inc.		204,576		1,769,582
Allegheny Technologies, Inc.		14,040		671,112
Cliffs Natural Resources, Inc.		27,000		1,683,450
Freeport-McMoRan Copper & Gold, Inc.		177,412		6,526,988
Newmont Mining Corp.		91,503		5,491,095
Nucor Corp.		58,500		2,314,845
Titanium Metals Corp.		8,000		119,840
United States Steel Corp.(a)		21,140		559,364

				19,136,276

Multiline Retail — 0.8%
Big Lots, Inc.*		11,300		426,688
Dollar Tree, Inc.*		20,100		1,670,511
Family Dollar Stores, Inc.		23,100		1,331,946
J.C. Penney Co., Inc.(a)		22,700		797,905
Kohl’s Corp.		49,400		2,437,890
Macy’s, Inc.		78,420		2,523,556
Nordstrom, Inc.		30,100		1,496,271
Sears Holdings Corp.*(a)		5,000		158,900
Target Corp.		126,468		6,477,691

				17,321,358

Multi-Utilities — 1.4%
Ameren Corp.		45,300		1,500,789
CenterPoint Energy, Inc.		72,810		1,462,753
CMS Energy Corp.		41,900		925,152
Consolidated Edison, Inc.(a)		51,200		3,175,936
Dominion Resources, Inc.		105,184		5,583,166
DTE Energy Co.		32,000		1,742,400
Integrys Energy Group, Inc.		14,150		766,647
NiSource, Inc.(a)		51,100		1,216,691
PG&E Corp.		73,500		3,029,670
Public Service Enterprise Group, Inc.		96,500		3,185,465
SCANA Corp.(a)		22,200		1,000,332
Sempra Energy		45,654		2,510,970
TECO Energy, Inc.		40,400		773,256
Wisconsin Energy Corp.		45,200		1,580,192
Xcel Energy, Inc.		90,095		2,490,226

				30,943,645

Office Electronics — 0.1%
Xerox Corp.		268,511		2,137,348

Oil, Gas & Consumable Fuels — 10.1%
Alpha Natural Resources, Inc.*		39,605		809,130
Anadarko Petroleum Corp.		91,126		6,955,648
Apache Corp.		72,850		6,598,753
Cabot Oil & Gas Corp.		20,300		1,540,770
Chesapeake Energy Corp.(a)		123,900		2,761,731
Chevron Corp.		372,892		39,675,709
ConocoPhillips		251,079		18,296,127


COMMON STOCKS (continued)	Shares		Value (Note 2)

Oil, Gas & Consumable Fuels (continued)
Consol Energy, Inc.		42,500	$	1,559,750
Denbury Resources, Inc.*		73,300		1,106,830
Devon Energy Corp.		76,500		4,743,000
El Paso Corp.		137,911		3,664,295
EOG Resources, Inc.		49,500		4,876,245
EQT Corp.		26,400		1,446,456
Exxon Mobil Corp.		891,654		75,576,593
Hess Corp.		57,000		3,237,600
Marathon Oil Corp.		136,894		4,006,887
Marathon Petroleum Corp.		68,447		2,278,601
Murphy Oil Corp.		38,600		2,151,564
Newfield Exploration Co.*		23,700		894,201
Noble Energy, Inc.		33,100		3,124,309
Occidental Petroleum Corp.		151,700		14,214,290
Peabody Energy Corp.		51,400		1,701,854
Pioneer Natural Resources Co.		21,200		1,896,976
QEP Resources, Inc.		33,200		972,760
Range Resources Corp.		29,500		1,827,230
Southwestern Energy Co.*		67,300		2,149,562
Spectra Energy Corp.		121,242		3,728,191
Sunoco, Inc.(a)		21,500		881,930
Tesoro Corp.*(a)		29,100		679,776
Valero Energy Corp.		105,300		2,216,565
Williams Cos., Inc. (The)		108,400		3,579,368

				219,152,701

Paper & Forest Products — 0.2%
International Paper Co.		82,867		2,452,863
MeadWestvaco Corp.		33,989		1,017,971

				3,470,834

Personal Products — 0.2%
Avon Products, Inc.		78,700		1,374,889
Estee Lauder Cos., Inc. (The) (Class A Stock)		21,100		2,369,952

				3,744,841

Pharmaceuticals — 6.2%
Abbott Laboratories		291,100		16,368,553
Allergan, Inc.		57,200		5,018,728
Bristol-Myers Squibb Co.		318,040		11,207,730
Eli Lilly & Co.		189,400		7,871,464
Forest Laboratories, Inc.*		52,600		1,591,676
Hospira, Inc.*		28,920		878,300
Johnson & Johnson		506,771		33,234,042
Merck & Co., Inc.		573,504		21,621,094
Mylan, Inc.*		76,300		1,637,398
Perrigo Co.		15,000		1,459,500
Pfizer, Inc.		1,430,873		30,964,092
Watson Pharmaceuticals, Inc.*		23,300		1,405,922

				133,258,499

Professional Services — 0.1%
Dun & Bradstreet Corp. (The)		8,800		658,504
Equifax, Inc.(a)		22,800		883,272
Robert Half International, Inc.		27,700		788,342

				2,330,118

SEE NOTES TO FINANCIAL STATEMENTS.

A104


COMMON STOCKS (continued)	Shares		Value (Note 2)

Real Estate Investment Trusts — 1.7%
Apartment Investment & Management Co. (Class A Stock)(a)		21,974	$	503,424
AvalonBay Communities, Inc.		16,018		2,091,951
Boston Properties, Inc.		28,100		2,798,760
Equity Residential		52,700		3,005,481
HCP, Inc.(a)		73,200		3,032,676
Health Care REIT, Inc.(a)		31,300		1,706,789
Host Hotels & Resorts, Inc.		123,726		1,827,433
Kimco Realty Corp.		76,400		1,240,736
Plum Creek Timber Co., Inc.(a)		27,000		987,120
ProLogis, Inc.		81,228		2,322,309
Public Storage(a)		27,100		3,643,866
Simon Property Group, Inc.		55,501		7,156,299
Ventas, Inc.		51,204		2,822,876
Vornado Realty Trust		33,257		2,556,133
Weyerhaeuser Co.		99,310		1,854,118

				37,549,971

Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		51,100		777,742

Road & Rail — 0.9%
CSX Corp.		207,872		4,377,784
Norfolk Southern Corp.		66,600		4,852,476
Ryder System, Inc.		10,700		568,598
Union Pacific Corp.		90,300		9,566,382

				19,365,240

Semiconductors & Semiconductor Equipment — 2.3%
Advanced Micro Devices, Inc.*(a)		102,600		554,040
Altera Corp.		57,500		2,133,250
Analog Devices, Inc.		56,000		2,003,680
Applied Materials, Inc.		251,000		2,688,210
Broadcom Corp. (Class A Stock)		84,750		2,488,260
First Solar, Inc.*(a)		8,600		290,336
Intel Corp.		956,400		23,192,700
KLA-Tencor Corp.		32,000		1,544,000
Linear Technology Corp.		43,500		1,306,305
LSI Corp.*		118,000		702,100
Microchip Technology, Inc.(a)		28,900		1,058,607
Micron Technology, Inc.*		149,600		940,984
Novellus Systems, Inc.*		14,600		602,834
NVIDIA Corp.*(a)		108,250		1,500,345
Teradyne, Inc.*(a)		34,200		466,146
Texas Instruments, Inc.		214,700		6,249,917
Xilinx, Inc.		44,000		1,410,640

				49,132,354

Software — 3.4%
Adobe Systems, Inc.*(a)		94,600		2,674,342
Autodesk, Inc.*		41,400		1,255,662
BMC Software, Inc.*		32,700		1,071,906
CA, Inc.		74,773		1,511,536
Citrix Systems, Inc.*		35,400		2,149,488
Electronic Arts, Inc.*		58,900		1,213,340
Intuit, Inc.		56,500		2,971,335
Microsoft Corp.		1,383,900		35,926,044
Oracle Corp.		735,220		18,858,393
Red Hat, Inc.*		35,600		1,469,924


COMMON STOCKS (continued)	Shares		Value (Note 2)

Software (continued)
Salesforce.com, Inc.*(a)		23,400	$	2,374,164
Symantec Corp.*		146,111		2,286,637

				73,762,771

Specialty Retail — 2.0%
Abercrombie & Fitch Co. (Class A Stock)		15,700		766,788
AutoNation, Inc.*(a)		9,689		357,233
AutoZone, Inc.*		5,000		1,624,850
Bed Bath & Beyond, Inc.*		45,900		2,660,823
Best Buy Co., Inc.		58,525		1,367,729
CarMax, Inc.*(a)		40,000		1,219,200
GameStop Corp. (Class A Stock)*(a)		26,800		646,684
Gap, Inc. (The)		67,587		1,253,739
Home Depot, Inc. (The)		290,519		12,213,419
Limited Brands, Inc.(a)		44,796		1,807,519
Lowe’s Cos., Inc.(a)		234,700		5,956,686
O’Reilly Automotive, Inc.*		24,500		1,958,775
Orchard Supply Hardware Stores Corp. (Class A Stock)*		303		679
Ross Stores, Inc.		43,800		2,081,814
Staples, Inc.		133,000		1,847,370
Tiffany & Co.		20,900		1,384,834
TJX Cos., Inc.		72,800		4,699,240
Urban Outfitters, Inc.*(a)		19,000		523,640

				42,371,022

Textiles, Apparel & Luxury Goods — 0.6%
Coach, Inc.		56,800		3,467,072
NIKE, Inc. (Class B Stock)		69,300		6,678,441
Ralph Lauren Corp.		12,400		1,712,192
VF Corp.		15,536		1,972,917

				13,830,622

Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.(a)		107,200		670,000
People’s United Financial, Inc.(a)		64,900		833,965

				1,503,965

Tobacco — 2.0%
Altria Group, Inc.		376,600		11,166,190
Lorillard, Inc.		25,631		2,921,934
Philip Morris International, Inc.		323,100		25,356,888
Reynolds American, Inc.		64,300		2,663,306

				42,108,318

Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		51,600		2,250,276
W.W. Grainger, Inc.		11,000		2,059,090

				4,309,366

Wireless Telecommunication Services — 0.3%
American Tower Corp.		72,500		4,350,725
MetroPCS Communications, Inc.*		47,100		408,828
Sprint Nextel Corp.*		579,622		1,356,315

				6,115,868

TOTAL COMMON STOCKS (cost $1,190,295,768)				2,119,266,445

SEE NOTES TO FINANCIAL STATEMENTS.

A105


PREFERRED STOCK	Shares		Value (Note 2)
	��
Specialty Retail
Orchard Supply Hardware Stores Corp., Ser. A* (cost $294)		303	$	679

TOTAL LONG-TERM INVESTMENTS (cost $1,190,296,062)				2,119,267,124

SHORT-TERM INVESTMENTS — 9.9%
Affiliated Money Market Mutual Fund — 9.7%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $210,002,906; includes $174,111,005 of cash collateral received for securities on loan) (Note 4)(b)(c)		210,002,906		210,002,906


	Principal Amount (000)
U.S Government Obligation — 0.2%
U.S. Treasury Bill, 0.06%, 06/28/2012 (cost $3,498,999)(d)(e)	$	3,500		3,498,967

TOTAL SHORT-TERM INVESTMENTS (cost $213,501,905)				213,501,873

TOTAL INVESTMENTS — 107.9% (cost $1,403,797,967)				2,332,768,997
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (7.9%)				(170,357,650	)

NET ASSETS — 100.0%			$	2,162,411,347

*	Non-income producing security.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $169,090,459; cash collateral of $174,111,005 (included in 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)	Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund.

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

(e)	Represents security, or a portion thereof, segregated as collateral for futures contracts.

(f)	Includes net unrealized appreciation on the following derivative contracts held at reporting period end:

Open futures contracts outstanding at December 31, 2011:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2011		Unrealized Appreciation
Long Position:
137	S&P 500 Index		Mar. 2012	$	41,953,848	$	42,901,550	$	947,702

Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—

quoted prices generally for securities actively traded on a regulated securities exchange and for open-end mutual funds which trade at daily net asset value.

Level 2—

other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.

Level 3—

significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of December 31, 2011 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,119,265,766	$	—	$	679
Preferred Stock		—		—		679
U.S. Government Obligation		—		3,498,967		—
Affiliated Money Market Mutual Fund		210,002,906		—		—
Other Financial Instruments*
Futures		947,702		—		—

Total	$	2,330,216,374	$	3,498,967	$	1,358

*	Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument.

SEE NOTES TO FINANCIAL STATEMENTS.

A106

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2011 was as follows:


Oil, Gas & Consumable Fuels	10.1	%
Affiliated Money Market Mutual Fund (including 8.1% of collateral received for securities on loan)	9.7
Pharmaceuticals	6.2
Computers & Peripherals	4.5
IT Services	3.8
Insurance	3.4
Software	3.4
Media	3.1
Diversified Telecommunication Services	2.8
Aerospace & Defense	2.6
Beverages	2.6
Commercial Banks	2.6
Diversified Financial Services	2.6
Industrial Conglomerates	2.5
Food & Staples Retailing	2.4
Household Products	2.3
Semiconductors & Semiconductor Equipment	2.3
Chemicals	2.2
Communications Equipment	2.1
Health Care Providers & Services	2.1
Electric Utilities	2.0
Hotels, Restaurants & Leisure	2.0
Internet Software & Services	2.0
Machinery	2.0
Specialty Retail	2.0
Tobacco	2.0
Energy Equipment & Services	1.9
Food Products	1.9
Capital Markets	1.8
Health Care Equipment & Supplies	1.8
Real Estate Investment Trusts	1.7
Multi-Utilities	1.4


Biotechnology	1.2	%
Air Freight & Logistics	1.0
Metals & Mining	0.9
Road & Rail	0.9
Consumer Finance	0.8
Internet & Catalog Retail	0.8
Multiline Retail	0.8
Textiles, Apparel & Luxury Goods	0.6
Electrical Equipment	0.5
Automobiles	0.4
Commercial Services & Supplies	0.4
Electronic Equipment, Instruments & Components	0.4
Life Sciences Tools & Services	0.4
Auto Components	0.3
Wireless Telecommunication Services	0.3
Construction & Engineering	0.2
Household Durables	0.2
Independent Power Producers & Energy Traders	0.2
Paper & Forest Products	0.2
Personal Products	0.2
Trading Companies & Distributors	0.2
U.S Government Obligation	0.2
Airline	0.1
Containers & Packaging	0.1
Distributors	0.1
Diversified Consumer Services	0.1
Gas Utilities	0.1
Health Care Technology	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Professional Services	0.1
Thrifts & Mortgage Finance	0.1

	107.9
Liabilities in excess of other assets	(7.9	)

	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2011 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Equity contracts

Due from broker — variation margin

947,702

—

*	Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the period ended December 31, 2011 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures		Warrants			Total
Equity contracts	$	825,369	$	(18,588	)	$	806,781



Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	356,453

For the year ended December 31, 2011, the average value at trade date for futures long position was $43,234,469

SEE NOTES TO FINANCIAL STATEMENTS.

A107


		*STOCK INDEX PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES December 31, 2011


ASSETS
Investments, at value including securities on loan of $169,090,459:
Unaffiliated investments (cost $1,193,795,061)	$	2,122,766,091
Affiliated investments (cost $210,002,906)		210,002,906
Dividends and interest receivable		3,245,787
Receivable for investments sold		2,248,564
Prepaid expenses		13,956
Receivable for Series shares sold		4,674

Total Assets		2,338,281,978

LIABILITIES
Collateral for securities on loan		174,111,005
Payable for Series shares repurchased		765,796
Management fee payable		547,067
Due to broker-variation margin		164,400
Accrued expenses and other liabilities		155,468
Payable for investments purchased		83,910
Payable to custodian		42,059
Affiliated transfer agent fee payable		926

Total Liabilities		175,870,631

NET ASSETS	$	2,162,411,347

Net assets were comprised of:
Paid-in capital	$	1,236,642,834
Retained earnings		925,768,513

Net assets, December 31, 2011	$	2,162,411,347

Net asset value and redemption price per share, $2,162,411,347 / 68,721,804 outstanding shares of beneficial interest	$	31 .47

STATEMENT OF OPERATIONS

Year Ended December 31, 2011


INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $1,261)	$	45,856,840
Affiliated income from securities loaned, net		320,619
Affiliated dividend income		73,948
Interest		4,930

		46,256,337

EXPENSES
Management fee		7,841,258
Custodian’s fees and expenses		242,000
Shareholders’ reports		240,000
Trustees’ fees		31,000
Insurance expenses		25,000
Audit fee		19,000
Legal fees and expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,500) (Note 4)		12,000
Commitment fee on syndicated credit agreement		9,000
Miscellaneous		15,784

Total expenses		8,448,042
Less: Management fee waiver (Note 3)		(1,120,180	)

Net expenses		7,327,862

NET INVESTMENT INCOME		38,928,475

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		30,219,312
Futures transactions		825,369

		31,044,681

Net change in unrealized appreciation (depreciation) on:
Investments		(25,929,941	)
Futures		356,453

		(25,573,488	)

NET GAIN ON INVESTMENTS		5,471,193

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	44,399,668

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2011			2010
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	38,928,475		$	36,017,691
Net realized gain (loss) on investments		31,044,681			26,323,776
Net change in unrealized appreciation (depreciation) on investments		(25,573,488	)		229,703,996

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		44,399,668			292,045,463

DISTRIBUTIONS		(36,002,280	)		(37,719,877	)

SERIES SHARE TRANSACTIONS:
Series shares sold [1,251,307 and 2,969,405 shares, respectively]		39,571,327			85,912,285
Series shares issued in reinvestment of distributions [1,145,475 and 1,398,068 shares, respectively]		36,002,280			37,719,877
Series shares repurchased [6,278,327 and 6,996,110 shares, respectively]		(199,110,942	)		(198,465,748	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(123,537,335	)		(74,833,586	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		(115,139,947	)		179,492,000
NET ASSETS:
Beginning of year		2,277,551,294			2,098,059,294

End of year	$	2,162,411,347		$	2,277,551,294

SEE NOTES TO FINANCIAL STATEMENTS.

A108

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1:

General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. On January 2, 2006, 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, the Series Fund was reorganized from a Maryland corporation to a Delaware statutory trust. Pursuant to this reorganization, the Series Fund has been renamed “The Prudential Series Fund.” The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to seven Portfolios which are listed below along with each Portfolio’s investment objective.

Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio: Long-term growth of capital.

Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio: Long-term growth of capital.

Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.

Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.

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. 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.

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.

Securities Valuation: Securities listed on a securities exchange (other than options on securities and indices) 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 asked 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 NASDAQ official closing price (“NOCP”) on the day of valuation, or if there was no NOCP, at the last sale price. 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 subadvisors, to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker. Options on securities and indices traded on an exchange are valued at the last sale price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in the absence of an asked price. 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. 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 the 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.

Investments in open-end, non-exchange-traded 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 debt securities that are held in the Portfolios which mature in more than 60 days are valued at fair value and those short-term debt securities of sufficient credit quality which mature in 60 days or less are valued at amortized cost which approximates fair value. The amortized cost method values a security at its cost at the time of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost.

Each 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”). Restricted securities are valued pursuant to the valuation procedures noted above.

Foreign Currency Translation: The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i) market value of investment securities, other assets and liabilities — at the current rates of exchange.

(ii) purchases and sales of investment securities, income and expenses — at the 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 long-term portfolio 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 long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the holding of foreign currencies, currency gains or losses realized between the trade and settlement dates 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 or 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 foreign currencies.

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 between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or 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. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty

credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

Short Sales: Certain Portfolios of the Series Fund may sell a security they do 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. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. 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.

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 Portfolio 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 Portfolio 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.

Certain Portfolios of the Series Fund entered into financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates and to manage yield curve duration. Certain Portfolios entered into equity index futures contracts to gain market exposure. The Portfolio 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, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

Options: Certain Portfolios of the Series Fund purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. Certain Portfolios also used purchased options to gain exposure to certain securities and foreign currencies. The Portfolios’ 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 Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio 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 Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. Over-the-counter options involve the risk of the potential inability of the counterparties to meet the terms of their contracts.

With exchange-traded futures and options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and options, and guarantees the futures and options contracts against default.

Swap Agreements: Certain Portfolios of the Series Fund may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. 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.

Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Certain Portfolios used interest rate swaps to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life. This risk may be mitigated by having a master netting arrangement between the Portfolio and the counterparty which may permit the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

Credit Default Swaps: Credit default swaps involve one party (the protection buyer) making 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 or as a result of a default (“credit event”) for the referenced party, typically corporate issues or sovereign issues of an emerging country, on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

The Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. Certain Portfolios purchased credit default swaps to provide a measure of protection against defaults of the issuers. Certain Portfolios in the Series Fund used credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Certain Portfolios took an active short position with respect to the likelihood of particular issuer’s default by selling credit default swaps. The Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the notional value of a credit default swap agreement. A master netting arrangement between the Portfolio and the counterparty that permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

As a seller of protection on credit default swap agreements, a Portfolio will generally receive from the buyer of protection an agreed upon payment throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively increase investment risk to its portfolio because, in addition to its total net assets, a Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. These potential amounts will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Portfolio for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset- backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment and/or performance risk. Wider credit spreads and increasing market value

in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates. In connection with these agreements, securities in the portfolio may be identified as collateral or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of December 31, 2011, none of the Portfolios have met conditions under such agreements, which give the counterparty the right to call for an early termination.

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.

Warrants and Rights: Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Securities Lending: Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio 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 Portfolio 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.

Dollar Rolls: Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

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 adjusted 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 is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. 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 Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Diversified Bond and Government Income Portfolios make distributions, if any, quarterly. All other Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.

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”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“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 Portfolios bear all other costs and expenses.

The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.


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*		0.30

Effective August 1, 2010, PI has voluntarily agreed to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

At December 31, 2011, the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. 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
Flexible Managed Portfolio		PIM, QMA
Global Portfolio		LSV, Marsico, QMA, 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 voluntarily agreed to reimburse the Stock Index Portfolio in order to limit operating expenses (excluding distribution and service (12b-1) fees, interest, taxes, brokerage commissions and certain extraordinary expenses) to an annualized rate of 0.75% of the average daily net assets. Effective July 1, 2011, the expense limitation was removed.

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 Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

PIM also serves as the Series Fund’s security lending agent. For the year ended December 31, 2011, PIM was compensated as follows for these services by the Series Fund Portfolios:


Portfolio	PIM
Conservative Balanced Portfolio	$	74,456
Diversified Bond Portfolio		45,468
Equity Portfolio		132,162
Flexible Managed Portfolio		52,948
Global Portfolio		74,586
Government Income Portfolio		10,854
Stock Index Portfolio		95,769

Certain Portfolios invest in the Prudential Core Short-Term Bond Fund and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as affiliated dividend income.

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, 2011 were as follows:


Portfolio	Cost of Purchases			Proceeds from Sales
Conservative Balanced Portfolio	$	3,351,969,212		$	3,435,929,009
Diversified Bond Portfolio		1,783,531,305			1,756,877,303
Equity Portfolio		1,570,965,317			1,723,757,034
Flexible Managed Portfolio		5,878,694,717	��		5,912,405,949
Global Portfolio		414,793,034			444,922,313
Government Income Portfolio		6,125,987,480			6,128,727,376
Stock Index Portfolio		52,374,307			168,357,296

The Diversified Bond Portfolio’s options written activity for the year ended December 31, 2011 was as follows:


Diversified Bond Portfolio	Contracts			Premiums
Balance as of December 31, 2010		500		$	1,506,673
Options written		—			—
Options terminated in closing purchase transactions		(500	)		(1,506,673	)
Options expired		—			—

Balance as of December 31, 2011		—		$	—

Note 6:

Tax Information

After January 2, 2006, all Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

Prior to January 2, 2006, each Portfolio, which was incorporated as of that date, 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.

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.

Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

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, 2011, the Equity Portfolio has 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, 2011:
Series shares sold		781,393		$	19,351,385
Series shares issued in reinvestment of distributions		887,087			22,097,344
Series shares repurchased		(9,666,900	)		(241,561,350	)

Net increase (decrease) in shares outstanding		(7,998,420	)	$	(200,112,621	)

Year ended December 31, 2010:
Series shares sold		915,389		$	20,563,535
Series shares issued in reinvestment of distributions		1,145,195			24,392,657
Series shares repurchased		(11,064,183	)		(246,443,793	)

Net increase (decrease) in shares outstanding		(9,003,599	)	$	(201,487,601	)


Class II
Year ended December 31, 2011:
Series shares sold		23,819		$	618,805
Series shares issued in reinvestment of distributions		159			4,010
Series shares repurchased		(18,984	)		(458,348	)

Net increase (decrease) in shares outstanding		4,994		$	164,467

Year ended December 31, 2010:
Series shares sold		65,768		$	1,489,189
Series shares issued in reinvestment of distributions		86			1,854
Series shares repurchased		(7,367	)		(170,754	)

Net increase (decrease) in shares outstanding		58,487		$	1,320,289

Note 8:

Borrowings

The Portfolios along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period December 16, 2011 through December 14, 2012. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to December 16, 2011, the Funds had another Syndicated Credit Agreement of $750 million commitment with an annualized commitment fee of 0.10% of the unused portion. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolio utilized the SCA during the year ended December 31, 2011. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.


Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Amount Outstanding at December 31, 2011
Global Portfolio	$	164,000		3		1.49	%	$	—

Note 9:

Ownership and Affiliates

As of December 31, 2011, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10:

New Accounting Pronouncements

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective control for Repurchase Agreements”. The objective of ASU 2011-03 is to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. Under previous guidance, whether or not to account for a transaction as a sale was based on, in part, if the entity maintained effective control over the transferred financial assets. ASU 2011-03 removes the transferor’s ability criterion from the effective control assessment. This guidance is effective prospectively for interim and annual reporting periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-03 and its impact on the financial statements has not been determined.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined.

B10

Financial Highlights


	Conservative Balanced Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.96		$	14.65		$	12.69		$	16.69		$	16.21

Income (Loss) From Investment Operations:
Net investment income		.36			.37			.39			.50			.50
Net realized and unrealized gain (loss) on investments		.37			1.31			2.08			(3.98	)		.49

Total from investment operations		.73			1.68			2.47			(3.48	)		.99

Less Distributions		(.37	)		(.37	)		(.51	)		(.52	)		(.51	)

Net Asset Value, end of year	$	16.32		$	15.96		$	14.65		$	12.69		$	16.69

Total Return(b)		4.60	%		11.74	%		20.01	%		(21.41	)%		6.12	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,191.6		$	2,234.7		$	2,138.7		$	1,957.5		$	2,721.9
Ratios to average net assets(c):
Expenses		.59	%		.59	%		.59	%		.59	%		.59	%
Net investment income		2.12	%		2.32	%		2.68	%		3.12	%		2.95	%
Portfolio turnover rate		215	%		185	%		250	%		336	%		178	%


	Diversified Bond Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.67		$	11.16		$	9.89		$	10.90		$	10.85

Income (Loss) From Investment Operations:
Net investment income		.56			.52			.50			.54			.58
Net realized and unrealized gain (loss) on investments		.30			.63			1.46			(.90	)		.02

Total from investment operations		.86			1.15			1.96			(.36	)		.60

Less Distributions		(.79	)		(.64	)		(.69	)		(.65	)		(.55	)

Net Asset Value, end of year	$	11.74		$	11.67		$	11.16		$	9.89		$	10.90

Total Return(b)		7.51	%		10.57	%		20.51	%		(3.46	)%		5.71	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,556.9		$	1,522.9		$	1,363.5		$	1,134.8		$	1,218.3
Ratios to average net assets(c):
Expenses		.42	%		.46	%		.44	%		.44	%		.44	%
Net investment income		4.76	%		4.46	%		4.79	%		5.07	%		5.39	%
Portfolio turnover rate		167	%		191	%		401	%		723	%		476	%

(a)	Calculated based on average shares outstanding during the year.

(b)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of 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 years 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. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(c)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Equity Portfolio
	Class I
	Year Ended December 31,
	2011			2010			2009			2008(c)			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.75		$	22.30		$	16.40		$	29.67		$	27.45

Income (Loss) From Investment Operations:
Net investment income		.13			.15			.16			.29			.35
Net realized and unrealized gain (loss) on investments		(.98	)		2.48			6.04			(10.52	)		2.21

Total from investment operations		(.85	)		2.63			6.20			(10.23	)		2.56

Less Distributions:		(.17	)		(.18	)		(.30	)		(3.04	)		(.34	)

Net Asset Value, end of year	$	23.73		$	24.75		$	22.30		$	16.40		$	29.67

Total Return(a)		(3.47	)%		11.90	%		38.17	%		(38.16	)%		9.32	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,997.5		$	3,324.3		$	3,195.1		$	2,521.0		$	4,423.9
Ratios to average net assets(b):
Expenses		.48	%		.48	%		.48	%		.48	%		.47	%
Net investment income		.58	%		.71	%		.90	%		1.21	%		1.16	%
Portfolio turnover rate		49	%		68	%		98	%		67	%		57	%


	Equity Portfolio
	Class II
	Year Ended December 31,
	2011			2010			2009			2008(c)			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	25.00		$	22.46		$	16.47		$	29.81		$	27.52

Income (Loss) From Investment Operations:
Net investment income		.06			.04			.09			.19			.28
Net realized and unrealized gain (loss) on investments		(1.03	)		2.54			6.07			(10.61	)		2.20

Total from investment operations		(.97	)		2.58			6.16			(10.42	)		2.48

Less Distributions:		(.04	)		(.04	)		(.17	)		(2.92	)		(.19	)

Net Asset Value, end of year	$	23.99		$	25.00		$	22.46		$	16.47		$	29.81

Total Return(a)		(3.87	)%		11.50	%		37.58	%		(38.47	)%		8.91	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2.0		$	1.9		$	.4		$	.4		$	1.3
Ratios to average net assets(b):
Expenses		.88	%		.88	%		.88	%		.88	%		.87	%
Net investment income		.19	%		.34	%		.52	%		.78	%		.74	%
Portfolio turnover rate		49	%		68	%		98	%		67	%		57	%

(a)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of 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 return 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. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b)	Does not include expenses of the underlying portfolio in which the Portfolio invests.

(c)	Calculation based on average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Flexible Managed Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.63		$	14.28		$	12.34		$	18.30		$	18.36

Income (Loss) From Investment Operations:
Net investment income		.33			.31			.34			.45			.50
Net realized and unrealized gain (loss) on investments		.34			1.37			2.05			(4.62	)		.65

Total from investment operations		.67			1.68			2.39			(4.17	)		1.15

Less Distributions		(.31	)		(.33	)		(.45	)		(1.79	)		(1.21	)

Net Asset Value, end of year	$	15.99		$	15.63		$	14.28		$	12.34		$	18.30

Total Return(a)		4.34	%		12.03	%		19.95	%		(24.82	)%		6.30	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,036.8		$	3,077.3		$	2,906.0		$	2,621.6		$	3,716.3
Ratios to average net assets(b):
Expenses		.63	%		.64	%		.63	%		.64	%		.63	%
Net investment income		2.01	%		2.06	%		2.50	%		2.85	%		2.53	%
Portfolio turnover rate		246	%		205	%		248	%		321	%		212	%


	Global Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	18.49		$	16.68		$	13.07		$	24.62		$	22.53

Income (Loss) From Investment Operations:
Net investment income		.29			.28			.28			.40			.36
Net realized and unrealized gain (loss) on investments		(1.56	)		1.79			3.75			(10.38	)		2.00

Total from investment operations		(1.27	)		2.07			4.03			(9.98	)		2.36

Less Distributions		(.28	)		(.26	)		(.42	)		(1.57	)		(.27	)

Net Asset Value, end of year	$	16.94		$	18.49		$	16.68		$	13.07		$	24.62

Total Return(a)		(6.97	)%		12.74	%		31.39	%		(42.92	)%		10.48	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	564.2		$	648.5		$	619.5		$	512.7		$	985.0
Ratios to average net assets(b):
Expenses		.84	%		.87	%		.85	%		.84	%		.81	%
Net investment income		1.54	%		1.60	%		1.77	%		2.01	%		1.43	%
Portfolio turnover rate		69	%		69	%		50	%		65	%		48	%

(a)

(b)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Government Income Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.03		$	11.86		$	11.40		$	11.38		$	11.26

Income (Loss) From Investment Operations:
Net investment income		.30			.35			.37			.45			.53
Net realized and unrealized gain (loss) on investments		.60			.47			.49			.03			.10

Total from investment operations		.90			.82			.86			.48			.63

Less Distributions		(.56	)		(.65	)		(.40	)		(.46	)		(.51	)

Net Asset Value, end of year	$	12.37		$	12.03		$	11.86		$	11.40		$	11.38

Total Return(a)		7.63	%		6.99	%		7.71	%		4.30	%		5.70	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	416.7		$	399.2		$	375.4		$	370.5		$	340.3
Ratios to average net assets(b):
Expenses		.46	%		.50	%		.47	%		.52	%(c)		.52	%
Net investment income		2.48	%		2.87	%		3.11	%		3.98	%(c)		4.62	%
Portfolio turnover rate		1554	%		1122	%		1179	%		2707	%		2377	%


	Stock Index Portfolio
	Year Ended December 31,
	2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of year	$	31.37		$	27.89		$	22.76		$	36.84		$	35.64

Income (Loss) From Investment Operations:
Net investment income		.54			.48			.49			.64			.68
Net realized and unrealized gain (loss) on investments		.07			3.51			5.32			(14.02	)		1.14

Total from investment operations		.61			3.99			5.81			(13.38	)		1.82

Less Distributions		(.51	)		(.51	)		(.68	)		(.70	)		(.62	)

Net Asset Value, end of year	$	31.47		$	31.37		$	27.89		$	22.76		$	36.84

Total Return(a)		1.95	%		14.59	%		26.07	%		(36.94	)%		5.10	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,162.4		$	2,277.6		$	2,098.1		$	1,815.8		$	3,122.4
Ratios to average net assets(b):
Expenses		.33	%		.36	%		.37	%		.37	%		.37	%
Net investment income		1.74	%		1.70	%		2.06	%		2.04	%		1.73	%
Portfolio turnover rate		2	%		4	%		5	%		4	%		3	%

(a)

(b)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c)	Includes interest expense of 0.03%.

SEE NOTES TO FINANCIAL STATEMENTS.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders

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 (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the portfolios of investments, as of December 31, 2011, 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 five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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, 2011, by correspondence with the custodian, transfer agent 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 Portfolios as of December 31, 2011, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 16, 2012

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the 1940 Act, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act.


Independent Trustees⁽¹⁾
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (44) No. of Portfolios Overseen: 84	Senior Vice President and Chief Financial Officer (Since 2007) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None
Saul K. Fenster, Ph.D. (78) No. of Portfolios Overseen: 84	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.	Formerly Director (2000-2006) of IDT Corporation.
Delayne Dedrick Gold (73) No. of Portfolios Overseen: 84	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None
W. Scott McDonald, Jr., Ph.D. (74) No. of Portfolios Overseen: 84	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.	None
Thomas T. Mooney (70) No. of Portfolios Overseen: 84	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007) formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None
Thomas M. O’Brien (61) No. of Portfolios Overseen: 84	President and COO (since November 2006) and CEO (since April 2007) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly 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.	Director (since April 2008) of Federal Home Loan Bank of New York; 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.
F. Don Schwartz (76) No. of Portfolios Overseen: 84	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.


Interested Trustees⁽¹⁾
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Stephen Pelletier (58) No. of Portfolios Overseen: 84	President of Prudential Annuities (since September 2008); Chairman and CEO, International Investments, Prudential Financial (since January 1998).	None
Robert F. Gunia (65) No. of Portfolios Overseen: 84	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (46) Number of Portfolios Overseen: 84	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Timothy S. Cronin, 2011; Saul K. Fenster, 1983; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Stephen Pelletier, 2011; F. Don Schwartz, 2003.


Fund Officers^(a)(1)
Name, Address and Age Position with the Fund		Principal Occupation(s) During the Past Five Years
Kathryn L. Quirk (59) Chief Legal Officer		Vice President and Corporate Counsel (since September 2004) of Prudential; Executive Vice President, Chief Legal Officer and Secretary (since July 2005) of PI and Prudential Mutual Fund Services LLC; Vice President and Corporate Counsel (since June 2005) and Secretary (since February 2006) of AST Investment Services, Inc.; formerly Senior Vice President and Assistant Secretary (November 2004-August 2005) of PI; formerly Assistant Secretary (June 2005-February 2006) of AST Investment Services, Inc.; formerly Managing Director, General Counsel, Chief Compliance Officer, Chief Risk Officer and Corporate Secretary (1997-2002) of Zurich Scudder Investments, Inc.
Deborah A. Docs (54) Secretary		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 AST Investment Services, Inc.
Jonathan D. Shain (53) Assistant Secretary		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) of AST Investment Services, Inc.
Claudia DiGiacomo (37) Assistant Secretary		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 (40) Assistant Secretary		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).
Andrew R. French (49) Assistant Secretary		Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Timothy J. Knierim (53) Chief Compliance Officer		Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of PIM and PI (2002-2007) and formerly Chief Ethics Officer of PIM and PI (2006-2007).
Valerie M. Simpson (53) Deputy Chief Compliance Officer		Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (49) Deputy Chief Compliance Officer		Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001 - 2004).
Richard W. Kinville (43) Anti-Money Laundering Compliance Officer		Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (52) Treasurer and Principal Financial and Accounting Officer		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 AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.


Fund Officers^(a)(1)
Name, Address and Age Position with the Fund		Principal Occupation(s) During the Past Five Years
M. Sadiq Peshimam (48) Assistant Treasurer		Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (53) Assistant Treasurer		Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (55) Assistant Treasurer		Vice President and Corporate Counsel - Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. Pelletier and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

⁽¹⁾ The year in which each individual became an Officer of the Fund is as follows: Kathryn L. Quirk, 2005; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; John P. Schwartz, 2006; Andrew R. French, 2006; Timothy J. Knierim, 2007; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Stephen Pelletier and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

Unless otherwise noted, the address of all 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 or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

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

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust and Prudential’s Gibraltar Fund, Inc.

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. Please be sure to have your contract number available when you call.

(800) 458-6333


The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777				Presorted Standard U.S. Postage PAID Prudential

Prudential Retirement, Prudential, the Prudential logo and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0172931-00003-00 MD.RS.011

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. Stephen P. Munn, 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, 2011 and December 31, 2010, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $19,000 and $18,500, 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%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2011 and 2010. 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 2011 and 2010 was $0 and $0, 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 Contract Account-11


By:		/s/ Deborah A. Docs
		Deborah A. Docs
		Secretary

Date:		February 21, 2012

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:		/s/ Stuart S. Parker
		Stuart S. Parker
		President and Principal Executive Officer

Date:		February 21, 2012

By:		/s/ Grace C. Torres
		Grace C. Torres
		Treasurer and Principal Financial Officer

Date:		February 21, 2012

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2011