Prudential Variable Contract Account 11 NCSRS Certified semi-annual shareholder report (management investment company)

Prudential Variable Contract Account 11 N-CSRSCertified semi-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:		12/31/2012

Date of reporting period:		6/30/2012

Item 1 – Reports to Stockholders

LOGO

The MEDLEY Program

SEMIANNUAL REPORT Ÿ JUNE 30, 2012

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.

The views expressed in this report and information about the Account’s portfolio holdings are for the period covered by this report and are subject to change thereafter.

The accompanying financial statements as of June 30, 2012, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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

Please note that this document may include prospectus supplements that are separate from and not a part of the semiannual report.

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

Semiannual Report

June 30, 2012

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

APPROVAL OF ADVISORY AGREEMENTS

The Prudential MEDLEY Program

Letter to Participants

June 30, 2012

DEAR PARTICIPANT:

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program semiannual 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,



Stuart Parker		Robert F. O’Donnell
President,		President,
The Prudential Variable Contract Accounts 10 & 11		The Prudential Series Fund

July 31, 2012

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

Account-24 (VCA-24)

Presentation of Portfolio Holdings — unaudited

June 30, 2012


Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.2%
Exxon Mobil Corp.	1.6%
Government National Mortgage Association, 4.000%, TBA 30 YR	1.0%
Federal National Mortgage Association, 3.500%, TBA 30 YR	0.9%
Microsoft Corp.	0.9%


Diversified Bond
Allocation	(% of Net Assets	)
Corporate Bonds	43.6%
Commercial Mortgage-Backed Securities	15.4%
Mortgage-Backed Securities	6.4%
Non-Residential Mortgage-Backed Securities	5.7%
Residential Mortgage-Backed Securities	4.5%


Equity
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	4.2%
UnitedHealth Group, Inc.	2.6%
National Oilwell Varco, Inc.	2.1%
MasterCard, Inc. (Class A Stock)	2.0%
Comcast Corp. (Class A Stock)	1.9%


Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.2%
Exxon Mobil Corp.	2.1%
Chevron Corp.	1.4%
Microsoft Corp.	1.3%
General Electric Co.	1.2%


Global
Top Five Countries	(% of Net Assets	)
United States	49.0%
United Kingdom	11.4%
Japan	7.6%
Germany	4.5%
France	3.5%


Government Income
Allocation	(% of Net Assets	)
Mortgage-Backed Securities	42.3%
U.S. Treasury Securities	35.8%
Commercial Mortgage-Backed Securities	15.1%
U.S. Government Agency Obligations	1.8%
Corporate Bonds	1.5%


Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	4.3%
Exxon Mobil Corp.	3.2%
Microsoft Corp.	1.8%
International Business Machines Corp.	1.8%
General Electric Co.	1.8%


VCA-10
Five Largest Holdings	(% of Net Assets	)
Wells Fargo & Co.	2.8%
Comcast Corp. (Class A Stock)	2.4%
Bunge Ltd.	2.3%
Apple, Inc.	2.1%
Flextronics International Ltd.	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.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS (Unaudited)*

June 30, 2012


LONG-TERM INVESTMENTS — 99.9%
COMMON STOCKS	Shares		Value (Note 2)

Aerospace & Defense — 4.7%
Boeing Co. (The)		33,207	$	2,467,280
Precision Castparts Corp.		16,803		2,763,926
TransDigm Group, Inc.(a)		12,316		1,654,039

				6,885,245

Airlines — 1.9%
United Continental Holdings, Inc.(a)		112,530		2,737,855

Auto Components — 1.8%
Lear Corp.		69,296		2,614,538

Biotechnology — 1.4%
Alexion Pharmaceuticals, Inc.(a)		20,685		2,054,021

Capital Markets — 2.8%
Goldman Sachs Group, Inc. (The)		22,753		2,181,103
Morgan Stanley		134,951		1,968,935

				4,150,038

Chemicals — 2.1%
Mosaic Co. (The)		55,857		3,058,729

Commercial Banks — 4.4%
PNC Financial Services Group, Inc.		38,821		2,372,351
Wells Fargo & Co.		121,868		4,075,266

				6,447,617

Communications Equipment — 1.4%
JDS Uniphase Corp.(a)		194,351		2,137,861

Computers & Peripherals — 2.4%
Apple, Inc.(a)		5,257		3,070,088
EMC Corp.(a)		19,200		492,096

				3,562,184

Construction & Engineering — 1.0%
Chicago Bridge & Iron Co. NV		40,547		1,539,164

Diversified Financial Services — 3.3%
Citigroup, Inc.		65,846		1,804,839
JPMorgan Chase & Co.		84,302		3,012,110

				4,816,949

Diversified Telecommunication Services — 1.5%
Vivendi SA, ADR (France)		119,456		2,199,424

Electric Utilities — 1.7%
Exelon Corp.		65,867		2,477,917

Electronic Equipment & Instruments — 2.1%
Flextronics International Ltd.(a)		493,510		3,059,762

Energy Equipment & Services — 3.9%
Ensco PLC		39,770		1,867,997
Halliburton Co.		61,011		1,732,102
National Oilwell Varco, Inc.		34,606		2,230,011

				5,830,110

Food & Staples Retailing — 1.6%
Wal-Mart Stores, Inc.		33,908		2,364,066

Food Products — 6.6%
Bunge Ltd.		52,985		3,324,279
Kraft Foods, Inc. (Class A Stock)		51,355		1,983,330


COMMON STOCKS
(continued)	Shares		Value (Note 2)

Food Products (continued)
Smithfield Foods, Inc.(a)		97,994	$	2,119,610
Tyson Foods, Inc. (Class A Stock)		123,800		2,331,154

				9,758,373

Healthcare Providers & Services — 3.3%
HCA Holdings, Inc.		81,120		2,468,482
UnitedHealth Group, Inc.		41,705		2,439,743

				4,908,225

Hotels, Restaurants & Leisure — 1.6%
International Game Technology		154,841		2,438,746

Independent Power Producers & Energy Traders — 2.0%
Calpine Corp.(a)		174,928		2,888,061

Insurance — 2.5%
Arch Capital Group Ltd.(a)		33,597		1,333,465
MetLife, Inc.		78,691		2,427,617

				3,761,082

Internet Software & Services — 2.7%
Baidu, Inc., ADR (China)(a)		17,883		2,056,187
LinkedIn Corp.(a)		18,112		1,924,762

				3,980,949

IT Services — 1.7%
MasterCard, Inc.		5,682		2,443,885

Machinery — 1.7%
Ingersoll-Rand PLC		58,983		2,487,903

Media — 5.7%
Comcast Corp. (Class A Stock)		108,811		3,478,688
Liberty Global, Inc. (Series C)(a)		57,092		2,726,143
Viacom, Inc. (Class B Stock)		46,312		2,177,590

				8,382,421

Metals & Mining — 4.4%
Freeport-McMoRan Copper & Gold, Inc.		65,576		2,234,174
Goldcorp, Inc.		65,880		2,475,770
Kinross Gold Corp.		213,352		1,738,819

				6,448,763

Oil, Gas & Consumable Fuels — 9.6%
Anadarko Petroleum Corp.		41,397		2,740,481
EOG Resources, Inc.		21,640		1,949,980
Noble Energy, Inc.		31,554		2,676,410
Occidental Petroleum Corp.		31,674		2,716,679
Suncor Energy, Inc.		74,812		2,165,807
Trident Resources Corp., Private Placement (original cost $1,639,692; purchased 6/30/2010)(a)(b)(c)		4,067		1,885,824

				14,135,181

Pharmaceuticals — 8.9%
Allergan, Inc.		23,737		2,197,334
Novo-Nordisk A/S, ADR (Denmark)		18,232		2,649,839
Pfizer, Inc.		98,314		2,261,222
Sanofi, ADR (France)		45,806		1,730,551

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF

VCA-10


		*STATEMENT OF NET ASSETS (Unaudited)*

June 30, 2012


COMMON STOCKS
(continued)	Shares		Value (Note 2)

Pharmaceuticals (continued)
Shire PLC, ADR (Ireland)		24,474	$	2,114,309
Teva Pharmaceutical Industries Ltd., ADR (Israel)		54,310		2,141,986

				13,095,241

Road & Rail — 1.5%
Union Pacific Corp.		19,211		2,292,064

Semiconductors & Semiconductor Equipment — 2.3%
Broadcom Corp.		41,861		1,414,902
Marvell Technology Group Ltd.		175,434		1,978,896

				3,393,798

Software — 1.5%
Salesforce.com, Inc.(a)		16,273		2,249,905

Specialty Retail — 1.3%
Staples, Inc.		150,386		1,962,537

Textiles, Apparel & Luxury Goods — 2.5%
Lululemon Athletica, Inc.(a)		31,496		1,878,107
Ralph Lauren Corp.		13,226		1,852,434

				3,730,541

Wireless Telecommunication Services — 2.1%
MetroPCS Communications, Inc.(a)		301,326		1,823,022
NII Holdings, Inc.(a)		127,226		1,301,522

				3,124,544

TOTAL COMMON STOCKS (cost $131,829,282)				147,417,699


RIGHTS	Units		Value (Note 2)

Oil, Gas & Consumable Fuels
Trident Resources Corp., CVR, Private Placement, expiring 6/30/15 (original cost $0; purchased 6/30/2010)(a)(b)(c)		1,512	$	—

TOTAL INVESTMENTS — 99.9% (cost $131,829,282)			$	147,417,699

OTHER ASSETS, LESS LIABILITIES — 0.1%
Dividends and Interest Receivable			$	120,050
Cash				100,189
Payable for Pending Capital Transactions				(135,718	)

OTHER ASSETS IN EXCESS OF LIABILITIES				84,521

NET ASSETS — 100%			$	147,502,220

NET ASSETS, representing:
Equity of Participants			$	147,515,613
Equity of The Prudential Insurance Company of America				(13,393	)

			$	147,502,220

(a)	Non-income producing security.

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

(c)	Indicates a security restricted to resale. The aggregate cost of such securities is $1,639,692. The aggregate value of $1,885,824 is approximately 1.3% of net assets.

The following abbreviations are used in the portfolio descriptions:


ADR		American Depositary Receipt
CVR		Contingent Value Rights

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 in active markets for identical securities.

Level 2—

other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

Level 3—

significant unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS (Unaudited)*

June 30, 2012

The following is a summary of the inputs used as of June 30, 2012 in valuing such portfolio securities:


Investments in Securities	Level 1		Level 2		Level 3
Common Stocks	$	145,531,875	$	—	$	1,885,824
Rights		—		—		—

Total	$	145,531,875	$	—	$	1,885,824

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 12/31/2011	$	2,004,064
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)*		(118,240	)
Purchases		—
Sales		—
Transfers into Level 3		—
Transfers out of Level 3		—

Balance as of 6/30/2012	$	1,885,824

*	Of which $(118,240) was included in Net Assets relating to securities held at reporting period end.

Included in the table above, under Level 3 securities, are common stock and rights, that were fair valued using the last traded price or the original cost adjusted for daily changes in indices deemed directly or indirectly correlated to the security. For the rights received through a bankruptcy distribution, the fair value is determined to be the residual value of the original bonds and other factors impacting the values of securities being issued pursuant to the reorganization. For the common stock and rights, the securities were private placement and therefore, the prices were a significant unobservable input.

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2012 were as follows:


Oil, Gas & Consumable Fuels	9.6	%
Pharmaceuticals	8.9
Food Products	6.6
Media	5.7
Aerospace and Defense	4.7
Commercial Banks	4.4
Metals & Mining	4.4
Energy Equipment & Services	3.9
Diversified Financial Services	3.3
Healthcare Providers & Services	3.3
Capital Markets	2.8
Internet Software & Services	2.7
Insurance	2.5
Textiles, Apparel & Luxury Goods	2.5
Computers and Peripherals	2.4
Semiconductors & Semiconductor Equipment	2.3
Chemicals	2.1
Energy Equipment & Instruments	2.1
Wireless Telecommunication Services	2.1
Independent Power Producers & Energy Traders	2.0
Airlines	1.9
Auto Components	1.8
Electric Utilities	1.7
IT Services	1.7

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS (Unaudited)*

June 30, 2012


Machinery	1.7	%
Food & Staples Retailing	1.6
Hotels, Restaurants & Leisure	1.6
Diversified Telecommunication Services	1.5
Road & Rail	1.5
Software	1.5
Biotechnology	1.4
Communications Equipment	1.4
Specialty Retail	1.3
Construction & Engineering	1.0

	99.9
Other assets in excess of liabilities	0.1

	100.0	%

The Account invested in derivative instruments during the reporting period. The primary type of risk associated with derivative instruments is equity 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.

At June 30, 2012, the Account held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at June 30, 2012 of $0 and are presented in the Statement of Net Assets as such.

The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2012 are as follows:

For the six months ended June 30, 2012, the Account did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in income on the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF OPERATIONS (Unaudited)*

Six Months Ended June 30, 2012



INVESTMENT INCOME
Unaffiliated Dividend Income (net of $18,869 foreign withholding tax)	$	1,076,218
Affiliated Dividend Income		1,461
Total Income		1,077,679
EXPENSES
Fees Charged to Participants for Investment Management Services		(200,346	)
Fees Charged to Participants for Administrative Expenses		(557,480	)
Total Expenses .		(757,826	)
NET INVESTMENT INCOME		319,853
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions		3,297,758
Net Change in Unrealized Appreciation (Depreciation) on Investments		1,270,402
NET GAIN ON INVESTMENTS		4,568,160
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,888,013


		*STATEMENT OF CHANGES IN NET ASSETS (Unaudited)*


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
OPERATIONS
Net Investment Income	$	319,853		$	828,194
Net Realized Gain on Investment Transactions		3,297,758			13,028,100
Net Change In Unrealized Appreciation (Depreciation) on Investments		1,270,402			(26,495,327	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		4,888,013			(12,639,033	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		2,837,824			17,515,149
Withdrawals and Transfers Out		(16,375,369	)		(34,097,838	)
Annual Account Charges Deducted from Participants’ Accounts		(807	)		(24,271	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(13,538,352	)		(16,606,960	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(70,994	)		68,084
TOTAL DECREASE IN NET ASSETS		(8,721,333	)		(29,177,909	)
NET ASSETS
Beginning of period		156,223,553			185,401,462
End of period	$	147,502,220		$	156,223,553


Accumulation Unit Values and Equity Of Participants as of June 30, 2012
Standard Contract:
Accumulation Unit Value and Equity Of Participants, $135,550,026 / 14,126,370 outstanding Accumulation Units	$	9.5955

0.50% Contract:
Accumulation Unit Value and Equity Of Participants, $2,153,928 / 207,212 outstanding Accumulation Units	$	10.3948

0.45% Contract:
Accumulation Unit Value and Equity Of Participants, $9,811,659 / 943,242 outstanding Accumulation Units	$	10.4021

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR

VCA-10


		**INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT (Unaudited)***

(For an Accumulation Unit outstanding throughout the period)


	Six Months Ended June 30, 2012									Period Ended December 31, 2011
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract†
Investment Income	$	.0679		$	.0733		$	.0734		$	.1448		$	.1559		$	.1203
Expenses
Investment management fee		(.0125	)		(.0135	)		(.0135	)		(.0250	)		(.0270	)		(.0200	)
Administrative expenses		(.0372	)		(.0135	)		(.0108	)		(.0749	)		(.0270	)		(.0160	)
Net Investment Income		.0182			.0463			.0491			.0449			.1019			.0843
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		.2175			.2340			.2340			(.7945	)		(.8579	)		(1.5558	)
Net Increase (Decrease) in Accumulation Unit Value		.2357			.2803			.2831			(.7496	)		(.7560	)		(1.4715	)
Accumulation Unit Value
Beginning of period		9.3598			10.1145			10.1190			10.1094			10.8705			11.5905
End of period	$	9.5955		$	10.3948		$	10.4021		$	9.3598		$	10.1145		$	10.1190
Total Return**		2.52	%		2.77	%		2.80	%		(7.41	%)		(6.95	%)		(12.70	%)
Ratio of Expenses To Average Net Assets***		1.00	%††		.50	%††		.45	%††		1.00	%		.50	%		.45	%††
Ratio of Net Investment Income To Average Net Assets***		.18	%††		.43	%††		.46	%††		.44	%		.94	%		1.03	%††
Portfolio Turnover Rate		27	%†††		27	%†††		27	%†††		56	%		56	%		56	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		14,126			207			943			15,386			205			1,001

†	Inception Date — April 1, 2011.

††	Annualized.

†††	Not 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 period 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 (Unaudited)

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: The Account holds portfolio securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members have delegated fair valuation responsibilities to the Manager through the adoption of Valuation Procedures for valuation of the Account’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Account to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available. A record of Valuation Committee’s actions is subject to review, approval and ratification by the Account’s Committee at its next regularly scheduled quarterly meeting.

The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

Common stock, exchange-traded funds and financial derivative instruments (including futures contracts and certain options contracts on securities), that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via Nasdaq are valued at the Nasdaq official closing price. To the extent these securities are valued at the last sale price or Nasdaq official closing price, they are classified as Level 1 of the fair value hierarchy.

In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs to the valuation.

For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Account’s normal pricing time. These securities are valued using pricing vendor services that provide adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such adjustment factors are classified as Level 2 of the fair value hierarchy.

Investments in open end, non exchange-traded mutual funds are valued at their net asset value as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 as these securities have the ability to be purchased or sold at their net asset value on the date of valuation.

Over the counter derivatives are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, and other inputs. These instruments are categorized as level 2 of the fair value hierarchy.

Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. Where there are unobservable inputs used when determining such valuation, the securities will be classified as Level 3 of the fair value hierarchy.

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 subadviser’s 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 six months ended by cancelling Units.

Note 4:

Other Transactions with Affiliates

During the six months ended June 30, 2012, the Account invested 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:

Purchases and Sales of Portfolio Securities

For the six months ended June 30, 2012, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $42,458,237 and $51,523,271, respectively.

Note 6:

Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2012 and the year ended December 31, 2011, respectively, are as follows:


Standard Contracts	Units			Amount
Six months ended June 30, 2012:
Account units issued		269,475		$	2,720,788
Account units redeemed		(1,529,403	)		(15,653,008	)

Net increase (decrease) in units outstanding		(1,259,928	)	$	(12,932,220	)

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
Six months ended June 30, 2012:
Account units issued		5,902		$	63,371
Account units redeemed		(3,363	)		(34,681	)

Net increase (decrease) in units outstanding		2,539		$	28,690

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
Six months ended June 30, 2012:
Account units issued		4,698		$	53,665
Account units redeemed		(62,367	)		(687,680	)

Net increase (decrease) in units outstanding		(57,669	)	$	(634,015	)

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

Note 7:

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 8:

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 six months ended June 30, 2012, $94,414 in participant loans were withdrawn from VCA-10 and $65,051 of principal and interest was repaid to VCA-10. 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.

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 six months ended June 30, 2012, PICA has advised the Account that it received $651 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 9.

New Accounting Pronouncements

In December 2011, the Financial Accounting Standards Board issued ASU No. 2011-11 regarding “Disclosures about Offsetting Assets and Liabilities”. The amendments, which will be effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods, require an entity to disclose information about offsetting and related arrangements for assets and liabilities, financial instruments and derivatives that are either currently offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements. At this time, management is evaluating the implications of ASU No. 2011-11 and its impact on the financial statements has not yet been determined.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS (Unaudited)*

June 30, 2012


SHORT-TERM INVESTMENTS — 102.3%	Principal Amount (000)		Value (Note 2)


Certificates of Deposit — 13.3%
Bank of Nova Scotia 0.210%, 09/10/2012	$	400	$	400,000
Bank of Tokyo-Mitsubishi UFJ, Ltd. 0.360%, 08/03/2012		500		500,000
0.650%, 07/09/2012		300		300,019
Barclays Bank PLC 0.736%, 08/02/2012(b)		500		500,000
Branch Banking & Trust Co. 0.220%, 07/02/2012		500		500,000
Canadian Imperial Bank of Commerce 0.666%, 11/05/2012(b)		216		216,174
0.767%, 11/21/2012(b)		500		500,497
Norinchukin Bank (NY Branch) 0.190%, 07/11/2012		400		400,000
Rabobank Nederland NV 0.660%, 07/30/2012		425		425,000
0.680%, 08/01/2012		350		350,102
Societe Generale 0.300%, 07/03/2012		500		500,000
State Street Bank & Trust Co. 0.220%, 08/30/2012		350		350,000

				4,941,792

Commercial Paper — 33.9%
ABN AMRO Funding USA LLC, 144A 0.530%, 09/19/2012(a)		500		499,404
AXA Financial, Inc., 144A 0.370%, 07/05/2012(a)		400		399,979
BASF AG, 144A 0.220%, 08/20/2012(a)		400		399,875
BHP Billiton Finance (USA) Ltd., 144A 0.170%, 07/02/2012(a)		500		499,995
BMW US Capital LLC 0.716%, 07/25/2012(b)		490		490,118
BNP Paribas Finance, Inc. 0.120%, 07/02/2012(a)		500		499,997
Credit Agricole North America 0.300%, 07/05/2012(a)		500		499,979
Credit Suisse (NY Branch) 0.330%, 09/10/2012(a)		400		399,736
DNB Bank ASA, 144A 0.525%, 09/12/2012(a)		500		499,460
Electricite de France, 144A 0.350%, 07/27/2012(a)		500		499,869
GDF Suez, 144A 0.250%, 07/27/2012(a)		400		399,925
HSBC USA, Inc. 0.300%, 08/16/2012(a)		689		688,730
International Finance Corp. 0.125%, 07/24/2012(a)		500		499,958
JP Morgan Chase & Co. 0.291%, 09/12/2012(b)		500		500,000
New York Life Capital Corp., 144A 0.180%, 07/16/2012(a)		400		399,968


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

Commercial Paper (continued)
PNC Bank National Association 0.210%, 08/16/2012(a)	$	500	$	499,863
Schlumberger Holdings Corp., 144A 0.250%, 08/14/2012(a)		400		399,875
Siemens Capital Co. LLC, 144A 0.190%, 08/13/2012(a)		500		499,884
Skandinaviska Enskilda Banken AB, 144A 0.370%, 07/31/2012(a)		500		499,841
Standard Chartered Bank, 144A 0.400%, 10/09/2012(a)		400		399,551
State Street Corp. 0.220%, 08/29/2012(a)		500		499,817
Sumitomo Mitsui Banking Corp., 144A 0.370%, 07/18/2012(a)		500		499,908
Svenska Handelsbanken Inc., 144A 0.300%, 09/07/2012(a)		500		499,713
Swedbank AB 0.490%, 08/28/2012(a)		500		499,598
Total Capital Canada Ltd., 144A 0.200%, 08/17/2012(a)		350		349,907
US Bank National Association 0.200%, 08/30/2012		400		400,000
Westpac Banking Corp., 144A 0.250%, 09/19/2012(a)		350		349,803

				12,574,753

Other Instruments – Corporate Bonds — 5.4%
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN 0.596%, 08/02/2012(b)		250		250,074
MetLife Institutional Funding II, Sec’d. Notes, 144A 0.718%, 04/03/2013(b)		500		500,000
Toyota Motor Credit Corp., Unsec’d. Notes, MTN 0.666%, 11/09/2012(b)		250		250,000
0.713%, 04/03/2013(b)		250		250,000
Wachovia Corp., Sr. Unsec’d. Notes, MTN 2.236%, 05/01/2013(b)		359		364,149
Wells Fargo & Co., Sr. Unsec’d. Notes 5.250%, 10/23/2012		360		365,458

				1,979,681

U.S. Government Agency Obligations — 28.9%
Federal Home Loan Bank 0.110%, 07/05/2012(a)		800		799,987
0.130%, 07/13/2012(a)		750		749,966
0.130%, 08/29/2012(a)		500		499,892
0.150%, 10/30/2012(a)		500		499,746
Federal Home Loan Mortgage Corp. 0.110%, 10/24/2012(a)		300		299,894
0.120%, 07/24/2012(a)		1,000		999,916
0.120%, 08/28/2012(a)		500		499,902
0.120%, 09/11/2012(a)		500		499,878
0.125%, 09/19/2012(a)		300		299,919

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS (Unaudited)*

June 30, 2012


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

U.S. Government Agency Obligations (continued)
0.130%, 10/10/2012(a)	$	500	$	499,816
0.130%, 10/25/2012(a)		250		249,894
0.140%, 10/16/2012(a)		500		499,790
0.150%, 10/30/2012(a)		500		499,746
0.150%, 11/01/2012(a)		500		499,742
1.125%, 07/27/2012		500		500,369
Federal National Mortgage Association 0.110%, 09/20/2012(a)		400		399,900
0.120%, 08/30/2012(a)		500		499,898
0.265%, 08/23/2012(b)		600		600,054
0.273%, 10/18/2012(b)		500		500,275
0.625%, 09/24/2012		825		825,903

				10,724,487

U.S. Treasury Obligations — 6.8%
U.S. Treasury Bills 0.100%, 07/12/2012(a)		700		699,977
0.145%, 08/16/2012		500		499,905
U.S. Treasury Notes 0.500%, 11/30/2012		500		500,664
2.875%, 01/31/2013		300		304,717
4.125%, 08/31/2012		500		503,391

				2,508,654

Repurchase Agreements(c) — 14.0%
BNP Paribas Securities Corp. 0.18%, dated 06/27/2012, due 07/05/2012 in the amount of $500,020 (cost $500,000)		500		500,000
BNP Paribas Securities Corp. 0.19%, dated 06/25/2012, due 07/02/2012 in the amount of $465,017 (cost $465,000)		465		465,000
Credit Suisse Securities, Inc. 0.19%, dated 06/25/2012, due 07/02/2012 in the amount of $400,015 (cost $400,000)		400		400,000
Credit Suisse Securities, Inc. 0.21%, dated 06/04/2012, due 07/02/2012 in the amount of $400,065 (cost $400,000)		400		400,000
Credit Suisse Securities, Inc. 0.21%, dated 06/29/2012, due 07/31/2012 in the amount of $500,093 (cost $500,000)(d)		500		500,000


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

Repurchase Agreements(c) (continued)
Deutsche Bank Securities, Inc. 0.19%, dated 06/25/2012, due 07/02/2012 in the amount of $500,018 (cost $500,000)	$	500	$	500,000
Goldman Sachs & Co. 0.20%, dated 06/28/2012, due 07/05/2012 in the amount of $1,000,039 (cost $1,000,000)		1,000		1,000,000
Goldman Sachs & Co. 0.20%, dated 06/29/2012, due 07/06/2012 in the amount of $935,036 (cost $935,000)		935		935,000
UBS Securities LLC 0.20%, dated 06/25/2012, due 07/25/2012 in the amount of $500,083 (cost $500,000)(d)		500		500,000

				5,200,000

TOTAL INVESTMENTS — 102.3% (cost $37,929,367)			$	37,929,367

LIABILITIES LESS, OTHER ASSETS — (2.3)%
Interest Receivable			$	27,399
Cash				663
Payable for Pending Capital Transactions				(25,825	)
Payable for Securities Purchased				(869,963	)

LIABILITIES IN EXCESS OF OTHER ASSETS				(867,726	)

NET ASSETS — 100%			$	37,061,641

NET ASSETS, representing:
Equity of Participants			$	37,063,005
Equity of The Prudential Insurance Company of America				(1,364	)

			$	37,061,641

The following abbreviations are used in the portfolio descriptions:


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.
FHLMC		Federal Home Loan Mortgage Corporation
FNMA		Federal 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 June 30, 2012.

(c)	Repurchase agreements are collaterized by FHLMC (coupon rates 3.50%-8.00%, maturity dates 07/01/2012-03/01/2041) and FNMA (coupon rates 3.50%-8.00%, maturity dates 07/01/2012-06/01/2042), with the aggregate value, including accrued interest, of $5,308,319.

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS (Unaudited)*

June 30, 2012

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 in active markets for identical securities.

Level 2—

Level 3—

significant unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2012 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—		4,941,792	$	—
Commerical Paper		—		12,574,753		—
Other Instruments – Corporate Bonds		—		1,979,681		—
U.S. Government Agency Obligations		—		10,724,487		—
U.S. Treasury Obligations		—		2,508,654		—
Repurchase Agreements		—		5,200,000		—

Total	$	—	$	37,929,367	$	—

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage on net assets as of June 30, 2012 were as follows:


Commercial Paper	33.9	%
U.S. Government Agency Obligations	28.9
Repurchase Agreements	14.0
Certificates of Deposit	13.3
U.S. Treasury Obligations	6.8
Other Instruments – Corporate Bonds	5.4

	102.3
Liabilities in excess of other assets	(2.3	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF OPERATIONS (Unaudited)*

Six Months Ended June 30, 2012



INVESTMENT INCOME
Unaffiliated Interest Income	$	44,588
EXPENSES
Fees Charged to Participants for Investment Management Services		(46,492	)
Fees Charged to Participants for Administrative Expenses		(130,826	)
Total Expenses		(177,318	)
NET INVESTMENT LOSS		(132,730	)
Realized Gain on Investment Transactions		871
NET DECREASE IN NET ASSETS FROM OPERATIONS	$	(131,859	)


		*STATEMENT OF CHANGES IN NET ASSETS (Unaudited)*


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
OPERATIONS
Net Investment Loss	$	(132,730	)	$	(304,418	)
Net Realized Gain on Investment Transactions		871			856
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(131,859	)		(303,562	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		1,756,609			6,296,546
Withdrawals and Transfers Out		(3,077,406	)		(10,401,503	)
Annual Account Charges Deducted from Participants’ Accounts		(652	)		(19,612	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(1,321,449	)		(4,124,569	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(19,527	)		(2,822	)
TOTAL DECREASE IN NET ASSETS		(1,472,835	)		(4,430,953	)
NET ASSETS
Beginning of period		38,534,476			42,965,429
End of period	$	37,061,641		$	38,534,476


Accumulation Unit Values and Equity Of Participants as of June 30, 2012
Standard Contract:
Accumulation Unit Value and Equity Of Participants, $33,755,728 / 10,266,982 outstanding Accumulation Units	$	3.2878

0.50% Contract:
Accumulation Unit Value and Equity Of Participants, $1,753,397 / 496,467 outstanding Accumulation Units	$	3.5317

0.45% Contract:
Accumulation Unit Value and Equity Of Participants, $1,553,880 / 439,665 outstanding Accumulation Units	$	3.5342

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11


		**INCOME PER ACCUMULATION UNIT (Unaudited)***

(For an Accumulation Unit outstanding throughout the period)


	Period Ended June 30, 2012									Period Ended December 31, 2011
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract†
Investment Income	$	.0040		$	.0042		$	.0042		$	.0070		$	.0073		$	.0051
Expenses
Investment management fee		(.0041	)		(.0044	)		(.0044	)		(.0083	)		(.0088	)		(.0067	)
Administrative expenses		(.0123	)		(.0044	)		(.0035	)		(.0248	)		(.0088	)		(.0053	)
Net Investment Loss		(.0124	)		(.0046	)		(.0037	)		(.0261	)		(.0103	)		(.0069	)
Capital Changes
Net realized gain (loss) on investment transactions		.0001			.0001			.0001			.0001			.0001			.0000	††
Net Decrease in Accumulation Unit Value		(.0123	)		(.0045	)		(.0036	)		(.0260	)		(.0102	)		(.0069	)
Accumulation Unit Value
Beginning of period		3.3001			3.5362			3.5378			3.3261			3.5464			3.5447
End of period	$	3.2878		$	3.5317		$	3.5342		$	3.3001		$	3.5362		$	3.5378
Total Return**		(.37	%)		(.13	%)		(.10	%)		(.78	%)		(.29	%)		(.19	%)
Ratio of Expenses To Average Net Assets***		1.00	%†††		.50	%†††		.45	%†††		1.00	%		.50	%		.45	%†††
Ratio of Net Investment Loss To Average Net Assets***		(.38	%)†††		(.13	%)†††		(.10	%)†††		(.79	%)		(.29	%)		(.23	%)†††
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		10,267			496			440			10,650			495			458

†	Inception Date — April 1, 2011.

††	Less than $.00005.

†††	Annualized.


	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 (Unaudited)

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 Account’s 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 subadviser’s

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 six months ended June 30, 2012 and the year ended December 31, 2011, respectively, are as follows:


Standard Contract	Units			Amount
Six months ended June 30, 2012:
Account units issued		487,374		$	1,664,646
Account units redeemed		(870,649	)		(2,927,256	)

Net increase (decrease) in units outstanding		(383,275	)	$	(1,262,610	)



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% Contract
Six months ended June 30, 2012:
Account units issued		20,053		$	70,868
Account units redeemed		(18,424	)		(65,122	)

Net increase (decrease) in units outstanding		1,629		$	5,746



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% Contract
Six months ended June 30, 2012:
Account units issued		5,965		$	21,095
Account units redeemed		(24,045	)		(85,028	)

Net increase (decrease) in units outstanding		(18,080	)	$	(63,933	)


	Units			Amount
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

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 six months ended June 30, 2012, $33,175 in participant loans were withdrawn from VCA-11 and $62,380 of principal and interest was repaid to VCA-11. 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. 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 six months ended June 30, 2012, PICA has advised the Account that it received $493 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

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 Series Fund

Fees and Expenses — unaudited

June 30, 2012

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 January 1, 2012 through June 30, 2012.

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 January 1, 2012		Ending Account Value June 30, 2012		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,066.60		0.59	%	$	3.03
	Hypothetical	$	1,000.00	$	1,021.93		0.59	%	$	2.97
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,049.50		0.44	%	$	2.24
	Hypothetical	$	1,000.00	$	1,022.68		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,058.40		0.48	%	$	2.46
	Hypothetical	$	1,000.00	$	1,022.48		0.48	%	$	2.41
Equity (Class II)	Actual	$	1,000.00	$	1,056.30		0.88	%	$	4.50
	Hypothetical	$	1,000.00	$	1,020.49		0.88	%	$	4.42
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,076.90		0.63	%	$	3.25
	Hypothetical	$	1,000.00	$	1,021.73		0.63	%	$	3.17
Global (Class I)	Actual	$	1,000.00	$	1,067.10		0.85	%	$	4.37
	Hypothetical	$	1,000.00	$	1,020.64		0.85	%	$	4.27
Government Income (Class I)	Actual	$	1,000.00	$	1,020.70		0.48	%	$	2.41
	Hypothetical	$	1,000.00	$	1,022.48		0.48	%	$	2.41
Stock Index (Class I)	Actual	$	1,000.00	$	1,093.50		0.32	%	$	1.67
	Hypothetical	$	1,000.00	$	1,023.27		0.32	%	$	1.61

* 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 182 days in the six-month period ended June 30, 2012, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2012 (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 — 89.3%
COMMON STOCKS — 50.7%	Shares		Value (Note 2)

Aerospace & Defense — 1.3%
Boeing Co. (The)		69,900	$	5,193,570
Elbit Systems Ltd. (Israel)		128		4,408
European Aeronautic Defense and Space Co. NV (Netherlands)		2,029		72,011
General Dynamics Corp.		32,300		2,130,508
Goodrich Corp.		11,700		1,484,730
Honeywell International, Inc.		70,612		3,942,974
L-3 Communications Holdings, Inc.		9,000		666,090
Lockheed Martin Corp.(a)		24,000		2,089,920
Meggitt PLC (United Kingdom)		4,099		24,803
Northrop Grumman Corp.		22,962		1,464,746
Precision Castparts Corp.		12,900		2,121,921
Raytheon Co.		30,800		1,742,972
Rockwell Collins, Inc.		14,000		690,900
Safran SA (France)		542		20,128
Textron, Inc.		23,100		574,497
United Technologies Corp.		83,800		6,329,414

				28,553,592

Air Freight & Logistics — 0.5%
C.H. Robinson Worldwide, Inc.(a)		14,600		854,538
Deutsche Post AG (Germany)		8,206		145,193
Expeditors International of Washington, Inc.		21,700		840,875
FedEx Corp.		28,600		2,620,046
United Parcel Service, Inc. (Class B Stock)		87,300		6,875,748

				11,336,400

Airlines
All Nippon Airways Co. Ltd. (Japan)(a)		33,000		93,491
Southwest Airlines Co.		67,800		625,116

				718,607

Auto Components — 0.1%
BorgWarner, Inc.*(a)		10,200		669,018
CIE Generale des Etablissements Michelin (France) (Class B Stock)		1,642		107,430
Continental AG (Germany)		572		47,683
Goodyear Tire & Rubber Co. (The)*		28,000		330,680
Johnson Controls, Inc.		62,000		1,718,020
NHK Spring Co. Ltd. (Japan)		3,900		42,115
NOK Corp. (Japan)		2,700		57,648
Pirelli & C. SpA (Italy)		1,164		12,277
Toyoda Gosei Co. Ltd. (Japan)		3,400		78,380

				3,063,251

Automobiles — 0.2%
Bayerische Motoren Werke AG (Germany)		1,108		80,184
Daihatsu Motor Co. Ltd. (Japan)		1,000		17,507
Daimler AG (Germany)		1,205		54,152
Fiat SpA (Italy)		16,394		82,656
Ford Motor Co.(a)		345,885		3,317,037
Fuji Heavy Industries Ltd. (Japan)		20,000		162,041
Harley-Davidson, Inc.		19,800		905,454
Honda Motor Co. Ltd. (Japan)		500		17,448
Isuzu Motors Ltd. (Japan)		9,000		48,207
Nissan Motor Co. Ltd. (Japan)		14,700		139,587



COMMON STOCKS (continued)	Shares		Value (Note 2)

Automobiles (continued)
Suzuki Motor Corp. (Japan)		5,000	$	102,664
Toyota Motor Corp. (Japan)		2,600		104,942
Volkswagen AG (Germany)		68		10,276

				5,042,155

Beverages — 1.4%
Anheuser-Busch InBev NV (Belgium)		3,767		296,996
Beam, Inc.		14,000		874,860
Brown-Forman Corp. (Class B Stock)		9,100		881,335
Coca-Cola Co. (The)		206,000		16,107,140
Coca-Cola Enterprises, Inc.		28,400		796,336
Constellation Brands, Inc. (Class A Stock)*		17,200		465,432
Diageo PLC (United Kingdom)		5,095		131,323
Dr Pepper Snapple Group, Inc.(a)		19,900		870,625
Heineken Holding NV (Netherlands)		1,836		82,236
Heineken NV (Netherlands)		1,338		69,773
Molson Coors Brewing Co. (Class B Stock)		13,300		553,413
Monster Beverage Corp.*		7,000		498,400
PepsiCo, Inc.		142,907		10,097,809
SABMiller PLC (United Kingdom)		399		16,008

				31,741,686

Biotechnology — 0.7%
Alexion Pharmaceuticals, Inc.*		16,800		1,668,240
Amgen, Inc.		71,987		5,257,931
Biogen Idec, Inc.*		21,690		3,131,602
Celgene Corp.*		39,900		2,559,984
Gilead Sciences, Inc.*		68,900		3,533,192

				16,150,949

Building Products
ASSA Abloy AB (Sweden) (Class B Stock)		3,390		94,669
Geberit AG (Switzerland)		182		35,905
Masco Corp.		33,500		464,645

				595,219

Capital Markets — 0.9%
Aberdeen Asset Management PLC (United Kingdom)		16,386		66,740
Ameriprise Financial, Inc.		21,620		1,129,861
Bank of New York Mellon Corp. (The)		111,658		2,450,893
BlackRock, Inc. (Class A Stock)		11,400		1,935,948
Charles Schwab Corp. (The)		95,250		1,231,582
Deutsche Bank AG (Germany)		2,180		78,683
ETrade Financial Corp.		25,520		205,181
Federated Investors, Inc. (Class B Stock)(a)		10,800		235,980
Franklin Resources, Inc.		13,600		1,509,464
GAM Holding AG (Switzerland)		430		4,801
Goldman Sachs Group, Inc. (The)		47,000		4,505,420
Invesco Ltd.		39,400		890,440
Legg Mason, Inc.		10,200		268,974
Morgan Stanley		144,080		2,102,127
Northern Trust Corp.		21,900		1,007,838
Ratos AB (Sweden) (Class B Stock)		4,029		38,257
State Street Corp.		44,300		1,977,552

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Capital Markets (continued)
T. Rowe Price Group, Inc.(a)		23,100	$	1,454,376
UBS AG (Switzerland)		2,610		30,543

				21,124,660

Chemicals — 1.2%
Air Products & Chemicals, Inc.		19,000		1,533,870
Airgas, Inc.		6,700		562,867
Arkema SA (France)		718		47,078
Asahi Kasei Corp. (Japan)		14,000		75,889
BASF SE (Germany)		3,137		218,130
CF Industries Holdings, Inc.		6,300		1,220,562
Daicel Corp. (Japan)		2,000		12,303
Dow Chemical Co. (The)		107,931		3,399,826
E.I. du Pont de Nemours & Co.		84,820		4,289,347
Eastman Chemical Co.		11,300		569,181
Ecolab, Inc.		26,500		1,816,045
FMC Corp.		13,800		738,024
Incitec Pivot Ltd. (Australia)		4,731		13,977
International Flavors & Fragrances, Inc.		8,200		449,360
Israel Chemicals Ltd. (Israel)		2,245		24,839
Koninklijke DSM NV (Netherlands)		754		37,172
Lanxess AG (Germany)		2,124		134,417
Mitsubishi Gas Chemical Co., Inc. (Japan)		5,000		28,425
Monsanto Co.		48,694		4,030,889
Mosaic Co. (The)		28,200		1,544,232
Nitto Denko Corp. (Japan)		600		25,707
PPG Industries, Inc.		13,600		1,443,232
Praxair, Inc.		27,200		2,957,456
Sherwin-Williams Co. (The)		7,600		1,005,860
Sigma-Aldrich Corp.(a)		10,700		791,051
Syngenta AG (Switzerland)		200		68,465
Wacker Chemie AG (Germany)(a)		263		18,118
Yara International ASA (Norway)		3,570		156,230

				27,212,552

Commercial Banks — 1.6%
Aozora Bank Ltd. (Japan)		22,000		52,390
Australia & New Zealand Banking Group Ltd. (Australia)		5,148		117,272
Banco Santander SA (Spain)		14,639		96,841
Barclays PLC (United Kingdom)		62,926		160,791
BB&T Corp.		62,800		1,937,380
BNP Paribas SA (France)		2,350		90,604
BOC Hong Kong Holdings Ltd. (Hong Kong)		43,500		133,913
Comerica, Inc.		19,400		595,774
Commonwealth Bank of Australia (Australia)		2,854		156,298
DBS Group Holdings Ltd. (Singapore)		7,000		77,320
Fifth Third Bancorp		81,621		1,093,721
First Horizon National Corp.		28,587		247,278
HSBC Holdings PLC (United Kingdom)		39,470		347,802
Huntington Bancshares, Inc.		78,236		500,710
KeyCorp		89,100		689,634
M&T Bank Corp.		11,400		941,298


COMMON STOCKS (continued)	Shares		Value (Note 2)

Commercial Banks (continued)
Mitsubishi UFJ Financial Group, Inc. (Japan)		56,300	$	269,727
Mizuho Financial Group, Inc. (Japan)		48,500		81,928
National Australia Bank Ltd. (Australia)		7,724		188,138
PNC Financial Services Group, Inc.		48,033		2,935,297
Raiffeisen Bank International AG (Austria)		889		29,106
Regions Financial Corp.		129,603		874,820
Resona Holdings, Inc. (Japan)		20,300		83,627
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		13,003		84,448
Standard Chartered PLC (United Kingdom)		3,892		84,546
Sumitomo Mitsui Financial Group, Inc. (Japan)		7,600		251,066
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		29,000		86,670
SunTrust Banks, Inc.		48,500		1,175,155
Svenska Handelsbanken AB (Sweden) (Class A Stock)		2,864		94,156
Swedbank AB (Sweden) (Class A Stock)		9,574		150,829
U.S. Bancorp		176,885		5,688,622
Wells Fargo & Co.		489,964		16,384,396
Westpac Banking Corp. (Australia)		12,497		272,887
Zions Bancorporation(a)		15,550		301,981

				36,276,425

Commercial Services & Supplies — 0.2%
Avery Dennison Corp.		10,200		278,868
Cintas Corp.		8,900		343,629
Iron Mountain, Inc.		15,600		514,176
Pitney Bowes, Inc.(a)		20,700		309,879
Republic Services, Inc. (Class A Stock)		28,565		755,830
RR Donnelley & Sons Co.(a)		19,200		225,984
Societe BIC SA (France)		335		34,605
Stericycle, Inc.*(a)		8,200		751,694
Waste Management, Inc.		40,342		1,347,423

				4,562,088

Communications Equipment — 0.9%
Cisco Systems, Inc.		490,200		8,416,734
F5 Networks, Inc.*		7,800		776,568
Harris Corp.		9,400		393,390
JDS Uniphase Corp.*		21,475		236,225
Juniper Networks, Inc.*		48,100		784,511
Motorola Solutions, Inc.		25,389		1,221,465
QUALCOMM, Inc.		156,000		8,686,080

				20,514,973

Computers & Peripherals — 2.8%
Apple, Inc.*		85,500		49,932,000
Dell, Inc.*(a)		146,000		1,827,920
EMC Corp.*		189,250		4,850,478
Hewlett-Packard Co.		179,848		3,616,743
Lexmark International, Inc. (Class A Stock)		4,433		117,829
NetApp, Inc.*		34,000		1,081,880

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Computers & Peripherals (continued)
SanDisk Corp.*(a)		22,100	$	806,208
Seagate Technology PLC		8,000		197,840
Western Digital Corp.*		22,400		682,752

				63,113,650

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		1,381		29,582
Balfour Beatty PLC (United Kingdom)		18,292		85,530
Eiffage SA (France)		3,970		128,297
Ferrovial SA (Spain)		2,553		28,792
Fluor Corp.		15,700		774,638
Jacobs Engineering Group, Inc.*		12,700		480,822
Quanta Services, Inc.*(a)		16,700		401,969
Taisei Corp. (Japan)		3,000		8,041
Vinci SA (France)		1,346		62,906

				2,000,577

Construction Materials
Imerys SA (France)		1,037		52,867
Vulcan Materials Co.		10,300		409,013

				461,880

Consumer Finance — 0.5%
American Express Co.		92,400		5,378,604
Capital One Financial Corp.		51,561		2,818,324
Discover Financial Services		48,240		1,668,139
SLM Corp.		52,600		826,346

				10,691,413

Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		322		2,350
Ball Corp.		13,200		541,860
Bemis Co., Inc.		11,300		354,142
Owens-Illinois, Inc.*		13,500		258,795
Rexam PLC (United Kingdom)		2,210		14,586
Sealed Air Corp.		17,100		264,024

				1,435,757

Distributors
Genuine Parts Co.		14,200		855,550

Diversified Consumer Services
Apollo Group, Inc. (Class A Stock)*(a)		8,800		318,472
DeVry, Inc.		6,300		195,111
H&R Block, Inc.(a)		27,100		433,058

				946,641

Diversified Financial Services — 1.4%
Bank of America Corp.		996,821		8,153,996
Citigroup, Inc.		271,585		7,444,145
CME Group, Inc. (Class A Stock)		5,840		1,565,762
IntercontinentalExchange, Inc.*(a)		6,500		883,870
JPMorgan Chase & Co.		352,445		12,592,860
Leucadia National Corp.		19,700		419,019
Moody’s Corp.		17,000		621,350
NASDAQ OMX Group, Inc. (The)		11,600		262,972
NYSE Euronext		24,400		624,152
ORIX Corp. (Japan)		690		64,305
Pohjola Bank PLC (Finland) (Class A Stock)		1,983		23,141

				32,655,572


COMMON STOCKS (continued)	Shares		Value (Note 2)

Diversified Telecommunication Services — 1.5%
AT&T, Inc.		537,668	$	19,173,241
BT Group PLC (United Kingdom)		57,995		192,168
CenturyLink, Inc.(a)		56,036		2,212,862
France Telecom SA (France)		2,139		28,124
Frontier Communications Corp.(a)		101,590		389,090
Nippon Telegraph & Telephone Corp. (Japan)		4,700		219,163
Swisscom AG (Switzerland)		121		48,749
Telecom Corp. of New Zealand Ltd. (New Zealand)		82,198		156,513
Telecom Italia SpA (Italy)		9,469		9,357
Telecom Italia SpA (Italy) (Risparmio Shares)		14,437		11,699
Telefonica SA (Spain)		6,352		83,614
Verizon Communications, Inc.		259,176		11,517,781
Windstream Corp.(a)		57,357		554,069

				34,596,430

Electric Utilities — 1.1%
American Electric Power Co., Inc.		43,960		1,754,004
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		4,000		24,215
Duke Energy Corp.(a)		121,624		2,804,650
Edison International		30,300		1,399,860
Enel SpA (Italy)		51,729		167,026
Energias de Portugal SA (Portugal)		51,270		121,285
Entergy Corp.		16,600		1,126,974
Exelon Corp.		77,513		2,916,039
FirstEnergy Corp.		37,406		1,840,001
Iberdrola SA (Spain)		21,041		99,340
NextEra Energy, Inc.		37,900		2,607,899
Northeast Utilities		27,300		1,059,513
Pepco Holdings, Inc.(a)		20,000		391,400
Pinnacle West Capital Corp.		10,500		543,270
PPL Corp.		50,500		1,404,405
Progress Energy, Inc.		27,583		1,659,669
Red Electrica Corp. SA (Spain)		2,788		121,684
Southern Co.		78,900		3,653,070
SP AusNet (Australia)		16,311		17,094
SSE PLC (United Kingdom)		3,994		87,131
Xcel Energy, Inc.		44,310		1,258,847

				25,057,376

Electrical Equipment — 0.3%
Cooper Industries PLC (Ireland)		15,300		1,043,154
Emerson Electric Co.		66,800		3,111,544
Rockwell Automation, Inc.		13,600		898,416
Roper Industries, Inc.		8,700		857,646
Schneider Electric SA (France)		2,288		127,176

				6,037,936

Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		13,600		746,912
Corning, Inc.		138,500		1,790,805
FLIR Systems, Inc.		15,600		304,200
Hexagon AB (Sweden) (Class B Stock)		3,568		61,244
Hitachi Ltd. (Japan)		7,000		43,161
Jabil Circuit, Inc.		13,900		282,587
Kyocera Corp. (Japan)		300		25,962

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Electronic Equipment, Instruments & Components (continued)
Molex, Inc.		13,000	$	311,220
TE Connectivity Ltd.		39,900		1,273,209

				4,839,300

Energy Equipment & Services — 0.8%
Baker Hughes, Inc.		38,798		1,594,598
Cameron International Corp.*		22,500		960,975
Diamond Offshore Drilling, Inc.(a)		6,000		354,780
FMC Technologies, Inc.*		21,800		855,214
Halliburton Co.		84,000		2,384,760
Helmerich & Payne, Inc.		10,700		465,236
Nabors Industries Ltd.*		27,700		398,880
National Oilwell Varco, Inc.		38,600		2,487,384
Noble Corp.(a)		22,100		718,913
Petrofac Ltd. (United Kingdom)		2,686		58,628
Rowan Cos. PLC (Class A Stock)*		13,200		426,756
Schlumberger Ltd.		121,418		7,881,242
Seadrill Ltd. (Norway)		2,405		85,776
Technip SA (France)		120		12,506
Transocean Ltd. (Switzerland)		816		36,592

				18,722,240

Food & Staples Retailing — 1.2%
Aeon Co. Ltd. (Japan)		8,500		105,936
Costco Wholesale Corp.		39,600		3,762,000
CVS Caremark Corp.		118,548		5,539,748
J Sainsbury PLC (United Kingdom)		7,221		34,127
Koninklijke Ahold NV (Netherlands)		11,823		146,455
Kroger Co. (The)		52,346		1,213,904
Safeway, Inc.(a)		25,700		466,455
Seven & I Holdings Co. Ltd. (Japan)		3,100		93,451
Sysco Corp.		53,200		1,585,892
Tesco PLC (United Kingdom)		13,265		64,465
Walgreen Co.		79,500		2,351,610
Wal-Mart Stores, Inc.		159,000		11,085,480
Whole Foods Market, Inc.		14,800		1,410,736
WM Morrison Supermarkets PLC (United Kingdom)		30,201		126,022
Woolworths Ltd. (Australia)		2,531		69,674

				28,055,955

Food Products — 0.9%
Archer-Daniels-Midland Co.		60,226		1,777,871
Associated British Foods PLC (United Kingdom)		4,274		85,998
Campbell Soup Co.		15,000		500,700
ConAgra Foods, Inc.		38,600		1,000,898
Danone (France)		472		29,333
Dean Foods Co.*		20,800		354,224
General Mills, Inc.		58,500		2,254,590
Golden Agri-Resources Ltd. (Singapore)		229,000		122,303
H.J. Heinz Co.		28,200		1,533,516
Hershey Co. (The)		13,900		1,001,217
Hormel Foods Corp.(a)		10,400		316,368
J.M. Smucker Co. (The)		10,600		800,512
Kellogg Co.		23,100		1,139,523
Kraft Foods, Inc. (Class A Stock)		160,953		6,216,005
McCormick & Co., Inc.		12,800		776,320
Mead Johnson Nutrition Co.		19,167		1,543,135


COMMON STOCKS (continued)	Shares		Value (Note 2)

Food Products (continued)
Nestle SA (Switzerland)		6,719	$	400,976
Suedzucker AG (Germany)		1,619		57,435
Tate & Lyle PLC (United Kingdom)		1,276		12,959
Tyson Foods, Inc. (Class A Stock)		26,300		495,229
Unilever NV CVA (Netherlands)		2,164		72,290
Unilever PLC (United Kingdom)		1,419		47,641

				20,539,043

Gas Utilities — 0.1%
AGL Resources, Inc.		9,339		361,886
Enagas (Spain)		3,866		70,540
Gas Natural SDG SA (Spain)		4,830		62,016
Hong Kong & China Gas Co. Ltd. (Hong Kong)		19,800		42,061
ONEOK, Inc.(a)		18,600		786,966

				1,323,469

Healthcare Equipment & Supplies — 0.9%
Baxter International, Inc.		51,000		2,710,650
Becton Dickinson and Co.		19,000		1,420,250
Boston Scientific Corp.*		135,267		766,964
C.R. Bard, Inc.		7,700		827,288
CareFusion Corp.*		20,175		518,094
Coloplast A/S (Denmark) (Class B Stock)		833		149,780
Covidien PLC		44,000		2,354,000
DENTSPLY International, Inc.		14,400		544,464
Edwards Lifesciences Corp.*		10,300		1,063,990
Intuitive Surgical, Inc.*		3,500		1,938,265
Medtronic, Inc.		94,700		3,667,731
St. Jude Medical, Inc.		30,500		1,217,255
Stryker Corp.		28,800		1,586,880
Varian Medical Systems, Inc.*(a)		10,100		613,777
Zimmer Holdings, Inc.		17,200		1,106,992

				20,486,380

Healthcare Providers & Services — 1.0%
Aetna, Inc.		31,700		1,229,009
AmerisourceBergen Corp. (Class A Stock)		24,500		964,075
Cardinal Health, Inc.		32,550		1,367,100
CIGNA Corp.		26,400		1,161,600
Coventry Health Care, Inc.		13,050		414,860
DaVita, Inc.*(a)		7,900		775,859
Express Scripts Holding Co.*		72,749		4,061,577
Fresenius Se & Co. KGaA (Germany)		182		18,844
Humana, Inc.		14,900		1,153,856
Laboratory Corp. of America Holdings*(a)		8,200		759,402
McKesson Corp.(a)		22,130		2,074,687
Patterson Cos., Inc.		9,000		310,230
Quest Diagnostics, Inc.		14,200		850,580
Ramsay Health Care Ltd. (Australia)		1,987		46,168
Tenet Healthcare Corp.*		44,600		233,704
UnitedHealth Group, Inc.		97,100		5,680,350
WellPoint, Inc.		30,500		1,945,595

				23,047,496

Healthcare Technology — 0.1%
Cerner Corp.*(a)		13,300		1,099,378

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Hotels, Restaurants & Leisure — 1.0%
Carnival Corp.(a)		40,200	$	1,377,654
Chipotle Mexican Grill, Inc.*(a)		2,850		1,082,858
Darden Restaurants, Inc.(a)		10,750		544,272
Galaxy Entertainment Group Ltd. (Hong Kong)*		5,000		12,579
International Game Technology(a)		28,200		444,150
Marriott International, Inc. (Class A Stock)(a)		25,628		1,004,618
McDonald’s Corp.		92,700		8,206,731
Sands China Ltd. (Hong Kong)		49,200		158,278
SJM Holdings Ltd. (Hong Kong)		5,000		9,369
Starbucks Corp.		68,600		3,657,752
Starwood Hotels & Resorts Worldwide, Inc.		17,600		933,504
TABCORP Holdings Ltd. (Australia)		20,217		60,966
Wyndham Worldwide Corp.		14,620		771,059
Wynn Macau Ltd. (Macau)		3,200		7,551
Wynn Resorts Ltd.		7,100		736,412
Yum! Brands, Inc.		41,900		2,699,198

				21,706,951

Household Durables — 0.1%
D.R. Horton, Inc.		28,700		527,506
Harman International Industries, Inc.(a)		6,400		253,440
Leggett & Platt, Inc.		11,700		247,221
Lennar Corp. (Class A Stock)(a)		12,900		398,739
Newell Rubbermaid, Inc.		27,314		495,476
Pulte Group, Inc.*(a)		33,522		358,685
Sony Corp. (Japan)		1,700		24,309
Whirlpool Corp.(a)		7,326		448,058

				2,753,434

Household Products — 1.1%
Clorox Co. (The)(a)		11,800		855,028
Colgate-Palmolive Co.(a)		43,600		4,538,760
Henkel AG & Co. KGaA (Germany)		443		24,583
Kimberly-Clark Corp.(a)		35,800		2,998,966
Procter & Gamble Co. (The)		250,725		15,356,906
Reckitt Benckiser Group PLC (United Kingdom)		1,735		91,707

				23,865,950

Independent Power Producers & Energy Traders — 0.1%
AES Corp. (The)*		61,100		783,913
NRG Energy, Inc.*(a)		23,200		402,752

				1,186,665

Industrial Conglomerates — 1.4%
3M Co.		63,200		5,662,720
Danaher Corp.		52,000		2,708,160
General Electric Co.		967,100		20,154,364
Keppel Corp. Ltd. (Singapore)		4,000		32,770
Siemens AG (Germany)		1,278		107,387
Smiths Group PLC (United Kingdom)		2,108		33,478
Tyco International Ltd.		42,000		2,219,700

				30,918,579

Insurance — 1.8%
ACE Ltd.		30,700		2,275,791
Admiral Group PLC (United Kingdom)		2,394		44,658


COMMON STOCKS (continued)	Shares		Value (Note 2)

Insurance (continued)
Aflac, Inc.		44,700	$	1,903,773
Allstate Corp. (The)		48,400		1,698,356
American International Group, Inc.*		58,939		1,891,352
AON PLC (United Kingdom)		31,000		1,450,180
Assurant, Inc.(a)		8,400		292,656
Aviva PLC (United Kingdom)		20,290		86,881
AXA SA (France)(a)		6,996		93,528
Berkshire Hathaway, Inc. (Class B Stock)*		160,000		13,332,800
Chubb Corp.		24,700		1,798,654
Cincinnati Financial Corp.		15,537		591,494
Genworth Financial, Inc. (Class A Stock)*		47,000		266,020
Hannover Rueckversicherung AG (Germany)		864		51,467
Hartford Financial Services Group, Inc. (The)		42,700		752,801
Legal & General Group PLC (United Kingdom)		16,449		32,886
Lincoln National Corp.		28,918		632,437
Loews Corp.		29,275		1,197,640
Mapfre SA (Spain)		4,505		9,165
Marsh & McLennan Cos., Inc.		51,500		1,659,845
MetLife, Inc.		96,500		2,977,025
Muenchener Rueckversicherungs AG (Germany)		806		113,730
Old Mutual PLC (United Kingdom)		11,641		27,685
Principal Financial Group, Inc.		29,200		765,916
Progressive Corp. (The)		59,100		1,231,053
Prudential PLC (United Kingdom)		4,820		55,888
Sampo OYJ (Finland) (Class A Stock)		712		18,473
Standard Life PLC (United Kingdom)		21,571		78,981
Swiss Re AG (Switzerland)		3,731		235,209
Torchmark Corp.		9,750		492,862
Travelers Cos., Inc. (The)		35,735		2,281,322
Unum Group		30,610		585,569
XL Group PLC (Class A Stock)		28,700		603,848
Zurich Financial Services AG (Switzerland)		577		130,474

			��	39,660,419

Internet & Catalog Retail — 0.5%
Amazon.com, Inc.*		33,100		7,558,385
Expedia, Inc.(a)		8,150		391,770
Netflix, Inc.*(a)		4,600		314,962
priceline.com, Inc.*		4,500		2,990,340
Tripadvisor, Inc.*(a)		8,250		368,693

				11,624,150

Internet Software & Services — 0.9%
Akamai Technologies, Inc.*		16,100		511,175
eBay, Inc.*		104,200		4,377,442
Google, Inc. (Class A Stock)*		23,100		13,399,617
VeriSign, Inc.*(a)		13,900		605,623
Yahoo!, Inc.*		110,500		1,749,215

				20,643,072

IT Services — 1.9%
Accenture PLC (Ireland) (Class A Stock)		58,900		3,539,301

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

IT Services (continued)
Automatic Data Processing, Inc.		44,500	$	2,476,870
Cap Gemini SA (France)		1,877		69,085
Cognizant Technology Solutions Corp. (Class A Stock)*		26,900		1,614,000
Computer Sciences Corp.		12,500		310,250
Fidelity National Information Services, Inc.		21,300		725,904
Fiserv, Inc.*		13,200		953,304
International Business Machines Corp.		105,500		20,633,690
Itochu Techno-Solutions Corp. (Japan)		100		4,826
Mastercard, Inc. (Class A Stock)		9,700		4,172,067
Otsuka Corp. (Japan)		2,000		170,266
Paychex, Inc.(a)		29,800		936,018
SAIC, Inc.*		29,000		351,480
Teradata Corp.*		15,200		1,094,552
Total System Services, Inc.		15,596		373,212
Visa, Inc. (Class A Stock)		45,800		5,662,254
Western Union Co. (The)		57,110		961,732

				44,048,811

Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		9,900		335,313
Mattel, Inc.(a)		32,451		1,052,710
Nikon Corp. (Japan)		2,700		82,190
Sankyo Co., Ltd. (Japan)		200		9,760
Shimano, Inc. (Japan)		900		59,007
Yamaha Corp. (Japan)		1,900		19,552

				1,558,532

Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.		32,514		1,275,849
Life Technologies Corp.*		15,501		697,390
PerkinElmer, Inc.		8,100		208,980
Thermo Fisher Scientific, Inc.		33,300		1,728,603
Waters Corp.*(a)		8,800		699,336

				4,610,158

Machinery — 1.0%
Atlas Copco AB (Sweden) (Class A Stock)		1,447		31,141
Caterpillar, Inc.		58,900		5,001,199
Cummins, Inc.		18,500		1,792,835
Deere & Co.		36,600		2,959,842
Dover Corp.		17,500		938,175
Eaton Corp.(a)		29,300		1,161,159
FANUC Corp. (Japan)		1,100		180,819
Fiat Industrial SpA (Italy)		12,538		123,412
Flowserve Corp.		4,600		527,850
Hino Motors Ltd. (Japan)		11,000		79,617
Hitachi Construction Machinery Co. Ltd. (Japan)		2,000		37,772
Illinois Tool Works, Inc.		44,000		2,327,160
IMI PLC (United Kingdom)		1,440		18,812
Ingersoll-Rand PLC		27,100		1,143,078
Joy Global, Inc.		10,300		584,319
Kone OYJ (Finland) (Class B Stock)		933		56,347
Metso OYJ (Finland)		3,814		131,504
PACCAR, Inc.		31,043		1,216,575
Pall Corp.(a)		9,600		526,176
Parker Hannifin Corp.(a)		14,465		1,112,069


COMMON STOCKS (continued)	Shares		Value (Note 2)

Machinery (continued)
Sandvik AB (Sweden)		4,025	$	51,620
Snap-on, Inc.(a)		4,800		298,800
Stanley Black & Decker, Inc.		15,397		990,951
Sumitomo Heavy Industries Ltd. (Japan)		2,000		9,006
Volvo AB (Sweden) (Class B Stock)		7,823		89,444
Xylem, Inc.		15,200		382,584

				21,772,266

Marine
AP Moller Maersk A/S (Denmark) (Class B Stock)		1		6,558

Media — 1.7%
Cablevision Systems Corp. (Class A Stock)(a)		23,500		312,315
CBS Corp. (Class B Stock)		58,934		1,931,857
Comcast Corp. (Class A Stock)		245,390		7,845,118
DIRECTV (Class A Stock)*		61,600		3,007,312
Discovery Communications, Inc. (Class A Stock)*		22,900		1,236,600
Gannett Co., Inc.(a)		24,900		366,777
Hakuhodo DY Holdings, Inc. (Japan)		1,300		86,269
Interpublic Group of Cos., Inc. (The)		37,731		409,381
ITV PLC (United Kingdom)		59,791		71,946
McGraw-Hill Cos., Inc. (The)		24,000		1,080,000
News Corp. (Class A Stock)		194,900		4,344,321
Omnicom Group, Inc.(a)		26,000		1,263,600
Publicis Groupe SA (France)		570		26,068
Scripps Networks Interactive, Inc. (Class A Stock)		9,200		523,112
Time Warner Cable, Inc.		28,614		2,349,209
Time Warner, Inc.(a)		88,266		3,398,241
Viacom, Inc. (Class B Stock)		49,134		2,310,281
Walt Disney Co. (The)		163,100		7,910,350
Washington Post Co. (The) (Class B Stock)(a)		600		224,292
WPP PLC (United Kingdom)		3,740		45,403

				38,742,452

Metals & Mining — 0.4%
Alcoa, Inc.(a)		104,140		911,225
Allegheny Technologies, Inc.		9,900		315,711
Anglo American PLC (United Kingdom)		1,259		41,377
Antofagasta PLC (United Kingdom)		300		5,132
BHP Billiton Ltd. (Australia)		8,570		279,145
BHP Billiton PLC (Australia)		8,584		243,978
Boliden AB (Sweden)		3,526		49,201
Cliffs Natural Resources, Inc.(a)		12,700		625,983
Fortescue Metals Group Ltd. (Australia)		16,787		85,775
Freeport-McMoRan Copper & Gold, Inc.		86,288		2,939,832
Iluka Resources Ltd. (Australia)		484		5,712
Newmont Mining Corp.		44,700		2,168,397
Nucor Corp.		29,200		1,106,680
OZ Minerals Ltd. (Australia)		2,449		19,981
Randgold Resources Ltd. (United Kingdom)		347		31,154

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Metals & Mining (continued)
Rio Tinto Ltd. (Australia)		1,593	$	93,520
Rio Tinto PLC (United Kingdom)		4,078		193,801
Sumitomo Metal Mining Co. Ltd. (Japan)		7,000		78,884
Titanium Metals Corp.		8,000		90,480
United States Steel Corp.(a)		14,700		302,820
Vedanta Resources PLC (India)		2,988		42,829
Voestalpine AG (Austria)		1,426		37,874
Xstrata PLC (United Kingdom)		3,583		45,050

				9,714,541

Multiline Retail — 0.4%
Big Lots, Inc.*		7,200		293,688
Dollar Tree, Inc.*(a)		21,200		1,140,560
Family Dollar Stores, Inc.		10,600		704,688
J.C. Penney Co., Inc.(a)		14,400		335,664
Kohl’s Corp.(a)		24,300		1,105,407
Macy’s, Inc.		36,974		1,270,057
Nordstrom, Inc.		14,700		730,443
Sears Holdings Corp.*(a)		4,442		265,187
Target Corp.		61,100		3,555,409

				9,401,103

Multi-Utilities — 0.7%
Ameren Corp.		21,900		734,526
CenterPoint Energy, Inc.		38,100		787,527
CMS Energy Corp.		23,000		540,500
Consolidated Edison, Inc.		25,700		1,598,283
Dominion Resources, Inc.		51,932		2,804,328
DTE Energy Co.		15,000		889,950
GDF Suez (France)		3,154		75,216
Integrys Energy Group, Inc.(a)		8,120		461,784
National Grid PLC (United Kingdom)		10,725		113,664
NiSource, Inc.		28,000		693,000
PG&E Corp.		38,900		1,761,003
Public Service Enterprise Group, Inc.		46,100		1,498,250
RWE AG (Germany)		493		20,161
SCANA Corp.		11,300		540,592
Sempra Energy		22,219		1,530,445
TECO Energy, Inc.		20,500		370,230
Wisconsin Energy Corp.(a)		22,100		874,497

				15,293,956

Office Electronics — 0.1%
Canon, Inc. (Japan)		2,600		103,767
Xerox Corp.		127,463		1,003,134

				1,106,901

Oil, Gas & Consumable Fuels — 4.6%
Alpha Natural Resources, Inc.*		21,808		189,948
Anadarko Petroleum Corp.		45,354		3,002,435
Apache Corp.		35,014		3,077,380
BG Group PLC (United Kingdom)		403		8,250
BP PLC (United Kingdom)		61,798		412,698
Cabot Oil & Gas Corp.		21,000		827,400
Chesapeake Energy Corp.(a)		61,800		1,149,480
Chevron Corp.		181,922		19,192,771
ConocoPhillips(a)		116,477		6,508,735
Consol Energy, Inc.(a)		19,500		589,680
Denbury Resources, Inc.*		38,600		583,246


COMMON STOCKS (continued)	Shares		Value (Note 2)

Oil, Gas & Consumable Fuels (continued)
Devon Energy Corp.		36,800	$	2,134,032
ENI SpA (Italy)		9,524		202,339
EOG Resources, Inc.		24,500		2,207,695
EQT Corp.		12,800		686,464
Exxon Mobil Corp.		429,099		36,718,001
Hess Corp.		27,500		1,194,875
Idemitsu Kosan Co. Ltd. (Japan)		300		26,910
Kinder Morgan, Inc.		43,298		1,395,062
Marathon Oil Corp.		62,682		1,602,779
Marathon Petroleum Corp.(a)		31,641		1,421,314
Murphy Oil Corp.		17,300		870,017
Newfield Exploration Co.*		13,900		407,409
Noble Energy, Inc.		16,600		1,408,012
Occidental Petroleum Corp.		73,800		6,329,826
Peabody Energy Corp.		23,300		571,316
Phillips 66*		58,238		1,935,831
Pioneer Natural Resources Co.(a)		11,500		1,014,415
QEP Resources, Inc.		15,500		464,535
Range Resources Corp.		15,000		928,050
Repsol YPF SA (Spain)		1,470		23,630
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		9,278		324,022
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		10,290		346,700
Southwestern Energy Co.*		31,600		1,008,988
Spectra Energy Corp.		58,062		1,687,282
Statoil ASA (Norway)		4,724		112,660
Sunoco, Inc.		9,000		427,500
Tesoro Corp.*		15,000		374,400
Total SA (France)		6,568		295,619
Valero Energy Corp.		51,800		1,250,970
Williams Cos., Inc. (The)		59,600		1,717,672
WPX Energy, Inc.*		20,033		324,134

				104,954,482

Paper & Forest Products — 0.1%
International Paper Co.		41,873		1,210,548
MeadWestvaco Corp.		16,514		474,778

				1,685,326

Personal Products — 0.1%
Avon Products, Inc.		39,200		635,432
Estee Lauder Cos., Inc. (The) (Class A Stock)		21,400		1,158,168

				1,793,600

Pharmaceuticals — 3.2%
Abbott Laboratories		143,100		9,225,657
Allergan, Inc.		27,700		2,564,189
AstraZeneca PLC (United Kingdom)		6,715		300,077
Bayer AG (Germany)		3,121		224,898
Bristol-Myers Squibb Co.		153,670		5,524,436
Eli Lilly & Co.		94,900		4,072,159
Forest Laboratories, Inc.*		25,600		895,744
GlaxoSmithKline PLC (United Kingdom)		11,476		260,666
Hospira, Inc.*(a)		14,860		519,803
Johnson & Johnson(a)		252,248		17,041,875
Merck & Co., Inc.		277,033		11,566,128
Mylan, Inc.*		40,800		871,896

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Pharmaceuticals (continued)
Novartis AG (Switzerland)		5,566	$	311,202
Novo Nordisk A/S (Denmark) (Class B Stock)		1,224		177,525
Orion OYJ (Finland) (Class B Stock)		3,754		71,103
Otsuka Holdings Co. Ltd. (Japan)		200		6,139
Perrigo Co.		8,800		1,037,784
Pfizer, Inc.		691,170		15,896,910
Roche Holding AG (Switzerland)		2,154		372,067
Sanofi (France)		4,020		304,318
Shire PLC (United Kingdom)		517		14,874
Takeda Pharmaceutical Co. Ltd. (Japan)		1,900		86,263
Teva Pharmaceutical Industries Ltd. (Israel)		1,317		51,913
Watson Pharmaceuticals, Inc.*		11,200		828,688

				72,226,314

Professional Services — 0.1%
Adecco SA (Switzerland)		1,399		62,213
Campbell Brothers Ltd. (Australia)		1,300		72,881
Dun & Bradstreet Corp. (The)		4,800		341,616
Equifax, Inc.		10,100		470,660
Robert Half International, Inc.(a)		14,200		405,694

				1,353,064

Real Estate Investment Trusts — 1.1%
American Tower Corp.		35,800		2,502,778
Apartment Investment & Management Co. (Class A Stock)(a)		13,033		352,282
AvalonBay Communities, Inc.(a)		9,075		1,283,931
Boston Properties, Inc.(a)		13,500		1,462,995
Centro Retail Australia (Australia)		11,969		24,293
CFS Retail Property Trust (Australia)		24,531		48,961
Equity Residential(a)		27,000		1,683,720
Fonciere Des Regions (France)		862		61,977
Goodman Group (Australia)		4,960		18,781
GPT Group (Australia)		18,124		61,305
HCP, Inc.		36,000		1,589,400
Health Care REIT, Inc.(a)		19,400		1,131,020
Host Hotels & Resorts, Inc.(a)		66,682		1,054,909
Kimco Realty Corp.(a)		39,000		742,170
Link REIT (The) (Hong Kong)		35,000		143,460
Plum Creek Timber Co., Inc.		15,700		623,290
ProLogis, Inc.(a)		41,077		1,364,989
Public Storage		12,700		1,834,007
Simon Property Group, Inc.		27,843		4,334,041
Ventas, Inc.		25,518		1,610,696
Vornado Realty Trust		16,825		1,412,964
Westfield Retail Trust (Australia)		25,767		75,580
Weyerhaeuser Co.		48,598		1,086,651

				24,504,200

Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*(a)		29,600		484,256
Cheung Kong Holdings Ltd. (Hong Kong)		4,000		49,385
Daiwa House Industry Co. Ltd. (Japan)		6,000		85,110
IMMOFINANZ AG (Austria)		4,999		15,906
Keppel Land Ltd. (Singapore)		28,000		72,054


COMMON STOCKS (continued)	Shares		Value (Note 2)

Real Estate Management & Development (continued)
Lend Lease Group (Australia)		20,889	$	155,353
Sino Land Co. Ltd. (Hong Kong)		26,000		39,480
Sun Hung Kai Properties Ltd. (Hong Kong)		5,000		59,445
Tokyu Land Corp. (Japan)		19,000		94,312

				1,055,301

Road & Rail — 0.4%
Central Japan Railway Co. (Japan)		15		118,138
ComfortDelGro Corp. Ltd. (Singapore)		32,000		39,186
CSX Corp.		98,500		2,202,460
East Japan Railway Co. (Japan)		700		43,954
Norfolk Southern Corp.		30,000		2,153,100
Ryder System, Inc.		4,900		176,449
Union Pacific Corp.		43,700		5,213,847
West Japan Railway Co. (Japan)		1,000		41,138

				9,988,272

Semiconductors & Semiconductor Equipment — 1.2%
Advanced Micro Devices, Inc.*(a)		55,700		319,161
Altera Corp.		29,700		1,005,048
Analog Devices, Inc.		28,500		1,073,595
Applied Materials, Inc.		114,700		1,314,462
ASML Holding NV (Netherlands)		4,043		207,633
Broadcom Corp. (Class A Stock)		44,650		1,509,170
First Solar, Inc.*(a)		3,000		45,180
Intel Corp.		458,700		12,224,355
KLA-Tencor Corp.		14,700		723,975
Lam Research Corp.*(a)		15,650		590,631
Linear Technology Corp.		20,500		642,265
LSI Corp.*		57,100		363,727
Microchip Technology, Inc.(a)		19,400		641,752
Micron Technology, Inc.*		87,900		554,649
NVIDIA Corp.*		61,450		849,239
Teradyne, Inc.*(a)		19,800		278,388
Texas Instruments, Inc.		104,200		2,989,498
Xilinx, Inc.		23,400		785,538

				26,118,266

Software — 1.9%
Adobe Systems, Inc.*		43,200		1,398,384
Autodesk, Inc.*		19,700		689,303
BMC Software, Inc.*		16,300		695,684
CA, Inc.(a)		32,364		876,741
Citrix Systems, Inc.*		17,400		1,460,556
Dassault Systemes SA (France)		813		76,277
Electronic Arts, Inc.*		33,600		414,960
Intuit, Inc.		26,800		1,590,580
Microsoft Corp.		683,700		20,914,383
Nexon Co. Ltd. (Japan)*		4,700		92,009
Oracle Corp.		356,800		10,596,960
Red Hat, Inc.*		16,600		937,568
Salesforce.com, Inc.*		12,000		1,659,120
SAP AG (Germany)		2,801		165,863
Symantec Corp.*		69,878		1,020,918

				42,589,306

Specialty Retail — 1.0%
Abercrombie & Fitch Co. (Class A Stock)		8,300		283,362

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)

Specialty Retail (continued)
AutoNation, Inc.*(a)		3,874	$	136,675
AutoZone, Inc.*		2,600		954,642
Bed Bath & Beyond, Inc.*		21,300		1,316,340
Best Buy Co., Inc.(a)		27,525		576,924
CarMax, Inc.*(a)		20,100		521,394
GameStop Corp. (Class A Stock)(a)		13,600		249,696
Gap, Inc. (The)		30,000		820,800
Home Depot, Inc. (The)		140,350		7,437,147
Limited Brands, Inc.		22,906		974,192
Lowe’s Cos., Inc.		109,400		3,111,336
O’Reilly Automotive, Inc.*		11,100		929,847
Ross Stores, Inc.		20,800		1,299,376
Shimamura Co. Ltd. (Japan)		700		80,889
Staples, Inc.		65,449		854,109
Tiffany & Co.		11,100		587,745
TJX Cos., Inc.		68,700		2,949,291
Urban Outfitters, Inc.*		11,100		306,249
USS Co. Ltd. (Japan)		590		63,662

				23,453,676

Textiles, Apparel & Luxury Goods — 0.3%
Christian Dior SA (France)		168		23,104
Cie Financiere Richemont SA (Switzerland)		2,074		113,883
Coach, Inc.		26,100		1,526,328
Fossil, Inc.*		4,200		321,468
LVMH Moet Hennessy Louis Vuitton SA (France)		599		91,162
NIKE, Inc. (Class B Stock)		33,400		2,931,852
Ralph Lauren Corp.		5,800		812,348
V.F. Corp.		8,000		1,067,600

				6,887,745

Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		49,900		317,863
People’s United Financial, Inc.		36,300		421,443

				739,306

Tobacco — 1.0%
Altria Group, Inc.		186,200		6,433,210
British American Tobacco PLC (United Kingdom)		4,967		252,522
Imperial Tobacco Group PLC (United Kingdom)		4,986		192,101
Japan Tobacco, Inc. (Japan)		3,200		94,802
Lorillard, Inc.		11,947		1,576,407
Philip Morris International, Inc.		155,800		13,595,108
Reynolds American, Inc.		31,600		1,417,892

				23,562,042

Trading Companies & Distributors — 0.1%
Fastenal Co.(a)		27,600		1,112,556
ITOCHU Corp. (Japan)		12,500		131,383


COMMON STOCKS (continued)	Shares		Value (Note 2)

Trading Companies & Distributors (continued)
Marubeni Corp. (Japan)		15,000	$	99,943
Mitsubishi Corp. (Japan)		1,800		36,386
Mitsui & Co. Ltd. (Japan)		2,200		32,692
Rexel SA (France)		827		14,126
Sumitomo Corp. (Japan)		11,800		165,103
W.W. Grainger, Inc.		5,800		1,109,192

				2,701,381

Wireless Telecommunication Services — 0.1%
Crown Castle International Corp.*		22,200		1,302,252
KDDI Corp. (Japan)		31		199,978
MetroPCS Communications, Inc.*		29,500		178,475
Millicom International Cellular SA (Luxembourg)		151		14,251
Softbank Corp. (Japan)		6,500		241,954
Sprint Nextel Corp.*		292,777		954,453
Vodafone Group PLC (United Kingdom)		57,448		161,472

				3,052,835

TOTAL COMMON STOCKS (cost $694,034,222)				1,148,138,214

EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund (cost $539,336)		10,700		534,572

PREFERRED STOCKS
Automobiles
Bayerische Motoren Werke AG (Germany)		317		15,637
Volkswagen AG (Germany)		821		130,070

				145,707

Banking
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		20,000		545,800
JPMorgan Chase Capital XXVI, 8.000% (Capital Security, fixed to floating preferred)(b)		28,000		708,120

				1,253,920

Household Products
Henkel AG & Co. KGaA (Germany)		145		9,635

TOTAL PREFERRED STOCKS (cost $1,368,534)				1,409,262


	Units
RIGHT
Oil, Gas & Consumable Fuels
Repsol YPF SA (Spain) (cost $0)*		1,470		1,031

SEE NOTES TO FINANCIAL STATEMENTS.


ASSET-BACKED SECURITIES — 1.4%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)

Non-Residential Mortgage-Backed Securities — 1.0%
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.716%	10/20/19	$	2,163		$	2,068,401
Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(b)	Aaa		0.716%	10/27/18		1,000			967,378
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b)	Aaa		2.066%	05/17/21		500			501,282
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.726%	01/26/20		1,336			1,289,100
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.642%	01/15/16		4,159			4,136,487
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.717%	05/25/17		734			721,363
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.716%	08/03/19		411			398,410
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b)	Baa2		0.644%	02/20/15		1,500			1,498,750
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(b)	Aaa		0.816%	07/27/16		984	(c)		984
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.716%	07/22/20		817			790,841
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aa1		0.938%	03/15/20		1,000			893,882
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.727%	12/15/17		539			536,122
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(b)	Aaa		0.827%	07/15/16		48			47,984
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.706%	10/19/20		1,257			1,209,524
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.727%	06/01/17		1,918			1,870,051
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.728%	09/15/17		1,459			1,412,402
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.718%	03/15/18		348			333,933
Race Point CLO Ltd. (Cayman Islands), Ser. 2012-6A, Class B, 144A(b)(d)	AA(e)		2.967%	05/24/23		1,000			994,813
Slater Mill Loan Fund LP (Cayman Island), Ser. 2012-1A, Class B, 144A(b)	AA(e)		3.117%	08/17/22		750			720,000
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		175			177,759
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.716%	11/01/18		2,900			2,824,093

									23,393,559

Residential Mortgage-Backed Securities — 0.4%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.895%	03/25/33		481			324,463
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(b)	Ba1		0.995%	03/25/34		3,240			2,761,656
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3	B3		5.120%	07/25/35		388			321,529
Equity One ABS, Inc., Ser. 2004-3, Class M1(b)	Ba1		5.506%	07/25/34		868			681,392
Fremont Home Loan Trust, Ser. 2004-2, Class M1(b)	A3		1.100%	07/25/34		506			384,370
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.734%	01/20/35		356			319,204
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.775%	06/25/34		991			756,109
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.445%	05/25/33		243			203,992
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.295%	12/27/33		1,349			1,181,534
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.145%	07/25/32		706			506,325
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.520%	09/25/32		873			657,076
Securitized Asset Backed Receivables LLC, Ser. 2004-OP1, Class M1(b)	Ba3		1.010%	02/25/34		1,328			1,016,152
Securitized Asset Backed Receivables LLC, Ser. 2006-FR3, Class A3(b)	Ca		0.495%	05/25/36		1,400			466,351

									9,580,153

TOTAL ASSET-BACKED SECURITIES (cost $34,524,505)									32,973,712

BANK LOANS(b) — 0.4%
Foods — 0.1%
Del Monte Foods Co.	B(e)		4.500%	03/08/18		988			970,550

SEE NOTES TO FINANCIAL STATEMENTS.

A10


BANK LOANS(b) (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Gaming
Scientific Games Corp	Ba1		3.000%	06/30/15	$	425	$	420,484

Healthcare & Pharmaceutical — 0.2%
Davita, Inc.	Ba2		4.500%	10/20/16		1,094		1,093,105
HCA, Inc.	Ba3		3.495%	05/01/18		370		358,306
HCA, Inc.	Ba3		3.711%	03/31/17		886		859,882
RPI Finance Trust	Baa2		4.000%	11/09/18		914		905,780

								3,217,073

Metals
Schaeffler AG	B1		6.000%	01/27/17		600		599,063

Pipelines & Other
Energy Transfer Equity LP	Ba2		3.750%	03/23/17		800		781,714

Technology — 0.1%
First Data Corp.	B1		4.245%	03/26/18		2,055		1,884,026
First Data Corp.	B1		5.245%	03/24/17		156		148,163
Flextronics International Ltd. (Singapore)	Ba1		2.489%	10/01/14		412		402,611
Flextronics International Ltd. (Singapore)	Ba1		2.495%	10/01/14		118		115,693

								2,550,493

TOTAL BANK LOANS (cost $8,722,875)								8,539,377

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,350		1,755,643
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		3.002%	02/25/35		576		495,372
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		3.029%	03/25/35		608		513,705
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	Ba2		2.894%	02/25/37		1,411		1,355,297
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		737		754,683
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.880%	07/25/35		871		830,237
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		193		199,521
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa1		2.740%	02/25/34		669		647,104
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(e)		5.000%	03/25/20		483		455,927

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $7,869,958)								7,007,489

COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.0%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		3,167		3,253,857
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		2,000		2,031,836
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.805%	06/10/49		1,171		1,177,013
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,400		3,665,492
Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, Class A4(b)	AAA(e)		5.619%	03/11/39		1,200		1,348,498
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.482%	01/15/46		1,000		1,113,020
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%	10/15/48		480		543,374
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(e)		5.440%	09/15/30		511		525,916
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(b)	AAA(e)		5.941%	06/10/46		4,000		4,503,900
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		1,492		1,498,658
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		900		953,805
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(e)		5.593%	02/15/39		4,330		4,839,147
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AA-(e)		5.593%	02/15/39		530		574,387
CS First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4	Aaa		4.283%	10/15/39		25		25,142
CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4(b)	AAA(e)		5.100%	08/15/38		3,000		3,307,755

SEE NOTES TO FINANCIAL STATEMENTS.

A11


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

CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA-(e)		5.223%		08/15/48	$	1,020	$	1,126,679
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(e)		6.007%		05/15/46		2,100		2,239,018
FHLMC Multifamily Structured Pass Through Certificates, I/O, Ser. 2012-K501, Class X1A(b)	Aaa		1.758%		08/25/16		6,385		345,985
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(e)		4.697%		05/10/43		2,610		2,782,223
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(b)	Aa2		5.224%		04/10/37		1,400		1,529,979
Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(b)	Aaa		6.071%		07/10/38		1,620		1,846,521
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%		03/10/39		2,915		2,982,539
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(b)	Aaa		5.778%		08/10/45		999		1,007,332
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(b)	Aaa		4.853%		03/15/46		1,715		1,776,471
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%		07/15/42		264		266,302
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%		07/15/42		1,000		1,062,637
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%		07/15/42		3,120		3,237,743
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%		10/15/42		1,170		1,252,252
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%		05/12/45		1,656		1,766,576
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class A4(b)	Aaa		5.475%		04/15/43		2,436		2,722,744
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A2(b)	Aaa		5.994%		06/15/49		1,588		1,590,355
JPMorgan Chase Commercial Mortgage Securities Corp. I/O, Ser. 2006-LDP6, Class X2(b)	Aaa		0.224%		04/15/43		97,332		70,565
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%		06/15/45		1,800		1,843,641
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(b)	AAA(e)		4.826%		08/15/29		3,677		3,739,102
LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5	Aaa		4.739%		07/15/30		695		753,417
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(e)		5.263%		11/15/40		1,390		1,509,094
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(e)		5.084%		02/15/31		3,037		3,050,699
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%		03/15/32		55		54,777
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(b)	Aaa		5.661%		03/15/39		1,630		1,830,862
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%		08/12/39		1,900		1,959,894
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(b)	AAA(e)		5.848%		05/12/39		3,400		3,860,986
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	A(e)		5.848%		05/12/39		780		842,774
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	A(e)		5.657%		02/12/39		440		467,034
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		6.093%		06/12/46		2,210		2,505,183
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5, Class A3	Aaa		5.364%		08/12/48		440		448,448
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%		03/12/51		2,245		2,301,526
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.600%		03/12/44		1,500		1,671,319
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(e)		5.894%		10/15/42		2,600		2,927,595
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(e)		5.332%		12/15/43		4,080		4,634,888
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%		02/12/44		4,172		4,368,212
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(e)		5.824%		06/11/42		1,040		1,086,400
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(b)	Aaa		5.418%		01/15/45		1,300		1,445,014
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.922%		05/15/43		5,188		5,896,118
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%		04/15/47		3,800		4,158,823
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		6.097%		02/15/51		3,850		4,314,414

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $103,073,640)									112,637,941

SEE NOTES TO FINANCIAL STATEMENTS.

A12


CORPORATE BONDS — 10.6%	Moody’s Ratings†	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)

Aerospace & Defense
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%		07/15/20	$	475	$	506,642

Airlines — 0.2%
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2001-1, Class A-1(d)	Baa2		6.703%		06/15/21		128		137,296
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-A(a)	Baa2		4.750%		01/12/21		721		755,083
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 981A	Baa2		6.648%		09/15/17		185		194,852
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. A	Baa2		7.250%		11/10/19		654		737,121
Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., Ser. A(a)	Baa2		5.300%		04/15/19		1,061		1,132,875
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 071A	Baa2		6.821%		08/10/22		366		393,952
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2A(a)	Baa2		4.950%		05/23/19		637		676,570

									4,027,749

Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A	Baa3		3.984%		06/15/16		430		442,861
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A	Baa3		4.207%		04/15/16		1,440		1,495,264
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%		03/15/17		380		385,510
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%		12/15/14		495		536,024
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%		01/15/16		235		264,153

									3,123,812

Banking — 2.7%
American Express Co., Sr. Unsec’d. Notes	A3		8.125%		05/20/19		2,000		2,663,206
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%		09/19/16		1,210		1,262,230
Banco Bradesco SA (Brazil), Sub. Notes	Baa1		8.750%		10/24/13		1,690		1,816,750
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(b)	B1		8.000%		12/29/49		2,100		2,187,528
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%		04/01/15		185		190,691
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%		01/24/22		1,290		1,420,669
Bank of America Corp., Sr. Unsec’d. Notes(f)	Baa2		6.000%		09/01/17		1,330		1,435,317
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%		07/12/16		790		796,426
Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN(a)	Baa2		5.650%		05/01/18		105		112,276
Bank of America NA, Sub. Notes	Baa1		5.300%		03/15/17		850		884,961
Bank of America NA, Sub. Notes	Baa1		6.000%		10/15/36		805		846,604
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		5.300%		10/30/15		550		596,840
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		6.400%		10/02/17		270		311,359
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		7.250%		02/01/18		1,135		1,356,924
Capital One Bank Corp., Sub. Notes	Baa1		6.500%		06/13/13		10		10,481
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%		05/15/40		1,130		1,148,363
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%		01/14/22		2,125		2,194,815
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%		05/15/18		745		831,848
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%		03/05/38		320		391,418
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%		07/15/39		850		1,134,321
Citigroup, Inc., Sub. Notes	Baa3		5.625%		08/27/12		1,900		1,911,549
Citigroup, Inc., Sub. Notes(a)	Baa3		6.125%		08/25/36		725		713,093
Citigroup, Inc., Unsec’d. Notes	Baa2		8.500%		05/22/19		1,195		1,475,862
DEPFA ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%		03/16/37		1,325		922,857
Discover Bank, Sub. Notes	Ba1		7.000%		04/15/20		485		564,477
Discover Bank, Sub. Notes	Ba1		8.700%		11/18/19		900		1,118,158
Goldman Sachs Group, Inc. (The), Sr. Notes	A3		6.250%		02/01/41		220		229,406
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.250%		07/27/21		2,305		2,341,461
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.450%		11/01/12		580		588,412
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.750%		01/24/22		1,250		1,319,505
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%		06/15/20		700		747,298
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%		01/15/17		765		802,410
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.450%		05/01/36		1,020		994,824
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%		10/01/37		113		110,746
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa3		4.875%		01/14/22		1,730		1,912,384

SEE NOTES TO FINANCIAL STATEMENTS.

A13


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

Banking (continued)
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21	$	920	$	1,027,134
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		150		175,639
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b)	Ba1		7.900%	04/29/49		2,000		2,192,580
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		1,935		1,989,962
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.250%	10/15/20		2,360		2,479,213
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA	Baa2		7.000%	11/01/39		1,500		1,500,000
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A2		5.800%	01/13/20		1,770		1,892,149
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.500%	07/28/21		635		625,638
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,110		2,088,267
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		495		508,445
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		6.625%	04/01/18		100		104,557
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN(a)	Baa1		5.450%	01/09/17		2,530		2,555,024
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(b)	Ba1		6.346%	07/29/49		800		859,958
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		925		958,636
PNC Funding Corp., Gtd. Notes.(a)	A3		6.700%	09/19/16		390		484,925
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,775		1,892,785
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A3		3.400%	08/23/13		95		95,984
UBS AG London (Switzerland), Covered Notes, 144A	Aaa		2.250%	03/30/17		810		812,490
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39		755		761,168

								60,350,023

Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	02/06/12		1,850		420,875
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(a)(g)	NR		6.875%	05/02/18		700		162,750

								583,625

Cable — 0.3%
Cablevision Systems Corp., Sr. Unsec’d. Notes	B1		8.625%	09/15/17		900		1,003,500
Comcast Cable Holdings LLC, Gtd. Notes	Baa1		9.875%	06/15/22		1,440		2,092,782
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		310		377,894
Comcast Corp., Gtd. Notes(a)	Baa1		6.950%	08/15/37		290		372,481
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		605		638,118
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		173,745
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		1,755		1,883,866
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,020		1,026,578
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		382,499

								7,951,463

Capital Goods — 0.3%
Actuant Corp., Gtd. Notes, 144A	Ba2		5.625%	06/15/22		1,040		1,068,600
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		635		630,874
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $459,646; purchased 10/10/07)(d)(h)	Baa1		5.800%	10/15/12		460		465,656
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(d)(h)	Baa1		6.375%	10/15/17		1,198		1,400,242
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(d)(h)	Baa1		7.000%	10/15/37		390		470,121
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17		320		373,677
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41		180		204,819
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A	Baa3		3.125%	05/11/15		420		422,512
United Technologies Corp., Sr. Unsec’d. Notes(a)	A2		4.500%	06/01/42		1,540		1,691,544
Xylem, Inc., Sr. Unsec’d. Notes, 144A	Baa2		4.875%	10/01/21		1,060		1,172,391

								7,900,436

Chemicals — 0.2%
Ashland, Inc., Sr. Sec’d. Notes	Baa3		9.125%	06/01/17		1,125		1,237,500
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		1,600		1,781,066
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		35		55,735

SEE NOTES TO FINANCIAL STATEMENTS.

A14


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

Chemicals (continued)
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13	$	780	$	820,920
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		135		158,749
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.500%	06/01/25		500		601,323

								4,655,293

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,600		1,844,438
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		998		1,082,840

								2,927,278

Electric — 0.7%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		170		199,420
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		530		701,518
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		1,070		1,107,956
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		300		415,512
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		145		182,216
Duke Energy Carolinas LLC, First Mtge. Bonds(a)(i)	A1		6.050%	04/15/38		530		703,007
El Paso Electric Co., Sr. Unsec’d. Notes(a)	Baa2		6.000%	05/15/35		845		996,930
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,160		1,358,931
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	Baa1		6.000%	10/07/39		1,260		989,173
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		195		211,942
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,375		1,489,463
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		380		501,171
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		470		561,270
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		140		132,358
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		575		617,084
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		325		403,111
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa1		6.500%	05/15/18		1,210		1,489,290
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		545		616,153
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		605		674,674
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a)	Baa1		6.375%	01/15/15		465		514,244
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		135		161,663
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		515		668,994
Southern California Edison Co., Ser. 04-F	A1		4.650%	04/01/15		610		667,322
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		4.800%	09/15/41		480		537,128
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		263		304,832

								16,205,362

Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		480		540,401
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		960		1,017,221

								1,557,622

Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		1,070		1,242,948
Anadarko Petroleum Corp., Sr. Unsec’d. Notes(a)	Baa3		6.450%	09/15/36		305		352,619
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		225		275,748
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		900		944,417
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		890		924,752
Phillips 66, Gtd. Notes, 144A	Baa1		2.950%	05/01/17		415		426,441
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,450		1,706,411
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		140		169,386
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		685		735,381
Weatherford International Ltd. (Bermuda), Gtd. Notes	Baa2		6.500%	08/01/36		25		27,162
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,660		1,730,704

								8,535,969

SEE NOTES TO FINANCIAL STATEMENTS.

A15


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

Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39	$	1,160	$	1,823,836
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		230		365,669
ARAMARK Corp., Gtd. Notes(a)	B3		8.500%	02/01/15		650		665,444
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		708		775,526
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,000		1,055,200
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		860		1,073,662
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $646,913; purchased 11/19/07)(d)(h)	A2		6.000%	11/27/17		650		773,118
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		460		511,094
Kraft Foods Group, Inc., Gtd. Notes, 144A(a)	Baa2		5.000%	06/04/42		575		608,566
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		695		793,169
Tyson Foods, Inc., Gtd. Notes	Baa3		6.850%	04/01/16		785		897,844

								9,343,128

Healthcare & Pharmaceutical — 0.3%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,365		1,424,944
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		995		1,076,335
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,060		2,104,072
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes	A1		6.450%	09/15/37		480		649,904
Genentech, Inc., Sr. Unsec’d. Notes	AA-(e)		4.750%	07/15/15		270		298,381
Gilead Sciences, Inc., Sr. Unsec’d. Notes(a)	Baa1		5.650%	12/01/41		470		547,860
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		560		632,344
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		205		268,576
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	08/15/19		440		505,863

								7,508,279

Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		480		613,820
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		540		614,516
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		640		750,279
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,200		1,308,864
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		115		138,470
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		400		530,330
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		410		548,777
WellPoint, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.625%	05/15/42		435		448,431
WellPoint, Inc., Sr. Unsec’d. Notes	Baa1		5.000%	12/15/14		1,085		1,178,916

								6,132,403

Insurance — 0.9%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		480		504,235
Allstate Corp. (The), Sr. Unsec’d. Notes	A3		5.200%	01/15/42		115		129,157
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		655		668,077
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		910		1,029,644
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		900		1,086,468
Axis Specialty Finance LLC, Gtd. Notes(a)	Baa1		5.875%	06/01/20		990		1,072,137
Chubb Corp. (The), Jr. Sub. Notes(a)(b)	A3		6.375%	03/29/67		1,260		1,300,950
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes	Baa3		5.125%	04/15/22		635		653,895
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		910		972,665
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		215		217,622
Lincoln National Corp., Jr. Sub. Notes(b)	Ba1		6.050%	04/20/67		250		228,750
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		476		513,470
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		660		778,467
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		505		635,936
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		960		1,138,033
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		85		106,979
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		270		316,602
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		650		859,182
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A	Aa2		6.063%	03/30/40		350		426,166
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.350%	04/01/13		1,000		1,000,565

SEE NOTES TO FINANCIAL STATEMENTS.

A16


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

Insurance (continued)
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20	$	640	$	720,112
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		870		1,104,884
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		715		743,600
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A(a)	Aa2		6.850%	12/16/39		1,430		1,846,506
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		315		338,817
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		705		759,209
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		575		641,413
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		110		115,871

								19,909,412

Lodging — 0.3%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		800		912,000
Host Marriott LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		750		761,250
Marriott International, Inc., Sr. Unsec’d. Notes(a)	Baa2		3.000%	03/01/19		490		495,422
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Baa3		6.750%	05/15/18		2,700		3,136,212
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		890		896,177

								6,201,061

Media & Entertainment — 0.3%
CBS Corp., Gtd. Notes(a)	Baa2		3.375%	03/01/22		680		677,481
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		250		283,261
News America, Inc., Gtd. Notes	Baa1		6.150%	02/15/41		475		555,445
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		35		41,821
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,265		1,492,686
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		175		203,747
Time Warner, Inc., Gtd. Notes(a)	Baa2		6.250%	03/29/41		495		575,572
Time Warner, Inc., Gtd. Notes(a)	Baa2		7.250%	10/15/17		745		928,478
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		155		200,204
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		625		868,626
Viacom, Inc., Sr. Unsec’d. Notes(a)	Baa1		6.750%	10/05/37		420		533,478

								6,360,799

Metals — 0.3%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.125%	06/01/18		860		871,994
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.250%	02/25/22		480		470,116
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes	Baa3		3.550%	03/01/22		1,005		988,797
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		125		142,260
Peabody Energy Corp., Gtd. Notes, 144A(a)	Ba1		6.000%	11/15/18		1,275		1,268,625
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(e)		4.500%	05/15/13		255		262,499
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		370		424,734
Teck Resources Ltd. (Canada), Gtd. Notes(a)	Baa2		5.200%	03/01/42		585		560,500
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		995		1,013,916

								6,003,441

Non-Captive Finance — 0.5%
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a)	A1		5.875%	01/14/38		970		1,113,564
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(i)	A1		6.000%	08/07/19		3,010		3,521,929
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(a)	A1		6.875%	01/10/39		730		941,796
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		230		233,354
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	Ba3		6.375%	03/25/13		1,750		1,787,187
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		365		383,250
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,000		1,095,000
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,025		1,148,000

								10,224,080

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(d)(h)	Baa3		5.400%	11/01/20		275		319,102
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		740		834,291

SEE NOTES TO FINANCIAL STATEMENTS.

A17


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

Paper (continued)
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18	$	615	$	774,979
Rock-Tenn Co., Unsec’d. Notes, 144A(a)	Ba1		4.900%	03/01/22		675		695,378

								2,623,750

Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		610		630,198
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		500		560,962
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		130		152,651
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		80		82,410
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,310		3,950,962
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		205		210,875

								5,588,058

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		735		910,200
CSX Corp., Sr. Unsec’d. Notes	Baa3		6.150%	05/01/37		690		846,435
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		630		761,069
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		7.800%	05/15/27		24		34,514

								2,552,218

Real Estate Investment Trusts — 0.3%
HCP, Inc., Sr. Unsec’d. Notes	Baa2		2.700%	02/01/14		670		680,702
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		685		839,727
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		6.300%	06/01/13		650		671,729
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		68		81,331
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		235		241,910
Simon Property Group LP, Sr. Unsec’d. Notes	A3		3.375%	03/15/22		190		190,839
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		2,925		3,460,980

								6,167,218

Retailers — 0.3%
CVS Caremark Corp., Sr. Unsec’d. Notes(a)	Baa2		5.750%	05/15/41		960		1,142,797
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		335		416,392
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		345		437,730
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		300		315,412
Macy’s Retail Holdings, Inc., Gtd. Notes	Baa3		5.875%	01/15/13		2,000		2,048,648
Nordstrom, Inc., Sr. Unsec’d. Notes	Baa1		4.000%	10/15/21		220		241,298
Target Corp., Sr. Unsec’d. Notes	A2		4.000%	07/01/42		960		945,624
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		650		845,957

								6,393,858

Technology — 0.3%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		370		381,996
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		330		340,195
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A	BB(e)		10.000%	07/15/13		900		967,500
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		1,225		1,359,750
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		900		963,000
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,650		2,809,673

								6,822,114

Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		560		689,260
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		18		26,669
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		973		1,116,676
AT&T, Inc., Sr. Unsec’d. Notes(a)	A2		5.550%	08/15/41		1,145		1,364,791
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,115		1,435,027
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		350		526,376

SEE NOTES TO FINANCIAL STATEMENTS.

A18


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

Telecommunications (continued)
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18	$	2,400	$	3,284,124
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(d)(h)	Baa3		7.082%	06/01/16		325		371,976
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,667,844; purchased 05/12/06-04/10/07)(d)(h)	Baa3		7.995%	06/01/36		1,645		1,718,359
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		880		980,976
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		170		170,425
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		475		402,563
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa1		5.877%	07/15/19		325		290,692
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa2		7.045%	06/20/36		210		183,600
US Cellular Corp., Sr. Unsec’d. Notes	Baa2		6.700%	12/15/33		195		201,601
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.400%	02/15/38		55		71,421
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		700		737,625

								13,572,161

Tobacco — 0.3%
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		3,040		4,206,655
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		130		206,709
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		850		1,382,716
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		290		359,911
Reynolds American, Inc., Gtd. Notes	Baa3		7.250%	06/15/37		285		344,410

								6,500,401

TOTAL CORPORATE BONDS (cost $220,689,315)								240,227,655

MORTGAGE-BACKED SECURITIES — 12.6%
Federal Home Loan Mortgage Corp.(b)			2.523%	06/01/36		647		686,364
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		1,500		1,568,203
Federal Home Loan Mortgage Corp.			3.500%	TBA 30 YR		3,500		3,671,719
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		9,381		9,981,462
Federal Home Loan Mortgage Corp.			4.000%	TBA 30 YR		2,500		2,652,735
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		24,436		26,234,050
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-07/01/37		10,155		10,947,149
Federal Home Loan Mortgage Corp.			5.000%	TBA 30 YR		2,500		2,686,328
Federal Home Loan Mortgage Corp.(b)			5.225%	12/01/35		1,056		1,131,980
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		11,722		12,777,740
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-12/01/33		1,247		1,397,007
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		2,000		2,191,250
Federal Home Loan Mortgage Corp.			6.500%	12/01/14-09/01/16		72		73,860
Federal Home Loan Mortgage Corp.			7.000%	05/01/31-10/01/32		591		698,506
Federal National Mortgage Association(b)			2.285%	07/01/33		607		641,427
Federal National Mortgage Association			2.500%	TBA 15 YR		1,000		1,028,125
Federal National Mortgage Association			2.500%	TBA 15 YR		500		515,156
Federal National Mortgage Association(b)			2.563%	07/01/37		709		760,466
Federal National Mortgage Association(b)			2.648%	06/01/37		212		226,653
Federal National Mortgage Association			3.000%	TBA 15 YR		4,500		4,714,453
Federal National Mortgage Association			3.500%	06/01/39		1,778		1,870,783
Federal National Mortgage Association			3.500%	TBA 15 YR		9,500		10,037,344
Federal National Mortgage Association			3.500%	TBA 30 YR		20,000		20,965,626
Federal National Mortgage Association			3.500%	TBA 30 YR		19,500		20,496,329
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		17,217		18,780,411
Federal National Mortgage Association			5.000%	10/01/18-05/01/36		7,587		8,247,367
Federal National Mortgage Association			5.000%	TBA 30 YR		3,000		3,246,094
Federal National Mortgage Association			5.500%	03/01/16-04/01/37		14,585		16,028,580
Federal National Mortgage Association			6.000%	04/01/13-06/01/38		13,605		15,173,838
Federal National Mortgage Association			6.500%	07/01/17-01/01/37		5,470		6,228,576
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		416		487,335

SEE NOTES TO FINANCIAL STATEMENTS.

A19


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

Federal National Mortgage Association			7.500%	05/01/32	$	97	$	118,725
Government National Mortgage Association			3.500%	TBA 30 YR		4,000		4,275,000
Government National Mortgage Association			4.000%	06/15/40-05/20/41		2,330		2,552,337
Government National Mortgage Association			4.000%	TBA 30 YR		21,500		23,451,796
Government National Mortgage Association			4.000%	TBA 30 YR		4,000		4,368,125
Government National Mortgage Association			4.500%	01/20/41-02/20/41		7,474		8,254,578
Government National Mortgage Association			4.500%	TBA 30 YR		10,750		11,816,601
Government National Mortgage Association			4.500%	TBA 30 YR		1,000		1,093,281
Government National Mortgage Association			5.000%	TBA 30 YR		10,500		11,553,281
Government National Mortgage Association			5.500%	08/15/33-04/15/36		4,786		5,362,878
Government National Mortgage Association			6.000%	11/15/23-07/15/34		1,607		1,831,889
Government National Mortgage Association			6.500%	10/15/23-09/15/36		3,035		3,506,966
Government National Mortgage Association			8.000%	01/15/24-07/15/24		46		55,151

TOTAL MORTGAGE-BACKED SECURITIES (cost $274,861,175)								284,387,524


	Moody’s Ratings†
MUNICIPAL BONDS — 0.6%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,305		1,742,005
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		970		1,241,969
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		945		1,067,916
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,000		1,463,380
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,100		1,337,248
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		415		500,635
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		275		311,902
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		425		547,685
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		505		602,723
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		625		837,737
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		1,250		1,561,550
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		350		438,137
State of California, General Obligation Unlimited, BABs	A1		7.550%	04/01/39		245		317,393
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		205		264,772
State of Illinois, General Obligation Bonds, Taxable Series	A2		4.421%	01/01/15		630		662,981
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		305		371,197

TOTAL MUNICIPAL BONDS (cost $10,734,381)								13,269,230

NON-CORPORATE FOREIGN AGENCIES — 0.8%
Commonwealth Bank of Australia (Australia), Gov’t Gtd. Notes 144A	Aaa		2.700%	11/25/14		7,220		7,545,167
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		4.000%	01/29/21		460		474,822
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		5.125%	06/29/20		365		407,075
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		800		860,498
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes	Aaa		2.375%	08/25/21		730		734,288
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a)	Baa1		4.750%	03/08/44		846		911,565
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		451,500
Petrobras International Finance Co. — Pifco (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		1,760		1,896,877

SEE NOTES TO FINANCIAL STATEMENTS.

A20


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

Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20	$	285	$	328,605
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,100		2,220,750
Russian Foreign Bond — Eurobond (Russia), Unsec’d. Notes, 144A	Baa1		3.250%	04/04/17		2,200		2,213,728

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $17,257,183)								18,044,875

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Federal Home Loan Banks(a)			5.500%	07/15/36		950		1,281,430
Federal Home Loan Mortgage Corp.(a)			5.125%	11/17/17		420		508,719
Resolution Funding Corp. Interest Strip, Bonds(j)			1.340%	04/15/18		2,645		2,452,484
Tennessee Valley Authority			5.880%	04/01/36		85		118,335

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $3,734,159)								4,360,968

U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.7%
U.S. Treasury Bonds(a)			3.000%	05/15/42		8,190		8,577,747
U.S. Treasury Inflation Indexed Bonds(a)			0.750%	02/15/42		3,121		3,273,491
U.S. Treasury Inflation Indexed Notes			1.375%	01/15/20		9,175		10,667,488
U.S. Treasury Notes			0.750%	08/15/13		18,630		18,729,708
U.S. Treasury Notes			0.750%	06/30/17		810		810,823
U.S. Treasury Notes			1.000%	06/30/19		6,750		6,696,209
U.S. Treasury Notes			1.375%	11/30/15		1,555		1,600,799
U.S. Treasury Notes			1.750%	05/15/22		180		181,463
U.S. Treasury Notes			1.875%	10/31/17		11,550		12,185,250
U.S. Treasury Notes			3.125%	04/30/17		5,890		6,558,150
U.S. Treasury Notes			3.250%	05/31/16		6,300		6,951,659
U.S. Treasury Notes			3.500%	02/15/18		15,000		17,162,115
U.S. Treasury Notes			4.250%	11/15/17		6,475		7,636,453
U.S. Treasury Strips Coupon(k)			2.150%	05/15/24		16,380		12,712,453
U.S. Treasury Strips Coupon(k)			2.180%	08/15/24		11,695		8,987,619
U.S. Treasury Strips Coupon(k)			2.280%	11/15/23		12,715		10,065,308
U.S. Treasury Strips Coupon(k)			2.340%	02/15/24		10,000		7,834,870
U.S. Treasury Strips Coupon(k)			2.610%	05/15/25		6,000		4,472,556
U.S. Treasury Strips Coupon(k)			2.970%	05/15/27		2,280		1,574,728
U.S. Treasury Strips Coupon(a)(k)			3.750%	08/15/33		8,260		4,581,830

TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $137,692,176)								151,260,719

TOTAL LONG-TERM INVESTMENTS (cost $1,515,101,459)								2,022,792,569

SHORT-TERM INVESTMENTS — 22.6%
U.S. GOVERNMENT TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill(i)(l) (cost $2,999,460)			0.080%	09/20/12		3,000		2,999,517


					Shares
Affiliated Mutual Funds — 22.5%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $125,780,083) (Note 4)(m)						12,986,385		116,747,603
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $392,188,700; includes $148,153,398 of cash collateral received for securities on loan) (Note 4)(m)(n)						392,188,700		392,188,700

TOTAL AFFILIATED MUTUAL FUNDS (cost $517,968,783)								508,936,303

TOTAL SHORT-TERM INVESTMENTS (cost $520,968,243)								511,935,820

TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 111.9% (cost $2,036,069,702)								2,534,728,389

SEE NOTES TO FINANCIAL STATEMENTS.

A21


SECURITY SOLD SHORT — (0.2)%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Mortgage-Backed Security
Federal National Mortgage Association (proceeds received $4,288,281)		4.500%	TBA 30 YR	$	4,000	$	(4,290,625	)

TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 111.7% (cost $2,031,781,421)							2,530,437,764
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (11.7)%							(265,207,737	)

NET ASSETS — 100.0%						$	2,265,230,027

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
FHLMC		Federal Home Loan Mortgage Corp.
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.

†	The ratings reflected are as of June 30, 2012. Ratings of certain bonds may have changed subsequent to that date.

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

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $145,835,231; cash collateral of $148,153,398 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2012.

(c)	Amount is actual; not rounded to thousands.

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

(e)	Standard & Poor’s Rating.

(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 $5,518,574 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 June 30, 2012.

(k)	Rate shown reflects the effective yield at June 30, 2012.

(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 June 30, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
249	2 Year U.S. Treasury Notes		Sep. 2012	$	54,829,883	$	54,826,688	$	(3,195	)
880	5 Year U.S. Treasury Notes		Sep. 2012		109,029,759		109,092,500		62,741
217	S&P 500 E-mini		Sep. 2012		14,160,212		14,716,940		556,728
84	S&P 500 Index		Sep. 2012		27,638,152		28,484,400		846,248
9	U.S. Ultra Bond		Sep. 2012		1,509,480		1,501,594		(7,886	)

									1,454,636

SEE NOTES TO FINANCIAL STATEMENTS.

A22


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Short Positions:
68	10 Year U.S. Treasury Notes		Sep. 2012	$	9,080,396	$	9,069,500	$	10,896
151	U.S. Long Bond		Sep. 2012		22,295,441		22,343,281		(47,840	)

									(36,944	)

								$	1,417,692

Interest rate swap agreements outstanding at June 30, 2012:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	20,110		08/31/16		0.934%	3 month LIBOR(1)	$	103,404		$	—	$	103,404		Credit Suisse International
	20,000		08/31/16		0.928%	3 month LIBOR(1)		97,863			—		97,863		Citibank, NA
	20,000		08/31/16		0.977%	3 month LIBOR(2)		(137,815	)		—		(137,815	)	Citibank, NA
	6,255		08/31/16		0.975%	3 month LIBOR(2)		(42,629	)		—		(42,629	)	JPMorgan Chase Bank
	6,255		08/31/16		0.978%	3 month LIBOR(2)		(43,525	)		—		(43,525	)	JPMorgan Chase Bank
	1,900		09/14/16		1.206%	3 month LIBOR(2)		(36,863	)		—		(36,863	)	Deutsche Bank AG
	30,590		11/30/16		0.948%	3 month LIBOR(2)		(85,422	)		—		(85,422	)	Citibank, NA
	30,590		11/30/16		0.945%	3 month LIBOR(2)		(82,009	)		—		(82,009	)	Citibank, NA
	19,045		11/30/16		0.913%	3 month LIBOR(2)		(25,787	)		—		(25,787	)	JPMorgan Chase Bank
	5,155		07/20/21		3.035%	3 month LIBOR(1)		670,729			—		670,729		Citibank, NA
	4,650		11/23/21		2.148%	3 month LIBOR(2)		(188,998	)		—		(188,998	)	Citibank, NA
	2,625		01/27/22		2.071%	3 month LIBOR(2)		(101,995	)		—		(101,995	)	Citibank, NA
	1,170		01/30/22		2.082%	3 month LIBOR(2)		(46,260	)		—		(46,260	)	Citibank, NA
	2,510		02/07/22		2.056%	3 month LIBOR(2)		(91,870	)		—		(91,870	)	Citibank, NA
	6,305		04/12/22		2.111%	3 month LIBOR(1)		230,174			—		230,174		Citibank, NA

							$	218,997		$	—	$	218,997

(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 June 30, 2012:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(2)		Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)				Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
Bunge Ltd. Finance Corp.		06/20/14		0.650%	$	1,110	$	8,215		$	—	$	8,215			JPMorgan Chase Bank
Macy’s Retail Holdings, Inc.		12/20/12		1.000%		2,000		(6,772	)		11,818		(18,590	)	��	Deutsche Bank AG
Newell Rubbermaid, Inc.		06/20/18		1.000%		1,600		23,659			—		23,659			Morgan Stanley Capital Services, Inc.
Simon Property Group LP		06/20/18		0.970%		2,700		46,009			—		46,009			Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		06/20/18		1.150%		2,800		40,434			—		40,434			Deutsche Bank AG
Starwood Hotels & Resorts Worldwide, Inc.		03/20/14		7.050%		1,585		(176,609	)		—		(176,609	)		Deutsche Bank AG
Starwood Hotels & Resorts Worldwide, Inc.		06/20/18		1.450%		2,700		14,948			—		14,948			Merrill Lynch Capital Services, Inc.

							$	(50,116	)	$	11,818	$	(61,934	)

(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.

SEE NOTES TO FINANCIAL STATEMENTS.

A23

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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 June 30, 2012 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	1,125,227,632	$	22,910,582		$	—
Exchange Traded Fund		534,572		—			—
Preferred Stocks		1,253,920		155,342			—
Right		1,031		—			—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—		22,673,559			720,000
Residential Mortgage-Backed Securities		—		9,580,153			—
Bank Loans		—		8,539,377			—
Collateralized Mortgage Obligations		—		7,007,489			—
Commercial Mortgage-Backed Securities		—		112,637,941			—
Corporate Bonds		—		240,227,655			—
Mortgage-Backed Securities		—		284,387,524			—
Municipal Bonds		—		13,269,230			—
Non-Corporate Foreign Agencies		—		18,044,875			—
U.S. Government Agency Obligations		—		4,360,968			—
U.S. Government Treasury Obligations		—		154,260,236			—
Affiliated Mutual Funds		508,936,303		—			—
Mortgage-Backed Security Sold Short		—		(4,290,625	)		—
Other Financial Instruments*
Futures Contracts		1,417,692		—			—
Interest Rate Swap Agreements		—		218,997			—
Credit Default Swap Agreements		—		(61,934	)		—

Total	$	1,637,371,150	$	893,921,369		$	720,000

*	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 June 30, 2012 was as follows:


Affiliated Mutual Funds (including 6.5% of collateral received for securities on loan)	22.5	%
Mortgage-Backed Securities	12.6
U.S. Government Treasury Obligations	6.8
Commercial Mortgage-Backed Securities	5.0
Oil, Gas & Consumable Fuels	4.6
Pharmaceuticals	3.2
Computers & Peripherals	2.8
Banking	2.7
Insurance	2.7
IT Services	1.9
Software	1.9
Media	1.7
Commercial Banks	1.6
Diversified Telecommunication Services	1.5
Beverages	1.4
Chemicals	1.4
Diversified Financial Services	1.4
Industrial Conglomerates	1.4
Real Estate Investment Trusts	1.4


Aerospace & Defense	1.3	%
Tobacco	1.3
Food & Staples Retailing	1.2
Semiconductors & Semiconductor Equipment	1.2
Electric Utilities	1.1
Household Products	1.1
Healthcare Providers & Services	1.0
Hotels, Restaurants & Leisure	1.0
Machinery	1.0
Non-Residential Mortgage-Backed Securities	1.0
Specialty Retail	1.0
Capital Markets	0.9
Communications Equipment	0.9
Food Products	0.9
Healthcare Equipment & Supplies	0.9
Internet Software & Services	0.9
Energy Equipment & Services	0.8
Non-Corporate Foreign Agencies	0.8
Biotechnology	0.7
Electric	0.7

SEE NOTES TO FINANCIAL STATEMENTS.

A24


Multi-Utilities	0.7	%
Municipal Bonds	0.6
Telecommunications	0.6
Air Freight & Logistics	0.5
Consumer Finance	0.5
Foods	0.5
Healthcare & Pharmaceutical	0.5
Internet & Catalog Retail	0.5
Non-Captive Finance	0.5
Energy – Other	0.4
Metals & Mining	0.4
Multiline Retail	0.4
Residential Mortgage-Backed Securities	0.4
Road & Rail	0.4
Technology	0.4
Cable	0.3
Capital Goods	0.3
Collateralized Mortgage Obligations	0.3
Electrical Equipment	0.3
Healthcare Insurance	0.3
Lodging	0.3
Media & Entertainment	0.3
Metals	0.3
Retailers	0.3
Textiles, Apparel & Luxury Goods	0.3
Airlines	0.2
Automobiles	0.2
Commercial Services & Supplies	0.2
Electronic Equipment, Instruments & Components	0.2


Life Sciences Tools & Services	0.2	%
Pipelines & Other	0.2
U.S. Government Agency Obligations	0.2
Auto Components	0.1
Automotive	0.1
Construction & Engineering	0.1
Consumer	0.1
Containers & Packaging	0.1
Energy – Integrated	0.1
Gas Utilities	0.1
Healthcare Technology	0.1
Household Durables	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Paper	0.1
Paper & Forest Products	0.1
Personal Products	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

	111.9
Mortgage Backed Security Sold Short	(0.2	)
Liabilities in excess of other assets	(11.7	)

	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 June 30, 2012 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	$	11,818		Premium received for swap agreements	$	—
Credit contracts	Unrealized appreciation on swap agreements		133,265		Unrealized depreciation on swap agreements		195,199
Equity contracts	Due from broker — variation margin		1,402,976	*	—		—
Equity contracts	Unaffiliated investments		1,031		—		—
Interest rate contracts	Unrealized appreciation on swap agreements		1,102,170		Unrealized depreciation on swap agreements		883,173
Interest rate contracts	Due from broker — variation margin		73,637	*	Due from broker — variation margin		58,921	*

Total		$	2,724,897			$	1,137,293

*	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 six months ended June 30, 2012 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased		Options Written			Futures			Swaps			Rights		Warrants		Total
Credit contracts	$	—	$	—		$	—		$	(153,818	)	$	—	$	—	$	(153,818	)
Equity contracts		—		—			4,569,875			—			14,532		56,192		4,640,599
Interest rate contracts		263,443		(223,837	)		(2,512,360	)		87,102			—		—		(2,385,652	)

Total	$	263,443	$	(223,837	)	$	2,057,515		$	(66,716	)	$	14,532	$	56,192	$	2,101,129



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	$	—	$	(75,266	)	$	(75,266	)
Equity contracts		251,145		—			251,145
Interest rate contracts		194,406		(278,263	)		(83,857	)

Total	$	445,551	$	(353,529	)	$	92,022

For the six months ended June 30, 2012, 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)
$179,615,411		$37,913,611


Interest Rate Swaps (Notional Amount in USD (000))		Credit Default Swaps as Buyer (Notional Amount in USD (000))
$83,835		$15,328

SEE NOTES TO FINANCIAL STATEMENTS.

A26


		*CONSERVATIVE BALANCED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2012


ASSETS
Investments, at value including securities on loan of $145,835,231:
Unaffiliated investments (cost $1,518,100,919)	$	2,025,792,086
Affiliated investments (cost $517,968,783)		508,936,303
Foreign currency, at value (cost $119,256)		119,843
Cash		70,087
Receivable for investments sold		57,637,930
Dividends and interest receivable		6,999,819
Unrealized appreciation on swap agreements		1,235,435
Due from broker—variation margin		1,125,141
Foreign tax reclaim receivable		45,468
Premium paid for swap agreements		11,818
Prepaid expenses		1,961
Receivable for Series shares sold		1,158

Total Assets		2,601,977,049

LIABILITIES
Payable for investments purchased		181,571,042
Collateral for securities on loan		148,153,398
Securities sold short, at value (proceeds received $4,288,281)		4,290,625
Unrealized depreciation on swap agreements		1,078,372
Management fee payable		1,004,573
Accrued expenses and other liabilities		344,901
Payable for Series shares repurchased		303,185
Affiliated transfer agent fee payable		926

Total Liabilities		336,747,022

NET ASSETS	$	2,265,230,027

Net assets were comprised of:
Paid-in capital	$	1,795,117,543
Retained earnings		470,112,484

Net assets, June 30, 2012	$	2,265,230,027

Net asset value and redemption price per share, $2,265,230,027 / 132,930,391 outstanding shares of beneficial interest	$	17 .04

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2012


INVESTMENT INCOME
Interest	$	15,740,150
Unaffiliated dividend income (net of foreign withholding taxes of $41,185)		13,580,393
Affiliated dividend income		1,008,362
Affiliated income from securities loaned, net		158,005

		30,486,910

EXPENSES
Management fee		6,198,895
Custodian’s fees and expenses		173,000
Shareholders’ reports		147,000
Audit fee		18,000
Trustees’ fees		16,000
Insurance expenses		12,000
Legal fees and expenses		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		22,559

Total expenses		6,605,454

NET INVESTMENT INCOME		23,881,456

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		13,736,065
Futures transactions		2,057,515
Swap agreement transactions		(66,716	)
Options written transactions		(223,837	)
Foreign currency transactions		(3,305	)

		15,499,722

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $1,682,066)		105,530,421
Futures		445,551
Swap agreements		(353,529	)
Foreign currencies		(109	)

		105,622,334

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		121,122,056

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	145,003,512

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	23,881,456		$	47,217,513
Net realized gain on investments and foreign currencies		15,499,722			49,113,195
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		105,622,334			4,696,647

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		145,003,512			101,027,355

DISTRIBUTIONS		(47,221,872	)		(50,030,858	)

SERIES SHARE TRANSACTIONS:
Series shares sold [305,237 and 648,345 shares, respectively]		5,228,923			10,475,022
Series shares issued in reinvestment of distributions [2,817,534 and 3,117,187 shares, respectively]		47,221,872			50,030,858
Series shares repurchased [4,474,328 and 9,540,307 shares, respectively]		(76,617,204	)		(154,546,244	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(24,166,409	)		(94,040,364	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		73,615,231			(43,043,867	)
NET ASSETS:
Beginning of period		2,191,614,796			2,234,658,663

End of period	$	2,265,230,027		$	2,191,614,796

SEE NOTES TO FINANCIAL STATEMENTS.

A27


LONG-TERM INVESTMENTS — 87.1% ASSET-BACKED SECURITIES — 10.2%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Non-Residential Mortgage-Backed Securities — 5.7%
Apidos CDO (Cayman Islands), 144A
Ser. 2006-4A, Class A1(a)	Aaa		0.716%	10/27/18	$	2,000	$	1,934,756
Ser. 2011-8A, Class A1(a)	Aaa		1.966%	10/17/21		4,000		3,954,148
ARES CLO Funds (Cayman Islands), 144A
Ser. 2004-8A, Class A1A(a)	Aaa		0.897%	02/26/16		222		220,635
Ser. 2005-10A, Class A2(a)	Aaa		0.708%	09/18/17		338		333,517
Ser. 2005-10A, Class A3(a)	Aaa		0.708%	09/18/17		287		283,643
BA Credit Card Trust, Ser. 2006-C5, Class C5(a)	A3		0.642%	01/15/16		5,750		5,718,875
Bank One Issuance Trust, Ser. 2004-C2, Class C2(a)	Baa2		1.042%	02/15/17		2,100		2,092,014
Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.738%	06/20/17		3,256		3,131,111
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.717%	05/25/17		367		360,681
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.716%	08/03/19		4,108		3,984,099
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(a)	Baa2		0.715%	03/24/17		2,320		2,291,270
Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, Class A1A, 144A(a)(b)	Aaa		0.676%	04/20/19		1,900		1,856,081
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(a)	Aaa		0.816%	07/27/16		4		3,935
Four Corners CLO (Cayman Islands), 144A
Ser. 2005-1A, Class A3(a)	Aaa		0.762%	03/26/17		1,087		1,069,616
Ser. 2006-3A, Class A(a)	Aaa		0.716%	07/22/20		2,042		1,977,104
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(a)	Aa1		0.938%	03/15/20		1,500		1,340,823
GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a)	Baa3		1.242%	05/15/34		231		87,029
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.727%	12/15/17		707		703,660
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a)	Aaa		0.827%	07/15/16		337		335,887
Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a)	Aaa		0.726%	05/09/18		2,764		2,705,614
Highlander Euro CDO Cayman Ltd. (Netherlands), Ser. 2008-4A, Class C, 144A(a)	Baa1		5.439%	08/01/16	EUR	2,000		2,296,619
Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a)	Aaa		0.727%	11/15/17		3,262		3,181,915
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(a)	Aaa		0.706%	10/19/20		1,451		1,395,605
LCM LP (Cayman Islands), 144A
Ser. 2004-2A, Class A(a)	Aaa		0.786%	10/22/16		390		382,997
Ser. 2005-3A, Class A(a)	Aaa		0.727%	06/01/17		2,398		2,337,564
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(a)	Aaa		0.728%	09/15/17		5,672		5,492,674
Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A	A(c)		3.540%	10/20/32		4,435		4,549,227
MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(a)	A3		1.142%	11/15/16		9,800		9,801,273
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(a)	Aaa		0.718%	03/15/18		2,607		2,504,499
North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a)	Aaa		1.573%	09/14/19	EUR	4,380		5,229,929
Pacifica CDO Ltd. (Cayman Islands), Ser. 2003-2A, Class A1, 144A(a)	Aaa		1.049%	07/10/15		257		256,812
Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A	A1		7.125%	01/15/13		587		586,621
Stanfield Vantage CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.768%	03/21/17		973		950,857
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(a)	Aaa		0.716%	11/01/18		4,500		4,382,213
Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, Class A1, 144A(a)(b)	Aaa		0.966%	01/21/16		1,103		1,097,426

								78,830,729

SEE NOTES TO FINANCIAL STATEMENTS.

A28


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

Residential Mortgage-Backed Securities — 4.5%
ACE Securities Corp., Ser. 2004-FM1, Class M1(a)	B2		1.145%	09/25/33	$	1,767	$	1,366,512
Ameriquest Mortgage Securities, Inc.
Ser. 2001-2, Class M3(a)	Caa2		3.170%	10/25/31		549		384,583
Ser. 2004-R8, Class M1(a)	A2		1.205%	09/25/34		950		733,389
Argent Securities, Inc.
Ser. 2003-W2, Class M4(a)	B2		5.870%	09/25/33		2,400		1,495,056
Ser. 2004-W6, Class M1(a)	Baa1		0.795%	05/25/34		3,165		2,404,405
Ser. 2004-W10, Class A2(a)	Aaa		1.025%	10/25/34		1,802		1,596,172
Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a)	Ba3		1.295%	08/25/33		2,035		1,538,699
Asset Backed Securities Corp. Home Equity
Ser. 2003-HE3, Class M1(a)	Ba2		1.487%	06/15/33		1,582		1,280,147
Ser. 2004-HE1, Class M1(a)	Ba1		1.292%	01/15/34		281		230,656
Ser. 2004-HE5, Class M1(a)	Baa3		1.145%	08/25/34		2,600		2,207,847
Bear Stearns Asset Backed Securities Trust
Ser. 2004-HE2, Class M1(a)	Ba1		1.145%	03/25/34		4,784		3,780,813
Ser. 2004-HE3, Class M2(a)	B1		1.970%	04/25/34		2,025		1,750,572
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a)	C		3.620%	03/25/33		272		34,912
Centex Home Equity, Ser. 2004-B, Class AF6	Aa3		4.186%	03/25/34		1,300		1,303,124
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, Class M2(a)	C		2.495%	08/25/32		120		51,608
Equity One ABS, Inc., Ser. 2004-3, Class M1(a)	Ba1		5.506%	07/25/34		1,099		862,002
FBR Securitization Trust, Ser. 2005-2, Class M1(a)	B2		0.965%	09/25/35		3,600		2,344,961
Fremont Home Loan Trust, Ser. 2003-B, Class M1(a)	Ba1		1.295%	12/25/33		294		234,240
GSAMP Trust, Ser. 2004-FM1, Class M1(a)	Ba3		1.220%	11/25/33		2,997		2,364,007
HSBC Home Equity Loan Trust Ser. 2006-1, Class M1(a)	Aa1		0.524%	01/20/36		793		702,234
Ser. 2006-2, Class A1(a)	Aaa		0.394%	03/20/36		216		203,441
Ser. 2006-2, Class A2(a)	Aaa		0.424%	03/20/36		262		241,703
IXIS Real Estate Capital Trust, Ser. 2006-HE1, Class A4(a)	Ca		0.545%	03/25/36		3,187		1,047,527
Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a)	A3		0.995%	02/25/34		4,250		3,314,222
Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a)	Ba2		1.025%	02/25/34		2,868		2,175,634
Merrill Lynch Mortgage Investors, Inc. Ser. 2004-HE2, Class M1(a)	A-(c)		1.045%	08/25/35		996		752,469
Ser. 2004-OPT1, Class A1A(a)	AAA(c)		0.505%	06/25/35		2,673		2,227,985
Morgan Stanley ABS Capital I Ser. 2002-NC6, Class M2(a)	C		3.395%	11/25/32		167		45,955
Ser. 2003-HE1, Class M1(a)	Ba2		1.445%	05/25/33		1,811		1,519,737
Ser. 2003-HE3, Class M1(a)	Ba3		1.265%	10/25/33		1,345		1,062,591
Ser. 2004-NC1, Class M1(a)	Baa2		1.295%	12/27/33		1,096		959,996
Ser. 2004-OP1, Class M1(a)	Aa1		1.115%	11/25/34		3,688		2,745,071
Ser. 2004-WMC1, Class M1(a)	Ba1		1.175%	06/25/34		2,828		2,271,772
Ser. 2004-WMC2, Class M1(a)	Ba3		1.160%	07/25/34		2,431		2,027,923
New Century Home Equity Loan Trust Ser. 2003-4, Class M1(a)	Baa3		1.370%	10/25/33		4,066		3,453,032
Ser. 2004-4, Class M1(a)	Ba1		1.010%	02/25/35		3,048		2,319,911
Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a)	Aa3		1.045%	12/25/34		792		690,148
Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5	Baa3		5.221%	02/25/34		1,000		948,440
Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a)	B2		1.370%	12/25/32		444		344,536
Securitized Asset Backed Receivables LLC Trust Ser. 2004-NC1, Class M1(a)	B1		1.025%	02/25/34		4,359		3,387,023
Ser. 2006-FR1, Class M1(a)	C		0.645%	11/25/35		2,000		170,302
Specialty Underwriting & Residential Finance, Ser. 2004-BC1, Class M1(a)	A1		1.010%	02/25/35		76		67,319
Structured Asset Investment Loan Trust Ser. 2004-2, Class A4(a)	AAA(c)		0.950%	03/25/34		2,297		1,699,968
Ser. 2004-7, Class A8(a)	AAA(c)		1.445%	08/25/34		1,400		1,029,015

SEE NOTES TO FINANCIAL STATEMENTS.

A29


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

Residential Mortgage-Backed Securities (continued)
Structured Asset Securities Corp., Ser. 2002-HF2, Class M3(a)	CC(c)		3.245%	07/25/32	$	1,228	$	989,390

								62,361,049

TOTAL ASSET-BACKED SECURITIES (cost $143,349,874)								141,191,778

BANK LOANS — 1.9%
Automotive — 0.2%
Chrysler Group LLC(a)	Ba2		6.000%	05/24/17		1,377		1,384,612
Schaeffler AG(a)	B1		6.000%	01/27/17		1,500		1,497,657

								2,882,269

Chemicals — 0.1%
Ashland, Inc.(a)	Baa3		3.750%	08/23/18		225		225,116
Rockwood Holdings, Inc.(a)	Ba1		3.500%	02/09/18		1,373		1,371,315

								1,596,431

Consumer
Huish Detergents, Inc.(a)	Ba3		2.250%	04/26/14		200		190,375

Foods — 0.2%
Del Monte Foods Co.(a)	B(c)		4.500%	03/08/18		1,798		1,766,777
OSI Restaurant Partners, Inc.(a)	B3		0.061%	06/14/13		442		433,651
OSI Restaurant Partners, Inc.(a)	B3		2.563%	06/14/14		1,005		986,408

								3,186,836

Gaming — 0.2%
CCM Merger, Inc.(a)	B2		6.000%	03/01/17		2,733		2,702,483

Healthcare & Pharmaceutical — 0.4%
HCA, Inc.(a)	Ba3		3.495%	05/01/18		462		447,883
HCA, Inc.(a)	Ba3		3.711%	03/31/17		1,108		1,074,852
RPI Finance Trust(a)	Baa2		4.000%	05/09/18		3,954		3,910,810

								5,433,545

Media & Entertainment — 0.2%
ProSiebenSat.1 Media AG (Germany)(a)	Ba2		3.181%	07/01/16	EUR	2,900		3,466,069

Real Estate Investment Trusts — 0.1%
C.B. Richard Ellis Services, Inc.(a)	Ba1		3.741%	09/04/19		1,112		1,096,988

Technology — 0.5%
First Data Corp.(a)	B1		4.245%	03/26/18		2,411		2,210,107
First Data Corp.(a)	B1		5.245%	03/24/17		183		173,807
Flextronics International Ltd. (Singapore)(a)	Ba1		2.489%	10/01/14		1,084		1,059,220
Flextronics International Ltd. (Singapore)(a)	Ba1		2.495%	10/01/14		117		114,412
Freescale Semiconductor, Inc.(a)	B1		4.489%	12/01/16		1,750		1,652,000
Sensata Technologies, Inc.(a)	Ba2		4.000%	05/12/18		1,272		1,261,916

								6,471,462

TOTAL BANK LOANS (cost $27,316,513)								27,026,458

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		911		933,423
Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		193		199,520
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)	Baa1		2.740%	02/25/34		1,874		1,811,891
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		741		699,434

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $3,749,111)								3,644,268

SEE NOTES TO FINANCIAL STATEMENTS.

A30


COMMERCIAL MORTGAGE-BACKED SECURITIES — 15.4%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Banc of America Commercial Mortgage, Inc. Ser. 2006-1, Class A2	Aaa		5.334%	09/10/45	$	54	$	54,496
Ser. 2006-5, Class A2	Aaa		5.317%	09/10/47		2,885		2,901,180
Ser. 2006-6, Class A2	Aaa		5.309%	10/10/45		3,458		3,533,495
Ser. 2007-1, Class A2	Aaa		5.381%	01/15/49		953		952,565
Ser. 2007-1, Class A3	Aaa		5.449%	01/15/49		3,500		3,688,083
Ser. 2007-4, Class A3(a)	AAA(c)		5.984%	02/10/51		6,460		6,723,723
Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		2,445		2,602,189
Bear Stearns Commercial Mortgage Securities Ser. 2005-PWR9, Class A2	Aaa		4.735%	09/11/42		834		846,852
Ser. 2005-T20, Class A2(a)	Aaa		5.127%	10/12/42		1,159		1,158,670
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser. 2006-CD2, Class A2	Aaa		5.408%	01/15/46		39		40,058
Ser. 2006-CD2, Class AAB(a)	Aaa		5.512%	01/15/46		2,136		2,188,989
Ser. 2007-CD4, Class A3	Aaa		5.293%	12/11/49		2,515		2,655,143
Commercial Mortgage Pass-Through Certificates Ser. 2006-C7, Class A3(a)	AAA(c)		5.879%	06/10/46		2,703		2,711,539
Ser. 2006-C7, Class A4(a)	AAA(c)		5.941%	06/10/46		4,000		4,503,900
Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		2,985		2,998,918
Credit Suisse Mortgage Capital Certificates Ser. 2006-C1, Class A4(a)	AAA(c)		5.593%	02/15/39		4,400		4,917,378
Ser. 2006-C1, Class AM(a)	AA-(c)		5.593%	02/15/39		970		1,051,238
Ser. 2007-C1, Class A2	Aaa		5.268%	02/15/40		1,833		1,831,101
Ser. 2007-C4, Class A2(a)	Aaa		5.966%	09/15/39		316		317,757
Ser. 2007-C4, Class A3(a)	Aaa		5.966%	09/15/39		10,550		10,999,609
FHLMC Multifamily Structured Pass Through Certificates, I/O Ser. K704, Class X1(a)	NR		2.165%	08/25/18		9,988		1,010,205
Ser. K501, Class X1A(a)	Aaa		1.880%	08/25/16		12,471		675,752
GE Capital Commercial Mortgage Corp., Ser. 2007-C1, Class A2	Aaa		5.417%	12/10/49		7,779		7,771,241
GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, Class A4	AAA(c)		5.238%	11/10/45		1,280		1,389,306
Greenwich Capital Commercial Funding Corp. Ser. 2005-GG3, Class AJ	Aa2		4.859%	08/10/42		1,700		1,762,752
Ser. 2005-GG5, Class A2	Aaa		5.117%	04/10/37		5,217		5,235,742
Ser. 2005-GG5, Class A5	Aa2		5.224%	04/10/37		4,900		5,354,926
Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,651		3,735,630
GS Mortgage Securities Corp. II Ser. 2006-GG6, Class A4	AA-(c)		5.553%	04/10/38		6,700		7,450,869
Ser. 2006-GG8, Class A2	Aaa		5.479%	11/10/39		876		877,719
Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		3,292		3,319,398
JPMorgan Chase Commercial Mortgage Securities Corp. Ser. 2005-LDP4, Class AM(a)	Aa2		4.999%	10/15/42		1,820		1,947,948
Ser. 2006-CB14, Class A4(a)	Aaa		5.481%	12/12/44		5,000		5,575,045
Ser. 2006-LDP6, Class A4	Aaa		5.475%	04/15/43		1,640		1,833,046
Ser. 2006-LDP7, Class A2(a)	Aaa		6.050%	04/15/45		115		114,801
Ser. 2007-LD11, Class A2(a)	Aaa		5.994%	06/15/49		8,408		8,420,929
Ser. 2007-LD12, Class A3(a)	Aaa		6.179%	02/15/51		9,200		9,772,875
LB-UBS Commercial Mortgage Trust Ser. 2005-C7, Class AM(a)	AA(c)		5.263%	11/15/40		2,100		2,279,926
Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		2		1,738
Ser. 2006-C7, Class A2	AAA(c)		5.300%	11/15/38		995		1,011,747
Ser. 2007-C1, Class A2	AAA(c)		5.318%	02/15/40		1,464		1,474,443
Ser. 2007-C6, Class A2	Aaa		5.845%	07/15/40		1,707		1,744,990
Merrill Lynch Mortgage Trust Ser. 2006-C1, Class A4(a)	AAA(c)		5.848%	05/12/39		7,920		8,993,826
Ser. 2007-C1, Class A3(a)	A+(c)		6.041%	06/12/50		690		712,057

SEE NOTES TO FINANCIAL STATEMENTS.

A31


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

Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 2006-1, Class A4(a)	AAA(c)		5.607%	02/12/39	$	3,000	$	3,364,578
Ser. 2006-2, Class A4(a)	Aaa		6.093%	06/12/46		2,625		2,975,614
Ser. 2006-4, Class A2	Aaa		5.112%	12/12/49		979		980,680
Ser. 2007-9, Class A2	AAA(c)		5.590%	09/12/49		3,386		3,384,790
Morgan Stanley Capital I, Inc. Ser. 2006-HQ8, Class A4(a)	Aaa		5.600%	03/12/44		10,000		11,142,130
Ser. 2006-HQ10, Class A4	Aaa		5.328%	11/12/41		2,500		2,765,410
Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		2,475		2,811,605
Ser. 2006-T23, Class A3(a)	AAA(c)		5.984%	08/12/41		1,318		1,354,033
Ser. 2007-IQ14, Class AAB(a)	Aaa		5.654%	04/15/49		6,005		6,437,151
Wachovia Bank Commercial Mortgage Trust Ser. 2003-C9, Class A3	AAA(c)		4.608%	12/15/35		346		348,065
Ser. 2005-C20, Class AMFX(a)	Aa1		5.179%	07/15/42		3,145		3,409,815
Ser. 2006-C23, Class A4	Aaa		5.418%	01/15/45		7,838		8,712,321
Ser. 2006-C24, Class A3	Aaa		5.558%	03/15/45		2,050		2,303,899
Ser. 2006-C25, Class A4(a)	Aaa		5.922%	05/15/43		6,000		6,819,606
Ser. 2006-C28, Class A2	Aaa		5.500%	10/15/48		263		262,451
Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		5,150		5,636,299
Ser. 2007-C33, Class A2(a)	Aaa		6.052%	02/15/51		3,918		3,914,046
Ser. 2007-C33, Class A3(a)	Aaa		6.097%	02/15/51		4,564		4,800,963
Ser. 2007-C34, Class A2	Aaa		5.569%	05/15/46		3,488		3,530,914

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $197,601,790)								214,098,164

CORPORATE BONDS — 43.6%
Aerospace & Defense — 0.3%
BE Aerospace, Inc., Sr. Unsec’d. Notes(d)	Ba2		8.500%	07/01/18		1,480		1,618,750
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		700		746,630
L-3 Communications Corp., Gtd. Notes, Ser. B	Ba1		6.375%	10/15/15		1,420		1,451,063

								3,816,443

Airlines — 0.5%
Continental Airlines 2001-1 Class A-1 Pass Through Trust, Pass-thru Certs., Ser. 01A1(b)	Baa2		6.703%	06/15/21		2		2,590
Continental Airlines 2001-1 Class B Pass Through Trust, Pass-thru Certs., Ser. 011B	Ba1		7.373%	12/15/15		394		400,794
Continental Airlines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A	Baa1		5.983%	04/19/22		1,687		1,830,616
Continental Airlines 2010-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(d)	Baa2		4.750%	01/12/21		549		575,301
Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A	Baa2		6.821%	08/10/22		1,360		1,461,562
Delta Air Lines 2010-2 Class A Pass Through Trust, Pass-thru Certs., Ser. 2A	Baa2		4.950%	05/23/19		738		783,653
Delta Air Lines 2011-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A	Baa2		5.300%	04/15/19		791		844,688
UAL 2007-1 Pass Through Trust, Pass-thru Certs., Ser. 071A, Class A	Baa3		6.636%	07/02/22		1,013		1,058,595

								6,957,799

Automotive — 0.6%
BorgWarner, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	09/15/20		825		898,561
Delphi Corp., Gtd. Notes	Ba2		5.875%	05/15/19		1,400		1,494,500
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A	Baa3		3.984%	06/15/16		1,050		1,081,404
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A	Baa3		4.207%	04/15/16		3,925		4,075,634
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		660		714,699

								8,264,798

SEE NOTES TO FINANCIAL STATEMENTS.

A32


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

Banking — 9.5%
American Express Co., Sr. Unsec’d. Notes	A3		8.125%	05/20/19	$	2,785	$	3,708,514
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%	09/19/16		3,570		3,724,099
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)	B1		8.000%	12/29/49		3,500		3,645,880
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		2,775		3,056,091
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		4,590		4,953,464
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		1,340		1,350,899
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		790		822,493
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes	A2		6.750%	05/22/19		1,610		1,878,139
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		7.250%	02/01/18		1,575		1,882,957
Capital One Capital V, Ltd. Gtd. Notes(d)	Baa3		10.250%	08/15/39		1,210		1,234,200
Capital One Financial Corp., Sr. Unsec’d. Notes	Baa1		5.250%	02/21/17		2,460		2,658,623
Capital One Financial Corp., Sub. Notes	Baa2		6.150%	09/01/16		700		782,581
Citigroup, Inc., Sr. Unsec’d. Notes(d)	Baa2		4.500%	01/14/22		1,000		1,032,854
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	11/21/17		2,050		2,271,242
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		2,500		2,791,435
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39		4,120		5,498,119
Citigroup, Inc., Unsec’d. Notes	Baa2		8.500%	05/22/19		1,375		1,698,168
Depfa ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		3,065		2,134,760
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		2,005		2,333,561
Goldman Sachs Group, Inc. (The), Sr. Notes(d)	A3		6.250%	02/01/41		2,195		2,288,847
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)	A3		5.250%	07/27/21		2,055		2,087,506
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.750%	01/24/22		2,250		2,375,109
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		2,420		2,583,517
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)	A3		6.150%	04/01/18		1,355		1,468,928
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)	A3		6.250%	09/01/17		3,195		3,473,825
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		440		431,223
Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A(d)	A1		4.500%	10/30/15		4,035		4,275,458
HSBC Holdings PLC (United Kingdom), Sub. Notes	A3		6.500%	09/15/37		1,625		1,802,908
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		260		304,440
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a)	Ba3		7.250%	08/29/49		2,380		2,112,250
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)	Ba1		7.900%	04/29/49		6,130		6,720,258
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		4,245		4,365,575
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)	A2		4.250%	10/15/20		600		630,308
JPMorgan Chase & Co., Sr. Unsec’d. Notes(d)	A2		4.400%	07/22/20		5,100		5,379,123
KeyCorp, Sr. Unsec’d. Notes, MTN(d)	Baa1		5.100%	03/24/21		1,155		1,288,182
Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a)	B2		7.378%	10/29/49		1,590		1,592,498
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN	A2		5.800%	01/13/20		2,650		2,832,879
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(d)	Baa2		6.050%	08/15/12		1,500		1,508,270
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.500%	07/28/21		1,650		1,625,674
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,635		2,607,860
Morgan Stanley, Sr. Unsec’d. Notes(d)	Baa1		5.750%	01/25/21		1,920		1,893,200
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		4,035		4,074,910
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		2,325		2,409,544
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A3		3.400%	08/23/13		1,720		1,737,811
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,525		1,626,196
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	04/19/16		525		507,336
Shinhan Bank (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.125%	10/04/16		2,200		2,315,861
State Street Corp., Jr. Sub. Debs.(a)	A3		4.956%	03/15/18		3,025		3,239,630
Turkiye Garanti Bankasi AS (Turkey), Sr. Unsec’d. Notes, 144A	Baa2		6.250%	04/20/21		1,225		1,249,500
US Bancorp, Jr. Sub. Notes	A2		3.442%	02/01/16		4,120		4,271,818
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39		1,975		1,991,136
Wells Fargo & Co., Sr. Unsec’d. Notes(a)	A2		3.676%	06/15/16		7,240		7,706,256

								132,235,915

Brokerage — 0.1%
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(d)(f)	NR		6.875%	05/02/18		2,740		637,050

SEE NOTES TO FINANCIAL STATEMENTS.

A33


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

Building Materials & Construction — 0.7%
Masco Corp., Sr. Unsec’d. Notes	Ba2		7.125%	08/15/13	$	2,600		$	2,729,516
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		2,500			2,475,750
Toll Brothers Finance Corp., Gtd. Notes	Ba1		5.150%	05/15/15		4,695			4,962,470

									10,167,736

Cable — 2.1%
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(d)	B3		8.625%	11/15/17		2,300			2,478,250
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d)	Ba3		6.750%	11/15/21		2,225			2,369,625
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		8.500%	04/15/14		3,025			3,327,500
CSC Holdings LLC, Sr. Unsec’d. Notes(d)	Ba3		8.625%	02/15/19		1,610			1,859,550
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		2,825	��		2,979,643
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		275			289,575
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,375			1,383,867
Echostar DBS Corp., Gtd. Notes	Ba2		6.625%	10/01/14		1,400			1,501,500
Echostar DBS Corp., Gtd. Notes	Ba2		7.000%	10/01/13		2,000			2,105,000
Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, Reg.-S	B1		8.875%	12/01/18	EUR	800			880,790
TCI Communications, Inc., Sr. Unsec’d. Notes	Baa1		7.875%	02/15/26		750			1,011,013
Time Warner Cable, Inc., Gtd. Notes	Baa2		6.750%	07/01/18		5,520			6,724,370
Videotron Ltee (Canada), Gtd. Notes	Ba1		9.125%	04/15/18		1,996			2,185,620

									29,096,303

Capital Goods — 1.0%
Case New Holland, Inc., Gtd. Notes	Ba2		7.750%	09/01/13		1,000			1,062,500
Clean Harbors, Inc., Sr. Sec’d. Notes	Ba2		7.625%	08/15/16		1,350			1,409,063
Hutchison Whampoa International (11) Ltd. (Cayman Islands), Gtd. Notes, 144A	A3		4.625%	01/13/22		1,140			1,195,030
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A	Baa3		3.125%	05/11/15		675			679,037
Rockwell Automation, Inc., Sr. Unsec’d. Notes	A3		5.200%	01/15/98		1,100			1,146,268
Textron, Inc., Sr. Unsec’d. Notes	Baa3		7.250%	10/01/19		2,350			2,765,919
United Technologies Corp., Sr. Unsec’d. Notes(d)	A2		4.500%	06/01/42		2,425			2,663,632
Xylem, Inc., Sr. Unsec’d. Notes, 144A	Baa2		4.875%	10/01/21		1,960			2,167,817

									13,089,266

Chemicals — 0.9%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		6.125%	01/15/41		450			551,234
Ashland, Inc., Sr. Sec’d. Notes	Baa3		9.125%	06/01/17		750			825,000
CF Industries, Inc., Gtd. Notes	Baa3		6.875%	05/01/18		785			931,206
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		1,252			1,993,723
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		350			411,571
Reliance Holdings USA, Inc., Gtd. Notes, 144A(d)	Baa2		5.400%	02/14/22		4,000			3,999,756
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.875%	04/01/23		3,058			3,778,480

									12,490,970

Consumer — 0.6%
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		5,231			5,675,687
Service Corp. International, Sr. Unsec’d. Notes	Ba3		7.625%	10/01/18		2,000			2,270,000

									7,945,687

Electric — 1.8%
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		9.750%	04/15/16		775			918,375
Dubai Electricity & Water Authority (United Arab Emirates), Sr. Unsec’d. Notes, 144A	Ba1		8.500%	04/22/15		1,275			1,416,844
El Paso Electric Co., Sr. Unsec’d. Notes(d)	Baa2		6.000%	05/15/35		2,325			2,743,033
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.350%	08/01/13		625			664,024
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	Baa1		6.000%	10/07/39		3,200			2,512,186
Enersis SA (Chile), Sr. Unsec’d. Notes	Baa2		7.375%	01/15/14		3,700			3,959,855
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		500			543,440

SEE NOTES TO FINANCIAL STATEMENTS.

A34


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

Electric (continued)
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.200%	10/01/17	$	1,930	$	2,225,120
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,900		2,058,167
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		1,150		1,087,226
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		1,756,000
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(d)	Baa1		6.800%	09/01/18		260		310,768
Star Energy Geothermal Wayang Windu Ltd. (Virgin Islands (US)), Sr. Sec’d. Notes, Reg.-S	B2		11.500%	02/12/15		800		866,000
TransAlta Corp. (Canada), Sr. Unsec’d. Notes	Baa2		6.650%	05/15/18		1,953		2,175,480
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		1,947		2,256,688

								25,493,206

Energy – Integrated — 0.2%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		870		979,477
LUKOIL International Finance BV (Netherlands), Gtd. Notes, 144A	Baa2		7.250%	11/05/19		1,300		1,462,500

								2,441,977

Energy – Other — 1.2%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		2,515		2,921,510
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		445		514,477
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		306,387
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A	A1		5.888%	06/15/19		2,637		2,887,863
Forest Oil Corp., Gtd. Notes	B1		8.500%	02/15/14		1,000		1,040,000
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		1,650		1,714,427
Newfield Exploration Co., Sr. Sub. Notes	Ba2		6.625%	04/15/16		1,000		1,025,000
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,750		2,059,461
Precision Drilling Corp. (Canada), Gtd. Notes(d)	Ba1		6.625%	11/15/20		1,000		1,030,000
Schahin II Finance Co. SPV Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(d)	Baa3		5.875%	09/25/22		900		902,250
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		275		332,722
Weatherford International Ltd. (Bermuda), Gtd. Notes(d)	Baa2		5.125%	09/15/20		1,165		1,250,685

								15,984,782

Foods — 2.6%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		6.875%	11/15/19		2,200		2,838,251
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		7.750%	01/15/19		1,640		2,166,036
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		5,369		5,496,567
ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A	B3		8.625%	05/01/16		1,185		1,213,156
BRF - Brasil Foods SA (Brazil), Gtd. Notes, 144A(d)	Baa3		5.875%	06/06/22		900		927,000
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A	B2		9.000%	02/10/17		1,000		1,065,000
Dole Food Co., Inc., Sec’d. Notes	B2		13.875%	03/15/14		2,600		2,941,250
Ingles Markets, Inc., Sr. Unsec’d. Notes	B1		8.875%	05/15/17		1,500		1,633,125
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(g)	B1		7.250%	06/01/21		1,330		1,236,900
Kraft Foods Group, Inc., Gtd. Notes, 144A	Baa2		5.000%	06/04/42		900		952,538
Minerva Luxembourg SA (Luxembourg), Gtd. Notes, 144A	B2		12.250%	02/10/22		1,325		1,378,000
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		4,715		5,380,994
Stater Bros. Holdings, Inc., Gtd. Notes	B2		7.750%	04/15/15		2,200		2,244,000
SUPERVALU, Inc., Sr. Unsec’d. Notes(d)	B2		7.500%	11/15/14		2,415		2,451,225
Tyson Foods, Inc., Gtd. Notes(a)	Baa3		6.850%	04/01/16		1,000		1,143,750
Wendy’s Co. (The), Gtd. Notes	B3		10.000%	07/15/16		2,750		2,959,715

								36,027,507

Gaming — 1.0%
Ameristar Casinos, Inc., Gtd. Notes(d)	B3		7.500%	04/15/21		1,550		1,658,500
Marina District Finance Co., Inc., Sr. Sec’d. Notes(d)	B2		9.500%	10/15/15		1,710		1,658,700
MGM Resorts International, Sr. Sec’d. Notes(d)	Ba2		10.375%	05/15/14		1,115		1,257,162
MGM Resorts International, Sr. Sec’d. Notes	Ba2		13.000%	11/15/13		3,875		4,417,500

SEE NOTES TO FINANCIAL STATEMENTS.

A35


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

Gaming (continued)
Pinnacle Entertainment, Inc., Gtd. Notes(d)	B1		8.625%	08/01/17	$	2,500	$	2,718,750
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $1,404,000; purchased 06/22/11-06/28/12)(b)(d)(g)	B1		11.375%	07/15/16		1,300		1,381,250

								13,091,862

Healthcare & Pharmaceutical — 1.2%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		2,515		2,625,446	��
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		405		438,107
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		3,750		3,830,228
CHS/Community Health Systems, Inc., Gtd. Notes	B3		8.000%	11/15/19		2,500		2,662,500
Gilead Sciences, Inc., Sr. Unsec’d. Notes(d)	Baa1		5.650%	12/01/41		825		961,669
HCA, Inc., Gtd. Notes	B3		8.000%	10/01/18		2,250		2,525,625
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		1,000		1,062,500
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		320		350,400
Mylan, Inc., Gtd. Notes, 144A(d)	Ba2		7.625%	07/15/17		2,030		2,233,000

								16,689,475

Healthcare Insurance — 0.9%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	12/15/37		1,900		2,485,759
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		4.375%	12/15/20		745		794,535
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.375%	03/15/17		2,125		2,387,830
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		750		853,495
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		4,025		4,390,148
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		760		1,007,626
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		195		261,004
WellPoint, Inc., Sr. Unsec’d. Notes	Baa1		4.625%	05/15/42		700		721,614

								12,902,011

Insurance — 2.8%
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		5.500%	11/15/20		430		451,711
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		7.500%	08/01/16		2,475		2,853,603
Allstate Corp. (The), Sr. Unsec’d. Notes	A3		5.200%	01/15/42		225		252,699
American International Group, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.250%	05/15/13		1,820		1,856,335
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		5.050%	10/01/15		315		334,335
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		950		1,074,903
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		2,005		2,420,410
American International Group, Inc., Sr. Unsec’d. Notes, MTN	Baa1		5.850%	01/16/18		3,700		4,090,435
Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		5.750%	12/01/14		3,350		3,549,673
Chubb Corp. (The), Jr. Sub. Notes(a)(d)	A3		6.375%	03/29/67		1,775		1,832,687
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		7.000%	07/15/34		1,350		1,447,092
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes	Baa3		5.125%	04/15/22		500		514,878
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		6.500%	03/15/35		1,030		1,053,694
Lincoln National Corp., Jr. Sub. Notes(a)	Ba1		6.050%	04/20/67		350		320,250
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		1,265		1,492,062
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		1,265		1,592,988
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A	A1		8.875%	06/01/39		1,200		1,719,448
MetLife, Inc., Sr. Unsec’d. Notes(d)	A3		7.717%	02/15/19		2,000		2,533,002
Northwestern Mutual Life Insurance, Sub. Notes, 144A(d)	Aa2		6.063%	03/30/40		500		608,809
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		850		956,399
Progressive Corp. (The), Jr. Sub. Notes(a)(d)	A2		6.700%	06/15/37		1,015		1,055,600
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		2,310		2,982,818
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		500		537,804
Willis Group Holdings PLC (Ireland), Gtd. Notes	Baa3		4.125%	03/15/16		1,280		1,338,127
XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)(d)	Ba1		6.500%	12/31/49		1,880		1,527,500
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		140		147,472

								38,544,734

SEE NOTES TO FINANCIAL STATEMENTS.

A36


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

Lodging — 0.8%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14	$	3,938	$	4,489,320
Host Hotels & Resorts LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		4,715		4,785,725
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		5.750%	02/01/18		2,150		2,390,499

								11,665,544

Media & Entertainment — 2.6%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A	Baa1		6.100%	02/15/18		210		244,312
CBS Corp., Gtd. Notes	Baa2		8.200%	05/15/14		4,800		5,434,219
Historic TW, Inc., Gtd. Notes	Baa2		6.625%	05/15/29		225		269,839
Liberty Interactive LLC, Sr. Unsec’d. Notes	B3		5.700%	05/15/13		800		818,000
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		4.375%	04/01/21		1,350		1,485,170
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		460		521,201
News America, Inc., Gtd. Notes	Baa1		6.150%	02/15/41		1,430		1,672,180
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		65		77,667
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,415		1,669,684
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.500%	05/01/16		2,800		3,185,000
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.625%	02/01/14		1,400		1,603,000
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba2		4.950%	04/01/14		7,000		7,087,500
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba2		8.600%	08/15/16		4,750		5,035,000
Time Warner Cos., Inc., Gtd. Notes	Baa2		6.950%	01/15/28		2,153		2,683,454
Time Warner Cos., Inc., Gtd. Notes(d)	Baa2		7.250%	10/15/17		1,440		1,794,642
Viacom, Inc., Sr. Unsec’d. Notes(d)	Baa1		6.750%	10/05/37		1,820		2,311,737

								35,892,605

Metals — 2.4%
Adaro Indonesia PT (Indonesia), Gtd. Notes, Reg.-S(d)	Ba1		7.625%	10/22/19		745		789,700
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d)	Baa3		6.125%	06/01/18		1,585		1,607,106
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d)	Baa3		6.250%	02/25/22		850		832,497
Berau Capital Resources Pte Ltd. (Singapore), Gtd. Notes, Reg.-S	B1		12.500%	07/08/15		1,600		1,760,000
Bumi Investment Pte Ltd. (Singapore), Sr. Sec’d. Notes, MTN, Reg.-S	Ba3		10.750%	10/06/17		2,260		2,231,750
Century Aluminum Co., Sec’d. Notes	B(c)		8.000%	05/15/14		2,100		2,079,000
Indo Integrated Energy II BV (Netherlands), Sr. Sec’d. Notes, Reg.-S	B1		9.750%	11/05/16		2,025		2,181,938
Metals USA, Inc., Sr. Sec’d. Notes(d)	B2		11.125%	12/01/15		7,450		7,757,312
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		2,025		2,304,608
Novelis, Inc. (Canada), Gtd. Notes(d)	B2		8.375%	12/15/17		3,525		3,771,750
Peabody Energy Corp., Gtd. Notes, 144A(d)	Ba1		6.000%	11/15/18		4,075		4,054,625
Raspadskaya OJSC Via Raspadskaya Securities Ltd. (Ireland), Bonds, 144A	B1		7.750%	04/27/17		1,000		985,000
Teck Resources Ltd. (Canada), Sr. Sec’d. Notes	Baa2		10.250%	05/15/16		287		320,364
Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,825		1,859,695

								32,535,345

Non-Captive Finance — 2.5%
CIT Group, Inc., Gtd. Notes, 144A	B1		7.000%	05/02/17		374		375,015
GATX Corp., Sr. Unsec’d. Notes	Baa2		4.750%	10/01/12		1,500		1,512,478
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(d)	A1		5.875%	01/14/38		675		774,902
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(h)	A1		6.000%	08/07/19		6,315		7,389,030
General Electric Capital Corp., Sub. Notes(d)	A2		5.300%	02/11/21		1,185		1,330,023
HSBC Finance Corp., Sr. Sub. Notes	Baa2		6.676%	01/15/21		295		319,401
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		6.500%	09/01/14		2,875		3,033,125
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		1,125		1,141,405
International Lease Finance Corp., Sr. Unsec’d. Notes(d)	Ba3		6.250%	05/15/19		1,400		1,426,250
Nelnet, Inc., Jr. Sub. Notes(a)	Ba2		3.833%	09/29/36		6,100		4,943,361
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(a)(b)	Baa1		1.194%	07/03/33		2,339		1,520,446
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		1,385		1,454,250
SLM Corp., Sr. Unsec’d. Notes, MTN(d)	Ba1		5.050%	11/14/14		4,150		4,274,309
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		3,200		3,584,000

SEE NOTES TO FINANCIAL STATEMENTS.

A37


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

Non-Captive Finance (continued)
SLM Corp., Unsec’d. Notes, MTN	Ba1		6.000%	01/25/17	$	1,075	$	1,110,503
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(d)	Caa1		6.900%	12/15/17		1,000		798,120

								34,986,618

Packaging — 0.8%
Greif Luxembourg Finance SCA (Luxembourg), Gtd. Notes, 144A, MTN	Ba2		7.375%	07/15/21	EUR	1,470		1,925,399
Greif, Inc., Sr. Unsec’d. Notes	Ba2		7.750%	08/01/19		1,815		2,069,100
Sealed Air Corp., Sr. Unsec’d. Notes, 144A	B1		5.625%	07/15/13		6,600		6,814,500

								10,808,999

Paper — 0.8%
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		675		761,009
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.300%	11/15/39		1,000		1,248,517
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		2,205		2,778,584
MeadWestvaco Corp., Sr. Unsec’d. Notes(d)	Ba1		7.375%	09/01/19		4,400		5,237,390
Rock-Tenn Co., Unsec’d. Notes, 144A(d)	Ba1		4.450%	03/01/19		1,165		1,196,678

								11,222,178

Pipelines & Other — 0.4%
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		7.300%	08/15/33		1,550		1,859,228
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		1,345		1,508,988
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.500%	06/01/16		2,275		2,676,374

								6,044,590

Railroads — 0.1%
Union Pacific Corp., Sr. Unsec’d. Notes	Baa2		4.163%	07/15/22		1,268		1,412,666

Real Estate Investment Trusts — 0.7%
Hospitality Properties Trust, Sr. Unsec’d. Notes	Baa2		7.875%	08/15/14		2,900		3,136,553
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		8		9,568
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		45		46,323
Simon Property Group LP, Sr. Unsec’d. Notes	A3		3.375%	03/15/22		325		326,436
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		40		47,330
Simon Property Group LP, Sr. Unsec’d. Notes	A3		10.350%	04/01/19		1,685		2,363,728
WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A	A2		5.750%	09/02/15		4,000		4,349,844

								10,279,782

Retailers — 0.5%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		2,000		2,485,922
Macy’s Retail Holdings, Inc., Gtd. Notes(d)	Baa3		3.875%	01/15/22		600		630,824
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes	B2		8.500%	05/15/16		2,565		2,789,437
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		1,190		1,548,752

								7,454,935

Technology — 1.7%
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes	Ba3		8.125%	12/15/17		1,530		1,660,050
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		600		619,453
Avaya, Inc., Gtd. Notes, PIK	Caa2		10.125%	11/01/15		2,500		2,075,000
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	10/01/15		195		202,129
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		545		561,837
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A	BB(c)		10.000%	07/15/13		1,789		1,923,175
Seagate HDD Cayman (Cayman Islands), Gtd. Notes(d)	Ba1		6.875%	05/01/20		2,875		3,090,625
Seagate HDD Cayman (Cayman Islands), Gtd. Notes	Ba1		7.750%	12/15/18		1,700		1,880,625
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		2,794		3,101,340
SunGard Data Systems, Inc., Gtd. Notes(d)	Caa1		7.625%	11/15/20		1,700		1,810,500
SunGard Data Systems, Inc., Gtd. Notes	Caa1		10.250%	08/15/15		2,610		2,681,775
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes	B3		11.375%	06/15/18		1,850		2,176,063
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,000		2,120,508

								23,903,080

SEE NOTES TO FINANCIAL STATEMENTS.

A38


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

Telecommunications — 1.9%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40	$	795		$	978,503
AT&T Corp., Gtd. Notes(a)	A2		8.000%	11/15/31		103			152,605
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		483			554,321
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,990			2,561,170
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Baa2		9.625%	12/15/30		328			493,290
CC Holdings GS V LLC/Crown Castle GS III Corp., Sr. Sec’d. Notes, 144A	Baa3		7.750%	05/01/17		3,000			3,251,250
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,960			4,050,420
Digicel Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(d)	B1		12.000%	04/01/14		1,910			2,120,100
Eileme 2 AB (Sweden), Gtd. Notes, 144A	B3		11.625%	01/31/20		1,700			1,746,750
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			1,305,744
MetroPCS Wireless, Inc., Gtd. Notes(d)	B2		7.875%	09/01/18		775			804,062
Nextel Communications, Inc., Gtd. Notes, Ser. E	B+(c)		6.875%	10/31/13		1,205			1,209,519
Qwest Corp., Sr. Unsec’d. Notes(a)	Baa3		3.718%	06/15/13		3,750			3,753,521
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa2		5.134%	04/27/20		1,090			938,909
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa2		7.045%	06/20/36		5			4,371
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Sr. Unsec’d. Notes, 144A(b)	Ba3		9.125%	04/30/18		200			212,500
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Unsec’d. Notes, 144A	Ba3		7.748%	02/02/21		1,300			1,255,462
Wind Acquisition Finance SA (Luxembourg), Gtd. Notes, 144A	B3		11.750%	07/15/17	EUR	450			455,581

									25,848,078

Tobacco — 0.4%
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		2,715	��		4,317,035
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		515			536,868
Lorillard Tobacco Co., Gtd. Notes(d)	Baa2		8.125%	06/23/19		895			1,110,759

									5,964,662

TOTAL CORPORATE BONDS (cost $565,134,652)									603,896,603

FOREIGN AGENCIES — 2.7%
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		4.125%	09/09/15		2,000			2,119,832
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		4.950%	05/23/16		1,950			2,019,206
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		9.250%	04/23/19		2,845			3,548,540
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, Reg.-S	Baa1		9.250%	04/23/19		2,055			2,563,181
Gazprom International SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	BBB+(c)		7.201%	02/01/20		566			617,918
IPIC GMTN Ltd. (Cayman Islands), Gtd. Notes, 144A, MTN	Aa3		5.500%	03/01/22		2,375			2,588,750
Kazmunaygas National Co. (Kazakhstan), Gtd. Notes, 144A(d)	Baa3		8.375%	07/02/13		1,200			1,261,056
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes	A1		3.875%	05/04/17		2,600			2,764,213
Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, Ser. G, 144A, MTN	A1		4.500%	03/23/15		1,785			1,884,744
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	A1		4.625%	11/16/21		600			650,482
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A(d)	A1		4.750%	07/13/21		1,650			1,793,733
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		2,730			2,936,448
National Agricultural Cooperative Federation (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A1		3.500%	02/08/17		1,575			1,613,345
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(d)	A3		5.375%	01/27/21		4,225			4,553,582
Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, Ser. 2014	NR		4.900%	10/28/14		3,435			2,954,100

SEE NOTES TO FINANCIAL STATEMENTS.

A39


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

Petroleos Mexicanos (Mexico), Gtd. Notes, 144A(d)	Baa1		4.875%	01/24/22	$	2,100	$	2,268,000
Sinopec Group Overseas Development 2012 Ltd. (British Virgin Islands), Gtd. Notes, 144A(d)	Aa3		4.875%	05/17/42		1,095		1,160,731

TOTAL FOREIGN AGENCIES (cost $34,843,079)								37,297,861

MORTGAGE-BACKED SECURITIES — 6.4%
Federal Home Loan Mortgage Corp.			5.000%	07/01/19		316		341,013
Federal Home Loan Mortgage Corp.			5.500%	10/01/33-06/01/34		2,399		2,665,211
Federal Home Loan Mortgage Corp.			5.500%	TBA 30 YR		13,000		14,127,344
Federal Home Loan Mortgage Corp.			6.000%	11/01/33-06/01/34		1,722		1,927,305
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		1,500		1,643,438
Federal Home Loan Mortgage Corp.			6.500%	07/01/32-09/01/32		1,409		1,609,035
Federal Home Loan Mortgage Corp.			7.000%	10/01/32		167		196,574
Federal National Mortgage Association			3.500%	TBA 30 YR		8,000		8,386,250
Federal National Mortgage Association			3.500%	TBA 30 YR		4,000		4,204,375
Federal National Mortgage Association			4.000%	05/01/19		234		252,765
Federal National Mortgage Association			4.500%	12/01/18-02/01/35		1,835		1,992,685
Federal National Mortgage Association			5.500%	03/01/17-09/01/34		6,347		6,963,968
Federal National Mortgage Association			6.000%	09/01/17-11/01/36		4,722		5,272,067
Federal National Mortgage Association			6.500%	12/01/14-11/01/33		3,146		3,577,483
Federal National Mortgage Association			7.000%	05/01/32-06/01/32		238		281,813
Government National Mortgage Association			4.500%	TBA 30 YR		20,000		21,984,374
Government National Mortgage Association			5.500%	01/15/33-07/15/35		4,787		5,368,286
Government National Mortgage Association			6.000%	12/15/32-11/15/34		3,784		4,331,870
Government National Mortgage Association			6.500%	09/15/32-11/15/33		3,007		3,499,332
Government National Mortgage Association			7.500%	10/15/25-02/15/26		74		86,950

TOTAL MORTGAGE-BACKED SECURITIES (cost $85,243,240)								88,712,138

MUNICIPAL BONDS — 1.8%
Bay Area Toll Authority, Revenue Bonds, BABs	A1		6.907%	10/01/50		1,125		1,585,755
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		1,380		1,766,924
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,375		1,553,846
New Jersey State Turnpike Authority, Revenue Bonds, Ser. 2010A, BABs	A3		7.102%	01/01/41		1,175		1,658,477
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		2,050		2,999,929
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		695		838,413
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		450		510,386
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		615		792,532
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		800		954,808
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		1,000		1,340,380
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		2,280		2,848,267
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		725		936,389
State of Illinois, General Obligation Bonds	A2		4.421%	01/01/15		5,030		5,293,321
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		425		517,242
University of California, Revenue Bonds, BABs	Aa1		5.770%	05/15/43		1,400		1,708,504

TOTAL MUNICIPAL BONDS (cost $20,822,784)								25,305,173

SEE NOTES TO FINANCIAL STATEMENTS.

A40


SOVEREIGNS — 2.0%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, Ser. E, MTN	NR		2.750%	03/05/15	$	1,945	$	1,973,592
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		4.875%	05/05/21		1,600		1,744,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		7.250%	04/20/15		1,600		1,794,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		10.375%	05/04/14		1,400		1,597,750
Indonesia Government International Bond (Indonesia), Unsec’d. Notes, 144A	Baa3		3.750%	04/25/22		2,000		1,995,000
Ireland Government Bond (Ireland), Bonds	Ba1		4.000%	01/15/14	EUR	800		991,732
Ireland Government Bond (Ireland), Bonds	Ba1		4.500%	04/18/20	EUR	1,850		2,082,432
Italy Buoni Poliennali del Tesoro (Italy), Bonds	A3		4.750%	05/01/17	EUR	1,415		1,769,520
Jamaica Government International Bond (Jamaica), Sr. Unsub. Notes	B3		11.000%	07/27/12	EUR	620		782,875
Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), Pass-thru Certs., 144A(i)	Baa3		2.270%	05/31/18		1,186		1,043,503
Peruvian Government International Bond (Peru), Sr. Unsec’d. Notes, Reg.-S	Baa3		7.500%	10/14/14	EUR	1,020		1,455,068
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes	Ba2		6.250%	03/15/16	EUR	200		274,930
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		2,110		2,432,830
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		6.400%	01/20/40		1,090		1,387,025
Russian Foreign Bond — Eurobond (Russia), Sr. Unsec’d. Notes, 144A(a)	Baa1		7.500%	03/31/30		982		1,179,100
South Africa Government Bond (South Africa), Bonds, Ser. R214	A3		6.500%	02/28/41	ZAR	18,400		1,746,379
Spain Government Bond (Spain), Bonds	Baa3		4.250%	10/31/16	EUR	3,000		3,605,581

TOTAL SOVEREIGNS (cost $27,321,916)								27,855,317

U.S. GOVERNMENT TREASURY SECURITIES — 2.7%
U.S. Treasury Bonds(d)			3.000%	05/15/42		14,365		15,045,097
U.S. Treasury Bonds			3.125%	02/15/42		3,175		3,410,147
U.S. Treasury Notes			0.250%	05/31/14		14,271		14,253,161
U.S. Treasury Notes			0.625%	05/31/17		2,870		2,856,772
U.S. Treasury Notes			0.375%	06/15/15		615		614,471
U.S. Treasury Notes			1.750%	05/15/22		1,030		1,038,369

TOTAL U.S. GOVERNMENT TREASURY SECURITIES (cost $37,079,057)								37,218,017


					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		1,228,050

TOTAL LONG-TERM INVESTMENTS (cost $1,143,587,016)								1,207,473,827

SEE NOTES TO FINANCIAL STATEMENTS.

A41


SHORT-TERM INVESTMENTS — 23.6%	Shares		Value (Note 2)

AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(j) (cost $166,759,100)		16,880,300	$	151,753,893
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(j)(k) (cost $175,686,628; includes $101,412,837 of cash collateral received for securities on loan)		175,686,628		175,686,628

TOTAL SHORT-TERM INVESTMENTS (cost $342,445,728)				327,440,521

TOTAL INVESTMENTS — 110.7% (cost $1,486,032,744)				1,534,914,348
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (10.7)%				(148,774,885	)

NET ASSETS — 100.0%			$	1,386,139,463

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.
ABS		Asset-Backed Security
BABs		Build America Bonds
BTP		Buoni del Tesoro Poliennali — Long Term Treasury Bonds
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
FHLMC		Federal Home Loan Mortgage Association
I/O		Interest Only
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
INR		Indian Rupee
KRW		South Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
PHP		Philippine Peso
PLN		Polish Zloty
RUB		Russian Rouble
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thailand Baht
TRY		Turkish Lira
ZAR		South African Rand
BBR		New Zealand Bank Bill Rate
JIBAR		Johannesburg Interbank Agreed Rate
LIBOR		London Interbank Offered Rate
NIBOR		Norway Interbank Offered Rate

SEE NOTES TO FINANCIAL STATEMENTS.

A42

†	The ratings reflected are as of June 30, 2012. Ratings of certain bonds may have changed subsequent to that date.

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2012.

(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 $99,893,476; cash collateral of $101,412,837 (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 $5,498,549. The aggregate value of $5,679,894 is approximately 0.4% 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 on June 30, 2012.

(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 June 30, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
393	2 Year U.S. Treasury Notes		Sep. 2012	$	86,545,981	$	86,533,687	$	(12,294	)
1,400	5 Year U.S. Treasury Notes		Sep. 2012		173,446,824		173,556,250		109,426
23	10 Year Euro-BTP		Sep. 2012		2,863,599		2,924,045		60,446
333	U.S. Long Bond		Sep. 2012		49,284,294		49,273,594		(10,700	)
227	U.S. Ultra Bond		Sep. 2012		37,395,398		37,873,531		478,133

									625,011

Short Position:
160	10 Year U.S. Treasury Notes		Sep. 2012		21,364,456		21,340,000		24,456

								$	649,467

Forward currency contracts outstanding at June 30, 2012:


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 07/24/12	UBS AG	AUD	1,282	$	1,267,100	$	1,309,018	$	41,918
Australian Dollar expiring 07/24/12	UBS AG	AUD	4,034		3,957,660		4,119,177		161,517
Australian Dollar expiring 07/24/12	JPMorgan Chase & Co.	AUD	2,106		2,065,300		2,150,681		85,381
Australian Dollar expiring 07/24/12	JPMorgan Chase & Co.	AUD	2,146		2,073,800		2,190,885		117,085
Australian Dollar expiring 07/24/12	UBS AG	AUD	2,139		2,074,100		2,183,897		109,797
Australian Dollar expiring 07/24/12	JPMorgan Chase & Co.	AUD	2,814		2,762,700		2,873,645		110,945
Australian Dollar expiring 07/24/12	JPMorgan Chase & Co.	AUD	2,047		2,038,100		2,090,117		52,017
Australian Dollar expiring 07/24/12	JPMorgan Chase & Co.	AUD	1,365		1,372,200		1,393,906		21,706
Australian Dollar expiring 07/24/12	Morgan Stanley	AUD	2,037		2,081,100		2,080,235		(865	)
Brazilian Real expiring 07/11/12	UBS AG	BRL	6,811		3,642,480		3,382,703		(259,777	)
Brazilian Real expiring 08/14/12	Citibank NA	BRL	8,405		4,225,700		4,146,100		(79,600	)
Brazilian Real expiring 08/14/12	Citibank NA	BRL	2,780		1,408,400		1,371,449		(36,951	)
Canadian Dollar expiring 07/23/12	UBS AG	CAD	4,229		4,225,100		4,151,908		(73,192	)
Canadian Dollar expiring 07/23/12	UBS AG	CAD	6,704		6,558,883		6,581,182		22,299
Canadian Dollar expiring 07/23/12	JPMorgan Chase & Co.	CAD	2,878		2,770,900		2,824,924		54,024
Canadian Dollar expiring 07/23/12	JPMorgan Chase & Co.	CAD	1,425		1,381,400		1,398,557		17,157
Canadian Dollar expiring 07/23/12	JPMorgan Chase & Co.	CAD	2,132		2,072,000		2,092,640		20,640
Canadian Dollar expiring 07/23/12	JPMorgan Chase & Co.	CAD	2,083		2,031,900		2,044,932		13,032

SEE NOTES TO FINANCIAL STATEMENTS.

A43


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Canadian Dollar expiring 07/23/12	Morgan Stanley	CAD	2,120	$	2,081,100	$	2,081,484	$	384
Chilean Peso expiring 07/12/12	JPMorgan Chase & Co.	CLP	1,863,014		3,768,994		3,713,642		(55,352	)
Chilean Peso expiring 08/10/12	Citibank NA	CLP	1,050,040		2,150,400		2,084,242		(66,158	)
Chilean Peso expiring 09/06/12	Citibank NA	CLP	721,499		1,385,500		1,426,964		41,464
Chilean Peso expiring 09/06/12	UBS AG	CLP	1,072,310		2,074,100		2,120,788		46,688
Chilean Peso expiring 09/06/12	Citibank NA	CLP	1,064,967		2,072,000		2,106,265		34,265
Chilean Peso expiring 09/06/12	UBS AG	CLP	1,030,681		2,031,900		2,038,457		6,557
Chilean Peso expiring 09/06/12	Citibank NA	CLP	1,051,788		2,081,100		2,080,201		(899	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	98,787		15,496,000		15,519,542		23,542
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	100,235		15,790,000		15,747,012		(42,988	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	24,658		3,895,900		3,873,848		(22,052	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	49,235		7,782,400		7,734,926		(47,474	)
Chinese Yuan Renminbi expiring 10/29/12	Morgan Stanley	CNY	14,861		2,351,100		2,330,212		(20,888	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	5,019		791,966		788,566		(3,400	)
Chinese Yuan Renminbi expiring 03/20/13	UBS AG	CNY	45,787		7,232,700		7,164,719		(67,981	)
Colombian Peso expiring 08/08/12	Citibank NA	COP	5,461,231		3,049,263		3,038,716		(10,547	)
Colombian Peso expiring 08/31/12	UBS AG	COP	3,785,695		2,065,300		2,099,811		34,511
Colombian Peso expiring 08/31/12	Citibank NA	COP	1,779,486		969,800		987,028		17,228
Colombian Peso expiring 08/31/12	UBS AG	COP	3,776,936		2,074,100		2,094,953		20,853
Colombian Peso expiring 08/31/12	UBS AG	COP	2,479,613		1,381,400		1,375,367		(6,033	)
Colombian Peso expiring 08/31/12	UBS AG	COP	3,626,942		2,031,900		2,011,756		(20,144	)
Czech Koruna expiring 07/25/12	JPMorgan Chase & Co.	CZK	55,160		2,813,100		2,734,960		(78,140	)
Czech Koruna expiring 07/25/12	UBS AG	CZK	53,118		2,682,949		2,633,695		(49,254	)
Czech Koruna expiring 07/25/12	UBS AG	CZK	42,117		2,072,000		2,088,249		16,249
Czech Koruna expiring 07/25/12	JPMorgan Chase & Co.	CZK	27,920		1,381,400		1,384,340		2,940
Czech Koruna expiring 07/25/12	UBS AG	CZK	41,214		2,048,900		2,043,473		(5,427	)
Czech Koruna expiring 07/25/12	JPMorgan Chase & Co.	CZK	56,111		2,774,800		2,782,116		7,316
Euro expiring 07/26/12	JPMorgan Chase & Co.	EUR	220		281,300		278,238		(3,062	)
Euro expiring 07/26/12	UBS AG	EUR	541		686,500		684,282		(2,218	)
Euro expiring 07/26/12	UBS AG	EUR	69		85,676		86,743		1,067
Pound Sterling expiring 07/26/12	UBS AG	GBP	2,890		4,537,164		4,525,827		(11,337	)
Pound Sterling expiring 07/26/12	UBS AG	GBP	1,744		2,717,400		2,730,941		13,541
Hungarian Forint expiring 07/25/12	UBS AG	HUF	640,359		2,715,700		2,825,809		110,109
Hungarian Forint expiring 07/25/12	UBS AG	HUF	479,669		2,058,200		2,116,708		58,508
Hungarian Forint expiring 07/25/12	UBS AG	HUF	314,191		1,373,100		1,386,478		13,378
Hungarian Forint expiring 07/25/12	Citibank NA	HUF	471,644		2,081,100		2,081,294		194
Indian Rupee expiring 01/07/13	UBS AG	INR	135,639		2,492,900		2,349,687		(143,213	)
Indian Rupee expiring 01/07/13	UBS AG	INR	168,265		3,131,100		2,914,883		(216,217	)
Indian Rupee expiring 01/07/13	Citibank NA	INR	125,401		2,353,400		2,172,337		(181,063	)
Indian Rupee expiring 01/07/13	Citibank NA	INR	82,789		1,565,900		1,434,167		(131,733	)
Indian Rupee expiring 01/07/13	UBS AG	INR	199,718		3,834,100		3,459,746		(374,354	)
South Korean Won expiring 08/02/12	UBS AG	KRW	2,441,852		2,072,000		2,126,985		54,985
South Korean Won expiring 08/02/12	UBS AG	KRW	2,364,116		2,031,900		2,059,272		27,372
South Korean Won expiring 08/02/12	UBS AG	KRW	2,397,812		2,053,800		2,088,623		34,823
Mexican Nuevo Peso expiring 07/23/12	Citibank NA	MXN	8,373		602,919		626,244		23,325
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	38,842		2,813,100		2,905,004		91,904
Mexican Nuevo Peso expiring 07/23/12	Barclays Bank PLC	MXN	39,718		2,765,100		2,970,519		205,419
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	28,372		2,031,900		2,121,929		90,029
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	30,646		2,165,000		2,292,016		127,016
Mexican Nuevo Peso expiring 07/23/12	Citibank NA	MXN	44,016		3,157,606		3,291,962		134,356
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	18,910		1,373,100		1,414,252		41,152
Mexican Nuevo Peso expiring 07/23/12	Citibank NA	MXN	115		8,261		8,623		362
Malaysian Ringgit expiring 12/10/12	UBS AG	MYR	6,619		2,072,000		2,068,323		(3,677	)
Malaysian Ringgit expiring 12/10/12	UBS AG	MYR	6,450		2,031,900		2,015,595		(16,305	)
Norwegian Krone expiring 07/25/12	UBS AG	NOK	16,735		2,813,100		2,810,605		(2,495	)
Norwegian Krone expiring 07/25/12	UBS AG	NOK	53,742		9,028,146		9,026,034		(2,112	)
Norwegian Krone expiring 07/25/12	UBS AG	NOK	16,822		2,762,700		2,825,256		62,556
Norwegian Krone expiring 07/25/12	UBS AG	NOK	16,326		2,709,200		2,741,960		32,760
Norwegian Krone expiring 07/25/12	UBS AG	NOK	8,166		1,366,400		1,371,436		5,036

SEE NOTES TO FINANCIAL STATEMENTS.

A44


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Norwegian Krone expiring 07/25/12	Barclays Bank PLC	NOK	8,124	$	1,373,600	$	1,364,421	$	(9,179	)
Norwegian Krone expiring 07/25/12	Morgan Stanley	NOK	16,544		2,774,800		2,778,521		3,721
New Zealand Dollar expiring 07/24/12	JPMorgan Chase & Co.	NZD	2,747		2,078,200		2,194,855		116,655
New Zealand Dollar expiring 07/24/12	UBS AG	NZD	2,703		2,072,000		2,159,747		87,747
New Zealand Dollar expiring 07/24/12	JPMorgan Chase & Co.	NZD	2,728		2,072,000		2,179,722		107,722
New Zealand Dollar expiring 07/24/12	UBS AG	NZD	2,642		2,038,100		2,111,486		73,386
New Zealand Dollar expiring 07/24/12	JPMorgan Chase & Co.	NZD	1,759		1,369,200		1,405,383		36,183
New Zealand Dollar expiring 07/24/12	UBS AG	NZD	1,737		1,372,200		1,388,177		15,977
New Zealand Dollar expiring 07/24/12	UBS AG	NZD	2,598		2,081,100		2,076,086		(5,014	)
Philippine Peso expiring 10/03/12	UBS AG	PHP	93,128		2,169,800		2,195,269		25,469
Philippine Peso expiring 10/03/12	UBS AG	PHP	61,689		1,452,700		1,454,170		1,470
Philippine Peso expiring 08/30/12	UBS AG	PHP	89,832		2,072,000		2,121,679		49,679
Philippine Peso expiring 08/30/12	UBS AG	PHP	58,222		1,366,400		1,375,118		8,718
Polish Zloty expiring 07/25/12	Citibank NA	PLN	9,564		2,813,100		2,861,640		48,540
Polish Zloty expiring 07/25/12	Barclays Bank PLC	PLN	4,767		1,381,400		1,426,269		44,869
Polish Zloty expiring 07/24/12	UBS AG	PLN	7,261		2,072,000		2,172,882		100,882
Polish Zloty expiring 07/25/12	Barclays Bank PLC	PLN	6,935		2,038,000		2,074,954		36,954
Polish Zloty expiring 07/25/12	UBS AG	PLN	4,634		1,373,100		1,386,557		13,457
Polish Zloty expiring 07/25/12	UBS AG	PLN	9,281		2,774,800		2,776,860		2,060
Russian Rouble expiring 07/17/12	Citibank NA	RUB	128,415		4,225,700		3,952,718		(272,982	)
Russian Rouble expiring 07/17/12	Citibank NA	RUB	68,939		2,074,100		2,122,000		47,900
Russian Rouble expiring 07/17/12	Citibank NA	RUB	67,881		2,072,000		2,089,429		17,429
Russian Rouble expiring 07/17/12	Citibank NA	RUB	65,484		2,031,900		2,015,656		(16,244	)
Swedish Krona expiring 07/25/12	Citibank NA	SEK	24,002		3,362,573		3,466,527		103,954
Swedish Krona expiring 07/25/12	UBS AG	SEK	19,902		2,770,900		2,874,302		103,402
Swedish Krona expiring 07/25/12	Barclays Bank PLC	SEK	14,493		2,031,900		2,093,106		61,206
Swedish Krona expiring 07/25/12	UBS AG	SEK	14,379		2,032,700		2,076,623		43,923
Swedish Krona expiring 07/25/12	UBS AG	SEK	14,413		2,081,100		2,081,561		461
Singapore Dollar expiring 07/24/12	JPMorgan Chase & Co.	SGD	13,233		10,408,755		10,446,191		37,436
Singapore Dollar expiring 07/24/12	UBS AG	SGD	3,572		2,813,100		2,819,929		6,829
Singapore Dollar expiring 07/24/12	UBS AG	SGD	2,672		2,078,200		2,109,154		30,954
Singapore Dollar expiring 07/24/12	UBS AG	SGD	3,530		2,762,700		2,786,965		24,265
Singapore Dollar expiring 07/24/12	JPMorgan Chase & Co.	SGD	2,642		2,072,000		2,085,768		13,768
Singapore Dollar expiring 07/24/12	JPMorgan Chase & Co.	SGD	2,607		2,059,600		2,057,753		(1,847	)
Singapore Dollar expiring 07/25/12	JPMorgan Chase & Co.	SGD	3,515		2,774,800		2,774,532		(268	)
Thai Baht expiring 07/18/12	UBS AG	THB	67,179		2,169,800		2,112,502		(57,298	)
Thai Baht expiring 07/18/12	UBS AG	THB	67,005		2,171,200		2,107,037		(64,163	)
Thai Baht expiring 07/18/12	UBS AG	THB	388,861		12,519,687		12,228,054		(291,633	)
Thai Baht expiring 07/18/12	UBS AG	THB	44,801		1,452,700		1,408,811		(43,889	)
Thai Baht expiring 11/30/12	UBS AG	THB	44,041		1,382,600		1,374,747		(7,853	)
Thai Baht expiring 11/30/12	UBS AG	THB	44,043		1,385,500		1,374,789		(10,711	)
Turkish Lira expiring 07/31/12	UBS AG	TRY	5,114		2,753,700		2,807,664		53,964
Turkish Lira expiring 07/31/12	JPMorgan Chase & Co.	TRY	3,892		2,078,200		2,136,684		58,484
Turkish Lira expiring 07/31/12	UBS AG	TRY	3,834		2,072,000		2,104,971		32,971
Turkish Lira expiring 07/31/12	Barclays Bank PLC	TRY	2,493		1,354,600		1,368,671		14,071
Turkish Lira expiring 07/31/12	Barclays Bank PLC	TRY	2,488		1,373,600		1,365,642		(7,958	)
South African Rand expiring 07/31/12	UBS AG	ZAR	23,364		2,813,100		2,844,333		31,233
South African Rand expiring 07/31/12	UBS AG	ZAR	17,765		2,078,200		2,162,666		84,466
South African Rand expiring 07/31/12	UBS AG	ZAR	17,646		2,074,100		2,148,181		74,081
South African Rand expiring 07/31/12	JPMorgan Chase & Co.	ZAR	11,586		1,381,400		1,410,439		29,039
South African Rand expiring 07/31/12	UBS AG	ZAR	16,914		2,031,900		2,059,054		27,154
South African Rand expiring 07/31/12	Barclays Bank PLC	ZAR	11,356		1,373,100		1,382,453		9,353
South African Rand expiring 07/25/12	UBS AG	ZAR	17,144		2,081,100		2,089,055		7,955

				$	347,053,582	$	348,124,829	$	1,071,247

SEE NOTES TO FINANCIAL STATEMENTS.

A45


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 07/24/12	JPMorgan Chase & Co.	AUD	4,135	$	4,116,800	$	4,221,939	$	(105,139	)
Australian Dollar expiring 07/24/12	JPMorgan Chase & Co.	AUD	2,140		2,067,300		2,184,779		(117,479	)
Australian Dollar expiring 07/24/12	UBS AG	AUD	5,287		5,213,800		5,398,775		(184,975	)
Brazilian Real expiring 07/11/12	Citibank NA	BRL	6,811		3,551,869		3,382,703		169,166
Brazilian Real expiring 08/14/12	Citibank NA	BRL	4,039		1,981,932		1,992,505		(10,573	)
Brazilian Real expiring 08/14/12	Citibank NA	BRL	2,852		1,409,200		1,406,638		2,562
Brazilian Real expiring 08/14/12	UBS AG	BRL	4,294		2,113,700		2,118,407		(4,707	)
Canadian Dollar expiring 07/23/12	Citibank NA	CAD	4,245		4,116,800		4,167,513		(50,713	)
Canadian Dollar expiring 07/23/12	JPMorgan Chase & Co.	CAD	3,885		3,797,700		3,813,791		(16,091	)
Canadian Dollar expiring 07/23/12	JPMorgan Chase & Co.	CAD	1,853		1,830,300		1,819,539		10,761
Canadian Dollar expiring 07/23/12	UBS AG	CAD	5,259		5,213,800		5,163,056		50,744
Chilean Peso expiring 07/12/12	UBS AG	CLP	981,961		1,972,800		1,957,394		15,406
Chilean Peso expiring 07/12/12	UBS AG	CLP	881,053		1,755,434		1,756,248		(814	)
Chilean Peso expiring 08/10/12	UBS AG	CLP	1,050,040		2,083,620		2,084,242		(622	)
Chilean Peso expiring 09/06/12	Citibank NA	CLP	1,765,095		3,430,700		3,490,963		(60,263	)
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	67,431		10,630,850		10,593,557		37,293
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	30,119		4,766,100		4,731,785		34,315
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	19,745		3,134,800		3,101,888		32,912
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	19,173		3,032,300		3,012,135		20,165
Chinese Yuan Renminbi expiring 08/02/12	Morgan Stanley	CNY	14,789		2,317,300		2,323,369		(6,069	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	67,442		10,630,850		10,595,227		35,623
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	24,844		3,881,800		3,902,944		(21,144	)
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	19,758		3,142,200		3,104,026		38,174
Chinese Yuan Renminbi expiring 08/02/12	UBS AG	CNY	14,634		2,331,500		2,298,963		32,537
Chinese Yuan Renminbi expiring 10/29/12	Morgan Stanley	CNY	14,861		2,342,761		2,330,212		12,549
Colombian Peso expiring 08/08/12	Citibank NA	COP	5,461,231		2,989,998		3,038,716		(48,718	)
Colombian Peso expiring 08/31/12	Citibank NA	COP	3,727,217		2,061,400		2,067,376		(5,976	)
Colombian Peso expiring 08/31/12	Citibank NA	COP	1,803,011		967,800		1,000,076		(32,276	)
Colombian Peso expiring 08/31/12	UBS AG	COP	6,188,265		3,416,100		3,432,445		(16,345	)
Czech Koruna expiring 07/25/12	Barclays Bank PLC	CZK	68,923		3,347,282		3,417,360		(70,078	)
Czech Koruna expiring 07/25/12	JPMorgan Chase & Co.	CZK	55,935		2,754,000		2,773,403		(19,403	)
Czech Koruna expiring 07/25/12	UBS AG	CZK	53,456		2,677,400		2,650,481		26,919
Czech Koruna expiring 07/25/12	UBS AG	CZK	42,433		2,061,400		2,103,930		(42,530	)
Euro expiring 07/26/12	Barclays Bank PLC	EUR	781		984,548		989,138		(4,590	)
Euro expiring 07/26/12	Citibank NA	EUR	14,012		17,601,894		17,735,851		(133,957	)
Euro expiring 07/26/12	JPMorgan Chase & Co.	EUR	223		277,693		282,877		(5,184	)
Hungarian Forint expiring 07/25/12	Citibank NA	HUF	476,159		2,058,400		2,101,218		(42,818	)
Hungarian Forint expiring 07/25/12	Citibank NA	HUF	20,766		88,190		91,637		(3,447	)
Hungarian Forint expiring 07/25/12	JPMorgan Chase & Co.	HUF	481,229		2,060,900		2,123,590		(62,690	)
Indian Rupee expiring 01/07/13	Citibank NA	INR	125,143		2,350,100		2,167,866		182,234
Indian Rupee expiring 01/07/13	UBS AG	INR	233,317		4,459,000		4,041,785		417,215
Indian Rupee expiring 01/07/13	UBS AG	INR	199,718		3,765,427		3,459,746		305,681
Indian Rupee expiring 01/07/13	UBS AG	INR	153,634		2,923,145		2,661,423		261,722
Malaysian Ringgit expiring 12/10/12	UBS AG	MYR	6,643		2,061,400		2,075,778		(14,378	)
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	57,612		4,116,800		4,308,780		(191,980	)
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	29,329		2,072,000		2,193,560		(121,560	)
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	15,966		1,158,760		1,194,120		(35,360	)
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	9,705		704,600		725,821		(21,221	)
Mexican Nuevo Peso expiring 07/23/12	JPMorgan Chase & Co.	MXN	2,321		167,000		173,624		(6,624	)
Mexican Nuevo Peso expiring 07/23/12	UBS AG	MXN	42,611		3,029,400		3,186,917		(157,517	)
Mexican Nuevo Peso expiring 07/23/12	UBS AG	MXN	27,335		1,972,800		2,044,358		(71,558	)
New Zealand Dollar expiring 07/24/12	Citibank NA	NZD	5,249		4,116,800		4,194,341		(77,541	)
New Zealand Dollar expiring 07/24/12	JPMorgan Chase & Co.	NZD	858		651,168		685,702		(34,534	)
Norwegian Krone expiring 07/25/12	Deutsche Bank AG	NOK	16,848		2,773,700		2,829,642		(55,942	)
Norwegian Krone expiring 07/25/12	UBS AG	NOK	54,819		9,159,400		9,206,870		(47,470	)
Norwegian Krone expiring 07/25/12	UBS AG	NOK	16,537		2,744,600		2,777,387		(32,787	)
Norwegian Krone expiring 07/25/12	UBS AG	NOK	16,031		2,618,500		2,692,388		(73,888	)
Philippine Peso expiring 10/03/12	UBS AG	PHP	154,817		3,522,966		3,649,439		(126,473	)
Polish Zloty expiring 07/25/12	Citibank NA	PLN	9,675		2,750,000		2,894,626		(144,626	)

SEE NOTES TO FINANCIAL STATEMENTS.

A46


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Polish Zloty expiring 07/25/12	Citibank NA	PLN	7,053	$	2,058,400	$	2,110,115	$	(51,715	)
Polish Zloty expiring 07/25/12	Citibank NA	PLN	4,678		1,372,200		1,399,760		(27,560	)
Pound Sterling expiring 07/26/12	UBS AG	GBP	2,903		4,650,200		4,546,963		103,237
Pound Sterling expiring 07/26/12	UBS AG	GBP	1,752		2,744,300		2,744,409		(109	)
Russian Rouble expiring 07/17/12	Citibank NA	RUB	128,415		4,143,883		3,952,717		191,166
Russian Rouble expiring 07/17/12	Citibank NA	RUB	67,942		2,045,224		2,091,324		(46,100	)
Russian Rouble expiring 07/17/12	UBS AG	RUB	134,361		4,065,400		4,135,761		(70,361	)
Singapore Dollar expiring 07/24/12	Citibank NA	SGD	4,443		3,522,900		3,507,518		15,382
Singapore Dollar expiring 07/24/12	JPMorgan Chase & Co.	SGD	5,288		4,116,800		4,174,524		(57,724	)
Singapore Dollar expiring 07/24/12	JPMorgan Chase & Co.	SGD	4,430		3,522,900		3,496,730		26,170
Singapore Dollar expiring 07/24/12	JPMorgan Chase & Co.	SGD	3,701		2,891,700		2,921,590		(29,890	)
Singapore Dollar expiring 07/26/12	JPMorgan Chase & Co.	SGD	4,281		3,378,300		3,379,578		(1,278	)
South African Rand expiring 07/31/12	Citibank NA	ZAR	35,204		4,116,800		4,285,719		(168,919	)
South African Rand expiring 07/31/12	JPMorgan Chase & Co.	ZAR	23,518		2,756,400		2,863,040		(106,640	)
South African Rand expiring 07/31/12	UBS AG	ZAR	23,260		2,748,600		2,831,679		(83,079	)
South African Rand expiring 07/31/12	UBS AG	ZAR	14,247		1,690,359		1,734,456		(44,097	)
Swedish Krona expiring 07/25/12	UBS AG	SEK	24,148		3,391,900		3,487,586		(95,686	)
Swedish Krona expiring 07/25/12	UBS AG	SEK	19,447		2,744,600		2,808,695		(64,095	)
Thai Baht expiring 07/18/12	UBS AG	THB	504,456		15,951,438		15,863,022		88,416
Thai Baht expiring 07/18/12	UBS AG	THB	63,391		2,031,700		1,993,382		38,318
Turkish Lira expiring 07/31/12	JPMorgan Chase & Co.	TRY	3,914		2,067,300		2,148,530		(81,230	)
Turkish Lira expiring 07/31/12	UBS AG	TRY	5,023		2,748,600		2,757,371		(8,771	)

				$	270,090,691	$	271,159,338		(1,068,647	)

								$	2,600

Interest rate swap agreements outstanding at June 30, 2012:


Notional Amount (000)#		Termination Date		Fixed Rate	Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	4,735		01/27/22	2.071%	3 month LIBOR(a)	$	(183,980	)	$	—	$	(183,980	)	Citibank NA
	66,560		08/31/16	0.934%	3 month LIBOR(b)		342,247			—		342,247		Credit Suisse International
	66,195		08/31/16	0.928%	3 month LIBOR(b)		323,903			—		323,903		Citibank NA
	66,195		08/31/16	0.977%	3 month LIBOR(a)		(456,134	)		—		(456,134	)	Citibank NA
	20,710		08/31/16	0.975%	3 month LIBOR(a)		(141,137	)		—		(141,137	)	JPMorgan Chase Bank NA
	20,710		08/31/16	0.978%	3 month LIBOR(a)		(144,108	)		—		(144,108	)	JPMorgan Chase Bank NA
	58,915		11/30/16	0.913%	3 month LIBOR(a)		(79,772	)		—		(79,772	)	JPMorgan Chase Bank NA
	4,265		01/30/22	2.082%	3 month LIBOR(a)		(168,633	)		—		(168,633	)	Citibank NA
	9,095		02/07/22	2.056%	3 month LIBOR(a)		(332,893	)		—		(332,893	)	Citibank NA
	18,095		04/12/22	2.111%	3 month LIBOR(b)		660,586			—		660,586		Citibank NA
CAD	13,500		02/22/17	1.708%	3 month Canadian Bankers Acceptances(a)		131,345			—		131,345		Citibank NA
MXN	199,700		07/05/13	5.480%	28 day Mexican Interbank Rate(b)		117,574			—		117,574		Barclays Bank PLC
MXN	100,000		12/15/16	5.750%	28 day Mexican Interbank Rate(b)		187,469			—		187,469		Barclays Bank PLC
MXN	54,100		02/18/22	6.600%	28 day Mexican Interbank Rate(b)		246,424			—		246,424		Barclays Bank PLC
MXN	31,200		04/15/22	6.380%	28 day Mexican Interbank Rate(b)		98,028			—		98,028		JPMorgan Chase Bank NA
MXN	48,200		05/25/22	6.370%	28 day Mexican Interbank Rate(b)		149,069			—		149,069		Morgan Stanley Capital Services
MXN	57,000		06/03/22	6.300%	28 day Mexican Interbank Rate(b)		156,642			—		156,642		Citibank NA
NOK	32,000		05/07/17	3.080%	6 month NIBOR(b)		44,766			—		44,766		Barclays Bank PLC
NZD	13,400		08/18/16	4.173%	3 month BBR(b)		580,940			—		580,940		Citibank NA
NZD	4,320		03/26/17	3.810%	3 month BBR(b)		128,652			—		128,652		HSBC Bank USA NA
ZAR	61,000		04/11/17	6.890%	3 month JIBAR(b)		234,615			—		234,615		Citibank NA

						$	1,895,603		$	—	$	1,895,603

SEE NOTES TO FINANCIAL STATEMENTS.

A47

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

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

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

Credit default swap agreements outstanding at June 30, 2012:


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
American International Group, Inc.		03/20/18		3.700%	$	3,700	$	(228,395	)	$	—		$	(228,395	)	Deutsche Bank AG
CBS Corp.		06/20/14		1.000%		4,800		(50,760	)		148,604			(199,364	)	Citibank NA
Centex Corp.		06/20/14		1.000%		2,500		20,486			(6,863	)		27,349		Credit Suisse International
Duke Energy Corp.		03/20/14		0.700%		3,400		(30,462	)		—			(30,462	)	Goldman Sachs International, Inc.
GATX Financial Corp.		12/20/12		1.000%		1,500		(4,356	)		2,369			(6,725	)	Credit Suisse International
Macy’s Retail Holdings, Inc.		12/20/12		1.000%		7,800		(26,410	)		46,566			(72,976	)	Deutsche Bank AG
Masco Corp.		09/20/13		1.000%		2,600		(5,326	)		30,037			(35,363	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		06/20/14		1.000%		7,000		380,614			222,214			158,400		Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		1,015,320			356,634			658,686		JPMorgan Chase Bank
Sealed Air Corp.		06/20/13		1.000%		6,600		(23,321	)		27,361			(50,682	)	Deutsche Bank AG
SLM Corp.		06/20/14		5.000%		4,150		(206,327	)		319,032			(525,359	)	JPMorgan Chase Bank
Starwood Hotels & Resorts Holdings, Inc.		03/20/14		7.050%		980		(109,197	)		—			(109,197	)	Deutsche Bank AG
Toll Brothers Financial Corp.		03/20/15		1.000%		4,695		(6,752	)		19,930			(26,682	)	Credit Suisse International
Westvaco Corp.		09/20/19		1.000%		4,400		182,261			62,536			119,725		JPMorgan Chase Bank

							$	907,375		$	1,228,420		$	(321,045	)


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation		Counterparty
Over-the-counter credit default swap on credit index—Buy Protection(1):
Itraxx Euro Ser. 9		06/20/13		1.650%	EUR	3,700	$	(20,096	)	$	(36,251	)	$	16,155	Morgan Stanley Capital Services, Inc.


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2012(4)			Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on sovereign issues—Sell Protection(2):
Kingdom of Netherlands		03/20/13		0.250%	$	8,250		0.355	%	$	(5,686	)	$	(34,653	)	$	28,967	Morgan Stanley Capital Services, Inc.
Republic of Austria		03/20/13		1.000%		8,250		0.573	%		28,192			(37,199	)		65,391	Morgan Stanley Capital Services, Inc.
Republic of France		03/20/13		0.250%		8,250		0.571	%		(18,653	)		(88,174	)		69,521	Morgan Stanley Capital Services, Inc.

										$	3,853		$	(160,026	)	$	163,879

The Portfolio entered into credit default swaps as the protection seller on sovereign issues to take an active short position with respect to the likelihood of a particular issuer’s default or the referenced entity’s credit soundness.

(1)

(2)

If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay 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.

(3)	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.

SEE NOTES TO FINANCIAL STATEMENTS.

A48

(4)

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 the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of 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 up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the 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 in active markets for identical securities.

Level 2—

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 June 30, 2012 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities	$	—	$	73,014,179		$	5,816,550
Residential Mortgage-Backed Securities		—		62,361,049			—
Bank Loans		—		26,836,083			190,375
Collateralized Mortgage Obligations		—		3,644,268			—
Commercial Mortgage-Backed Securities		—		214,098,164			—
Corporate Bonds		—		603,896,603			—
Foreign Agencies		—		37,297,861			—
Mortgage-Backed Securities		—		88,712,138			—
Municipal Bonds		—		25,305,173			—
Sovereigns		—		26,811,814			1,043,503
U.S. Government Treasury Securities		—		37,218,017			—
Preferred Stock		1,228,050		—			—
Affiliated Mutual Funds		327,440,521		—			—
Other Financial Instruments*
Futures Contracts		649,467		—			—
Forward Currency Contracts		—		2,600			—
Interest Rate Swap Agreements		—		1,895,603			—
Credit Default Swap Agreements		—		(110,549	)		(30,462	)

Total	$	329,318,038	$	1,200,983,003		$	7,019,966

*	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.

A49

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2012 was as follows:


Affiliated Mutual Funds (including 7.3% of collateral received for securities on loan)	23.6	%
Commercial Mortgage-Backed Securities	15.4
Banking	9.6
Mortgage-Backed Securities	6.4
Non-Residential Mortgage-Backed Securities	5.7
Residential Mortgage-Backed Securities	4.5
Foods	2.8
Insurance	2.8
Media & Entertainment	2.8
Foreign Agencies	2.7
U.S. Government Treasury Securities	2.7
Non-Captive Finance	2.5
Metals	2.4
Technology	2.2
Cable	2.1
Sovereigns	2.0
Telecommunications	1.9
Electric	1.8
Municipal Bonds	1.8
Healthcare & Pharmaceutical	1.6
Energy – Other	1.2
Gaming	1.2


Capital Goods	1.0	%
Chemicals	1.0
Healthcare Insurance	0.9
Automotive	0.8
Lodging	0.8
Packaging	0.8
Paper	0.8
Real Estate Investment Trusts	0.8
Building Materials & Construction	0.7
Consumer	0.6
Airlines	0.5
Retailers	0.5
Pipelines & Other	0.4
Tobacco	0.4
Aerospace & Defense	0.3
Collateralized Mortgage Obligations	0.3
Energy – Integrated	0.2
Brokerage	0.1
Railroads	0.1

	110.7
Liabilities in excess of other assets	(10.7	)

	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, foreign exchange 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 June 30, 2012 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

1,235,283

Premium received for swap agreements

203,140

Credit contracts

Unrealized appreciation on swap agreements

1,144,194

Unrealized depreciation on swap agreements

1,285,205

Foreign exchange contracts

Unrealized appreciation on forward currency contracts

6,043,861

Unrealized depreciation on forward currency contracts

6,041,261

Interest rate contracts

Due to broker — variation margin

672,461

Due to broker — variation margin

22,994

Interest rate contracts

Unrealized appreciation on swap agreements

3,402,260

Unrealized depreciation on swap agreements

1,506,657

Total

12,498,059

9,059,257

*	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.

A50

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2012 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased		Options Written			Futures			Forward Currency Contracts			Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—		$	(104,396	)	$	(104,396	)
Foreign exchange contracts		—		—			—			(3,259,635	)		—			(3,259,635	)
Interest rate contracts		2,501,494		(483,881	)		7,085,896			—			(30,766	)		9,072,743

Total	$	2,501,494	$	(483,881	)	$	7,085,896		$	(3,259,635	)	$	(135,162	)	$	5,708,712


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value						Futures			Forward Currency Contracts			Swaps			Total
Credit contracts						$	—		$	—		$	(603,221	)	$	(603,221	)
Foreign exchange contracts							—			5,342,943			—			5,342,943
Interest rate contracts							(1,989,353	)		—			886,139			(1,103,214	)

Total						$	(1,989,353	)	$	5,342,943		$	282,918		$	3,636,508

For the six months ended June 30, 2012, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased (Cost)	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)
$148,231	$406,970,676	$33,444,654	$382,898,134	$306,539,575


Inflation Swaps (Notional Amount in USD (000))	Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))	Credit Default Swaps as Writer (Notional Amount in USD (000))
$1,020	$223,015	$67,600	$16,500

SEE NOTES TO FINANCIAL STATEMENTS.

A51


		*DIVERSIFIED BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2012


ASSETS
Investments, at value including securities on loan of $99,893,476:
Unaffiliated investments (cost $1,143,587,016)	$	1,207,473,827
Affiliated investments (cost $342,445,728)		327,440,521
Cash		1,339,160
Receivable for investments sold		19,528,544
Dividends and interest receivable		13,034,551
Unrealized appreciation on forward currency contracts		6,043,861
Unrealized appreciation on swap agreements		4,546,454
Premium paid for swap agreements		1,235,283
Prepaid expenses		1,329
Receivable for Series shares sold		49

Total Assets		1,580,643,579

LIABILITIES
Collateral for securities on loan		101,412,837
Payable for investments purchased		81,611,895
Unrealized depreciation on forward currency contracts		6,041,261
Unrealized depreciation on swap agreements		2,791,862
Due to broker—variation margin		1,489,896
Management fee payable		447,750
Payable for Series shares repurchased		305,974
Premium received for swap agreements		203,140
Accrued expenses and other liabilities		194,516
Deferred trustees’ fees		4,059
Affiliated transfer agent fee payable		926

Total Liabilities		194,504,116

NET ASSETS	$	1,386,139,463

Net assets were comprised of:
Paid-in capital	$	1,296,590,419
Retained earnings		89,549,044

Net assets, June 30, 2012	$	1,386,139,463

Net asset value and redemption price per share, $1,386,139,463 / 120,319,640 outstanding shares of beneficial interest	$	11.52

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2012


INVESTMENT INCOME
Interest	$	34,904,748
Affiliated dividend income		1,084,685
Affiliated income from securities loaned, net		113,926
Unaffiliated dividend income		44,297

		36,147,656

EXPENSES
Management fee		2,943,332
Custodian’s fees and expenses		142,000
Shareholders’ reports		52,000
Audit fee		18,000
Trustees’ fees		13,000
Insurance expenses		8,000
Legal fees and expenses		6,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		3,000
Miscellaneous		9,712

Total expenses		3,201,044

NET INVESTMENT INCOME		32,946,612

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		18,448,199
Futures transactions		7,085,896
Swap agreement transactions		(135,162	)
Foreign currency transactions		(2,982,986	)
Options written transactions		(483,881	)

		21,932,066

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $2,186,427)		14,788,106
Futures		(1,989,353	)
Swap agreements		282,918
Foreign currencies		5,357,288

		18,438,959

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		40,371,025

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	73,317,637

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	32,946,612		$	73,296,784
Net realized gain on investments and foreign currencies		21,932,066			59,583,846
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		18,438,959			(22,511,117	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		73,317,637			110,369,513

DISTRIBUTIONS		(90,902,268	)		(101,657,374	)

SERIES SHARE TRANSACTIONS:
Series shares sold [3,432,454 and 2,282,678 shares, respectively]		40,031,391			26,944,061
Series shares issued in reinvestment of distributions [7,892,429 and 8,678,375 shares, respectively]		90,902,268			101,657,374
Series shares repurchased [23,671,366 and 8,765,284 shares, respectively]		(284,108,754	)		(103,339,982	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(153,175,095	)		25,261,453

TOTAL INCREASE (DECREASE) IN NET ASSETS		(170,759,726	)		33,973,592
NET ASSETS:
Beginning of period		1,556,899,189			1,522,925,597

End of period	$	1,386,139,463		$	1,556,899,189

SEE NOTES TO FINANCIAL STATEMENTS.

A52


LONG-TERM INVESTMENTS — 97.2%
COMMON STOCKS	Shares		Value (Note 2)

Aerospace & Defense — 3.6%
Boeing Co. (The)		444,320	$	33,012,976
Precision Castparts Corp.		265,346		43,646,763
TransDigm Group, Inc.*		240,723		32,329,099

				108,988,838

Airlines — 1.3%
United Continental Holdings, Inc.*(a)		1,569,387		38,183,186

Auto Components — 1.0%
Lear Corp.		800,756		30,212,524

Automobiles — 0.4%
Tesla Motors, Inc.*(a)		361,481		11,310,740

Biotechnology — 1.6%
Alexion Pharmaceuticals, Inc.*		298,969		29,687,622
Biogen Idec, Inc.*		131,600		19,000,408

				48,688,030

Capital Markets — 2.7%
Goldman Sachs Group, Inc. (The)		581,760		55,767,514
Morgan Stanley		1,810,439		26,414,305

				82,181,819

Chemicals — 2.7%
Monsanto Co.		467,705		38,716,620
Mosaic Co. (The)		798,881		43,746,723

				82,463,343

Commercial Banks — 2.4%
PNC Financial Services Group, Inc.		515,210		31,484,483
Wells Fargo & Co.		1,202,108		40,198,492

				71,682,975

Communications Equipment — 1.6%
JDS Uniphase Corp.*		1,874,555		20,620,105
QUALCOMM, Inc.		507,910		28,280,429

				48,900,534

Computers & Peripherals — 5.3%
Apple, Inc.*		219,030		127,913,520
EMC Corp.*(a)		1,355,968		34,753,460

				162,666,980

Construction & Engineering — 0.5%
Chicago Bridge & Iron Co. NV (Netherlands)		416,992		15,829,016

Consumer Finance — 0.7%
American Express Co.		389,203		22,655,507

Diversified Financial Services — 1.9%
Citigroup, Inc.		975,066		26,726,559
JPMorgan Chase & Co.		829,000		29,620,170

				56,346,729

Diversified Telecommunication Services — 0.7%
Vivendi SA (France)		1,213,113		22,540,763

Electric Utilities — 1.0%
Exelon Corp.		840,608		31,623,673

Electronic Equipment & Instruments — 1.3%
Flextronics International Ltd. (Singapore)*		6,579,992		40,795,950


COMMON STOCKS (continued)	Shares		Value (Note 2)

Energy Equipment & Services — 3.8%
Ensco PLC (Class A Stock) (United Kingdom)		585,496	$	27,500,747
Halliburton Co.		887,495		25,195,983
National Oilwell Varco, Inc.		981,015		63,216,607

				115,913,337

Food & Staples Retailing — 2.3%
CVS Caremark Corp.		817,329		38,193,784
Wal-Mart Stores, Inc.		479,211		33,410,591

				71,604,375

Food Products — 5.0%
Bunge Ltd. (Bermuda)		633,757		39,761,914
Kraft Foods, Inc. (Class A Stock)		754,065		29,121,990
Mead Johnson Nutrition Co.		337,046		27,135,574
Smithfield Foods, Inc.*(a)		1,069,051		23,123,573
Tyson Foods, Inc. (Class A Stock)		1,800,958		33,912,039

				153,055,090

Healthcare Providers & Services — 3.8%
Express Scripts Holding Co*		238,539		13,317,632
HCA Holdings, Inc.		833,771		25,371,652
UnitedHealth Group, Inc.		1,334,308		78,057,018

				116,746,302

Hotels, Restaurants & Leisure — 3.1%
Chipotle Mexican Grill, Inc.*(a)		75,346		28,627,713
Starbucks Corp.		738,966		39,401,667
Yum! Brands, Inc.		398,618		25,678,971

				93,708,351

Independent Power Producers & Energy Traders — 1.2%
Calpine Corp.*		2,287,255		37,762,580

Insurance — 1.0%
MetLife, Inc.		973,474		30,031,673

Internet & Catalog Retail — 2.8%
Amazon.com, Inc.*		236,211		53,938,782
priceline.com, Inc.*		46,829		31,118,807

				85,057,589

Internet Software & Services — 3.7%
Baidu, Inc., ADR (Cayman Islands)*		363,950		41,846,971
Google, Inc. (Class A Stock)*		69,028		40,041,072
LinkedIn Corp. (Class A Stock)*(a)		298,325		31,702,998

				113,591,041

IT Services — 3.2%
International Business Machines Corp.		194,463		38,033,074
MasterCard, Inc. (Class A Stock)		139,932		60,186,152

				98,219,226

Life Sciences Tools & Services — 0.6%
Agilent Technologies, Inc.		442,470		17,362,523

Machinery — 1.1%
Ingersoll-Rand PLC (Ireland)		778,926		32,855,099

Media — 4.9%
Comcast Corp. (Class A Stock)		1,843,309		58,930,589
Liberty Global, Inc. (Class C Stock)*		792,756		37,854,099

SEE NOTES TO FINANCIAL STATEMENTS.

A53


COMMON STOCKS (continued)	Shares		Value (Note 2)

Media (continued)
Viacom, Inc. (Class B Stock)		475,447	$	22,355,518
Walt Disney Co. (The)(a)		649,802		31,515,397

				150,655,603

Metals & Mining — 2.9%
Freeport-McMoRan Copper & Gold, Inc.		1,054,945		35,941,976
Goldcorp, Inc. (Canada)		672,583		25,275,669
Kinross Gold Corp. (Canada)		3,483,872		28,393,557

				89,611,202

Oil, Gas & Consumable Fuels — 4.2%
Anadarko Petroleum Corp.		513,970		34,024,814
Noble Energy, Inc.		359,926		30,528,923
Occidental Petroleum Corp.		379,362		32,537,879
Suncor Energy, Inc. (Canada)		1,126,728		32,581,154

				129,672,770

Personal Products — 1.0%
Estee Lauder Cos., Inc. (The) (Class A Stock)		568,369		30,760,130

Pharmaceuticals — 6.5%
Allergan, Inc.		420,217		38,899,488
Novo Nordisk A/S, ADR (Denmark)		309,046		44,916,746
Pfizer, Inc.		1,798,734		41,370,882
Sanofi, ADR (France)		660,780		24,964,268
Shire PLC, ADR (United Kingdom)		321,854		27,804,967
Teva Pharmaceutical Industries Ltd., ADR (Israel)		555,309		21,901,387

				199,857,738

Real Estate Investment Trusts — 1.2%
American Tower Corp.		518,917		36,277,487

Road & Rail — 1.0%
Union Pacific Corp.		254,819		30,402,455

Semiconductors & Semiconductor Equipment — 2.4%
Avago Technologies Ltd. (Singapore)		662,468		23,782,601
Marvell Technology Group Ltd. (Bermuda)		2,464,950		27,804,636
Maxim Integrated Products, Inc.		803,789		20,609,150

				72,196,387

Software — 4.5%
CA, Inc.(a)		1,194,482		32,358,517
Red Hat, Inc.*(a)		459,971		25,979,162
salesforce.com, Inc.*(a)		223,111		30,847,327
VMware, Inc. (Class A Stock)*		518,187		47,175,745

				136,360,751

Specialty Retail — 1.9%
Staples, Inc.		2,120,704		27,675,187
TJX Cos., Inc. (The)		722,001		30,995,503

				58,670,690

Textiles, Apparel & Luxury Goods — 4.8%
Coach, Inc.		501,982		29,355,907
Lululemon Athletica, Inc.*(a)		438,399		26,141,732


COMMON STOCKS (continued)	Shares		Value (Note 2)

Textiles, Apparel & Luxury Goods (continued)
Michael Kors Holdings Ltd. (British Virgin Islands)*		666,758	$	27,897,155
NIKE, Inc. (Class B Stock)		386,424		33,920,299
Ralph Lauren Corp.		206,317		28,896,759

				146,211,852

Wireless Telecommunication Services — 1.6%
MetroPCS Communications, Inc.*		4,322,720		26,152,456
NII Holdings, Inc.*(a)		2,181,587		22,317,635

				48,470,091

TOTAL LONG-TERM INVESTMENTS (cost $2,375,616,767)				2,970,124,949

SHORT-TERM INVESTMENT — 8.7%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $265,065,553; includes $189,157,223 of cash collateral for securities on loan)(b)(w)(Note 4)		265,065,553		265,065,553

TOTAL INVESTMENTS — 105.9% (cost $2,640,682,320)				3,235,190,502
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.9)%				(179,706,600	)

NET ASSETS — 100.0%			$	3,055,483,902

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 $188,888,633; cash collateral of $189,157,223 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

(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 in active markets for identical securities.

Level 2—

SEE NOTES TO FINANCIAL STATEMENTS.

A54

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 June 30, 2012 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,947,584,186	$	22,540,763	$	—
Affiliated Money Market Mutual Fund		265,065,553		—		—

Total	$	3,212,649,739	$	22,540,763	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2012 were as follows:


Affiliated Money Market Mutual Fund (6.2% represents investments purchased with collateral from securities on loan)	8.7	%
Pharmaceuticals	6.5
Computers & Peripherals	5.3
Food Products	5.0
Media	4.9
Textiles, Apparel & Luxury Goods	4.8
Software	4.5
Oil, Gas & Consumable Fuels	4.2
Healthcare Providers & Services	3.8
Energy Equipment & Services	3.8
Internet Software & Services	3.7
Aerospace & Defense	3.6
IT Services	3.2


Hotels, Restaurants & Leisure	3.1	%
Metals & Mining	2.9
Internet & Catalog Retail	2.8
Chemicals	2.7
Capital Markets	2.7
Semiconductors & Semiconductor Equipment	2.4
Commercial Banks	2.4
Food & Staples Retailing	2.3
Specialty Retail	1.9
Diversified Financial Services	1.9
Communications Equipment	1.6
Biotechnology	1.6
Wireless Telecommunication Services	1.6
Electronic Equipment & Instruments	1.3
Airlines	1.3
Independent Power Producers & Energy Traders	1.2
Real Estate Investment Trusts	1.2
Machinery	1.1
Electric Utilities	1.0
Personal Products	1.0
Road & Rail	1.0
Auto Components	1.0
Insurance	1.0
Consumer Finance	0.7
Diversified Telecommunication Services	0.7
Life Sciences Tools & Services	0.6
Construction & Engineering	0.5
Automobiles	0.4

	105.9
Liabilities in excess of other assets	(5.9	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A55


		*EQUITY PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2012


ASSETS
Investments at value, including securities on loan of $188,888,633:
Unaffiliated investments (cost $2,375,616,767)	$	2,970,124,949
Affiliated investments (cost $265,065,553)		265,065,553
Receivable for investments sold		9,325,088
Dividends receivable		2,233,132
Tax reclaim receivable		41,134
Prepaid expenses		3,053

Total Assets		3,246,792,909

LIABILITIES
Collateral for securities on loan		189,157,223
Management fee payable		1,106,010
Payable for Series shares repurchased		729,323
Accrued expenses and other liabilities		313,846
Deferred trustees’ fees		1,089
Affiliated transfer agent fees payable		926
Distribution fee payable		369
Administration fee payable		221

Total Liabilities		191,309,007

NET ASSETS	$	3,055,483,902

Net assets were comprised of:
Paid-in capital	$	2,734,267,444
Retained earnings		321,216,458

Net assets, June 30, 2012	$	3,055,483,902

Class I:
Net asset value and redemption price per share, $3,053,703,377 / 122,360,890 outstanding shares of beneficial interest	$	24.96

Class II:
Net asset value and redemption price per share, $1,780,525 / 70,446.2 outstanding shares of beneficial interest	$	25.27

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2012


INVESTMENT INCOME
Unaffiliated dividend income (net of $564,104 foreign withholding tax)	$	19,631,185
Affiliated income from securities lending, net		725,326
Affiliated dividend income		56,863

		20,413,374

EXPENSES
Management fee		7,161,512
Distribution fee—Class II		2,454
Administration fee—Class II		1,473
Custodian’s fees and expenses		181,000
Shareholders’ reports		142,000
Trustees’ fees		21,000
Insurance expenses		18,000
Audit fee		11,000
Legal fees and expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		5,000
Loan interest expense (Note 8)		14
Miscellaneous		10,836

Total expenses		7,567,289

NET INVESTMENT INCOME		12,846,085

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		68,120,061
Foreign currency transactions		6,030

		68,126,091

Net change in unrealized appreciation (depreciation) on:
Investments		97,554,074
Foreign currencies		(414	)

		97,553,660

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		165,679,751

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	178,525,836

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	12,846,085		$	18,821,831
Net realized gain on investment and foreign currency transactions		68,126,091			204,252,562
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		97,553,660			(327,809,092	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		178,525,836			(104,734,699	)

DISTRIBUTIONS
Class I		(18,817,932	)		(22,097,344	)
Class II		(4,233	)		(4,010	)

TOTAL DISTRIBUTIONS		(18,822,165	)		(22,101,354	)

SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		10,193,340			19,970,190
Series shares issued in reinvestment of distributions		18,822,165			22,101,354
Series shares repurchased		(132,696,511	)		(242,019,698	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(103,681,006	)		(199,948,154	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		56,022,665			(326,784,207	)
NET ASSETS:
Beginning of period		2,999,461,237			3,326,245,444

End of period	$	3,055,483,902		$	2,999,461,237

SEE NOTES TO FINANCIAL STATEMENTS.

A56


LONG-TERM INVESTMENTS — 95.2%
COMMON STOCKS — 62.7%	Shares		Value (Note 2)

Aerospace & Defense — 1.7%
Alliant Techsystems, Inc.		26,900	$	1,360,333
BAE Systems PLC (United Kingdom)		30,491		138,235
Boeing Co. (The)		10,000		743,000
European Aeronautic Defense and Space Co. NV (Netherlands)		3,117		110,625
General Dynamics Corp.		177,300		11,694,708
Honeywell International, Inc.		241,800		13,502,112
L-3 Communications Holdings, Inc.		75,500		5,587,755
Meggitt PLC (United Kingdom)		764		4,623
Northrop Grumman Corp.		152,400		9,721,596
Safran SA (France)		1,579		58,638
United Technologies Corp.		150,000		11,329,500

				54,251,125

Air Freight & Logistics — 0.2%
Deutsche Post AG (Germany)		8,240		145,795
FedEx Corp.		45,300		4,149,933
United Parcel Service, Inc. (Class B Stock)		27,900		2,197,404

				6,493,132

Airlines — 0.1%
Alaska Air Group, Inc.*		61,800		2,218,620
Allegiant Travel Co.*		3,600		250,848
United Continental Holdings, Inc.*		62,800		1,527,924

				3,997,392

Auto Components — 0.1%
Cie Generale des Etablissements Michelin (France) (Class B Stock)		1,936		126,666
Continental AG (Germany)		912		76,025
Delphi Automotive PLC*		27,500		701,250
Denso Corp. (Japan)		100		3,417
Lear Corp.		14,700		554,631
NHK Spring Co. Ltd. (Japan)		4,800		51,835
NOK Corp. (Japan)		4,600		98,216
Pirelli & C. SpA (Italy)		871		9,186
Toyoda Gosei Co. Ltd. (Japan)		3,500		80,685

				1,701,911

Automobiles — 0.6%
Bayerische Motoren Werke AG (Germany)		1,406		101,749
Daihatsu Motor Co. Ltd. (Japan)		5,000		87,536
Fiat SpA (Italy)*		18,923		95,406
Ford Motor Co.(a)		1,513,100		14,510,629
Fuji Heavy Industries Ltd. (Japan)		23,000		186,348
Harley-Davidson, Inc.		54,700		2,501,431
Honda Motor Co. Ltd. (Japan)		500		17,448
Isuzu Motors Ltd. (Japan)		12,000		64,277
Nissan Motor Co. Ltd. (Japan)		18,400		174,721
Suzuki Motor Corp. (Japan)		6,600		135,517
Thor Industries, Inc.		44,700		1,225,227
Toyota Motor Corp. (Japan)		3,300		133,195
Volkswagen AG (Germany)		89		13,449

				19,246,933


COMMON STOCKS (continued)	Shares		Value (Note 2)

Beverages — 1.4%
Anheuser-Busch InBev NV (Belgium)		4,410	$	347,691
Coca-Cola Co. (The)		231,800		18,124,442
Coca-Cola Enterprises, Inc.		331,900		9,306,476
Diageo PLC (United Kingdom)		6,661		171,687
Heineken Holding NV (Netherlands)		742		33,235
Heineken NV (Netherlands)		1,755		91,517
Molson Coors Brewing Co. (Class B Stock)		63,000		2,621,430
Monster Beverage Corp.*		15,300		1,089,360
PepsiCo, Inc.		188,920		13,349,087

				45,134,925

Biotechnology — 1.2%
Amgen, Inc.		180,708		13,198,912
Biogen Idec, Inc.*		61,500		8,879,370
Celgene Corp.*		226,400		14,525,824
United Therapeutics Corp.*(a)		48,500		2,394,930

				38,999,036

Building Products — 0.1%
Assa Abloy AB (Sweden) (Class B Stock)		3,435		95,926
Fortune Brands Home & Security, Inc.*(a)		90,500		2,015,435

				2,111,361

Capital Markets — 1.2%
Aberdeen Asset Management PLC (United Kingdom)		19,562		79,676
Bank of New York Mellon Corp. (The)		135,200		2,967,640
Deutsche Bank AG (Germany)		2,407		86,877
Franklin Resources, Inc.		7,900		876,821
GAM Holding AG (Switzerland)		2,257		25,197
Goldman Sachs Group, Inc. (The)		182,500		17,494,450
Jefferies Group, Inc.		49,000		636,510
Morgan Stanley		832,590		12,147,488
Ratos AB (Sweden) (Class B Stock)		3,998		37,963
Schroders PLC (United Kingdom)		789		16,538
T. Rowe Price Group, Inc.		41,500		2,612,840
UBS AG (Switzerland)		1,082		12,662

				36,994,662

Chemicals — 1.0%
Arkema SA (France)		705		46,226
Asahi Kasei Corp. (Japan)		13,000		70,468
BASF SE (Germany)		3,756		261,172
CF Industries Holdings, Inc.		68,600		13,290,564
Chemtura Corp.*		36,200		524,900
Daicel Corp. (Japan)		1,000		6,151
Eastman Chemical Co.		48,600		2,447,982
Huntsman Corp.		125,300		1,621,382
Koninklijke DSM NV (Netherlands)		890		43,877
Koppers Holdings, Inc.		12,300		418,200
Kuraray Co. Ltd. (Japan)		5,000		64,797
Lanxess AG (Germany)		2,289		144,859
LSB Industries, Inc.*		21,000		649,110
LyondellBasell Industries NV (Class A Stock)		191,500		7,711,705

SEE NOTES TO FINANCIAL STATEMENTS.

A57


COMMON STOCKS (continued)	Shares		Value (Note 2)

Chemicals (continued)
Mitsubishi Gas Chemical Co., Inc. (Japan)		9,000	$	51,165
Nitto Denko Corp. (Japan)		1,000		42,845
PPG Industries, Inc.		48,200		5,114,984
Syngenta AG (Switzerland)		444		151,992
Ube Industries Ltd. (Japan)		2,000		4,652
Wacker Chemie AG (Germany)(a)		102		7,027
Yara International ASA (Norway)		3,762		164,632

				32,838,690

Commercial Banks — 2.4%
Aozora Bank Ltd. (Japan)		27,000		64,297
Australia & New Zealand Banking Group Ltd. (Australia)		5,822		132,626
Banco Santander SA (Spain)		17,191		113,723
Bank Leumi Le-Israel BM (Israel)*		5,621		13,732
Barclays PLC (United Kingdom)		71,618		183,002
BB&T Corp.		134,600		4,152,410
BNP Paribas SA (France)		2,905		112,002
BOC Hong Kong Holdings Ltd. (Hong Kong)		50,000		153,923
Commonwealth Bank of Australia (Australia)		3,259		178,478
DBS Group Holdings Ltd. (Singapore)		9,000		99,411
Fifth Third Bancorp		404,200		5,416,280
HSBC Holdings PLC (United Kingdom)		46,177		406,903
Huntington Bancshares, Inc.		566,100		3,623,040
KeyCorp		600,700		4,649,418
Mitsubishi UFJ Financial Group, Inc. (Japan)		65,500		313,803
Mizuho Financial Group, Inc. (Japan)		53,500		90,375
National Australia Bank Ltd. (Australia)		8,912		217,075
PNC Financial Services Group, Inc.		59,800		3,654,378
Regions Financial Corp.		145,000		978,750
Resona Holdings, Inc. (Japan)		29,300		120,704
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		15,943		103,541
Standard Chartered PLC (United Kingdom)		4,297		93,343
Sumitomo Mitsui Financial Group, Inc. (Japan)		9,100		300,618
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		41,000		122,533
SunTrust Banks, Inc.		221,000		5,354,830
Svenska Handelsbanken AB (Sweden) (Class A Stock)		3,562		117,104
Swedbank AB (Sweden) (Class A Stock)		10,809		170,285
U.S. Bancorp		387,532		12,463,029
Wells Fargo & Co.		966,312		32,313,473
Westpac Banking Corp. (Australia)		14,438		315,271

				76,028,357

Commercial Services & Supplies
Brink’s Co. (The)		14,000		324,520
Copart, Inc.*		21,400		506,966
Societe BIC SA (France)		416		42,973

				874,459


COMMON STOCKS (continued)	Shares		Value (Note 2)

Communications Equipment — 1.6%
Cisco Systems, Inc.		1,313,900	$	22,559,663
F5 Networks, Inc.*		101,500		10,105,340
NETGEAR, Inc.*(a)		37,000		1,276,870
QUALCOMM, Inc.		274,500		15,284,160

				49,226,033

Computers & Peripherals — 3.9%
Apple, Inc.*		172,800		100,915,200
Dell, Inc.*(a)		425,800		5,331,016
EMC Corp.*(a)		191,000		4,895,330
Hewlett-Packard Co.		651,300		13,097,643

				124,239,189

Construction & Engineering — 0.2%
ACS Actividades de Construccion y Servicios SA (Spain)		1,958		41,941
Balfour Beatty PLC (United Kingdom)		16,113		75,342
Chicago Bridge & Iron Co. NV		22,000		835,120
Eiffage SA (France)		5,604		181,103
Ferrovial SA (Spain)		1,981		22,341
Fluor Corp.		19,200		947,328
KBR, Inc.		86,600		2,139,886
Taisei Corp. (Japan)		4,000		10,721
URS Corp.		31,900		1,112,672
Vinci SA (France)		1,603		74,917

				5,441,371

Construction Materials
Imerys SA (France)		1,016		51,796

Consumer Finance — 0.5%
Discover Financial Services		205,900		7,120,022
SLM Corp.		638,000		10,022,980

				17,143,002

Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		2,874		20,981
Owens-Illinois, Inc.*		178,500		3,421,845
Rexam PLC (United Kingdom)		3,356		22,149

				3,464,975

Distributors — 0.2%
Genuine Parts Co.		129,000		7,772,250

Diversified Financial Services — 1.7%
Bank of America Corp.		426,782		3,491,077
Citigroup, Inc.		833,350		22,842,123
JPMorgan Chase & Co.		740,094		26,443,559
Kinnevik Investment AB (Sweden) (Class B Stock)		1,159		23,264
NASDAQ OMX Group, Inc. (The)		86,400		1,958,688
ORIX Corp. (Japan)		880		82,012
Pohjola Bank PLC (Finland) (Class A Stock)		1,027		11,985

				54,852,708

Diversified Telecommunication Services — 1.6%
AT&T, Inc.		672,647		23,986,592
BT Group PLC (United Kingdom)		62,039		205,567
France Telecom SA (France)		2,714		35,685

SEE NOTES TO FINANCIAL STATEMENTS.

A58


COMMON STOCKS (continued)	Shares		Value (Note 2)

Diversified Telecommunication Services (continued)
Nippon Telegraph & Telephone Corp. (Japan)		5,800	$	270,457
Swisscom AG (Switzerland)		149		60,029
Telecom Corp. of New Zealand Ltd. (New Zealand)		80,694		153,649
Telecom Italia SpA (Italy)		86,491		85,466
Telefonica SA (Spain)		4,425		58,248
Verizon Communications, Inc.		566,688		25,183,615

				50,039,308

Electric Utilities — 0.9%
American Electric Power Co., Inc.		227,900		9,093,210
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		2,000		12,108
El Paso Electric Co.		25,900		858,844
Enel SpA (Italy)		59,499		192,114
Energias de Portugal SA (Portugal)		64,543		152,684
Entergy Corp.		106,000		7,196,340
Exelon Corp.		119,700		4,503,114
Iberdrola SA (Spain)		21,564		101,809
NV Energy, Inc.		70,900		1,246,422
Power Assets Holdings Ltd. (Hong Kong)		1,000		7,504
PPL Corp.		216,400		6,018,084
Red Electrica Corp. SA (Spain)		3,078		134,341
SP AusNet (Australia)		31,311		32,814
SSE PLC (United Kingdom)		3,810		83,117
Terna Rete Elettrica Nazionale SpA (Italy)		16,494		59,602

				29,692,107

Electrical Equipment — 0.4%
Babcock & Wilcox Co. (The)*		52,000		1,274,000
Emerson Electric Co.		178,900		8,333,162
EnerSys*		31,900		1,118,733
Roper Industries, Inc.		4,900		483,042
Schneider Electric SA (France)		2,684		149,187

				11,358,124

Electronic Equipment, Instruments & Components — 0.2%
Arrow Electronics, Inc.*		5,500		180,455
Avnet, Inc.*		78,100		2,410,166
Dolby Laboratories, Inc. (Class A Stock)*		38,600		1,594,180
Hexagon AB (Sweden) (Class B Stock)		3,303		56,696
Hitachi Ltd. (Japan)		11,000		67,824
Ingram Micro, Inc.*		89,100		1,556,577
Jabil Circuit, Inc.		34,900		709,517
Kyocera Corp. (Japan)		500		43,270
Tech Data Corp.*		11,500		553,955

				7,172,640

Energy Equipment & Services — 0.8%
Atwood Oceanics, Inc.*(a)		16,200		613,008
Halliburton Co.		159,600		4,531,044
Helix Energy Solutions Group, Inc.*		90,400		1,483,464
National Oilwell Varco, Inc.		212,400		13,687,056
Oceaneering International, Inc.		20,100		961,986


COMMON STOCKS (continued)	Shares		Value (Note 2)

Energy Equipment & Services (continued)
Schlumberger Ltd.		62,400	$	4,050,384
Seadrill Ltd. (Norway)		4,324		154,218
Technip SA (France)		52		5,419
Transocean Ltd.		963		43,184

				25,529,763

Food & Staples Retailing — 2.0%
Casino Guichard Perrachon SA (France)		89		7,823
CVS Caremark Corp.		434,400		20,299,512
Delhaize Group SA (Belgium)		1,820		66,670
J Sainsbury PLC (United Kingdom)		7,059		33,362
Koninklijke Ahold NV (Netherlands)		17,200		213,062
Kroger Co. (The)		540,500		12,534,195
Metcash Ltd. (Australia)		980		3,395
Seven & I Holdings Co. Ltd. (Japan)		4,300		129,625
Tesco PLC (United Kingdom)		25,624		124,528
Walgreen Co.		98,000		2,898,840
Wal-Mart Stores, Inc.		305,100		21,271,572
Wesfarmers Ltd. (Australia)		2,047		63,010
Whole Foods Market, Inc.		48,600		4,632,552
WM Morrison Supermarkets PLC (United Kingdom)		25,684		107,173
Woolworths Ltd. (Australia)		548		15,086

				62,400,405

Food Products — 1.4%
Archer-Daniels-Midland Co.		436,100		12,873,672
Associated British Foods PLC (United Kingdom)		3,426		68,936
Bunge Ltd.		92,400		5,797,176
ConAgra Foods, Inc.		73,500		1,905,855
Darling International, Inc.*(a)		71,900		1,185,631
Dean Foods Co.*		19,100		325,273
Golden Agri-Resources Ltd. (Singapore)		178,000		95,065
Hormel Foods Corp.(a)		65,900		2,004,678
Ingredion, Inc.		70,900		3,510,968
Kellogg Co.		68,200		3,364,306
Kraft Foods, Inc.		22,500		868,950
Nestle SA (Switzerland)		8,282		494,252
Pilgrim’s Pride Corp.*		55,100		393,965
Sanderson Farms, Inc.(a)		19,800		907,236
Smithfield Foods, Inc.*(a)		47,900		1,036,077
Suedzucker AG (Germany)		2,865		101,638
Tate & Lyle PLC (United Kingdom)		6,353		64,520
Tyson Foods, Inc. (Class A Stock)		495,300		9,326,499
Unilever NV (Netherlands)		2,262		75,563
Unilever PLC (United Kingdom)		2,177		73,090

				44,473,350

Gas Utilities
Enagas (Spain)		4,610		84,115
Gas Natural SDG SA (Spain)		6,579		84,472
Hong Kong & China Gas Co. Ltd. (Hong Kong)		30,800		65,429

				234,016

SEE NOTES TO FINANCIAL STATEMENTS.

A59


COMMON STOCKS (continued)	Shares		Value (Note 2)

Healthcare Equipment & Supplies — 1.1%
Baxter International, Inc.		109,200	$	5,803,980
Becton, Dickinson & Co.		65,900		4,926,025
C.R. Bard, Inc.(a)		15,800		1,697,552
Coloplast A/S (Denmark) (Class B Stock)		983		176,751
Getinge AB (Sweden) (Class B Stock)		380		9,429
Hill-Rom Holdings, Inc.		83,800		2,585,230
Intuitive Surgical, Inc.*		18,200		10,078,978
Medtronic, Inc.		132,400		5,127,852
Sirona Dental Systems, Inc.*		18,600		837,186
St. Jude Medical, Inc.		77,300		3,085,043
Stryker Corp.		36,000		1,983,600

				36,311,626

Healthcare Providers & Services — 1.6%
Aetna, Inc.		270,500		10,487,285
Humana, Inc.		55,300		4,282,432
Ramsay Health Care Ltd. (Australia)		2,551		59,273
UnitedHealth Group, Inc.		410,500		24,014,250
WellPoint, Inc.		196,500		12,534,735

				51,377,975

Hotels, Restaurants & Leisure — 1.1%
CEC Entertainment, Inc.		6,300		229,131
Galaxy Entertainment Group Ltd. (Hong Kong)*		6,000		15,095
InterContinental Hotels Group PLC (United Kingdom)		363		8,739
International Game Technology(a)		305,200		4,806,900
McDonald’s Corp.		183,000		16,200,990
Panera Bread Co. (Class A Stock)*		31,600		4,406,304
Sands China Ltd. (Hong Kong)		33,200		106,805
TABCORP Holdings Ltd. (Australia)		19,601		59,109
Wynn Macau Ltd. (Hong Kong)		4,000		9,439
Yum! Brands, Inc.(a)		149,500		9,630,790

				35,473,302

Household Durables — 0.5%
Harman International Industries, Inc.		62,200		2,463,120
Sekisui House Ltd. (Japan)		2,000		18,884
Sony Corp. (Japan)		2,500		35,748
Tupperware Brands Corp.		40,300		2,206,828
Whirlpool Corp.		176,900		10,819,204

				15,543,784

Household Products — 1.0%
Colgate-Palmolive Co.(a)		37,900		3,945,390
Henkel AG & Co. KGaA (Germany)		321		17,813
Kimberly-Clark Corp.(a)		6,600		552,882
Procter & Gamble Co. (The)		453,005		27,746,556
Reckitt Benckiser Group PLC (United Kingdom)		2,463		130,187
Spectrum Brands Holdings, Inc.*		11,600		377,812

				32,770,640

Independent Power Producers & Energy Traders — 0.4%
AES Corp. (The)*		764,500		9,808,535
NRG Energy, Inc.*		108,400		1,881,824

				11,690,359


COMMON STOCKS (continued)	Shares		Value (Note 2)

Industrial Conglomerates — 1.7%
3M Co.		170,000	$	15,232,000
General Electric Co.		1,880,200		39,183,368
Keppel Corp. Ltd. (Singapore)		8,000		65,540
Koninklijke Philips Electronics NV (Netherlands)		530		10,444
Siemens AG (Germany)		1,350		113,437
Smiths Group PLC (United Kingdom)		886		14,071
Tyco International Ltd.		18,400		972,440

				55,591,300

Insurance — 1.8%
ACE Ltd.		120,900		8,962,317
Admiral Group PLC (United Kingdom)		1,893		35,312
Aflac, Inc.		163,300		6,954,947
American Financial Group, Inc.		61,700		2,420,491
American International Group, Inc.*		33,200		1,065,388
Assurant, Inc.		101,200		3,525,808
Aviva PLC (United Kingdom)		23,898		102,330
AXA SA (France)		11,999		160,412
Berkshire Hathaway, Inc. (Class B Stock)*		147,100		12,257,843
Genworth Financial, Inc.*		620,500		3,512,030
Hannover Rueckversicherung AG (Germany)		1,013		60,343
Insurance Australia Group Ltd. (Australia)		658		2,360
Legal & General Group PLC (United Kingdom)		21,425		42,834
Loews Corp.		12,900		527,739
MetLife, Inc.		203,800		6,287,230
Muenchener Rueckversicherungs AG (Germany)		1,173		165,516
Old Mutual PLC (United Kingdom)		14,874		35,374
ProAssurance Corp.		4,600		409,814
Prudential PLC (United Kingdom)		3,628		42,067
Sampo OYJ (Finland) (Class A Stock)		1,289		33,443
Standard Life PLC (United Kingdom)		12,586		46,083
Swiss Re AG (Switzerland)		4,379		276,060
Symetra Financial Corp.		77,600		979,312
Unum Group		193,400		3,699,742
XL Group PLC		268,200		5,642,928
Zurich Financial Services AG (Switzerland)		512		115,775

				57,363,498

Internet & Catalog Retail — 0.2%
Amazon.com, Inc.*		2,200		502,370
Expedia, Inc.		41,000		1,970,870
HSN, Inc.		54,900		2,215,215
Liberty Interactive Corp. (Class A Stock)*		28,600		508,794
priceline.com, Inc.*		1,200		797,424

				5,994,673

SEE NOTES TO FINANCIAL STATEMENTS.

A60


COMMON STOCKS (continued)	Shares		Value (Note 2)

Internet Software & Services — 0.9%
CoStar Group, Inc.*		13,400	$	1,088,080
Dice Holdings, Inc.*		37,000		347,430
Google, Inc. (Class A Stock)*		35,200		20,418,464
IAC/InterActiveCorp		52,000		2,371,200
Yahoo!, Inc.*		214,400		3,393,952

				27,619,126

IT Services — 2.0%
Accenture PLC (Class A Stock)		203,900		12,252,351
Cap Gemini SA (France)		2,429		89,401
Corelogic, Inc.*		23,800		435,778
International Business Machines Corp.		160,100		31,312,358
Itochu Techno-Solutions Corp. (Japan)		700		33,785
Lender Processing Services, Inc.		43,200		1,092,096
Otsuka Corp. (Japan)		1,900		161,753
SAIC, Inc.		166,000		2,011,920
Unisys Corp.*		28,400		555,220
Visa, Inc. (Class A Stock)		120,000		14,835,600

				62,780,262

Leisure Equipment & Products — 0.1%
Nikon Corp. (Japan)		3,100		94,366
Polaris Industries, Inc.		49,400		3,531,112
Sankyo Co., Ltd. (Japan)		800		39,039
Shimano, Inc. (Japan)		1,100		72,119
Sturm Ruger & Co., Inc.(a)		16,800		674,520
Yamaha Corp. (Japan)		5,500		56,599

				4,467,755

Life Sciences Tools & Services — 0.5%
Charles River Laboratories International, Inc.*		18,100		592,956
Life Technologies Corp.*		38,600		1,736,614
Mettler-Toledo International, Inc.*		5,200		810,420
Thermo Fisher Scientific, Inc.		230,300		11,954,873

				15,094,863

Machinery — 1.3%
AGCO Corp.*		121,700		5,565,341
Atlas Copco AB (Sweden)		3,544		76,270
Crane Co.		5,400		196,452
Cummins, Inc.		136,300		13,208,833
Deere & Co.		79,800		6,453,426
Dover Corp.		70,200		3,763,422
Eaton Corp.(a)		72,800		2,885,064
FANUC Corp. (Japan)		1,300		213,695
Fiat Industrial SpA (Italy)		12,410		122,152
Hino Motors Ltd. (Japan)		21,000		151,995
Hitachi Construction Machinery Co., Ltd. (Japan)		4,300		81,210
Kone OYJ (Finland) (Class B Stock)		1,037		62,628
Lincoln Electric Holdings, Inc.		10,900		477,311
Metso OYJ (Finland)		4,064		140,124
Oshkosh Corp.*		71,300		1,493,735
Parker Hannifin Corp.(a)		18,100		1,391,528
Sandvik AB (Sweden)		3,267		41,898
Timken Co.		82,100		3,759,359
Toro Co. (The)		12,300		901,467
Valmont Industries, Inc.		3,000		362,910


COMMON STOCKS (continued)	Shares		Value (Note 2)

Machinery (continued)
Volvo AB (Sweden) (Class B Stock)		6,055	$	69,230

				41,418,050

Marine
A.P. Moller-Maersk A/S (Denmark) (Class A Stock)		4		24,898
A.P. Moller-Maersk A/S (Denmark) (Class B Stock)		1		6,557

				31,455

Media — 1.7%
AMC Networks, Inc. (Class A Stock)*		13,400		476,370
Belo Corp. (Class A Stock)		37,000		238,280
CBS Corp. (Class B Stock)		84,900		2,783,022
Comcast Corp. (Class A Stock)		111,673		3,570,186
DIRECTV (Class A Stock)*		329,900		16,105,718
Hakuhodo DY Holdings, Inc. (Japan)		1,530		101,532
ITV PLC (United Kingdom)		62,557		75,274
McGraw-Hill Cos., Inc. (The)		91,000		4,095,000
Publicis Groupe SA (France)		692		31,648
Time Warner, Inc.(a)		295,900		11,392,150
Viacom, Inc. (Class B Stock)		233,600		10,983,872
Walt Disney Co. (The)(a)		59,000		2,861,500
WPP PLC (United Kingdom)		2,996		36,371

				52,750,923

Metals & Mining — 1.0%
Alcoa, Inc.(a)		426,900		3,735,375
BHP Billiton Ltd. (Australia)		10,062		327,743
BHP Billiton PLC (United Kingdom)		9,685		275,270
Boliden AB (Sweden)		5,139		71,709
Commercial Metals Co.		74,600		942,944
Fortescue Metals Group Ltd. (Australia)(a)		21,652		110,634
Freeport-McMoRan Copper & Gold, Inc.		393,900		13,420,173
Iluka Resources Ltd. (Australia)		1,295		15,284
Reliance Steel & Aluminum Co.		56,500		2,853,250
Rio Tinto Ltd. (Australia)		1,397		82,013
Rio Tinto PLC (United Kingdom)		6,181		293,743
Salzgitter AG (Germany)		134		5,516
Southern Copper Corp.(a)		130,100		4,099,451
Steel Dynamics, Inc.		391,500		4,600,125
Sumitomo Metal Mining Co. Ltd. (Japan)		8,000		90,153
Voestalpine AG (Austria)		2,709		71,950
Xstrata PLC (United Kingdom)		5,085		63,935

				31,059,268

Multiline Retail — 0.7%
Dillard’s, Inc. (Class A Stock)		56,400		3,591,552
Dollar Tree, Inc.*(a)		74,000		3,981,200
Takashimaya Co. Ltd. (Japan)		3,000		23,058
Target Corp.		226,400		13,174,216

				20,770,026

Multi-Utilities — 0.5%
Centrica PLC (United Kingdom)		11,607		58,035
Dominion Resources, Inc.		144,100		7,781,400

SEE NOTES TO FINANCIAL STATEMENTS.

A61


COMMON STOCKS (continued)	Shares		Value (Note 2)

Multi-Utilities (continued)
GDF Suez (France)		754	$	17,981
National Grid PLC (United Kingdom)		12,988		137,647
Public Service Enterprise Group, Inc.		233,000		7,572,500
RWE AG (Germany)		835		34,147

				15,601,710

Office Electronics
Canon, Inc. (Japan)		1,300		51,884

Oil, Gas & Consumable Fuels — 6.2%
Apache Corp.		177,000		15,556,530
BG Group PLC (United Kingdom)		1,321		27,043
BP PLC (United Kingdom)		76,422		510,360
Chevron Corp.		408,356		43,081,558
ConocoPhillips(a)		185,334		10,356,464
ENI SpA (Italy)		9,096		193,246
EOG Resources, Inc.		68,700		6,190,557
Exxon Mobil Corp.		782,316		66,942,780
Hess Corp.		283,400		12,313,730
Marathon Oil Corp.		279,500		7,146,815
Marathon Petroleum Corp.		109,900		4,936,708
Murphy Oil Corp.		95,300		4,792,637
Occidental Petroleum Corp.		60,600		5,197,662
Repsol YPF SA (Spain)		2,822		45,364
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		12,090		407,347
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		10,065		351,507
Statoil ASA (Norway)		6,171		147,169
Tesoro Corp.*		59,500		1,485,120
Total SA (France)		7,887		354,986
Valero Energy Corp.		167,200		4,037,880
Williams Cos., Inc. (The)		442,200		12,744,204

				196,819,667

Paper & Forest Products
Domtar Corp.		7,400		567,654
Holmen AB (Sweden) (Class B Stock)		397		10,809
Schweitzer-Mauduit International, Inc.		8,500		579,190

				1,157,653

Pharmaceuticals — 3.5%
Abbott Laboratories		393,100		25,343,157
AstraZeneca PLC (United Kingdom)		7,123		318,309
Bayer AG (Germany)		3,331		240,030
Bristol-Myers Squibb Co.		12,300		442,185
Eli Lilly & Co.		392,600		16,846,466
GlaxoSmithKline PLC (United Kingdom)		21,453		487,283
Johnson & Johnson(a)		290,198		19,605,777
Merck & Co., Inc.		650,200		27,145,850
Novartis AG (Switzerland)		6,788		379,526
Novo Nordisk A/S (Denmark) (Class B Stock)		1,278		185,357
Orion OYJ (Finland) (Class B Stock)		3,608		68,338
Otsuka Holdings Co. Ltd. (Japan)		200		6,139
Pfizer, Inc.		819,597		18,850,731
Roche Holding AG (Switzerland)		2,292		395,904
Sanofi (France)		5,254		397,733


COMMON STOCKS (continued)	Shares		Value (Note 2)

Pharmaceuticals (continued)
Shire PLC (United Kingdom)		72	$	2,071
Teva Pharmaceutical Industries Ltd. (Israel)		1,891		74,539

				110,789,395

Professional Services
Adecco SA (Switzerland)		1,747		77,689
Campbell Brothers Ltd. (Australia)		1,607		90,091
Equifax, Inc.		21,300		992,580
Manpower, Inc.		6,800		249,220

				1,409,580

Real Estate Investment Trusts — 1.0%
American Capital Agency Corp.		306,100		10,288,021
American Tower Corp.		134,300		9,388,913
Camden Property Trust		45,800		3,099,286
Centro Retail Australia (Australia)		11,634		23,613
CFS Retail Property Trust (Australia)		37,101		74,050
CommonWealth REIT		83,700		1,600,344
DiamondRock Hospitality Co.		52,700		537,540
Goodman Group (Australia)		11,405		43,184
Government Properties Income Trust		29,000		655,980
GPT Group (Australia)		26,000		87,947
Hospitality Properties Trust		157,900		3,911,183
Link REIT (The) (Hong Kong)		42,000		172,152
Simon Property Group, Inc.		4,400		684,904
Unibail-Rodamco SE (France)		83		15,289
Vornado Realty Trust		19,800		1,662,804
Westfield Retail Trust (Australia)		28,572		83,807
Winthrop Realty Trust		31,300		380,608

				32,709,625

Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*(a)		71,900		1,176,284
Cheung Kong Holdings Ltd. (Hong Kong)		6,000		74,078
Daiwa House Industry Co. Ltd. (Japan)		5,000		70,924
Immofinanz AG (Austria)		7,734		24,609
Jones Lang LaSalle, Inc.(a)		38,700		2,723,319
Keppel Land Ltd. (Singapore)		24,000		61,761
Lend Lease Group (Australia)		24,586		182,848
Sino Land Co. Ltd. (Hong Kong)		66,000		100,219
Sun Hung Kai Properties Ltd. (Hong Kong)		6,000		71,334
Tokyu Land Corp. (Japan)		23,000		114,166

				4,599,542

Road & Rail — 1.0%
Central Japan Railway Co. (Japan)		18		141,766
ComfortDelGro Corp. Ltd. (Singapore)		43,000		52,657
CSX Corp.		473,600		10,589,696
East Japan Railway Co. (Japan)		1,200		75,349
Norfolk Southern Corp.		170,900		12,265,493
Union Pacific Corp.		71,100		8,482,941
West Japan Railway Co. (Japan)		300		12,341

				31,620,243

SEE NOTES TO FINANCIAL STATEMENTS.

A62


COMMON STOCKS (continued)	Shares		Value (Note 2)

Semiconductors & Semiconductor Equipment — 1.4%
Applied Materials, Inc.		445,600	$	5,106,576
ASML Holding NV (Netherlands)		4,913		252,313
Infineon Technologies AG (Germany)		1,414		9,570
Intel Corp.		1,241,100		33,075,315
KLA-Tencor Corp.		8,100		398,925
LSI Corp.*		790,400		5,034,848
Monolithic Power Systems, Inc.*		15,800		313,946

				44,191,493

Software — 2.8%
Adobe Systems, Inc.*		16,900		547,053
CA, Inc.		57,100		1,546,839
Dassault Systemes SA (France)		1,039		97,481
Intuit, Inc.		119,700		7,104,195
Microsoft Corp.		1,372,100		41,972,539
Nexon Co. Ltd. (Japan)*		7,600		148,781
Oracle Corp.		1,047,300		31,104,810
SAP AG (Germany)		3,287		194,641
Symantec Corp.*		261,400		3,819,054
VMware, Inc. (Class A Stock)*		28,100		2,558,224

				89,093,617

Specialty Retail — 1.6%
ANN, Inc.*		40,500		1,032,345
Ascena Retail Group, Inc.*		61,300		1,141,406
Bed Bath & Beyond, Inc.*		56,300		3,479,340
Best Buy Co., Inc.		51,500		1,079,440
Body Central Corp.*		28,900		260,100
Finish Line, Inc. (The) (Class A Stock)		41,800		874,038
Foot Locker, Inc.		43,000		1,314,940
Home Depot, Inc. (The)		290,750		15,406,843
Ross Stores, Inc.		143,700		8,976,939
Shimamura Co. Ltd. (Japan)		800		92,444
TJX Cos., Inc.		372,600		15,995,718
USS Co. Ltd. (Japan)		700		75,531

				49,729,084

Textiles, Apparel & Luxury Goods — 0.5%
Christian Dior SA (France)		183		25,168
Cie Financiere Richemont SA (Switzerland)		2,661		146,115
Coach, Inc.		213,600		12,491,328
LVMH Moet Hennessy Louis Vuitton SA (France)		396		60,267
True Religion Apparel, Inc.		50,500		1,463,490
Vera Bradley, Inc.*(a)		29,600		623,968

				14,810,336

Tobacco — 0.8%
Altria Group, Inc.		260,500		9,000,275
British American Tobacco PLC (United Kingdom)		5,325		270,722
Imperial Tobacco Group PLC (United Kingdom)		6,064		233,635
Japan Tobacco, Inc. (Japan)		5,200		154,053
Lorillard, Inc.		20,700		2,731,365
Philip Morris International, Inc.		161,900		14,127,394

				26,517,444


COMMON STOCKS (continued)	Shares		Value (Note 2)

Trading Companies & Distributors — 0.1%
Applied Industrial Technologies, Inc.		25,200	$	928,620
DXP Enterprises, Inc.*		5,900		244,791
ITOCHU Corp. (Japan)		16,100		169,222
Marubeni Corp. (Japan)		20,000		133,258
Mitsubishi Corp. (Japan)		300		6,064
Mitsui & Co. Ltd. (Japan)		2,900		43,094
MSC Industrial Direct Co., Inc. (Class A Stock)		27,600		1,809,180
Rexel SA (France)		1,906		32,556
Sumitomo Corp. (Japan)		12,800		179,095

				3,545,880

Water Utilities — 0.1%
American Water Works Co., Inc.		112,500		3,856,500

Wireless Telecommunication Services
KDDI Corp. (Japan)		36		232,233
Millicom International Cellular SA (Luxembourg)		178		16,799
Softbank Corp. (Japan)		8,200		305,234
Vodafone Group PLC (United Kingdom)		68,333		192,067

				746,333

TOTAL COMMON STOCKS (cost $1,638,661,828)				1,997,121,891

EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund (cost $598,553)		11,900		594,524

PREFERRED STOCKS — 0.1%
Automobiles
Volkswagen AG (Germany)		961		152,249

Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		22,000		600,380
JPMorgan Chase Capital XXVI, 8.000% (Capital Security, fixed to floating preferred)(b)		28,000		708,120

				1,308,500

Household Products
Henkel AG & Co. KGaA (Germany)		479		31,828

TOTAL PREFERRED STOCKS (cost $1,442,914)				1,492,577


	Units
RIGHTS
Oil, Gas & Consumable Fuels
Repsol YPF SA (Spain)* (cost $0)		2,822		1,979

SEE NOTES TO FINANCIAL STATEMENTS.

A63


ASSET-BACKED SECURITIES — 1.2%	Moody’s Ratings†	Interest Rate		Maturity Date		Principal Amount (000)#			Value (Note 2)

Non-Residential Mortgage-Backed Securities — 1.0%
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.716%		10/20/19	$	2,557		$	2,444,474
Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(b)	Aaa		0.716%		10/27/18		1,000			967,378
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b)	Aaa		2.066%		05/17/21		500			501,282
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.726%		01/26/20		1,622			1,565,335
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.642%		01/15/16		3,209			3,191,629
Bank One Issuance Trust, Ser. 2003-C3, Class C3	Baa2		4.770%		02/16/16		5,200			5,375,619
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.717%		05/25/17		734			721,363
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.716%		08/03/19		411			398,410
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b)	Baa2		0.644%		02/20/15		1,350			1,348,875
First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(b)	Aaa		0.816%		07/27/16		984	(c)		984
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.716%		07/22/20		1,225			1,186,262
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aa1		0.938%		03/15/20		1,000			893,882
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.727%		12/15/17		539			536,122
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(b)	Aaa		0.827%		07/15/16		48			47,984
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.706%		10/19/20		1,161			1,116,484
LCM LP (Cayman Islands), Ser. 2004-2A, Class A, 144A(b)	Aaa		0.786%		10/22/16		390			382,997
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.727%		06/01/17		2,302			2,244,062
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.728%		09/15/17		1,783			1,726,269
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.718%		03/15/18		521			500,900
Race Point CLO Ltd. (Cayman Islands), Ser. 2012-6A, Class B, 144A(b)(d)	AA(e)		2.967%		05/24/23		1,000			994,813
Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(e)		2.964%		08/17/22		750			720,000
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%		02/20/21		140			142,207
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.716%		11/01/18		3,500			3,408,387

										30,415,718

Residential Mortgage-Backed Securities — 0.2%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.895%		03/25/33		381			257,543
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3	B3		5.120%		07/25/35		312			258,702
Equity One ABS, Inc., Ser. 2004-3, Class M1(b)	Ba1		5.506%		07/25/34		670			525,411
GSAMP Trust, Ser. 2004-HE2, Class A3C(b)	Aaa		0.825%		09/25/34		674			559,453
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.734%		01/20/35		287			257,818
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.775%		06/25/34		991			756,109
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.445%		05/25/33		608			509,979
Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(b)	B3		1.190%		06/25/34		1,208			935,250
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.295%		12/27/33		1,096			959,996
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.145%		07/25/32		651			466,352
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.520%		09/25/32		665			500,629
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(b)	Ba3		1.010%		02/25/34		1,060			810,606
Securitized Asset Backed Receivables LLC Trust, Ser. 2006-FR3, Class A3(b)	Ca		0.495%		05/25/36		1,100			366,419

										7,164,267

TOTAL ASSET-BACKED SECURITIES (cost $39,045,670)										37,579,985

BANK LOANS — 0.3%
Foods — 0.1%
Del Monte Foods Co.(b).	Ba3		4.500%		03/08/18		1,098			1,078,912

SEE NOTES TO FINANCIAL STATEMENTS.

A64


BANK LOANS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)

Gaming
Scientific Games Corp.(b)	Ba1		3.000%		06/30/15	$	650	$	643,094

Healthcare & Pharmaceutical — 0.1%
Davita, Inc.(b)	Ba2		4.500%		10/20/16		1,293		1,291,851
HCA, Inc.(b)	Ba3		3.495%		05/01/18		370		358,306
HCA, Inc.(b)	Ba3		3.711%		03/31/17		886		859,882
RPI Finance Trust(b)	Baa2		4.000%		11/09/18		1,083		1,073,518

									3,583,557

Metals
Schaeffler AG(b)	B1		6.000%		01/27/17		750		748,828

Pipelines & Other
Energy Transfer Equity LP(b)	Ba2		3.750%		03/23/17		900		879,429

Technology — 0.1%
First Data Corp.(b)	B1		4.250%		03/26/18		2,134		1,956,489
First Data Corp.(b)	B1		5.250%		03/24/17		162		153,862
Flextronics International Ltd. (Singapore)(b)	Ba1		2.489%		10/01/14		536		523,394
Flextronics International Ltd. (Singapore)(b)	Ba1		2.500%		10/01/14		154		150,400

									2,784,145

TOTAL BANK LOANS (cost $9,915,251)									9,717,965

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%		01/25/36		2,820		2,106,771
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		3.002%		02/25/35		629		541,607
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		3.029%		03/25/35		502		424,663
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	Ba2		2.894%		02/25/37		1,462		1,403,701
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%		09/25/19		582		595,802
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.880%		07/25/35		940		896,083
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%		04/25/19		193		199,520
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa1		2.740%		02/25/34		535		517,683
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(e)		5.000%		03/25/20		247		233,145

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $7,653,093)									6,918,975

COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.2%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%		11/10/38		2,409		2,475,761
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%		07/10/46		3,700		3,758,897
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.805%		06/10/49		1,206		1,211,934
Banc of America Commercial Mortgage, Inc., Ser. 2007-5, Class A3	AAA(e)		5.620%		02/10/51		1,920		2,043,437
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%		10/10/45		3,900		4,204,535
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2007-2, Class A3(b)	AAA(e)		5.780%		04/10/49		1,500		1,652,677
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4(b)	AAA(e)		5.405%		12/11/40		2,000		2,234,914
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.482%		01/15/46		1,200		1,335,624
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%		10/15/48		580		656,577
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(e)		5.440%		09/15/30		511		525,916
Commercial Mortgage Pass Through Certificates, Ser. 2006-C7, Class A4(b)	AAA(e)		5.941%		06/10/46		5,450		6,136,564
Commercial Mortgage Pass Through Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%		12/10/46		399		400,711
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4	Aaa		4.835%		07/15/36		371		376,634

SEE NOTES TO FINANCIAL STATEMENTS.

A65


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

Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4	Aaa		4.283%	10/15/39	$	23	$	23,466
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		1,900		2,013,588
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(e)		5.593%	02/15/39		2,700		3,017,482
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AA-(e)		5.593%	02/15/39		640		693,600
CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA-(e)		5.223%	08/15/48		1,230		1,358,642
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(e)		6.007%	05/15/46		2,200		2,345,638
FHLMC Multifamily Structured Pass Through Certificates, I/O, Ser. K501, Class X1A(b)	Aaa		1.880%	08/25/16		7,882		427,075
GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(b)	Aaa		5.486%	11/10/45		2,585		2,889,924
GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(b)	AAA(e)		5.481%	03/10/44		2,060		2,295,738
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(e)		4.697%	05/10/43		2,720		2,899,482
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A3	Aaa		4.569%	08/10/42		949		960,560
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(b)	Aa2		5.224%	04/10/37		8,050		8,797,378
Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(b)	Aaa		6.071%	07/10/38		1,940		2,211,266
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		2,915		2,982,539
GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB(b)	AAA(e)		5.587%	04/10/38		5,255		5,560,357
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(b)	Aaa		5.778%	08/10/45		1,047		1,055,300
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(b)	Aaa		4.853%	03/15/46		1,801		1,865,295
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		317		319,562
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,062,637
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		3,105		3,222,519
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%	10/15/42		1,270		1,359,282
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		3,229		3,444,823
JPMorgan Chase Commercial Mortgage Securities Corp., I/O, Ser. 2006-LDP6, Class X2(b)	Aaa		0.050%	04/15/43		88,483		64,151
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP7, Class A3A(b)	Aaa		6.064%	04/15/45		563		573,224
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD12, Class A2	Aaa		5.827%	02/15/51		1,416		1,428,037
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%	06/15/45		2,100		2,150,914
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(b)	AAA(e)		4.826%	08/15/29		2,876		2,923,978
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(e)		5.263%	11/15/40		1,510		1,639,375
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(e)		5.084%	02/15/31		3,093		3,107,457
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,777
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(b)	Aaa		5.661%	03/15/39		2,676		3,005,758
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		2,000		2,063,046
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	A(e)		5.848%	05/12/39		930		1,004,845
Merrill Lynch Mortgage Trust, Ser. 2008-C1, Class A2	Aaa		5.425%	02/12/51		130		131,054
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	A(e)		5.657%	02/12/39		530		562,564
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		6.093%	06/12/46		1,795		2,034,753
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		2,495		2,557,251
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.600%	03/12/44		1,500		1,671,319
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(e)		5.894%	10/15/42		2,600		2,927,595

SEE NOTES TO FINANCIAL STATEMENTS.

A66


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

Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(e)		5.332%		12/15/43	$	4,720	$	5,361,929
Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31	Aaa		5.439%		02/12/44		1,230		1,294,045
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%		02/12/44		4,362		4,566,767
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(e)		5.824%		06/11/42		1,105		1,154,300
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(b)	Aaa		5.418%		01/15/45		5,000		5,557,745
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.922%		05/15/43		1,000		1,136,601
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%		04/15/47		4,500		4,924,921
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		6.097%		02/15/51		4,610		5,166,090

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $126,024,409)									134,882,830

CORPORATE BONDS — 8.8%
Aerospace & Defense
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%		07/15/20		515		549,307

Airlines — 0.1%
Continental Airlines 1998-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 981A	Baa2		6.648%		09/15/17		203		213,509
Continental Airlines 2009-2 Class A Pass Through Trust, Pass-thru Certs., Ser. A	Baa2		7.250%		11/10/19		712		803,207
Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-A, Class A(a)	Baa2		4.750%		01/12/21		839		878,362
Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A	Baa2		6.821%		08/10/22		381		409,710
Delta Air Lines 2011-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(a)	Baa2		5.300%		04/15/19		1,382		1,475,719
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-2, Class A(a)	Baa2		4.950%		05/23/19		701		744,714

									4,525,221

Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A	Baa3		3.984%		06/15/16		415		427,412
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A	Baa3		4.207%		04/15/16		1,655		1,718,516
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%		03/15/17		450		456,525
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%		12/15/14		500		541,439
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%		01/15/16		245		275,393

									3,419,285

Banking — 2.4%
American Express Co., Sr. Unsec’d. Notes(a)	A3		8.125%		05/20/19		1,925		2,563,336
American Express Credit Corp., Sr. Unsec’d. Notes, MTN	A2		2.800%		09/19/16		2,030		2,117,625
Banco Bradesco SA (Brazil), Sub. Notes	Baa1		8.750%		10/24/13		1,760		1,892,000
Bank of America Corp., Jr. Sub. Notes, Ser. K(b)	B1		8.000%		12/29/49		2,200		2,291,696
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%		04/01/15		595		613,304
Bank of America Corp., Sr. Unsec’d. Notes, MTN	Baa2		5.000%		05/13/21		630		649,975
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	��	01/24/22		1,260		1,387,630
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%		09/01/17		1,060		1,143,937
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%		07/12/16		870		877,077
Bank of America Corp., Sub. Notes(a)	Baa3		5.750%		08/15/16		1,775		1,845,789
Bank of America NA, Sub. Notes	Baa1		5.300%		03/15/17		930		968,251
Bank of America NA, Sub. Notes	Baa1		6.000%		10/15/36		410		431,190
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		5.300%		10/30/15		515		558,859
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		6.400%		10/02/17		330		380,550
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		7.250%		02/01/18		1,175		1,404,745
Capital One Bank USA NA, Sub. Notes	Baa1		6.500%		06/13/13		20		20,961
Capital One Bank USA NA, Sub. Notes	Baa1		8.800%		07/15/19		1,300		1,637,158
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%		05/15/40		1,080		1,097,550
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		3.953%		06/15/16		1,010		1,034,905
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%		01/14/22		1,660		1,714,538
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		4.750%		05/19/15		2,265		2,377,437

SEE NOTES TO FINANCIAL STATEMENTS.

A67


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

Banking (continued)
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18	$	1,155	$	1,289,643
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%	03/05/38		215		262,984
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39		710		947,491
Citigroup, Inc., Sub. Notes	Baa3		5.000%	09/15/14		454		465,380
Citigroup, Inc., Sub. Notes	Baa3		5.625%	08/27/12		2,800		2,817,020
Citigroup, Inc., Sub. Notes(a)	Baa3		6.125%	08/25/36		570		560,639
Citigroup, Inc., Unsec’d. Notes(a)	Baa2		8.500%	05/22/19		1,895		2,340,384
Depfa ACS Bank (Ireland), Covered Notes, 144A	Aa3		5.125%	03/16/37		1,380		961,165
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		570		663,406
Discover Bank, Sub. Notes	Ba1		8.700%	11/18/19		900		1,118,158
Goldman Sachs Group, Inc. (The), Sr. Notes(a)	A3		6.250%	02/01/41		270		281,544
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		3.625%	02/07/16		2,000		2,000,220
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(f)	A3		5.250%	07/27/21		2,055		2,087,506
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.450%	11/01/12		600		608,702
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.750%	01/24/22		440		464,466
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		1,000		1,067,569
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%	01/15/17		1,190		1,248,193
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		104		101,926
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		4.875%	01/14/22		1,910		2,111,360
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21		1,025		1,144,361
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		170		199,057
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b)	Ba1		7.900%	04/29/49		2,000		2,192,580
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		3,210		3,301,177
JPMorgan Chase & Co., Sr. Unsec’d. Notes(f)	A2		4.250%	10/15/20		2,930		3,078,006
JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA	Baa2		7.000%	11/01/39		1,500		1,500,000
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN	A2		5.800%	01/13/20		1,870		1,999,051
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes.	A2		6.375%	01/21/21		1,400		1,586,592
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN	Baa2		6.400%	08/28/17		35		38,071
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.500%	07/28/21		760		748,795
Morgan Stanley, Sr. Unsec’d. Notes(a)	Baa1		5.750%	01/25/21		1,400		1,380,459
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		1,415		1,400,426
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		510		523,852
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		6.625%	04/01/18		105		109,785
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		2,345		2,368,194
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b)	Ba1		6.346%	07/29/49		800		859,958
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		1,110		1,150,363
PNC Funding Corp., Gtd. Notes.(a)	A3		6.700%	06/10/19		440		547,095
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,775		1,892,785
UBS AG London (Switzerland), Covered Notes, 144A	Aaa		2.250%	03/30/17		950		952,920
USB Capital XIII Trust, Ltd. Gtd. Notes	A2		6.625%	12/15/39		775		781,332
Wells Fargo Bank NA, Sub. Notes, Ser. AI	A1		4.750%	02/09/15		585		626,941

								76,788,069

Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	02/06/12		1,715		390,162
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(a)(g)	NR		6.875%	05/02/18		700		162,750

								552,912

Cable — 0.2%
AT&T Broadband LLC, Gtd. Notes	Baa1		9.455%	11/15/22		255		371,208
Cablevision Systems Corp., Sr. Unsec’d. Notes	B1		8.625%	09/15/17		1,000		1,115,000
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		570		694,837
Comcast Corp., Gtd. Notes	Baa1		6.450%	03/15/37		155		188,495
Comcast Corp., Gtd. Notes	Baa1		6.500%	11/15/35		450		547,549
Comcast Corp., Gtd. Notes(a)	Baa1		6.950%	08/15/37		605		777,072
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		920		970,362
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		173,745

SEE NOTES TO FINANCIAL STATEMENTS.

A68


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

Cable (continued)
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes(a)	Baa2		5.150%	03/15/42	$	1,560	$	1,570,060
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		382,499

								6,790,827

Capital Goods — 0.3%
Actuant Corp., Gtd. Notes, 144A	Ba2		5.625%	06/15/22		1,205		1,238,138
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		745		740,160
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $459,646; purchased 10/10/07)(d)(h)	Baa1		5.800%	10/15/12		460		465,656
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(d)(h)	Baa1		6.375%	10/15/17		1,302		1,521,798
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(d)(h)	Baa1		7.000%	10/15/37		380		458,067
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17		200		233,548
Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A	A1		4.875%	09/15/41		215		244,645
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A	Baa3		3.125%	05/11/15		500		502,990
United Technologies Corp., Sr. Unsec’d. Notes(a)	A2		4.500%	06/01/42		1,830		2,010,081
Xylem, Inc., Sr. Unsec’d. Notes, 144A	Baa2		4.875%	10/01/21		1,260		1,393,597

								8,808,680

Chemicals — 0.2%
Ashland, Inc., Sr. Sec’d. Notes	Baa3		9.125%	06/01/17		1,400		1,540,000
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		7.600%	05/15/14		1,800		2,003,699
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa3		9.400%	05/15/39		432		687,930
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		720		757,773
PPG Industries, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	11/15/40		150		176,387
Union Carbide Corp., Sr. Unsec’d. Notes	Baa3		7.500%	06/01/25		460		553,217

								5,719,006

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,700		1,959,716
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		1,254		1,360,602

								3,320,318

Electric — 0.5%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		175		205,285
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		550		727,991
Carolina Power & Light Co., First Mtge. Bonds	A1		5.250%	12/15/15		525		597,408
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		740		766,250
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		590		817,173
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		220		276,465
Duke Energy Carolinas LLC, First Mtge. Bonds(a)	A1		6.050%	04/15/38		550		729,535
El Paso Electric Co., Sr. Unsec’d. Notes(a)	Baa2		6.000%	05/15/35		670		790,465
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,295		1,517,082
ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A	Baa1		6.000%	10/07/39		1,280		1,004,874
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		155		168,467
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,425		1,543,626
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		295		389,067
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		495		591,125
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		145		137,085
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		460		493,667
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		300		372,102
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa1		6.500%	05/15/18		1,260		1,550,831
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		610		689,639
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		615		685,826
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a)	Baa1		6.375%	01/15/15		345		381,536
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		140		167,650
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		535		694,974

SEE NOTES TO FINANCIAL STATEMENTS.

A69


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

Electric (continued)
Xcel Energy, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.800%	09/15/41	$	480	$	537,128
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		199		230,653

								16,065,904

Energy-Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		535		602,322
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		1,040		1,101,989

								1,704,311

Energy-Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		1,195		1,388,153
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		325		375,742
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		306,387
Cameron International Corp., Sr. Unsec’d. Notes	Baa1		4.500%	06/01/21		2,200		2,353,111
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		1,065		1,117,560
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		1,070		1,111,780
Phillips 66, Gtd. Notes, 144A	Baa1		2.950%	05/01/17		490		503,508
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,500		1,765,252
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		7.350%	12/15/41		170		205,683
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		810		869,575
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,315		1,371,010

								11,367,761

Foods — 0.3%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39		1,285		2,020,370
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		250		397,466
ARAMARK Corp., Gtd. Notes(a)	B3		8.500%	02/01/15		850		870,196
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		727		796,338
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,040		1,097,408
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		985		1,229,717
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $666,818; purchased 11/19/07)(d)(h)	A2		6.000%	11/27/17		670		796,907
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		480		533,316
Kraft Foods Group, Inc., Gtd. Notes, 144A(a)	Baa2		5.000%	06/04/42		680		719,696
Smithfield Foods, Inc., Sr. Sec’d. Notes	Ba2		10.000%	07/15/14		1,321		1,507,591
Tyson Foods, Inc., Gtd. Notes	Baa3		6.850%	04/01/16		735		840,656

								10,809,661

Gaming — 0.1%
MGM Resorts International, Sr. Sec’d. Notes	Ba2		13.000%	11/15/13		1,260		1,436,400

Healthcare & Pharmaceutical — 0.3%
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,640		1,712,021
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		1,110		1,200,736
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,460		2,512,629
Genentech, Inc., Sr. Unsec’d. Notes	AA-(e)		4.750%	07/15/15		280		309,433
Gilead Sciences, Inc., Sr. Unsec’d. Notes(a)	Baa1		5.650%	12/01/41		565		658,598
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		580		654,927
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		165		216,171
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	08/15/19		445		511,611
Wyeth, Gtd. Notes	A1		6.450%	02/01/24		60		80,740

								7,856,866

Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.500%	09/15/18		1,570		1,937,275
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		515		658,577
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		650		739,695
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		670		785,448
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,290		1,407,029
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		5.950%	02/15/41		730		936,167

SEE NOTES TO FINANCIAL STATEMENTS.

A70


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

Healthcare Insurance (continued)
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17	$	195	$	234,796
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		420		556,846
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		420		562,162
WellPoint, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.625%	05/15/42		515		530,902
WellPoint, Inc., Sr. Unsec’d. Notes	Baa1		5.000%	12/15/14		860		934,441

								9,283,338

Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		525		551,507
Allstate Corp. (The), Sr. Unsec’d. Notes	A3		5.200%	01/15/42		140		157,235
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		580		591,579
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		1,055		1,193,708
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		990		1,195,115
AON Corp., Sr. Unsec’d. Notes	Baa2		3.125%	05/27/16		2,655		2,766,236
Axis Specialty Finance LLC, Gtd. Notes(a)	Baa1		5.875%	06/01/20		1,030		1,115,456
Chubb Corp. (The), Jr. Sub. Notes(a)(b)	A3		6.375%	03/29/67		1,300		1,342,250
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a)	Baa3		5.125%	04/15/22		755		777,466
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		850		908,533
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		365		369,452
Lincoln National Corp., Jr. Sub. Notes(b)	Ba1		6.050%	04/20/67		260		237,900
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		492		530,729
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		705		831,545
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		605		761,864
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		835		989,852
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		400		503,430
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		430		504,218
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		660		872,400
Northwestern Mutual Life Insurance, Sub. Notes, 144A	Aa2		6.063%	03/30/40		370		450,519
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.350%	04/01/13		1,120		1,120,633
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		680		765,119
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		995		1,263,632
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		735		764,400
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A(a)	Aa2		6.850%	12/16/39		1,450		1,872,331
Unum Group, Sr. Unsec’d. Notes	Baa3		5.625%	09/15/20		350		376,463
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		555		597,675
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		460		513,130
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		85		89,536

								24,013,913

Lodging — 0.2%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		900		1,026,000
Host Marriott LP, Gtd. Notes, Ser. O	Ba1		6.375%	03/15/15		750		761,250
Marriott International, Inc., Sr. Unsec’d. Notes(a)	Baa2		3.000%	03/01/19		580		586,417
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Baa3		6.750%	05/15/18		2,800		3,252,368
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		1,055		1,062,323

								6,688,358

Media & Entertainment — 0.2%
CBS Corp., Gtd. Notes(a)	Baa2		3.375%	03/01/22		805		802,018
Historic TW, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		505		701,850
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		620		702,488
News America, Inc., Gtd. Notes	Baa1		6.150%	02/15/41		1,315		1,537,704
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		90		107,539
Time Warner Cos., Inc., Gtd. Notes(a)	Baa2		7.250%	10/15/17		790		984,560
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		210		244,497
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		1,465		1,703,461
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		180		232,495
Viacom, Inc., Sr. Unsec’d. Notes(a)	Baa1		6.750%	10/05/37		430		546,180

								7,562,792

SEE NOTES TO FINANCIAL STATEMENTS.

A71


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

Metals — 0.2%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.125%	06/01/18	$	1,030	$	1,044,365
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a)	Baa3		6.250%	02/25/22		570		558,263
Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes	Baa3		3.550%	03/01/22		1,185		1,165,895
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		880		1,001,509
Peabody Energy Corp., Gtd. Notes, 144A(a)	Ba1		6.000%	11/15/18		1,525		1,517,375
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(e)		4.500%	05/15/13		115		118,382
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		425		487,870
Teck Resources Ltd. (Canada), Gtd. Notes(a)	Baa2		5.200%	03/01/42		695		665,893
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,185		1,207,528

								7,767,080

Non-Captive Finance — 0.3%
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a)	A1		5.875%	01/14/38		1,750		2,009,007
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.000%	08/07/19		920		1,076,470
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(i)	A1		6.875%	01/10/39		1,625		2,096,464
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		375		380,468
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		6.375%	03/25/13		1,850		1,889,313
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		570		598,500
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,050		1,149,750
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,070		1,198,400

								10,398,372

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(d)(h)	Baa3		5.400%	11/01/20		290		336,507
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		885		997,767
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		685		863,188
Rock-Tenn Co., Unsec’d. Notes, 144A(a)	Ba1		4.900%	03/01/22		800		824,152

								3,021,614

Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		675		697,350
NiSource Finance Corp., Gtd. Notes	Baa3		5.250%	09/15/17		245		273,557
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		350		392,674
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		145		170,265
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		90		92,712
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,190		3,807,724
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		235		241,735

								5,676,017

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		670		829,707
CSX Corp., Sr. Unsec’d. Notes	Baa3		6.150%	05/01/37		715		877,103
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		525		634,224
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		7.800%	05/15/27		18		25,885

								2,366,919

Real Estate Investment Trusts — 0.2%
HCP, Inc., Sr. Unsec’d. Notes	Baa2		2.700%	02/01/14		750		761,980
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		765		937,798
Post Apartment Homes LP, Sr. Unsec’d. Notes	Baa3		6.300%	06/01/13		660		682,063
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		72		86,115
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		295		303,675
Simon Property Group LP, Sr. Unsec’d. Notes	A3		3.375%	03/15/22		230		231,016
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		3,080		3,644,382

								6,647,029

Retailers — 0.2%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		5.750%	05/15/41		1,020		1,214,222
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		515		640,125

SEE NOTES TO FINANCIAL STATEMENTS.

A72


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

Retailers (continued)
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29	$	385	$	488,481
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		360		378,494
Macy’s Retail Holdings, Inc., Gtd. Notes	Baa3		5.875%	01/15/13		2,000		2,048,648
Nordstrom, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.000%	10/15/21		260		285,170
Target Corp., Sr. Unsec’d. Notes	A2		4.000%	07/01/42		1,140		1,122,929
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		720		937,060

								7,115,129

Technology — 0.2%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		400		412,969
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		340		350,503
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A	BB(e)		10.000%	07/15/13		1,100		1,182,500
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		1,500		1,665,000
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		1,000		1,070,000
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,720		2,883,891

								7,564,863

Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		590		726,184
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		7		10,371
AT&T Mobility LLC, Sr. Unsec’d. Notes	A-(e)		7.125%	12/15/31		405		536,295
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		435		499,234
AT&T, Inc., Sr. Unsec’d. Notes(a)	A2		5.550%	08/15/41		1,070		1,275,394
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,720		2,213,675
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		400		601,573
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11 - 05/11/11)(d)(h)	Baa3		7.082%	06/01/16		325		371,976
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,626,279; purchased 05/12/06 - 04/10/07)(d)(h)	Baa3		7.995%	06/01/36		1,600		1,671,352
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		1,440		1,605,233
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		320		320,800
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		430		364,425
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa2		5.877%	07/15/19		390		348,830
Telefonica Emisiones SAU (Spain), Gtd. Notes	Baa2		7.045%	06/20/36		210		183,600
United States Cellular Corp., Sr. Unsec’d. Notes	Baa2		6.700%	12/15/33		210		217,109
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.000%	04/01/41		570		722,616
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.100%	04/15/18		3,165		3,855,910
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		1,000		1,053,750

								16,578,327

Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes	Baa1		4.750%	05/05/21		1,000		1,134,046
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		1,215		1,681,278
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		140		222,610
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		790		1,285,113
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		465		484,745
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		325		403,348
Reynolds American, Inc., Gtd. Notes	Baa3		7.250%	06/15/37		320		386,706

								5,597,846

TOTAL CORPORATE BONDS (cost $258,027,827)								279,996,125

MORTGAGE-BACKED SECURITIES — 10.6%
Federal Home Loan Mortgage Corp.(b)			2.523%	06/01/36		971		1,029,546
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		3,000		3,136,406
Federal Home Loan Mortgage Corp.			3.500%	TBA 30 YR		4,500		4,720,781

SEE NOTES TO FINANCIAL STATEMENTS.

A73


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

Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40	$	10,762	$	11,452,238
Federal Home Loan Mortgage Corp.			4.000%	TBA 30 YR		3,000		3,183,281
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		29,238		31,369,677
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-07/01/37		9,724		10,478,017
Federal Home Loan Mortgage Corp.			5.000%	TBA 30 YR		5,000		5,372,656
Federal Home Loan Mortgage Corp.(b)			5.255%	12/01/35		981		1,051,485
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		15,475		16,858,868
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-12/01/33		1,247		1,397,007
Federal Home Loan Mortgage Corp.			6.000%	TBA 30 YR		4,500		4,930,312
Federal Home Loan Mortgage Corp.			6.500%	12/01/14		55		56,251
Federal Home Loan Mortgage Corp.			7.000%	01/01/31-10/01/32		637		754,441
Federal National Mortgage Association(b)			2.285%	07/01/33		498		525,580
Federal National Mortgage Association			2.500%	TBA 15 YR		1,000		1,030,313
Federal National Mortgage Association			2.500%	TBA 15 YR		1,000		1,028,125
Federal National Mortgage Association(b)			2.648%	06/01/37		394		421,510
Federal National Mortgage Association			3.000%	TBA 15 YR		5,000		5,238,281
Federal National Mortgage Association			3.500%	06/01/39		2,222		2,338,478
Federal National Mortgage Association			3.500%	TBA 15 YR		11,500		12,150,469
Federal National Mortgage Association			3.500%	TBA 30 YR		24,000		25,226,251
Federal National Mortgage Association			3.500%	TBA 30 YR		21,500		22,538,048
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		22,411		24,399,886
Federal National Mortgage Association			5.000%	10/01/18-02/01/36		12,511		13,604,184
Federal National Mortgage Association			5.500%	03/01/16-08/01/37		17,543		19,291,400
Federal National Mortgage Association			6.000%	04/01/13-05/01/38		14,017		15,595,071
Federal National Mortgage Association			6.500%	07/01/17-09/01/37		5,621		6,395,463
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		388		454,064
Federal National Mortgage Association			7.500%	05/01/32		97		118,725
Government National Mortgage Association			3.500%	TBA 30 YR		5,000		5,343,749
Government National Mortgage Association			4.000%	06/15/40-05/20/41		4,164		4,559,855
Government National Mortgage Association			4.000%	TBA 30 YR		24,500		26,724,139
Government National Mortgage Association			4.000%	TBA 30 YR		4,500		4,914,140
Government National Mortgage Association			4.500%	01/20/41-02/20/41		8,328		9,197,553
Government National Mortgage Association			4.500%	TBA 30 YR		12,500		13,740,234
Government National Mortgage Association.			5.000%	TBA 30 YR		12,500		13,753,906
Government National Mortgage Association			5.500%	11/15/32-02/15/36		5,786		6,468,876
Government National Mortgage Association			6.000%	02/15/33-10/15/34		2,435		2,763,233
Government National Mortgage Association			6.500%	10/15/23-07/15/35		2,603		3,010,242
Government National Mortgage Association			8.000%	01/15/24-04/15/25		75		87,149

TOTAL MORTGAGE-BACKED SECURITIES (cost $326,111,507)								336,709,890

MUNICIPAL BONDS — 0.4%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,325		1,768,703
Chicago O’Hare International Airport, Revenue Bonds, BABs	A1		6.395%	01/01/40		1,030		1,318,791
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,000		1,130,070
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,070		1,565,817
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,130		1,373,718
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		455		548,889
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		300		340,257
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		445		573,458
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		550		656,430
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		680		911,458

SEE NOTES TO FINANCIAL STATEMENTS.

A74


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

State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39	$	1,270	$	1,586,535
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		475		594,615
State of California, General Obligation Unlimited, BABs(a)	A1		7.550%	04/01/39		245		317,393
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		215		277,688
State of Illinois, GO	A2		4.421%	01/01/15		740		778,739
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		335		407,708

TOTAL MUNICIPAL BONDS (cost $11,462,448)								14,150,269

NON-CORPORATE FOREIGN AGENCIES — 0.5%
Commonwealth Bank of Australia (Australia), Gov’t. Gtd. Notes, 144A	Aaa		2.700%	11/25/14		7,435		7,769,850
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		4.000%	01/29/21		515		531,595
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	A1		5.125%	06/29/20		400		446,110
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		1,000		1,075,622
Kreditanstalt Fuer Wiederaufbau (Germany), Gov’t. Gtd. Notes	Aaa		2.375%	08/25/21		880		885,169
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		451,500
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		2,100		2,263,319
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,190		2,315,925

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $15,013,575)								15,739,090

NON-CORPORATE SOVEREIGNS — 0.1%
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a)	Baa1		4.750%	03/08/44		1,006		1,083,965
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		315		363,195
Russian Foreign Bond-Eurobond (Russia), Unsec’d. Notes, 144A	Baa1		3.250%	04/04/17		2,400		2,414,976

TOTAL NON-CORPORATE SOVEREIGNS (cost $3,731,945)								3,862,136

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Federal Home Loan Banks(a)			5.500%	07/15/36		1,080		1,456,784
Federal Home Loan Mortgage Corp.(a)			5.125%	11/17/17		630		763,078
Resolution Funding Corp. Interest Strip, Bonds(j)			1.340%	04/15/18		2,615		2,424,667

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $3,983,256)								4,644,529

U.S. GOVERNMENT TREASURY OBLIGATIONS — 5.9%
U.S. Treasury Bonds(a)			3.000%	05/15/42		6,885		7,210,963
U.S. Treasury Inflation Indexed Bonds			0.750%	02/15/42		3,711		3,892,944
U.S. Treasury Inflation Indexed Bonds			1.375%	01/15/20		5,915		6,876,665
U.S. Treasury Notes			0.750%	08/15/13		27,635		27,782,902
U.S. Treasury Notes			0.750%	06/30/17		5,370		5,375,456
U.S. Treasury Notes			1.000%	06/30/19		7,995		7,931,288
U.S. Treasury Notes			1.375%	11/30/15		710		730,912
U.S. Treasury Notes(a)			1.750%	05/15/22		1,655		1,668,447
U.S. Treasury Notes			3.000%	09/30/16		6,525		7,171,380
U.S. Treasury Notes			3.125%	04/30/17		7,045		7,844,171
U.S. Treasury Notes			3.250%	05/31/16		10,880		12,005,405
U.S. Treasury Notes			3.500%	02/15/18		24,845		28,426,183
U.S. Treasury Notes			3.625%	02/15/21		4,485		5,295,103
U.S. Treasury Notes			4.250%	11/15/17		7,015		8,273,316
U.S. Treasury Notes			4.625%	02/15/17		2,700		3,180,937
U.S. Treasury Strips Coupon(k)			1.980%	05/15/23		3,845		3,102,934
U.S. Treasury Strips Coupon(k)			2.150%	05/15/24		18,495		14,353,895
U.S. Treasury Strips Coupon(k)			2.180%	08/15/24		6,520		5,010,627
U.S. Treasury Strips Coupon(a)(k)			2.250%	02/15/25		4,750		3,577,743

SEE NOTES TO FINANCIAL STATEMENTS.

A75


U.S. GOVERNMENT TREASURY OBLIGATIONS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)

U.S. Treasury Strips Coupon(k)		2.280%		11/15/23	$	10,490	$	8,303,978
U.S. Treasury Strips Coupon(k)		2.310%		08/15/25		1,055		778,862
U.S. Treasury Strips Coupon(k)		2.340%		02/15/24		10,000		7,834,870
U.S. Treasury Strips Coupon(k)		2.610%		05/15/25		5,000		3,727,130
U.S. Treasury Strips Coupon(k)		2.970%		05/15/27		2,280		1,574,728
U.S. Treasury Strips Coupon(a)(k)		3.750%		08/15/33		10,730		5,951,942

TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $174,674,850)								187,882,781

TOTAL LONG-TERM INVESTMENTS (cost $2,616,347,126)								3,031,295,546

SHORT-TERM INVESTMENTS — 14.6%
U.S. GOVERNMENT TREASURY OBLIGATION
U.S. Treasury Bill(i)(l) (cost $999,820)		0.080%		09/20/12		1,000		999,839


					Shares
AFFILIATED MUTUAL FUNDS — 14.6%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $145,126,508) (Note 4)(m)						14,702,056		132,171,487
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $330,895,232: includes $157,117,393 of cash collateral received for securities on loan) (Note 4)(m)(n)						330,895,232		330,895,232

TOTAL AFFILIATED MUTUAL FUNDS (cost $476,021,740)								463,066,719

TOTAL SHORT-TERM INVESTMENTS (cost $477,021,560)								464,066,558

TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 109.8% (cost $3,093,368,686)								3,495,362,104


					Principal Amount (000)#
SECURITY SOLD SHORT — (0.2)%
MORTGAGE-BACKED SECURITY
Federal National Mortgage Association (proceeds received $6,432,422)		4.500%		TBA 30 YR	$	6,000		(6,435,937	)

TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 109.6% (cost $3,086,936,264)								3,488,926,167
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (9.6)%								(305,072,445	)

NET ASSETS — 100.0%							$	3,183,853,722

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
FHLMC		Federal Home Loan Mortgage Corp.
GO		General 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

SEE NOTES TO FINANCIAL STATEMENTS.

A76

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

†	The ratings reflected are as of June 30, 2012. 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 $154,348,196; cash collateral of $157,117,393 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2012.

(c)	Amount is actual; not rounded to thousands.

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

(e)	Standard & Poor’s Rating.

(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 $5,084,852. The aggregate value of $5,622,263 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 June 30, 2012.

(k)	Rate shown reflects the effective yield at June 30, 2012.

(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 June 30, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
300	2 Year U.S. Treasury Notes		Sep. 2012	$	66,061,087	$	66,056,250	$	(4,837	)
875	5 Year U.S. Treasury Notes		Sep. 2012		108,394,310		108,472,656		78,346
58	10 Year U.S. Treasury Notes		Sep. 2012		7,735,879		7,735,750		(129	)
15	U.S. Ultra Bond		Sep. 2012		2,511,495		2,502,656		(8,839	)
143	S&P 500 E-mini		Sep. 2012		9,297,460		9,698,260		400,800

									465,341

Short Position:
146	U.S. Long Bond		Sep. 2012		21,607,404		21,603,437		3,967

								$	469,308

Interest rate swap agreements outstanding at June 30, 2012:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	23,800		08/31/16		0.934%	3 month LIBOR(1)	$	122,378		$	—	$	122,378		Credit Suisse International
	23,670		08/31/16		0.977%	3 month LIBOR(2)		(163,104	)		—		(163,104	)	Citibank, NA
	23,670		08/31/16		0.928%	3 month LIBOR(1)		115,821			—		115,821		Citibank, NA
	7,405		08/31/16		0.975%	3 month LIBOR(2)		(50,465	)		—		(50,465	)	JPMorgan Chase Bank
	7,405		08/31/16		0.978%	3 month LIBOR(2)		(51,527	)		—		(51,527	)	JPMorgan Chase Bank
	2,195		09/14/16		1.206%	3 month LIBOR(2)		(42,587	)		—		(42,587	)	Deutsche Bank AG
	36,200		11/30/16		0.948%	3 month LIBOR(1)		(101,088	)		—		(101,088	)	Citibank, NA
	36,200		11/30/16		0.945%	3 month LIBOR(2)		(97,049	)		—		(97,049	)	Citibank, NA
	22,530		11/30/16		0.913%	3 month LIBOR(2)		(30,506	)		—		(30,506	)	JPMorgan Chase Bank
	6,335		07/20/21		3.035%	3 month LIBOR(1)		824,262			—		824,262		Citibank, NA

SEE NOTES TO FINANCIAL STATEMENTS.

A77

Interest rate swap agreements outstanding at June 30, 2012 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements (continued):
$	5,570		11/23/21		2.148%	3 month LIBOR(2)	$	(226,392	)	$	—	$	(226,392	)	Citibank, NA
	3,045		01/27/22		2.071%	3 month LIBOR(2)		(118,314	)		—		(118,314	)	Citibank, NA
	1,385		01/30/22		2.082%	3 month LIBOR(2)		(54,761	)		—		(54,761	)	Citibank, NA
	2,975		02/07/22		2.056%	3 month LIBOR(2)		(108,890	)		—		(108,890	)	Citibank, NA
	7,405		04/12/22		2.111%	3 month LIBOR(1)		270,331			—		270,331		Citibank, NA

							$	288,109		$	—	$	288,109

(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 June 30, 2012:


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(2)		Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swaps—Buy Protection(1):
Bunge Ltd. Finance Corp.		06/20/14		0.650%	$	1,150	$	8,511		$	—	$	8,511		JPMorgan Chase Bank
Macy’s Retail Holdings, Inc.		12/20/12		1.000%		2,000		(6,772	)		11,264		(18,036	)	Deutsche Bank AG
Newell Rubbermaid, Inc.		06/20/18		1.000%		1,700		25,137			—		25,137		Morgan Stanley Capital Services, Inc.
Simon Property Group L.P.		06/20/18		0.970%		2,800		47,713			—		47,713		Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		06/20/18		1.150%		2,200		31,770			—		31,770		Deutsche Bank AG
Spectra Energy Capital LLC		06/20/18		1.130%		500		7,783			—		7,783		Merrill Lynch Capital Services, Inc.
Starwood Hotels & Resorts Worldwide, Inc.		03/20/14		7.050%		1,645		(183,293	)		—		(183,293	)	Deutsche Bank AG
Starwood Hotels & Resorts Worldwide, Inc.		06/20/18		1.450%		2,800		15,502			—		15,502		Merrill Lynch Capital Services, Inc.

							$	(53,649	)	$	11,264	$	(64,913	)

(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 in active markets for identical securities.

Level 2—

Level 3—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A78

The following is a summary of the inputs used as of June 30, 2012 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	1,970,124,191	$	26,997,700		$	—
Exchange Traded Fund		594,524		—			—
Preferred Stocks		1,308,500		184,077			—
Rights		1,979		—			—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—		29,695,718			720,000
Residential Mortgage-Backed Securities		—		7,164,267			—
Bank Loans		—		9,717,965			—
Collateralized Mortgage Obligations		—		6,918,975			—
Commercial Mortgage-Backed Securities		—		134,882,830			—
Corporate Bonds		—		279,996,125			—
Mortgage-Backed Securities		—		336,709,890			—
Municipal Bonds		—		14,150,269			—
Non-Corporate Foreign Agencies		—		15,739,090			—
Non-Corporate Sovereigns		—		3,862,136			—
U.S. Government Agency Obligations		—		4,644,529			—
U.S. Government Treasury Obligations		—		188,882,620			—
Affiliated Mutual Funds		463,066,719		—			—
Mortgage-Backed Security Sold Short		—		(6,435,937	)		—
Other Financial Instruments*
Futures Contracts		469,308		—			—
Interest Rate Swap Agreements		—		288,109			—
Credit Default Swap Agreements		—		(64,913	)		—

Total	$	2,435,565,221	$	1,053,333,450		$	720,000

*	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 June 30, 2012 were as follows:


Affiliated Mutual Funds (including 4.9% of collateral received for securities on loan)	14.6	%
Mortgage-Backed Securities	10.6
Oil, Gas & Consumable Fuels	6.2
U.S. Government Treasury Obligations	5.9
Commercial Mortgage-Backed Securities	4.2
Computers & Peripherals	3.9
Pharmaceuticals	3.5
Software	2.8
Insurance	2.6
Banking	2.5
Commercial Banks	2.4
Food & Staples Retailing	2.0
IT Services	2.0
Aerospace & Defense	1.7
Diversified Financial Services	1.7
Industrial Conglomerates	1.7
Media	1.7
Communications Equipment	1.6
Diversified Telecommunication Services	1.6
Healthcare Providers & Services	1.6
Specialty Retail	1.6
Beverages	1.4
Food Products	1.4
Semiconductors & Semiconductor Equipment	1.4
Machinery	1.3


Biotechnology	1.2	%
Capital Markets	1.2
Chemicals	1.2
Real Estate Investment Trusts	1.2
Healthcare Equipment & Supplies	1.1
Hotels, Restaurants & Leisure	1.1
Household Products	1.0
Metals & Mining	1.0
Non-Residential Mortgage-Backed Securities	1.0
Road & Rail	1.0
Tobacco	1.0
Electric Utilities	0.9
Internet Software & Services	0.9
Energy Equipment & Services	0.8
Multiline Retail	0.7
Automobiles	0.6
Consumer Finance	0.5
Electric	0.5
Household Durables	0.5
Life Sciences Tools & Services	0.5
Multi-Utilities	0.5
Non-Corporate Foreign Agencies	0.5
Telecommunications	0.5
Textiles, Apparel & Luxury Goods	0.5
Electrical Equipment	0.4
Energy – Other	0.4

SEE NOTES TO FINANCIAL STATEMENTS.

A79


Foods	0.4	%
Healthcare & Pharmaceutical	0.4
Independent Power Producers & Energy Traders	0.4
Municipal Bonds	0.4
Capital Goods	0.3
Healthcare Insurance	0.3
Non-Captive Finance	0.3
Technology	0.3
Air Freight & Logistics	0.2
Airlines	0.2
Cable	0.2
Collateralized Mortgage Obligations	0.2
Construction & Engineering	0.2
Distributors	0.2
Electronic Equipment, Instruments & Components	0.2
Internet & Catalog Retail	0.2
Lodging	0.2
Media & Entertainment	0.2
Metals	0.2
Pipelines & Other	0.2
Residential Mortgage-Backed Securities	0.2


Retailers	0.2	%
U.S. Government Agency Obligations	0.2
Auto Components	0.1
Automotive	0.1
Building Products	0.1
Consumer	0.1
Containers & Packaging	0.1
Energy – Integrated	0.1
Gaming	0.1
Leisure Equipment & Products	0.1
Non-Corporate Sovereigns	0.1
Paper	0.1
Railroads	0.1
Real Estate Management & Development	0.1
Trading Companies & Distributors	0.1
Water Utilities	0.1

	109.8
Mortgage-Backed Security Sold Short	(0.2	)
Liabilities in excess of other assets	(9.6	)

	100.0	%

Fair values of derivative instruments as of June 30, 2012 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	$	11,264		—	$	—
Credit contracts	Unrealized appreciation on swap agreements		136,416		Unrealized depreciation on swap agreements		201,329
Equity contracts	Unaffiliated investments		1,979		—		—
Equity contracts	Due from broker — variation margin		400,800	*	—		—
Interest rate contracts	Unrealized appreciation on swap agreements		1,332,792		Unrealized depreciation on swap agreements		1,044,683
Interest rate contracts	Due from broker — variation margin		82,313	*	Due from broker — variation margin		13,805	*

Total		$	1,965,564			$	1,259,817

*	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.

SEE NOTES TO FINANCIAL STATEMENTS.

A80

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2012 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		Options Purchased		Options Written			Futures			Swaps			Total
Credit contracts	$	—	$	—	$	—		$	—		$	(167,210	)	$	(167,210	)
Equity contracts		14,401		—		—			1,004,255			—			1,018,656
Interest rate contracts		—		306,223		(289,749	)		(2,972,678	)		103,720			(2,852,484	)

Total	$	14,401	$	306,223	$	(289,749	)	$	(1,968,423	)	$	(63,490	)	$	(2,001,038	)


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	$	—	$	(81,102	)	$	(81,102	)
Equity contracts		85,989		—			85,989
Interest rate contracts		384,473		(325,039	)		59,434

Total	$	470,462	$	(406,141	)	$	64,321

For the six months ended June 30, 2012, 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)
$140,812,664		$30,218,081


Interest Rate Swaps (Notional Amount in USD (000))		Credit Default Swaps as Buyer (Notional Amount in USD (000))
$99,527		$15,628

SEE NOTES TO FINANCIAL STATEMENTS.

A81


		*FLEXIBLE MANAGED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2012


ASSETS
Investments, at value including securities on loan of $154,348,196:
Unaffiliated investments (cost $2,617,346,946)	$	3,032,295,385
Affiliated investments (cost $476,021,740)		463,066,719
Foreign currency, at value (cost $161,311)		161,414
Cash		114,678
Receivable for investments sold		135,885,259
Dividends and interest receivable		9,249,402
Unrealized appreciation on swap agreements		1,469,208
Due from broker—variation margin		178,117
Foreign tax reclaim receivable		58,132
Receivable for Series shares sold		32,250
Premium paid for swap agreements		11,264
Prepaid expenses		2,737

Total Assets		3,642,524,565

LIABILITIES
Payable for investments purchased		291,781,836
Collateral for securities on loan		157,117,393
Securities sold short, at value (proceeds received $6,432,422)		6,435,937
Management fee payable		1,535,445
Unrealized depreciation on swap agreements		1,246,012
Accrued expenses and other liabilities		283,208
Payable for Series shares repurchased		270,086
Affiliated transfer agent fee payable		926

Total Liabilities		458,670,843

NET ASSETS	$	3,183,853,722

Net assets were comprised of:
Paid-in capital	$	2,899,846,418
Retained earnings		284,007,304

Net assets, June 30, 2012	$	3,183,853,722

Net asset value and redemption price per share, $3,183,853,722 / 188,569,403 outstanding shares of beneficial interest	$	16.88

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2012


INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $60,896)	$	22,975,203
Interest		17,736,466
Affiliated dividend income		1,019,973
Affiliated income from securities loaned, net		111,199

		41,842,841

EXPENSES
Management fee		9,510,645
Custodian’s fees and expenses		178,000
Shareholders’ reports		127,000
Trustees’ fees		21,000
Audit fee		18,000
Insurance expenses		16,000
Legal fees and expenses		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		25,927

Total expenses		9,913,572

NET INVESTMENT INCOME		31,929,269

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		67,852,813
Futures transactions		(1,968,423	)
Swap agreement transactions		(63,490	)
Foreign currency transactions		(2,953	)
Options written transactions		(289,749	)

		65,528,198

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $1,904,289)		136,900,480
Futures		470,462
Swap agreements		(406,141	)
Foreign currencies		(603	)

		136,964,198

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		202,492,396

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	234,421,665

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	31,929,269		$	61,901,155
Net realized gain on investments and foreign currency transactions		65,528,198			202,862,198
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		136,964,198			(135,181,474	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		234,421,665			129,581,879

DISTRIBUTIONS		(61,900,998	)		(60,257,696	)

SERIES SHARE TRANSACTIONS:
Series shares sold [457,875 and 664,274 shares, respectively]		7,756,842			10,513,628
Series shares issued in reinvestment of distributions [3,735,727 and 3,811,366 shares, respectively]		61,900,998			60,257,696
Series shares repurchased [5,594,230 and 11,331,831 shares, respectively]		(95,126,175	)		(180,636,555	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(25,468,335	)		(109,865,231	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		147,052,332			(40,541,048	)
NET ASSETS:
Beginning of period		3,036,801,390			3,077,342,438

End of period	$	3,183,853,722		$	3,036,801,390

SEE NOTES TO FINANCIAL STATEMENTS.

A82


LONG-TERM INVESTMENTS — 96.4%
COMMON STOCKS — 96.1%	Shares		Value (Note 2)

Argentina — 0.3%
MercadoLibre, Inc.		20,967	$	1,589,299

Australia — 1.5%
Bendigo and Adelaide Bank Ltd.		103,400		790,181
Caltex Australia Ltd.		34,900		487,443
Challenger Ltd.		156,300		524,960
Downer EDI Ltd.*		214,250		693,068
Metcash Ltd.		206,000		713,656
National Australia Bank Ltd.		56,700		1,381,076
OneSteel Ltd.		447,200		403,288
Pacific Brands Ltd.		460,600		237,618
Qantas Airways Ltd.*		419,500		466,040
Rio Tinto Ltd.		17,400		1,021,500
Telstra Corp. Ltd.		209,000		791,884
Westpac Banking Corp.		50,100		1,093,995

				8,604,709

Austria — 0.3%
OMV AG		32,300		1,015,828
Voestalpine AG		14,500		385,112

				1,400,940

Belgium — 0.5%
AGFA-Gevaert NV*		86,100		140,996
Anheuser-Busch InBev NV, ADR(a)		23,352		1,859,987
Delhaize Group SA		18,200		666,701

				2,667,684

Brazil — 0.3%
BR Malls Participacoes SA		112,300		1,272,006
Petroleo Brasileiro SA		37,500		351,008

				1,623,014

Canada — 1.5%
Brookfield Asset Management, Inc. (Class A Stock)		83,712		2,770,867
Canadian Pacific Railway Ltd.		25,250		1,849,815
Lululemon Athletica, Inc.*(a)		27,238		1,624,202
Toronto-Dominion Bank (The)		33,599		2,629,573

				8,874,457

Cayman Islands — 0.3%
NetEase, Inc., ADR*(a)		30,316		1,784,097

China — 1.9%
Baidu, Inc., ADR*		52,937		6,086,696
Industrial & Commercial Bank of China (Class H Stock)		4,767,000		2,672,326
Lenovo Group Ltd.		2,656,000		2,266,448

				11,025,470

Denmark — 0.7%
H Lundbeck A/S		32,100		663,272
Novo Nordisk A/S (Class B Stock)		24,101		3,495,534

				4,158,806

Finland — 0.2%
Tieto OYJ		56,200		898,075

France — 3.5%
Arkema SA		32,003		2,098,387
AXA SA		37,600		502,665


COMMON STOCKS (continued)	Shares		Value (Note 2)

France (continued)
BNP Paribas SA		106,995	$	4,125,172
Bouygues SA		21,900		587,657
Cie Generale des Etablissements Michelin		9,000		588,838
Ciments Francais SA		5,200		315,293
Credit Agricole SA*		62,500		275,778
Dassault Systemes SA		23,907		2,243,001
France Telecom SA		31,800		418,120
Rallye SA		7,600		217,149
Renault SA		12,300		491,171
Sanofi		31,400		2,377,012
SCOR SE		22,000		533,336
Societe Generale*		10,800		253,256
Thales SA		20,600		680,603
Total SA		38,500		1,732,848
Total SA, ADR		15,800		710,210
Valeo SA		13,300		549,477
Vivendi SA		81,530		1,514,903

				20,214,876

Germany — 4.5%
Allianz SE		11,100		1,116,495
Aurubis AG		6,200		299,409
BASF SE		54,564		3,794,085
Bayer AG		12,700		915,155
Bayerische Motoren Werke AG		37,188		2,691,223
Brenntag AG		12,667		1,401,828
Daimler AG		23,600		1,060,573
Deutsche Bank AG		20,300		732,695
Deutsche Post AG		43,100		762,590
E.ON AG		26,300		568,322
Fresenius Se & Co. KGaA		27,553		2,852,782
Hannover Rueckversicherung AG		11,800		702,910
Lanxess AG		8,100		512,606
Merck KGaA		7,600		758,987
Metro AG		21,300		621,112
Muenchener Rueckversicherungs AG		6,300		888,958
Rheinmetall AG		13,300		653,791
RWE AG		18,800		768,819
SAP AG		64,445		3,816,146
Volkswagen AG		9,000		1,360,023

				26,278,509

Greece
Alpha Bank AE*		15,700		24,893

Hong Kong — 1.5%
AIA Group Ltd.		987,400		3,410,538
Cathay Pacific Airways Ltd.		440,000		713,344
Cheung Kong Holdings Ltd.		46,000		567,930
First Pacific Co. Ltd.		992,000		1,028,953
Hutchison Port Holdings Trust (Class U Stock)		2,393,000		1,699,030
Kingboard Chemical Holdings Ltd.		180,000		350,571
Singamas Container Holdings Ltd.		2,676,000		583,505
Yue Yuen Industrial Holdings Ltd.		154,000		484,186

				8,838,057

SEE NOTES TO FINANCIAL STATEMENTS.

A83


COMMON STOCKS (continued)	Shares		Value (Note 2)

Ireland — 0.8%
Accenture PLC (Class A Stock)		58,901	$	3,539,361
Allied Irish Banks PLC*		42,100		3,570
Irish Life & Permanent Group Holdings PLC*		51,300		1,753
XL Group PLC		55,200		1,161,408

				4,706,092

Israel — 0.9%
Bank Hapoalim BM		176,900		545,574
Check Point Software Technologies Ltd.*(a)		80,062		3,970,275
Elbit Systems Ltd.		11,400		392,536
Teva Pharmaceutical Industries Ltd.		12,500		492,718

				5,401,103

Italy — 0.6%
Banco Popolare SC*		38,200		51,290
Enel SpA		323,000		1,042,923
ENI SpA		70,800		1,504,160
Finmeccanica SpA*		43,100		174,270
Fondiaria-Sai SpA*		19,900		23,647
Parmalat SpA		131,100		248,616
Telecom Italia SpA		626,400		618,974

				3,663,880

Japan — 7.6%
Alpine Electronics, Inc.		22,700		271,441
Aoyama Trading Co. Ltd.		39,100		802,610
Aozora Bank Ltd.		278,000		662,024
COMSYS Holdings Corp.		72,800		856,255
Daito Trust Construction Co. Ltd.		12,100		1,146,985
FANUC Corp.		17,800		2,925,984
Fast Retailing Co. Ltd.		13,700		2,741,256
Fukuoka Financial Group, Inc.		129,000		503,736
Hitachi Capital Corp.		40,400		676,204
ITOCHU Corp.		87,400		918,632
JX Holdings, Inc.		101,400		522,617
KDDI Corp.		260		1,677,237
Keihin Corp.		24,500		363,086
K’s Holdings Corp.		19,700		575,827
Kurabo Industries Ltd.		173,100		302,251
Kyowa Exeo Corp.		81,900		834,159
Marubeni Corp.		176,000		1,172,670
Mitsubishi Corp.		34,500		697,393
Mitsubishi UFJ Financial Group, Inc.		140,200		671,681
Mitsui & Co. Ltd.		56,300		836,610
Mizuho Financial Group, Inc.		703,200		1,187,877
Nichii Gakkan Co.		39,300		363,809
Nichirei Corp.		126,000		620,256
Nikon Corp.		98,700		3,004,500
Nippon Electric Glass Co. Ltd.		54,000		322,517
Nippon Shokubai Co. Ltd.		68,000		822,935
Nippon Telegraph & Telephone Corp.		37,000		1,725,329
Nissan Shatai Co. Ltd.		38,000		404,434
NTT DoCoMo, Inc.		900		1,497,602
ORIX Corp.		36,520		3,403,512	��
Otsuka Holdings Co. Ltd.		32,500		997,595
Sankyu, Inc.		210,000		751,508
Seino Holdings Corp.		65,000		435,444


COMMON STOCKS (continued)	Shares		Value (Note 2)

Japan (continued)
Shimachu Co. Ltd.		30,700	$	672,074
Softbank Corp.		82,800		3,082,121
Sumitomo Corp.		88,900		1,243,872
Sumitomo Mitsui Financial Group, Inc.		44,900		1,483,268
Sumitomo Mitsui Trust Holdings, Inc.		64,070		191,481
Toagosei Co. Ltd.		147,000		575,103
Toyo Suisan Kaisha Ltd.		28,000		746,677
Toyota Tsusho Corp.		34,300		655,663
Yokohama Rubber Co. Ltd. (The)		100,000		754,375

				44,100,610

Liechtenstein
Verwaltungs-und Privat-Bank AG		2,100		162,840

Netherlands — 1.6%
Aegon NV		56,800		263,416
ASM Pacific Technology Ltd.		183,200		2,341,731
ING Groep NV CVA*		83,900		562,475
Koninklijke Ahold NV		99,700		1,235,017
Koninklijke DSM NV		17,700		872,603
Koninklijke KPN NV		82,600		789,823
Unilever NV CVA		101,855		3,402,519

				9,467,584

New Zealand — 0.1%
Air New Zealand Ltd.		737,900		509,556

Norway — 0.8%
DnB ASA		54,100		537,942
Statoil ASA		147,104		3,508,214
Yara International ASA		14,000		612,665

				4,658,821

Peru — 0.4%
Credicorp Ltd.		18,882		2,377,055

Portugal
Banco Espirito Santo SA*		43,600		29,811

Singapore — 0.2%
Golden Agri-Resources Ltd.		1,765,200		942,747

South Africa — 0.3%
FirstRand Ltd.		609,202		1,971,894

South Korea — 0.9%
Samsung Electronics Co. Ltd.		4,743		5,022,777

Spain — 0.5%
Banco Bilbao Vizcaya Argentaria SA		60,800		434,195
Banco Espanol de Credito SA		79,800		260,641
Banco Santander SA		126,300		835,508
Repsol YPF SA		57,200		919,498
Telefonica SA		25,100		330,403

				2,780,245

Sweden — 0.9%
Atlas Copco AB (Class A Stock)		101,456		2,183,412
Boliden AB		77,000		1,074,445
NCC AB (Class B Stock)		15,700		282,517
Swedbank AB (Class A Stock)		50,400		794,000
Trelleborg AB (Class B Stock)		54,200		500,098

				4,834,472

SEE NOTES TO FINANCIAL STATEMENTS.

A84


COMMON STOCKS (continued)	Shares		Value (Note 2)

Switzerland — 3.4%
Baloise Holding AG		11,400	$	753,148
Cie Financiere Richemont SA, ADR		162,753		880,494
Clariant AG*		27,000		266,824
Credit Suisse Group AG*		26,000		475,723
Geberit AG*		9,494		1,872,958
Georg Fischer AG*		2,000		690,749
Glencore International PLC(a)		399,473		1,852,429
Lindt & Spruengli AG*		36		1,322,069
Novartis AG		28,700		1,604,655
OC Oerlikon Corp. AG*		63,800		530,165
Partners Group Holding AG		10,426		1,854,290
Roche Holding AG		8,500		1,468,230
Swiss Re AG*		19,300		1,216,707
Syngenta AG		9,076		3,106,943
UBS AG*		32,000		374,470
Zurich Financial Services AG*		5,800		1,311,519

				19,581,373

United Kingdom — 11.4%
ARM Holdings PLC		287,261		2,275,852
AstraZeneca PLC		55,900		2,498,034
Aviva PLC		144,400		618,312
Babcock International Group PLC		143,753		1,925,319
BAE Systems PLC		256,400		1,162,420
Barclays PLC		287,100		733,611
Beazley PLC		175,100		378,493
Berendsen PLC		24,300		190,541
Berkeley Group Holdings PLC*		68,961		1,525,562
BG Group PLC		98,651		2,019,526
BP PLC		339,100		2,264,572
British American Tobacco PLC		69,537		3,535,251
BT Group PLC		602,100		1,995,071
Burberry Group PLC		84,492		1,759,186
Cable & Wireless Communications PLC		917,400		427,415
Compass Group PLC		311,306		3,267,779
Cookson Group PLC		81,100		750,448
Debenhams PLC		301,400		409,256
GlaxoSmithKline PLC		30,500		692,776
Home Retail Group PLC		259,200		344,302
Intermediate Capital Group PLC		142,000		601,823
J Sainsbury PLC		204,700		967,440
Johnson Matthey PLC		76,452		2,651,336
Kesa Electricals PLC		365,500		283,796
Legal & General Group PLC		483,800		967,245
Logica PLC		152,500		253,612
Marks & Spencer Group PLC		182,600		931,192
Marston’s PLC		339,130		552,252
Mondi PLC		105,500		903,647
Old Mutual PLC		314,825		748,734
Pearson PLC		141,435		2,806,312
Petrofac Ltd.		110,375		2,409,181
Premier Foods PLC*		152,560		204,848
Rexam PLC		114,600		756,350
Rolls-Royce Holdings PLC*		270,654		3,647,797
Royal Bank of Scotland Group PLC*		26,352		89,263
Royal Dutch Shell PLC (Class B Stock)		212,836		7,433,007
Royal Dutch Shell PLC, ADR		30,250		2,039,757
RSA Insurance Group PLC		300,200		509,615


COMMON STOCKS (continued)	Shares		Value (Note 2)

United Kingdom (continued)
Standard Chartered PLC		122,655	$	2,664,426
TESCO PLC		182,700		887,887
Thomas Cook Group PLC		164,000		38,449
Vodafone Group PLC		547,900		1,540,009
Weir Group PLC (The)(a)		68,587		1,648,124
WM Morrison Supermarkets PLC		320,700		1,338,207

				65,648,035

United States — 48.7%
3M Co.		32,950		2,952,320
Abbott Laboratories		8,057		519,435
Allergan, Inc.		27,613		2,556,135
Allstate Corp. (The)		53,000		1,859,770
Amazon.com, Inc.*		10,088		2,303,595
American Express Co.		35,450		2,063,545
Ameriprise Financial, Inc.		18,600		972,036
Amgen, Inc.		26,400		1,928,256
Apple, Inc.*		22,998		13,430,832
AT&T, Inc.		118,400		4,222,144
AutoZone, Inc.*		4,809		1,765,721
Avon Products, Inc.		60,200		975,842
Baker Hughes, Inc.		40,800		1,676,880
Bank of America Corp.		283,700		2,320,666
Biogen Idec, Inc.*		35,717		5,156,820
Boeing Co. (The)		13,800		1,025,340
Bristol-Myers Squibb Co.		73,598		2,645,848
Cablevision Systems Corp. (Class A Stock)(a)		44,600		592,734
Charles Schwab Corp. (The)		87,000		1,124,910
Chevron Corp.		44,600		4,705,300
Cisco Systems, Inc.		109,800		1,885,266
Coach, Inc.		27,711		1,620,539
Comcast Corp. (Class A Stock)		48,400		1,547,348
CONSOL Energy, Inc.		38,600		1,167,264
Covidien PLC		38,150		2,041,025
Cummins, Inc.		18,181		1,761,921
Danaher Corp.		14,912		776,617
Dell, Inc.*(a)		167,600		2,098,352
Dollar General Corp.*		15,117		822,214
Dollar Tree, Inc.*(a)		19,246		1,035,435
EMC Corp.*		41,985		1,076,076
Emerson Electric Co.		20,750		966,535
Entergy Corp.		29,300		1,989,177
EQT Corp.		20,500		1,099,415
Estee Lauder Cos., Inc. (The) (Class A Stock)		37,166		2,011,424
Exelon Corp.		62,000		2,332,440
Express Scripts Holding Co.*		89,836		5,015,544
Exxon Mobil Corp.		51,450		4,402,577
Facebook, Inc. (Class A Stock)*(a)		40,925		1,273,586
Fifth Third Bancorp		94,900		1,271,660
General Electric Co.		166,400		3,467,776
General Motors Co.*(a)		87,900		1,733,388
Goldman Sachs Group, Inc. (The)		6,550		627,883
H&R Block, Inc.(a)		17,500		279,650
Halliburton Co.		91,229		2,589,991
Hess Corp.		29,700		1,290,465
Home Depot, Inc. (The)		79,786		4,227,860

SEE NOTES TO FINANCIAL STATEMENTS.

A85


COMMON STOCKS (continued)	Shares		Value (Note 2)

United States (continued)
Honeywell International, Inc.		25,150	$	1,404,376
Illinois Tool Works, Inc.		22,800		1,205,892
Ingersoll-Rand PLC		25,550		1,077,699
International Business Machines Corp.		7,150		1,398,397
International Paper Co.		69,700		2,015,027
Invesco Ltd.		47,100		1,064,460
Johnson & Johnson(a)		45,000		3,040,200
JPMorgan Chase & Co.		119,100		4,255,443
Kellogg Co.		27,500		1,356,575
KeyCorp		156,800		1,213,632
Kohl’s Corp.		50,350		2,290,421
Liberty Media Corp. — Liberty Starz, Ser. A (Class A Stock)*		4,400		386,804
Limited Brands, Inc.		56,592		2,406,858
LinkedIn Corp. (Class A Stock)*(a)		14,491		1,539,958
Lockheed Martin Corp.(a)		9,500		827,260
Lowe’s Cos., Inc.		78,100		2,221,164
Madison Square Garden, Inc. (Class A Stock)*		13,500		505,440
Marsh & McLennan Cos., Inc.		86,100		2,775,003
McDonald’s Corp.		45,993		4,071,760
Mead Johnson Nutrition Co.		52,013		4,187,567
Merck & Co., Inc.		95,700		3,995,475
MetLife, Inc.		30,000		925,500
Microsoft Corp.		136,200		4,166,358
Monsanto Co.		61,825		5,117,874
Morgan Stanley		146,500		2,137,435
Murphy Oil Corp.		26,750		1,345,257
National Oilwell Varco, Inc.		58,249		3,753,566
Newfield Exploration Co.*		43,000		1,260,330
NIKE, Inc. (Class B Stock)		49,683		4,361,174
NRG Energy, Inc.*		104,500		1,814,120
Nucor Corp.		18,800		712,520
Occidental Petroleum Corp.		33,221		2,849,365
O’Reilly Automotive, Inc.*(a)		31,316		2,623,341
PepsiCo, Inc.		29,350		2,073,871
Pfizer, Inc.		191,300		4,399,900
Praxair, Inc.		32,013		3,480,773
Precision Castparts Corp.		18,700		3,075,963
priceline.com, Inc.*		8,260		5,488,935
Procter & Gamble Co. (The)		44,100		2,701,125
QUALCOMM, Inc.		54,720		3,046,810
Raytheon Co.		27,450		1,553,396
Schlumberger Ltd.		9,750		632,873
SLM Corp.		88,200		1,385,622
Southwest Airlines Co.		275,500		2,540,110
Spectra Energy Corp.		74,600		2,167,876
Sprint Nextel Corp.*		272,300		887,698
St. Joe Co. (The)*(a)		47,000		743,070
Starbucks Corp.		91,311		4,868,703
TE Connectivity Ltd.		31,900		1,017,929
Thermo Fisher Scientific, Inc.		31,250		1,622,188
Time Warner, Inc.(a)		89,600		3,449,600
Time Warner Cable, Inc.		36,250		2,976,125
TJX Cos., Inc.		202,691		8,701,525
U.S. Bancorp		220,060		7,077,130
Union Pacific Corp.		54,703		6,526,615
United States Steel Corp.(a)		14,700		302,820


COMMON STOCKS (continued)	Shares		Value (Note 2)

United States (continued)
United Technologies Corp.		21,750	$	1,642,778
Visa, Inc. (Class A Stock)(a)		34,746		4,295,648
VMware, Inc. (Class A Stock)*		11,643		1,059,979
Vulcan Materials Co.		37,300		1,481,183
W.W. Grainger, Inc.		10,888		2,082,221
Wal-Mart Stores, Inc.		33,242		2,317,632
Wells Fargo & Co.		208,451		6,970,601
Western Union Co. (The)		90,300		1,520,652
Weyerhaeuser Co.		95,600		2,137,616
Wynn Resorts Ltd.		37,001		3,837,744
Yum! Brands, Inc.		62,781		4,044,352

				281,626,871

TOTAL COMMON STOCKS (cost $518,433,217)				555,468,652

PREFERRED STOCKS — 0.3%
United Kingdom
Rolls-Royce Holdings PLC (Class C Stock)*		28,969,376		45,370

United States — 0.3%
Wells Fargo & Co.		63,000		1,902,600

TOTAL PREFERRED STOCKS (cost $1,560,528)				1,947,970

TOTAL LONG-TERM INVESTMENTS (cost $519,993,745)				557,416,622

SHORT-TERM INVESTMENTS — 8.2%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $47,279,551; includes $29,743,682 of cash collateral received for securities on loan)(b)(c)		47,279,551		47,279,551

TOTAL INVESTMENTS — 104.6% (cost $567,273,296)				604,696,173
LIABILITIES IN EXCESS OF OTHER ASSETS(d) — (4.6)%				(26,600,176	)

NET ASSETS — 100.0%			$	578,095,997

The following abbreviations are used in portfolio descriptions:


ADR		American Depositary Receipt
CVA		Certificate Van Aandelen (Bearer)
GBP		British Pound
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 $29,593,374; cash collateral of $29,743,682 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

SEE NOTES TO FINANCIAL STATEMENTS.

A86

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

Forward foreign currency contracts outstanding at June 30, 2012:


Purchase Contract	Counterparty	Notional Amount (000)			Value at Settlement Date Payable		Value at June 30, 2012		Unrealized Depreciation
Pound Sterling expiring 07/26/12	Deutsche Bank		GBP	6,114	$	9,670,667	$	9,574,898	$	(95,769	)


Sale Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date Receivable		Value at June 30, 2012		Unrealized Appreciation
Pound Sterling expiring 07/26/12	Deutsche Bank		GBP	3,277	$	5,285,703	$	5,131,982	$	153,721
Pound Sterling expiring 07/26/12	Deutsche Bank		GBP	2,837		4,599,642		4,442,915		156,727
Japanese Yen expiring 09/20/12	State Street		JPY	127,450		1,596,998		1,596,264		734

					$	11,482,343	$	11,171,161	$	311,182

									$	215,413

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 in active markets for identical securities.

Level 2—

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 June 30, 2012 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Argentina	$	1,589,299	$	—	$	—
Australia		—		8,604,709		—
Austria		—		1,400,940		—
Belgium		1,859,987		807,697		—
Brazil		1,623,014		—		—
Canada		8,874,457		—		—
Cayman Islands		1,784,097		—		—
China		6,086,696		4,938,774		—
Denmark		—		4,158,806		—
Finland		—		898,075		—
France		710,210		19,504,666		—
Germany		—		26,278,509		—
Greece		—		24,893		—
Hong Kong		1,699,030		7,139,027		—
Ireland		4,706,092		—		—
Israel		3,970,275		1,430,828		—
Italy		—		3,663,880		—
Japan		—		44,100,610		—
Liechtenstein		162,840		—		—
Netherlands		—		9,467,584		—
New Zealand		—		509,556		—
Norway		—		4,658,821		—


	Level 1		Level 2		Level 3
Peru	$	2,377,055	$	—	$	—
Portugal		—		29,811		—
Singapore		—		942,747		—
South Africa		—		1,971,894
South Korea		—		5,022,777		—
Spain		—		2,780,245		—
Sweden		—		4,834,472		—
Switzerland		880,494		18,700,879		—
United Kingdom		2,039,757		63,608,278		—
United States		281,626,871		—		—
Preferred Stock
United Kingdom		—		45,370
United States		1,902,600		—		—
Affiliated Money Market Mutual Fund		47,279,551		—		—
Other Financial Instruments*
Forward Foreign Currency Contracts		—		215,413		—

Total	$	369,172,325	$	235,739,261	$	—

*	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.

A87

Fair value of Level 2 investments at December 31, 2011 was $116,496. An amount of $202,374,437 was transferred from Level 1 into Level 2 at June 30, 2012 as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2012 was as follows:


Affiliated Money Market Mutual Fund (including 5.1% of collateral received for securities on loan)	8.2	%
Commercial Banks	8.0
Oil, Gas & Consumable Fuels	7.7
Pharmaceuticals	5.6
Specialty Retail	4.7
Chemicals	4.1
Hotels, Restaurants & Leisure	3.6
Insurance	3.6
Computers & Peripherals	3.3
Aerospace & Defense	2.7
Software	2.6
Diversified Financial Services	2.5
Food Products	2.3
Machinery	2.3
Diversified Telecommunication	2.2
Internet Software & Services	2.1
IT Services	2.1
Media	2.1
Energy Equipment & Services	1.9
Textiles, Apparel & Luxury Goods	1.9
Capital Markets	1.8
Road & Rail	1.7
Semiconductors & Semiconductor Equipment	1.7
Trading Companies & Distributors	1.6


Food & Staples Retailing	1.5	%
Industrial Conglomerates	1.5
Real Estate Management & Development	1.5
Wireless Telecommunication Services	1.5
Healthcare Providers & Services	1.4
Internet & Catalog Retail	1.4
Automobiles	1.3
Biotechnology	1.2
Metals & Mining	1.0
Multiline Retail	1.0
Communications Equipment	0.9
Electric Utilities	0.9
Airlines	0.7
Beverages	0.7
Consumer Finance	0.7
Tobacco	0.6
Auto Components	0.5
Commercial Services & Supplies	0.5
Household Products	0.5
Leisure Equipment & Products	0.5
Paper & Forest Products	0.5
Personal Products	0.5
Construction & Engineering	0.4
Healthcare Equipment & Supplies	0.4
Building Products	0.3
Construction Materials	0.3
Electronic Equipment & Instruments	0.3
Household Durables	0.3
Independent Power Producers & Energy Traders	0.3
Life Sciences Tools & Services	0.3
Transportation Infrastructure	0.3
Electrical Equipment	0.2
Multi-Utilities	0.2
Air Freight & Logistics	0.1
Containers & Packaging	0.1

	104.6
Liabilities in excess of other assets	(4.6	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A88

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 June 30, 2012 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

311,182

Unrealized depreciation on forward foreign currency exchange contracts

95,769

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2012 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	$	45,286	$	—	$	252,436	$	297,722
Foreign exchange contracts		—		170,863		—		170,863

Total	$	45,286	$	170,863	$	252,436	$	468,585


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	$	248,849

For the six months ended June 30, 2012, 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)
$3,565,737	$7,429,048	$462,883

SEE NOTES TO FINANCIAL STATEMENTS.

A89


		*GLOBAL PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2012


ASSETS
Investments, at value including securities on loan of $29,593,374:
Unaffiliated investments (cost $519,993,745)	$	557,416,622
Affiliated investments (cost $47,279,551)		47,279,551
Foreign currency, at value (cost $1,928,867)		1,927,478
Receivable for investments sold		1,915,056
Dividends and interest receivable		848,606
Foreign tax reclaim receivable		720,796
Unrealized appreciation on forward foreign currency exchange contracts		311,182
Receivable for Series shares sold		9,769
Prepaid expenses		572

Total Assets		610,429,632

LIABILITIES
Collateral for securities on loan		29,743,682
Payable for investments purchased		1,636,516
Management fee payable		345,537
Accrued expenses and other liabilities		288,349
Payable for Series shares repurchased		222,856
Unrealized depreciation on forward foreign currency exchange contracts		95,769
Affiliated transfer agent fee payable		926

Total Liabilities		32,333,635

NET ASSETS	$	578,095,997

Net assets were comprised of:
Paid-in capital	$	642,375,105
Retained earnings		(64,279,108	)

Net assets, June 30, 2012	$	578,095,997

Net asset value and redemption price per share, $578,095,997 / 32,536,895 outstanding shares of beneficial interest	$	17.77

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2012


INVESTMENT INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $200,421)		$	9,133,533
Affiliated income from securities loaned, net			57,985
Affiliated dividend income			17,740
Interest			73

			9,209,331

EXPENSES
Management fee			2,222,535
Custodian’s fees and expenses			148,000
Shareholders’ reports			76,000
Audit fee			12,000
Trustees’ fees			8,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)			6,000
Legal fees and expenses			5,000
Insurance expenses	��		3,000
Commitment fee on syndicated credit agreement			1,000
Miscellaneous			23,791

Total expenses			2,505,326

NET INVESTMENT INCOME			6,704,005

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions			(982,369	)
Futures transactions			252,436
Foreign currency transactions			17,994

			(711,939	)

Net change in unrealized appreciation (depreciation) on:
Investments			30,910,524
Foreign currencies			304,066

			31,214,590

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES			30,502,651

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$	37,206,656

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	6,704,005		$	9,580,870
Net realized gain (loss) on investments and foreign currencies		(711,939	)		26,174,487
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		31,214,590			(78,509,307	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		37,206,656			(42,753,950	)

DISTRIBUTIONS		(9,580,386	)		(9,684,066	)

SERIES SHARE TRANSACTIONS:
Series shares sold [206,102 and 843,518 shares, respectively]		4,595,052			15,384,776
Series shares issued in reinvestment of distributions [555,063 and 525,167 shares, respectively]		9,580,386			9,684,066
Series shares repurchased [1,528,434 and 3,129,794 shares, respectively]		(27,884,134	)		(56,971,187	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(13,708,696	)		(31,902,345	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		13,917,574			(84,340,361	)
NET ASSETS:
Beginning of period		564,178,423			648,518,784

End of period	$	578,095,997		$	564,178,423

SEE NOTES TO FINANCIAL STATEMENTS.

A90


LONG-TERM INVESTMENTS — 99.4%	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	$	1,815,329
Small Business Administration Participation Certificates,
Ser. 1996-20J, Class 1		7.200%	10/01/16		855		918,122
Ser. 1997-20A, Class 1		7.150%	01/01/17		610		659,401
Ser. 1997-20G, Class 1		6.850%	07/01/17		333		362,402
Ser. 1998-20I, Class 1		6.000%	09/01/18		767		835,326

							4,590,580

Collateralized Mortgage Obligations — 1.5%
Federal Home Loan Mortgage Corp., Ser. 2002-2496, Class PM		5.500%	09/15/17		1,164		1,251,600
Ser. 2002-2501, Class MC		5.500%	09/15/17		397		425,304
Ser. 2002-2513, Class HC		5.000%	10/15/17		2,173		2,327,973
Ser. 2002-2518, Class PV		5.500%	06/15/19		138		138,103
Federal National Mortgage Association,
Ser. 2002-18, Class PC		5.500%	04/25/17		686		703,938
Ser. 2002-57, Class ND		5.500%	09/25/17		459		491,072
Merrill Lynch Mortgage Investors, Inc.,
Ser. 2003-E, Class A1(a)		0.865%	10/25/28		90		79,865
Structured Adjustable Rate Mortgage Loan Trust,
Ser. 2004-1, Class 4A3(a)		2.740%	02/25/34		308		297,668

							5,715,523

Commercial Mortgage-Backed Securities — 15.1%
Banc of America Commercial Mortgage, Inc., Ser. 2007-1, Class A2		5.381%	01/15/49		478		478,187
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a)		5.889%	12/10/49		2,000		2,309,128
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2007-CD4, Class A3		5.293%	12/11/49		1,800		1,900,301
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(a)		5.941%	06/10/46		2,000		2,251,950
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2008-C2, Class A4		4.832%	04/15/37		2,700		2,861,414
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a)		6.007%	05/15/46		1,300		1,386,059
FHLMC Multifamily Structured Pass Through Certificates, Ser. 2009-K003, Class A5		5.085%	03/25/19		250		293,164
Ser. 2009-K004, Class A2		4.186%	08/25/19		3,725		4,201,521
Ser. 2010-K005, Class A2		4.317%	11/25/19		2,700		3,071,833
Ser. 2010-K007, Class A2		4.224%	03/25/20		3,600		4,084,682
Ser. 2010-K009, Class A2		3.808%	08/25/20		2,900		3,218,701
Ser. 2011-K010, Class A2		4.333%	10/25/20		3,600		4,113,407
Ser. 2011-K011, Class A2		4.084%	11/25/20		3,600		4,054,572
Ser. 2011-K013, Class A2		3.974%	01/25/21		3,525		3,953,326
Ser. 2012-K018, Class A2		2.789%	01/25/22		3,600		3,737,002
Ser. 2012-K501, Class X1A, I/O(a)		1.880%	08/25/16		4,290		232,459
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2		5.381%	03/10/39		1,760		1,800,708
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2		5.778%	08/10/45		952		959,364
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A3(a)		6.009%	06/15/49		1,000		1,065,679
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(a)		5.848%	05/12/39		2,000		2,271,168
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-9, Class A2		5.590%	09/12/49		1,876		1,875,230
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4		5.332%	12/15/43		1,800		2,044,803

SEE NOTES TO FINANCIAL STATEMENTS.

A91


LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Commercial Mortgage-Backed Securities (continued)
NCUA Gtd. Notes, Ser. 2010-C1, Class A2		2.900%	10/29/20	$	2,000	$	2,132,500
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(a)		5.922%	05/15/43		2,000		2,273,202
Ser. 2006-C27, Class A3		5.765%	07/15/45		2,000		2,253,716

							58,824,076

Corporate Bonds — 1.5%
Canada Government International Bond (Canada), Sr. Unsec’d. Notes(b)		0.875%	02/14/17		1,025		1,030,280
Province of Alberta Canada (Canada), 144A		1.000%	06/21/17		2,655		2,663,860
DEPFA ACS Bank (Ireland), Covered Notes, 144A		5.125%	03/16/37		1,520		1,058,674
Kreditanstalt Fuer Wiederaufbau (Germany), Gov’t. Gtd. Notes		2.375%	08/25/21		660		663,877
UBS AG (Switzerland), Covered Notes, 144A		2.250%	03/30/17		480		481,475

							5,898,166

Mortgage-Backed Securities — 42.3%
Federal Home Loan Mortgage Corp.(a)		2.354%	05/01/34		665		708,586
Federal Home Loan Mortgage Corp.(c)		3.000%	TBA 15 Year		1,500		1,568,203
Federal Home Loan Mortgage Corp.(c)		3.500%	TBA 30 Year		2,000		2,098,125
Federal Home Loan Mortgage Corp.		4.000%	06/01/26-12/01/40		3,581		3,803,085
Federal Home Loan Mortgage Corp.(c)		4.000%	TBA 30 Year		2,000		2,122,188
Federal Home Loan Mortgage Corp.		4.500%	09/01/39		7,876		8,414,703
Federal Home Loan Mortgage Corp.		5.000%	06/01/33-05/01/34		4,210		4,579,121
Federal Home Loan Mortgage Corp.		5.500%	05/01/37-05/01/38		4,063		4,421,010
Federal Home Loan Mortgage Corp.		6.000%	09/01/34		194		217,429
Federal Home Loan Mortgage Corp.(c)		6.000%	TBA 30 Year		2,000		2,191,250
Federal Home Loan Mortgage Corp.		6.500%	05/01/13-09/01/32		174		196,873
Federal Home Loan Mortgage Corp.		7.000%	09/01/12-10/01/32		38		44,981
Federal National Mortgage Association(a)		2.139%	07/01/33		2,034		2,161,436
Federal National Mortgage Association(a)		2.237%	06/01/34		565		598,286
Federal National Mortgage Association(a)		2.392%	08/01/33		1,236		1,286,915
Federal National Mortgage Association(c)		2.500%	TBA 15 Year		1,000		1,030,312
Federal National Mortgage Association(a)		2.529%	04/01/34		241		256,390
Federal National Mortgage Association(a)		2.556%	04/01/34		491		521,228
Federal National Mortgage Association		3.000%	TBA 15 Year		8,500		8,905,078
Federal National Mortgage Association		3.500%	06/01/39		889		935,391
Federal National Mortgage Association		3.500%	TBA 15 Year		6,000		6,339,375
Federal National Mortgage Association(c)		3.500%	TBA 30 Year		15,500		16,291,954
Federal National Mortgage Association(c)		3.500%	TBA 30 Year		13,000		13,627,657
Federal National Mortgage Association		4.000%	TBA 30 Year		2,000		2,128,438
Federal National Mortgage Association		4.500%	05/01/40		8,066		8,850,099
Federal National Mortgage Association(c)		4.500%	TBA 30 Year		2,000		2,143,750
Federal National Mortgage Association		5.000%	07/01/18-05/01/36		7,576		8,232,269
Federal National Mortgage Association		5.500%	01/01/17-11/01/35		15,091		16,666,703
Federal National Mortgage Association		6.000%	11/01/14-05/01/38		4,915		5,460,886
Federal National Mortgage Association		6.500%	01/01/15-10/01/37		2,911		3,318,876
Federal National Mortgage Association		7.000%	12/01/31-01/01/36		541		638,329
Federal National Mortgage Association		8.000%	03/01/22-02/01/26		21		21,700
Federal National Mortgage Association		9.000%	02/01/25-04/01/25		87		102,155
Government National Mortgage Association		3.500%	TBA 30 Year		2,500		2,671,875
Government National Mortgage Association		4.000%	06/15/40		972		1,064,520
Government National Mortgage Association		4.000%	TBA 30 Year		7,000		7,635,469
Government National Mortgage Association(c)		4.000%	TBA 30 Year		2,000		2,184,062
Government National Mortgage Association		4.500%	02/20/41		2,948		3,255,392
Government National Mortgage Association(c)		4.500%	TBA 30 Year		2,000		2,186,562
Government National Mortgage Association		4.500%	TBA 30 Year		7,500		8,244,140
Government National Mortgage Association		5.000%	07/15/33-04/15/34		1,714		1,901,559
Government National Mortgage Association(c)		5.000%	TBA 30 Year		2,000		2,200,625

SEE NOTES TO FINANCIAL STATEMENTS.

A92


LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)

Mortgage-Backed Securities (continued)
Government National Mortgage Association		5.500%	03/15/34-03/15/36	$	1,424	$	1,587,909
Government National Mortgage Association		6.500%	07/15/32-08/15/32		392		456,744
Government National Mortgage Association		7.000%	03/15/23-08/15/28		922		1,084,433
Government National Mortgage Association		7.500%	12/15/25-02/15/26		175		207,763
Government National Mortgage Association		8.500%	09/15/24-04/15/25		219		264,178

							164,828,012

Municipal Bond — 0.2%
State of Utah, BABs, Ser. D		4.554%	07/01/24		630		747,665

U.S. Government Agency Obligations — 1.8%
Federal Home Loan Mortgage Corp.(b)		5.125%	11/17/17		1,270		1,538,269
Financing Corp. FICO, Ser. 1P(d)		1.540%	05/11/18		4,000		3,656,344
Tennessee Valley Authority		5.250%	09/15/39		870		1,134,359
Tennessee Valley Authority		5.500%	06/15/38		465		621,058

							6,950,030

U.S. Treasury Securities — 35.8%
U.S. Treasury Bonds(b)		3.000%	05/15/42		3,290		3,445,762
U.S. Treasury Bonds(b)		3.750%	08/15/41		4,165		5,022,732
U.S. Treasury Bonds		9.250%	02/15/16		8,500		11,145,625
U.S. Treasury Inflation Indexed Bonds(b)		0.750%	02/15/42		2,744		2,878,139
U.S. Treasury Notes		0.375%	06/15/15		15,080		15,067,046
U.S. Treasury Notes		0.750%	06/30/17		5,580		5,585,669
U.S. Treasury Notes		1.000%	06/30/19		5,870		5,823,222
U.S. Treasury Notes		3.250%	05/31/16		5,725		6,317,183
U.S. Treasury Notes(e)		4.500%	02/15/16		4,395		5,020,259
U.S. Treasury Notes		4.625%	11/15/16		1,840		2,153,519
U.S. Treasury Notes		4.625%	02/15/17		20,000		23,562,500
U.S. Treasury Strip Principal(d)		0.580%	02/15/16		15,870		15,539,666
U.S. Treasury Strips Coupon(b)(f)		0.460%	05/15/15		12,430		12,268,597
U.S. Treasury Strips Coupon(f)		2.150%	05/15/24		6,605		5,126,114
U.S. Treasury Strips Coupon(f)		2.180%	08/15/24		10,095		7,758,018
U.S. Treasury Strips Coupon(f)		2.250%	02/15/25		925		696,718
U.S. Treasury Strips Coupon(f)		2.610%	05/15/25		5,815		4,334,652
U.S. Treasury Strips Coupon(f)		2.970%	05/15/27		5,240		3,619,111
U.S. Treasury Strips Coupon(f)		3.240%	08/15/29		3,700		2,366,187
U.S. Treasury Strips Coupon(f)		3.750%	08/15/33		2,725		1,511,560

							139,242,279

TOTAL LONG-TERM INVESTMENTS (cost $368,763,585)							386,796,331


				Shares
SHORT-TERM INVESTMENTS — 27.5%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $53,518,381)(g)					5,427,398		48,792,305
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $58,371,889; includes $17,148,245 of cash collateral received for securities on loan) (Note 4)(g)(h)					58,371,889		58,371,889

TOTAL AFFILIATED MUTUAL FUNDS (cost $111,890,270)							107,164,194

TOTAL INVESTMENTS — 126.9% (cost $480,653,855)							493,960,525
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (26.9)%							(104,644,089	)

NET ASSETS — 100.0%						$	389,316,436

SEE NOTES TO FINANCIAL STATEMENTS.

A93

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
FHLMC		Federal Home Loan Mortgage Association
FICO		Financing Corp.
I/O		Interest Only
NCUA		National Credit Union Administration
TBA		To Be Announced

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2012.

(b)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $16,698,850; cash collateral of $17,148,245 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c)	All or partial principal amount totaling $29,500,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement.

(d)	Represents zero coupon bond. Rate shown reflects the effective yield on June 30, 2012.

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

(f)	Rate shown reflects the effective yield at June 30, 2012.

(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 June 30, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
177	2 Year U.S. Treasury Notes		Sep. 2012	$	38,978,873	$	38,973,187	$	(5,686	)
427	5 Year U.S. Treasury Notes		Sep. 2012		52,881,336		52,934,656		53,320
28	U.S. Ultra Bond		Sep. 2012		4,605,652		4,671,625		65,973

									113,607

Short Positions:
219	10 Year U.S. Treasury Notes		Sep. 2012		29,320,758		29,209,125		111,633
115	U.S. Long Bond		Sep. 2012		16,985,645		17,016,406		(30,761	)

									80,872

								$	194,479

Interest rate swap agreements outstanding at June 30, 2012:


Notional Amount (000)#		Termination Date		Fixed Rate			Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	17,980		08/31/16		0.934%		3 month LIBOR(1)	$	92,452		$	—	$	92,452		Credit Suisse International
	17,880		08/31/16		0.977%		3 month LIBOR(2)		(123,207	)		—		(123,207	)	Citibank, NA
	17,880		08/31/16		0.928%		3 month LIBOR(1)		87,490			—		87,490		Citibank, NA
	5,595		08/31/16		0.975%		3 month LIBOR(2)		(38,130	)		—		(38,130	)	JPMorgan Chase Bank, NA
	5,595		08/31/16		0.978%		3 month LIBOR(2)		(38,932	)		—		(38,932	)	JPMorgan Chase Bank, NA
	880		09/14/16		1.206%		3 month LIBOR(2)		(17,073	)		—		(17,073	)	Deutsche Bank AG
	26,910		11/30/16		0.948%		3 month LIBOR(2)		(75,146	)		—		(75,146	)	Citibank, NA
	26,910		11/30/16		0.945%		3 month LIBOR(2)		(72,144	)		—		(72,144	)	Citibank, NA
	16,695		11/30/16		0.913%	��	3 month LIBOR(2)		(22,605	)		—		(22,605	)	JPMorgan Chase Bank, NA
	4,700		02/15/19		1.656%		3 month LIBOR(2)		(111,949	)		—		(111,949	)	Citibank, NA
	4,700		02/15/19		1.794%		3 month LIBOR(1)		153,493			—		153,493		JPMorgan Chase Bank, NA
	4,550		07/20/21		3.035%		3 month LIBOR(2)		592,011			—		592,011		Citibank, NA
	4,560		11/23/21		2.148%		3 month LIBOR(2)		(185,340	)		—		(185,340	)	Citibank, NA

SEE NOTES TO FINANCIAL STATEMENTS.

A94

Interest rate swap agreements outstanding at June 30, 2012 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements (continued):
$	2,290		01/27/22		2.071%	3 month LIBOR(2)	$	(88,979	)	$	—	$	(88,979	)	Citibank, NA
��	1,130		01/30/22		2.082%	3 month LIBOR(2)		(44,679	)		—		(44,679	)	Citibank, NA
	2,410		02/07/22		2.056%	3 month LIBOR(2)		(88,210	)		—		(88,210	)	Citibank, NA
	5,830		04/12/22		2.111%	3 month LIBOR(1)		212,833			—		212,833		Citibank, NA

							$	231,885		$	—	$	231,885

#	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 in active markets for identical securities.

Level 2—

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 June 30, 2012 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Asset-Backed Securities	$	—	��	$	4,590,580	$	—
Collateralized Mortgage Obligations		—			5,715,523		—
Commercial Mortgage-Backed Securities		—			58,824,076		—
Corporate Bonds		—			5,898,166		—
Mortgage-Backed Securities		—			164,828,012		—
Municipal Bond		—			747,665		—
U.S. Government Agency Obligations		—			6,950,030		—
U.S. Treasury Securities		—			139,242,279		—
Affiliated Mutual Funds		107,164,194			—		—
Other Financial Instruments*
Futures Contracts		194,479			—		—
Interest Rate Swap Agreements		—			231,885		—

Total	$	107,358,673		$	387,028,216	$	—

*	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 June 30, 2012 were as follows:


Mortgage-Backed Securities	42.3	%
U.S. Treasury Securities	35.8
Affiliated Mutual Funds (including 4.4% of collateral received for securities on loan)	27.5
Commercial Mortgage-Backed Securities	15.1
U.S. Government Agency Obligations	1.8
Collateralized Mortgage Obligations	1.5
Corporate Bonds	1.5
Asset-Backed Securities	1.2
Municipal Bond	0.2

	126.9
Liabilities in excess of other assets	(26.9	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A95

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is 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 June 30, 2012 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 from broker —
variation margin

230,926

Due from broker —
variation margin

36,447

Interest rate contracts

Unrealized appreciation
on swap agreements

1,138,279

Unrealized depreciation
on swap agreements

906,394

Total

1,369,205

942,841

*	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.

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2012 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased		Options Written			Futures			Swaps		Total
Interest rate contracts	$	253,415	$	(211,836	)	$	(2,554,647	)	$	63,987	$	(2,449,081	)



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	$	566,102	$	(210,719	)	$	355,383

For the six months ended June 30, 2012, 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))
$53,348,217	$45,573,890	$78,137

SEE NOTES TO FINANCIAL STATEMENTS.

A96


		*GOVERNMENT INCOME PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2012


ASSETS
Investments, at value including securities on loan of $16,698,850:
Unaffiliated investments (cost $368,763,585)	$	386,796,331
Affiliated investments (cost $111,890,270)		107,164,194
Cash		527,290
Receivable for investments sold		47,139,882
Dividends and interest receivable		1,720,034
Unrealized appreciation on swap agreements		1,138,279
Due from broker—variation margin		102,189
Receivable for Series shares sold		5,777
Foreign tax reclaim receivable		962
Prepaid expenses		348

Total Assets		544,595,286

LIABILITIES
Payable for investments purchased		136,886,096
Collateral for securities on loan		17,148,245
Unrealized depreciation on swap agreements		906,394
Management fee payable		127,331
Accrued expenses and other liabilities		111,732
Payable for Series shares repurchased		97,237
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		889

Total Liabilities		155,278,850

NET ASSETS	$	389,316,436

Net assets were comprised of:
Paid-in capital	$	370,697,815
Retained earnings		18,618,621

Net assets, June 30, 2012	$	389,316,436

Net asset value and redemption price per share, $389,316,436 / 32,207,435 outstanding shares of beneficial interest	$	12.09

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2012


INVESTMENT INCOME
Interest	$	4,649,514
Affiliated dividend income		376,497
Affiliated income from securities loaned, net		13,324

		5,039,335

EXPENSES
Management fee		800,511
Shareholders’ reports		70,000
Custodian’s fees and expenses		46,000
Audit fee		15,000
Trustees’ fees		6,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Legal fees and expenses		4,000
Insurance expenses		2,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		5,282

Total expenses		956,793

NET INVESTMENT INCOME		4,082,542

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		6,934,982
Foreign currency transactions		43
Futures transactions		(2,554,647	)
Swap agreement transactions		63,987
Option written transactions		(211,836	)

		4,232,529

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $702,986)		(545,229	)
Futures		566,102
Swap agreements		(210,719	)

		(189,846	)

NET GAIN ON INVESTMENTS		4,042,683

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,125,225

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	4,082,542		$	10,051,753
Net realized gain on investments and foreign currency transactions		4,232,529			12,493,569
Net change in unrealized appreciation (depreciation) on investments		(189,846	)		7,373,827

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		8,125,225			29,919,149

DISTRIBUTIONS		(16,720,027	)		(18,318,094	)

SERIES SHARE TRANSACTIONS:
Series shares sold [494,917 and 2,166,785 shares, respectively]		6,127,237			26,321,036
Series shares issued in reinvestment of distributions [1,382,466 and 1,519,181 shares, respectively]		16,720,027			18,318,094
Series shares repurchased [3,360,688 and 3,193,994 shares, respectively]		(41,589,952	)		(38,827,001	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(18,742,688	)		5,812,129

TOTAL INCREASE (DECREASE) IN NET ASSETS		(27,337,490	)		17,413,184
NET ASSETS:
Beginning of period		416,653,926			399,240,742

End of period	$	389,316,436		$	416,653,926

SEE NOTES TO FINANCIAL STATEMENTS.

A97


LONG-TERM INVESTMENTS — 98.1%
COMMON STOCKS	Shares		Value (Note 2)

Aerospace & Defense — 2.5%
Boeing Co. (The)		135,036	$	10,033,175
General Dynamics Corp.		66,000		4,353,360
Goodrich Corp.		21,800		2,766,420
Honeywell International, Inc.		141,050		7,876,232
L-3 Communications Holdings, Inc.		18,700		1,383,987
Lockheed Martin Corp.(a)		49,198		4,284,162
Northrop Grumman Corp.		44,726		2,853,071
Precision Castparts Corp.		25,600		4,210,944
Raytheon Co.		59,218		3,351,147
Rockwell Collins, Inc.		28,100		1,386,735
Textron, Inc.(a)		44,900		1,116,663
United Technologies Corp.		164,100		12,394,473

				56,010,369

Air Freight & Logistics — 1.0%
C.H. Robinson Worldwide, Inc.(a)		30,200		1,767,606
Expeditors International of Washington, Inc.		38,900		1,507,375
FedEx Corp.		56,940		5,216,273
United Parcel Service, Inc. (Class B Stock)		171,200		13,483,712

				21,974,966

Airlines — 0.1%
Southwest Airlines Co.		139,337		1,284,687

Auto Components — 0.2%
BorgWarner, Inc.*(a)		18,700		1,226,533
Goodyear Tire & Rubber Co. (The)*		38,600		455,866
Johnson Controls, Inc.		126,000		3,491,460

				5,173,859

Automobiles — 0.4%
Ford Motor Co.(a)		704,559		6,756,721
Harley-Davidson, Inc.		41,300		1,888,649

				8,645,370

Beverages — 2.7%
Beam, Inc.		25,900		1,618,491
Brown-Forman Corp. (Class B Stock)		18,500		1,791,725
Coca-Cola Co. (The)(a)		407,000		31,823,330
Coca-Cola Enterprises, Inc.		48,800		1,368,352
Constellation Brands, Inc. (Class A Stock)*		30,100		814,506
Dr Pepper Snapple Group, Inc.(a)		38,800		1,697,500
Molson Coors Brewing Co. (Class B Stock)		29,100		1,210,851
Monster Beverage Corp.*		14,600		1,039,520
PepsiCo, Inc.		282,639		19,971,272

				61,335,547

Biotechnology — 1.4%
Alexion Pharmaceuticals, Inc.*		32,700		3,247,110
Amgen, Inc.		143,094		10,451,586
Biogen Idec, Inc.*		43,525		6,284,139
Celgene Corp.*		80,500		5,164,880
Gilead Sciences, Inc.*		136,900		7,020,232

				32,167,947

Building Products — 0.0%
Masco Corp.		54,800		760,076



COMMON STOCKS (continued)	Shares		Value (Note 2)

Capital Markets — 1.8%
Ameriprise Financial, Inc.		40,900	$	2,137,434
Bank of New York Mellon Corp. (The)		215,089		4,721,204
BlackRock, Inc. (Class A Stock)		22,700		3,854,914
Charles Schwab Corp. (The)		192,300		2,486,439
ETrade Financial Corp.		43,610		350,624
Federated Investors, Inc. (Class B Stock)(a)		15,000		327,750
Franklin Resources, Inc.		26,400		2,930,136
Goldman Sachs Group, Inc. (The)		91,000		8,723,260
Invesco Ltd.		83,600		1,889,360
Legg Mason, Inc.		23,900		630,243
Morgan Stanley		276,410		4,032,822
Northern Trust Corp.		44,200		2,034,084
State Street Corp.		88,600		3,955,104
T. Rowe Price Group, Inc.(a)		46,900		2,952,824

				41,026,198

Chemicals — 2.3%
Air Products & Chemicals, Inc.		38,200		3,083,886
Airgas, Inc.		13,200		1,108,932
CF Industries Holdings, Inc.		12,400		2,402,376
Dow Chemical Co. (The)		213,461		6,724,021
E.I. du Pont de Nemours & Co.(a)		167,991		8,495,305
Eastman Chemical Co.(a)		25,600		1,289,472
Ecolab, Inc.		50,400		3,453,912
FMC Corp.		25,200		1,347,696
International Flavors & Fragrances, Inc.		16,100		882,280
Monsanto Co.		96,996		8,029,329
Mosaic Co. (The)		54,200		2,967,992
PPG Industries, Inc.		26,700		2,833,404
Praxair, Inc.		54,400		5,914,912
Sherwin-Williams Co. (The)		15,700		2,077,895
Sigma-Aldrich Corp.(a)		20,700		1,530,351

				52,141,763

Commercial Banks — 2.9%
BB&T Corp.		128,300		3,958,055
Comerica, Inc.		33,950		1,042,604
Fifth Third Bancorp		167,749		2,247,837
First Horizon National Corp.		39,745		343,794
Huntington Bancshares, Inc.(a)		156,775		1,003,360
KeyCorp		179,700		1,390,878
M&T Bank Corp.		23,800		1,965,166
PNC Financial Services Group, Inc.		96,693		5,908,909
Regions Financial Corp.		255,912		1,727,406
SunTrust Banks, Inc.		100,800		2,442,384
U.S. Bancorp		346,781		11,152,477
Wells Fargo & Co.		954,086		31,904,636
Zions Bancorporation(a)		30,000		582,600

				65,670,106

Commercial Services & Supplies — 0.4%
Avery Dennison Corp.		19,000		519,460
Cintas Corp.		21,700		837,837
Iron Mountain, Inc.		32,100		1,058,016
Pitney Bowes, Inc.(a)		34,700		519,459
Republic Services, Inc.		58,310		1,542,883

SEE NOTES TO FINANCIAL STATEMENTS.

A98


COMMON STOCKS (continued)	Shares		Value (Note 2)

Commercial Services & Supplies (continued)
RR Donnelley & Sons Co.(a)		31,300	$	368,401
Stericycle, Inc.*(a)		13,900		1,274,213
Waste Management, Inc.		85,030		2,840,002

				8,960,271

Communications Equipment — 1.8%
Cisco Systems, Inc.		977,000		16,775,090
F5 Networks, Inc.*		14,800		1,473,488
Harris Corp.		20,700		866,295
JDS Uniphase Corp.*(a)		39,587		435,457
Juniper Networks, Inc.*		98,000		1,598,380
Motorola Solutions, Inc.		53,927		2,594,428
QUALCOMM, Inc.		305,700		17,021,376

				40,764,514

Computers & Peripherals — 5.5%
Apple, Inc.*		168,400		98,345,600
Dell, Inc.*(a)		283,500		3,549,420
EMC Corp.*		371,574		9,523,442
Hewlett-Packard Co.		357,616		7,191,658
Lexmark International, Inc. (Class A Stock)		12,314		327,306
NetApp, Inc.*		66,800		2,125,576
SanDisk Corp.*		41,900		1,528,512
Seagate Technology PLC (Ireland)		15,000		370,950
Western Digital Corp.*		38,600		1,176,528

				124,138,992

Construction & Engineering — 0.1%
Fluor Corp.		31,700		1,564,078
Jacobs Engineering Group, Inc.*		22,200		840,492
Quanta Services, Inc.*(a)		33,000		794,310

				3,198,880

Construction Materials — 0.0%
Vulcan Materials Co.		22,300		885,533

Consumer Finance — 0.9%
American Express Co.		181,200		10,547,652
Capital One Financial Corp.		100,769		5,508,033
Discover Financial Services		96,805		3,347,517
SLM Corp.		98,000		1,539,580

				20,942,782

Containers & Packaging — 0.1%
Ball Corp.		29,900		1,227,395
Bemis Co., Inc.		17,900		560,986
Owens-Illinois, Inc.*		30,400		582,768
Sealed Air Corp.		31,620		488,213

				2,859,362

Distributors — 0.1%
Genuine Parts Co.		28,825		1,736,706

Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*(a)		22,700		821,513
DeVry, Inc.		10,000		309,700
H&R Block, Inc.(a)		54,500		870,910

				2,002,123


COMMON STOCKS (continued)	Shares		Value (Note 2)

Diversified Financial Services — 2.8%
Bank of America Corp.		1,935,632	$	15,833,470
Citigroup, Inc.		534,697		14,656,045
CME Group, Inc.		12,120		3,249,493
IntercontinentalExchange, Inc.*(a)		12,900		1,754,142
JPMorgan Chase & Co.		692,145		24,730,341
Leucadia National Corp.		37,600		799,752
Moody’s Corp.		36,720		1,342,116
NASDAQ OMX Group, Inc. (The)		24,600		557,682
NYSE Euronext		48,500		1,240,630

				64,163,671

Diversified Telecommunication Services — 3.0%
AT&T, Inc.		1,058,011		37,728,672
CenturyLink, Inc.(a)		113,585		4,485,472
Frontier Communications Corp.(a)		177,916		681,418
Verizon Communications, Inc.(a)		516,338		22,946,061
Windstream Corp.(a)		96,065		927,988

				66,769,611

Electric Utilities — 2.1%
American Electric Power Co., Inc.		90,040		3,592,596
Duke Energy Corp.(a)		240,782		5,552,433
Edison International		60,100		2,776,620
Entergy Corp.		32,700		2,220,003
Exelon Corp.		153,073		5,758,606
FirstEnergy Corp.		76,280		3,752,213
NextEra Energy, Inc.(a)		76,400		5,257,084
Northeast Utilities		52,800		2,049,168
Pepco Holdings, Inc.(a)		36,200		708,434
Pinnacle West Capital Corp.		20,900		1,081,366
PPL Corp.		102,700		2,856,087
Progress Energy, Inc.		53,614		3,225,955
Southern Co.		153,900		7,125,570
Xcel Energy, Inc.		90,095		2,559,599

				48,515,734

Electrical Equipment — 0.5%
Cooper Industries PLC		27,700		1,888,586
Emerson Electric Co.(a)		132,100		6,153,218
Rockwell Automation, Inc.		25,900		1,710,954
Roper Industries, Inc.		17,100		1,685,718

				11,438,476

Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		30,300		1,664,076
Corning, Inc.		279,200		3,610,056
FLIR Systems, Inc.		23,500		458,250
Jabil Circuit, Inc.		36,400		740,012
Molex, Inc.		26,600		636,804
TE Connectivity Ltd.		76,600		2,444,306

				9,553,504

Energy Equipment & Services — 1.6%
Baker Hughes, Inc.		80,248		3,298,193
Cameron International Corp.*		41,800		1,785,278
Diamond Offshore Drilling, Inc.(a)		12,500		739,125
FMC Technologies, Inc.*		44,600		1,749,658
Halliburton Co.		164,700		4,675,833
Helmerich & Payne, Inc.		19,900		865,252

SEE NOTES TO FINANCIAL STATEMENTS.

A99


COMMON STOCKS (continued)	Shares		Value (Note 2)

Energy Equipment & Services (continued)
Nabors Industries Ltd.*		56,600	$	815,040
National Oilwell Varco, Inc.		77,700		5,006,988
Noble Corp.		45,300		1,473,609
Rowan Cos. PLC (Class A Stock)*		20,500		662,765
Schlumberger Ltd.		241,722		15,690,175

				36,761,916

Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		78,132		7,422,540
CVS Caremark Corp.		235,238		10,992,672
Kroger Co. (The)		105,600		2,448,864
Safeway, Inc.(a)		47,500		862,125
Sysco Corp.		101,500		3,025,715
Walgreen Co.		157,400		4,655,892
Wal-Mart Stores, Inc.		311,800		21,738,696
Whole Foods Market, Inc.		29,000		2,764,280

				53,910,784

Food Products — 1.7%
Archer-Daniels-Midland Co.		121,238		3,578,946
Campbell Soup Co.		30,100		1,004,738
ConAgra Foods, Inc.		70,300		1,822,879
Dean Foods Co.*		24,300		413,829
General Mills, Inc.		116,700		4,497,618
H.J. Heinz Co.		56,050		3,047,999
Hershey Co. (The)		27,100		1,952,013
Hormel Foods Corp.(a)		25,600		778,752
J.M. Smucker Co. (The)		20,300		1,533,056
Kellogg Co.		45,100		2,224,783
Kraft Foods, Inc. (Class A Stock)		319,211		12,327,929
McCormick & Co., Inc.		24,800		1,504,120
Mead Johnson Nutrition Co.		37,293		3,002,459
Tyson Foods, Inc. (Class A Stock)		56,100		1,056,363

				38,745,484

Gas Utilities — 0.1%
AGL Resources, Inc.		17,537		679,559
ONEOK, Inc.(a)		36,240		1,533,314

				2,212,873

Healthcare Equipment & Supplies — 1.8%
Baxter International, Inc.		102,700		5,458,505
Becton, Dickinson & Co.		38,300		2,862,925
Boston Scientific Corp.*		277,799		1,575,120
C.R. Bard, Inc.(a)		16,000		1,719,040
CareFusion Corp.*		39,537		1,015,310
Covidien PLC		85,100		4,552,850
DENTSPLY International, Inc.		22,500		850,725
Edwards Lifesciences Corp.*		20,200		2,086,660
Intuitive Surgical, Inc.*		7,200		3,987,288
Medtronic, Inc.		188,200		7,288,986
St. Jude Medical, Inc.		59,800		2,386,618
Stryker Corp.		57,900		3,190,290
Varian Medical Systems, Inc.*(a)		20,400		1,239,708
Zimmer Holdings, Inc.		33,386		2,148,723

				40,362,748

Healthcare Providers & Services — 2.1%
Aetna, Inc.		64,448		2,498,649
AmerisourceBergen Corp.		47,100		1,853,385


COMMON STOCKS (continued)	Shares		Value (Note 2)

Healthcare Providers & Services (continued)
Cardinal Health, Inc.		58,975	$	2,476,950
CIGNA Corp.		52,100		2,292,400
Coventry Health Care, Inc.		27,650		878,994
DaVita, Inc.*(a)		17,500		1,718,675
Express Scripts Holding Co.*		145,551		8,126,112
Humana, Inc.		30,600		2,369,664
Laboratory Corp. of America Holdings*(a)		17,500		1,620,675
McKesson Corp.		43,407		4,069,406
Patterson Cos., Inc.		15,900		548,073
Quest Diagnostics, Inc.		28,100		1,683,190
Tenet Healthcare Corp.*		80,000		419,200
UnitedHealth Group, Inc.		188,400		11,021,400
WellPoint, Inc.		61,200		3,903,948

				45,480,721

Healthcare Technology — 0.1%
Cerner Corp.*(a)		24,900		2,058,234

Hotels, Restaurants & Leisure — 1.9%
Carnival Corp.(a)		78,900		2,703,903
Chipotle Mexican Grill, Inc.*(a)		5,500		2,089,725
Darden Restaurants, Inc.(a)		23,350		1,182,210
International Game Technology(a)		56,100		883,575
Marriott International, Inc. (Class A Stock)(a)		48,103		1,885,638
McDonald’s Corp.		185,100		16,386,903
Starbucks Corp.		134,000		7,144,880
Starwood Hotels & Resorts Worldwide, Inc.		32,800		1,739,712
Wyndham Worldwide Corp.		27,463		1,448,399
Wynn Resorts Ltd.		13,100		1,358,732
Yum! Brands, Inc.		81,800		5,269,556

				42,093,233

Household Durables — 0.2%
D.R. Horton, Inc.(a)		45,200		830,776
Harman International Industries, Inc.(a)		14,100		558,360
Leggett & Platt, Inc.		28,200		595,866
Lennar Corp. (Class A Stock)(a)		24,300		751,113
Newell Rubbermaid, Inc.		55,749		1,011,287
Pulte Group, Inc.*(a)		48,385		517,719
Whirlpool Corp.(a)		14,607		893,364

				5,158,485

Household Products — 2.1%
Clorox Co. (The)(a)		24,400		1,768,024
Colgate-Palmolive Co.		86,200		8,973,420
Kimberly-Clark Corp.(a)		71,988		6,030,435
Procter & Gamble Co. (The)		494,081		30,262,461

				47,034,340

Independent Power Producers & Energy Traders — 0.1%
AES Corp. (The)*		117,900		1,512,657
NRG Energy, Inc.*(a)		45,800		795,088

				2,307,745

SEE NOTES TO FINANCIAL STATEMENTS.

A100


COMMON STOCKS (continued)	Shares		Value (Note 2)

Industrial Conglomerates — 2.7%
3M Co.(a)		125,500	$	11,244,800
Danaher Corp.		102,200		5,322,576
General Electric Co.		1,910,500		39,814,820
Tyco International Ltd.		83,800		4,428,830

				60,811,026

Insurance — 3.4%
ACE Ltd.		63,900		4,736,907
Aflac, Inc.		89,700		3,820,323
Allstate Corp. (The)		95,288		3,343,656
American International Group, Inc.*		110,629		3,550,085
Aon PLC (United Kingdom)		62,425		2,920,242
Assurant, Inc.(a)		20,600		717,704
Berkshire Hathaway, Inc. (Class B Stock)*		316,400		26,365,612
Chubb Corp. (The)		51,300		3,735,666
Cincinnati Financial Corp.		30,128		1,146,973
Genworth Financial, Inc. (Class A Stock)*		103,200		584,112
Hartford Financial Services Group, Inc. (The)		84,300		1,486,209
Lincoln National Corp.		58,963		1,289,521
Loews Corp.		60,626		2,480,210
Marsh & McLennan Cos., Inc.(a)		103,400		3,332,582
MetLife, Inc.		197,700		6,099,045
Principal Financial Group, Inc.(a)		62,000		1,626,260
Progressive Corp. (The)(a)		119,800		2,495,434
Torchmark Corp.		20,750		1,048,912
Travelers Cos., Inc. (The)		73,598		4,698,496
Unum Group		61,356		1,173,740
XL Group PLC (Class A Stock)		59,500		1,251,880

				77,903,569

Internet & Catalog Retail — 1.0%
Amazon.com, Inc.*		64,800		14,797,080
Expedia, Inc.(a)		16,700		802,769
Netflix, Inc.*(a)		8,700		595,689
priceline.com, Inc.*		8,900		5,914,228
TripAdvisor, Inc.*(a)		16,500		737,385

				22,847,151

Internet Software & Services — 1.8%
Akamai Technologies, Inc.*		33,500		1,063,625
eBay, Inc.*		205,900		8,649,859
Google, Inc. (Class A Stock)*		45,890		26,619,412
VeriSign, Inc.*(a)		26,400		1,150,248
Yahoo!, Inc.*		219,200		3,469,936

				40,953,080

IT Services — 3.8%
Accenture PLC (Ireland) (Class A Stock)		117,300		7,048,557
Automatic Data Processing, Inc.		89,800		4,998,268
Cognizant Technology Solutions Corp. (Class A Stock)*		55,600		3,336,000
Computer Sciences Corp.		26,300		652,766
Fidelity National Information Services, Inc.		43,900		1,496,112
Fiserv, Inc.*		23,100		1,668,282


COMMON STOCKS (continued)	Shares		Value (Note 2)

IT Services (continued)
International Business Machines Corp.		208,400	$	40,758,872
Mastercard, Inc. (Class A Stock)		19,100		8,215,101
Paychex, Inc.(a)		58,550		1,839,056
SAIC, Inc.		54,400		659,328
Teradata Corp.*		29,600		2,131,496
Total System Services, Inc.		29,993		717,732
Visa, Inc. (Class A Stock)		90,500		11,188,515
Western Union Co. (The)		115,004		1,936,667

				86,646,752

Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		22,150		750,220
Mattel, Inc.(a)		57,681		1,871,172

				2,621,392

Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.		65,682		2,577,361
Life Technologies Corp.*		33,330		1,499,517
PerkinElmer, Inc.		23,200		598,560
Thermo Fisher Scientific, Inc.		68,400		3,550,644
Waters Corp.*(a)		15,900		1,263,573

				9,489,655

Machinery — 1.8%
Caterpillar, Inc.		116,800		9,917,488
Cummins, Inc.		35,800		3,469,378
Deere & Co.		74,000		5,984,380
Dover Corp.		35,100		1,881,711
Eaton Corp.(a)		62,200		2,464,986
Flowserve Corp.		9,400		1,078,650
Illinois Tool Works, Inc.		86,900		4,596,141
Ingersoll-Rand PLC		54,700		2,307,246
Joy Global, Inc.		16,600		941,718
PACCAR, Inc.		66,128		2,591,556
Pall Corp.(a)		20,100		1,101,681
Parker Hannifin Corp.(a)		27,487		2,113,201
Snap-on, Inc.(a)		11,000		684,750
Stanley Black & Decker, Inc.		30,535		1,965,233
Xylem, Inc.		27,600		694,692

				41,792,811

Media — 3.4%
Cablevision Systems Corp. (Class A Stock)(a)		33,800		449,202
CBS Corp. (Class B Stock)		119,668		3,922,717
Comcast Corp. (Class A Stock)		487,146		15,574,058
DIRECTV (Class A Stock)*		121,500		5,931,630
Discovery Communications, Inc. (Class A Stock)*(a)		45,500		2,457,000
Gannett Co., Inc.(a)		42,900		631,917
Interpublic Group of Cos., Inc. (The)		83,162		902,308
McGraw-Hill Cos., Inc. (The)		49,900		2,245,500
News Corp. (Class A Stock)		377,500		8,414,475
Omnicom Group, Inc.(a)		51,100		2,483,460
Scripps Networks Interactive, Inc. (Class A Stock)		15,600		887,016
Time Warner Cable, Inc.		56,726		4,657,205
Time Warner, Inc.(a)		174,440		6,715,940
Viacom, Inc. (Class B Stock)		98,968		4,653,475

SEE NOTES TO FINANCIAL STATEMENTS.

A101


COMMON STOCKS (continued)	Shares		Value (Note 2)

Media (continued)
Walt Disney Co. (The)		322,201	$	15,626,748
Washington Post Co. (The) (Class B Stock)(a)		1,000		373,820

				75,926,471

Metals��& Mining — 0.7%
Alcoa, Inc.(a)		195,776		1,713,040
Allegheny Technologies, Inc.		15,440		492,382
Cliffs Natural Resources, Inc.(a)		27,000		1,330,830
Freeport-McMoRan Copper & Gold, Inc.		175,912		5,993,322
Newmont Mining Corp.		90,403		4,385,449
Nucor Corp.		58,500		2,217,150
Titanium Metals Corp.		6,000		67,860
United States Steel Corp.(a)		21,140		435,484

				16,635,517

Multiline Retail — 0.8%
Big Lots, Inc.*		11,300		460,927
Dollar Tree, Inc.*		42,800		2,302,640
Family Dollar Stores, Inc.		21,700		1,442,616
J.C. Penney Co., Inc.(a)		22,700		529,137
Kohl’s Corp.(a)		45,200		2,056,148
Macy’s, Inc.		74,220		2,549,457
Nordstrom, Inc.		30,100		1,495,669
Sears Holdings Corp.*(a)		4,500		268,650
Target Corp.		121,068		7,044,947

				18,150,191

Multi-Utilities — 1.3%
Ameren Corp.		45,300		1,519,362
CenterPoint Energy, Inc.		70,610		1,459,509
CMS Energy Corp.		41,900		984,650
Consolidated Edison, Inc.		52,400		3,258,756
Dominion Resources, Inc.		105,184		5,679,936
DTE Energy Co.		32,000		1,898,560
Integrys Energy Group, Inc.(a)		12,050		685,283
NiSource, Inc.		45,100		1,116,225
PG&E Corp.		73,500		3,327,345
Public Service Enterprise Group, Inc.		89,200		2,899,000
SCANA Corp.		22,200		1,062,048
Sempra Energy		41,754		2,876,016
TECO Energy, Inc.		38,200		689,892
Wisconsin Energy Corp.(a)		42,100		1,665,897

				29,122,479

Office Electronics — 0.1%
Xerox Corp.		247,511		1,947,912

Oil, Gas & Consumable Fuels — 9.0%
Alpha Natural Resources, Inc.*		38,605		336,250
Anadarko Petroleum Corp.		91,126		6,032,541
Apache Corp.		69,250		6,086,382
Cabot Oil & Gas Corp.(a)		38,200		1,505,080
Chesapeake Energy Corp.(a)		115,900		2,155,740
Chevron Corp.		356,892		37,652,106
ConocoPhillips(a)		228,179		12,750,643
Consol Energy, Inc.(a)		42,500		1,285,200
Denbury Resources, Inc.*		70,300		1,062,233


COMMON STOCKS (continued)	Shares		Value (Note 2)

Oil, Gas & Consumable Fuels (continued)
Devon Energy Corp.		74,100	$	4,297,059
EOG Resources, Inc.		48,200		4,343,302
EQT Corp.		26,400		1,415,832
Exxon Mobil Corp.		843,454		72,174,359
Hess Corp.		54,600		2,372,370
Kinder Morgan, Inc.		86,643		2,791,648
Marathon Oil Corp.		130,594		3,339,289
Marathon Petroleum Corp.(a)		63,647		2,859,023
Murphy Oil Corp.		32,500		1,634,425
Newfield Exploration Co.*		23,700		694,647
Noble Energy, Inc.		32,400		2,748,168
Occidental Petroleum Corp.		146,100		12,530,997
Peabody Energy Corp.		51,400		1,260,328
Phillips 66*		115,139		3,827,220
Pioneer Natural Resources Co.(a)		21,200		1,870,052
QEP Resources, Inc.		29,200		875,124
Range Resources Corp.		29,500		1,825,165
Southwestern Energy Co.*		64,300		2,053,099
Spectra Energy Corp.		119,042		3,459,361
Sunoco, Inc.		17,600		836,000
Tesoro Corp.*		26,500		661,440
Valero Energy Corp.		103,300		2,494,695
Williams Cos., Inc. (The)		111,200		3,204,784
WPX Energy, Inc.*(a)		36,133		584,637

				203,019,199

Paper & Forest Products — 0.1%
International Paper Co.		79,667		2,303,173
MeadWestvaco Corp.		33,989		977,184

				3,280,357

Personal Products — 0.2%
Avon Products, Inc.		78,700		1,275,727
Estee Lauder Cos., Inc. (The) (Class A Stock)		39,200		2,121,504

				3,397,231

Pharmaceuticals — 6.1%
Abbott Laboratories		284,800		18,361,056
Allergan, Inc.		54,900		5,082,093
Bristol-Myers Squibb Co.		305,740		10,991,353
Eli Lilly & Co.		185,200		7,946,932
Forest Laboratories, Inc.*		49,200		1,721,508
Hospira, Inc.*(a)		28,920		1,011,621
Johnson & Johnson(a)		495,271		33,460,509
Merck & Co., Inc.		550,304		22,975,185
Mylan, Inc.*		76,300		1,630,531
Perrigo Co.		15,700		1,851,501
Pfizer, Inc.		1,355,473		31,175,879
Watson Pharmaceuticals, Inc.*		23,300		1,723,967

				137,932,135

Professional Services — 0.1%
Dun & Bradstreet Corp. (The)		7,700		548,009
Equifax, Inc.		22,800		1,062,480
Robert Half International, Inc.(a)		23,100		659,967

				2,270,456

SEE NOTES TO FINANCIAL STATEMENTS.

A102


COMMON STOCKS (continued)	Shares		Value (Note 2)

Real Estate Investment Trusts — 2.1%
American Tower Corp.		72,500	$	5,068,475
Apartment Investment & Management Co. (Class A Stock)(a)		20,974		566,927
AvalonBay Communities, Inc.(a)		16,318		2,308,671
Boston Properties, Inc.(a)		28,100		3,045,197
Equity Residential		52,700		3,286,372
HCP, Inc.(a)		72,500		3,200,875
Health Care REIT, Inc.(a)		35,300		2,057,990
Host Hotels & Resorts, Inc.(a)		123,726		1,957,345
Kimco Realty Corp.(a)		76,400		1,453,892
Plum Creek Timber Co., Inc.(a)		25,900		1,028,230
ProLogis, Inc.(a)		81,228		2,699,206
Public Storage		25,400		3,668,014
Simon Property Group, Inc.		55,601		8,654,852
Ventas, Inc.		51,204		3,231,996
Vornado Realty Trust		33,257		2,792,923
Weyerhaeuser Co.		99,310		2,220,572

				47,241,537

Real Estate Management & Development — 0.0%
CBRE Group, Inc. (Class A Stock)*(a)		53,500		875,260

Road & Rail — 0.9%
CSX Corp.		194,272		4,343,922
Norfolk Southern Corp.		59,800		4,291,846
Ryder System, Inc.		10,700		385,307
Union Pacific Corp.		86,400		10,308,384

				19,329,459

Semiconductors & Semiconductor Equipment — 2.3%
Advanced Micro Devices, Inc.*(a)		102,600		587,898
Altera Corp.		57,500		1,945,800
Analog Devices, Inc.(a)		56,000		2,109,520
Applied Materials, Inc.		243,400		2,789,364
Broadcom Corp. (Class A Stock)(a)		86,950		2,938,910
First Solar, Inc.*(a)		3,000		45,180
Intel Corp.		909,600		24,240,840
KLA-Tencor Corp.		32,000		1,576,000
LAM Research Corp.*(a)		31,350		1,183,149
Linear Technology Corp.		43,500		1,362,855
LSI Corp.*		108,400		690,508
Microchip Technology, Inc.(a)		30,500		1,008,940
Micron Technology, Inc.*		160,300		1,011,493
NVIDIA Corp.*		108,250		1,496,015
Teradyne, Inc.*(a)		32,200		452,732
Texas Instruments, Inc.		210,400		6,036,376
Xilinx, Inc.		44,000		1,477,080

				50,952,660

Software — 3.7%
Adobe Systems, Inc.*		92,100		2,981,277
Autodesk, Inc.*		41,400		1,448,586
BMC Software, Inc.*		30,300		1,293,204
CA, Inc.		67,673		1,833,261
Citrix Systems, Inc.*		33,900		2,845,566
Electronic Arts, Inc.*		56,900		702,715
Intuit, Inc.		54,000		3,204,900
Microsoft Corp.		1,352,800		41,382,152
Oracle Corp.		707,120		21,001,464


COMMON STOCKS (continued)	Shares		Value (Note 2)

Software (continued)
Red Hat, Inc.*		35,600	$	2,010,688
Salesforce.com, Inc.*(a)		23,900		3,304,414
Symantec Corp.*		137,611		2,010,497

				84,018,724

Specialty Retail — 2.0%
Abercrombie & Fitch Co. (Class A Stock)		15,000		512,100
AutoNation, Inc.*(a)		4,289		151,316
AutoZone, Inc.*		5,000		1,835,850
Bed Bath & Beyond, Inc.*		43,400		2,682,120
Best Buy Co., Inc.(a)		51,725		1,084,156
CarMax, Inc.*(a)		40,000		1,037,600
GameStop Corp. (Class A Stock)(a)		26,800		492,048
Gap, Inc. (The)(a)		61,887		1,693,228
Home Depot, Inc. (The)		278,219		14,742,825
Limited Brands, Inc.		44,796		1,905,174
Lowe’s Cos., Inc.(a)		211,800		6,023,592
O’Reilly Automotive, Inc.*		23,300		1,951,841
Ross Stores, Inc.		42,100		2,629,987
Staples, Inc.		131,000		1,709,550
Tiffany & Co.		20,900		1,106,655
TJX Cos., Inc.		139,100		5,971,563
Urban Outfitters, Inc.*(a)		19,000		524,210

				46,053,815

Textiles, Apparel & Luxury Goods — 0.6%
Coach, Inc.		53,500		3,128,680
Fossil, Inc.*		8,300		635,282
NIKE, Inc. (Class B Stock)		65,100		5,714,478
Ralph Lauren Corp.		12,400		1,736,744
VF Corp.		15,536		2,073,279

				13,288,463

Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.		101,300		645,281
People’s United Financial, Inc.		64,900		753,489

				1,398,770

Tobacco — 2.0%
Altria Group, Inc.		369,200		12,755,860
Lorillard, Inc.		23,931		3,157,695
Philip Morris International, Inc.		308,000		26,876,080
Reynolds American, Inc.		59,300		2,660,791

				45,450,426

Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		54,500		2,196,895
W.W. Grainger, Inc.		11,000		2,103,640

				4,300,535

Wireless Telecommunication Services — 0.2%
Crown Castle International Corp.*		42,800		2,510,648
MetroPCS Communications, Inc.*		47,100		284,955
Sprint Nextel Corp.*(a)		579,622		1,889,568

				4,685,171

TOTAL LONG-TERM INVESTMENTS (cost $1,141,131,643)				2,220,589,814

SEE NOTES TO FINANCIAL STATEMENTS.

A103


SHORT-TERM INVESTMENTS — 11.8%	Shares		Value (Note 2)

Affiliated Money Market Mutual Fund — 11.7%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $263,988,671; includes $227,971,474 of cash collateral received for securities on loan)(Note 4)(b)(c)		263,988,671	$	263,988,671

	Principal Amount (000)
U.S. Government Obligation — 0.1%
U.S. Treasury Bill, 0.07%, 09/20/2012(d)(e) (cost $2,999,460)	$	3,000		2,999,517

TOTAL SHORT-TERM INVESTMENTS (cost $266,988,131)				266,988,188

TOTAL INVESTMENTS — 109.9% (cost $1,408,119,774)				2,487,578,002
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (9.9%)				(223,952,465	)

NET ASSETS — 100.0%			$	2,263,625,537

The following abbreviations are used in portfolio descriptions:


PLC		Public Limited Company
REIT		Real Estate Investment Trust

*	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 $226,958,069; cash collateral of $227,971,474 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

(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 future contracts outstanding at June 30, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2012		Unrealized Appreciation
Long Position:
128	S&P 500 Index		Sept. 2012	$	42,035,162	$	43,404,800	$	1,369,638

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 in active markets for identical securities.

Level 2—

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 June 30, 2012 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,220,589,814	$	—	$	—
Affiliated Money Market Mutual Fund		263,988,671		—		—
U.S. Government Obligation		—		2,999,517		—
Other Financial Instruments*
Futures		1,369,638		—		—

Total	$	2,485,948,123	$	2,999,517	$	—

*	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.

A104

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2012 was as follows:


Affiliated Money Market Mutual Fund (including 10.1% of collateral received for securities on loan)	11.7	%
Oil, Gas & Consumable Fuels	9.0
Pharmaceuticals	6.1
Computers & Peripherals	5.5
IT Services	3.8
Software	3.7
Insurance	3.4
Media	3.4
Diversified Telecommunication Services	3.0
Commercial Banks	2.9
Diversified Financial Services	2.8
Beverages	2.7
Industrial Conglomerates	2.7
Aerospace & Defense	2.5
Food & Staples Retailing	2.4
Chemicals	2.3
Semiconductors & Semiconductor Equipment	2.3
Electric Utilities	2.1
Household Products	2.1
Healthcare Providers & Services	2.1
Real Estate Investment Trusts	2.1
Specialty Retail	2.0
Tobacco	2.0
Hotels, Restaurants & Leisure	1.9
Capital Markets	1.8
Communications Equipment	1.8
Healthcare Equipment & Supplies	1.8
Internet Software & Services	1.8
Machinery	1.8
Food Products	1.7
Energy Equipment & Services	1.6
Biotechnology	1.4
Multi-Utilities	1.3
Air Freight & Logistics	1.0


Internet & Catalog Retail	1.0	%
Consumer Finance	0.9
Road & Rail	0.9
Multiline Retail	0.8
Metals & Mining	0.7
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	0.2
Household Durables	0.2
Personal Products	0.2
Trading Companies & Distributors	0.2
Wireless Telecommunication Services	0.2
Airline	0.1
Construction & Engineering	0.1
Containers & Packaging	0.1
Distributors	0.1
Diversified Consumer Services	0.1
Gas Utilities	0.1
Healthcare Technology	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Paper & Forest Products	0.1
Professional Services	0.1
Thrifts & Mortgage Finance	0.1
U.S. Government Obligation	0.1

	109.9
Liabilities in excess of other assets	(9.9	)

	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 June 30, 2012 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

1,369,638

—

*	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 effect of derivative instruments on the Statement of Operations for the period ended June 30, 2012 is as follows:


Amount of Realized Gain on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	3,536,064


Change in Unrealized Appreciation on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	421,936

For the six months ended June 30, 2012, the average value at trade date for futures long position was $43,224,575.

SEE NOTES TO FINANCIAL STATEMENTS.

A105


		*STOCK INDEX PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2012


ASSETS
Investments, at value including securities on loan of $226,958,069:
Unaffiliated investments (cost $1,144,131,103)	$	2,223,589,331
Affiliated investments (cost $263,988,671)		263,988,671
Dividends and interest receivable		2,944,815
Receivable for investments sold		2,805,545
Due from broker—variation margin		1,094,721
Receivable for Series shares sold		3,181
Prepaid expenses		2,032

Total Assets		2,494,428,296

LIABILITIES
Collateral for securities on loan		227,971,474
Payable for investments purchased		1,399,730
Payable for Series shares repurchased		654,555
Management fee payable		540,977
Accrued expenses and other liabilities		161,471
Payable to custodian		73,626
Affiliated transfer agent fee payable		926

Total Liabilities		230,802,759

NET ASSETS	$	2,263,625,537

Net assets were comprised of:
Paid-in capital	$	1,181,913,514
Retained earnings		1,081,712,023

Net assets, June 30, 2012	$	2,263,625,537

Net asset value and redemption price per share, $2,263,625,537 / 67,166,865 outstanding shares of beneficial interest	$	33.70

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2012


INVESTMENT INCOME
Unaffiliated dividend income	$	24,236,579
Affiliated income from securities loaned, net		171,667
Affiliated dividend income		39,800
Interest		1,021

		24,449,067

EXPENSES
Management fee		3,969,127
Custodian’s fees and expenses		110,000
Shareholders’ reports		75,000
Trustees’ fees		16,000
Insurance expenses		12,000
Audit fee		10,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Legal fees and expenses		6,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		10,541

Total expenses		4,218,668
Less: Management fee waiver (Note 3)		(567,018	)

Net expenses		3,651,650

NET INVESTMENT INCOME		20,797,417

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		26,513,359
Futures		3,536,064

		30,049,423

Net change in unrealized appreciation (depreciation) on:
Investments		150,487,198
Futures		421,936

		150,909,134

NET GAIN ON INVESTMENTS		180,958,557

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	201,755,974

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)


	Six Months Ended June 30, 2012			Year Ended December 31, 2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	20,797,417		$	38,928,475
Net realized gain on investments		30,049,423			31,044,681
Net change in unrealized appreciation (depreciation) on investments		150,909,134			(25,573,488	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		201,755,974			44,399,668

DISTRIBUTIONS		(45,812,464	)		(36,002,280	)

SERIES SHARE TRANSACTIONS:
Series shares sold [498,903 and 1,251,307 shares, respectively]		16,870,599			39,571,327
Series shares issued in reinvestment of distributions [1,398,000 and 1,145,475 shares, respectively]		45,812,464			36,002,280
Series shares repurchased [3,451,842 and 6,278,327 shares, respectively]		(117,412,383	)		(199,110,942	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(54,729,320	)		(123,537,335	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		101,214,190			(115,139,947	)
NET ASSETS:
Beginning of period		2,162,411,347			2,277,551,294

End of period	$	2,263,625,537		$	2,162,411,347

SEE NOTES TO FINANCIAL STATEMENTS.

A106

NOTES TO THE FINANCIAL STATEMENTS OF THE PRUDENTIAL SERIES FUND

(Unaudited)

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. 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 Valuations: Each Portfolio holds portfolio securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees has delegated fair valuation responsibilities to the Prudential Investments LLC (“PI” or “Manager”) through the adoption of Valuation Procedures for valuation of the Portfolio’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Portfolio to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Board at its next regularly scheduled quarterly meeting.

Various inputs are used in determining the value of the Portfolios’ investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following each Portfolio’s Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 of the fair value hierarchy.

For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Portfolio’s normal pricing time. These securities are valued using pricing vendor services that provide adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such adjustment factors are classified as Level 2 of the fair value hierarchy.

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies, U.S. Treasury obligations, and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing model with input from deal term, tranche level attributes, yield curve, prepayment speeds, and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

The Portfolios value short-term debt securities of sufficient credit quality which mature in 60 days or less at amortized cost, which approximates fair value. The amortized cost method involves valuing 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. These securities are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swaps agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of the fair value hierarchy.

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 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.

Restricted and Illiquid Securities: Each Portfolio may hold up to 15% of their 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.

Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case

may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Series Fund may be delayed or limited.

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. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with the counterparty (“OTC Traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange Traded”). 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 June 30, 2012, 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 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 or losses from investment and currency transactions on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis which may require the use of certain estimates by management. 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 charged directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or 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 June 30, 2012, 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.

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 six months ended June 30, 2012, PIM was compensated as follows for these services by the Series Fund Portfolios:


Portfolio	PIM
Conservative Balanced Portfolio	$	47,196
Diversified Bond Portfolio		34,030
Equity Portfolio		217,208
Flexible Managed Portfolio		33,215
Global Portfolio		17,320
Government Income Portfolio		3,980
Stock Index Portfolio		51,277

Certain Portfolios invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities and Exchange Commission 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 six months ended June 30, 2012 were as follows:


Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	1,507,016,155	$	1,629,326,531
Diversified Bond Portfolio		510,187,964		753,603,723
Equity Portfolio		762,012,527		906,034,742
Flexible Managed Portfolio		2,683,598,285		2,811,891,108
Global Portfolio		150,362,586		170,353,647
Government Income Portfolio		2,212,213,661		2,243,817,611
Stock Index Portfolio		16,053,121		91,730,899

Options written transactions, during the six months ended June 30, 2012, were as follows:


Conservative Balanced Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		259			37,175
Options terminated in closing purchase transactions		(259	)		(37,175	)
Options expired		—			—

Balance as of June 30, 2012		—		$	—


Diversified Bond Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		577			97,856
Options terminated in closing purchase transactions		(577	)		(97,856	)
Options expired		—			—

Balance as of June 30, 2012		—		$	—



Flexible Managed Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		339			48,461
Options terminated in closing purchase transactions		(339	)		(48,461	)
Options expired		—			—

Balance as of June 30, 2012		—		$	—


Government Income Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		245			35,176
Options terminated in closing purchase transactions		(245	)		(35,176	)
Options expired		—			—

Balance as of June 30, 2012		—		$	—

Note 6:

Tax Information

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.

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 June 30, 2012, 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
Six months ended June 30, 2012:
Series shares sold		397,380		$	10,120,740
Series shares issued in reinvestment of distributions		764,646			18,817,932
Series shares repurchased		(5,095,065	)		(132,337,576	)

Net increase (decrease) in shares outstanding		(3,933,039	)	$	(103,398,904	)

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	)

Equity Portfolio (cont’d):


Class II	Shares			Amount
Six months ended June 30, 2012:
Series shares sold		2,739		$	72,600
Series shares issued in reinvestment of distributions		170			4,233
Series shares repurchased		(14,560	)		(358,935	)

Net increase (decrease) in shares outstanding		(11,651	)	$	(282,102	)

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

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. 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 six months ended June 30, 2012. 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 June 30, 2012
Equity Portfolio	$	340,000		1		1.49	%	$	—

Note 9:

Ownership and Affiliates

As of June 30, 2012, 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 Pronouncement

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11 regarding “Disclosures about Offsetting Assets and Liabilities”. The amendments, which will be effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods, require an entity to disclose information about offsetting and related arrangements for assets and liabilities, financial instruments and derivatives that are either currently offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements. At this time, management is evaluating the implications of ASU No. 2011-11 and its impact on the financial statements has not been determined.

B10

Financial Highlights

(Unaudited)


	Conservative Balanced Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31,
	Six Months Ended June 30, 2012			2011			2010			2009			2008			2007(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	16.32		$	15.96		$	14.65		$	12.69		$	16.69		$	16.21

Income (Loss) From Investment Operations:
Net investment income		.54			.36			.37			.39			.50			.50
Net realized and unrealized gain (loss) on investments		.54			.37			1.31			2.08			(3.98	)		.49

Total from investment operations		1.08			.73			1.68			2.47			(3.48	)		.99

Less Distributions		(.36	)		(.37	)		(.37	)		(.51	)		(.52	)		(.51	)

Net Asset Value, end of period	$	17.04		$	16.32		$	15.96		$	14.65		$	12.69		$	16.69

Total Return(b)		6.66	%		4.60	%		11.74	%		20.01	%		(21.41	)%		6.12	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,265.2		$	2,191.6		$	2,234.7		$	2,138.7		$	1,957.5		$	2,721.9
Ratios to average net assets(c):
Expenses		.59	%(d)		.59	%		.59	%		.59	%		.59	%		.59	%
Net investment income		2.12	%(d)		2.12	%		2.32	%		2.68	%		3.12	%		2.95	%
Portfolio turnover rate(f)		99	%(e)		215	%		185	%		250	%		336	%		178	%

	Diversified Bond Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31,
	Six Months Ended June 30, 2012			2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.74		$	11.67		$	11.16		$	9.89		$	10.90		$	10.85

Income (Loss) From Investment Operations:
Net investment income		.29			.56			.52			.50			.54			.58
Net realized and unrealized gain (loss) on investments		.28			.30			.63			1.46			(.90	)		.02

Total from investment operations		.57			.86			1.15			1.96			(.36	)		.60

Less Distributions		(.79	)		(.79	)		(.64	)		(.69	)		(.65	)		(.55	)

Net Asset Value, end of period	$	11.52		$	11.74		$	11.67		$	11.16		$	9.89		$	10.90

Total Return(b)		4.95	%		7.51	%		10.57	%		20.51	%		(3.46	)%		5.71	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,386.1		$	1,556.9		$	1,522.9		$	1,363.5		$	1,134.8		$	1,218.3
Ratios to average net assets(c):
Expenses		.44	%(d)		.42	%		.46	%		.44	%		.44	%		.44	%
Net investment income		4.48	%(d)		4.76	%		4.46	%		4.79	%		5.07	%		5.39	%
Portfolio turnover rate(f)		72	%(e)		167	%		191	%		401	%		723	%		476	%

(a)	Calculated based on average shares outstanding during the period.

(b)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period 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 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. Total returns for periods less than one full year are not annualized.

(c)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

(d)	Annualized.

(e)	Not annualized.

(f)	The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Equity Portfolio
	Class I
	Six Months Ended June 30, 2012(c)			Year Ended December 31,
	Six Months Ended June 30, 2012(c)			2011			2010			2009			2008(c)			2007
Per Share Operating Performance:
Net Asset Value, beginning of period	$	23.73		$	24.75		$	22.30		$	16.40		$	29.67		$	27.45

Income (Loss) From Investment Operations:
Net investment income		.10			.13			.15			.16			.29			.35
Net realized and unrealized gain (loss) on investments		1.28			(.98	)		2.48			6.04			(10.52	)		2.21

Total from investment operations		1.38			(.85	)		2.63			6.20			(10.23	)		2.56

Less Distributions:		(.15	)		(.17	)		(.18	)		(.30	)		(3.04	)		(.34	)

Net Asset Value, end of period	$	24.96		$	23.73		$	24.75		$	22.30		$	16.40		$	29.67

Total Return(a)		5.84	%		(3.47	)%		11.90	%		38.17	%		(38.16	)%		9.32	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,053.7		$	2,997.5		$	3,324.3		$	3,195.1		$	2,521.0		$	4,423.9
Ratios to average net assets(b):
Expenses		.48	%(e)		.48	%		.48	%		.48	%		.48	%		.47	%
Net investment income		.81	%(e)		.58	%		.71	%		.90	%		1.21	%		1.16	%
Portfolio turnover rate		24	%(d)		49	%		68	%		98	%		67	%		57	%

	Equity Portfolio
	Class II
	Six Months Ended June 30, 2012(c)			Year Ended December 31,
	Six Months Ended June 30, 2012(c)			2011			2010			2009			2008(c)			2007
Per Share Operating Performance:
Net Asset Value, beginning of period	$	23.99		$	25.00		$	22.46		$	16.47		$	29.81		$	27.52

Income (Loss) From Investment Operations:
Net investment income		.05			.06			.04			.09			.19			.28
Net realized and unrealized gain (loss) on investments		1.29			(1.03	)		2.54			6.07			(10.61	)		2.20

Total from investment operations		1.34			(.97	)		2.58			6.16			(10.42	)		2.48

Less Distributions:		(.06	)		(.04	)		(.04	)		(.17	)		(2.92	)		(.19	)

Net Asset Value, end of period	$	25.27		$	23.99		$	25.00		$	22.46		$	16.47		$	29.81

Total Return(a)		5.58	%		(3.87	)%		11.50	%		37.58	%		(38.47	)%		8.91	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1.8		$	2.0		$	1.9		$	.4		$	.4		$	1.3
Ratios to average net assets(b):
Expenses		.88	%(e)		.88	%		.88	%		.88	%		.88	%		.87	%
Net investment income		.41	%(e)		.19	%		.34	%		.52	%		.78	%		.74	%
Portfolio turnover rate		24	%(d)		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 period 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. Total returns for periods of less than one year are not annualized.

(b)	Does not include expenses of the underlying fund in which the Portfolio invests.

(c)	Calculation based on average shares outstanding during the period.

(d)	Not annualized.

(e)	Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Flexible Managed Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31,
	Six Months Ended June 30, 2012			2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of period	$	15.99		$	15.63		$	14.28		$	12.34		$	18.30		$	18.36

Income (Loss) From Investment Operations:
Net investment income		.18			.33			.31			.34			.45			.50
Net realized and unrealized gain (loss) on investments		1.04			.34			1.37			2.05			(4.62	)		.65

Total from investment operations		1.22			.67			1.68			2.39			(4.17	)		1.15

Less Distributions		(.33	)		(.31	)		(.33	)		(.45	)		(1.79	)		(1.21	)

Net Asset Value, end of period	$	16.88		$	15.99		$	15.63		$	14.28		$	12.34		$	18.30

Total Return(a)		7.69	%		4.34	%		12.03	%		19.95	%		(24.82	)%		6.30	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,183.9		$	3,036.8		$	3,077.3		$	2,906.0		$	2,621.6		$	3,716.3
Ratios to average net assets(b):
Expenses		.63	%(c)		.63	%		.64	%		.63	%		.64	%		.63	%
Net investment income		2.01	%(c)		2.01	%		2.06	%		2.50	%		2.85	%		2.53	%
Portfolio turnover rate(e)		112	%(d)		246	%		205	%		248	%		321	%		212	%

	Global Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31,
	Six Months Ended June 30, 2012			2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of period	$	16.94		$	18.49		$	16.68		$	13.07		$	24.62		$	22.53

Income (Loss) From Investment Operations:
Net investment income		.22			.29			.28			.28			.40			.36
Net realized and unrealized gain (loss) on investments		.91			(1.56	)		1.79			3.75			(10.38	)		2.00

Total from investment operations		1.13			(1.27	)		2.07			4.03			(9.98	)		2.36

Less Distributions		(.30	)		(.28	)		(.26	)		(.42	)		(1.57	)		(.27	)

Net Asset Value, end of period	$	17.77		$	16.94		$	18.49		$	16.68		$	13.07		$	24.62

Total Return(a)		6.71	%		(6.97	)%		12.74	%		31.39	%		(42.92	)%		10.48	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	578.1		$	564.2		$	648.5		$	619.5		$	512.7		$	985.0
Ratios to average net assets(b):
Expenses		.85	%(c)		.84	%		.87	%		.85	%		.84	%		.81	%
Net investment income		2.26	%(c)		1.54	%		1.60	%		1.77	%		2.01	%		1.43	%
Portfolio turnover rate		26	%(d)		69	%		69	%		50	%		65	%		48	%

(a)

(b)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c)	Annualized.

(d)	Not annualized.

(e)	The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

(Unaudited)


	Government Income Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31,
	Six Months Ended June 30, 2012			2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of period	$	12.37		$	12.03		$	11.86		$	11.40		$	11.38		$	11.26

Income (Loss) From Investment Operations:
Net investment income		.13			.30			.35			.37			.45			.53
Net realized and unrealized gain on investments		.12			.60			.47			.49			.03			.10

Total from investment operations		.25			.90			.82			.86			.48			.63

Less Distributions		(.53	)		(.56	)		(.65	)		(.40	)		(.46	)		(.51	)

Net Asset Value, end of period	$	12.09		$	12.37		$	12.03		$	11.86		$	11.40		$	11.38

Total Return(a)		2.07	%		7.63	%		6.99	%		7.71	%		4.30	%		5.70	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	389.3		$	416.7		$	399.2		$	375.4		$	370.5		$	340.3
Ratios to average net assets(b):
Expenses		.48	%(c)		.46	%		.50	%		.47	%		.52	%(e)		.52	%
Net investment income		2.04	%(c)		2.48	%		2.87	%		3.11	%		3.98	%(e)		4.62	%
Portfolio turnover rate(f)		561	%(d)		1554	%		1122	%		1179	%		2707	%		2377	%

	Stock Index Portfolio
	Six Months Ended June 30, 2012			Year Ended December 31,
	Six Months Ended June 30, 2012			2011			2010			2009			2008			2007
Per Share Operating Performance:
Net Asset Value, beginning of period	$	31.47		$	31.37		$	27.89		$	22.76		$	36.84		$	35.64

Income (Loss) From Investment Operations:
Net investment income		.32			.54			.48			.49			.64			.68
Net realized and unrealized gain (loss) on investments		2.60			.07			3.51			5.32			(14.02	)		1.14

Total from investment operations		2.92			.61			3.99			5.81			(13.38	)		1.82

Less Distributions		(.69	)		(.51	)		(.51	)		(.68	)		(.70	)		(.62	)

Net Asset Value, end of period	$	33.70		$	31.47		$	31.37		$	27.89		$	22.76		$	36.84

Total Return(a)		9.35	%		1.95	%		14.59	%		26.07	%		(36.94	)%		5.10	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,263.6		$	2,162.4		$	2,277.6		$	2,098.1		$	1,815.8		$	3,122.4
Ratios to average net assets(b):
Expenses		.32	%(c)		.33	%		.36	%		.37	%		.37	%		.37	%
Net investment income		1.83	%(c)		1.74	%		1.70	%		2.06	%		2.04	%		1.73	%
Portfolio turnover rate		1	%(d)		2	%		4	%		5	%		4	%		3	%

(a)

(b)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c)	Annualized.

(d)	Not annualized.

(e)	Includes interest expense of $0.03%.

(f)	The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

SEE NOTES TO FINANCIAL STATEMENTS.

Approval of Advisory Agreements

The VCA-10 Committee

The Committee of the Prudential Variable Contract Account-10 (“VCA-10”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Board has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-10’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with Prudential Investments LLC (“PI”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 5-7, 2012 and approved the renewal of the agreements through July 31, 2013, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadvisers, the performance of VCA-10, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 5-7, 2012.

The Committee determined that the overall arrangements between VCA-10 and PI, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PI and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, quality and extent of services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-10 by PI and Jennison. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-10, as well as the provision of recordkeeping, compliance, and other services to VCA-10. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence to VCA-10’s investment restrictions and compliance with applicable VCA-10 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-10 and Jennison, and also reviewed the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for the day-to-day management of VCA-10’s portfolio. The Committee was provided with information pertaining to PI’s and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PI and Jennison. The Committee noted that Jennison is affiliated with PI.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-10 by Jennison, and that there was a reasonable basis on which to conclude that VCA-10 benefits from the services provided by PI and Jennison under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.

Economies of Scale

The Committee noted that the advisory fee schedule for VCA-10 does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Committee received and discussed information concerning whether PI realizes economies of scale as VCA-10’s assets grow beyond current levels. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services. In light of VCA-10’s current size and expense structure, the Committee concluded that the absence of breakpoints in VCA-10’s fee schedule is acceptable at this time.

Other Benefits to PI and Jennison

The Committee considered potential ancillary benefits that might be received by PI and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as VCA-10’s securities lending agent, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-10 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2011. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2011. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PI to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-10 represents the actual expense ratio incurred by VCA-10 investors.

The mutual funds included in the Peer Universe (the Lipper VA Large-Cap Core Funds Performance Universe)¹ and the Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. To the extent that PI deemed appropriate, and for reasons addressed in detail with the Board, PI may have provided supplemental data compiled by Lipper for the Committee’s consideration. The comparisons placed VCA-10 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-10’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.


Performance	1 Year	3 Years	5 Years	10 Years
Performance	4^th Quartile	1^st Quartile	3^rd Quartile	1^stQuartile
Actual Management Fees: 1^st Quartile
Net Total Expenses: 4^th Quartile

•

The Committee noted that VCA-10 outperformed its benchmark index over the three- and ten-year periods, though it underperformed over the one- and five-year periods.

•

The Committee concluded that, in light of VCA-10’s competitive performance over longer time periods, it would be in the best interests of VCA-10 and its investors to renew the agreements.

•

The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

* * *

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-10 and its investors.

Although Lipper classifies VCA-10 in its VA Multi-Cap Core Funds Performance Universe, the VA Large-Cap Core Funds Performance Universe was utilized because PI believes that the funds included in this Universe are more consistent with VCA-10’s investment approach, and therefore, provide a more appropriate basis for VCA-10 performance comparisons.

Approval of Advisory Agreements

The VCA-11 Committee

The Committee of the Prudential Variable Contract Account-11 (“VCA-11”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-11, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-11 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Board has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-11’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-11’s management agreement with Prudential Investments LLC (“PI”) and VCA-11’s subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 5-7, 2012 and approved the renewal of the agreements through July 31, 2013, after concluding that the renewal of the agreements was in the best interests of VCA-11 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and PIM. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-11, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-11 and its investors. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-11. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 5-7, 2012.

The Committee determined that the overall arrangements between VCA-11 and PI, which serves as VCA-11’s investment manager pursuant to a management agreement, and between PI and PIM, which serves as VCA-11’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-11 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, quality and extent of services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-11 by PI and PIM. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-11, as well as the provision of recordkeeping, compliance, and other services to VCA-11. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by PIM, as well as adherence to VCA-11’s investment restrictions and compliance with applicable VCA-11 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-11 and PIM, and also reviewed the qualifications, backgrounds and responsibilities of PIM portfolio managers who are responsible for the day-to-day management of VCA-11’s portfolio. The Committee was provided with information pertaining to PI’s and PIM’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and PIM. The Committee also noted that it received favorable compliance reports from VCA-11’s Chief Compliance Officer (“CCO”) as to both PI and PIM. The Committee noted that PIM is affiliated with PI.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-11 by PIM, and that there was a reasonable basis on which to conclude that VCA-11 benefits from the services provided by PI and PIM under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-11’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.

Economies of Scale

The Committee noted that the advisory fee schedule for VCA-11 does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Committee received and discussed information concerning whether PI realizes economies of scale as VCA-11’s assets grow beyond current levels. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services. In light of VCA-11’s current size and expense structure, the Committee concluded that the absence of breakpoints in VCA-11’s fee schedule is acceptable at this time.

Other Benefits to PI and PIM

The Committee considered potential ancillary benefits that might be received by PI and PIM and their affiliates as a result of their relationship with VCA 11. The Committee concluded that potential benefits to be derived by PI included benefits to its reputation or other intangible benefits resulting from PI’s association with VCA 11. The Committee concluded that the potential benefits to be derived by PIM included those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Board concluded that the benefits derived by PI and PIM were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-11 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-11 for the one-, three-, five- and ten-year periods ended December 31, 2011. The Committee also considered VCA-11’s actual management fee, as well as VCA-11’s net total expense ratio, for the fiscal year ended December 31, 2011. The Committee considered the management fee for VCA-11 as compared to the management fee charged by PI to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-11 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-11 represents the actual expense ratio incurred by VCA-11 investors.

The mutual funds included in the Peer Universe (the Lipper VA Money Market Funds Performance Universe) and the Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. The comparisons placed VCA-11 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-11’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.


Performance	1 Year	3 Years	5 Years	10 Years
Performance	3^rd Quartile	2^nd Quartile	2^nd Quartile	2^ndQuartile
Actual Management Fees: 2^nd Quartile
Net Total Expenses: 4^th Quartile

•

The Board concluded that, in light of VCA-11’s competitive performance over longer time periods, it would be in the best interests of VCA-11 and its investors to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

* * *

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-11 and its investors.

Approval of Advisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the “Board”) of The Prudential Series Fund (the “Trust”) consists of ten individuals, seven of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”). The Board is responsible for the oversight of the Trust and each of its Portfolios, its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (“PI”) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2012 (the “Meeting”) and approved the renewal of the agreements through July 31, 2013, after concluding that renewal of the agreements was in the best interests of the Trust, each Portfolio and its shareholders.

In advance of the meetings, the Trustees requested and received materials relating to the agreements, and the Trustees had the opportunity to ask questions and request further information in connection with their consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant Peer Universe and Peer Group, as is further discussed below.

In approving the agreements, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided by PI and each subadviser, the performance of each Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.

The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interests of the Trust, each Portfolio and its shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (“SIRG”), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’

portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to both PI and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (“CCO”) as to PI and each subadviser. The Board noted that Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”) and Quantitative Management Associates LLC (“QMA”), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PI.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that the Portfolios benefit from the services provided by PI and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board did not separately consider the profitability of PIM, Jennison or QMA, which are affiliates of PI, as their profitability was included in the profitability report for PI. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board noted that, with the exception of the Stock Index Portfolio, the management fee schedule for the Portfolios generally does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on a particular Portfolio or how great they may be. In light of each Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolios other than the Stock Index Portfolio do not have breakpoints is acceptable at this time.

With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. The Board also noted that the management fee was subject to a voluntary waiver by PI of 0.05% of the management fee at each breakpoint level, and that PI had agreed to retain this waiver.

Other Benefits to PI and the Subadvisers

The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as the Portfolios’ securities lending agent, compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2011.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2011. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided supplemental data compiled by Lipper for the Board’s consideration.

The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.


Conservative Balanced Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	1^st Quartile	2^nd Quartile	1^st Quartile	2^ndQuartile
Actual Management Fees: 2^nd Quartile
Net Total Expenses: 2^nd Quartile

•

The Board noted that the Portfolio outperformed its benchmark index over all periods.

•

The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.


Diversified Bond Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	1^st Quartile	1^st Quartile	1^st Quartile	1^stQuartile
Actual Management Fees: 1^st Quartile
Net Total Expenses: 1^st Quartile

•

The Board noted that the Portfolio outperformed its benchmark index over all periods.

•

The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.


Equity Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	3^rd Quartile	2^nd Quartile	1^st Quartile	1^stQuartile
Actual Management Fees: 1^st Quartile
Net Total Expenses: 1^st Quartile

•

The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, though it underperformed its benchmark index over the one-year period.

•

The Board concluded that in light of the Portfolio’s competitive long-term performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.


Flexible Managed Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	1^st Quartile	3^rd Quartile	1^st Quartile	1^stQuartile
Actual Management Fees: 3^rd Quartile
Net Total Expenses: 2^nd Quartile

•

The Board noted that the Portfolio outperformed its benchmark index over all periods.

•

The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.


Global Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	2^nd Quartile	3^rd Quartile	3^rd Quartile	3^rdQuartile
Actual Management Fees: 2^nd Quartile
Net Total Expenses: 2^nd Quartile

•

The Board noted that the Portfolio outperformed its benchmark index over the three-year period, although it underperformed the index over the one-, five- and ten-year periods.

•

The Board noted, however, the continued improved performance of the Portfolio against its Peer Group, including in the last quarter of 2011 and the first quarter of 2012, when the Portfolio ranked in the second quartile.

•

The Board further noted information furnished by PI indicating that the Portfolio’s recent underperformance was attributable to the Portfolio’s domestic equity subadvisers.

•

The Board further noted PI’s recommendation that each of the Portfolio’s subadvisers be retained based on the complementary investment philosophies utilized by each subadviser.

•

The Board concluded that it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.


Government Income Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	3^rd Quartile	2^nd Quartile	2^nd Quartile	2^ndQuartile
Actual Management Fees: 1^st Quartile
Net Total Expenses: 1^st Quartile

•

The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, although it underperformed over the one-year period.

•

The Board concluded that, in light of the Portfolio’s competitive performance over the longer-term, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.


Stock Index Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
Performance	1^st Quartile	3^rd Quartile	1^st Quartile	1^stQuartile
Actual Management Fees: 4^th Quartile
Net Total Expenses: 3^rd Quartile

•

The Board noted that the Portfolio’s performance over all periods closely tracked the benchmark index, which was consistent with the Portfolio’s operation as an index fund.

•

The Board accepted PI’s recommendation to retain the existing voluntary waiver of 0.05% of the management fee at each breakpoint level.

•

The Board concluded that, in light of the Portfolio’s consistent performance to that of the benchmark index, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

•

The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its shareholders.

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, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0228795-00001-00 MD.RS.011


Item 2 –		Code of Ethics – Not required, as this is not an annual filing.

Item 3 –		Audit Committee Financial Expert – Not required, as this is not an annual filing.

Item 4 –		Principal Accountant Fees and Services – Not required, as this is not an annual filing.

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 – Not required, as this is not an annual filing.

	(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:		August 23, 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:		August 23, 2012

By:		/s/ Grace C. Torres
		Grace C. Torres
		Treasurer and Principal Financial Officer

Date:		August 23, 2012

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS

June 30, 2012 (Unaudited)