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

Prudential Variable Contract Account 11 N-CSRCertified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number:		811-03422

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

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

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

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

Date of fiscal year end:		12/31/2012

Date of reporting period:		12/31/2012

Item 1 – Reports to Stockholders

LOGO

The MEDLEY Program

ANNUAL REPORT Ÿ DECEMBER 31, 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.

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 annual report.

The Prudential MEDLEY Program

Table of Contents

Annual Report

December 31, 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

The Prudential MEDLEY Program

Letter to Participants

December 31, 2012

DEAR PARTICIPANT:

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

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

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

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

Sincerely,



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

January 31, 2013

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

Account-24 (VCA-24)

Presentation of Portfolio Holdings — unaudited

December 31, 2012


Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.0%
Exxon Mobil Corp.	1.6%
U.S. Treasury Notes, 0.750%, 12/31/17	1.3%
Federal National Mortgage Association, 3.500%, TBA 30 YR	1.3%
Government National Mortgage Association, 4.000%, TBA 30 YR	0.9%


Diversified Bond
Allocation	(% of Net Assets	)
Corporate Bonds	44.2%
Commercial Mortgage-Backed Securities	12.3%
Non-Residential Mortgage-Backed Securities	5.5%
Residential Mortgage-Backed Securities	5.3%
Sovereigns	4.8%


Equity
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.4%
MasterCard, Inc. (Class A Stock)	2.5%
Morgan Stanley	2.3%
Google, Inc. (Class A Stock)	2.1%
Amazon.com, Inc.	1.7%


Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.3%
Exxon Mobil Corp.	2.0%
Chevron Corp.	1.3%
Pfizer, Inc.	1.2%
JPMorgan Chase & Co.	1.1%


Global
Top Five Countries	(% of Net Assets	)
United States	48.6%
United Kingdom	11.3%
Japan	6.7%
France	5.0%
Germany	4.3%


Government Income
Allocation	(% of Net Assets	)
Mortgage-Backed Securities	39.5%
U.S. Treasury Securities	32.7%
Commercial Mortgage-Backed Securities	17.2%
Corporate Bonds	2.4%
U.S. Government Agency Obligations	2.2%


Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.8%
Exxon Mobil Corp.	3.0%
General Electric Co.	1.7%
Chevron Corp.	1.6%
International Business Machines Corp.	1.6%


VCA-10
Five Largest Holdings	(% of Net Assets	)
Bunge, Ltd.	2.5%
JPMorgan Chase & Co.	2.4%
Wells Fargo & Co.	2.4%
Comcast Corp. (Class A Stock)	2.3%
Morgan Stanley	2.2%

For a complete listing of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.


The Prudential MEDLEY Program — VCA-10 Capital Growth Account		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year			Since Inception
Capital Growth Account (VCA-10)¹—Standard Contract		12.40	%		-0.76	%		7.53	%		—
Capital Growth Account (VCA-10)¹—0.50% Contract		12.96			-0.26			8.06			—
Capital Growth Account (VCA-10)¹—0.45% Contract		13.02			N/A			N/A			4.44	%
S&P 500 Index		15.99			1.66			7.10			—

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

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

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2012, the value of the standard contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) gained 12.40%, the value of a contract with annual expenses of 0.50% gained 12.96%, and the value of a contract with annual expenses of 0.45% gained 13.02%.

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

Despite a largely flat fourth quarter, U.S. equity markets, as measured by the broad market indexes, realized substantial gains for the year. The S&P 500 (the index) rose 15.99%, with all sectors posting double digit returns except energy and utilities, which had single-digit returns. The financials and consumer discretionary sectors had the strongest performances. The Account underperformed the Index.

Stock selection in most sectors was detrimental, and especially so in materials, telecommunication services, energy, and healthcare.

NII Holdings was by far the largest individual detractor, despite some recovery in December. The wireless telecommunications provider posted a larger than expected earnings loss due to price competition and weaker local currency rates. Its focus has been on introducing its 3G services on a new network in Chile, Mexico, and Brazil and enhancing its Push-to-Talk services. The company has introduced its 3G services in Mexico and is on schedule to launch 3G services in Brazil shortly; however, Jennison believes that it will still be several quarters until the turnaround begins to be reflected in improved financial results.

Other notable detractors included Marvell Technology Group in information technology and International Game Technology in consumer discretionary.

Profits for Marvell declined due to continued weakness in its mobile and wireless and storage segments. Management said that a slowing economy hurt demand for Marvell’s chips for storage systems and cell phones, particularly in China.

Jennison expected that International Game Technology’s renewed focus on game design and a need by casinos to replace games after years of underinvestment would generate sizeable free cash flow that the company would increasingly return to shareholders. Although not enough to erase earlier losses, shares came off midyear lows as equipment and replacement sales and margins in North America began to pick up and the company issued 2013 guidance that was above expectations. The firm also announced a large multiyear buyback, much of which was completed in the second half of 2012. The company continues to generate substantial sustainable free cash flow and the risk/reward and valuation remain attractive at current levels.

An overweight position in energy also detracted from relative returns.

The two largest individual contributors were Comcast and Liberty Global in the consumer discretionary sector, in which a combination of strong stock picking and an overweight position provided the largest boost to relative returns. Comcast continued its outstanding performance, reporting the best cable revenue growth since the first quarter of 2009 and solid execution across all segments. Jennison continues to like Comcast for its stable growth cable business, recent initiatives to fill in gaps in its wireless product lineups, and the likelihood of a large share buyback in the near future.

Liberty Global also saw its shares rise steadily. Despite Europe’s economic troubles, the company enjoyed growth due to an intelligent pricing strategy and presence in select European markets. Jennison believes Liberty Global is well-positioned given consumers’ desire for faster broadband and digital television.

Apple and Salesforce.com, both in information technology, were also among the most notable contributors.

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

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

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

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

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

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

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2012


LONG-TERM INVESTMENTS — 98.2%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 4.6%
Boeing Co. (The)		33,207	$	2,502,479
Precision Castparts Corp.		14,847		2,812,319
TransDigm Group, Inc.		12,316		1,679,410

				6,994,208

Airlines — 1.9%
Delta Airlines, Inc.(a)		241,771		2,869,822

Auto Components — 2.2%
Lear Corp.		69,296		3,245,825

Biotechnology — 1.4%
Alexion Pharmaceuticals, Inc.(a)		20,685		1,940,460
Gilead Sciences, Inc.(a)		2,168		159,240

				2,099,700

Capital Markets — 4.2%
Goldman Sachs Group, Inc. (The)		22,753		2,902,373
Morgan Stanley		177,862		3,400,721

				6,303,094

Chemicals — 3.1%
Monsanto Co.		16,699		1,580,560
Mosaic Co. (The)		55,857		3,163,182

				4,743,742

Commercial Banks — 3.9%
PNC Financial Services Group, Inc.		38,821		2,263,652
Wells Fargo & Co.		107,009		3,657,568

				5,921,220

Communications Equipment — 1.5%
JDS Uniphase Corp.(a)		165,584		2,242,007

Computers & Peripherals — 1.6%
Apple, Inc.		4,365		2,326,676

Diversified Financial Services — 4.2%
Citigroup, Inc.		65,846		2,604,868
JPMorgan Chase & Co.		84,302		3,706,759

				6,311,627

Diversified Telecommunication Services — 1.8%
Vivendi SA, ADR (France)		119,456		2,724,791

Electronic Equipment & Instruments — 2.0%
Flextronics International Ltd.(a)		493,510		3,064,697

Energy Equipment & Services — 4.2%
Ensco PLC		32,415		1,921,561
Halliburton Co.		61,011		2,116,472
National Oilwell Varco, Inc.		34,606		2,365,320

				6,403,353

Food Products — 7.1%
Bunge Ltd.		52,985		3,851,480
Mondelez International, Inc.		80,198		2,042,643
Smithfield Foods, Inc.(a)		115,748		2,496,684
Tyson Foods, Inc. (Class A Stock)		123,800		2,401,720

				10,792,527


COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 4.6%
Express Scripts Holding Co. (Class A Stock)(a)		39,053	$	2,108,862
HCA Holdings, Inc.		83,882		2,530,720
UnitedHealth Group, Inc.		41,705		2,262,079

				6,901,661

Hotels, Restaurants & Leisure — 3.9%
Carnival Corp.		43,928		1,615,233
Hyatt Hotels Corp.(a)		43,581		1,680,919
International Game Technology		182,094		2,580,272

				5,876,424

Independent Power Producers & Energy Traders — 2.1%
Calpine Corp.(a)		174,928		3,171,445

Insurance — 2.2%
Arch Capital Group Ltd.(a)		17,085		752,082
MetLife, Inc.		78,691		2,592,082

				3,344,164

Internet Software & Services — 2.7%
Google, Inc. (Class A Stock)(a)		2,911		2,064,976
LinkedIn Corp.(a)		18,112		2,079,620

				4,144,596

IT Services — 1.8%
MasterCard, Inc.		5,682		2,791,453

Media — 5.5%
Comcast Corp. (Class A Stock)		91,312		3,413,243
Liberty Global, Inc. (Series C)(a)		57,092		3,354,155
Viacom, Inc. (Class B Stock)		30,262		1,596,018

				8,363,416

Metals & Mining — 3.0%
Goldcorp, Inc.		65,880		2,417,796
Kinross Gold Corp.		213,352		2,073,781

				4,491,577

Oil, Gas & Consumable Fuels — 11.9%
Anadarko Petroleum Corp.		41,397		3,076,211
EOG Resources, Inc.		21,640		2,613,896
Marathon Oil Corp.		72,770		2,231,128
Newfield Exploration Co.(a)		20,131		539,108
Noble Energy, Inc.		31,554		3,210,304
Occidental Petroleum Corp.		31,674		2,426,545
Suncor Energy, Inc.		74,812		2,467,300
Trident Resources Corp., Private Placement (original cost $1,639,692; purchased 6/30/2010)(a)(b)(c)		4,067		1,503,733

				18,068,225

Pharmaceuticals — 5.6%
Allergan, Inc.		23,737		2,177,395
Novo-Nordisk A/S, ADR (Denmark)		12,224		1,995,079
Shire PLC, ADR (Ireland)		24,474		2,256,013
Teva Pharmaceutical Industries Ltd., ADR (Israel)		54,310		2,027,935

				8,456,422

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2012


COMMON STOCKS (continued)	Shares		Value (Note 2)
Road & Rail — 1.6%
Union Pacific Corp.		19,211	$	2,415,207

Semiconductors & Semiconductor Equipment — 0.7%
NVIDIA Corp.		88,266		1,084,789

Software — 3.5%
Microsoft Corp.		104,232		2,786,121
Salesforce.com, Inc.(a)		14,737		2,477,290

				5,263,411

Specialty Retail — 1.6%
Inditex SA, ADR (Spain)		69,048		1,969,939
TJX Cos., Inc. (The)		10,521		446,616

				2,416,555

Textiles, Apparel & Luxury Goods — 2.5%
Lululemon Athletica, Inc.(a)		23,956		1,826,166
Ralph Lauren Corp.		13,226		1,982,842

				3,809,008

Wireless Telecommunication Services — 1.3%
MetroPCS Communications, Inc.(a)		109,893		1,092,336
NII Holdings, Inc.(a)		127,226		907,121

				1,999,457

TOTAL COMMON STOCKS (cost $123,003,526)				148,641,099


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 LONG-TERM INVESTMENTS (cost $123,003,526)			$	148,641,099


	Shares
SHORT-TERM INVESTMENTS — 2.0%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $3,047,223)(d)		3,047,223		3,047,223

TOTAL INVESTMENTS — 100.2% (cost $126,050,749)			$	151,688,322

LESS LIABILITIES, OTHER ASSETS — (0.2)%
Interest and Dividends Receivable			$	39,058
Payable for Pending Capital Transactions				(286,331	)

LIABILITIES IN EXCESS OF OTHER ASSETS				(247,273	)

NET ASSETS — 100%			$	151,441,049

NET ASSETS, representing:
Equity of Participants			$	151,449,081
Equity of The Prudential Insurance Company of America				(8,032	)

			$	151,441,049

The following abbreviations are used in the portfolio descriptions:


ADR		American Depositary Receipt
CVR		Contingent Value Rights

(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 $1,503,733 is approximately 1.0% of net assets.

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 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—

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.

The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:


Investments in Securities	Level 1		Level 2		Level 3
Common Stocks	$	147,137,366	$	—	$	1,503,733
Rights		—		—		—
Affiliated Money Market Mutual Fund		3,047,223		—		—

Total	$	150,184,589	$	—	$	1,503,733

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)*		(500,331	)
Purchases		—
Sales		—
Transfers into Level 3		—
Transfers out of Level 3		—

Balance as of 12/31/2012	$	1,503,733

*	Of which $(500,331) 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 liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:


Oil, Gas & Consumable Fuels	11.9	%
Food Products	7.1
Pharmaceuticals	5.6
Media	5.5
Aerospace & Defense	4.6
Healthcare Providers & Services	4.6
Energy Equipment & Services	4.2
Diversified Financial Services	4.2
Capital Markets	4.2
Commercial Banks	3.9
Hotels, Restaurants & Leisure	3.9
Software	3.5
Chemicals	3.1
Metals & Mining	3.0
Internet Software & Services	2.7
Textiles, Apparel & Luxury Goods	2.5
Insurance	2.2
Auto Components	2.2


Independent Power Producers & Energy Traders	2.1	%
Electronic Equipment & Instruments	2.0
Affiliated Money Market Mutual Fund	2.0
Airlines	1.9
IT Services	1.8
Diversified Telecommunication Services	1.8
Computers and Peripherals	1.6
Road & Rail	1.6
Specialty Retail	1.6
Communications Equipment	1.5
Biotechnology	1.4
Wireless Telecommunication Services	1.3
Semiconductors & Semiconductor Equipment	0.7

	100.2
Liabilities in Excess of Other Assets	(0.2	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2012

The Account invested in derivative instruments (rights offerings) 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 December 31, 2012, the Account held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at December 31, 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 December 31, 2012 are as follows:

For the year ended December 31, 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*

Year Ended December 31, 2012



INVESTMENT INCOME
Unaffiliated Dividend Income (net of $27,243 foreign withholding tax)	$	2,776,845
Affiliated Dividend Income		3,236
Total Income		2,780,081
EXPENSES
Fees Charged to Participants for Investment Management Services		(391,284	)
Fees Charged to Participants for Administrative Expenses		(1,087,852	)
Total Expenses .		(1,479,136	)
NET INVESTMENT INCOME		1,300,945
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions		6,057,458
Net Change in Unrealized Appreciation (Depreciation) on Investments		11,319,558
NET GAIN ON INVESTMENTS		17,377,016
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	18,677,961


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2012			2011
OPERATIONS
Net Investment Income	$	1,300,945		$	828,194
Net Realized Gain on Investment Transactions		6,057,458			13,028,100
Net Change In Unrealized Appreciation (Depreciation) on Investments		11,319,558			(26,495,327	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		18,677,961			(12,639,033	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		2,973,827			17,515,149
Withdrawals and Transfers Out		(26,372,849	)		(34,122,109	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(23,399,022	)		(16,606,960	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(61,443	)		68,084
TOTAL DECREASE IN NET ASSETS		(4,782,504	)		(29,177,909	)
NET ASSETS
Beginning of year		156,223,553			185,401,462
End of year	$	151,441,049		$	156,223,553


Accumulation Unit Values and Equity of Participants as of December 31, 2012
Standard Contract:
Accumulation Unit Value and Equity of Participants, $138,912,877 / 13,203,883 outstanding Accumulation Units	$	10.5206


0.50% Contract:
Accumulation Unit Value and Equity of Participants, $2,342,682 / 205,044 outstanding Accumulation Units	$	11.4253


0.45% Contract:
Accumulation Unit Value and Equity of Participants, $10,193,522 / 891,336 outstanding Accumulation Units	$	11.4362

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR

VCA-10


		INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)


	Year Ended December 31, 2012									Year/Period Ended December 31, 2011
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract†
Investment Income	$	.1825		$	.1975		$	.1976		$	.1448		$	.1559		$	.1203
Expenses
Investment management fee		(.0251	)		(.0272	)		(.0272	)		(.0250	)		(.0270	)		(.0200	)
Administrative expenses		(.0752	)		(.0272	)		(.0218	)		(.0749	)		(.0270	)		(.0160	)
Net Investment Income		.0822			.1431			.1486			.0449			.1019			.0843
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		1.0786			1.1677			1.1686			(.7945	)		(.8579	)		(1.5558	)
Net Increase (Decrease) in Accumulation Unit Value		1.1608			1.3108			1.3172			(.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	$	10.5206		$	11.4253		$	11.4362		$	9.3598		$	10.1145		$	10.1190
Total Return**		12.40	%		12.96	%		13.02	%		(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***		.82	%		1.32	%		1.37	%		.44	%		.94	%		1.03	%††
Portfolio Turnover Rate		44	%		44	%		44	%		56	%		56	%		56	%†††
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		13,204			205			891			15,386			205			1,001

†	Inception Date — April 1, 2011.

††	Annualized.

†††	Not Annualized.


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

*	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

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:

Accounting Policies

The following is a summary of significant accounting policies followed by the Account in the preparation of the financial statements.

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 (the “Committee”) have delegated fair valuation responsibilities to Prudential Investments LLC (“PI” or “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 or not representative of the fair value of the securities. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Committee at its next regularly scheduled quarterly meeting.

Various inputs are used in determining the value of the Account’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following the Portfolio 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:

Common stocks, exchange-traded funds and financial derivative instruments (including futures contracts and certain options and swap 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.

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 model prices are classified as Level 2 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs to the valuation.

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

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, 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 models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, 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 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.

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 year ended by cancelling Units.

Note 4:

Other Transactions with Affiliates

During the year ended December 31, 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 year ended December 31, 2012, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $66,480,701 and $86,607,235, respectively.

Note 6:

Unit Transactions

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


Standard Contracts	Units			Amount
Year ended December 31, 2012:
Account units issued		277,286		$	2,811,067
Account units redeemed		(2,459,701	)		(25,011,387	)

Net increase (decrease) in units outstanding		(2,182,415	)	$	(22,200,320	)

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

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


0.50% Contracts	Units			Amount
Year ended December 31, 2012:
Account units issued		14,985		$	162,760
Account units redeemed		(14,614	)		(156,993	)

Net increase (decrease) in units outstanding		371		$	5,767

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
Year ended December 31, 2012:
Account units issued		—		$	—
Account units redeemed		(109,575	)		(1,204,469	)

Net increase (decrease) in units outstanding		(109,575	)	$	(1,204,469	)

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 year ended December 31, 2012, $157,895 in participant loans were withdrawn from VCA-10 and $118,358 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 year ended December 31, 2012, PICA has advised the Account that it received $1,396 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.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE COMMITTEE AND PARTICIPANTS OF

THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (the “Account”) as of December 31, 2012, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2012, by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2012, and the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 22, 2013


The Prudential MEDLEY Program — VCA-11 Money Market Account		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	7-Day Current Net Yield			1-Year			5-Year			10-Year			Since Inception
VCA-11 Money Market Account¹— Standard Contract		-0.78	%		-0.75	%		-0.10	%		1.10	%		—
VCA-11 Money Market Account— 0.50% Contract		-0.28			-0.25			0.39			1.60			—
VCA-11 Money Market Account— 0.45% Contract		-0.23			-0.20			N/A			N/A			-0.22	%
Citigroup 3-Month Treasury Bill Index		—			0.07			0.45			1.69			—

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

MONEY MARKET ACCOUNT

ONE-YEAR TOTAL RETURN FOR THE

PAST 10 YEARS²

LOGO

For the year ended December 31, 2012, the value of the standard contract for the Prudential Variable Contract Account 11 (“VCA-11” or the “Account”) declined 0.75%, the value of a contract with annual expenses of 0.50% declined 0.25%, and the value of a contract with annual expenses of 0.45% declined 0.20%.

The Account’s investment objective is to seek high current income and maintain high levels of liquidity. The Account is subadvised by Prudential Fixed Income, a unit of Prudential Investment Management, Inc.

The seven-day current yield and total return of the Account remained near zero throughout the period, as yields on all money market funds in the United States are at historically low levels. Recessionary data kept central bankers around the globe on the path of monetary easing, forcing interest rates lower across the board. The general trend towards a resolution of the European debt problems helped to push three-month LIBOR rates down to 0.30% during the year. At home, the Federal Reserve extended the outlook of easier monetary policy and introduced Mortgage Backed Securities to its Quantitative Easing programs. The Federal Funds effective rate ended the year at 0.09%.

For much of the year, the Account’s weighted average maturity was shorter than the peer group as tight corporate spreads and a flat yield curve provided few investment opportunities. Furthermore, given the on-going sovereign and banking crisis in Europe, the Account maintained a defensive posture relative to the peer group, which adversely impacted performance. The Account, instead, maintained a high level of liquidity by purchasing government and agency securities as well as repurchase agreements.

As year-end approached, the Account reduced its exposure to very short-term transactions known as repurchase agreements, which are collateralized by U.S. Treasury securities or federal agency securities, as the collateral necessary for such transactions became less abundant. The Account subsequently increased its holdings of government agency securities primarily by adding LIBOR (London Interbank Offered Rate) based agency floating rate securities as spreads on this sector widened.

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

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

The Citigroup 3-Month Treasury Bill Index is an index whereby equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over and reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. Investors cannot invest directly in an index.

London Interbank Offered Rate (LIBOR). The LIBOR is an interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. The LIBOR is fixed on a daily basis by the British Bankers’ Association.

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

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

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

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2012


SHORT-TERM INVESTMENTS — 100.1%	Principal Amount (000)		Value (Note 2)
Certificates of Deposit — 17.7%
Bank of Montreal 0.210%, 01/07/2013	$	300	$	300,000
Bank of Nova Scotia Houston 0.339%, 10/16/2013(b)		500		500,043
Branch Banking & Trust Co. 0.340%, 03/28/2013		400		400,114
Chase Bank (USA) NA 0.220%, 03/06/2013		300		300,000
Deutsche Bank AG 0.210%, 01/08/2013		400		400,000
DNB Bank ASA 0.332%, 02/08/2013(b)		300		300,023
Royal Bank of Canada NY 2.250%, 03/15/2013		250		250,986
0.397%, 07/11/2013(b)		400		400,000
Skandinaviska Enskilda Banken AB 0.240%, 01/23/2013(a)		500		499,997
Societe Generale 0.240%, 01/04/2013		400		400,000
State Street Bank & Trust Co. 0.200%, 01/02/2013		350		350,000
Sumitomo Mitsui Banking Corp. 0.260%, 03/12/2013		400		400,000
Svenska Handelsbanken AB 0.245%, 01/25/2013		400		400,001
0.758%, 03/18/2013(b)		300		300,255
Toronto Dominion Bank 0.314%, 07/26/2013(b)		350		350,000
Westpac Banking Corp. 0.384%, 05/03/2013(b)		500		500,156

				6,051,575

Commercial Paper — 13.6%
BHP Billiton Finance (USA) Ltd., 144A 0.170%, 01/30/2013(a)		400		399,945
Credit Agricole North America, Inc. 0.300%, 02/04/2013(a)		400		399,887
DNB Bank ASA, 144A 0.459%, 09/20/2013(b)		400		400,000
Electricite de France, 144A 0.430%, 01/11/2013(a)		500		499,940
GDF Suez, 144A 0.270%, 01/28/2013(a)		400		399,919
HSBC USA, Inc. 0.260%, 02/12/2013(a)		400		399,879
ING (U.S.) Funding LLC, 0.270%, 01/10/2013(a)		240		239,984
International Finance Corp. 0.135%, 01/14/2013(a)		400		399,981
JP Morgan Chase & Co. 0.362%, 03/11/2013(b)		500		500,000
Rabobank USA Financial Corp. 0.250%, 01/11/2013(a)		400		399,972
Swedbank AB 0.260%, 01/28/2013(a)		350		349,932


SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)		Value (Note 2)
Commercial Paper (continued)
Toronto Dominion Holdings USA, Inc., 144A 0.290%, 01/22/2013(a)	$	250	$	249,958

				4,639,397

Other Instruments – Corporate Bonds — 7.0%
Blackrock, Inc., Sr. Unsec’d Notes 0.612%, 05/24/2013(b)		500		500,632
John Deere Capital Corp., Sr. Unsec’d. Notes, MTN 0.490%, 07/15/2013(b)		500		500,457
MetLife Institutional Funding II, Sec’d. Notes, 144A 0.605%, 04/03/2013(b)		500		500,000
Metropolitan Life Global Funding I, Sec’d. Notes, 144A 2.50%, 01/11/2013		300		300,174
Toyota Motor Credit Corp., Unsec’d. Notes, MTN 0.505%, 04/03/2013(b)		250		250,000
Wachovia Corp., Sr. Unsec’d. Notes, MTN 2.083%, 05/01/2013(b)		359		361,026

				2,412,289

U.S. Government Agency Obligations — 44.4%
Federal Farm Credit Bank 0.162%, 07/29/2013(b)		400		399,956
Federal Home Loan Bank 0.120%, 02/04/2013(a)		500		499,943
0.129%, 09/19/2013(b)		500		499,905
0.130%, 02/15/2013(a)		260		259,958
0.139%, 01/16/2013(a)		500		499,971
0.140%, 01/11/2013(a)		400		399,984
0.145%, 01/18/2013(a)		500		499,966
0.150%, 01/04/2013(a)		500		499,994
0.150%, 02/06/2013(a)		500		499,925
0.150%, 02/20/2013(a)		500		499,896
0.160%, 11/26/2013(b)		500		499,909
0.180%, 01/09/2013(a)		500		499,980
0.210%, 01/08/2013		1,000		1,000,011
Federal Home Loan Mortgage Corp. 0.110%, 01/29/2013(a)		400		399,966
0.120%, 01/08/2013(a)		400		399,991
0.150%, 01/09/2013(a)		600		599,980
0.150%, 02/04/2013(a)		500		499,929
0.150%, 02/26/2013(a)		400		399,907
0.150%, 03/26/2013(a)		600		599,790
0.151%, 04/02/2013(a)		500		499,810
0.151%, 09/13/2013(a)		120		119,967
0.160%, 04/16/2013(a)		500		499,767
0.160%, 04/18/2013(a)		500		499,762
0.171%, 03/21/2013(b)		400		400,014
0.174%, 01/07/2013(a)		315		314,991
1.375%, 01/09/2013, MTN		313		313,084
Federal National Mortgage Association 0.160%, 01/02/2013(a)		663		662,997

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2012


SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)		Value (Note 2)
U.S. Government Agency Obligations (continued)
0.150%, 01/09/2013(a)	$	500	$	499,983
0.170%, 01/23/2013(a)		500		499,948
0.150%, 02/13/2013(a)		500		499,910
4.000%, 04/08/2013		400		404,041
0.202%, 08/12/2013(b)		500		500,097

				15,173,332

U.S. Treasury Obligations — 3.5%
U.S. Treasury Bill 0.1125%, 01/31/2013(a)		400		399,963
U.S. Treasury Notes 1.375%, 01/15/2013		500		500,231
2.875%, 01/31/2013		300		300,658

				1,200,852

Repurchase Agreements(c) — 13.9%
BNP Paribas Securities Corp. 0.19%, dated 12/31/2012, due 01/07/2013 in the amount of $700,026 (cost $700,000)		700		700,000
BNP Paribas Securities Corp. 0.20%, dated 12/26/2012, due 01/02/2013 in the amount of $700,027 (cost $700,000)		700		700,000
Credit Suisse Securities, Inc. 0.24%, dated 11/23/2012, due 01/07/2013 in the amount of $300,090 (cost $300,000)		300		300,000
Goldman Sachs & Co. 0.26%, dated 11/21/2012, due 01/22/2013 in the amount of $400,179 (cost $400,000)(d)		400		400,000
HSBC Securities (USA) Inc. 0.22%, dated 12/31/2012, due 01/02/2013 in the amount of $1,664,020 (cost $1,664,000)		1,664		1,664,000
Morgan Stanley 0.25%, dated 12/31/2012, due 01/02/2013 in the amount of $1,000,014 (cost $1,000,000)		1,000		1,000,000

				4,764,000


SHORT-TERM INVESTMENTS (continued)	Value (Note 2)
TOTAL INVESTMENTS — 100.1% (cost $34,241,445)	$	34,241,445

LIABILITIES LESS, OTHER ASSETS — (0.1)%
Interest Receivable	$	26,028
Payable for Pending Capital Transactions		(72,699	)

LIABILITIES IN EXCESS OF OTHER ASSETS		(46,671	)

Net Assets — 100%	$	34,194,774

Net Assets, representing:
Equity of Participants	$	34,194,431
Equity of The Prudential Insurance Company of America		343

	$	34,194,774

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
GNMA		Government National Mortgage Association
MTN		Medium Term Note

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

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2012.

(c)

Repurchase agreements are collaterized by FHLMC (coupon rate 5.50%, maturity date 02/01/2036), FNMA (coupon rates 3.50%-6.50%, maturity dates 12/01/2036-05/01/2042), GNMA (coupon rates 3.00%-7.50%, maturity dates 04/15/2013-09/15/2027) and U.S. Treasury Security (coupon rate 0.75%, maturity date 08/15/2013) with the aggregate value, including accrued interest, of $4,868,095.

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 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 December 31, 2012 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	6,051,575	$	—
Commercial Paper		—		4,639,397		—
Other Instruments – Corporate Bonds		—		2,412,289		—
U.S. Government Agency Obligations		—		15,173,332		—
U.S. Treasury Obligations		—		1,200,852		—
Repurchase Agreements		—		4,764,000		—

Total	$	—	$	34,241,445	$	—

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage on net assets as of December 31, 2012 were as follows:


U.S. Government Agency Obligations	44.4	%
Certificates of Deposit	17.7
Repurchase Agreements	13.9
Commercial Paper	13.6
Other Instruments – Corporate Bonds	7.0
U.S. Treasury Obligations	3.5

	100.1
Liabilities in Excess of Other Assets	(0.1	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF OPERATIONS*

Year Ended December 31, 2012



INVESTMENT INCOME
Unaffiliated Interest Income	$	88,678
EXPENSES
Fees Charged to Participants for Investment Management Services		(91,109	)
Fees Charged to Participants for Administrative Expenses		(256,015	)
Total Expenses		(347,124	)
NET INVESTMENT LOSS		(258,446	)
Realized Gain on Investment Transactions		1,006
NET DECREASE IN NET ASSETS FROM OPERATIONS	$	(257,440	)


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2012			2011
OPERATIONS
Net Investment Loss	$	(258,446	)	$	(304,418	)
Net Realized Gain on Investment Transactions		1,006			856
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(257,440	)		(303,562	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		3,107,940			6,296,546
Withdrawals and Transfers Out		(7,172,202	)		(10,421,115	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(4,064,262	)		(4,124,569	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(18,000	)		(2,822	)
TOTAL DECREASE IN NET ASSETS		(4,339,702	)		(4,430,953	)
NET ASSETS
Beginning of year		38,534,476			42,965,429
End of year	$	34,194,774		$	38,534,476


Accumulation Unit Values and Equity of Participants as of December 31, 2012
Standard Contract:
Accumulation Unit Value and Equity of Participants, $30,902,989 / 9,434,796 outstanding Accumulation Units	$	3.2754


0.50% Contract:
Accumulation Unit Value and Equity of Participants, $1,761,933 / 499,524 outstanding Accumulation Units	$	3.5272


0.45% Contract:
Accumulation Unit Value and Equity of Participants, $1,529,509 / 433,213 outstanding Accumulation Units	$	3.5306

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11


		INCOME PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)


	Year Ended December 31, 2012									Year/Period Ended December 31, 2011
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract†
Investment Income	$	.0081		$	.0085		$	.0086		$	.0070		$	.0073		$	.0051
Expenses
Investment management fee		(.0083	)		(.0088	)		(.0088	)		(.0083	)		(.0088	)		(.0067	)
Administrative expenses		(.0246	)		(.0088	)		(.0071	)		(.0248	)		(.0088	)		(.0053	)
Net Investment Loss		(.0248	)		(.0091	)		(.0073	)		(.0261	)		(.0103	)		(.0069	)
Capital Changes
Net realized gain (loss) on investment transactions		.0001			.0001			.0001			.0001			.0001			.0000	††
Net Decrease in Accumulation Unit Value		(.0247	)		(.0090	)		(.0072	)		(.0260	)		(.0102	)		(.0069	)
Accumulation Unit Value
Beginning of period		3.3001			3.5362			3.5378			3.3261			3.5464			3.5447
End of period	$	3.2754		$	3.5272		$	3.5306		$	3.3001		$	3.5362		$	3.5378
Total Return**		(.75	%)		(.25	%)		(.20	%)		(.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***		(.75	%)		(.26	%)		(.21	%)		(.79	%)		(.29	%)		(.23	%)†††
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		9,435			500			433			10,650			495			458

†	Inception Date — April 1, 2011.

††	Less than $.00005.

†††	Annualized.


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

*	Calculated by accumulating the actual per unit amounts daily.

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

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-11

Note 1:

General

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

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

Note 2:

Accounting Policies

The following is a summary of significant accounting policies followed by the Account in the preparation of the financial statements.

Securities Valuations: 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 Prudential Investments LLC (“PI” or “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.

Various inputs are used in determining the value of the Account’s investments, which are summarized in the three broad levels hierarchies based on any observable inputs used as described in the table following the 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:

The Account values all of its securities of sufficient credit quality 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 assuming 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. If the amortized cost method is determined not to represent fair value, the fair value shall be determined by or under the direction of the Accounts’ Committee Members.

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.

The Account may hold up to 5% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements, are valued pursuant to the valuation procedures noted above.

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, including amortization of premium and accretion of discount on debt securities, as required, 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 year ended December 31, 2012 and the year ended December 31, 2011, respectively, are as follows:


Standard Contract	Units			Amount
Year ended December 31, 2012:
Account units issued		887,322		$	2,918,023
Account units redeemed		(2,102,783	)		(6,912,097	)

Net increase (decrease) in units outstanding		(1,215,461	)	$	(3,994,074	)

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
Year ended December 31, 2012:
Account units issued		53,782		$	189,917
Account units redeemed		(49,096	)		(173,383	)

Net increase (decrease) in units outstanding		4,686		$	16,534

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
Year ended December 31, 2012:
Account units issued		—		$	—
Account units redeemed		(24,532	)		(86,722	)

Net increase (decrease) in units outstanding		(24,532	)	$	(86,722	)

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 year ended December 31, 2012, $81,187 in participant loans were withdrawn from VCA-11 and $105,887 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 year ended December 31, 2012, PICA has advised the Account that it received $1,175 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

Note 7:

New Accounting Pronouncements

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE COMMITTEE AND PARTICIPANTS OF

THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-11:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-11 (the “Account”) as of December 31, 2012, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2012, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

LOGO

New York, New York

February 22, 2013

THE VCA 10 & 11 COMMITTEES AND OFFICERS

MANAGEMENT OF VCA 10 & 11 (Unaudited)

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

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


Independent Committee Members⁽¹⁾
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Kevin J. Bannon (60) Committee Member Portfolios Overseen: 63	Managing Director (since April 2008) and Chief Investment Officer (since October 2008) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May 2003-May 2007) of BNY Hamilton Family of Mutual Funds.	Director of Urstadt Biddle Properties (since September 2008).
Linda W. Bynoe (60) Committee Member Portfolios Overseen: 63	President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co (broker-dealer).	Director of Simon Property Group, Inc. (retail real estate) (May 2003-May 2012); Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009).
Michael S. Hyland, CFA (67) Committee Member Portfolios Overseen: 63	Independent Consultant (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999).	None.
Douglas H. McCorkindale (73) Committee Member Portfolios Overseen: 63	Formerly Chairman (February 2001-June 2006), Chief Executive Officer (June 2000-July 2005), President (September 1997-July 2005) and Vice Chairman (March 1984-May 2000) of Gannett Co. Inc. (publishing and media).	Director of Lockheed Martin Corp. (aerospace and defense) (since May 2001).
Stephen P. Munn (70) Committee Member Portfolios Overseen: 63	Lead Director (since 2007) and formerly Chairman (1993-2007) of Carlisle Companies Incorporated (manufacturer of industrial products).	Lead Director (since 2007) of Carlisle Companies Incorporated (manufacturer of industrial products).
Richard A. Redeker (69) Committee Member & Independent Chair Portfolios Overseen: 63	Retired Mutual Fund Senior Executive (44 years); Management Consultant; Independent Directors Council (organization of 2,800 Independent Mutual Fund Directors)-Executive Committee, Chair of Policy Steering Committee, Governing Council.	None.
Robin B. Smith (73) Committee Member Portfolios Overseen: 63	Chairman of the Board (since January 2003) of Publishers Clearing House (direct marketing); Member of the Board of Directors of ADLPartner (marketing) (since December 2010); formerly Chairman and Chief Executive Officer (August 1996-January 2003) of Publishers Clearing House.	Formerly Director of BellSouth Corporation (telecommunications) (1992-2006).
Stephen G. Stoneburn (69) Committee Member Portfolios Overseen: 63	Chairman, (since July 2011), President and Chief Executive Officer (since June 1996) of Quadrant Media Corp. (publishing company); formerly President (June 1995-June 1996) of Argus Integrated Media, Inc.; Senior Vice President and Managing Director (January 1993-1995) of Cowles Business Media; Senior Vice President of Fairchild Publications, Inc. (1975-1989).	None.


Interested Committee Members⁽¹⁾
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Stuart S. Parker (50) Committee Member & President Portfolios Overseen: 63	President of Prudential Investments LLC (since January 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of Prudential Investments LLC (June 2005-December 2011).	None.
Scott E. Benjamin (39) Committee Member & Vice President Portfolios Overseen: 63	Executive Vice President (since June 2009) of Prudential Investments LLC; Executive Vice President (June 2009-June 2012) and Vice President (since June 2012) of Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, Prudential Investments (since February 2006); Vice President of Product Development and Product Management, Prudential Investments (2003-2006).	None.

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


VCA 10 / 11 Officers^(a)(1)
Name, Address and Age Position with VCA 10 & VCA 11		Principal Occupation(s) During Past Five Years
Raymond A. O’Hara (57) Chief Legal Officer		Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of PMFS (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Deborah A. Docs (55) Secretary		Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (54) Assistant Secretary		Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (38) Assistant Secretary		Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).
Andrew R. French (50) Assistant Secretary		Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of PMFS.
Amanda S. Ryan (35) Assistant Secretary		Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray (2008-2012).
Timothy J. Knierim (54) Chief Compliance Officer		Chief Compliance Officer of Prudential Investment Management, Inc. (since July 2007); formerly Chief Risk Officer of Prudential Investment Management, Inc. and Prudential Investments LLC (2002-2007) and formerly Chief Ethics Officer of Prudential Investment Management, Inc. and Prudential Investments LLC (2006-2007).
Valerie M. Simpson (54) Deputy Chief Compliance Officer		Chief Compliance Officer (since April 2007) of Prudential Investments LLC and AST Investment Services, Inc.; formerly Vice President-Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (50) Deputy Chief Compliance Officer		Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).
Richard W. Kinville (44) Anti-Money Laundering Compliance Officer		Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009).
Grace C. Torres (53) Treasurer and Principal Financial and Accounting Officer		Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of Prudential Investments LLC; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.


VCA 10 / 11 Officers^(a)(1)
Name, Address and Age Position with VCA 10 & VCA 11		Principal Occupation(s) During Past Five Years
M. Sadiq Peshimam (49) Assistant Treasurer		Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (54) Assistant Treasurer		Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).

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

⁽¹⁾ The year in which each individual became an Officer of VCA 10 and VCA 11 is as follows: Raymond A. O’Hara, 2012; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; Andrew R. French, 2006; Amanda S. Ryan, 2012; Timothy J. Knierim, 2008; Valerie M. Simpson, 2008; Theresa C. Thompson, 2008; Richard W. Kinville, 2011; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006.

Explanatory Notes to Tables:

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

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

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

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

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

The Prudential Series Fund

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

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

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

Important Note

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

Contract unit values increase or decrease based on the performance of the portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of the Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.


The Prudential Series Fund, Conservative Balanced Portfolio		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		11.23	%		4.16	%		6.67	%
Blended Index		9.68			3.70			6.08
S&P 500 Index		15.99			1.66			7.10

Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2012, the Conservative Balanced Portfolio returned 11.23%.

The Portfolio is subadvised by Prudential Investment Management Inc. and Quantitative Management Associates LLC. The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.

The Portfolio’s gain for the year reflected strong equity market performance, combined with solid fixed income returns. The Portfolio out-performed its blended benchmark due to solid active returns from the fixed income portion of the Portfolio, timely tactical asset allocation calls, and strong active returns from the equity portion of the Portfolio. The Portfolio was overweight stocks and underweight cash for much of the year though we did retreat closer to benchmarks during the spring slump for stocks. A more aggressive stance toward year end also paid off, as stocks recovered from the post-election correction and rallied strongly on the last day of 2012.

Throughout the year, the news media was full of reports about investors’ and business owners’ anxiety and uncertainty. But at the end of the year, stocks were up more than 15% in the U.S., as the economic recovery continued (albeit at a slow pace), housing showed signs of life, Europe seemed to stabilize a bit, and the worst-case global scenario did not materialize. Aggressive monetary policy in the U.S. and Europe, although politically controversial, seemed to succeed in encouraging somewhat more risk-taking and improving market confidence. These policies will not continue indefinitely, but central banks seemed committed to keeping them in place until clear signs of a more sustainable recovery are apparent.

U.S. Treasury bonds and other high-quality sovereign debt hit record-low yields in 2012 before rising modestly by year-end. Investors continued to pour money into bond funds in 2012, though there were some reports that this flow may have moderated toward year end, and that investors might re-discover stocks in 2013.

The Portfolio uses fully collateralized futures to manage daily cash flows, which had no material impact on portfolio performance.

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

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

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


The Prudential Series Fund, Diversified Bond Portfolio		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		10.68	%		8.89	%		7.13	%
Barclays U.S. Aggregate Bond Index		4.22			5.95			5.18

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2012, the Diversified Bond Portfolio returned 10.68%.

The Portfolio is subadvised by Prudential Fixed Income, a unit of Prudential Investment Management, Inc. The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital.

2012 was an outstanding year for fixed-income securities, especially ones that carried credit risk. This favorable environment enabled the Portfolio to finish the year well ahead of the Barclays U.S. Aggregate Bond Index (the Index), which returned 4.22%. Treasury bonds, mortgage-backed securities and agency debentures, which comprise the vast majority of the Index, were significantly outpaced by riskier assets, as a general improvement in the European sovereign debt crisis quelled investor fears of a catastrophic Euro-zone event triggering excess market volatility. Moreover, repeated intervention by the Federal Reserve (the Fed) led to U.S. government bond yields declining from already low levels at the end of 2011. Bond prices and yields move in opposite directions, so prices rose in this environment.

Helping to push yields lower was the announcement in June of a continuation of Operation Twist, in which the Fed sold shorter-term debt and used the proceeds to buy longer-term Treasuries. In September the Fed unveiled plans to purchase $40 billion per month of agency mortgage-backed securities, and in December the central bank committed to buying an additional $45 per month of longer-term Treasury securities. These new rounds of quantitative easing were dubbed “QE3” and “QE4,” respectively. Likewise, in September the European Central Bank (ECB) announced a program of Outright Monetary Transactions, effectively establishing the ECB as a “lender of last resort” for debt-strapped sovereigns in the Euro-zone.

An overweight to spread sectors which outperformed government bonds was the primary driver of performance relative to the Index. The Portfolio’s overweight in commercial mortgage-backed securities (CMBS) also contributed to returns as the sector has benefited from stabilizing commercial real estate values and improving supply/demand levels. The Portfolio’s positions in high yield corporate bonds, bank loans and emerging market debt also boosted returns.

Security selection was another prominent contributor. In asset-backed securities, positions in AAA-rated collateralized loan obligations were beneficial, as were positions in mortgage-backed securities. In investment grade corporate bonds, an emphasis on financials helped as the sector continued to recover from the global credit crisis that began in 2008.

Foreign exchange positions added value in certain G10 currencies (a group of ten currencies considered to be world’s most liquid) including New Zealand, Australia and the Canadian dollar, and in a variety of emerging market currencies as many outperformed the U.S. dollar for the year. Tactical duration strategies and yield curve positioning also contributed to the Portfolio’s performance. (Duration measures the approximate price change of a bond portfolio for a given change in interest rates.)

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

Barclays U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Equity Portfolio		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		13.69	%		0.97	%		7.62	%
Portfolio: Class II		13.23			0.56			7.19
Russell 1000^® Index		16.42			1.92			7.52
S&P 500 Index		15.99			1.66			7.10

$10,000 INVESTED OVER 10 YEARS¹

LOGO

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

For the year ended December 31, 2012, the Equity Portfolio Class I shares returned 13.69% and Class II shares returned 13.23%.

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

Despite a largely flat fourth quarter, U.S. equity markets, as measured by the broad market indexes, realized substantial gains for the year. The S&P 500 (the Index) rose nearly 16.0%, with all sectors posting double digit returns except energy and utilities, which had single-digit returns. The financials and consumer discretionary sectors had the strongest performances. The Portfolio underperformed the Index.

Stock selection was detrimental in most sectors, and especially in healthcare and telecommunication services.

Telecommunication services included the largest individual detractor, NII Holdings, a wireless provider that has been converting to 3G services in Latin America and has been hurt by price competition and adverse exchange rates. Other notable detractors came from a variety of sectors, including Marvell Technology Group in information technology, Anadarko Petroleum in energy, and Chipotle Mexican Grill, the fast casual restaurant company, in consumer discretionary. Marvell’s profits declined because of continued weakness in both its mobile and wireless and storage segments. Jennison’s investment expectations did not play out as anticipated and the manager closed its position.

An underweight position in financials further detracted from relative returns. The absence of Bank of America from the Portfolio was the most significant source of relative weakness in the sector.

Stock selection was beneficial in information technology and industrials. Several of the top individual contributors in the Portfolio were information technology companies, including Apple, MasterCard, and salesforce.com. Despite some weak picks in consumer discretionary, several companies in the sector were among the largest individual contributors, including Comcast and Amazon.

Shares of Comcast rose steadily through the period, and the stock remains attractive in Jennison’s view because of the company’s stable growth in its cable business, recent initiatives to fill in gaps in its wireless product lineups, and the likelihood of a large share buyback in the near future.

Salesforce.com, whose hosted applications provide access to software functions remotely as a web-based service, derives strength from its original application, salesforce.com, and new offerings, which are helping the company both expand to new markets and deepen relationships with existing customers.

An overweight position in consumer discretionary and an underweight position in utilities also provided a boost to relative returns. Liberty Global and Lululemon Athletica were two significant consumer discretionary contributors absent from the index.

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

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

Russell 1000^® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

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


The Prudential Series Fund, Flexible Managed Portfolio		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		13.37	%		3.63	%		7.37	%
Blended Index		11.07			3.53			6.44
S&P 500 Index		15.99			1.66			7.10

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2012, the Flexible Managed Portfolio returned 13.37%.

The Portfolio is subadvised by Prudential Investment Management, Inc. and Quantitative Management Associates LLC. The Portfolio’s investment objective is total return consistent with an aggressively managed, diversified portfolio.

The Portfolio’s gain for the year reflected strong equity market performance, combined with solid fixed income returns. The Portfolio out-performed its blended benchmark due to solid active returns from the fixed income portion of the Portfolio, timely tactical asset allocation calls, and strong active returns from the equity portion of the Portfolio. The Portfolio was overweight stocks and underweight cash for much of the year, though we did retreat closer to benchmarks during the spring slump for stocks. A more aggressive stance toward year end also paid off, as stocks recovered from the post-election correction and rallied strongly on the last day of 2012.

U.S. Treasury bonds and other high-quality sovereign debt hit record-low yields in 2012 before rising modestly by year-end. Investors continued to pour money into bond funds in 2012, though there were some reports that this flow may have moderated toward year-end, and that investors might re-discover stocks in 2013.

The Portfolio uses fully collateralized futures to manage daily cash flows, which had no material impact on portfolio performance.

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

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


The Prudential Series Fund, Global Portfolio		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		17.52	%		-1.56	%		7.62	%
MSCI World Index (GD)		16.54			-0.60			8.08

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2012, the Global Portfolio returned 17.52%.

The Portfolio is subadvised by Marsico Capital Management, LLC (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), and LSV Asset Management (international value stocks). The Portfolio’s investment objective is to achieve long-term growth of capital.

The MSCI World Index (GD) (the Index) returned 16.54%, with the domestic market performing near the average, Japan considerably behind, and Europe, despite the economic uncertainty there, turning in a strong performance. The United Kingdom was about average. In terms of economic sectors, financials and consumer discretionary led both the domestic and international markets. The international telecommunications, energy, and utilities sectors had negative returns over the year. Although no domestic sector declined, the utilities and energy sectors also were notably weak, the only ones with single-digit returns.

The William Blair International Growth segment was the top contributor to the Portfolio’s good performance relative to the Index, outperforming the broad international equity market during the period because of strong stock selection in the healthcare, industrials, materials, and telecommunication sectors. It also was helped by an underweight in Japan. The T. Rowe Price Large Cap Value segment outperformed the Russell 1000 Value index, driven primarily by good stock selection, particularly within the financial services sector.

On the negative side, both the large cap growth segment managed by Marsico Capital Management and the international value segment managed by LSV Asset Management trailed their targets. Underperformance of the large cap growth segment was due primarily to stock selection in the healthcare, consumer discretionary, and energy sectors. The top detractors in international value were stock selection in the consumer staples sector and overweights in the poor-performing telecommunications services and energy sectors. This was partially offset by good stock selection within the materials sector.

The use of derivative instruments in this Portfolio is not a principal strategy of the four subadvisers. The types of derivatives employed most often are equity futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of currency exposure in the Portfolio). Currency hedging in the portion of the Portfolio managed by William Blair had a positive impact on portfolio performance during 2012.

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

MSCI World Index (GD) - The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Government Income Portfolio		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		3.63	%		6.04	%		4.76	%
Barclays Government Bond Index		2.02			5.23			4.66

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2012, the Government Income Portfolio returned 3.63%.

The Portfolio is subadvised by Prudential Investment Management, Inc. and its investment objective is a high level of income over the long term consistent with the preservation of capital.

With the U.S. economy on track to grow at a more moderate pace, bond investors generally became less risk averse, especially through the second half of the year. However, broad fixed income indexes painted a bland picture of overall bond performance in 2012, as the Barclays U.S. Aggregate Bond Index posted a modest return. Tensions in Europe declined through the second half of the year. As a result, yields on the debt of peripheral countries in the Euro-zone declined and created a tailwind for most bonds globally as fears of a financial “contagion-effect” in Europe abated. In the final weeks of the year, the media focused primarily on the so-called “U.S. fiscal cliff.” However, the markets largely shrugged off the cliff, as it morphed into more of a manageable slope.

The Portfolio outperformed its benchmark, the Barclays Government Bond Index (the Index), which returned 2.02%. Sector selection was the primary driver of the Portfolio’s performance. The Portfolio held an overweight exposure relative in the Index to high quality commercial mortgage-backed securities (CMBS) which performed strongly during the year. While it was a decent year for U.S. Treasuries, most other high-quality fixed-income asset classes, including mortgage-backed securities, and CMBS in which the Portfolio invests, outperformed U.S. government debt by a considerable margin. The Portfolio’s underweight in Treasuries and overweight in these other high quality sectors contributed to outperformance.

These positive factors were modestly offset by security selection within the CMBS sector, as the Portfolio had a higher quality bias at a time when lower credit quality securities within the sector were rallying the most.

Tactical duration strategies and yield curve positioning that were partially implemented via interest rate swaps (derivatives) modestly benefited performance. (Duration measures the approximate price change of a bond portfolio for a given change in interest rates.) The Portfolio’s exposure to the Prudential Short Term Bond Fund also benefited performance as the Fund’s net asset value (NAV), which moves inversely from the yield, rose throughout much of the year as yields declined.

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

Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the U.S. Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Stock Index Portfolio		December 31, 2012

Investment Manager’s Report - As of December 31, 2012


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		15.68	%		1.44	%		6.80	%
S&P 500 Index		15.99			1.66			7.10

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2012, the Stock Index Portfolio returned 15.68%.

The Portfolio is subadvised by Quantitative Management Associates LLC (QMA). The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.

Potential tracking error differences, brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the S&P 500 Index. It underperformed the S&P 500 Index by a modest amount in 2012.

At the end of the year, Congress was well on its way to partially resolving its differences over the much-dreaded “fiscal cliff,” which should help forestall recessionary fears in the U.S. during 2013. Little noticed was that the S&P 500 turned in a near 16% performance for 2012, its third straight positive annual return. In fact, with a little more luck in the U.S. and abroad, it is possible that 2013 will follow suit, thereby continuing the “quiet bull market” we have enjoyed since 2010.

Housing looked to be on the outer edges of a rebound, which, considering its role in bringing the U.S. economy to its veritable knees in recent years, is a particularly positive sign for the near-term economic future. Other sectors, notably autos, chimed in with positive news for the year. Financials were among the best performing sectors during the year. Economically sensitive sectors, such as industrials and materials, performed well, while defensive sectors such as consumer staples, telecom, and utilities performed poorly.

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

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

S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund

Fees and Expenses — unaudited

December 31, 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 July 1, 2012 through December 31, 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 July 1, 2012		Ending Account Value December 31, 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	$	1,042.80		0.58	%	$	2.98
	Hypothetical	$	1,000.00	$	1,022.22		0.58	%	$	2.95
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,054.60		0.44	%	$	2.27
	Hypothetical	$	1,000.00	$	1,022.92		0.44	%	$	2.24
Equity (Class I)	Actual	$	1,000.00	$	1,074.10		0.47	%	$	2.45
	Hypothetical	$	1,000.00	$	1,022.77		0.47	%	$	2.39
Equity (Class II)	Actual	$	1,000.00	$	1,072.00		0.87	%	$	4.53
	Hypothetical	$	1,000.00	$	1,020.76		0.87	%	$	4.42
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,052.70		0.63	%	$	3.25
	Hypothetical	$	1,000.00	$	1,021.97		0.63	%	$	3.20
Global (Class I)	Actual	$	1,000.00	$	1,101.30		0.83	%	$	4.38
	Hypothetical	$	1,000.00	$	1,020.96		0.83	%	$	4.22
Government Income (Class I)	Actual	$	1,000.00	$	1,015.30		0.49	%	$	2.48
	Hypothetical	$	1,000.00	$	1,022.67		0.49	%	$	2.49
Stock Index (Class I)	Actual	$	1,000.00	$	1,057.90		0.32	%	$	1.66
	Hypothetical	$	1,000.00	$	1,023.53		0.32	%	$	1.63

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2012, and divided by the 366 days in the Portfolio’s fiscal year ended 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 — 92.7%
COMMON STOCKS — 52.5%	Shares		Value (Note 2)
Aerospace & Defense — 1.2%
BAE Systems PLC (United Kingdom)		16,977	$	94,362
Boeing Co. (The)		60,600		4,566,816
European Aeronautic Defense and Space Co. NV (Netherlands)		9,218		363,387
General Dynamics Corp.		31,700		2,195,859
Honeywell International, Inc.		68,412		4,342,110
L-3 Communications Holdings, Inc.		9,000		689,580
Lockheed Martin Corp.		24,000		2,214,960
Northrop Grumman Corp.		22,962		1,551,772
Precision Castparts Corp.		12,900		2,443,518
Raytheon Co.		28,700		1,651,972
Rockwell Collins, Inc.(a)		14,000		814,380
Singapore Technologies Engineering Ltd. (Singapore)		33,000		104,155
Textron, Inc.		23,100		572,649
Thales SA (France)		8,280		288,498
United Technologies Corp.		75,200		6,167,152

				28,061,170

Air Freight & Logistics — 0.4%
C.H. Robinson Worldwide, Inc.		14,600		923,012
Deutsche Post AG (Germany)		8,206		180,742
Expeditors International of Washington, Inc.		18,600		735,630
FedEx Corp.		27,500		2,522,300
United Parcel Service, Inc. (Class B Stock)		66,400		4,895,672

				9,257,356

Airlines
Ryanair Holdings PLC (Ireland), ADR		8,300		284,524
Southwest Airlines Co.		67,800		694,272

				978,796

Auto Components — 0.2%
BorgWarner, Inc.*(a)		10,200		730,524
Bridgestone Corp. (Japan)		3,300		85,904
CIE Generale des Etablissements Michelin (France) (Class B Stock)		3,929		376,475
Delphi Automotive PLC*		23,500		898,875
Denso Corp. (Japan)		1,200		41,789
Goodyear Tire & Rubber Co. (The)*		28,000		386,680
Johnson Controls, Inc.		62,000		1,903,400
Toyoda Gosei Co. Ltd. (Japan)		4,400		89,438

				4,513,085

Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		2,347		228,390
Daihatsu Motor Co. Ltd. (Japan)		1,000		19,923
Fiat SpA (Italy)*		15,003		75,577
Ford Motor Co.(a)		336,785		4,361,366
Fuji Heavy Industries Ltd. (Japan)		26,000		327,868
Harley-Davidson, Inc.		19,800		967,032
Isuzu Motors Ltd. (Japan)		9,000		53,707
Mazda Motor Corp. (Japan)*		14,000		28,732
Mitsubishi Motors Corp. (Japan)*		20,000		20,678
Nissan Motor Co. Ltd. (Japan)		2,200		20,875
Suzuki Motor Corp. (Japan)		13,000		340,188
Toyota Motor Corp. (Japan)		9,800		457,622


COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Volkswagen AG (Germany)		152	$	32,975

				6,934,933

Beverages — 1.3%
Anheuser-Busch InBev NV (Belgium)		1,954		170,164
Asahi Breweries Ltd. (Japan)		2,000		42,586
Beam, Inc.		14,000		855,260
Brown-Forman Corp. (Class B Stock)		13,650		863,363
Coca-Cola Amatil Ltd. (Australia)		8,694		122,180
Coca-Cola Co. (The)		349,500		12,669,375
Coca-Cola Enterprises, Inc.		28,400		901,132
Constellation Brands, Inc. (Class A Stock)*		13,000		460,070
Diageo PLC (United Kingdom)		11,409		332,307
Dr Pepper Snapple Group, Inc.(a)		19,900		879,182
Heineken Holding NV (Netherlands)		5,612		309,013
Heineken NV (Netherlands)		1,338		89,705
Molson Coors Brewing Co. (Class B Stock)		13,300		569,107
Monster Beverage Corp.*		13,200		698,016
PepsiCo, Inc.		139,107		9,519,092
SABMiller PLC (United Kingdom)		11,020		511,453

				28,992,005

Biotechnology — 0.8%
Actelion Ltd. (Switzerland)		560		26,796
Alexion Pharmaceuticals, Inc.*		16,800		1,576,008
Amgen, Inc.		68,587		5,920,430
Biogen Idec, Inc.*		20,890		3,063,936
Celgene Corp.*		39,900		3,140,928
CSL Ltd. (Australia)		4,312		243,445
Gilead Sciences, Inc.*		66,600		4,891,770

				18,863,313

Building Products
Asahi Glass Co. Ltd. (Japan)		5,000		36,508
Masco Corp.		33,500		558,110

				594,618

Capital Markets — 1.1%
Aberdeen Asset Management PLC (United Kingdom)		52,750		317,420
Ameriprise Financial, Inc.		19,320		1,210,012
Bank of New York Mellon Corp. (The)(a)		108,158		2,779,661
BlackRock, Inc. (Class A Stock)(a)		11,400		2,356,494
Charles Schwab Corp. (The)(a)		95,250		1,367,790
ETrade Financial Corp.		25,520		228,404
Franklin Resources, Inc.		12,500		1,571,250
GAM Holding AG (Switzerland)		10,053		136,790
Goldman Sachs Group, Inc. (The)		40,900		5,217,204
Hargreaves Lansdown PLC (United Kingdom)		26,122		292,161
Invesco Ltd.		39,400		1,027,946
Legg Mason, Inc.(a)		10,200		262,344
Morgan Stanley		131,480		2,513,898
Northern Trust Corp.		21,900		1,098,504
State Street Corp.		43,200		2,030,832
T. Rowe Price Group, Inc.		23,100		1,504,503

				23,915,213

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals — 1.3%
Air Liquide SA (France)		291	$	36,764
Air Products & Chemicals, Inc.		19,000		1,596,380
Airgas, Inc.		6,700		611,643
Asahi Kasei Corp. (Japan)		6,000		35,479
BASF SE (Germany)		7,628		721,307
CF Industries Holdings, Inc.		5,700		1,158,012
Dow Chemical Co. (The)(a)		104,131		3,365,514
E.I. du Pont de Nemours & Co.		82,420		3,706,427
Eastman Chemical Co.		13,500		918,675
Ecolab, Inc.		23,600		1,696,840
FMC Corp.		11,500		672,980
International Flavors & Fragrances, Inc.		8,200		545,628
Israel Chemicals Ltd. (Israel)		2,660		32,035
Koninklijke DSM NV (Netherlands)		4,676		284,984
Kuraray Co. Ltd. (Japan)		1,700		22,286
LyondellBasell Industries NV (Class A Stock)		32,500		1,855,425
Monsanto Co.		46,994		4,447,982
Mosaic Co. (The)		26,100		1,478,043
Nitto Denko Corp. (Japan)		800		39,399
PPG Industries, Inc.		13,600		1,840,760
Praxair, Inc.		26,100		2,856,645
Sherwin-Williams Co. (The)		7,600		1,169,032
Sigma-Aldrich Corp.		10,700		787,306
Syngenta AG (Switzerland)		1,022		412,874
Yara International ASA (Norway)		6,585		328,319

				30,620,739

Commercial Banks — 1.7%
Aozora Bank Ltd. (Japan)		92,000		282,874
Australia & New Zealand Banking Group Ltd. (Australia)		3,241		85,357
Banco Santander SA (Spain)		52,767		428,840
Bank Hapoalim BM (Israel)*		68,422		293,561
Bank of Yokohama Ltd. (The) (Japan)		6,000		27,898
Barclays PLC (United Kingdom)		96,535		419,348
BB&T Corp.		62,800		1,828,108
BNP Paribas SA (France)		354		20,153
Chiba Bank Ltd. (The) (Japan)		4,000		23,433
Comerica, Inc.(a)		17,400		527,916
Commonwealth Bank of Australia (Australia).		3,512		228,725
DBS Group Holdings Ltd. (Singapore)		9,000		110,489
DNB ASA (Norway)		27,353		349,617
Fifth Third Bancorp		81,621		1,239,823
First Horizon National Corp.		25,887		256,540
HSBC Holdings PLC (United Kingdom)		68,098		721,623
Huntington Bancshares, Inc.		78,236		499,928
KeyCorp		89,100		750,222
M&T Bank Corp.		11,400		1,122,558
Mitsubishi UFJ Financial Group, Inc. (Japan)		62,400		337,653
Mizuho Financial Group, Inc. (Japan)		268,300		491,924
National Australia Bank Ltd. (Australia)		4,652		122,362
Oversea-Chinese Banking Corp. Ltd. (Singapore)		13,000		104,754


COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
PNC Financial Services Group, Inc.		46,733	$	2,725,001
Regions Financial Corp.		129,603		922,773
Resona Holdings, Inc. (Japan)		73,500		336,069
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		40,512		346,608
Sumitomo Mitsui Financial Group, Inc. (Japan)		14,600		530,591
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		97,000		341,761
SunTrust Banks, Inc.		48,500		1,374,975
Swedbank AB (Sweden) (Class A Stock)		18,751		368,370
U.S. Bancorp		169,985		5,429,321
Wells Fargo & Co.		444,564		15,195,198
Westpac Banking Corp. (Australia)		26,405		723,494
Zions Bancorporation(a)		15,550		332,770

				38,900,637

Commercial Services & Supplies — 0.3%
ADT Corp. (The)		21,000		976,290
Avery Dennison Corp.(a)		10,200		356,184
Cintas Corp.(a)		8,900		364,010
Iron Mountain, Inc.		16,985		527,384
Pitney Bowes, Inc.(a)		20,700		220,248
Republic Services, Inc. (Class A Stock)		28,565		837,811
Secom Co. Ltd. (Japan)		1,100		55,421
Stericycle, Inc.*		6,900		643,563
Tyco International Ltd.		42,000		1,228,500
Waste Management, Inc.		40,342		1,361,139

				6,570,550

Communications Equipment — 1.0%
Cisco Systems, Inc.		477,400		9,380,910
F5 Networks, Inc.*		7,000		680,050
Harris Corp.		9,400		460,224
JDS Uniphase Corp.*		21,475		290,771
Juniper Networks, Inc.*		48,100		946,127
Motorola Solutions, Inc.		25,389		1,413,660
QUALCOMM, Inc.		152,600		9,464,252

				22,635,994

Computers & Peripherals — 2.6%
Apple, Inc.		84,400		44,987,732
Dell, Inc.		136,900		1,386,797
EMC Corp.*		185,950		4,704,535
Gemalto NV (France)		3,408		307,624
Hewlett-Packard Co.		179,848		2,562,834
NEC Corp. (Japan)*		156,000		329,057
NetApp, Inc.*		34,000		1,140,700
SanDisk Corp.*(a)		22,100		962,676
Seagate Technology PLC(a)		32,100		978,408
Toshiba Corp. (Japan)		20,000		79,164
Western Digital Corp.		22,000		934,780

				58,374,307

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		2,798		70,912

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction & Engineering (continued)
Chiyoda Corp. (Japan)		3,000	$	42,976
Eiffage SA (France)		2,209		98,977
Ferrovial SA (Spain)		21,153		314,893
Fluor Corp.		15,700		922,218
Jacobs Engineering Group, Inc.*		12,700		540,639
JGC Corp. (Japan)		1,000		31,161
Koninklijke Boskalis Westminster NV (Netherlands)		6,662		301,570
Quanta Services, Inc.*		16,700		455,743
Vinci SA (France)		1,697		81,706

				2,860,795

Construction Materials
Imerys SA (France)		1,037		66,512
Vulcan Materials Co.		10,300		536,115

				602,627

Consumer Finance — 0.5%
American Express Co.		88,300		5,075,484
Capital One Financial Corp.		51,561		2,986,929
Discover Financial Services		46,940		1,809,537
SLM Corp.		43,000		736,590

				10,608,540

Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		6,272		53,010
Ball Corp.(a)		13,200		590,700
Bemis Co., Inc.		11,300		378,098
Owens-Illinois, Inc.*		13,500		287,145
Sealed Air Corp.		17,100		299,421

				1,608,374

Distributors
Genuine Parts Co.		14,200		902,836

Diversified Consumer Services
Apollo Group, Inc. (Class A Stock)*(a)		8,800		184,096
H&R Block, Inc.		27,100		503,247

				687,343

Diversified Financial Services — 1.8%
Bank of America Corp.		963,821		11,180,323
Citigroup, Inc.		261,785		10,356,215
CME Group, Inc. (Class A Stock)		29,200		1,480,732
Groupe Bruxelles Lambert SA (Belgium)		1,299		103,604
Industrivarden AB (Sweden) (Class C Stock)		4,590		76,472
IntercontinentalExchange, Inc.*(a)		6,500		804,765
Investment AB Kinnevik (Sweden) (Class B Stock)		1,055		22,068
Investor AB (Sweden) (Class B Stock)		13,186		346,398
JPMorgan Chase & Co.		341,745		15,026,528
Leucadia National Corp.(a)		19,700		468,663
Moody’s Corp.		17,000		855,440
NASDAQ OMX Group, Inc. (The)		11,600		290,116
NYSE Euronext		24,400		769,576
ORIX Corp. (Japan)		540		60,998

				41,841,898


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Telecommunication Services — 1.5%
AT&T, Inc.		513,568	$	17,312,377
BT Group PLC (United Kingdom)		96,283		367,341
CenturyLink, Inc.		56,036		2,192,128
Deutsche Telekom AG (Germany)		39,237		446,634
France Telecom SA (France)		9,636		106,901
Frontier Communications Corp.(a)		78,990		338,077
Nippon Telegraph & Telephone Corp. (Japan)		8,800		370,506
Telecom Corp. of New Zealand Ltd. (New Zealand)		9,525		18,029
Telecom Italia SpA (Italy)		38,377		34,811
Telecom Italia SpA-RSP (Italy)		140,309		111,671
Telenor ASA (Norway)		3,563		72,549
Telstra Corp. Ltd. (Australia)		22,399		102,067
Verizon Communications, Inc.		255,276		11,045,792
Vivendi SA (France)		6,649		150,374
Windstream Corp.		57,357		474,916

				33,144,173

Electric Utilities — 1.0%
American Electric Power Co., Inc.		43,960		1,876,213
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		4,000		24,708
Duke Energy Corp.		62,061		3,959,492
Edison International		27,700		1,251,763
Electricite de France SA (France)		14,872		275,587
Enel SpA (Italy)		44,004		183,035
Energias de Portugal SA (Portugal)		102,800		312,697
Entergy Corp.		16,600		1,058,250
Exelon Corp.		76,513		2,275,497
FirstEnergy Corp.		37,406		1,562,074
Iberdrola SA (Spain)		21,041		117,508
NextEra Energy, Inc.		36,900		2,553,111
Northeast Utilities		27,300		1,066,884
Pepco Holdings, Inc.(a)		20,000		392,200
Pinnacle West Capital Corp.		10,500		535,290
Power Assets Holdings Ltd. (Hong Kong)		7,500		64,347
PPL Corp.		52,100		1,491,623
Red Electrica Corp. SA (Spain)		800		39,517
Southern Co.		78,400		3,356,304
Xcel Energy, Inc.		44,310		1,183,520

				23,579,620

Electrical Equipment — 0.2%
Alstom SA (France)		3,783		152,395
Emerson Electric Co.		64,200		3,400,032
Rockwell Automation, Inc.		11,800		991,082
Roper Industries, Inc.		8,700		969,876
Sumitomo Electric Industries Ltd. (Japan)		1,900		21,962

				5,535,347

Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		13,600		879,920
Corning, Inc.		138,500		1,747,870
FLIR Systems, Inc.		15,600		348,036
FUJIFILM Holdings Corp. (Japan)		1,100		22,132
Hitachi Ltd. (Japan)		24,000		141,228

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components (continued)
Jabil Circuit, Inc.		13,900	$	268,131
Keyence Corp. (Japan)		200		55,465
Kyocera Corp. (Japan)		800		72,532
Molex, Inc.(a)		13,000		355,290
TE Connectivity Ltd.		36,100		1,340,032

				5,230,636

Energy Equipment & Services — 0.9%
Aker Solutions ASA (Norway)		840		17,395
Baker Hughes, Inc.		38,798		1,584,511
Cameron International Corp.*		22,500		1,270,350
Diamond Offshore Drilling, Inc.(a)		6,000		407,760
Ensco PLC (Class A Stock)		20,500		1,215,240
FMC Technologies, Inc.*		21,800		933,694
Halliburton Co.		81,700		2,834,173
Helmerich & Payne, Inc.		10,700		599,307
Nabors Industries Ltd.*		27,700		400,265
National Oilwell Varco, Inc.		37,900		2,590,465
Noble Corp.		22,100		769,522
Rowan Cos. PLC (Class A Stock)*		9,600		300,192
Schlumberger Ltd.		117,618		8,149,751
Seadrill Ltd. (Norway)		3,156		116,273
Transocean Ltd. (Switzerland)		1,841		82,539

				21,271,437

Food & Staples Retailing — 1.3%
Aeon Co. Ltd. (Japan)		3,100		35,428
Casino Guichard Perrachon SA (France)		415		39,750
Costco Wholesale Corp.		38,100		3,763,137
CVS Caremark Corp.		113,048		5,465,871
Delhaize Group SA (Belgium)		7,504		302,254
J Sainsbury PLC (United Kingdom)		55,343		313,112
Kesko OYJ (Finland) (Class B Stock)		1,928		63,297
Koninklijke Ahold NV (Netherlands)		10,473		140,433
Kroger Co. (The)		50,746		1,320,411
Lawson, Inc. (Japan)		300		20,351
Safeway, Inc.(a)		22,300		403,407
Seven & I Holdings Co. Ltd. (Japan)		3,900		109,944
Sysco Corp.		53,200		1,684,312
Walgreen Co.		75,500		2,794,255
Wal-Mart Stores, Inc.		152,200		10,384,606
Wesfarmers Ltd. (Australia)		2,475		95,489
Whole Foods Market, Inc.		14,800		1,351,684
Woolworths Ltd. (Australia)		15,549		477,019

				28,764,760

Food Products — 1.0%
Ajinomoto Co., Inc. (Japan)		3,000		39,697
Archer Daniels Midland Co.		60,226		1,649,590
Associated British Foods PLC (United Kingdom)		1,829		46,728
Campbell Soup Co.		15,000		523,350
ConAgra Foods, Inc.		38,600		1,138,700
Dean Foods Co.*		13,700		226,187
General Mills, Inc.		58,500		2,363,985
H.J. Heinz Co.(a)		28,200		1,626,576
Hershey Co. (The)(a)		13,900		1,003,858
Hormel Foods Corp.		10,400		324,584


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
J.M. Smucker Co. (The)		10,600	$	914,144
Kellogg Co.		20,700		1,156,095
Kraft Foods Group, Inc.		52,117		2,369,760
McCormick & Co., Inc.		11,400		724,242
Mead Johnson Nutrition Co.		17,667		1,164,079
Mondelez International, Inc. (Class A Stock)		156,353		3,982,311
Nestle SA (Switzerland)		16,596		1,082,781
Suedzucker AG (Germany)		7,333		301,000
Tate & Lyle PLC (United Kingdom)		24,785		306,647
Tyson Foods, Inc. (Class A Stock)		26,300		510,220
Unilever NV (Netherlands)		8,405		321,607

				21,776,141

Gas Utilities — 0.1%
AGL Resources, Inc.		9,339		373,280
Enagas (Spain)		13,927		298,374
Gas Natural SDG SA (Spain)		2,877		51,865
ONEOK, Inc.		18,600		795,150
Tokyo Gas Co. Ltd. (Japan)		6,000		27,414

				1,546,083

Healthcare Equipment & Supplies — 0.9%
Baxter International, Inc.(a)		48,600		3,239,676
Becton Dickinson and Co.		17,400		1,360,506
Boston Scientific Corp.*		135,267		775,080
C.R. Bard, Inc.		7,700		752,598
CareFusion Corp.*		20,175		576,602
Coloplast A/S (Denmark) (Class B Stock)		454		22,264
Covidien PLC		41,800		2,413,532
DENTSPLY International, Inc.		11,200		443,632
Edwards Lifesciences Corp.*		10,300		928,751
Elekta AB (Sweden) (Class B Stock)		1,919		29,922
Intuitive Surgical, Inc.*		3,500		1,716,295
Medtronic, Inc.		91,600		3,757,432
St. Jude Medical, Inc.		27,500		993,850
Stryker Corp.		28,400		1,556,888
Varian Medical Systems, Inc.*(a)		10,100		709,424
Zimmer Holdings, Inc.		15,300		1,019,898

				20,296,350

Healthcare Providers & Services — 1.0%
Aetna, Inc.(a)		31,700		1,467,710
AmerisourceBergen Corp. (Class A Stock)(a)		21,400		924,052
Cardinal Health, Inc.		29,750		1,225,105
CIGNA Corp.		26,400		1,411,344
Coventry Health Care, Inc.		13,050		585,031
DaVita, Inc.*		7,900		873,187
Express Scripts Holding Co.*		70,949		3,831,246
Fresenius SE & Co. KGaA (Germany)		213		24,510
Humana, Inc.		14,900		1,022,587
Laboratory Corp. of America Holdings*		8,200		710,284
McKesson Corp.		20,730		2,009,981
Patterson Cos., Inc.		9,000		308,070
Quest Diagnostics, Inc.		14,200		827,434
Ramsay Health Care Ltd. (Australia)		4,366		124,529
Tenet Healthcare Corp.*(a)		11,150		362,040

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services (continued)
UnitedHealth Group, Inc.		93,500	$	5,071,440
WellPoint, Inc.		28,500		1,736,220

				22,514,770

Healthcare Technology
Cerner Corp.*(a)		13,300		1,032,612

Hotels, Restaurants & Leisure — 1.0%
Carnival Corp.		40,200		1,478,154
Chipotle Mexican Grill, Inc.*		2,850		847,761
Darden Restaurants, Inc.		10,750		484,502
Flight Centre Ltd. (Australia)		2,193		62,053
Galaxy Entertainment Group Ltd. (Hong Kong)*		84,000		336,822
International Game Technology		28,200		399,594
Marriott International, Inc. (Class A Stock)		22,628		843,346
McDonald’s Corp.		89,600		7,903,616
Oriental Land Co. Ltd. (Japan)		2,500		302,761
SJM Holdings Ltd. (Hong Kong)		10,000		23,601
Starbucks Corp.		66,700		3,576,454
Starwood Hotels & Resorts Worldwide, Inc.		17,600		1,009,536
Tatts Group, Ltd. (Australia)		7,147		22,511
TUI Travel PLC (United Kingdom)		62,767		291,256
Whitbread PLC (United Kingdom)		1,102		44,284
Wyndham Worldwide Corp.		12,320		655,547
Wynn Resorts Ltd.		7,100		798,679
Yum! Brands, Inc.		40,600		2,695,840

				21,776,317

Household Durables — 0.2%
D.R. Horton, Inc.		22,400		443,072
Garmin Ltd. (Switzerland)(a)		7,800		318,396
Harman International Industries, Inc.		6,400		285,696
Leggett & Platt, Inc.		11,700		318,474
Lennar Corp. (Class A Stock)(a)		12,900		498,843
Newell Rubbermaid, Inc.		27,314		608,283
Pulte Group, Inc.*(a)		33,522		608,760
Sekisui House Co. Ltd. (Japan)		3,000		32,849
Sony Corp. (Japan)		5,100		57,199
Whirlpool Corp.		7,326		745,420

				3,916,992

Household Products — 1.1%
Clorox Co. (The)		11,800		863,996
Colgate-Palmolive Co.		40,900		4,275,686
Kimberly-Clark Corp.		35,300		2,980,379
Procter & Gamble Co. (The)		246,725		16,750,160
Reckitt Benckiser Group PLC (United Kingdom)		5,061		321,272
Svenska Cellulosa AB (Sweden) (Class B Stock)		2,896		62,967

				25,254,460

Independent Power Producers & Energy Traders — 0.1%
AES Corp. (The)		61,100		653,770
NRG Energy, Inc.		25,900		595,441

				1,249,211


COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 1.3%
3M Co.		57,000	$	5,292,450
Danaher Corp.		50,300		2,811,770
General Electric Co.		944,300		19,820,857
Hutchison Whampoa Ltd. (Hong Kong)		25,000		264,924
Keppel Corp. Ltd. (Singapore)		4,000		36,526
Koninklijke Philips Electronics NV (Netherlands)		7,088		187,693
Siemens AG (Germany)		638		69,766

				28,483,986

Insurance — 2.1%
ACE Ltd.		30,700		2,449,860
Aegon NV (Netherlands)		53,049		342,689
Aflac, Inc.(a)		41,200		2,188,544
Ageas (Belgium)		1,187		35,073
Allianz SE (Germany)		4,259		593,695
Allstate Corp. (The)		43,300		1,739,361
American International Group, Inc.*		130,239		4,597,437
Aon PLC (United Kingdom)		30,500		1,695,800
Assurant, Inc.		8,400		291,480
AXA SA (France)		9,062		162,716
Berkshire Hathaway, Inc. (Class B Stock)*		163,200		14,639,040
Chubb Corp.		24,700		1,860,404
Cincinnati Financial Corp.		15,537		608,429
Genworth Financial, Inc. (Class A Stock)*		47,000		352,970
Hannover Rueckversicherung AG (Germany)		3,863		302,566
Hartford Financial Services Group, Inc. (The)		42,700		958,188
Insurance Australia Group Ltd. (Australia)		7,997		39,388
Legal & General Group PLC (United Kingdom)		148,778		356,752
Lincoln National Corp.		28,918		748,976
Loews Corp.		29,275		1,192,956
Marsh & McLennan Cos., Inc.		50,600		1,744,182
MetLife, Inc.		96,500		3,178,710
Muenchener Rueckversicherungs AG (Germany)		2,487		448,975
Principal Financial Group, Inc.		29,200		832,784
Progressive Corp. (The)(a)		54,200		1,143,620
Sampo OYJ (Finland) (Class A Stock)		1,738		56,287
Standard Life PLC (United Kingdom)		62,947		344,098
Swiss Life Holding AG (Switzerland)		478		63,802
Swiss Re AG (Switzerland)		5,631		408,241
Torchmark Corp.		9,750		503,782
Travelers Cos., Inc. (The)		35,735		2,566,488
Unum Group		29,810		620,644
XL Group PLC		28,700		719,222

				47,787,159

Internet & Catalog Retail — 0.5%
Amazon.com, Inc.*		32,100		8,061,594
Expedia, Inc.		8,150		500,817
Netflix, Inc.*(a)		4,600		426,788
priceline.com, Inc.*		4,450		2,764,340

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet & Catalog Retail (continued)
Tripadvisor, Inc.*(a)		8,250	$	346,170

				12,099,709

Internet Software & Services — 1.1%
Akamai Technologies, Inc.*		16,100		658,651
Dena Co. Ltd. (Japan)		600		19,683
eBay, Inc.*		102,900		5,249,958
Google, Inc. (Class A Stock)*		23,850		16,918,474
VeriSign, Inc.*(a)		13,900		539,598
Yahoo! Japan Corp. (Japan)		857		277,493
Yahoo!, Inc.*(a)		98,400		1,958,160

				25,622,017

IT Services — 1.9%
Accenture PLC (Ireland) (Class A Stock)		56,800		3,777,200
Amadeus IT Holding SA (Spain) (Class A Stock)		1,565		39,550
Automatic Data Processing, Inc.		42,400		2,417,224
Cap Gemini SA (France)		6,925		302,815
Cognizant Technology Solutions Corp. (Class A Stock)*		26,900		1,991,945
Computer Sciences Corp.		12,500		500,625
Fidelity National Information Services, Inc.		21,300		741,453
Fiserv, Inc.*		11,600		916,748
International Business Machines Corp.		96,100		18,407,955
Mastercard, Inc. (Class A Stock)		9,400		4,618,032
Otsuka Corp. (Japan)		1,800		136,189
Paychex, Inc.		29,800		927,972
SAIC, Inc.		29,000		328,280
Teradata Corp.*		15,200		940,728
Total System Services, Inc.		15,596		334,066
Visa, Inc. (Class A Stock)		46,200		7,002,996
Western Union Co. (The)		57,110		777,267

				44,161,045

Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		9,900		355,410
Mattel, Inc.		29,951		1,096,805
Namco Bandai Holdings, Inc. (Japan)		22,600		292,946

				1,745,161

Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.		31,614		1,294,277
Life Technologies Corp.*		15,501		760,789
PerkinElmer, Inc.		10,100		320,574
Thermo Fisher Scientific, Inc.		33,300		2,123,874
Waters Corp.*		7,300		635,976

				5,135,490

Machinery — 1.1%
Caterpillar, Inc.		57,500		5,150,850
Cummins, Inc.		16,100		1,744,435
Deere & Co.		35,100		3,033,342
Dover Corp.		15,900		1,044,789
Eaton Corp.		39,837		2,159,165
Fiat Industrial SpA (Italy)		29,924		327,836
Flowserve Corp.		4,600		675,280
GEA Group AG (Germany)		908		29,524
Hino Motors Ltd. (Japan)		34,000		307,320


COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Illinois Tool Works, Inc.		39,600	$	2,408,076
Ingersoll-Rand PLC		27,100		1,299,716
Joy Global, Inc.		10,300		656,934
Kone OYJ (Finland) (Class B Stock)		4,545		336,149
Kubota Corp. (Japan)		5,000		57,487
Makita Corp. (Japan)		600		27,873
Mitsubishi Heavy Industries, Ltd. (Japan)		15,000		72,558
PACCAR, Inc.		31,043		1,403,454
Pall Corp.(a)		9,600		578,496
Parker Hannifin Corp.		12,865		1,094,297
Pentair Ltd.		18,077		888,485
Snap-on, Inc.		4,800		379,152
Stanley Black & Decker, Inc.		15,397		1,138,916
Xylem, Inc.		15,200		411,920

				25,226,054

Marine
A.P. Moller-Maersk A/S (Denmark) (Class B Stock)		5		37,863

Media — 1.8%
British Sky Broadcasting Group PLC (United Kingdom)		5,510		69,495
Cablevision Systems Corp. (Class A Stock)(a)		23,500		351,090
CBS Corp. (Class B Stock)		56,334		2,143,509
Comcast Corp. (Class A Stock)		239,790		8,963,350
DIRECTV*		56,800		2,849,088
Discovery Communications, Inc. (Class A Stock)*		21,700		1,377,516
Gannett Co., Inc.(a)		16,800		302,568
Hakuhodo DY Holdings, Inc. (Japan)		2,200		142,365
Interpublic Group of Cos., Inc. (The)		37,731		415,795
ITV PLC (United Kingdom)		185,899		322,493
McGraw-Hill Cos., Inc. (The)		24,000		1,312,080
News Corp. (Class A Stock)		185,800		4,745,332
Omnicom Group, Inc.(a)		23,500		1,174,060
Scripps Networks Interactive, Inc. (Class A Stock)		9,200		532,864
Time Warner Cable, Inc.		27,114		2,635,209
Time Warner, Inc.		84,666		4,049,575
Viacom, Inc. (Class B Stock)		42,434		2,237,969
Walt Disney Co. (The)		160,800		8,006,232
Washington Post Co. (The) (Class B Stock)		400		146,084

				41,776,674

Metals & Mining — 0.5%
Alcoa, Inc.		90,540		785,887
Allegheny Technologies, Inc.		9,900		300,564
Anglo American PLC (United Kingdom)		7,184		226,463
BHP Billiton Ltd. (Australia)		16,558		646,434
BHP Billiton PLC (United Kingdom)		7,538		265,893
Boliden AB (Sweden)		3,526		66,997
Cliffs Natural Resources, Inc.		12,700		489,712
Fortescue Metals Group Ltd. (Australia)(a)		64,817		323,013
Freeport-McMoRan Copper & Gold, Inc.		85,088		2,910,009

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Fresnillo PLC (United Kingdom)		966	$	29,629
Iluka Resources Ltd. (Australia)		3,491		33,737
Kazakhmys PLC (United Kingdom)		23,523		304,029
Newcrest Mining Ltd. (Australia)		4,098		95,864
Newmont Mining Corp.		44,700		2,075,868
Nucor Corp.		29,200		1,260,856
OZ Minerals Ltd. (Australia)		41,775		296,670
Rio Tinto Ltd. (Australia)		2,227		156,579
Rio Tinto PLC (United Kingdom)		7,042		410,731
Sumitomo Metal Mining Co. Ltd. (Japan)		3,000		42,348
United States Steel Corp.(a)		14,700		350,889
Xstrata PLC (United Kingdom)		6,337		110,618

				11,182,790

Multiline Retail — 0.4%
Big Lots, Inc.*		4,300		122,378
Dollar General Corp.*		22,100		974,389
Dollar Tree, Inc.*		21,200		859,872
Family Dollar Stores, Inc.		10,600		672,146
J.C. Penney Co., Inc.(a)		14,400		283,824
Kohl’s Corp.		21,100		906,878
Macy’s, Inc.		36,974		1,442,725
Next PLC (United Kingdom)		5,441		330,284
Nordstrom, Inc.(a)		14,700		786,450
Target Corp.		58,300		3,449,611

				9,828,557

Multi-Utilities — 0.7%
Ameren Corp.		21,900		672,768
CenterPoint Energy, Inc.		38,100		733,425
CMS Energy Corp.(a)		23,000		560,740
Consolidated Edison, Inc.		25,700		1,427,378
Dominion Resources, Inc.		51,332		2,658,998
DTE Energy Co.		15,000		900,750
GDF Suez (France)		20,279		417,670
Integrys Energy Group, Inc.(a)		6,020		314,364
National Grid PLC (United Kingdom)		43,053		493,795
NiSource, Inc.		24,800		617,272
PG&E Corp.		38,200		1,534,876
Public Service Enterprise Group, Inc.(a)		46,100		1,410,660
SCANA Corp.(a)		11,300		515,732
Sempra Energy		20,519		1,455,618
TECO Energy, Inc.(a)		20,500		343,580
Wisconsin Energy Corp.		20,100		740,685

				14,798,311

Office Electronics
Konica Minolta Holdings, Inc. (Japan)		2,500		17,991
Ricoh Co. Ltd. (Japan)		3,000		31,843
Xerox Corp.		127,463		869,298

				919,132

Oil, Gas & Consumable Fuels — 4.8%
Anadarko Petroleum Corp.		43,554		3,236,498
Apache Corp.		35,014		2,748,599
BP PLC (United Kingdom)		126,228		877,657
Cabot Oil & Gas Corp.		18,000		895,320
Chesapeake Energy Corp.(a)		51,500		855,930


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Chevron Corp.		175,822	$	19,013,391
ConocoPhillips(a)		111,277		6,452,953
Consol Energy, Inc.		19,500		625,950
Denbury Resources, Inc.*		37,200		602,640
Devon Energy Corp.		35,700		1,857,828
ENI SpA (Italy)		24,436		598,625
EOG Resources, Inc.		23,700		2,862,723
EQT Corp.		12,800		754,944
Exxon Mobil Corp.		411,799		35,641,203
Hess Corp.		27,500		1,456,400
Inpex Corp. (Japan)		11		58,832
JX Holdings, Inc. (Japan)		5,400		30,487
Kinder Morgan, Inc.		54,998		1,943,079
Marathon Oil Corp.		62,682		1,921,830
Marathon Petroleum Corp.		30,141		1,898,883
Murphy Oil Corp.		17,300		1,030,215
Newfield Exploration Co.*		13,900		372,242
Noble Energy, Inc.		15,200		1,546,448
Occidental Petroleum Corp.		72,600		5,561,886
OMV AG (Austria)		8,388		303,949
Peabody Energy Corp.(a)		23,300		620,013
Phillips 66		56,138		2,980,928
Pioneer Natural Resources Co.		11,500		1,225,785
QEP Resources, Inc.		15,500		469,185
Range Resources Corp.		15,000		942,450
Repsol SA (Spain)		1,132		23,107
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		27,283		947,003
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		21,491		766,724
Southwestern Energy Co.*(a)		31,600		1,055,756
Spectra Energy Corp.		58,062		1,589,738
Statoil ASA (Norway)		2,736		68,960
Tesoro Corp.		12,400		546,220
Total SA (France)		10,937		569,087
Valero Energy Corp.		48,800		1,665,056
Williams Cos., Inc. (The)		59,300		1,941,482
WPX Energy, Inc.*		20,033		298,091

				108,858,097

Paper & Forest Products — 0.1%
International Paper Co.		37,773		1,504,877
MeadWestvaco Corp.		16,514		526,301
Stora Enso OYJ (Finland) (Class R Stock)		43,001		300,983

				2,332,161

Personal Products — 0.1%
Avon Products, Inc.		39,200		562,912
Estee Lauder Cos., Inc. (The) (Class A Stock)		20,000		1,197,200
Kao Corp. (Japan)		1,300		33,875

				1,793,987

Pharmaceuticals — 3.3%
Abbott Laboratories		140,300		9,189,650
Allergan, Inc.		27,700		2,540,921
Astellas Pharma, Inc. (Japan)		2,300		103,412
AstraZeneca PLC (United Kingdom)		12,332		584,413

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Bayer AG (Germany)		3,467	$	330,621
Bristol-Myers Squibb Co.		148,970		4,854,932
Eli Lilly & Co.		91,500		4,512,780
Forest Laboratories, Inc.*		22,300		787,636
GlaxoSmithKline PLC (United Kingdom)		7,889		171,763
Hospira, Inc.*		14,860		464,226
Johnson & Johnson(a)		247,548		17,353,115
Merck & Co., Inc.		271,533		11,116,561
Mylan, Inc.*		39,400		1,082,712
Novartis AG (Switzerland)		11,847		748,414
Novo Nordisk A/S (Denmark) (Class B Stock)		2,097		341,468
Orion OYJ (Finland) (Class B Stock)		6,704		197,386
Otsuka Holdings Co. Ltd. (Japan)		1,900		53,525
Perrigo Co.		8,800		915,464
Pfizer, Inc.		666,770		16,722,592
Roche Holding AG (Switzerland)		4,987		1,008,278
Sanofi (France)		9,207		873,104
Teva Pharmaceutical Industries Ltd. (Israel)		12,082		448,961
Watson Pharmaceuticals, Inc.*		11,200		963,200

				75,365,134

Professional Services — 0.1%
Capita (The) (United Kingdom)		6,523		80,605
Dun & Bradstreet Corp. (The)(a)		4,800		377,520
Equifax, Inc.		10,100		546,612
Experian PLC (United Kingdom)		5,233		84,340
Robert Half International, Inc.		11,200		356,384

				1,445,461

Real Estate Investment Trusts — 1.1%
American Tower Corp.		35,100		2,712,177
Apartment Investment & Management Co. (Class A Stock)		13,033		352,673
Ascendas Real Estate Investment Trust (Singapore)		153,000		299,409
AvalonBay Communities, Inc.		9,975		1,352,510
Boston Properties, Inc.		13,500		1,428,435
Equity Residential		28,900		1,637,763
GPT Group (Australia)		18,978		73,050
HCP, Inc.		40,600		1,834,308
Health Care REIT, Inc.		22,300		1,366,767
Host Hotels & Resorts, Inc.(a)		66,682		1,044,907
Kimco Realty Corp.(a)		35,000		676,200
Link REIT (The) (Hong Kong)		68,000		340,551
Plum Creek Timber Co., Inc.		12,700		563,499
ProLogis, Inc.		41,077		1,498,900
Public Storage		12,700		1,840,992
Simon Property Group, Inc.		27,443		4,338,464
Ventas, Inc.		25,518		1,651,525
Vornado Realty Trust		16,825		1,347,346
Westfield Group (Australia)		11,232		124,045
Westfield Retail Trust (Australia)		14,961		47,202
Weyerhaeuser Co.(a)		48,598		1,351,996

				25,882,719


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		29,600	$	589,040
Cheung Kong Holdings Ltd. (Hong Kong)		7,000		108,916
Daiwa House Industry Co. Ltd. (Japan)		3,000		51,578
Henderson Land Development Co. Ltd. (Hong Kong)		5,000		35,796
Hysan Development Co. Ltd. (Hong Kong)		5,000		24,314
Keppel Land Ltd. (Singapore)		90,000		301,433
Lend Lease Group (Australia)		17,428		170,199
New World Development Co. Ltd. (Hong Kong)		19,000		30,080
Sino Land Co. Ltd. (Hong Kong)		26,000		47,610
Sun Hung Kai Properties Ltd. (Hong Kong)		22,000		333,635
Swire Properties Ltd. (Hong Kong)		91,000		306,490
Wharf Holdings Ltd. (Hong Kong)		24,000		191,273
Wheelock & Co. Ltd. (Hong Kong)		5,000		25,506

				2,215,870

Road & Rail — 0.5%
Aurizon Holdings Ltd. (Australia)		9,379		36,882
Central Japan Railway Co. (Japan)		4,200		340,870
ComfortDelGro Corp. Ltd. (Singapore)		32,000		47,076
CSX Corp.		91,600		1,807,268
DSV A/S (Denmark)		2,057		53,220
East Japan Railway Co. (Japan)		6,100		394,451
Hankyu Hanshin Holdings, Inc. (Japan)		6,000		31,022
MTR Corp. Ltd. (Hong Kong)		7,500		29,719
Norfolk Southern Corp.		29,500		1,824,280
Odakyu Electric Railway Co. Ltd. (Japan)		3,000		31,213
Ryder System, Inc.		4,900		244,657
Tokyu Corp. (Japan)		6,000		33,802
Union Pacific Corp.		42,000		5,280,240
West Japan Railway Co. (Japan)		2,100		82,733

				10,237,433

Semiconductors & Semiconductor Equipment — 1.0%
Advanced Micro Devices, Inc.*(a)		55,700		133,680
Altera Corp.		29,700		1,022,868
Analog Devices, Inc.		25,300		1,064,118
Applied Materials, Inc.		114,700		1,312,168
ARM Holdings PLC (United Kingdom)		29,317		370,239
Broadcom Corp. (Class A Stock)		44,650		1,482,826
First Solar, Inc.*(a)		2,600		80,288
Intel Corp.		448,200		9,246,366
KLA-Tencor Corp.		14,700		702,072
Lam Research Corp.*		16,050		579,886
Linear Technology Corp.		20,500		703,150
LSI Corp.*		57,100		404,268
Microchip Technology, Inc.(a)		15,700		511,663
Micron Technology, Inc.*		87,900		558,165
NVIDIA Corp.		52,550		645,840
Teradyne, Inc.*(a)		19,800		334,422
Texas Instruments, Inc.		99,900		3,090,906

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Xilinx, Inc.		23,400	$	840,060

				23,082,985

Software — 1.8%
Adobe Systems, Inc.*		43,200		1,627,776
Autodesk, Inc.*		19,700		696,395
BMC Software, Inc.*		13,400		531,444
CA, Inc.		32,364		711,361
Citrix Systems, Inc.*		16,500		1,084,875
Dassault Systemes SA (France)		945		105,658
Electronic Arts, Inc.*(a)		23,700		344,361
Intuit, Inc.		26,800		1,594,600
Microsoft Corp.		678,700		18,141,651
Oracle Corp.		343,000		11,428,760
Red Hat, Inc.*		16,600		879,136
Salesforce.com, Inc.*(a)		12,000		2,017,200
SAP AG (Germany)		2,263		181,975
Symantec Corp.*		61,478		1,156,401

				40,501,593

Specialty Retail — 1.1%
ABC-Mart, Inc. (Japan)		800		34,828
Abercrombie & Fitch Co. (Class A Stock)		8,300		398,151
AutoNation, Inc.*		3,874		153,798
AutoZone, Inc.*		3,150		1,116,454
Bed Bath & Beyond, Inc.*		21,300		1,190,883
Best Buy Co., Inc.(a)		22,025		260,996
CarMax, Inc.*(a)		20,100		754,554
GameStop Corp. (Class A Stock)(a)		13,600		341,224
Gap, Inc. (The)		30,000		931,200
Home Depot, Inc. (The)		134,950		8,346,658
Inditex SA (Spain)		3,086		433,605
Limited Brands, Inc.		20,306		955,600
Lowe’s Cos., Inc.		103,800		3,686,976
O’Reilly Automotive, Inc.*		11,100		992,562
PetSmart, Inc.		9,700		662,898
Ross Stores, Inc.		20,800		1,126,320
Staples, Inc.(a)		56,449		643,519
Tiffany & Co.		11,100		636,474
TJX Cos., Inc.		67,300		2,856,885
Urban Outfitters, Inc.*		11,100		436,896

				25,960,481

Textiles, Apparel & Luxury Goods — 0.3%
Christian Dior SA (France)		168		28,636
Cie Financiere Richemont SA (Switzerland)		4,558		357,783
Coach, Inc.		26,100		1,448,811
Fossil, Inc.*		4,200		391,020
NIKE, Inc. (Class B Stock)		65,800		3,395,280
Ralph Lauren Corp.		5,800		869,536
V.F. Corp.		8,000		1,207,760

				7,698,826

Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		49,900		405,687
People’s United Financial, Inc.		26,300		317,967

				723,654


COMMON STOCKS (continued)	Shares		Value (Note 2)
Tobacco — 0.9%
Altria Group, Inc.		180,600	$	5,674,452
British American Tobacco PLC (United Kingdom)		2,378		120,886
Imperial Tobacco Group PLC (United Kingdom)		3,528		136,787
Japan Tobacco, Inc. (Japan)		14,500		409,616
Lorillard, Inc.		11,947		1,393,856
Philip Morris International, Inc.		150,400		12,579,456
Reynolds American, Inc.(a)		29,000		1,201,470

				21,516,523

Trading Companies & Distributors — 0.2%
Fastenal Co.		25,900		1,209,271
ITOCHU Corp. (Japan)		33,800		357,236
Marubeni Corp. (Japan)		47,000		337,236
Sumitomo Corp. (Japan)		5,600		71,847
Toyota Tsusho Corp. (Japan)		12,700		313,471
W.W. Grainger, Inc.		5,200		1,052,324
Wolseley PLC (United Kingdom)		3,237		154,790

				3,496,175

Transportation Infrastructure
Atlantia SpA (Italy)		1,687		30,634

Wireless Telecommunication Services — 0.2%
Crown Castle International Corp.*		24,700		1,782,352
KDDI Corp. (Japan)		5,300		374,696
MetroPCS Communications, Inc.*		29,500		293,230
Millicom International Cellular SA (Luxembourg)		316		27,429
Softbank Corp. (Japan)		4,600		168,550
Sprint Nextel Corp.*		265,477		1,505,254
Vodafone Group PLC (United Kingdom)		98,338		247,544

				4,399,055

TOTAL COMMON STOCKS (cost $704,381,496)				1,199,558,774

EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund (cost $1,898,429)		34,750		1,974,495

PREFERRED STOCKS — 0.1%
Automobiles
Volkswagen AG (Germany)		821		188,379

Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		20,000		558,000

Media
ProSiebenSat.1 Media AG (Germany)		9,887		281,621

TOTAL PREFERRED STOCKS (cost $937,184)				1,028,000


	Units
RIGHT
Oil, Gas & Consumable Fuels
Repsol SA (Spain)* (cost $0)		1,132		690

SEE NOTES TO FINANCIAL STATEMENTS.


ASSET-BACKED SECURITIES — 2.5%	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities — 2.1%
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.569%	10/20/19	$	2,163	$	2,107,121
American Express Credit Account Master Trust, Ser. 2012-4, Class C, 144A(b)	AA-(c)		1.009%	05/15/20		2,700		2,700,451
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b)	Aaa		1.911%	05/17/21		500		501,499
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.574%	01/26/20		1,336		1,307,170
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.609%	01/15/16		4,159		4,159,757
Battalion CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A1, 144A(b)	AAA(c)		1.537%	11/15/19		2,000		1,992,654
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.562%	05/25/17		621		614,601
Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, Class A1, 144A(b)	Aaa		0.575%	04/25/19		1,824		1,782,024
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.563%	08/03/19		404		395,834
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(b)	Baa2		0.681%	03/24/17		1,000		992,412
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b)	Baa2		0.611%	02/20/15		1,500		1,499,975
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.569%	07/22/20		640		628,146
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aa1		0.778%	03/15/20		1,000		957,753
GE Capital Credit Card Master Note Trust, Ser. 2011-2, Class B(b)	A2		1.209%	05/15/19		6,825		6,877,805
GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b)	A2		1.059%	06/15/18		4,500		4,523,931
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.600%	12/15/17		230		229,649
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(b)	Aaa		0.700%	07/15/16		7		6,900
Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A, 144A(b)	AAA(c)		1.751%	09/06/22		1,164		1,163,514
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.561%	10/19/20		774		759,030
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.571%	06/01/17		1,376		1,354,299
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.568%	09/15/17		976		959,126
Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A1A, 144A(b)	Aaa		2.003%	05/18/23		1,100		1,103,254
MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(b)	A3		1.109%	11/15/16		1,000		1,003,905
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.558%	03/15/18		254		245,784
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(b)	Aaa		1.791%	11/22/23		1,000		1,001,283
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(b)	AA(c)		2.511%	11/22/23		900		889,730
Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.961%	08/17/22		500		501,391
Sound Point CLO Ltd. (Caymen Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		3.084%	10/20/23		900		915,032
Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b)	Aaa		0.572%	05/27/20		2,097		2,048,281
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		134		134,331
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		1,777		1,776,765
Trimaran CLO Ltd. (Cayma n Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.563%	11/01/18		2,000		1,974,004

								47,107,411

Residential Mortgage-Backed Securities — 0.4%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.860%	03/25/33		427		323,679
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(b)	Ba1		0.960%	03/25/34		3,240		3,045,046
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3(b)	B3		4.853%	07/25/35		375		319,581

SEE NOTES TO FINANCIAL STATEMENTS.

A10


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Equity One ABS, Inc., Ser. 2004-3, Class M1(d)	Ba1		5.330%	07/25/34	$	725	$	606,196
Fremont Home Loan Trust, Ser. 2004-2, Class M1(b)	A3		1.065%	07/25/34		506		433,418
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.701%	01/20/35		328		312,412
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.740%	06/25/34		926		792,932
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.410%	05/25/33		222		208,436
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.260%	12/27/33		1,252		1,185,875
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.110%	07/25/32		642		545,513
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.485%	09/25/32		807		726,354
Securitized Asset Backed Receivables LLC, Ser. 2004-OP1, Class M1(b)	Ba3		0.975%	02/25/34		1,238		1,113,195
Securitized Asset Backed Receivables LLC, Ser. 2006-FR3, Class A3(b)	Ca		0.460%	05/25/36		1,372		698,989

								10,311,626

TOTAL ASSET-BACKED SECURITIES (cost $57,416,627)								57,419,037

BANK LOANS(b) — 0.5%
Automotive
Schaeffler AG (Germany)	Ba3		6.000%	01/27/17		600		605,625

Chemicals — 0.1%
Ashland, Inc.	Baa3		2.312%	08/23/16		1,382		1,383,306

Foods — 0.1%
Del Monte Foods Co.	Ba3		4.500%	03/08/18		988		988,345

Gaming
Scientific Games Corp	Ba1		3.215%	06/30/15		421		420,795

Healthcare & Pharmaceutical — 0.2%
Community Health Systems, Inc.	Ba3		2.811%	10/25/16		491		489,414
HCA, Inc.	Ba3		3.462%	05/01/18		370		370,232
HCA, Inc.	Ba3		3.561%	03/31/17		886		887,996
RPI Finance Trust	Baa2		4.000%	11/09/18		907		916,000
Universal Health Services, Inc.	Ba2		2.060%	08/15/16		894		894,375

								3,558,017

Pipelines & Other
Energy Transfer Equity LP	Ba2		3.750%	03/23/17		800		805,375

Technology — 0.1%
First Data Corp.	B1		4.211%	03/26/18		2,055		1,954,708
First Data Corp.	B1		5.211%	03/24/17		156		153,084
Flextronics International Ltd. (Singapore)	Ba1		0.381%	10/01/14		410		409,568
Flextronics International Ltd. (Singapore)	Ba1		2.462%	10/01/14		118		117,692
Sensata Technologies, Inc.	Ba2		3.750%	05/12/18		439		440,642

								3,075,694

TOTAL BANK LOANS (cost $10,829,598)								10,837,157

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,141		1,655,059
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		3.002%	02/25/35		530		512,934
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		2.770%	03/25/35		544		505,376
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	B2		3.038%	02/25/37		1,195		1,191,169
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1(b)	Ba3		5.250%	09/25/19		645		658,934
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.991%	07/25/35		759		762,156
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		169		173,953

SEE NOTES TO FINANCIAL STATEMENTS.

A11


COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa3		2.775%	02/25/34	$	657	$	662,119
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		415		419,902

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $7,031,532)								6,541,602

COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.0%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		2,981		3,013,504
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		2,000		2,019,194
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.685%	06/10/49		806		805,660
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,400		3,703,419
Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, Class A4(b)	AAA(c)		5.452%	03/11/39		1,200		1,353,955
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(b)	Aaa		5.702%	12/10/49		800		942,529
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.304%	01/15/46		1,000		1,119,976
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%	10/15/48		480		551,684
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(c)		5.440%	09/15/30		426		431,782
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C7, Class A4(b)	AAA(c)		5.748%	06/10/46		4,000		4,542,800
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		1,249		1,255,989
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, Class A2(b)	Aaa		1.765%	10/15/45		2,600		2,670,834
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR5, Class A3(b)	Aaa		2.540%	12/10/45		1,000		999,362
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(c)		5.409%	02/15/39		4,330		4,885,530
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AAA(c)		5.409%	02/15/39		530		586,708
CS First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		900		967,473
CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4	AAA(c)		5.100%	08/15/38		3,000		3,297,474
CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA+(c)		5.223%	08/15/48		1,020		1,156,237
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(c)		5.803%	05/15/46		1,175		1,251,482
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b)	AA+(c)		1.479%	05/25/22		21,456		2,288,460
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b)	AA+(c)		1.516%	06/25/22		5,897		655,604
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b)	AA+(c)		1.755%	08/25/16		6,340		296,794
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b)	AA+(c)		1.785%	05/25/19		16,975		1,618,833
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1(b)	AA+(c)		1.712%	07/25/19		17,495		1,626,217
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(c)		4.697%	05/10/43		2,610		2,789,398
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(b)	Aa2		5.224%	04/10/37		1,400		1,546,836
Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(a)(b)	Aaa		5.867%	07/10/38		1,620		1,860,424
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		2,667		2,752,069
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		985		989,391

SEE NOTES TO FINANCIAL STATEMENTS.

A12


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB	Aaa		4.853%	03/15/46	$	1,326	$	1,368,614
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		260		260,844
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,079,820
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		2,486		2,575,397
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%	10/15/42		1,170		1,272,595
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		1,445		1,541,618
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class A4	Aaa		5.475%	04/15/43		2,393		2,703,130
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A2(b)	Aaa		5.797%	06/15/49		1,118		1,153,114
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%	06/15/45		1,800		1,939,511
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		1,500		1,506,745
JPMorgan Chase Commercial Mortgage Securities Corp. I/O, Ser. 2006-LDP6, Class X2(b)	Aaa		0.050%	04/15/43		86,032		7,227
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5	AAA(c)		4.826%	08/15/29		2,007		2,049,607
LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5	Aaa		4.739%	07/15/30		695		752,242
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(c)		5.263%	11/15/40		1,390		1,527,837
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(c)		5.084%	02/15/31		298		298,277
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,780
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4	Aaa		5.661%	03/15/39		1,630		1,849,825
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		1,900		1,947,511
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(b)	AAA(c)		5.684%	05/12/39		3,400		3,900,215
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	AA(c)		5.684%	05/12/39		780		874,761
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	A(c)		5.532%	02/12/39		440		489,258
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		5.893%	06/12/46		2,210		2,545,803
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5, Class A3	Aaa		5.364%	08/12/48		440		454,392
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		2,157		2,215,599
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.420%	03/12/44		1,500		1,677,270
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(c)		5.691%	10/15/42		2,600		2,935,127
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		4,080		4,694,656
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		3,697		3,876,545
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(c)		5.651%	06/11/42		970		1,000,663
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	AAA(c)		2.792%	12/10/45		1,400		1,415,729
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4	Aaa		5.418%	01/15/45		1,255		1,398,486
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.736%	05/15/43		3,688		4,207,961
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		3,800		4,390,463
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		5.921%	02/15/51		2,900		3,402,341

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $105,908,027)								115,347,581

SEE NOTES TO FINANCIAL STATEMENTS.

A13


CORPORATE BONDS — 11.4%	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Aerospace & Defense — 0.1%
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		6.300%	05/01/14	$	900	$	939,375
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		475		529,452

								1,468,827

Airlines — 0.2%
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 1998-1, Class A	Baa2		6.648%	09/15/17		185		198,069
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2001-1 Class A-1(e)	Baa2		6.703%	06/15/21		127		137,723
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2009-2, Class A	Baa2		7.250%	11/10/19		636		734,026
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2010-A(a)	Baa2		4.750%	01/12/21		701		762,819
Continental Airlines , Inc. Pass-Through Certificates, Pass-thru Certs., Ser. 2012-2, Class A	Baa2		4.000%	10/29/24		405		426,263
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa2		6.821%	08/10/22		355		396,081
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2011-1, Class A(a)	Baa2		5.300%	04/15/19		986		1,087,481
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2A	Baa2		4.950%	05/23/19		604		658,562

								4,401,024

Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		3.984%	06/15/16		430		456,585
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16		1,440		1,535,927
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%	03/15/17		380		392,739
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		495		540,583
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		235		265,267

								3,191,101

Banking — 2.7%
American Express Co., Sr. Unsec’d. Notes, 144A	A3		2.650%	12/02/22		2,300		2,290,841
American Express Credit Corp., Sr. Unsec’d. Notes, MTN(f)	A2		2.800%	09/19/16		1,210		1,280,234
Banco Bradesco SA (Brazil), Sub. Notes(a)	Baa1		8.750%	10/24/13		1,690		1,778,725
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		530		543,324
Bangkok Bank PCL/Hong Kong (Thailand), Sr. Unsec’d. Notes, 144A	A3		2.750%	03/27/18		1,515		1,532,250
Bank of America Corp., Jr. Sub. Notes, Ser. K(b)	B1		8.000%	12/29/49		2,100		2,322,768
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%	04/01/15		185		197,196
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,290		1,551,288
Bank of America Corp., Sr. Unsec’d. Notes(f)	Baa2		6.000%	09/01/17		1,330		1,557,450
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		790		844,452
Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN	Baa2		5.650%	05/01/18		105		122,162
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		850		956,003
Bank of America NA, Sub. Notes	Baa1		6.000%	10/15/36		805		986,348
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		5.300%	10/30/15		550		609,506
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		6.400%	10/02/17		270		324,269
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		7.250%	02/01/18		1,135		1,422,204
Capital One Bank Corp., Sub. Notes	Baa1		6.500%	06/13/13		10		10,261
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%	05/15/40		1,130		1,130,000
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%	01/14/22		2,125		2,370,871
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		745		892,816
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%	03/05/38		320		421,266
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39		850		1,272,548
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,195		1,606,841
Citigroup, Inc., Sub. Notes	Baa3		6.125%	08/25/36		725		790,161
DEPFA ACS Bank (Ireland), Covered Notes, 144A	A3		5.125%	03/16/37		1,325		1,034,420
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		485		602,223
Goldman Sachs Group, Inc. (The), Sr. Notes	A3		6.250%	02/01/41		220		269,923

SEE NOTES TO FINANCIAL STATEMENTS.

A14


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.250%	07/27/21	$	2,305	$	2,627,645
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	A3		5.750%	01/24/22		1,250		1,477,765
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		700		831,748
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%	01/15/17		765		839,340
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.450%	05/01/36		1,020		1,118,772
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		113		128,066
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		4.875%	01/14/22		1,730		2,007,783
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21		920		1,086,411
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		150		183,519
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b)	Ba1		7.900%	04/29/49		2,000		2,266,020
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		1,935		2,050,036
JPMorgan Chase & Co., Sr. Unsec’d. Notes(a)	A2		4.250%	10/15/20		2,360		2,624,620
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN(f)	A2		5.800%	01/13/20		1,770		2,071,401
Morgan Stanley, Notes, Ser. G, MTN	Baa1		6.625%	04/01/18		100		117,858
Morgan Stanley, Sr. Unsec’d. Notes(a)	Baa1		6.375%	07/24/42		640		750,275
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,110		2,386,368
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		495		560,540
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		2,530		2,799,650
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		635		720,962
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b)	Ba1		6.346%	07/29/49		800		882,156
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,195		1,201,215
PNC Funding Corp., Gtd. Notes	A3		2.700%	09/19/16		925		977,286
PNC Funding Corp., Gtd. Notes(a)	A3		6.700%	06/10/19		390		497,575
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,775		2,097,411
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A3		3.400%	08/23/13		95		96,410
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	09/24/15		780		794,304
US Bancorp, Sub. Notes, MTN	A2		2.950%	07/15/22		915		924,357

								62,839,843

Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	02/06/12		1,850		432,438
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	05/02/18		700		168,000

								600,438

Building Materials & Construction
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		500		542,500

Cable — 0.4%
Cablevision Systems Corp., Sr. Unsec’d. Notes(a)	B1		8.625%	09/15/17		900		1,049,625
Comcast Cable Holdings LLC, Gtd. Notes	Baa1		9.875%	06/15/22		1,440		2,069,716
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		310		396,093
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		290		393,259
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		605		640,941
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		173,573
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		1,755		1,873,848
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,020		1,031,662
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		373,826

								8,002,543

Capital Goods — 0.4%
Actuant Corp., Gtd. Notes	Ba2		5.625%	06/15/22		1,040		1,076,400
Case New Holland, Inc., Gtd. Notes(a)	Ba2		7.875%	12/01/17		1,100		1,300,750
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		635		649,000
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(e)(h)	Baa1		6.375%	10/15/17		1,198		1,448,937
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(e)(h)	Baa1		7.000%	10/15/37		390		495,233
General Electric Co., Sr. Unsec’d. Notes	Aa3		4.125%	10/09/42		455		468,035

SEE NOTES TO FINANCIAL STATEMENTS.

A15


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17	$	320	$	377,328
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $319,875; purchased 07/10/12)(e)(h)	Baa3		2.500%	07/11/14		320		323,343
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $419,593; purchased 05/08/12)(e)(h)	Baa3		3.125%	05/11/15		420		428,543
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		1,540		1,711,188
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,060		1,203,446

								9,482,203

Chemicals — 0.2%
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		7.600%	05/15/14		686		748,962
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		35		57,625
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		780		814,449
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(a)	Baa3		5.000%	04/15/19		800		884,000
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		900		1,006,629
Union Carbide Corp., Sr. Unsec’d. Notes	Baa2		7.500%	06/01/25		500		622,655

								4,134,320

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,600		1,863,622
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		998		1,057,880

								2,921,502

Electric — 0.7%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		170		199,544
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		530		703,618
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		1,070		1,081,433
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		300		425,797
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		145		179,976
Duke Energy Carolinas LLC, First Mtge. Bonds(f)(i)	A1		6.050%	04/15/38		530		694,300
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		845		1,053,673
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,160		1,356,882
ENEL Finance International NV (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		1,260		1,220,117
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		195		212,263
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,375		1,598,934
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		380		494,952
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		470		563,826
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		140		150,188
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		575		616,278
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		325		401,279
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa1		6.500%	05/15/18		1,210		1,509,059
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		545		636,476
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		605		687,190
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa2		6.375%	01/15/15		465		513,182
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		135		164,035
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		515		667,438
Southern California Edison Co., Ser. 04-F	A1		4.650%	04/01/15		610		664,832
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		4.800%	09/15/41		480		538,627
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		263		307,716

								16,641,615

Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		480		553,181
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		960		998,983

								1,552,164

SEE NOTES TO FINANCIAL STATEMENTS.

A16


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17	$	1,070	$	1,278,110
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		305		382,094
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		225		284,359
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		900		962,832
Nabors Industries, Inc., Gtd. Notes(a)	Baa2		4.625%	09/15/21		890		957,854
Phillips 66, Gtd. Notes, 144A	Baa1		2.950%	05/01/17		415		439,832
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,450		1,764,050
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		755		762,943
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		685		754,863
Weatherford International Ltd. (Bermuda), Gtd. Notes	Baa2		6.500%	08/01/36		25		27,839
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,660		1,714,948
				��
								9,329,724

Foods — 0.5%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		2.500%	07/15/22		1,030		1,036,448
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39		1,160		1,878,041
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		230		377,723
ARAMARK Corp., Gtd. Notes(a)	B3		8.500%	02/01/15		650		653,256
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		708		763,166
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,000		1,052,266
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		860		1,106,558
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $646,913; purchased 11/19/07)(e)(h)	A2		6.000%	11/27/17		650		782,014
Constellation Brands, Inc., Gtd. Notes	Ba1		4.625%	03/01/23		1,000		1,045,000
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		460		522,160
Kraft Foods Group, Inc., Gtd. Notes, 144A	Baa2		5.000%	06/04/42		575		646,587
TreeHouse Foods, Inc., Gtd. Notes	Ba2		7.750%	03/01/18		1,200		1,302,000
Tyson Foods, Inc., Gtd. Notes(b)	Baa3		6.600%	04/01/16		785		899,567

								12,064,786

Healthcare & Pharmaceutical — 0.5%
AbbVie, Inc., Gtd. Notes, 144A	Baa1		4.400%	11/06/42		605		643,196
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,365		1,536,124
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		995		1,173,133
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,060		2,125,086
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes	A1		6.450%	09/15/37		480		650,084
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)	Ba3		5.125%	08/15/18		900		938,250
Genentech, Inc., Sr. Unsec’d. Notes	AA(c)		4.750%	07/15/15		270		297,761
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		470		583,878
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)	Baa2		3.750%	08/23/22		150		159,070
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		560		631,590
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		205		267,225
Mylan, Inc., Gtd. Notes, 144A(a)	Baa3		7.625%	07/15/17		900		1,011,482
Valeant Pharmaceuticals International, Gtd. Notes, 144A(a)	B1		6.500%	07/15/16		850		893,563
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		460		478,921
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a)	Baa3		6.125%	08/15/19		440		535,621

								11,924,984

Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		480		646,076
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		540		655,547
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		640		780,228
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,200		1,310,958
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		115		137,931
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		400		526,910
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		410		542,239
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		330		340,829
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.650%	01/15/43		775		807,640

SEE NOTES TO FINANCIAL STATEMENTS.

A17


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance (continued)
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		5.000%	12/15/14	$	1,085	$	1,171,869

								6,920,227

Insurance — 0.9%
Allied World Assurance Co. Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		480		532,054
Allstate Corp. (The), Sr. Unsec’d. Notes(a)	A3		5.200%	01/15/42		115		136,487
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		655		662,956
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		910		1,129,126
American International Group, Inc., Sr. Unsec’d. Notes(a)	Baa1		8.250%	08/15/18		900		1,182,497
Axis Specialty Finance LLC, Gtd. Notes(a)	Baa1		5.875%	06/01/20		990		1,123,891
Chubb Corp. (The), Jr. Sub. Notes(a)(b)	A3		6.375%	03/29/67		1,260		1,373,400
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a)	Baa3		5.125%	04/15/22		635		732,695
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		910		1,057,610
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		215		241,883
Lincoln National Corp., Jr. Sub. Notes(b)	Ba1		6.050%	04/20/67		250		249,062
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		476		569,097
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		660		859,020
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		505		675,334
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		960		1,172,112
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		85		110,910
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		270		319,773
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		650		899,090
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b)	A2		5.000%	10/18/42		610		644,333
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A	Aa2		6.063%	03/30/40		350		446,843
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		640		728,849
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		870		1,216,609
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		105		106,716
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		715		772,200
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,430		1,939,473
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		315		359,913
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		705		765,053
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		575		655,318
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		110		117,132

								20,779,436

Lodging — 0.3%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		800		924,000
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	03/01/19		490		504,310
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		805		805,238
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Baa2		6.750%	05/15/18		2,700		3,282,539
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		890		918,940

								6,435,027

Media & Entertainment — 0.4%
Belo Corp., Gtd. Notes	Ba1		8.000%	11/15/16		1,000		1,088,750
CBS Corp., Gtd. Notes(e)	Baa2		4.850%	07/01/42		340		353,869
Globo Comunicacao e Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(d)	Baa2		5.307%	05/11/22		500		545,000
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		250		306,816
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		475		601,627
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		35		45,824
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,265		1,630,553
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		1,100		1,210,000
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		175		214,307
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		495		611,180
Time Warner, Inc., Gtd. Notes(a)	Baa2		7.250%	10/15/17		745		935,479
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		155		213,386
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		625		922,952

SEE NOTES TO FINANCIAL STATEMENTS.

A18


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43	$	593	$	583,338

								9,263,081

Metals — 0.3%
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		125		150,543
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		1,275		1,354,688
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(c)		4.500%	05/15/13		255		258,320
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		370		475,001
Teck Resources Ltd. (Canada), Gtd. Notes	Baa2		5.200%	03/01/42		585		597,916
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		1.800%	10/23/15		905		909,914
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.450%	10/25/17		1,000		1,009,694
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		995		1,021,268

								5,777,344

Non-Captive Finance — 0.5%
Discover Financial Services, Sr. Unsec’d. Notes, 144A	Ba1		3.850%	11/21/22		900		928,687
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		970		1,170,064
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(f)(i)	A1		6.000%	08/07/19		3,010		3,661,855
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.875%	01/10/39		730		992,288
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		230		242,440
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	Ba3		6.375%	03/25/13		1,750		1,768,375
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		365		396,938
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,000		1,142,500
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,025		1,199,250

								11,502,397

Paper — 0.2%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(e)(h)	Baa2		5.400%	11/01/20		275		327,149
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		1,270		1,503,846
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		615		795,088
Rock-Tenn Co., Gtd. Notes, 144A	Ba1		4.000%	03/01/23		360		365,721
Rock-Tenn Co., Unsec’d. Notes, 144A(a)	Ba1		4.900%	03/01/22		675		729,463

								3,721,267

Pipelines & Other — 0.3%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		610		670,226
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		500		587,549
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		130		161,199
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		80		80,361
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,310		4,030,319
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		205		206,303

								5,735,957

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		735		904,913
CSX Corp., Sr. Unsec’d. Notes	Baa2		6.150%	05/01/37		690		872,330
Norfolk Southern Corp., Sr. Unsec’d. Notes, 144A	Baa1		2.903%	02/15/23		590		593,891
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		120		147,367

								2,518,501

Real Estate Investment Trusts — 0.2%
HCP, Inc., Sr. Unsec’d. Notes	Baa1		2.700%	02/01/14		670		682,024
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		685		848,914
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		68		82,317
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		235		247,969
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		3.375%	03/15/22		190		200,662
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		6.125%	05/30/18		2,925		3,562,978

								5,624,864

SEE NOTES TO FINANCIAL STATEMENTS.

A19


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers — 0.3%
CVS Caremark Corp., Sr. Unsec’d. Notes(a)	Baa2		5.750%	05/15/41	$	960	$	1,195,257
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		335		428,719
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		345		440,665
Ltd. Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		800		870,000
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		300		319,761
Macy’s Retail Holdings, Inc., Gtd. Notes	Baa3		5.875%	01/15/13		2,000		2,003,530
Nordstrom, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.000%	10/15/21		220		245,288
Target Corp., Sr. Unsec’d. Notes(a)	A2		4.000%	07/01/42		960		986,284
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		650		851,225

								7,340,729

Technology — 0.3%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		370		383,902
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		2,030		2,132,458
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		1,225		1,318,406
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		900		958,500
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,650		2,786,976

								7,580,242

Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		560		736,761
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		18		27,240
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		1,378		1,604,747
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,115		1,465,236
AT&T, Inc., Sr. Unsec’d. Notes, 144A	A2		4.300%	12/15/42		830		833,613
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		350		556,037
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		1,830		2,517,531
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(e)(h)	Baa3		7.082%	06/01/16		325		380,764
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,667,844; purchased 05/12/06-04/10/07)(e)(h)	Baa3		7.995%	06/01/36		1,645		1,816,937
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		880		963,151
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		170		174,675
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		475		495,900
Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A(a)	BBB(c)		3.875%	10/12/22		345		344,400
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.400%	02/15/38		55		74,463
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		700		726,250

								12,717,705

Tobacco — 0.3%
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		3,040		4,255,781
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		130		214,167
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		850		1,421,903
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		290		370,048
Reynolds American, Inc., Gtd. Notes	Baa2		7.250%	06/15/37		285		373,730

								6,635,629

TOTAL CORPORATE BONDS (cost $234,585,641)								261,649,980

MORTGAGE-BACKED SECURITIES — 11.5%
Federal Home Loan Mortgage Corp.(b)			2.615%	12/01/35		729		770,811
Federal Home Loan Mortgage Corp.(b)			2.634%	06/01/36		429		455,264
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		1,500		1,575,000
Federal Home Loan Mortgage Corp.			3.500%	TBA 30 YR		2,000		2,126,719

SEE NOTES TO FINANCIAL STATEMENTS.

A20


MORTGAGE-BACKED SECURITIES (continued)		Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40	$	8,055	$	8,599,960
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		19,848		21,441,074
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-05/01/39		8,850		9,556,745
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		8,997		9,742,219
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-08/01/39		2,839		3,117,988
Federal Home Loan Mortgage Corp.			6.500%	12/01/14-09/01/16		49		50,260
Federal Home Loan Mortgage Corp.			7.000%	05/01/31-10/01/31		474		559,258
Federal National Mortgage Association(b)			2.290%	07/01/33		554		585,315
Federal National Mortgage Association(b)			2.308%	06/01/37		75		78,813
Federal National Mortgage Association(b)			2.460%	07/01/37		708		743,969
Federal National Mortgage Association			2.500%	TBA 15 YR		9,000		9,410,625
Federal National Mortgage Association			3.000%	TBA 15 YR		4,000		4,221,875
Federal National Mortgage Association			3.500%	06/01/39-09/01/42		7,014		7,505,757
Federal National Mortgage Association			3.500%	TBA 15 YR		2,000		2,121,562
Federal National Mortgage Association			3.500%	TBA 30 YR		7,500		7,981,933
Federal National Mortgage Association			3.500%	TBA 30 YR		27,000		28,785,586
Federal National Mortgage Association			4.000%	TBA 30 YR		2,500		2,679,687
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		14,608		16,098,923
Federal National Mortgage Association			5.000%	10/01/18-05/01/36		6,190		6,735,018
Federal National Mortgage Association			5.000%	TBA 30 YR		7,000		7,581,875
Federal National Mortgage Association			5.500%	03/01/16-04/01/37		11,281		12,396,772
Federal National Mortgage Association			6.000%	04/01/13-06/01/38		11,456		12,767,417
Federal National Mortgage Association			6.500%	07/01/17-01/01/37		4,611		5,193,529
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		402		471,243
Federal National Mortgage Association			7.500%	05/01/32		96		117,447
Government National Mortgage Association			3.000%	TBA 30 YR		2,500		2,657,813
Government National Mortgage Association			3.000%	TBA 30 YR		4,000		4,251,875
Government National Mortgage Association			3.500%	TBA 30 YR		500		542,383
Government National Mortgage Association			3.500%	TBA 30 YR		5,500		5,975,664
Government National Mortgage Association			4.000%	06/15/40-05/20/41		2,156		2,378,151
Government National Mortgage Association			4.000%	TBA 30 YR		6,000		6,580,313
Government National Mortgage Association			4.000%	TBA 30 YR		19,500		21,233,673
Government National Mortgage Association			4.500%	01/20/41-02/20/41		6,569		7,246,565
Government National Mortgage Association			4.500%	TBA 30 YR		11,750		12,864,415
Government National Mortgage Association			5.000%	TBA 30 YR		6,500		7,108,359
Government National Mortgage Association			5.500%	08/15/33-04/15/36		4,259		4,761,775
Government National Mortgage Association			6.000%	11/15/23-07/15/34		1,443		1,635,240
Government National Mortgage Association			6.500%	10/15/23-09/15/36		2,680		3,095,764
Government National Mortgage Association			8.000%	01/15/24-07/15/24		45		53,193

TOTAL MORTGAGE-BACKED SECURITIES (cost $255,726,281)								263,857,827


MUNICIPAL BONDS — 0.6%	Moody’s Ratings§† (Unaudited)
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,305		1,787,667
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		970		1,255,636
Colorado State Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		625		848,694
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		945		1,136,882
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,000		1,465,170
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,100		1,378,773
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		415		483,156
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		275		317,070

SEE NOTES TO FINANCIAL STATEMENTS.

A21


MUNICIPAL BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34	$	425	$	551,110
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		505		599,076
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		1,250		1,732,162
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		350		485,485
State of California, General Obligation Unlimited, BABs	A1		7.550%	04/01/39		245		351,570
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		205		294,398
State of Illinois, General Obligation Bonds, Taxable Series	A2		4.421%	01/01/15		630		667,920
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		305		369,224

TOTAL MUNICIPAL BONDS (cost $10,726,811)								13,723,993

NON-CORPORATE FOREIGN AGENCIES — 0.9%
Commonwealth Bank of Australia (Australia), Gov’t Gtd. Notes, 144A	Aaa		2.700%	11/25/14		7,220		7,521,363
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		4.000%	01/29/21		460		494,598
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		5.125%	06/29/20		365		419,421
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		800		856,294
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes	Aaa		2.375%	08/25/21		730		760,514
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN	Baa1		4.750%	03/08/44		846		955,980
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		437,500
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		1,260		1,418,533
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		5.500%	01/21/21		2,240		2,617,440
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		285		340,575
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,100		2,325,750
Russian Foreign Bond-Eurobond (Russia), Sr. Unsec’d. Notes, 144A	Baa1		3.250%	04/04/17		2,200		2,337,500

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $19,359,392)								20,485,468

NON-CORPORATE SOVEREIGNS — 0.1%
Italy Government International Bond (Italy)(a)	NR		3.125%	01/26/15		300		304,674
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23		1,695		1,690,763
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, Ser. E, MTN	Baa3		3.625%	06/17/13		1,100		1,099,967

TOTAL NON-CORPORATE SOVEREIGNS (cost $3,076,869)								3,095,404

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Federal Home Loan Banks			5.500%	07/15/36		950		1,307,132
Federal Home Loan Mortgage Corp.			0.750%	01/12/18		455		451,918
Federal Home Loan Mortgage Corp.			1.250%	10/02/19		215		214,371
Resolution Funding Corp. Interest Strip, Bonds(j)			1.170%	04/15/18		2,645		2,488,873
Tennessee Valley Authority			5.880%	04/01/36		85		118,101

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $3,999,438)								4,580,395

U.S. GOVERNMENT TREASURY OBLIGATIONS — 7.0%
U.S. Treasury Bonds			2.750%	08/15/42		1,700		1,641,562
U.S. Treasury Bonds(a)			2.750%	11/15/42		5,350		5,154,393

SEE NOTES TO FINANCIAL STATEMENTS.

A22


U.S. GOVERNMENT TREASURY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
U.S. Treasury Inflation Indexed Notes		1.375%	01/15/20		$	9,226	$	10,936,712
U.S. Treasury Notes		0.250%	11/30/14			14,855		14,855,579
U.S. Treasury Notes		0.625%	11/30/17			1,155		1,151,120
U.S. Treasury Notes		0.750%	12/31/17			30,195		30,244,550
U.S. Treasury Notes		1.125%	12/31/19			5		4,986
U.S. Treasury Notes(a)		1.625%	11/15/22			1,980		1,958,343
U.S. Treasury Notes		2.375%	02/28/15			1,140		1,191,300
U.S. Treasury Notes		3.125%	04/30/17			5,890		6,526,856
U.S. Treasury Notes		3.500%	02/15/18			15,000		17,080,080
U.S. Treasury Notes		4.250%	11/15/17			6,475		7,581,824
U.S. Treasury Notes		4.500%	11/15/15			12,950		14,479,719
U.S. Treasury Strips Coupon(j)		2.140%	05/15/24			16,380		12,857,563
U.S. Treasury Strips Coupon(j)		2.180%	08/15/24			11,695		9,086,278
U.S. Treasury Strips Coupon(j)		2.610%	05/15/25			6,000		4,518,084
U.S. Treasury Strips Coupon(j)		3.020%	05/15/27			2,280		1,582,502
U.S. Treasury Strips Coupon(j)		3.070%	08/15/27			7,495		5,147,596
U.S. Treasury Strips Coupon(j)		3.120%	11/15/27			8,600		5,846,762
U.S. Treasury Strips Coupon(j)		3.350%	05/15/29			3,685		2,367,001
U.S. Treasury Strips Coupon(a)(j)		3.910%	08/15/33			8,260		4,541,249
U.S. Treasury Strips Principal(k)		0.300%	11/15/15			1,190		1,179,696

TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $150,564,522)								159,933,755

TOTAL LONG-TERM INVESTMENTS (cost $1,566,441,847)								2,120,034,158

SHORT-TERM INVESTMENTS — 17.5%
U.S. GOVERNMENT TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill (cost $2,009,779)(i)(l)		0.050%	03/21/13			2,010		2,009,847


					Shares
AFFILIATED MUTUAL FUNDS — 17.4%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $126,614,815) (Note 4)(m)						13,078,122		120,711,062
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $277,677,533; includes $110,365,428 of cash collateral received for securities on loan) (Note 4)(m)(n)						277,677,533		277,677,533

TOTAL AFFILIATED MUTUAL FUNDS (cost $404,292,348)								398,388,595

TOTAL SHORT-TERM INVESTMENTS (cost $406,302,127)								400,398,442

TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 110.20% (cost $1,972,743,974)								2,520,432,600


					Principal Amount (000)#
SECURITY SOLD SHORT — (0.2)%
MORTGAGE-BACKED SECURITY
Federal National Mortgage Association (proceeds received $4,313,125)		4.500%	TBA 30 YR		$	4,000		(4,320,781	)

TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 110.0% (cost $1,968,430,849)								2,516,111,819
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (10.0)%								(229,083,355	)

NET ASSETS — 100.0%							$	2,287,028,464

SEE NOTES TO FINANCIAL STATEMENTS.

A23

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
ADR		American Depositary Receipt
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
REIT		Real Estate Investment Trust
TBA		To Be Announced

§	The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings.

†	The ratings reflected are as of December 31, 2012. Ratings of certain bonds may have changed subsequent to that date.

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

*	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 $108,695,059; cash collateral of $110,365,428 (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 December 31, 2012.

(c)	Standard & Poor’s Rating.

(d)	Represents a step bond. Rate shown reflects the rate in effect at December 31, 2012.

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

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

(g)	Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity.

(h)	Indicates a restricted security; the aggregate original cost of such securities is $5,277,518. The aggregate value of $6,002,920 is approximately 0.3% of net assets.

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

(j)	Rate shown reflects the effective yield at December 31, 2012.

(k)	Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 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 December 31, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
186	2 Year U.S. Treasury Notes		Mar. 2013	$	40,996,619	$	41,007,188	$	10,569
293	5 Year U.S. Treasury Notes		Mar. 2013		36,395,493		36,453,320		57,827
317	10 Year U.S. Treasury Notes		Mar. 2013		42,149,921		42,091,656		(58,265	)
54	S&P 500 E-mini		Mar. 2013		3,891,764		3,834,270		(57,494	)
98	S&P 500 Index		Mar. 2013		35,085,003		34,792,450		(292,553	)
28	U.S. Ultra Bond		Mar. 2013		4,571,691		4,552,625		(19,066	)

									(358,982	)

Short Position:
141	U.S. Long Bond		Mar. 2013		21,121,483		20,797,500		323,983

								$	(34,999	)

SEE NOTES TO FINANCIAL STATEMENTS.

A24

Interest rate swap agreements outstanding at December 31, 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)	$	316,966		$	—	$	316,966		Credit Suisse International
	6,255		08/31/16		0.975%	3 month LIBOR(2)		(108,745	)		—		(108,745	)	JPMorgan Chase Bank
	6,255		08/31/16		0.978%	3 month LIBOR(2)		(109,616	)		—		(109,616	)	JPMorgan Chase Bank
	1,900		09/14/16		1.206%	3 month LIBOR(2)		(49,778	)		—		(49,778	)	Deutsche Bank AG
	30,590		11/30/16		0.945%	3 month LIBOR(2)		(398,892	)		—		(398,892	)	Citibank, NA
	19,045		11/30/16		0.913%	3 month LIBOR(2)		(223,831	)		—		(223,831	)	JPMorgan Chase Bank
	11,150		02/28/17		0.680%	3 month LIBOR(1)		5,454			—		5,454		Citibank, NA
	215		10/02/19		1.189%	3 month LIBOR(2)		144			—		144		Bank of Nova Scotia
	1,940		01/13/22		1.660%	3 month LIBOR(2)		(10,067	)		—		(10,067	)	Citibank, NA
	1,940		01/13/22		1.676%	3 month LIBOR(1)		9,235			—		9,235		Citibank, NA
	7,095		08/15/28		2.370%	3 month LIBOR(2)		14,109			—		14,109		Citibank, NA

							$	(555,021	)	$	—	$	(555,021	)

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

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

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

Credit default swap agreements outstanding at December 31, 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.		6/20/14		0.650%	$	1,110	$	1,874		$	—	$	1,874		JPMorgan Chase Bank
Newell Rubbermaid, Inc.		6/20/18		1.000%		1,600		(9,426	)		—		(9,426	)	Morgan Stanley Capital Services, Inc.
Simon Property Group LP		6/20/18		0.970%		2,700		763			—		763		Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		6/20/18		1.150%		2,800		3,686			—		3,686		Deutsche Bank AG

							$	(3,103	)	$	—	$	(3,103	)

(1)

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

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

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

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

Level 1—quoted

prices generally 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 Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A25

The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:


	Level 1			Level 2			Level 3
Investments in Securities
Common Stocks	$	1,145,108,386		$	54,450,388		$	—
Exchange Traded Fund		1,974,495			—			—
Preferred Stocks		558,000			470,000			—
Right		690			—			—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—			47,107,411			—
Residential Mortgage-Backed Securities		—			10,311,626			—
Bank Loans		—			10,837,157			—
Collateralized Mortgage Obligations		—			6,541,602			—
Commercial Mortgage-Backed Securities		—			115,347,581			—
Corporate Bonds		—			257,248,956			4,401,024
Mortgage-Backed Securities		—			263,857,827			—
Municipal Bonds		—			13,723,993			—
Non-Corporate Foreign Agencies		—			20,485,468			—
Non-Corporate Sovereigns		—			3,095,404			—
U.S. Government Agency Obligations		—			4,580,395			—
U.S. Government Treasury Obligations		—			161,943,602			—
Affiliated Mutual Funds		398,388,595			—			—
Mortgage-Backed Security Sold Short		—			(4,320,781	)		—
Other Financial Instruments*
Futures Contracts		(34,999	)		—			—
Interest Rate Swap Agreements		—			(555,021	)		—
Credit Default Swap Agreements		—			(3,103	)		—

Total	$	1,545,995,167		$	965,122,505		$	4,401,024

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:


Affiliated Mutual Funds (including 4.8% of collateral received for securities on loan)	17.4	%
Mortgage-Backed Securities	11.5
U.S. Government Treasury Obligations	7.1
Commercial Mortgage-Backed Securities	5.0
Oil, Gas & Consumable Fuels	4.8
Pharmaceuticals	3.3
Insurance	3.0
Banking	2.8
Computers & Peripherals	2.6
Non-Residential Mortgage-Backed Securities	2.1
IT Services	1.9
Diversified Financial Services	1.8
Media	1.8
Software	1.8
Commercial Banks	1.7
Chemicals	1.6
Diversified Telecommunication Services	1.5
Aerospace & Defense	1.3
Beverages	1.3
Food & Staples Retailing	1.3
Industrial Conglomerates	1.3
Real Estate Investment Trusts	1.3
Tobacco	1.2
Capital Markets	1.1
Household Products	1.1


Internet Software & Services	1.1	%
Machinery	1.1
Specialty Retail	1.1
Communications Equipment	1.0
Electric Utilities	1.0
Food Products	1.0
Healthcare Providers & Services	1.0
Hotels, Restaurants & Leisure	1.0
Semiconductors & Semiconductor Equipment	1.0
Energy Equipment & Services	0.9
Healthcare Equipment & Supplies	0.9
Non-Corporate Foreign Agencies	0.9
Biotechnology	0.8
Electric	0.7
Healthcare & Pharmaceutical	0.7
Multi-Utilities	0.7
Foods	0.6
Municipal Bonds	0.6
Telecommunications	0.6
Consumer Finance	0.5
Internet & Catalog Retail	0.5
Metals & Mining	0.5
Non-Captive Finance	0.5
Road & Rail	0.5
Air Freight & Logistics	0.4
Cable	0.4

SEE NOTES TO FINANCIAL STATEMENTS.

A26


Industry table (cont.)
Capital Goods	0.4	%
Energy – Other	0.4
Media & Entertainment	0.4
Multiline Retail	0.4
Residential Mortgage-Backed Securities	0.4
Technology	0.4
Automobiles	0.3
Collateralized Mortgage Obligations	0.3
Commercial Services & Supplies	0.3
Healthcare Insurance	0.3
Lodging	0.3
Metals	0.3
Retailers	0.3
Pipelines & Other	0.3
Textiles, Apparel & Luxury Goods	0.3
Airlines	0.2
Auto Components	0.2
Electrical Equipment	0.2
Electronic Equipment, Instruments & Components	0.2
Household Durables	0.2
Life Sciences Tools & Services	0.2
Paper	0.2
Trading Companies & Distributors	0.2


U.S. Government Agency Obligations	0.2	%
Wireless Telecommunication Services	0.2
Automotive	0.1
Construction & Engineering	0.1
Consumer	0.1
Containers & Packaging	0.1
Energy – Integrated	0.1
Exchange Traded Fund	0.1
Gas Utilities	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Non-Corporate Sovereigns	0.1
Paper & Forest Products	0.1
Personal Products	0.1
Professional Services	0.1
Railroads	0.1
Real Estate Management & Development	0.1

	110.2
Mortgage-Backed Security Sold Short	(0.2	)
Liabilities in excess of other assets	(10.0	)

	100.0	%

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

Fair values of derivative instruments as of December 31, 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	Unrealized appreciation on swap agreements	$	6,323		Unrealized depreciation on swap agreements	$	9,426
Equity contracts	—		—		Due from broker — variation margin		350,047	*
Equity contracts	Unaffiliated investments		690		—		—
Interest rate contracts	Unrealized appreciation on swap agreements		345,908		Unrealized depreciation on swap agreements		900,929
Interest rate contracts	Due from broker — variation margin		392,379	*	Due from broker — variation margin		77,331	*

Total		$	745,300			$	1,337,733

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 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		Warrants		Options Purchased		Options Written			Futures			Swaps			Total
Credit contracts	$	—	$	—	$	—	$	—		$	—		$	(433,162	)	$	(433,162	)
Equity contracts		23,682		56,192		—		—			8,038,834			—			8,118,708
Interest rate contracts		—		—		263,443		(223,837	)		(2,425,919	)		192,016			(2,194,297	)

Total	$	23,682	$	56,192	$	263,443	$	(223,837	)	$	5,612,915		$	(241,146	)	$	5,491,249

SEE NOTES TO FINANCIAL STATEMENTS.

A27


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Futures			Swaps			Total
Credit contracts	$	—	$	—		$	(16,435	)	$	(16,435	)
Equity contracts		690		(1,501,878	)		—			(1,501,188	)
Interest rate contracts		—		494,738			(1,052,281	)		(557,543	)

Total	$	690	$	(1,007,140	)	$	(1,068,716	)	$	(2,075,166	)

For the year ended December 31, 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)
$173,378,093		$29,384,047


Interest Rate Swaps (Notional Amount in USD (000))		Credit Default Swaps as Buyer (Notional Amount in USD (000))
$100,511		$13,198

SEE NOTES TO FINANCIAL STATEMENTS.

A28


		*CONSERVATIVE BALANCED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012


ASSETS
Investments, at value including securities on loan of $108,695,059:
Unaffiliated investments (cost $1,568,451,626)	$	2,122,044,005
Affiliated investments (cost $404,292,348)		398,388,595
Cash		54,658
Foreign currency, at value (cost $96,358)		96,714
Receivable for investments sold		40,069,253
Dividends and interest receivable		6,955,353
Due from broker—variation margin		1,034,074
Unrealized appreciation on swap agreements		352,231
Foreign tax reclaim receivable		39,952
Receivable for Series shares sold		36,595
Prepaid expenses		15,638

Total Assets		2,569,087,068

LIABILITIES
Payable for investments purchased		164,835,355
Collateral for securities on loan		110,365,428
Securities sold short, at value (proceeds received $4,313,125)		4,320,781
Management fee payable		1,065,563
Unrealized depreciation on swap agreements		910,355
Accrued expenses and other liabilities		283,107
Payable for Series shares repurchased		277,089
Affiliated transfer agent fee payable		926

Total Liabilities		282,058,604

NET ASSETS	$	2,287,028,464

Net assets were comprised of:
Paid-in capital	$	1,720,561,549
Retained earnings		566,466,915

Net assets, December 31, 2012	$	2,287,028,464

Net asset value and redemption price per share, $2,287,028,464 / 128,683,063 outstanding shares of beneficial interest	$	17.77

STATEMENT OF OPERATIONS

Year Ended December 31, 2012


INCOME
Interest income	$	31,140,711
Unaffiliated dividend income (net of foreign withholding taxes of $68,569)		27,892,524
Affiliated dividend income		2,116,477
Affiliated income from securities loaned, net		270,061

		61,419,773

EXPENSES
Management fee		12,545,383
Custodian’s fees and expenses		352,000
Shareholders’ reports		252,000
Audit fee		37,000
Trustees’ fees		34,000
Insurance expenses		23,000
Legal fees and expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		44,753

Total expenses		13,319,136

NET INVESTMENT INCOME		48,100,637

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		35,648,754
Futures transactions		5,612,915
Swap agreement transactions		(241,146	)
Foreign currency transactions		(20,061	)
Options written transactions		(223,837	)

		40,776,625

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $4,810,793)		154,562,704
Securities sold short		(7,656	)
Futures		(1,007,140	)
Swap agreements		(1,068,716	)
Foreign currencies		1,489

		152,480,681

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		193,257,306

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	241,357,943

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	48,100,637		$	47,217,513
Net realized gain on investment and foreign currency transactions		40,776,625			49,113,195
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		152,480,681			4,696,647

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		241,357,943			101,027,355

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

SERIES SHARE TRANSACTIONS:
Series shares sold [580,731 and 648,345 shares, respectively]		10,042,436			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 [8,997,150 and 9,540,307 shares, respectively]		(155,986,711	)		(154,546,244	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(98,722,403	)		(94,040,364	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		95,413,668			(43,043,867	)
NET ASSETS:
Beginning of year		2,191,614,796			2,234,658,663

End of year	$	2,287,028,464		$	2,191,614,796

SEE NOTES TO FINANCIAL STATEMENTS.

A29


LONG-TERM INVESTMENTS — 87.9% ASSET-BACKED SECURITIES — 10.8%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities — 5.5%
Apidos CDO (Cayman Islands), Ser. 2011-8A, Class A1, 144A(a)	Aaa		1.830%	10/17/21	$	4,000	$	4,010,676
ARES CLO Funds (Cayman Islands), 144A Ser. 2004-8A, Class A1A(a)	Aaa		0.742%	02/26/16		41		40,657
Ser. 2005-10A, Class A2(a)	Aaa		0.548%	09/18/17		107		106,855
Ser. 2005-10A, Class A3(a)	Aaa		0.548%	09/18/17		91		90,876
BA Credit Card Trust, Ser. 2006-C5, Class C5(a)	A3		0.609%	01/15/16		5,750		5,751,046
Bank One Issuance Trust, Ser. 2004-C2, Class C2(a)	Baa2		1.009%	02/15/17		2,100		2,104,439
Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.579%	06/20/17		1,726		1,701,172
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.562%	05/25/17		310		307,301
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.563%	08/03/19		4,036		3,958,335
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(a)	Baa2		0.681%	03/24/17		2,320		2,302,396
Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, Class A1A, 144A(a)(b)	Aaa		0.529%	04/20/19		1,485		1,463,892
Four Corners CLO (Cayman Islands), 144A Ser. 2005-1A, Class A3(a)	Aaa		0.610%	03/26/17		499		493,427
Ser. 2006-3A, Class A(a)	Aaa		0.569%	07/22/20		1,599		1,570,365
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(a)	Aa1		0.778%	03/15/20		1,500		1,436,630
GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a)	B1		1.209%	05/15/34		213		138,794
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.600%	12/15/17		302		301,415
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a)	Aaa		0.700%	07/15/16		48		48,296
Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a)	Aaa		0.570%	05/09/18		2,070		2,038,627
Highlander Euro CDO Cayman Ltd. (Netherlands), Ser. 2008-4A, Class C, 144A(a)	Baa1		4.817%	08/01/16	EUR	2,000		2,418,556
Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a)	Aaa		0.570%	11/15/17		2,486		2,456,926
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(a)	Aaa		0.561%	10/19/20		967		948,788
LCM LP (Cayman Islands), 144A Ser. 2004-2A, Class A(a)	Aaa		0.639%	10/22/16		225		224,377
Ser. 2005-3A, Class A(a)	Aaa		0.571%	06/01/17		1,720		1,692,874
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(a)	Aaa		0.568%	09/15/17		3,794		3,729,933
Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A	A(c)		3.540%	10/20/32		3,921		4,062,335
MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(a)	A3		1.109%	11/15/16		9,800		9,838,269
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(a)	Aaa		0.558%	03/15/18		1,905		1,843,377
North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a)	Aaa		0.876%	09/14/19	EUR	4,010		5,105,623
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(a)	Aaa		1.791%	11/22/23		2,800		2,803,593
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(a)	AA(c)		2.511%	11/22/23		2,700		2,669,190
Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A	A1		7.125%	01/15/13		199		199,293
Stanfield Vantage CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.610%	03/21/17		384		381,544
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		2,432		2,431,362
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(a)	Aaa		0.563%	11/01/18		3,100		3,059,706
Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, Class A1, 144A(a)(b)	Aaa		0.819%	01/21/16		580		579,649

								72,310,594

Residential Mortgage-Backed Securities — 5.3%
ACE Securities Corp., Ser. 2004-FM1, Class M1(a)	B2		1.110%	09/25/33		1,684		1,581,769

SEE NOTES TO FINANCIAL STATEMENTS.

A30


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Ameriquest Mortgage Securities, Inc. Ser. 2001-2, Class M3(a)	Caa2		3.135%	10/25/31	$	540	$	406,890
Ser. 2004-R8, Class M1(a)	A2		1.170%	09/25/34		950		901,092
Argent Securities, Inc. Ser. 2003-W2, Class M4(a)	B2		5.835%	09/25/33		2,400		1,724,354
Ser. 2004-W10, Class A2(a)	Aaa		0.990%	10/25/34		1,802		1,693,842
Ser. 2004-W6, Class M1(a)	Baa1		0.760%	05/25/34		2,873		2,691,067
Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a)	Ba3		1.260%	08/25/33		1,932		1,749,120
Asset Backed Securities Corp. Home Equity Ser. 2003-HE3, Class M1(a)	Ba2		1.454%	06/15/33		1,496		1,403,495
Ser. 2004-HE1, Class M1(a)	Ba1		1.259%	01/15/34		265		242,363
Ser. 2004-HE5, Class M1(a)	Baa3		1.110%	08/25/34		2,487		2,297,396
Bear Stearns Asset Backed Securities Trust Ser. 2004-HE2, Class M1(a)	Ba1		1.110%	03/25/34		4,784		4,125,554
Ser. 2004-HE3, Class M2(a)	B1		1.935%	04/25/34		2,001		1,831,297
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a)	C		3.585%	03/25/33		232		27,386
Centex Home Equity, Ser. 2004-B, Class AF6(f)	Aa3		4.686%	03/25/34		1,300		1,302,495
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, Class M2(a)	C		2.460%	08/25/32		113		56,727
Equity One ABS, Inc., Ser. 2004-3, Class M1(a)	Ba1		5.330%	07/25/34		917		766,874
FBR Securitization Trust, Ser. 2005-2, Class M1(a)	B1		0.930%	09/25/35		3,600		2,926,220
Fremont Home Loan Trust, Ser. 2003-B, Class M1(a)	Ba1		1.260%	12/25/33		280		259,205
GSAMP Trust, Ser. 2004-FM1, Class M1(a)	Ba3		1.185%	11/25/33		2,832		2,652,124
HSBC Home Equity Loan Trust Ser. 2006-1, Class M1(a)	Aa1		0.491%	01/20/36		740		692,412
Ser. 2006-2, Class A1(a)	Aaa		0.361%	03/20/36		199		195,851
Ser. 2006-2, Class A2(a)	Aaa		0.391%	03/20/36		241		233,628
IXIS Real Estate Capital Trust, Ser. 2006-HE1, Class A4(a)	Ca		0.510%	03/25/36		3,076		1,702,242
Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a)	A3		0.960%	02/25/34		4,250		3,876,990
Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a)	Ba2		0.990%	02/25/34		2,745		2,564,522
Merrill Lynch Mortgage Investors, Inc. Ser. 2004-HE2, Class M1(a)	BB+(c)		1.010%	08/25/35		896		738,359
Ser. 2004-OPT1, Class A1A(a)	A+(c)		0.470%	06/25/35		2,570		2,314,148
Morgan Stanley ABS Capital I Ser. 2002-NC6, Class M2(a)	C		3.360%	11/25/32		157		55,046
Ser. 2003-HE1, Class M1(a)	Ba2		1.410%	05/25/33		1,652		1,552,848
Ser. 2003-HE3, Class M1(a)	Ba3		1.230%	10/25/33		1,245		1,137,350
Ser. 2004-NC1, Class M1(a)	Baa2		1.260%	12/27/33		1,017		963,523
Ser. 2004-OP1, Class M1(a)	Aa1		1.080%	11/25/34		3,688		3,175,098
Ser. 2004-WMC1, Class M1(a)	Ba1		1.140%	06/25/34		2,659		2,479,577
Ser. 2004-WMC2, Class M1(a)	Ba3		1.125%	07/25/34		2,253		2,100,621
New Century Home Equity Loan Trust Ser. 2003-4, Class M1(a)	Baa3		1.335%	10/25/33		3,783		3,607,830
Ser. 2004-4, Class M1(a)	Ba1		0.975%	02/25/35		3,048		2,585,781
Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a)	Aa3		1.410%	12/25/34		694		648,030
Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5	Baa3		5.221%	02/25/34		1,000		968,883
Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a)	B2		1.335%	12/25/32		376		329,924
Securitized Asset Backed Receivables LLC Trust Ser. 2004-NC1, Class M1(a)	B1		0.990%	02/25/34		4,123		3,607,568
Ser. 2006-FR1, Class M1(a)	C		0.610%	11/25/35		2,000		179,822
Specialty Underwriting & Residential Finance, Ser. 2004-BC1, Class M1(a)	A3		0.975%	02/25/35		76		71,375
Structured Asset Investment Loan Trust Ser. 2004-2, Class A4(a)	BB+(c)		0.915%	03/25/34		2,297		2,027,947
Ser. 2004-7, Class A8(a)	AAA(c)		1.410%	08/25/34		1,400		1,190,248

SEE NOTES TO FINANCIAL STATEMENTS.

A31


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	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)		3.210%	07/25/32	$	1,180	$	1,074,506

								68,713,399

TOTAL ASSET-BACKED SECURITIES (cost $135,585,519)								141,023,993

BANK LOANS(a) — 3.1%
Aerospace & Defense
Booz Allen & Hamilton, Inc.	Ba3		2.962%	12/31/17		494		491,528

Automotive — 0.2%
Chrysler Group LLC	Ba2		6.000%	05/24/17		1,370		1,397,700
Schaeffler AG (Germany)	Ba3		6.000%	01/27/17		1,500		1,514,063

								2,911,763

Cable
Cequel Communications LLC	Ba2		4.000%	02/14/19		298		299,533
Kabel Deutschland (Germany)	BB-(c)		4.250%	02/01/19		254		254,374

								553,907

Capital Goods — 0.2%
RAC PLC(b)	B2		5.653%	09/30/19		1,500		2,439,732

Chemicals — 0.1%
Ashland, Inc.	Baa3		3.750%	08/23/18		167		168,470
Rockwood Holdings, Inc.	Baa3		3.500%	02/09/18		958		965,672

								1,134,142

Consumer
Huish Detergents, Inc.	Ba3		2.220%	04/26/14		199		195,353

Electric — 0.1%
Calpine Corp.	B1		4.500%	04/01/18		415		418,179
Calpine Corp.	B1		4.500%	04/01/18		415		417,935

								836,114

Foods — 0.1%
Del Monte Foods Co.	Ba3		4.500%	03/08/18		1,798		1,799,171

Gaming — 0.2%
CCM Merger, Inc.	B2		6.000%	03/01/17		2,694		2,698,825

Healthcare & Pharmaceutical — 0.9%
Alere, Inc.	Ba3		3.311%	06/30/16		494		488,433
Alere, Inc.	B2		4.750%	06/30/17		175		175,882
Alere, Inc.	Ba3		4.750%	06/30/17		477		478,690
Davita, Inc.	Ba2		4.000%	11/01/19		1,046		1,052,529
HCA, Inc.	Ba3		3.462%	05/01/18		462		462,790
HCA, Inc.	Ba3		3.561%	03/31/17		1,108		1,109,995
Hologic, Inc.	Ba2		3.313%	08/01/17		2,293		2,293,936
Quintiles Transnational Corp.	B1		4.500%	06/08/18		1,500		1,505,625
RPI Finance Trust	Baa2		3.500%	05/09/18		3,926		3,954,235

								11,522,115

Media & Entertainment — 0.3%
ProSiebenSat. 1 Media AG (Germany)	Ba2		2.690%	07/01/16	EUR	2,900		3,773,648

Pipelines & Other — 0.1%
Energy Transfer Equity LP	Ba2		3.750%	03/23/17		1,500		1,510,078

Real Estate Investment Trusts — 0.1%
C.B. Richard Ellis Services, Inc.	Ba1		3.710%	09/04/19		1,107		1,106,665

Retailers — 0.3%
Alliance Boots Ltd. (United Kingdom)	B1		3.489%	07/09/15		2,000		3,168,710

SEE NOTES TO FINANCIAL STATEMENTS.

A32


BANK LOANS(a) (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology — 0.5%
First Data Corp.	B1		4.211%	03/26/18	$	2,411	$	2,293,023
First Data Corp.	B1		5.211%	03/24/17		183		179,579
Flextronics International Ltd. (Singapore)	Ba1		0.381%	10/01/14		117		116,390
Flextronics International Ltd. (Singapore)	Ba1		2.462%	10/01/14		1,079		1,077,523
Freescale Semiconductor, Inc.	B1		4.464%	12/01/16		1,750		1,715,000
Sensata Technologies, Inc. (Netherlands)	Ba2		3.750%	05/12/18		1,266		1,270,891

								6,652,406

TOTAL BANK LOANS (cost $40,082,511)								40,794,157

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		797		814,998
Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		169		173,952
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)	Baa3		2.775%	02/25/34		1,838		1,853,935
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		637		644,167

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $3,467,687)								3,487,052

COMMERCIAL MORTGAGE-BACKED SECURITIES — 12.3%
Banc of America Commercial Mortgage, Inc. Ser. 2006-5, Class A2	Aaa		5.317%	09/10/47		2,630		2,630,564
Ser. 2006-6, Class A2	Aaa		5.309%	10/10/45		3,169		3,211,399
Ser. 2007-1, Class A3	Aaa		5.449%	01/15/49		2,159		2,215,387
Ser. 2007-4, Class A3(a)	AAA(c)		5.796%	02/10/51		6,322		6,660,572
Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		2,445		2,578,365
Bear Stearns Commercial Mortgage Securities, Ser. 2005-PWR9, Class A2	Aaa		4.735%	09/11/42		253		259,050
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a)	Aaa		5.702%	12/10/49		1,590		1,873,276
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser. 2006-CD2, Class AAB(a)	Aaa		5.334%	01/15/46		1,909		1,959,780
Ser. 2007-CD4, Class A3	Aaa		5.293%	12/11/49		2,515		2,612,484
Commercial Mortgage Pass-Through Certificates Ser. 2006-C7, Class A3(a)	AAA(c)		5.686%	06/10/46		930		929,236
Ser. 2006-C7, Class A4(a)	AAA(c)		5.748%	06/10/46		4,000		4,542,800
Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		2,500		2,513,322
Ser. 2012-CR5, Class A3	Aaa		2.540%	12/10/45		2,000		1,998,724
Credit Suisse Mortgage Capital Certificates Ser. 2006-C1, Class A4(a)	AAA(c)		5.409%	02/15/39		4,400		4,964,511
Ser. 2006-C1, Class AM(a)	AAA(c)		5.409%	02/15/39		970		1,073,786
Ser. 2007-C1, Class A2	Aaa		5.268%	02/15/40		1,691		1,691,075
Ser. 2007-C4, Class A2(a)	Aaa		5.762%	09/15/39		300		302,039
Ser. 2007-C4, Class A3(a)	Aaa		5.762%	09/15/39		10,550		10,972,359
FHLMC Multifamily Structured Pass-Through Certificates, I/O Ser. K020, Class X1(a)	AA+(c)		1.479%	05/25/22		29,440		3,139,980
Ser. K021, Class X1(a)	AA+(c)		1.516%	06/25/22		16,693		1,855,692
Ser. K501, Class X1A(a)	AA+(c)		1.755%	08/25/16		12,382		579,675
Ser. K710, Class X1(a)	AA+(c)		1.784%	05/25/19		23,465		2,237,798
Ser. K711, Class X1(a)	AA+(c)		1.712%	07/25/19		27,993		2,601,948
GE Capital Commercial Mortgage Corp., Ser. 2007-C1, Class A2	Aaa		5.417%	12/10/49		5,459		5,451,568
GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, Class A4	AAA(c)		5.238%	11/10/45		1,280		1,411,108
Greenwich Capital Commercial Funding Corp. Ser. 2005-GG3, Class AJ	Baa1		4.859%	08/10/42		1,700		1,796,879
Ser. 2005-GG5, Class A2	Aaa		5.117%	04/10/37		435		435,129
Ser. 2005-GG5, Class A5	Aa2		5.224%	04/10/37		4,900		5,413,927
Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,340		3,446,966

SEE NOTES TO FINANCIAL STATEMENTS.

A33


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
GS Mortgage Securities Corp. II Ser. 2006-GG6, Class A4	AAA(c)		5.553%	04/10/38	$	6,700	$	7,543,128
Ser. 2006-GG8, Class A2	Aaa		5.479%	11/10/39		797		810,048
Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		3,244		3,260,279
JPMorgan Chase Commercial Mortgage Securities Corp. Ser. 2005-LDP4, Class AM(a)	Aa2		4.999%	10/15/42		1,820		1,979,592
Ser. 2007-LD11, Class A2(a)	Aaa		5.797%	06/15/49		5,920		6,105,739
Ser. 2007-LD12, Class A3(a)	Aaa		5.930%	02/15/51		9,200		9,786,933
Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		2,000		2,008,993
LB-UBS Commercial Mortgage Trust Ser. 2005-C7, Class AM(a)	AA(c)		5.263%	11/15/40		2,100		2,308,242
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		983		1,007,728
Ser. 2007-C6, Class A2	Aaa		5.845%	07/15/40		1,674		1,714,392
Merrill Lynch Mortgage Trust Ser. 2006-C1, Class A4	AAA(c)		5.684%	05/12/39		7,920		9,085,206
Ser. 2007-C1, Class A3	AAA(c)		5.849%	06/12/50		690		733,732
Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 2006-2, Class A4(a)	Aaa		5.893%	06/12/46		2,625		3,023,861
Ser. 2006-4, Class A2	Aaa		5.112%	12/12/49		861		870,448
Ser. 2006-4, Class A3	Aaa		5.172%	12/12/49		1,400		1,592,944
Ser. 2007-9, Class A2	AAA(c)		5.590%	09/12/49		1,912		1,911,322
Morgan Stanley Capital I Trust Ser. 2006-T23, Class A3(a)	AAA(c)		5.815%	08/12/41		1,318		1,375,187
Ser. 2007-IQ14, Class AAB(a)	Aaa		5.654%	04/15/49		5,489		5,923,079
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	Aaa		2.792%	12/10/45		2,300		2,325,840
Wachovia Bank Commercial Mortgage Trust Ser. 2005-C20, Class AMFX(a)	Aa1		5.179%	07/15/42		3,145		3,445,102
Ser. 2006-C28, Class A2	Aaa		5.500%	10/15/48		248		249,324
Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		5,150		5,950,233
Ser. 2007-C33, Class A3(a)	Aaa		5.921%	02/15/51		3,951		4,133,106
Ser. 2007-C34, Class A2	Aaa		5.569%	05/15/46		2,016		2,013,003

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $149,687,982)								160,518,598

CORPORATE BONDS — 44.2%
Aerospace & Defense — 0.3%
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		700		780,245
Textron, Inc., Sr. Unsec’d. Notes	Baa3		7.250%	10/01/19		2,350		2,869,477

								3,649,722

Airlines — 0.5%
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs. Ser. 2001-1, Class A-1(b)	Baa2		6.703%	06/15/21		2		2,599
Ser. 2001-1, Class B	Ba1		7.373%	12/15/15		394		418,519
Ser. 2007-1, Class A(d)	Baa2		5.983%	04/19/22		1,655		1,843,168
Ser. 2010-1, Class A(d)	Baa2		4.750%	01/12/21		534		581,195
Delta Air Lines Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa2		6.821%	08/10/22		1,316		1,469,460
Ser. 2010-2, Class A	Baa2		4.950%	05/23/19		700		762,795
Ser. 2011-1, Class A	Baa2		5.300%	04/15/19		735		810,841
United Airline Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa3		6.636%	07/02/22		986		1,059,425

								6,948,002

Automotive — 0.6%
BorgWarner, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	09/15/20		825		907,829
Delphi Corp., Gtd. Notes(d)	Ba2		5.875%	05/15/19		1,400		1,501,500
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		3.984%	06/15/16		1,050		1,114,917

SEE NOTES TO FINANCIAL STATEMENTS.

A34


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Automotive (continued)
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16	$	3,925	$	4,186,468
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		660		720,777

								8,431,491

Banking — 9.9%
American Express Co., Sr. Unsec’d. Notes, 144A	A3		2.650%	12/02/22		3,202		3,189,250
Banco de Credito del Peru (Peru), Sr. Unsec’d. Notes, 144A	Baa2		4.750%	03/16/16		1,650		1,740,750
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		750		768,855
Bangkok Bank PCL (Thailand), Sr. Unsec’d. Notes, 144A	A3		3.875%	09/27/22		2,475		2,551,723
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(d)	B1		8.000%	12/29/49		3,500		3,871,280
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		1,340		1,432,362
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,775		2,134,525
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		4,590		5,374,959
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		790		888,521
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(d)	A2		6.750%	05/22/19		1,610		1,966,188
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		7.250%	02/01/18		1,575		1,973,543
Capital One Capital V, Ltd. Gtd. Notes	BB+(c)		10.250%	08/15/39		1,210		1,210,000
Capital One Financial Corp., Sr. Unsec’d. Notes	Baa1		5.250%	02/21/17		2,460		2,804,351
Capital One Financial Corp., Sub. Notes	Baa2		6.150%	09/01/16		700		800,814
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	11/21/17		2,050		2,439,822
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		2,500		2,996,027
Citigroup, Inc., Sr. Unsec’d. Notes(d)	Baa2		8.125%	07/15/39		4,120		6,168,114
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,375		1,848,876
Depfa ACS Bank (Ireland), Covered Notes, 144A	A3		5.125%	03/16/37		3,065		2,392,827
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		2,005		2,489,601
Goldman Sachs Group, Inc. (The), Sr. Notes	A3		6.250%	02/01/41		2,195		2,693,091
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)	A3		5.750%	01/24/22		2,250		2,659,977
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		2,420		2,875,473
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)	A3		6.150%	04/01/18		1,355		1,591,811
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)	A3		6.250%	09/01/17		3,195		3,768,876
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		440		498,664
Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.500%	10/30/15		4,035		4,368,404
HSBC Holdings PLC (United Kingdom), Sub. Notes(d)	A3		6.500%	09/15/37		1,625		2,028,307
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		260		318,100
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a)	Ba3		7.250%	08/29/49		2,380		2,338,350
ING Bank NV (Netherlands), Unsec’d. Notes, 144A(d)	A2		2.000%	09/25/15		770		775,698
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)	Ba1		7.900%	04/29/49		6,130		6,945,351
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		2,245		2,378,465
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.250%	09/23/22		500		514,891
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.250%	10/15/20		600		667,276
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.400%	07/22/20		5,100		5,757,105
KeyCorp, Sr. Unsec’d. Notes, MTN(d)	Baa1		5.100%	03/24/21		1,155		1,345,585
Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a)	B2		7.378%	10/29/49		1,590		1,621,170
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A2		5.800%	01/13/20		2,650		3,101,250
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,635		2,980,132
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.750%	01/25/21		1,920		2,192,707
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		4,035		4,465,055
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		1,650		1,873,367
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,675		1,683,712
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A3		3.400%	08/23/13		1,720		1,745,523
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes	Baa1		2.550%	09/18/15		625		639,631
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,525		1,802,001
Santander Holdings USA, Inc., Sr. Unsec’d. Notes(d)	Baa2		3.000%	09/24/15		950		967,422
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	04/19/16		525		548,882
State Street Corp., Jr. Sub. Debs.(a)	A3		4.956%	03/15/18		3,025		3,426,390

SEE NOTES TO FINANCIAL STATEMENTS.

A35


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
US Bancorp, Jr. Sub. Notes	A3		3.442%	02/01/16	$	4,120	$	4,338,603
Wells Fargo & Co., Sr. Unsec’d. Notes(f)	A2		3.676%	06/15/16		7,240		7,827,193

								129,780,850

Brokerage — 0.1%
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(j)	NR		6.875%	05/02/18		2,740		657,600

Building Materials & Construction — 0.9%
Masco Corp., Sr. Unsec’d. Notes	Ba3		7.125%	08/15/13		2,600		2,675,179
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		2,500		2,712,500
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		7.125%	06/26/42		1,540		1,786,400
Toll Brothers Finance Corp., Gtd. Notes	Ba1		5.150%	05/15/15		4,695		5,012,462

								12,186,541

Cable — 2.0%
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A	B3		8.625%	11/15/17		2,300		2,461,000
Columbus International, Inc. (Barbados), Sr. Sec’d. Notes, 144A (original cost $410,238; purchased 09/13/12)(b)(g)	B2		11.500%	11/20/14		370		410,700
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d)	Ba3		6.750%	11/15/21		2,225		2,466,969
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d)	Ba3		8.625%	02/15/19		1,610		1,923,950
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		2,825		2,992,822
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		275		289,288
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,375		1,390,720
Echostar DBS Corp., Gtd. Notes	Ba2		6.625%	10/01/14		1,400		1,505,000
Echostar DBS Corp., Gtd. Notes(d)	Ba2		7.000%	10/01/13		2,000		2,080,000
Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, Reg.-S	B1		8.875%	12/01/18	EUR	800		1,071,806
TCI Communications, Inc., Sr. Unsec’d. Notes	Baa1		7.875%	02/15/26		750		1,054,168
Time Warner Cable, Inc., Gtd. Notes	Baa2		6.750%	07/01/18		5,520		6,895,490
Videotron Ltee (Canada), Gtd. Notes	Ba2		9.125%	04/15/18		1,996		2,125,740

								26,667,653

Capital Goods — 1.1%
Case New Holland, Inc., Gtd. Notes	Ba2		7.750%	09/01/13		1,000		1,040,000
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $887,675; purchased 10/10/12)(b)(g)	Baa1		5.625%	03/15/42		825		914,004
General Electric Co., Sr. Unsec’d. Notes	Aa3		4.125%	10/09/42		1,275		1,311,526
Hutchison Whampoa International (11) Ltd. (Cayman Islands), Gtd. Notes, 144A(d)	A3		4.625%	01/13/22		1,140		1,271,604
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $474,815; purchased 07/10/12)(b)(g)	Baa3		2.500%	07/11/14		475		479,962
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $2,022,003; purchased 09/24/12)(b)(g)	Baa3		2.500%	03/15/16		2,025		2,030,456
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $674,345; purchased 05/08/12)(b)(g)	Baa3		3.125%	05/11/15		675		688,729
Rockwell Automation, Inc., Sr. Unsec’d. Notes	A3		5.200%	01/15/98		1,100		1,131,298
Tyco Flow Control International Finance SA (Luxembourg), Gtd. Notes, 144A	Baa2		1.875%	09/15/17		625		626,837
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		2,425		2,694,566
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,960		2,225,241

								14,414,223

Chemicals — 0.9%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		6.125%	01/15/41		450		541,030
CF Industries, Inc., Gtd. Notes	Baa3		6.875%	05/01/18		785		958,966
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		1,252		2,061,334
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		4,000		4,473,908
Union Carbide Corp., Sr. Unsec’d. Notes(d)	Baa2		7.875%	04/01/23		3,058		3,869,658

								11,904,896

SEE NOTES TO FINANCIAL STATEMENTS.

A36


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Consumer — 0.6%
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16	$	5,231	$	5,544,860
Service Corp. International, Sr. Unsec’d. Notes	Ba3		7.625%	10/01/18		2,000		2,380,000

								7,924,860

Electric — 1.8%
AES Corp. (The), Sr. Unsec’d. Notes(d)	Ba3		9.750%	04/15/16		775		926,125
Dubai Electricity & Water Authority (United Arab Emirates), Sr. Unsec’d. Notes, 144A	Baa3		8.500%	04/22/15		1,275		1,440,750
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		2,325		2,899,159
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.350%	08/01/13		625		648,963
ENEL Finance International NV (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		3,200		3,098,710
Enersis SA (Chile), Sr. Unsec’d. Notes	Baa2		7.375%	01/15/14		3,700		3,898,394
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		500		544,264
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.200%	10/01/17		1,930		2,279,166
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,900		2,209,436
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		1,150		1,233,688
TransAlta Corp. (Canada), Sr. Unsec’d. Notes	Baa3		6.650%	05/15/18		1,953		2,244,723
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		1,947		2,278,037

								23,701,415

Energy – Integrated — 0.6%
Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		4.450%	09/15/42		1,825		1,897,432
LUKOIL International Finance BV (Netherlands), Gtd. Notes, 144A	Baa2		7.250%	11/05/19		1,300		1,589,250
Pacific Rubiales Energy Corp. (Canada), Gtd. Notes, 144A(d)	Ba2		7.250%	12/12/21		1,340		1,547,700
Pacific Rubiales Energy Corp. (Canada), Gtd. Notes, Reg.-S	Ba2		7.250%	12/12/21		340		392,700
Sasol Financing International PLC (Isle of Man), Gtd. Notes	Baa1		4.500%	11/14/22		1,925		1,934,625
TNK-BP Finance SA (Luxembourg), Gtd. Notes, 144A, MTN	Baa2		6.625%	03/20/17		585		665,438

								8,027,145

Energy – Other — 1.6%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		2,515		3,004,155
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		1,450		1,816,512
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		315,954
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A	A1		5.888%	06/15/19		2,492		2,809,740
Forest Oil Corp., Gtd. Notes	B2		8.500%	02/15/14		484		513,040
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		1,650		1,775,796
Noble Energy, Inc., Sr. Unsec’d. Notes	Baa2		6.000%	03/01/41		1,650		1,987,600
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,750		2,129,025
Precision Drilling Corp. (Canada), Gtd. Notes(d)	Ba1		6.625%	11/15/20		1,000		1,075,000
Rosneft Oil Co. Via Rosneft International Finance Ltd. (Ireland), Sr. Unsec’d. Notes, 144A	BBB-(c)		3.149%	03/06/17		1,165		1,182,475
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		1,075		1,086,309
Weatherford International Ltd. (Bermuda), Gtd. Notes(d)	Baa2		5.125%	09/15/20		1,165		1,283,818
Weatherford International Ltd. (Bermuda), Gtd. Notes(d)	Baa2		5.950%	04/15/42		1,550		1,682,293

								20,661,717

Foods — 2.2%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		6.875%	11/15/19		2,200		2,888,818
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		7.750%	01/15/19		1,640		2,190,408
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		5,369		5,395,899
ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A	B3		8.625%	05/01/16		1,185		1,213,156
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A	B2		9.000%	02/10/17		1,000		1,065,000
Cott Beverages, Inc., Gtd. Notes	B3		8.125%	09/01/18		1,756		1,940,380
Dole Food Co., Inc., Sec’d. Notes	B2		13.875%	03/15/14		2,600		2,879,500
Ingles Markets, Inc., Sr. Unsec’d. Notes	B1		8.875%	05/15/17		1,500		1,599,375
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(b)(g)	B1		7.250%	06/01/21		1,330		1,333,325
Kraft Foods Group, Inc., Gtd. Notes, 144A	Baa2		5.000%	06/04/42		900		1,012,049

SEE NOTES TO FINANCIAL STATEMENTS.

A37


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
Minerva Luxembourg SA (Luxembourg), Gtd. Notes, 144A(d)	B2		12.250%	02/10/22	$	725	$	868,187
Stater Bros. Holdings, Inc., Gtd. Notes	B2		7.750%	04/15/15		2,200		2,244,000
SUPERVALU, Inc., Sr. Unsec’d. Notes(d)	Caa1		7.500%	11/15/14		2,415		2,342,550
Tyson Foods, Inc., Gtd. Notes	Baa3		6.600%	04/01/16		1,000		1,145,945

								28,118,592

Gaming — 0.6%
Ameristar Casinos, Inc., Gtd. Notes(d)	B3		7.500%	04/15/21		1,550		1,679,813
Marina District Finance Co., Inc., Sr. Sec’d. Notes(d)	B2		9.500%	10/15/15		1,710		1,658,700
Pinnacle Entertainment, Inc., Gtd. Notes(d)	B1		8.625%	08/01/17		2,500		2,684,375
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		1,404,000

								7,426,888

Healthcare & Pharmaceutical — 1.5%
AbbVie, Inc., Gtd. Notes, 144A	Baa1		4.400%	11/06/42		850		903,664
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		2,515		2,830,296
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		405		477,506
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		3,750		3,868,481
CHS/Community Health Systems, Inc., Gtd. Notes	B3		8.000%	11/15/19		2,500		2,706,250
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		825		1,024,892
HCA, Inc., Gtd. Notes	B3		8.000%	10/01/18		2,250		2,604,375
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		1,000		1,081,250
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		320		356,800
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(d)	Baa2		3.750%	08/23/22		225		238,605
Mylan, Inc., Gtd. Notes, 144A(d)	Baa3		7.625%	07/15/17		2,030		2,281,454
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		700		728,793

								19,102,366

Healthcare Insurance — 1.1%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	12/15/37		1,900		2,635,727
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		4.375%	12/15/20		745		822,735
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.375%	03/15/17		2,125		2,406,418
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		750		910,481
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		4,025		4,397,172
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		760		1,001,129
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		195		257,894
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		525		542,229
WellPoint, Inc., Sr. Unsec’d. Notes(d)	Baa2		4.650%	01/15/43		1,225		1,276,592

								14,250,377

Insurance — 3.0%
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		5.500%	11/15/20		430		476,632
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		7.500%	08/01/16		2,475		2,924,259
Allstate Corp. (The), Sr. Unsec’d. Notes(d)	A3		5.200%	01/15/42		225		267,039
American International Group, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.250%	05/15/13		1,820		1,842,106
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		5.050%	10/01/15		315		347,562
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		950		1,178,758
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		2,005		2,634,341
American International Group, Inc., Sr. Unsec’d. Notes, MTN	Baa1		5.850%	01/16/18		3,700		4,374,129
Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		5.750%	12/01/14		3,350		3,592,775
Chubb Corp. (The), Jr. Sub. Notes(a)(d)	A3		6.375%	03/29/67		1,775		1,934,750
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		7.000%	07/15/34		1,350		1,521,852
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(d)	Baa3		5.125%	04/15/22		500		576,925
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		6.500%	03/15/35		1,030		1,125,521
Lincoln National Corp., Jr. Sub. Notes(a)	Ba1		6.050%	04/20/67		350		348,687
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		1,265		1,646,454
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		1,265		1,691,680
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A	A1		8.875%	06/01/39		1,200		1,812,052

SEE NOTES TO FINANCIAL STATEMENTS.

A38


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)	A2		5.000%	10/18/42	$	850	$	897,841
Northwestern Mutual Life Insurance, Sub. Notes, 144A	Aa2		6.063%	03/30/40		500		638,347
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		850		968,002
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		150		152,452
Progressive Corp. (The), Jr. Sub. Notes(a)(d)	A2		6.700%	06/15/37		1,015		1,096,200
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		2,310		3,132,995
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		500		571,290
Willis Group Holdings PLC (Ireland), Gtd. Notes	Baa3		4.125%	03/15/16		1,280		1,365,272
XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)(d)	Ba1		6.500%	12/31/49		1,880		1,757,800
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		140		149,077

								39,024,798

Lodging — 0.6%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		3,938		4,548,390
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		1,325		1,325,392
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		5.750%	02/01/18		2,150		2,403,300

								8,277,082

Media & Entertainment — 2.7%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A	Baa1		6.100%	02/15/18		210		250,927
CBS Corp., Gtd. Notes(b)	Baa2		4.850%	07/01/42		2,450		2,549,935
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes	B2		9.125%	08/01/18		2,300		2,587,500
Globo Comunicacao e Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(f)	Baa2		5.307%	05/11/22		900		981,000
Historic TW, Inc., Gtd. Notes	Baa2		6.625%	05/15/29		225		287,114
Liberty Interactive LLC, Sr. Unsec’d. Notes	B3		5.700%	05/15/13		800		811,000
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		4.375%	04/01/21		1,350		1,516,512
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		4.450%	01/15/43		2,675		2,708,804
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		460		564,542
News America, Inc., Gtd. Notes(d)	Baa1		6.150%	02/15/41		1,430		1,811,214
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		65		85,102
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,415		1,823,900
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.625%	02/01/14		1,400		1,554,000
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba3		4.950%	04/01/14		7,000		7,157,500
RR Donnelley & Sons Co., Sr. Unsec’d. Notes(d)	Ba3		8.600%	08/15/16		4,750		5,106,250
Time Warner Cos., Inc., Gtd. Notes	Baa2		6.950%	01/15/28		2,153		2,801,208
Time Warner Cos., Inc., Gtd. Notes(d)	Baa2		7.250%	10/15/17		1,440		1,808,175
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43		1,158		1,139,131

								35,543,814

Metals — 1.6%
Adaro Indonesia PT (Indonesia), Gtd. Notes	Ba1		7.625%	10/22/19		745		826,950
Berau Capital Resources Pte Ltd. (Singapore), Sr. Sec’d. Notes, Reg.-S	B1		12.500%	07/08/15		1,600		1,740,000
Bumi Investment Pte Ltd. (Singapore), Sr. Sec’d. Notes, MTN, Reg.-S(d)	B1		10.750%	10/06/17		610		539,850
Indo Integrated Energy II BV (Netherlands), Sr. Sec’d. Notes, Reg.-S	B1		9.750%	11/05/16		2,025		2,207,250
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		2,025		2,438,797
Novelis, Inc. (Canada), Gtd. Notes(d)	B2		8.375%	12/15/17		3,525		3,886,312
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		4,075		4,329,687
Raspadskaya OJSC Via Raspadskaya Securities Ltd. (Ireland), Unsec’d. Notes, 144A	B1		7.750%	04/27/17		1,000		1,060,000
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		6.750%	04/16/40		600		722,325
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		550		706,083
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,825		1,873,180

								20,330,434

SEE NOTES TO FINANCIAL STATEMENTS.

A39


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance — 2.7%
Cielo SA/Cielo USA, Inc. (Brazil), Gtd. Notes, 144A(d)	Baa2		3.750%	11/16/22	$	1,675	$	1,653,225
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		675		814,220
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(e)(h)	A1		6.000%	08/07/19		6,315		7,682,595
General Electric Capital Corp., Sub. Notes	A2		5.300%	02/11/21		1,185		1,375,527
HSBC Finance Corp., Sr. Sub. Notes	Baa2		6.676%	01/15/21		295		349,980
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		6.500%	09/01/14		2,875		3,069,063
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		1,125		1,185,850
International Lease Finance Corp., Sr. Unsec’d. Notes(d)	Ba3		6.250%	05/15/19		1,400		1,491,000
Nelnet, Inc., Jr. Sub. Notes(a)	Ba2		3.686%	09/29/36		6,100		4,819,000
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(a)(b)	Aa2		1.087%	07/03/33		1,588		1,238,807
Schahin II Finance Co. SPV Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(d)	Baa3		5.875%	09/25/22		1,900		2,028,250
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		5.050%	11/14/14		4,150		4,356,085
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		6.000%	01/25/17		1,075		1,163,687
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		3,200		3,744,000
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(d)	Caa1		6.900%	12/15/17		1,000		895,000

								35,866,289

Packaging — 0.3%
Greif Luxembourg Finance SCA (Luxembourg), Gtd. Notes, 144A, MTN	Ba2		7.375%	07/15/21	EUR	1,470		2,192,582
Greif, Inc., Sr. Unsec’d. Notes	Ba2		7.750%	08/01/19		1,815		2,096,325

								4,288,907

Paper — 0.9%
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		675		799,289
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.300%	11/15/39		1,000		1,355,560
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		2,205		2,850,681
MeadWestvaco Corp., Sr. Unsec’d. Notes(d)	Baa3		7.375%	09/01/19		4,400		5,519,136
Rock-Tenn Co., Sr. Unsec’d. Notes, 144A(d)	Ba1		4.450%	03/01/19		1,165		1,256,890

								11,781,556

Pipelines & Other — 0.7%
Enterprise Products Operating LLC, Gtd. Notes	Baa2		5.700%	02/15/42		900		1,054,044
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		5.000%	08/15/42		550		582,878
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		7.300%	08/15/33		1,550		2,021,045
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		1,345		1,580,507
ONEOK Partners LP, Gtd. Notes	Baa2		2.000%	10/01/17		750		756,234
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.500%	06/01/16		2,275		2,667,101

								8,661,809

Real Estate Investment Trusts — 0.8%
Hospitality Properties Trust, Sr. Unsec’d. Notes	Baa2		7.875%	08/15/14		2,900		3,095,817
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		8		9,684
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		45		47,483
Simon Property Group LP, Sr. Unsec’d. Notes(d)	A3		3.375%	03/15/22		325		343,238
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		40		48,725
Simon Property Group LP, Sr. Unsec’d. Notes(d)	A3		10.350%	04/01/19		1,685		2,409,528
WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A	A2		5.750%	09/02/15		4,000		4,465,832

								10,420,307

Retailers — 0.5%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		2,000		2,559,520
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes	B2		8.500%	05/15/16		2,565		2,725,312
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(d)	Aa2		5.625%	04/15/41		1,190		1,558,397

								6,843,229

Technology — 1.6%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		600		622,544

SEE NOTES TO FINANCIAL STATEMENTS.

A40


CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology (continued)
Avaya, Inc., Gtd. Notes, PIK	Caa2		10.125%	11/01/15	$	2,500	$	2,237,500
CDW LLC/CDW Finance Corp., Gtd. Notes	Caa1		12.535%	10/12/17		2,128		2,274,300
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	10/01/15		195		204,448
Seagate HDD Cayman (Cayman Islands), Gtd. Notes(d)	Ba1		6.875%	05/01/20		2,875		3,058,281
Seagate HDD Cayman (Cayman Islands), Gtd. Notes	Ba1		7.750%	12/15/18		1,700		1,867,875
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		2,794		3,007,043
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		1,000		1,065,000
SunGard Data Systems, Inc., Gtd. Notes(d)	Caa1		7.625%	11/15/20		1,700		1,857,250
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes	B2		11.375%	06/15/18		1,850		2,155,250
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,000		2,103,378

								20,452,869

Telecommunications — 2.0%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		795		1,045,938
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		103		155,872
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		483		562,477
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,990		2,615,085
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		328		521,087
CC Holdings GS V LLC/Crown Castle GS III Corp., Sr. Sec’d. Notes, 144A	Baa2		7.750%	05/01/17		3,000		3,185,400
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,255		3,102,204
Digicel Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(d)	B1		12.000%	04/01/14		1,910		2,077,125
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, 144A(d)	B3		11.625%	01/31/20		1,700		1,980,500
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		1,380,651
MetroPCS Wireless, Inc., Gtd. Notes(d)	B2		7.875%	09/01/18		775		838,937
Qwest Corp., Sr. Unsec’d. Notes(a)	Baa3		3.558%	06/15/13		3,750		3,778,856
SK Telecom Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A3		2.125%	05/01/18		2,175		2,186,893
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Sr. Unsec’d. Notes, 144A(b)	Ba3		9.125%	04/30/18		200		242,250
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Unsec’d. Notes, 144A	Ba3		7.748%	02/02/21		1,300		1,501,500
Wind Acquisition Finance SA (Luxembourg), Sec’d. Notes, 144A	B3		11.750%	07/15/17	EUR	450		622,195

								25,796,970

Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		2,715		4,472,797
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		515		544,972
Lorillard Tobacco Co., Gtd. Notes(d)	Baa2		8.125%	06/23/19		895		1,142,045

								6,159,814

TOTAL CORPORATE BONDS (cost $523,492,735)								577,302,216

FOREIGN AGENCIES — 3.5%
Export Credit Bank of Turkey (Turkey), Unsec’d. Notes, 144A	Ba1		5.375%	11/04/16		265		288,585
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		4.950%	05/23/16		1,950		2,093,812
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		6.510%	03/07/22		975		1,162,687
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		9.250%	04/23/19		2,845		3,766,069
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, Reg.-S	Baa1		9.250%	04/23/19		1,080		1,429,650

SEE NOTES TO FINANCIAL STATEMENTS.

A41


FOREIGN AGENCIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Gazprom International SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	BBB+(c)		7.201%	02/01/20	$	467	$	523,253
IPIC GMTN Ltd. (Cayman Islands), Gtd. Notes, 144A, MTN	Aa3		5.500%	03/01/22		2,375		2,799,531
KazMunayGas National Co. (Netherlands), Gtd. Notes, 144A, MTN	Baa3		9.125%	07/02/18		935		1,236,538
KazMunayGas National Co. (Netherlands), Sr. Unsec’d. Notes, 144A, MTN	Baa3		11.750%	01/23/15		1,475		1,760,781
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes(d)	Aa3		3.500%	08/22/17		2,400		2,567,837
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes	Aa3		3.875%	05/04/17		2,600		2,810,909
Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, Ser. G, 144A, MTN(d)	A1		4.500%	03/23/15		1,785		1,905,584
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	Aa3		4.625%	11/16/21		600		678,109
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, Reg.-S(d)	A1		4.250%	11/02/20		1,750		1,921,322
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		3.000%	09/19/22		1,450		1,426,391
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.750%	07/13/21		1,650		1,866,363
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		2,730		2,922,105
National Agricultural Cooperative Federation (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A1		3.500%	02/08/17		1,575		1,653,767
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(d)	A3		5.375%	01/27/21		2,925		3,293,024
Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, Ser. 2014	NR		4.900%	10/28/14		3,435		3,283,860
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		4.875%	01/24/22		2,100		2,369,850
Power Sector Assets & Liabilities Management Corp. (Philippines), Gtd. Notes, Reg.-S	Ba1		7.390%	12/02/24		1,750		2,436,875
State Bank of India (India), Sr. Unsec’d. Notes, 144A(d)	Baa2		4.125%	08/01/17		1,250		1,287,250

TOTAL FOREIGN AGENCIES (cost $41,853,983)								45,484,152

MORTGAGE-BACKED SECURITIES — 4.2%
Federal Home Loan Mortgage Corp.			1.250%	10/02/19		6,860		6,839,928
Federal Home Loan Mortgage Corp.			5.000%	07/01/19		265		286,698
Federal Home Loan Mortgage Corp.			5.500%	10/01/33-06/01/34		2,216		2,488,428
Federal Home Loan Mortgage Corp.			6.000%	11/01/33-06/01/34		1,542		1,709,921
Federal Home Loan Mortgage Corp.			6.500%	07/01/32-09/01/32		1,297		1,474,570
Federal Home Loan Mortgage Corp.			7.000%	10/01/32		165		193,697
Federal National Mortgage Association			3.500%	TBA 30 YR		1,500		1,596,387
Federal National Mortgage Association			3.500%	TBA 30 YR		4,000		4,264,531
Federal National Mortgage Association			4.000%	05/01/19		188		204,256
Federal National Mortgage Association			4.500%	12/01/18-02/01/35		1,656		1,805,662
Federal National Mortgage Association			5.500%	03/01/17-09/01/34		5,284		5,777,278
Federal National Mortgage Association			6.000%	09/01/17-11/01/36		4,098		4,559,277
Federal National Mortgage Association			6.500%	12/01/14-11/01/33		2,796		3,149,735
Federal National Mortgage Association			7.000%	05/01/32-06/01/32		236		281,214
Government National Mortgage Association			3.000%	TBA 30 YR		1,500		1,594,688
Government National Mortgage Association			4.500%	TBA 30 YR		7,000		7,663,906
Government National Mortgage Association			5.500%	01/15/33-07/15/35		3,767		4,169,930
Government National Mortgage Association			6.000%	12/15/32-11/15/34		3,418		3,890,496
Government National Mortgage Association			6.500%	09/15/32-11/15/33		2,610		3,054,796
Government National Mortgage Association			7.500%	10/15/25-02/15/26		71		83,151

TOTAL MORTGAGE-BACKED SECURITIES (cost $52,200,392)								55,088,549

SEE NOTES TO FINANCIAL STATEMENTS.

A42


MUNICIPAL BONDS — 2.0%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Bay Area Toll Authority, Revenue Bonds, BABs	A1		6.907%	10/01/50	$	1,125	$	1,601,460
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		1,380		1,786,368
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,375		1,654,194
New Jersey State Turnpike Authority, Revenue Bonds, Ser. 2010A, BABs	A3		7.102%	01/01/41		1,175		1,666,209
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		2,050		3,003,598
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		695		809,140
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		450		518,841
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		615		797,489
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		800		949,032
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		1,000		1,357,910
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		2,280		3,159,465
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		725		1,041,165
State of Illinois, General Obligation Bonds	A2		4.421%	01/01/15		5,030		5,332,756
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		425		514,492
University of California, Revenue Bonds, BABs	Aa1		5.770%	05/15/43		1,400		1,713,502

TOTAL MUNICIPAL BONDS (cost $20,771,240)								25,905,621

SOVEREIGNS — 4.8%
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, Ser. E, MTN	NR		2.750%	03/05/15		2,100		2,185,665
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes	Baa2		7.375%	02/03/15	EUR	900		1,350,119
Brazilian Government International Bond (Brazil), Unsec’d. Notes, 144A	Baa2		11.000%	06/26/17	EUR	1,600		2,971,489
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		4.875%	05/05/21		1,600		1,840,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		7.250%	04/20/15		1,600		1,802,000
Indonesia Government International Bond (Indonesia), Unsec’d. Notes, 144A	Baa3		3.750%	04/25/22		2,000		2,132,500
Ireland Government Bond (Ireland), Sr. Unsub. Notes	Ba1		4.400%	06/18/19	EUR	780		1,033,230
Ireland Government Bond (Ireland), Unsec’d. Notes	Ba1		4.500%	04/18/20	EUR	2,600		3,431,794
Italy Buoni Poliennali del Tesoro (Italy), Bonds	Baa2		4.750%	05/01/17	EUR	1,970		2,770,897
Italy Buoni Poliennali del Tesoro (Italy), Bonds	Baa2		6.500%	11/01/27	EUR	3,545		5,437,289
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Reg.-S	Baa2		3.450%	03/24/17	JPY	120,000		1,359,185
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Reg.-S	Baa2		4.500%	06/08/15	JPY	130,000		1,541,605
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	02/17/20	EUR	920		1,463,305
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		4.250%	07/14/17	EUR	2,860		4,212,989
Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), Pass-thru Certs., 144A(i)	Baa2		2.020%	05/31/18		1,087		978,284
Peruvian Government International Bond (Peru), Sr. Unsec’d. Notes, Reg.-S.	Baa2		7.500%	10/14/14	EUR	1,700		2,512,078
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes	Ba1		6.250%	03/15/16	EUR	850		1,280,441

SEE NOTES TO FINANCIAL STATEMENTS.

A43


SOVEREIGNS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23	$		285	$	284,287
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		3.850%	04/15/21	EUR		500		537,039
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, 144A	Ba3		4.100%	04/15/37	EUR		540		471,231
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		4.750%	06/14/19	EUR		3,025		3,622,174
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20			2,110		2,521,450
Russian Foreign Bond – Eurobond (Russia), Sr. Unsec’d. Notes, 144A	Baa1		7.500%	03/31/30			946		1,214,400
South Africa Government Bond (South Africa), Bonds, Ser. R214	Baa1		6.500%	02/28/41	ZAR		18,000		1,748,250
South Africa Government International Bond (South Africa), Unsec’d. Notes, Ser. E, MTN	Baa1		4.500%	04/05/16	EUR		800		1,151,785
Spain Government Bond (Spain), Sr. Unsub. Notes	Baa3		4.700%	07/30/41	EUR		465		522,953
Spain Government Bond (Spain), Sr. Unsub. Notes	Baa3		5.850%	01/31/22	EUR		1,845		2,535,657
Spain Government Bond (Spain), Unsec’d. Notes	Baa3		4.250%	10/31/16	EUR		2,850		3,816,051
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, Ser. E, MTN	Baa3		3.625%	06/17/13			2,400		2,399,928
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	Ba1		7.000%	06/05/20			1,510		1,925,250
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	Ba1		8.000%	02/14/34			845		1,267,500

TOTAL SOVEREIGNS (cost $57,988,404)									62,320,825

U.S. GOVERNMENT TREASURY OBLIGATIONS — 2.6%
U.S. Treasury Bonds			2.750%	08/15/42			4,115		3,973,547
U.S. Treasury Bonds			2.750%	11/15/42			12,625		12,163,404
U.S. Treasury Notes			0.625%	11/30/17			1,625		1,619,542
U.S. Treasury Notes			0.750%	12/31/17			9,750		9,766,000
U.S. Treasury Notes			1.125%	12/31/19			175		174,508
U.S. Treasury Notes(d)			1.625%	11/15/22			6,830		6,755,293

TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $34,913,155)									34,452,294


						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		1,255,500

TOTAL LONG-TERM INVESTMENTS (cost $1,061,168,608)									1,147,632,957

SHORT-TERM INVESTMENTS — 18.7%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(k) (cost $123,519,144)							12,569,841		116,019,635
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(k)(l) (cost $127,931,409; includes $81,016,815 of cash collateral received for securities on loan)							127,931,409		127,931,409

TOTAL SHORT-TERM INVESTMENTS (cost $251,450,553)									243,951,044

TOTAL INVESTMENTS — 106.6% (cost $1,312,619,161)									1,391,584,001
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.6)%									(85,682,948	)

NET ASSETS — 100.0%								$	1,305,901,053

SEE NOTES TO FINANCIAL STATEMENTS.

A44

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
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
FHLMC		Federal Home Loan Mortgage Corp.
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
JPY		Japanese Yen
KRW		South Korean Won
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
PEN		Peruvian Nuevo Sol
PHP		Philippine Peso
PLN		Polish Zloty
RUB		Russian Ruble
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thai Baht
TRY		Turkish Lira
TWD		Taiwan Dollar
ZAR		South African Rand
BBR		New Zealand Bank Bill Rate
EURIBOR		Euro Interbank Offer Rate
LIBOR		London Interbank Offered Rate

†	The ratings reflected are as of December 31, 2012. Ratings of certain bonds may have changed subsequent to that date. The Portolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings.

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

*	Non-income producing security.

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 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 $79,120,950; cash collateral of $81,016,815 (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 a step coupon bond. Rate shown reflects the rate in effect at December 31, 2012.

SEE NOTES TO FINANCIAL STATEMENTS.

A45

(g)	Indicates a restricted security; the aggregate original cost of such securities is $8,403,801. The aggregate value of $8,641,827 is approximately 0.7% of net assets.

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

(i)	Represents zero coupon bond. Rate shown reflects the effective yield on December 31, 2012.

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

(k)	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.

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

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

Open futures contracts outstanding at December 31, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
415	2 Year U.S. Treasury Notes		Mar. 2013	$	91,451,416	$	91,494,531	$	43,115
1,670	5 Year U.S. Treasury Notes		Mar. 2013		207,928,311		207,771,484		(156,827	)
266	10 Year U.S. Treasury Notes		Mar. 2013		35,158,182		35,319,813		161,631
570	U.S. Long Bond		Mar. 2013		84,830,607		84,075,000		(755,607	)

									(707,688	)

Short Position:
47	U.S. Ultra Bond		Mar. 2013		7,601,465		7,641,906		(40,441	)

								$	(748,129	)

Forward currency contracts outstanding at December 31, 2012:


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 01/23/13	Citibank NA	AUD	1,250	$	1,288,300	$	1,295,773	$	7,473
Australian Dollar expiring 01/23/13	HSBC Securities, Inc.	AUD	2,508		2,596,700		2,599,258		2,558
Australian Dollar expiring 01/23/13	HSBC Securities, Inc.	AUD	1,251		1,289,200		1,296,441		7,241
Australian Dollar expiring 01/23/13	JPMorgan Chase & Co.	AUD	1,876		1,932,500		1,944,931		12,431
Australian Dollar expiring 01/23/13	JPMorgan Chase & Co.	AUD	1,852		1,911,200		1,919,331		8,131
Australian Dollar expiring 01/23/13	JPMorgan Chase & Co.	AUD	1,250		1,274,200		1,295,616		21,416
Australian Dollar expiring 01/23/13	Morgan Stanley	AUD	1,870		1,945,701		1,938,551		(7,150	)
Australian Dollar expiring 01/23/13	Morgan Stanley	AUD	1,254		1,288,300		1,299,725		11,425
Australian Dollar expiring 01/23/13	UBS AG	AUD	2,504		2,591,000		2,595,450		4,450
Brazilian Real expiring 01/18/13	Citibank NA	BRL	2,667		1,288,600		1,299,472		10,872
Brazilian Real expiring 01/18/13	Citibank NA	BRL	2,633		1,278,100		1,282,844		4,744
British Pound expiring 01/25/13	Citibank NA	GBP	1,607		2,576,700		2,610,952		34,252
British Pound expiring 01/25/13	Deutsche Bank Securities Corp.	GBP	1,597		2,576,100		2,594,087		17,987
British Pound expiring 01/25/13	JPMorgan Chase & Co.	GBP	2,041		3,303,732		3,314,628		10,896
British Pound expiring 01/25/13	JPMorgan Chase & Co.	GBP	800		1,291,700		1,299,592		7,892
Canadian Dollar expiring 01/22/13	Citibank NA	CAD	2,558		2,571,400		2,570,176		(1,224	)
Canadian Dollar expiring 01/22/13	Citibank NA	CAD	1,286		1,316,500		1,292,396		(24,104	)
Canadian Dollar expiring 01/22/13	Citibank NA	CAD	1,280		1,288,800		1,286,445		(2,355	)
Canadian Dollar expiring 01/22/13	Citibank NA	CAD	1,257		1,276,000		1,262,761		(13,239	)
Canadian Dollar expiring 01/22/13	Deutsche Bank Securities Corp.	CAD	1,285		1,289,900		1,291,438		1,538
Canadian Dollar expiring 01/22/13	Goldman Sachs & Co.	CAD	1,943		1,947,500		1,952,082		4,582
Canadian Dollar expiring 01/22/13	Goldman Sachs & Co.	CAD	1,289		1,303,100		1,295,189		(7,911	)
Canadian Dollar expiring 01/22/13	Goldman Sachs & Co.	CAD	1,277		1,298,000		1,283,622		(14,378	)
Canadian Dollar expiring 01/22/13	JPMorgan Chase & Co.	CAD	7,157		7,328,093		7,191,788		(136,305	)
Canadian Dollar expiring 01/22/13	JPMorgan Chase & Co.	CAD	1,279		1,288,300		1,285,252		(3,048	)
Canadian Dollar expiring 01/22/13	Morgan Stanley	CAD	1,253		1,278,100		1,258,934		(19,166	)
Canadian Dollar expiring 01/22/13	UBS AG	CAD	1,291		1,291,700		1,297,152		5,452
Chilean Peso expiring 02/06/13	Citibank NA	CLP	3,332,538		6,816,400		6,924,567		108,167
Chilean Peso expiring 03/11/13	Citibank NA	CLP	628,876		1,303,100		1,301,307		(1,793	)

SEE NOTES TO FINANCIAL STATEMENTS.

A46


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Chilean Peso expiring 03/11/13	Citibank NA	CLP	622,156	$	1,299,000	$	1,287,401	$	(11,599	)
Chinese Yuan Renminbi expiring 03/12/13	UBS AG	CNY	41,457		6,500,000		6,617,851		117,851
Chinese Yuan Renminbi expiring 03/20/13	Citibank NA	CNY	17,745		2,806,400		2,831,287		24,887
Chinese Yuan Renminbi expiring 03/20/13	UBS AG	CNY	45,787		7,232,700		7,305,495		72,795
Chinese Yuan Renminbi expiring 10/29/13	Citibank NA	CNY	8,148		1,288,400		1,284,554		(3,846	)
Chinese Yuan Renminbi expiring 10/29/13	UBS AG	CNY	13,894		2,189,700		2,190,413		713
Colombian Peso expiring 01/18/13	Citibank NA	COP	2,343,951		1,303,100		1,324,717		21,617
Czech Koruna expiring 01/24/13	Citibank NA	CZK	71,722		3,744,954		3,773,936		28,982
Czech Koruna expiring 01/24/13	Citibank NA	CZK	25,775		1,298,300		1,356,229		57,929
Czech Koruna expiring 01/24/13	Citibank NA	CZK	24,689		1,297,100		1,299,117		2,017
Czech Koruna expiring 01/24/13	Citibank NA	CZK	24,426		1,276,000		1,285,258		9,258
Czech Koruna expiring 01/24/13	Credit Suisse First Boston	CZK	24,705		1,304,601		1,299,930		(4,671	)
Czech Koruna expiring 01/24/13	Credit Suisse First Boston	CZK	24,395		1,290,300		1,283,623		(6,677	)
Czech Koruna expiring 01/24/13	JPMorgan Chase & Co.	CZK	24,348		1,278,900		1,281,161		2,261
Euro expiring 01/24/13	Citibank NA	EUR	1,480		1,914,225		1,953,686		39,461
Euro expiring 01/25/13	Citibank NA	EUR	2,883		3,729,072		3,805,773		76,701
Euro expiring 01/25/13	Citibank NA	EUR	2,284		3,011,700		3,015,911		4,211
Euro expiring 01/25/13	Citibank NA	EUR	70		92,700		92,830		130
Euro expiring 01/25/13	Citibank NA	EUR	64		85,000		85,119		119
Euro expiring 01/25/13	Goldman Sachs & Co.	EUR	1,174		1,545,800		1,549,928		4,128
Euro expiring 01/25/13	HSBC Securities, Inc.	EUR	1,288		1,676,000		1,699,856		23,856
Euro expiring 01/25/13	JPMorgan Chase & Co.	EUR	1,473		1,932,500		1,945,144		12,644
Hungarian Forint expiring 01/24/13	Barclays Bank PLC	HUF	276,014		1,278,900		1,246,568		(32,332	)
Hungarian Forint expiring 01/24/13	Citibank NA	HUF	335,584		1,530,900		1,515,605		(15,295	)
Hungarian Forint expiring 01/24/13	Goldman Sachs & Co.	HUF	289,573		1,298,300		1,307,806		9,506
Hungarian Forint expiring 01/24/13	Goldman Sachs & Co.	HUF	286,638		1,297,100		1,294,551		(2,549	)
Hungarian Forint expiring 01/24/13	HSBC Securities, Inc.	HUF	566,138		2,613,200		2,556,861		(56,339	)
Indian Rupee expiring 01/07/13	Citibank NA	INR	125,401		2,353,400		2,285,330		(68,070	)
Indian Rupee expiring 01/07/13	Citibank NA	INR	82,789		1,565,901		1,508,765		(57,136	)
Indian Rupee expiring 01/07/13	UBS AG	INR	199,718		3,834,100		3,639,703		(194,397	)
Indian Rupee expiring 01/07/13	UBS AG	INR	168,265		3,131,100		3,066,498		(64,602	)
Indian Rupee expiring 01/07/13	UBS AG	INR	135,639		2,492,900		2,471,905		(20,995	)
Indian Rupee expiring 01/14/13	UBS AG	INR	69,865		1,290,100		1,271,331		(18,769	)
Japanese Yen expiring 01/25/13	Citibank NA	JPY	39,579		509,500		456,949		(52,551	)
Malaysian Ringgit expiring 03/11/13	UBS AG	MYR	27,525		9,015,028		8,956,999		(58,029	)
Mexican Peso expiring 01/22/13	Citibank NA	MXN	107,280		8,271,467		8,281,761		10,294
Mexican Peso expiring 01/22/13	Citibank NA	MXN	16,953		1,289,200		1,308,744		19,544
Mexican Peso expiring 01/22/13	Citibank NA	MXN	16,778		1,303,100		1,295,229		(7,871	)
Mexican Peso expiring 01/22/13	Citibank NA	MXN	8,267		639,000		638,211		(789	)
Mexican Peso expiring 01/22/13	Citibank NA	MXN	166		12,743		12,816		73
Mexican Peso expiring 01/22/13	Citibank NA	MXN	115		8,819		8,884		65
Mexican Peso expiring 01/22/13	HSBC Securities, Inc.	MXN	34,153		2,596,700		2,636,515		39,815
Mexican Peso expiring 01/22/13	JPMorgan Chase & Co.	MXN	16,833		1,289,900		1,299,457		9,557
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	1,589		1,288,300		1,311,486		23,186
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	1,569		1,291,700		1,294,333		2,633
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	304		245,012		251,004		5,992
New Zealand Dollar expiring 01/23/13	Deutsche Bank Securities Corp.	NZD	3,187		2,616,100		2,629,743		13,643
New Zealand Dollar expiring 01/23/13	Goldman Sachs & Co.	NZD	1,744		1,430,800		1,439,172		8,372
New Zealand Dollar expiring 01/23/13	Goldman Sachs & Co.	NZD	1,558		1,302,500		1,285,627		(16,873	)
New Zealand Dollar expiring 01/23/13	HSBC Securities, Inc.	NZD	1,577		1,289,200		1,300,892		11,692
New Zealand Dollar expiring 01/23/13	JPMorgan Chase & Co.	NZD	1,573		1,288,000		1,297,534		9,534
New Zealand Dollar expiring 01/23/13	UBS AG	NZD	5,389		4,423,672		4,446,844		23,172
New Zealand Dollar expiring 01/23/13	UBS AG	NZD	2,370		1,932,500		1,955,408		22,908
Norwegian Krone expiring 01/24/13	Barclays Bank PLC	NOK	48,032		8,344,681		8,634,267		289,586

SEE NOTES TO FINANCIAL STATEMENTS.

A47


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Norwegian Krone expiring 01/24/13	Barclays Bank PLC	NOK	7,606	$	1,318,428	$	1,367,285	$	48,857
Norwegian Krone expiring 01/24/13	Citibank NA	NOK	7,360		1,289,200		1,323,061		33,861
Norwegian Krone expiring 01/24/13	Citibank NA	NOK	7,294		1,290,300		1,311,236		20,936
Norwegian Krone expiring 01/24/13	Citibank NA	NOK	7,277		1,307,900		1,308,191		291
Norwegian Krone expiring 01/24/13	Goldman Sachs & Co.	NOK	7,369		1,302,700		1,324,661		21,961
Norwegian Krone expiring 01/24/13	Goldman Sachs & Co.	NOK	7,357		1,302,000		1,322,468		20,468
Norwegian Krone expiring 01/24/13	Goldman Sachs & Co.	NOK	7,354		1,291,700		1,321,879		30,179
Norwegian Krone expiring 01/24/13	Goldman Sachs & Co.	NOK	7,263		1,306,601		1,305,680		(921	)
Norwegian Krone expiring 01/24/13	UBS AG	NOK	7,275		1,278,900		1,307,686		28,786
Peruvian Nuevo Sol expiring 01/10/13	Citibank NA	PEN	10,653		4,121,059		4,170,811		49,752
Peruvian Nuevo Sol expiring 01/10/13	Citibank NA	PEN	3,354		1,302,000		1,313,131		11,131
Peruvian Nuevo Sol expiring 01/10/13	Citibank NA	PEN	3,354		1,300,700		1,313,093		12,393
Philippine Peso expiring 01/22/13	JPMorgan Chase & Co.	PHP	302,580		7,334,383		7,374,695		40,312
Philippine Peso expiring 03/18/13	UBS AG	PHP	42,070		1,023,100		1,024,877		1,777
Polish Zloty expiring 01/24/13	Citibank NA	PLN	10,219		3,186,000		3,292,832		106,832
Polish Zloty expiring 01/24/13	Citibank NA	PLN	6,093		1,913,900		1,963,301		49,401
Polish Zloty expiring 01/24/13	Citibank NA	PLN	4,237		1,298,300		1,365,275		66,975
Polish Zloty expiring 01/24/13	Citibank NA	PLN	4,168		1,297,100		1,342,985		45,885
Polish Zloty expiring 01/24/13	Citibank NA	PLN	4,051		1,278,900		1,305,413		26,513
Polish Zloty expiring 01/24/13	Goldman Sachs & Co.	PLN	4,201		1,297,100		1,353,570		56,470
Polish Zloty expiring 01/24/13	Goldman Sachs & Co.	PLN	4,122		1,300,700		1,328,214		27,514
Polish Zloty expiring 01/24/13	JPMorgan Chase & Co.	PLN	4,128		1,296,400		1,329,978		33,578
Polish Zloty expiring 01/24/13	UBS AG	PLN	11,813		3,670,032		3,806,335		136,303
Polish Zloty expiring 01/24/13	UBS AG	PLN	4,114		1,302,500		1,325,726		23,226
Russian Ruble expiring 03/25/13	Citibank NA	RUB	61,928		1,945,700		1,999,127		53,427
Russian Ruble expiring 03/25/13	Citibank NA	RUB	61,163		1,959,900		1,974,427		14,527
Russian Ruble expiring 03/25/13	Citibank NA	RUB	40,752		1,274,100		1,315,543		41,443
Russian Ruble expiring 03/25/13	Citibank NA	RUB	40,666		1,290,300		1,312,776		22,476
Russian Ruble expiring 03/25/13	Citibank NA	RUB	40,604		1,276,000		1,310,749		34,749
Russian Ruble expiring 03/25/13	Citibank NA	RUB	40,565		1,271,600		1,309,513		37,913
Russian Ruble expiring 03/25/13	Citibank NA	RUB	40,491		1,278,900		1,307,102		28,202
Russian Ruble expiring 03/25/13	Citibank NA	RUB	40,364		1,304,600		1,303,025		(1,575	)
Russian Ruble expiring 03/25/13	Citibank NA	RUB	40,125		1,305,300		1,295,297		(10,003	)
Russian Ruble expiring 03/25/13	Citibank NA	RUB	37,218		1,160,900		1,201,471		40,571
Singapore Dollar expiring 01/23/13	Citibank NA	SGD	1,566		1,276,000		1,282,164		6,164
Singapore Dollar expiring 01/23/13	HSBC Securities, Inc.	SGD	3,333		2,731,400		2,728,288		(3,112	)
Singapore Dollar expiring 01/23/13	HSBC Securities, Inc.	SGD	1,587		1,302,000		1,299,026		(2,974	)
Singapore Dollar expiring 01/23/13	JPMorgan Chase & Co.	SGD	9,522		7,769,100		7,794,921		25,821
Singapore Dollar expiring 01/23/13	Morgan Stanley	SGD	3,115		2,551,300		2,549,711		(1,589	)
South African Rand expiring 01/30/13	Citibank NA	ZAR	10,586		1,271,600		1,243,266		(28,334	)
South African Rand expiring 01/30/13	Citibank NA	ZAR	4,290		485,335		503,800		18,465
South African Rand expiring 01/30/13	Citibank NA	ZAR	1,127		127,900		132,412		4,512
South African Rand expiring 01/30/13	JPMorgan Chase & Co.	ZAR	10,646		1,271,600		1,250,233		(21,367	)
South Korean Won expiring 01/14/13	Citibank NA	KRW	2,812,829		2,514,822		2,624,884		110,062
South Korean Won expiring 01/14/13	Citibank NA	KRW	1,462,171		1,316,500		1,364,473		47,973
South Korean Won expiring 01/14/13	UBS AG	KRW	2,137,567		1,917,100		1,994,741		77,641
South Korean Won expiring 03/18/13	UBS AG	KRW	1,430,721		1,290,100		1,330,362		40,262
South Korean Won expiring 03/18/13	UBS AG	KRW	1,423,735		1,278,900		1,323,866		44,966
Swedish Krona expiring 01/24/13	Barclays Bank PLC	SEK	46,364		7,045,498		7,125,251		79,753
Swedish Krona expiring 01/24/13	Citibank NA	SEK	8,775		1,298,300		1,348,592		50,292
Swedish Krona expiring 01/24/13	Citibank NA	SEK	8,617		1,288,300		1,324,236		35,936
Swedish Krona expiring 01/24/13	Citibank NA	SEK	8,597		1,310,786		1,321,133		10,347
Swedish Krona expiring 01/24/13	Citibank NA	SEK	8,477		1,276,000		1,302,687		26,687
Swedish Krona expiring 01/24/13	Deutsche Bank Securities Corp.	SEK	17,050		2,613,200		2,620,250		7,050
Swedish Krona expiring 01/24/13	Deutsche Bank Securities Corp.	SEK	8,580		1,296,400		1,318,568		22,168
Swedish Krona expiring 01/24/13	Goldman Sachs & Co.	SEK	8,669		1,302,500		1,332,319		29,819
Swedish Krona expiring 01/24/13	Goldman Sachs & Co.	SEK	8,664		1,309,400		1,331,421		22,021
Swedish Krona expiring 01/24/13	Goldman Sachs & Co.	SEK	8,624		1,296,400		1,325,343		28,943
Swedish Krona expiring 01/24/13	UBS AG	SEK	17,407		2,603,400		2,675,089		71,689

SEE NOTES TO FINANCIAL STATEMENTS.

A48


Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Swedish Krona expiring 01/24/13	UBS AG	SEK	17,035	$	2,615,800	$	2,617,894	$	2,094
Swedish Krona expiring 01/24/13	UBS AG	SEK	16,922		2,576,700		2,600,503		23,803
Swedish Krona expiring 01/24/13	UBS AG	SEK	8,541		1,289,200		1,312,650		23,450
Swedish Krona expiring 01/24/13	UBS AG	SEK	8,491		1,278,900		1,304,924		26,024
Taiwan Dollar expiring 03/12/13	UBS AG	TWD	75,482		2,566,100		2,600,105		34,005
Taiwan Dollar expiring 03/12/13	UBS AG	TWD	37,667		1,283,500		1,297,502		14,002
Taiwan Dollar expiring 11/13/13	Citibank NA	TWD	36,809		1,288,600		1,273,092		(15,508	)
Taiwan Dollar expiring 11/13/13	UBS AG	TWD	73,609		2,576,900		2,545,887		(31,013	)
Thai Baht expiring 02/28/13	Citibank NA	THB	183,862		5,950,418		5,990,284		39,866
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,362		1,295,500		1,318,226		22,726
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	2,573		1,418,100		1,436,220		18,120
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	2,344		1,308,100		1,308,152		52
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	8,053		4,417,603		4,494,440		76,837
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	3,503		1,930,100		1,955,351		25,251
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,336		1,291,700		1,303,675		11,975
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,335		1,302,500		1,303,336		836
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,330		1,289,900		1,300,231		10,331
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,318		1,288,100		1,293,664		5,564

				$	326,587,966	$	329,090,362	$	2,502,396


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 01/23/13	Citibank NA	AUD	3,124	$	3,188,700	$	3,238,555	$	(49,855	)
Australian Dollar expiring 01/23/13	Citibank NA	AUD	2,505		2,573,500		2,596,634		(23,134	)
Australian Dollar expiring 01/23/13	Goldman Sachs & Co.	AUD	1,248		1,306,600		1,293,390		13,210
Australian Dollar expiring 01/23/13	HSBC Securities, Inc.	AUD	2,375		2,471,300		2,462,352		8,948
Australian Dollar expiring 01/23/13	JPMorgan Chase & Co.	AUD	3,252		3,331,500		3,370,948		(39,448	)
Australian Dollar expiring 01/23/13	JPMorgan Chase & Co.	AUD	95		100,000		98,991		1,009
Brazilian Real expiring 01/18/13	Citibank NA	BRL	5,301		2,542,045		2,582,316		(40,271	)
British Pound expiring 01/25/13	Barclays Bank PLC	GBP	1,496		2,398,431		2,429,326		(30,895	)
British Pound expiring 01/25/13	Citibank NA	GBP	1,890		3,053,753		3,069,175		(15,422	)
British Pound expiring 01/25/13	Citibank NA	GBP	805		1,289,900		1,306,794		(16,894	)
British Pound expiring 01/25/13	Morgan Stanley	GBP	3,215		5,153,100		5,222,359		(69,259	)
British Pound expiring 01/25/13	Morgan Stanley	GBP	2,053		3,313,400		3,334,049		(20,649	)
Canadian Dollar expiring 01/22/13	Citibank NA	CAD	3,157		3,190,800		3,172,449		18,351
Canadian Dollar expiring 01/22/13	Citibank NA	CAD	2,139		2,166,100		2,149,317		16,783
Canadian Dollar expiring 01/22/13	Citibank NA	CAD	1,929		1,928,900		1,937,857		(8,957	)
Canadian Dollar expiring 01/22/13	Goldman Sachs & Co.	CAD	1,952		1,962,100		1,961,399		701
Canadian Dollar expiring 01/22/13	Goldman Sachs & Co.	CAD	1,939		1,932,700		1,948,399		(15,699	)
Canadian Dollar expiring 01/22/13	Goldman Sachs & Co.	CAD	1,291		1,306,600		1,297,354		9,246
Canadian Dollar expiring 01/22/13	JPMorgan Chase & Co.	CAD	1,801		1,806,100		1,809,271		(3,171	)
Canadian Dollar expiring 01/22/13	UBS AG	CAD	2,558		2,575,900		2,570,271		5,629
Chilean Peso expiring 02/06/13	Citibank NA	CLP	1,185,891		2,447,154		2,464,122		(16,968	)
Chinese Yuan Renminbi expiring 03/20/13	UBS AG	CNY	45,787		7,157,512		7,305,495		(147,983	)
Czech Koruna expiring 01/24/13	Barclays Bank PLC	CZK	37,268		1,932,500		1,961,022		(28,522	)
Czech Koruna expiring 01/24/13	Barclays Bank PLC	CZK	36,930		1,931,900		1,943,198		(11,298	)
Czech Koruna expiring 01/24/13	Barclays Bank PLC	CZK	34,616		1,813,700		1,821,442		(7,742	)
Czech Koruna expiring 01/24/13	UBS AG	CZK	61,386		3,179,000		3,230,070		(51,070	)
Czech Koruna expiring 01/24/13	UBS AG	CZK	25,796		1,297,100		1,357,353		(60,253	)
Euro expiring 01/25/13	Citibank NA	EUR	29,616		38,272,822		39,100,689		(827,867	)
Euro expiring 01/25/13	Citibank NA	EUR	1,581		2,042,100		2,087,023		(44,923	)
Euro expiring 01/25/13	Citibank NA	EUR	1,221		1,591,671		1,611,830		(20,159	)
Euro expiring 01/25/13	Citibank NA	EUR	924		1,202,351		1,219,878		(17,527	)
Euro expiring 01/25/13	Citibank NA	EUR	198		254,700		261,059		(6,359	)
Euro expiring 01/25/13	Citibank NA	EUR	187		242,423		246,761		(4,338	)
Euro expiring 01/25/13	Credit Suisse First Boston	EUR	20		25,242		25,982		(740	)

SEE NOTES TO FINANCIAL STATEMENTS.

A49


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Euro expiring 01/25/13	Deutsche Bank Securities Corp.	EUR	998	$	1,291,700	$	1,317,294	$	(25,594	)
Euro expiring 01/25/13	Deutsche Bank Securities Corp.	EUR	337		434,334		444,737		(10,403	)
Euro expiring 01/25/13	Goldman Sachs & Co.	EUR	1,309		1,726,752		1,728,733		(1,981	)
Euro expiring 01/25/13	Goldman Sachs & Co.	EUR	706		912,200		932,598		(20,398	)
Euro expiring 01/25/13	Goldman Sachs & Co.	EUR	516		672,285		681,886		(9,601	)
Euro expiring 01/25/13	JPMorgan Chase & Co.	EUR	4,961		6,477,500		6,550,285		(72,785	)
Euro expiring 01/25/13	JPMorgan Chase & Co.	EUR	400		518,222		528,099		(9,877	)
Euro expiring 01/25/13	JPMorgan Chase & Co.	EUR	289		373,556		381,142		(7,586	)
Euro expiring 01/25/13	UBS AG	EUR	2,010		2,579,800		2,654,114		(74,314	)
Euro expiring 01/25/13	UBS AG	EUR	83		105,554		108,984		(3,430	)
Hungarian Forint expiring 01/24/13	Barclays Bank PLC	HUF	565,303		2,576,300		2,553,090		23,210
Hungarian Forint expiring 01/24/13	Citibank NA	HUF	614,470		2,833,500		2,775,145		58,355
Hungarian Forint expiring 01/24/13	Citibank NA	HUF	583,100		2,609,300		2,633,468		(24,168	)
Indian Rupee expiring 01/07/13	Citibank NA	INR	125,143		2,350,100		2,280,626		69,474
Indian Rupee expiring 01/07/13	UBS AG	INR	233,317		4,459,000		4,252,016		206,984
Indian Rupee expiring 01/07/13	UBS AG	INR	199,718		3,765,427		3,639,703		125,724
Indian Rupee expiring 01/07/13	UBS AG	INR	153,634		2,923,145		2,799,856		123,289
Indian Rupee expiring 01/14/13	Citibank NA	INR	69,865		1,256,797		1,271,331		(14,534	)
Malaysian Ringgit expiring 03/11/13	UBS AG	MYR	6,002		1,952,500		1,953,148		(648	)
Mexican Peso expiring 01/22/13	Citibank NA	MXN	21,897		1,671,700		1,690,405		(18,705	)
Mexican Peso expiring 01/22/13	Citibank NA	MXN	17,023		1,286,700		1,314,138		(27,438	)
Mexican Peso expiring 01/22/13	Citibank NA	MXN	16,959		1,288,300		1,309,182		(20,882	)
Mexican Peso expiring 01/22/13	JPMorgan Chase & Co.	MXN	34,252		2,573,500		2,644,180		(70,680	)
Mexican Peso expiring 01/22/13	JPMorgan Chase & Co.	MXN	25,444		1,962,100		1,964,233		(2,133	)
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	2,819		2,270,300		2,325,863		(55,563	)
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	2,385		1,962,100		1,968,079		(5,979	)
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	2,353		1,914,500		1,941,581		(27,081	)
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	2,349		1,913,900		1,937,912		(24,012	)
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	2,347		1,959,900		1,936,709		23,191
New Zealand Dollar expiring 01/23/13	Citibank NA	NZD	1,702		1,428,900		1,404,066		24,834
New Zealand Dollar expiring 01/23/13	UBS AG	NZD	2,401		1,957,000		1,980,945		(23,945	)
Norwegian Krone expiring 01/24/13	Citibank NA	NOK	11,121		1,933,200		1,999,122		(65,922	)
Norwegian Krone expiring 01/24/13	Goldman Sachs & Co.	NOK	14,902		2,576,900		2,678,815		(101,915	)
Norwegian Krone expiring 01/24/13	JPMorgan Chase & Co.	NOK	14,941		2,593,800		2,685,859		(92,059	)
Norwegian Krone expiring 01/24/13	UBS AG	NOK	10,431		1,800,300		1,875,051		(74,751	)
Peruvian Nuevo Sol expiring 01/10/13	Citibank NA	PEN	4,021		1,543,100		1,574,114		(31,014	)
Polish Zloty expiring 01/24/13	Citibank NA	PLN	8,840		2,697,600		2,848,293		(150,693	)
Polish Zloty expiring 01/24/13	Citibank NA	PLN	6,263		1,943,300		2,018,011		(74,711	)
Polish Zloty expiring 01/24/13	Citibank NA	PLN	6,162		1,914,225		1,985,406		(71,181	)
Polish Zloty expiring 01/24/13	Citibank NA	PLN	6,126		1,932,500		1,973,929		(41,429	)
Polish Zloty expiring 01/24/13	Citibank NA	PLN	4,097		1,288,000		1,320,133		(32,133	)
Polish Zloty expiring 01/24/13	Citibank NA	PLN	4,067		1,308,100		1,310,379		(2,279	)
Polish Zloty expiring 01/24/13	JPMorgan Chase & Co.	PLN	4,971		1,546,600		1,601,668		(55,068	)
Russian Ruble expiring 03/25/13	Citibank NA	RUB	130,084		4,129,000		4,199,325		(70,325	)
Russian Ruble expiring 03/25/13	Citibank NA	RUB	54,220		1,674,500		1,750,319		(75,819	)
Singapore Dollar expiring 01/23/13	Citibank NA	SGD	2,360		1,914,500		1,931,943		(17,443	)
Singapore Dollar expiring 01/23/13	Goldman Sachs & Co.	SGD	2,370		1,929,200		1,940,455		(11,255	)
Singapore Dollar expiring 01/23/13	HSBC Securities, Inc.	SGD	3,185		2,613,200		2,607,298		5,902
Singapore Dollar expiring 01/23/13	JPMorgan Chase & Co.	SGD	3,297		2,674,700		2,698,524		(23,824	)
South African Rand expiring 01/30/13	Goldman Sachs & Co.	ZAR	18,331		2,188,936		2,152,767		36,169
South African Rand expiring 01/30/13	JPMorgan Chase & Co.	ZAR	22,480		2,675,000		2,640,014		34,986
Swedish Krona expiring 01/24/13	Citibank NA	SEK	17,263		2,576,100		2,652,957		(76,857	)
Swedish Krona expiring 01/24/13	Citibank NA	SEK	12,983		1,949,400		1,995,144		(45,744	)
Swedish Krona expiring 01/24/13	Citibank NA	SEK	12,847		1,914,500		1,974,345		(59,845	)
Swedish Krona expiring 01/24/13	Citibank NA	SEK	11,176		1,675,400		1,717,481		(42,081	)
Swedish Krona expiring 01/24/13	Credit Suisse First Boston	SEK	17,325		2,579,800		2,662,527		(82,727	)
Swedish Krona expiring 01/24/13	Goldman Sachs & Co.	SEK	21,767		3,247,400		3,345,132		(97,732	)
Swedish Krona expiring 01/24/13	Goldman Sachs & Co.	SEK	7,830		1,159,600		1,203,251		(43,651	)
Swedish Krona expiring 01/24/13	UBS AG	SEK	22,021		3,311,500		3,384,142		(72,642	)

SEE NOTES TO FINANCIAL STATEMENTS.

A50


Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Swedish Krona expiring 01/24/13	UBS AG	SEK	17,253	$	2,576,700	$	2,651,381	$	(74,681	)
Taiwan Dollar expiring 03/12/13	Citibank NA	TWD	56,266		1,928,900		1,938,182		(9,282	)
Taiwan Dollar expiring 03/12/13	UBS AG	TWD	112,354		3,888,667		3,870,222		18,445
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,356		1,274,400		1,314,764		(40,364	)
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,349		1,274,400		1,311,118		(36,718	)
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,339		1,306,600		1,305,515		1,085
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	7,256		3,996,000		4,050,051		(54,051	)
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	2,347		1,288,000		1,310,132		(22,132	)
Turkish Lira expiring 01/30/13	JPMorgan Chase & Co.	TRY	7,047		3,923,700		3,933,191		(9,491	)

				$	255,736,204	$	258,801,638		(3,065,434	)

								$	(563,038	)

Interest rate swap agreements out standing at December 31, 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:
$	66,560		08/31/16		0.934%	3 month LIBOR(2)	$	1,049,093		$	—	$	1,049,093		Credit Suisse International
	15,385		12/14/14		0.351%	3 month LIBOR(2)		(6,918	)		—		(6,918	)	Citibank NA
	20,710		08/31/16		0.975%	3 month LIBOR(1)		(360,049	)		—		(360,049	)	JPMorgan Chase Bank NA
	20,710		08/31/16		0.978%	3 month LIBOR(1)		(362,932	)		—		(362,932	)	JPMorgan Chase Bank NA
	58,915		11/30/16		0.913%	3 month LIBOR(1)		(692,411	)		—		(692,411	)	JPMorgan Chase Bank NA
	6,860		10/02/19		1.189%	3 month LIBOR(1)		4,610			—		4,610		Bank of Nova Scotia
	38,980		11/15/19		1.334%	3 month LIBOR(1)		(105,756	)		—		(105,756	)	Citibank NA
	2,090		12/13/27		2.200%	3 month LIBOR(2)		(36,901	)		—		(36,901	)	Barclays Bank PLC
	20,260		08/15/28		2.370%	3 month LIBOR(1)		40,288			—		40,288		Citibank NA
AUD	1,270		12/19/32		4.423%	6 month Australian Bank Bill Rate(2)		25,174			—		25,174		Barclays Bank PLC
AUD	1,620		12/20/32		4.420%	6 month Australian Bank Bill Rate(2)		33,033			—		33,033		Citibank NA
BRL	13,135		01/01/17		0.000%	1 day Brazil Interbank Rate(2)		255,956			—		255,956		Barclays Bank PLC
BRL	7,942		01/01/17		0.000%	1 day Brazil Interbank Rate(2)		13,698			—		13,698		Citibank NA
CLP	1,480,000		12/06/17		5.410%	Chile Central Bank Daily Midday Interbank Rate(2)		10,593			—		10,593		Barclays Bank PLC
EUR	13,985		12/14/14		0.349%	6 month EURIBOR(1)		8,393			—		8,393		Citibank NA
EUR	1,640		12/13/27		2.065%	6 month EURIBOR(1)		(16,044	)		—		(16,044	)	Barclays Bank PLC
MXN	199,700		07/05/13		5.480%	28 day Mexican Interbank Rate(2)		55,388			—		55,388		Barclays Bank PLC
MXN	65,000		12/02/15		5.080%	28 day Mexican Interbank Rate(2)		(6,036	)		—		(6,036	)	Morgan Stanley Capital Services, Inc.
MXN	54,100		02/18/22		6.600%	28 day Mexican Interbank Rate((2)		271,366			—		271,366		Barclays Bank PLC
MXN	31,200		04/15/22		6.380%	28 day Mexican Interbank Rate(2)		115,493			—		115,493		JPMorgan Chase Bank NA
MXN	48,200		05/25/22		6.370%	28 day Mexican Interbank Rate(2)		178,228			—		178,228		Morgan Stanley Capital Services, Inc.
NZD	13,400		08/18/16		4.173%	3 month BBR(2)		622,341			—		622,341		Citibank NA
NZD	4,320		03/26/17		3.810%	3 month BBR(2)		150,330			—		150,330		HSBC Bank USA NA
NZD	1,960		09/25/22		3.790%	3 month BBR(2)		19,623			—		19,623		Citibank NA

							$	1,266,560		$	—	$	1,266,560

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A51

Credit default swap agreements outstanding at December 31, 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	$	(438,794	)	$	—		$	(438,794	)	Deutsche Bank AG
Centex Corp.		06/20/14		1.000%		2,500		(28,249	)		(5,107	)		(23,142	)	Credit Suisse International
Duke Energy Corp.		03/20/14		0.700%		3,400		(27,303	)		—			(27,303	)	Goldman Sachs International, Inc.
Masco Corp.		09/20/13		1.000%		2,600		(13,672	)		17,645			(31,317	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		06/20/14		1.000%		7,000		152,730			165,347			(12,617	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		811,799			314,079			497,720		JPMorgan Chase Bank
Sealed Air Corp.		06/20/13		1.000%		6,600		(24,455	)		13,139			(37,594	)	Deutsche Bank AG
SLM Corp.		06/20/14		5.000%		4,150		(249,495	)		237,388			(486,883	)	JPMorgan Chase Bank
Toll Brothers Financial Corp.		03/20/15		1.000%		4,695		(34,497	)		16,233			(50,730	)	Credit Suisse International
Westvaco Corp.		09/20/19		1.000%		4,400		86,755			58,173			28,582		JPMorgan Chase Bank

							$	234,819		$	816,897		$	(582,078	)


Over-the-counter credit default swap on credit indices—Buy Protection(1) :
CDX.NA.HY.18		06/20/17		5.000%		22,770		(367,152	)		630,839			(997,991	)	Citibank NA
ITRAXX.EUR.18		12/20/17		1.000%	EUR	23,000		240,301			267,871			(27,570	)	Bank of America, NA
ITRAXX.EUR.18		12/20/17		1.000%	EUR	23,000		240,300			442,695			(202,395	)	Morgan Stanley Capital Services, Inc.

							$	113,449		$	1,341,405		$	(1,227,956	)


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 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		0.076	%	$	3,830	$	(34,653	)	$	38,483	Morgan Stanley Capital Services, Inc.
Republic of Austria		03/20/13		1.000%		8,250		0.082	%		19,358		(37,199	)		56,557	Morgan Stanley Capital Services, Inc.
Republic of France		03/20/13		0.250%		8,250		0.242	%		832		(88,174	)		89,006	Morgan Stanley Capital Services, Inc.

										$	24,020	$	(160,026	)	$	184,046

The Portfolio entered into credit default swaps as the protection seller on credit indices and 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.

(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.

SEE NOTES TO FINANCIAL STATEMENTS.

A52

Currency swap agreements outstanding at December 31, 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:
EUR	2,700		10/17/14		0.000%	3 month LIBOR(1)	$	(65,748	)	$	—		$	(65,748	)	Barclays Bank PLC
EUR	1,650		12/04/14		0.000%	3 month LIBOR(2)		(33,125	)		—			(33,125	)	Barclays Bank PLC
EUR	900		09/28/17		0.362%	3 month LIBOR(3)		(29,848	)		—			(29,848	)	HSBC Bank USA NA
JPY	120,000		03/24/17		3.450%	3 month LIBOR(4)		203,283			30			203,253		Citibank NA
JPY	100,000		06/08/15		4.500%	3 month LIBOR(5)		68,870			(56,202	)		125,072		Citibank NA
JPY	30,000		06/08/15		4.500%	3 month LIBOR(6)		21,221			(15,095	)		36,316		Citibank NA

							$	164,653		$	(71,267	)	$	235,920

(1)	The Portfolio pays a floating rate based on a notional amount of EUR 2,700,000. The Portfolio receives a floating rate based on a notional amount of $3,494,340.

(2)	The Portfolio pays a floating rate based on a notional amount of EUR 1,650,000. The Portfolio receives a floating rate based on a notional amount of $2,142,690.

(3)	The Portfolio pays a fixed rate based on a notional amount of EUR 900,000. The Portfolio receives a floating rate based on a notional amount of $1,157,400.

(4)	The Portfolio pays a fixed rate based on a notional amount of JPY 120,000,000. The Portfolio receives a floating rate based on a notional amount of $1,541,030.

(5)	The Portfolio pays a fixed rate based on a notional amount of JPY 100,000,000. The Portfolio receives a floating rate based on a notional amount of $1,284,027.

(6)	The Portfolio pays a fixed rate based on a notional amount of JPY 30,000,000. The Portfolio receives a floating rate based on a notional amount of $383,926.

#	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 December 31, 2012 in valuing such portfolio securities:


	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities	$	—		$	72,111,301		$	199,293
Residential Mortgage-Backed Securities		—			68,713,399			—
Bank Loans		—			40,598,804			195,353
Collateralized Mortgage Obligations		—			3,487,052			—
Commercial Mortgage-Backed Securities		—			160,518,598			—
Corporate Bonds		—			570,354,214			6,948,002
Foreign Agencies		—			45,484,152			—
Mortgage-Backed Securities		—			55,088,549			—
Municipal Bonds		—			25,905,621			—
Sovereigns		—			61,342,541			978,284
U.S. Government Treasury obligations		—			34,452,294			—
Preferred Stock		1,255,500			—			—
Affiliated Mutual Funds		243,951,044			—			—
Other Financial Instruments*
Futures Contracts		(748,129	)		—			—
Forward Currency Contracts		—			(563,038	)		—
Interest Rate Swap Agreements		—			1,266,560			—
Credit Default Swap Agreements		—			(1,598,685	)		(27,303	)
Currency Swap Agreements		—			235,920			—

Total	$	244,458,415		$	1,137,397,282		$	8,293,629

*	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.

A53

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:


Affiliated Mutual Funds (including 6.2% of collateral received for securities on loan)	18.7	%
Commercial Mortgage-Backed Securities	12.3
Banking	10.0
Non-Residential Mortgage-Backed Securities	5.5
Residential Mortgage-Backed Securities	5.3
Sovereigns	4.8
Mortgage-Backed Securities	4.2
Foreign Agencies	3.5
Insurance	3.0
Media & Entertainment	3.0
Non-Captive Finance	2.7
U.S. Government Treasury Obligations	2.6
Healthcare & Pharmaceutical	2.4
Foods	2.3
Technology	2.1
Cable	2.0
Municipal Bonds	2.0
Telecommunications	2.0
Electric	1.9
Energy – Other	1.6
Metals	1.6
Capital Goods	1.3


Healthcare Insurance	1.1	%
Chemicals	1.0
Building Materials & Construction	0.9
Paper	0.9
Real Estate Investment Trusts	0.9
Automotive	0.8
Gaming	0.8
Pipelines & Other	0.8
Retailers	0.8
Consumer	0.6
Energy – Integrated	0.6
Lodging	0.6
Airlines	0.5
Tobacco	0.5
Aerospace & Defense	0.3
Collateralized Mortgage Obligations	0.3
Packaging	0.3
Brokerage	0.1

	106.6
Liabilities in excess of other assets	(6.6	)

	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 December 31, 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

Premiums paid for swap agreements

2,163,409

Premiums received for swap agreements

165,133

Credit contracts

Unrealized appreciation on swap agreements

710,348

Unrealized depreciation on swap agreements

2,336,336

Foreign exchange contracts

Unrealized appreciation on forward currency contracts

4,368,380

Unrealized depreciation on forward currency contracts

4,931,418

Interest rate contracts

Due to broker — variation margin

204,746

Due to broker — variation margin

952,875

Interest rate contracts

Premiums paid for swap agreements

Premiums received for swap agreements

71,297

Interest rate contracts

Unrealized appreciation on swap agreements

3,218,248

Unrealized depreciation on swap agreements

1,715,768

Total

10,665,161

10,172,827

*	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.

A54

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 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	$	—	$	—		$	—	$	—		$	(2,147,889	)	$	(2,147,889	)
Foreign exchange contracts		—		—			—		(1,705,060	)		—			(1,705,060	)
Interest rate contracts		2,501,494		(483,881	)		11,437,801		—			748,780			14,204,194

Total	$	2,501,494	$	(483,881	)	$	11,437,801	$	(1,705,060	)	$	(1,399,109	)	$	10,351,245


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	$	—		$	—	$	(2,088,198	)	$	(2,088,198	)
Foreign exchange contracts		—			4,777,305		—			4,777,305
Interest rate contracts		(3,386,949	)		—		493,016			(2,893,933	)

Total	$	(3,386,949	)	$	4,777,305	$	(1,595,182	)	$	(204,826	)

For the year ended December 31, 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)
$88,939	$402,867,197	$34,595,061	$333,427,390	$264,412,824


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))	Currency Swap (Notional Amount in USD (000))
$612	$275,735	$88,257	$19,800	$2,835

SEE NOTES TO FINANCIAL STATEMENTS.

A55


		*DIVERSIFIED BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012


ASSETS
Investments, at value including securities on loan of $79,120,950:
Unaffiliated investments (cost $1,061,168,608)	$	1,147,632,957
Affiliated investments (cost $251,450,553)		243,951,044
Cash		130,915
Foreign currency, at value (cost $112,547)		113,196
Dividends and interest receivable		12,566,109
Unrealized appreciation on forward currency contracts		4,368,380
Unrealized appreciation on swap agreements		3,928,596
Premiums paid for swap agreements		2,163,439
Receivable for investments sold		1,744,508
Receivable for Series shares sold		58,209
Prepaid expenses		9,570
Foreign tax reclaim receivable		443

Total Assets		1,416,667,366

LIABILITIES
Collateral for securities on loan		81,016,815
Payable for investments purchased		18,408,062
Unrealized depreciation on forward currency contracts		4,931,418
Unrealized depreciation on swap agreements		4,052,104
Payable for Series shares repurchased		1,067,209
Due to broker-variation margin		453,339
Management fee payable		441,284
Premiums received for swap agreements		236,430
Accrued expenses and other liabilities		155,035
Deferred trustees’ fees		3,691
Affiliated transfer agent fee payable		926

Total Liabilities		110,766,313

NET ASSETS	$	1,305,901,053

Net assets were comprised of:
Paid-in capital	$	1,174,919,647
Retained earnings		130,981,406

Net assets, December 31, 2012	$	1,305,901,053

Net asset value and redemption price per share, $1,305,901,053 / 109,880,998 outstanding shares of beneficial interest	$	11 .88

STATEMENT OF OPERATIONS

Year Ended December 31, 2012


INCOME
Interest income	$	67,259,777
Affiliated dividend income		1,988,631
Affiliated income from securities loaned, net		214,378
Unaffiliated dividend income		88,594

		69,551,380

EXPENSES
Management fee		5,563,010
Custodian’s fees and expenses		258,000
Shareholders’ reports		108,000
Audit fee		45,000
Trustees’ fees		26,000
Insurance expenses		15,000
Legal fees and expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		16,474

Total expenses		6,061,484

NET INVESTMENT INCOME		63,489,896

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions (including affiliated: $(4,153,739))		26,876,253
Futures transactions		11,437,801
Swap agreement transactions		(1,399,109	)
Foreign currency transactions		(1,170,234	)
Options written transactions		(483,881	)

		35,260,830

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $9,692,125)		44,871,342
Futures		(3,386,949	)
Swap agreements		(1,595,182	)
Foreign currencies		4,800,201

		44,689,412

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		79,950,242

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	143,440,138

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	63,489,896		$	73,296,784
Net realized gain on investments and foreign currencies		35,260,830			59,583,846
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		44,689,412			(22,511,117	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		143,440,138			110,369,513

DISTRIBUTIONS		(119,592,407	)		(101,657,374	)

SERIES SHARE TRANSACTIONS:
Series shares sold [10,761,927 and 2,282,678 shares, respectively]		126,405,304			26,944,061
Series shares issued in reinvestment of distributions [10,330,307 and 8,678,375 shares, respectively]		119,592,407			101,657,374
Series shares repurchased [43,877,359 and 8,765,284 shares, respectively]		(520,843,578	)		(103,339,982	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(274,845,867	)		25,261,453

TOTAL INCREASE (DECREASE) IN NET ASSETS		(250,998,136	)		33,973,592
NET ASSETS:
Beginning of year		1,556,899,189			1,522,925,597

End of year	$	1,305,901,053		$	1,556,899,189

SEE NOTES TO FINANCIAL STATEMENTS.

A56


LONG-TERM INVESTMENTS — 97.2%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 3.8%
Boeing Co. (The)		444,320	$	33,483,955
Precision Castparts Corp.		267,871		50,740,125
TransDigm Group, Inc.(a)		262,420		35,783,591

				120,007,671

Airlines — 1.3%
Delta Air Lines, Inc.*		3,483,678		41,351,258

Auto Components — 1.2%
Lear Corp.		800,756		37,507,411

Automobiles — 0.4%
Tesla Motors, Inc.*(a)		364,921		12,359,874

Biotechnology — 3.3%
Alexion Pharmaceuticals, Inc.*		333,861		31,319,500
Biogen Idec, Inc.*		253,238		37,142,418
Gilead Sciences, Inc.*(a)		503,403		36,974,950

				105,436,868

Capital Markets — 3.4%
Goldman Sachs Group, Inc. (The)		267,715		34,149,725
Morgan Stanley		3,787,540		72,417,765

				106,567,490

Chemicals — 2.7%
Monsanto Co.		472,156		44,689,565
Mosaic Co. (The)		729,306		41,300,599

				85,990,164

Commercial Banks — 2.2%		��
PNC Financial Services Group, Inc.		515,210		30,041,895
Wells Fargo & Co.		1,202,108		41,088,052

				71,129,947

Communications Equipment — 1.8%
JDS Uniphase Corp.*		2,517,974		34,093,368
QUALCOMM, Inc.		385,354		23,899,655

				57,993,023

Computers & Peripherals — 4.4%
Apple, Inc.		201,587		107,451,919
EMC Corp.*(a)		1,234,121		31,223,261

				138,675,180

Consumer Finance — 0.7%
American Express Co.		389,203		22,371,388

Diversified Financial Services — 2.6%
Citigroup, Inc.		975,066		38,573,611
JPMorgan Chase & Co.		964,254		42,398,248

				80,971,859

Diversified Telecommunication Services — 0.9%
Vivendi SA (France)		1,213,113		27,435,846

Electronic Equipment & Instruments — 1.3%
Flextronics International Ltd. (Singapore)*		6,579,992		40,861,750

Energy Equipment & Services — 3.6%
Ensco PLC (Class A Stock) (United Kingdom)(a)		508,794		30,161,308
Halliburton Co.		887,495		30,787,202


COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
National Oilwell Varco, Inc.		455,129	$	31,108,067
Schlumberger Ltd. (Curacao)		318,012		22,035,052

				114,091,629

Food & Staples Retailing — 2.9%
CVS Caremark Corp.		677,821		32,772,645
Wal-Mart Stores, Inc.		307,490		20,980,043
Whole Foods Market, Inc.		404,404		36,934,217

				90,686,905

Food Products — 4.8%
Bunge Ltd. (Bermuda)		566,789		41,199,892
Mondelez International, Inc. (Class A Stock)		1,491,419		37,986,442
Smithfield Foods, Inc.*		1,592,743		34,355,467
Tyson Foods, Inc. (Class A Stock)		1,977,950		38,372,230

				151,914,031

Healthcare Providers & Services — 2.5%
Express Scripts Holding Co*		409,800		22,129,200
HCA Holdings, Inc.		867,683		26,177,996
UnitedHealth Group, Inc.		598,934		32,486,180

				80,793,376

Hotels, Restaurants & Leisure — 2.4%
Carnival Corp. (Panama)		599,264		22,034,937
Dunkin’ Brands Group, Inc.(a)		741,577		24,605,525
Yum! Brands, Inc.		441,802		29,335,653

				75,976,115

Independent Power Producers & Energy Traders — 1.3%
Calpine Corp.*		2,287,255		41,467,933

Insurance — 1.0%
MetLife, Inc.		973,474		32,066,234

Internet & Catalog Retail — 2.8%
Amazon.com, Inc.*		213,102		53,518,436
priceline.com, Inc.*		56,279		34,960,515

				88,478,951

Internet Software & Services — 5.3%
Facebook, Inc.*		1,588,332		42,297,281
Google, Inc. (Class A Stock)*		92,799		65,828,827
LinkedIn Corp. (Class A Stock)*(a)		301,164		34,579,650
Rackspace Hosting, Inc.*(a)		324,348		24,089,326

				166,795,084

IT Services — 3.8%
International Business Machines Corp.		218,676		41,887,388
MasterCard, Inc. (Class A Stock)(a)		161,025		79,108,362

				120,995,750

Media — 4.3%
Comcast Corp. (Class A Stock)		1,193,698		44,620,431
Liberty Global, Inc. (Class C Stock)*		721,120		42,365,800
Viacom, Inc. (Class B Stock)		315,414		16,634,935
Walt Disney Co. (The)		655,986		32,661,543

				136,282,709

SEE NOTES TO FINANCIAL STATEMENTS.

A57


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 1.8%
Goldcorp, Inc. (Canada)		672,583	$	24,683,796
Kinross Gold Corp. (Canada)		3,483,872		33,863,236

				58,547,032

Oil, Gas & Consumable Fuels — 5.8%
Anadarko Petroleum Corp.		513,970		38,193,111
EOG Resources, Inc.		90,075		10,880,159
Marathon Oil Corp.		1,091,709		33,471,798
Noble Energy, Inc.		359,926		36,618,871
Occidental Petroleum Corp.		379,362		29,062,923
Suncor Energy, Inc. (Canada)		1,126,728		37,051,647

				185,278,509

Personal Products — 1.4%
Estee Lauder Cos., Inc. (The) (Class A Stock)		756,184		45,265,174

Pharmaceuticals — 6.5%
Allergan, Inc.		424,216		38,913,334
Novo Nordisk A/S, ADR (Denmark)		245,159		40,012,400
Pfizer, Inc.		1,536,323		38,530,981
Sanofi, ADR (France)		660,780		31,307,756
Shire PLC, ADR (United Kingdom)		324,917		29,950,849
Teva Pharmaceutical Industries Ltd., ADR (Israel)		746,194		27,862,884

				206,578,204

Road & Rail — 1.9%
Canadian Pacific Railway Ltd. (Canada)		263,476		26,774,431
Union Pacific Corp.		254,819		32,035,845

				58,810,276

Semiconductors & Semiconductor Equipment — 0.7%
Avago Technologies Ltd. (Singapore)		668,773		21,173,353

Software — 5.3%
CA, Inc.		842,908		18,527,118
Microsoft Corp.		1,776,300		47,480,499
Red Hat, Inc.*		464,349		24,591,923
salesforce.com, Inc.*(a)		228,274		38,372,859
VMware, Inc. (Class A Stock)*(a)		410,755		38,668,476

				167,640,875

Specialty Retail — 2.6%
Inditex SA ADR (Spain)(a)		1,466,538		41,840,329
TJX Cos., Inc. (The)		946,135		40,163,431

				82,003,760

Textiles, Apparel & Luxury Goods — 5.6%
Lululemon Athletica, Inc.*(a)		377,184		28,752,736
Michael Kors Holdings Ltd. (British Virgin Islands)*		728,278		37,164,026
NIKE, Inc. (Class B Stock)		814,176		42,011,482
Prada SpA (Italy)		3,828,153		37,197,310
Ralph Lauren Corp.		208,806		31,304,196

				176,429,750


COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 0.9%
MetroPCS Communications, Inc.		1,233,998	$	12,265,940
NII Holdings, Inc.*		2,377,019		16,948,146

				29,214,086

TOTAL LONG-TERM INVESTMENTS (cost $2,373,225,479)				3,079,149,465

SHORT-TERM INVESTMENT — 9.7%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $308,253,710; includes $197,397,314 of cash collateral for securities on loan)(b)(w) (Note 4)		308,253,710		308,253,710

TOTAL INVESTMENTS — 106.9% (cost $2,681,479,189)				3,387,403,175
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.9)%				(218,574,675	)

NET ASSETS — 100.0%			$	3,168,828,500

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 $197,305,063; cash collateral of $197,397,314 (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—

Level 3—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A58

The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	3,014,516,309	$	64,633,156	$	—
Affiliated Money Market Mutual Fund		308,253,710		—		—

Total	$	3,322,770,019	$	64,633,156	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:


Affiliated Money Market Mutual Fund (6.2% represents investments purchased with collateral from securities on loan)	9.7	%
Pharmaceuticals	6.5
Oil, Gas & Consumable Fuels	5.8
Textiles, Apparel & Luxury Goods	5.6
Software	5.3
Internet Software & Services	5.3
Food Products	4.8
Computers & Peripherals	4.4
Media	4.3
IT Services	3.8
Aerospace & Defense	3.8
Energy Equipment & Services	3.6
Capital Markets	3.4
Biotechnology	3.3
Food & Staples Retailing	2.9
Internet & Catalog Retail	2.8
Chemicals	2.7
Specialty Retail	2.6
Diversified Financial Services	2.6


Healthcare Providers & Services	2.5	%
Hotels, Restaurants & Leisure	2.4
Commercial Banks	2.2
Road & Rail	1.9
Metals & Mining	1.8
Communications Equipment	1.8
Personal Products	1.4
Independent Power Producers & Energy Traders	1.3
Airlines	1.3
Electronic Equipment & Instruments	1.3
Auto Components	1.2
Insurance	1.0
Wireless Telecommunication Services	0.9
Diversified Telecommunication Services	0.9
Consumer Finance	0.7
Semiconductors & Semiconductor Equipment	0.7
Automobiles	0.4

	106.9
Liabilities in excess of other assets	(6.9	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A59


		*EQUITY PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012


ASSETS
Investments at value, including securities on loan of $197,305,063:
Unaffiliated investments (cost $2,373,225,479)	$	3,079,149,465
Affiliated investments (cost $308,253,710)		308,253,710
Receivable for investments sold		3,368,765
Dividends receivable		844,253
Tax reclaim receivable		65,707
Receivable for Series shares sold		12,028
Prepaid expenses		19,826

Total Assets		3,391,713,754

LIABILITIES
Collateral for securities on loan		197,397,314
Payable for investments purchased		23,679,235
Management fee payable		1,198,069
Payable for Series shares repurchased		355,072
Accrued expenses and other liabilities		252,948
Deferred trustees’ fees		990
Affiliated transfer agent fees payable		926
Distribution fee payable		381
Administrative payable		319

Total Liabilities		222,885,254

NET ASSETS	$	3,168,828,500

Net assets were comprised of:
Paid-in capital	$	2,624,096,149
Retained earnings		544,732,351

Net assets, December 31, 2012	$	3,168,828,500

Class I:
Net asset value and redemption price per share, $3,167,012,809 / 118,127,213 outstanding shares of beneficial interest	$	26.81

Class II:
Net asset value and redemption price per share, $1,815,691 / 67,006 outstanding shares of beneficial interest	$	27.10

STATEMENT OF OPERATIONS

Year Ended December 31, 2012


INVESTMENT INCOME
Unaffiliated dividend income (net of $746,913 foreign withholding tax)	$	45,935,279
Affiliated income from securities lending, net		1,829,575
Affiliated dividend income		146,125

		47,910,979

EXPENSES
Management fee		14,241,111
Distribution fee—Class II		4,735
Administration fee—Class II		2,841
Shareholders’ reports		305,000
Custodian’s fees and expenses		225,000
Trustees’ fees		42,000
Insurance expenses		35,000
Audit fee		23,000
Legal fees and expenses		17,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		4,000
Loan interest expense (Note 8)		14
Miscellaneous		21,806

Total expenses		14,933,507

NET INVESTMENT INCOME		32,977,472

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		160,094,550
Foreign currency transactions		(593	)

		160,093,957

Net change in unrealized appreciation (depreciation) on:
Investments		208,969,878
Foreign currencies		422

		208,970,300

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		369,064,257

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	402,041,729

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	32,977,472		$	18,821,831
Net realized gain on investment and foreign currency transactions		160,093,957			204,252,562
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		208,970,300			(327,809,092	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		402,041,729			(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		17,165,247			19,970,190
Series shares issued in reinvestment of distributions		18,822,165			22,101,354
Series shares repurchased		(249,839,713	)		(242,019,698	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(213,852,301	)		(199,948,154	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		169,367,263			(326,784,207	)
NET ASSETS:
Beginning of year		2,999,461,237			3,326,245,444

End of year	$	3,168,828,500		$	2,999,461,237

SEE NOTES TO FINANCIAL STATEMENTS.

A60


LONG-TERM INVESTMENTS — 98.0%
COMMON STOCKS — 64.0%	Shares		Value (Note 2)
Aerospace & Defense — 1.2%
Alliant Techsystems, Inc.		26,900	$	1,666,724
BAE Systems PLC (United Kingdom)		30,491		169,476
Esterline Technologies Corp.*		8,500		540,685
European Aeronautic Defence and Space Co. NV (Netherlands)		8,412		331,613
Exelis, Inc.		34,300		386,561
General Dynamics Corp.		207,700		14,387,379
Huntington Ingalls Industries, Inc.		21,100		914,474
Northrop Grumman Corp.		192,900		13,036,182
Raytheon Co.		67,000		3,856,520
Singapore Technologies Engineering Ltd. (Singapore)		44,000		138,873
Spirit Aerosystems Holdings, Inc. (Class A Stock)*		122,100		2,072,037
Thales SA (France)		2,601		90,626
United Technologies Corp.		6,200		508,462

				38,099,612

Air Freight & Logistics — 0.5%
Deutsche Post AG (Germany)		8,384		184,663
United Parcel Service, Inc. (Class B Stock)		222,800		16,427,044

				16,611,707

Airlines — 0.1%
Alaska Air Group, Inc.*		20,600		887,654
Allegiant Travel Co.		12,600		924,966
Ryanair Holdings PLC (Ireland), ADR		7,700		263,956
Spirit Airlines, Inc.*		31,600		559,952

				2,636,528

Auto Components — 0.3%
Cie Generale des Etablissements Michelin (France) (Class B Stock)		3,616		346,483
Continental AG (Germany)		237		27,623
Delphi Automotive PLC*(a)		207,100		7,921,575
Lear Corp.		15,300		716,652
Toyoda Gosei Co. Ltd. (Japan)		4,700		95,536

				9,107,869

Automobiles — 0.4%
Bayerische Motoren Werke AG (Germany)		1,564		152,195
Daihatsu Motor Co. Ltd. (Japan)		1,000		19,923
Fiat SpA (Italy)*		16,091		81,057
Ford Motor Co.(a)		801,500		10,379,425
Fuji Heavy Industries Ltd. (Japan)		24,000		302,648
Isuzu Motors Ltd. (Japan)		12,000		71,609
Mazda Motor Corp. (Japan)*		12,000		24,628
Nissan Motor Co. Ltd. (Japan)		1,600		15,182
Suzuki Motor Corp. (Japan)		11,800		308,786
Thor Industries, Inc.		18,900		707,427
Toyota Motor Corp. (Japan)		7,900		368,900
Volkswagen AG (Germany)		138		29,938

				12,461,718

Beverages — 1.1%
Anheuser-Busch InBev NV (Belgium)		2,203		191,848


COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages (continued)
Asahi Breweries Ltd. (Japan)		1,800	$	38,327
Coca-Cola Amatil Ltd. (Australia)		7,466		104,922
Coca-Cola Co. (The)		464,000		16,820,000
Coca-Cola Enterprises, Inc.		113,100		3,588,663
Diageo PLC (United Kingdom)		5,009		145,896
Heineken Holding NV (Netherlands)		5,131		282,528
Heineken NV (Netherlands)		1,755		117,662
PepsiCo, Inc.		216,620		14,823,307
SABMiller PLC (United Kingdom)		10,042		466,063

				36,579,216

Biotechnology — 1.5%
Actelion Ltd. (Switzerland)		873		41,774
Alexion Pharmaceuticals, Inc.*		19,500		1,829,295
Amgen, Inc.		172,508		14,890,891
Biogen Idec, Inc.*		82,600		12,114,942
Celgene Corp.*		226,400		17,822,208
CSL Ltd. (Australia)		2,383		134,538
United Therapeutics Corp.*(a)		19,800		1,057,716

				47,891,364

Building Products — 0.1%
Asahi Glass Co. Ltd. (Japan)		5,000		36,508
Lennox International, Inc.		79,700		4,185,844

				4,222,352

Capital Markets — 1.2%
Aberdeen Asset Management PLC (United Kingdom)		48,219		290,155
Bank of New York Mellon Corp. (The)(a)		25,600		657,920
BlackRock, Inc. (Class A Stock)		56,500		11,679,115
Deutsche Bank AG (Germany)		915		40,256
Goldman Sachs Group, Inc. (The)		167,600		21,379,056
Hargreaves Lansdown PLC (United Kingdom)		23,666		264,692
T. Rowe Price Group, Inc.		84,600		5,509,998

				39,821,192

Chemicals — 1.1%
Air Liquide SA (France)		200		25,268
Asahi Kasei Corp. (Japan)		6,000		35,478
BASF SE (Germany)		6,971		659,181
CF Industries Holdings, Inc.		64,300		13,063,188
Eastman Chemical Co.		22,600		1,537,930
Israel Chemicals Ltd. (Israel)		2,988		35,985
Koninklijke DSM NV (Netherlands)		3,867		235,678
Kuraray Co. Ltd. (Japan)		1,500		19,664
LSB Industries, Inc.*		29,800		1,055,516
Mosaic Co. (The)		104,600		5,923,498
Nitto Denko Corp. (Japan)		800		39,399
RPM International, Inc.		22,200		651,792
Sherwin-Williams Co. (The)		82,800		12,736,296
Syngenta AG (Switzerland)		822		332,077
Yara International ASA (Norway)		6,008		299,550

				36,650,500

Commercial Banks — 2.4%
Aozora Bank Ltd. (Japan)		84,000		258,277

SEE NOTES TO FINANCIAL STATEMENTS.

A61


COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
Australia & New Zealand Banking Group Ltd. (Australia)		3,576	$	94,180
Banco Santander SA (Spain)		17,643		143,386
Bank Hapoalim BM (Israel)*		62,475		268,045
Bank of Yokohama Ltd. (The) (Japan)		6,000		27,898
Barclays PLC (United Kingdom)		71,618		311,109
BB&T Corp.		208,200		6,060,702
BNP Paribas SA (France)		2,401		136,690
Chiba Bank Ltd. (The) (Japan)		3,000		17,574
Commonwealth Bank of Australia (Australia)		4,365		284,278
DBS Group Holdings Ltd. (Singapore)		9,000		110,489
DNB ASA (Norway)		24,693		315,617
Fifth Third Bancorp		49,700		754,943
HSBC Holdings PLC (United Kingdom)		79,506		842,511
Huntington Bancshares, Inc.		529,900		3,386,061
Joyo Bank Ltd. (The) (Japan)		3,000		14,254
KeyCorp		707,500		5,957,150
Mitsubishi UFJ Financial Group, Inc. (Japan)		56,900		307,892
Mizuho Financial Group, Inc. (Japan)		187,000		342,862
National Australia Bank Ltd. (Australia)		5,184		136,356
Oversea-Chinese Banking Corp. Ltd. (Singapore)		12,000		96,696
PNC Financial Services Group, Inc.		88,200		5,142,942
Regions Financial Corp.		145,000		1,032,400
Resona Holdings, Inc. (Japan)		67,100		306,806
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		37,024		316,765
Sumitomo Mitsui Financial Group, Inc. (Japan)		13,300		483,346
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		88,000		310,051
Swedbank AB (Sweden) (Class A Stock)		17,283		339,531
U.S. Bancorp		623,132		19,902,836
Wells Fargo & Co.		875,512		29,925,000
Westpac Banking Corp. (Australia)		24,056		659,132

				78,285,779

Commercial Services & Supplies — 0.2%
ADT Corp. (The)		89,500		4,160,855
Babcock International Group PLC (United Kingdom)		1,040		16,417
Copart, Inc.*		44,300		1,306,850
Dai Nippon Printing Co. Ltd. (Japan)		2,000		15,683
Deluxe Corp.(a)		9,600		309,504
Secom Co. Ltd. (Japan)		1,000		50,382

				5,859,691

Communications Equipment — 1.7%
Brocade Communications Systems, Inc.*		211,800		1,128,894


COMMON STOCKS (continued)	Shares		Value (Note 2)
Communications Equipment (continued)
Cisco Systems, Inc.		1,393,800	$	27,388,170
QUALCOMM, Inc.		422,800		26,222,056

				54,739,120

Computers & Peripherals — 3.4%
Apple, Inc.		138,600		73,877,958
Dell, Inc.		691,900		7,008,947
EMC Corp.*		327,400		8,283,220
Gemalto NV (France)		3,052		275,490
Hewlett-Packard Co.		1,116,800		15,914,400
NEC Corp. (Japan)*		142,000		299,526
NetApp, Inc.*		120,900		4,056,195
Toshiba Corp. (Japan)		19,000		75,206

				109,790,942

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		3,947		100,032
Chiyoda Corp. (Japan)		5,000		71,626
Eiffage SA (France)		2,421		108,476
Ferrovial SA (Spain)		19,134		284,837
Fluor Corp.		19,200		1,127,808
JGC Corp. (Japan)		1,000		31,161
Koninklijke Boskalis Westminster NV (Netherlands)		3,437		155,583
URS Corp.		36,500		1,432,990
Vinci SA (France)		2,134		102,747

				3,415,260

Construction Materials — 0.1%
Eagle Materials, Inc.(a)		37,200		2,176,200
Imerys SA (France)		1,016		65,165

				2,241,365

Consumer Finance — 0.6%
Discover Financial Services		273,600		10,547,280
Portfolio Recovery Associates, Inc.*		3,200		341,952
SLM Corp.		435,700		7,463,541

				18,352,773

Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		5,714		48,293
Ball Corp.(a)		21,800		975,550
Greif, Inc. (Class A Stock)		4,900		218,050
Owens-Illinois, Inc.*		149,800		3,186,246

				4,428,139

Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*		97,900		2,048,068

Diversified Financial Services — 2.7%
Bank of America Corp.		1,690,882		19,614,231
Citigroup, Inc.		745,450		29,490,002
Groupe Bruxelles Lambert SA (Belgium)		2,188		174,508
Industrivarden AB (Sweden) (Class C Stock)		3,449		57,463
Investment AB Kinnevik (Sweden) (Class B Stock)		962		20,122
Investor AB (Sweden) (Class B Stock)		12,318		323,596

SEE NOTES TO FINANCIAL STATEMENTS.

A62


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
JPMorgan Chase & Co.		854,094	$	37,554,513
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		630		27,100
NASDAQ OMX Group, Inc. (The)		73,600		1,840,736
ORIX Corp. (Japan)		490		55,350

				89,157,621

Diversified Telecommunication Services — 1.7%
AT&T, Inc.		769,847		25,951,542
BT Group PLC (United Kingdom)		63,318		241,572
Deutsche Telekom AG (Germany)		35,615		405,404
France Telecom SA (France)		8,762		97,205
Nippon Telegraph & Telephone Corp. (Japan)		8,000		336,824
Telecom Italia SpA (Italy)		44,278		40,163
Telecom Italia SpA-RSP (Italy)		198,008		157,594
Telenor ASA (Norway)		3,265		66,481
Telstra Corp. Ltd. (Australia)		20,406		92,985
Verizon Communications, Inc.		672,088		29,081,248
Vivendi SA (France)		6,110		138,184

				56,609,202

Electric Utilities — 1.1%
American Electric Power Co., Inc.		71,700		3,060,156
Duke Energy Corp.		120,600		7,694,280
El Paso Electric Co.		28,800		919,008
Electricite de France SA (France)		8,206		152,062
Enel SpA (Italy)		53,918		224,272
Energias de Portugal SA (Portugal)		93,326		283,879
Entergy Corp.		106,000		6,757,500
Exelon Corp.		227,400		6,762,876
Iberdrola SA (Spain)		21,564		120,430
NV Energy, Inc.		158,500		2,875,190
Power Assets Holdings Ltd. (Hong Kong)		6,500		55,767
PPL Corp.		93,600		2,679,768
Red Electrica Corp. SA (Spain)		918		45,346
Southern Co.		79,200		3,390,552
SP AusNet (Australia)		15,884		18,459
Xcel Energy, Inc.		54,600		1,458,366

				36,497,911

Electrical Equipment — 0.6%
Alstom SA (France)		3,052		122,947
Babcock & Wilcox Co. (The)		106,700		2,795,540
Emerson Electric Co.		289,700		15,342,512
EnerSys, Inc.*		30,000		1,128,900
Hubbell, Inc. (Class B Stock)		13,000		1,100,190
Sumitomo Electric Industries Ltd. (Japan)		2,200		25,430

				20,515,519

Electronic Equipment, Instruments & Components — 0.2%
Avnet, Inc.*		84,800		2,595,728
FUJIFILM Holdings Corp. (Japan)		1,300		26,156
Hitachi Ltd. (Japan)		22,000		129,459
Ingram Micro, Inc. (Class A Stock)*		90,300		1,527,876
Jabil Circuit, Inc.		112,200		2,164,338
Keyence Corp. (Japan)		200		55,465
Kyocera Corp. (Japan)		700		63,466

				6,562,488


COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services — 0.7%
Aker Solutions ASA (Norway)		769	$	15,925
Bristow Group, Inc.		9,600		515,136
Ensco PLC (Class A Stock)		147,000		8,714,160
Geospace Technologies Corp.*		7,100		630,977
Helix Energy Solutions Group, Inc.*		21,800		449,952
Helmerich & Payne, Inc.		8,200		459,282
Noble Corp.		48,800		1,699,216
Oil States International, Inc.*		22,800		1,631,112
Schlumberger Ltd.		110,300		7,642,687
Seadrill Ltd. (Norway)		4,240		156,210
Tidewater, Inc.		25,000		1,117,000
Transocean Ltd.		1,663		74,558
Unit Corp.*		15,100		680,255

				23,786,470

Food & Staples Retailing — 1.9%
Aeon Co. Ltd. (Japan)		2,800		32,000
Casino Guichard Perrachon SA (France)		511		48,945
Costco Wholesale Corp.		75,000		7,407,750
CVS Caremark Corp.		424,800		20,539,080
Delhaize Group SA (Belgium)		6,787		273,374
J Sainsbury PLC (United Kingdom)		50,220		284,128
Koninklijke Ahold NV (Netherlands)		11,529		154,593
Kroger Co. (The)		364,700		9,489,494
Lawson, Inc. (Japan)		300		20,351
Seven & I Holdings Co. Ltd. (Japan)		3,500		98,668
Wal-Mart Stores, Inc.		332,400		22,679,652
Wesfarmers Ltd. (Australia)		2,917		112,542
Woolworths Ltd. (Australia)		13,920		427,044

				61,567,621

Food Products — 1.3%
Ajinomoto Co., Inc. (Japan)		3,000		39,697
Archer-Daniels-Midland Co.		481,300		13,182,807
Associated British Foods PLC (United Kingdom)		808		20,643
Bunge Ltd.		12,000		872,280
Darling International, Inc.*		44,000		705,760
General Mills, Inc.		64,700		2,614,527
Ingredion, Inc.		63,000		4,059,090
Kraft Foods Group, Inc.		218,500		9,935,195
Nestle SA (Switzerland)		15,102		985,307	��
Suedzucker AG (Germany)		6,676		274,032
Tate & Lyle PLC (United Kingdom)		22,685		280,665
Tyson Foods, Inc. (Class A Stock)		490,400		9,513,760
Unilever NV (Netherlands)		7,636		292,182

				42,775,945

Gas Utilities
Enagas (Spain)		12,616		270,287
Gas Natural SDG SA (Spain)		3,634		65,512
Tokyo Gas Co. Ltd. (Japan)		8,000		36,552
UGI Corp.		15,900		520,089

				892,440

Healthcare Equipment & Supplies — 2.2%
Abbott Laboratories		393,100		25,748,050
C.R. Bard, Inc.		19,800		1,935,252
CareFusion Corp.*		103,200		2,949,456

SEE NOTES TO FINANCIAL STATEMENTS.

A63


COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Equipment & Supplies (continued)
Coloplast A/S (Denmark) (Class B Stock)		472	$	23,147
Covidien PLC		145,200		8,383,848
Elekta AB (Sweden) (Class B Stock)		1,739		27,115
Hill-Rom Holdings, Inc.		15,400		438,900
Intuitive Surgical, Inc.*		18,200		8,924,734
Medtronic, Inc.		277,100		11,366,642
St. Jude Medical, Inc.		94,000		3,397,160
Stryker Corp.		130,900		7,175,938

				70,370,242

Healthcare Providers & Services — 1.1%
Fresenius SE & Co. KGaA (Germany)		348		40,044
Humana, Inc.		119,500		8,201,285
McKesson Corp.		10,500		1,018,080
Ramsay Health Care Ltd. (Australia)		3,315		94,552
UnitedHealth Group, Inc.		410,500		22,265,520
WellPoint, Inc.		72,600		4,422,792

				36,042,273

Hotels, Restaurants & Leisure — 0.8%
Galaxy Entertainment Group Ltd. (Hong Kong)*		77,000		308,753
International Game Technology		160,400		2,272,868
Marriott International, Inc. (Class A Stock)		88,200		3,287,214
McDonald’s Corp.		170,100		15,004,521
Oriental Land Co. Ltd. (Japan)		2,300		278,540
Panera Bread Co. (Class A Stock)*(a)		31,600		5,019,028
SJM Holdings Ltd. (Hong Kong)		9,000		21,241
Tatts Group Ltd. (Australia)		6,511		20,508
TUI Travel PLC (United Kingdom)		57,350		266,120
Whitbread PLC (United Kingdom)		1,015		40,788

				26,519,581

Household Durables — 0.5%
La-Z-Boy, Inc.		14,100		199,515
PulteGroup, Inc.*		183,300		3,328,728
Sekisui House Ltd. (Japan)		2,000		21,899
Sony Corp. (Japan)		4,700		52,713
Tempur-Pedic International, Inc.*(a)		58,700		1,848,463
Tupperware Brands Corp.		40,300		2,583,230
Whirlpool Corp.		64,900		6,603,575

				14,638,123

Household Products — 1.4%
Colgate-Palmolive Co.		72,600		7,589,604
Procter & Gamble Co. (The)		531,805		36,104,241
Reckitt Benckiser Group PLC (United Kingdom)		5,761		365,708
Svenska Cellulosa AB (Sweden) (Class B Stock)		2,646		57,531

				44,117,084

Independent Power Producers & Energy Traders — 0.3%
AES Corp.		920,300		9,847,210

Industrial Conglomerates — 1.2%
General Electric Co.		1,775,200		37,261,448


COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates (continued)
Hutchison Whampoa Ltd. (Hong Kong)		24,000	$	254,327
Keppel Corp. Ltd. (Singapore)		4,000		36,526
Koninklijke Philips Electronics NV (Netherlands)		8,145		215,682
Siemens AG (Germany)		578		63,205

				37,831,188

Insurance — 2.1%
ACE Ltd.		59,300		4,732,140
Aegon NV (Netherlands)		48,256		311,727
Aflac, Inc.		98,900		5,253,568
Ageas (Belgium)		1,090		32,207
AIA Group Ltd. (Hong Kong)		6,200		24,591
Allianz SE (Germany)		2,593		361,458
Allied World Assurance Co. Holdings AG		10,400		819,520
American International Group, Inc.*		361,100		12,746,830
AXA SA (France)		11,364		204,051
Berkshire Hathaway, Inc. (Class B Stock)*		147,100		13,194,870
Chubb Corp. (The)		88,200		6,643,224
Genworth Financial, Inc. (Class A Stock)*		585,100		4,394,101
Hannover Rueckversicherung AG (Germany)		3,578		280,244
Insurance Australia Group Ltd. (Australia)		9,931		48,914
Legal & General Group PLC (United Kingdom)		136,399		327,068
Loews Corp.		12,900		525,675
Marsh & McLennan Cos., Inc.		54,100		1,864,827
MetLife, Inc.		384,500		12,665,430
Muenchener Rueckversicherungs AG (Germany)		2,258		407,634
Primerica, Inc.		13,900		417,139
ProAssurance Corp.		24,200		1,020,998
Sampo OYJ (Finland) (Class A Stock)		2,193		71,022
Standard Life PLC (United Kingdom)		57,808		316,006
Swiss Life Holding AG (Switzerland)		672		89,696
Swiss Re AG (Switzerland)		5,148		373,224
Symetra Financial Corp.		61,800		802,164
Unum Group		22,400		466,368

				68,394,696

Internet & Catalog Retail — 0.2%
Amazon.com, Inc.*		2,200		552,508
Expedia, Inc.		63,100		3,877,495
HSN, Inc.		48,500		2,671,380

				7,101,383

Internet Software & Services — 0.9%
Akamai Technologies, Inc.*		137,100		5,608,761
Dena Co. Ltd. (Japan)		500		16,402
Dice Holdings, Inc.*		23,900		219,402
eBay, Inc.*		4,500		229,590
Google, Inc. (Class A Stock)*		23,800		16,883,006
IAC/InterActiveCorp		32,500		1,537,250

SEE NOTES TO FINANCIAL STATEMENTS.

A64


COMMON STOCKS (continued)	Shares			Value (Note 2)
Internet Software & Services (continued)
Yahoo Japan Corp. (Japan)		434		$	140,527
Yahoo!, Inc.*		287,600			5,723,240

					30,358,178

IT Services — 1.9%
Accenture PLC (Class A Stock)		250,800			16,678,200
Amadeus IT Holding SA (Spain) (Class A Stock)		910			22,997
Broadridge Financial Solutions, Inc.		19,900			455,312
Cap Gemini SA (France)		6,355			277,890
Cognizant Technology Solutions Corp. (Class A Stock)*		40,100			2,969,405
CoreLogic, Inc.*		124,600			3,354,232
Global Payments, Inc.		35,400			1,603,620
International Business Machines Corp.		119,700			22,928,535
Lender Processing Services, Inc.		135,900			3,345,858
Otsuka Corp. (Japan)		1,900			143,755
SAIC, Inc.(a)		278,200			3,149,224
Total System Services, Inc.		135,100			2,893,842
Unisys Corp.*		44,000			761,200
Visa, Inc. (Class A Stock)		32,600			4,941,508

			��		63,525,578

Leisure Equipment & Products — 0.2%
Namco Bandai Holdings, Inc. (Japan)		20,600			267,021
Polaris Industries, Inc.		68,600			5,772,690
Smith & Wesson Holding Corp.*(a)		205,300			1,732,732

					7,772,443

Life Sciences Tools & Services — 0.6%
Bruker Corp.*		31,300			477,951
Life Technologies Corp.*		135,400			6,645,432
Thermo Fisher Scientific, Inc.		200,900			12,813,402

					19,936,785

Machinery — 0.8%
AGCO Corp.*		20,800			1,021,696
Deere & Co.		69,200			5,980,264
Fiat Industrial SpA (Italy)		27,401			300,196
GEA Group AG (Germany)		576			18,729
Hino Motors Ltd. (Japan)		31,000			280,203
Ingersoll-Rand PLC		133,500			6,402,660
Kone OYJ (Finland) (Class B Stock)		4,148			306,787
Kubota Corp. (Japan)		5,000			57,487
Makita Corp. (Japan)		500			23,227
Middleby Corp.*		1,700			217,957
Mitsubishi Heavy Industries Ltd. (Japan)		14,000			67,721
Mueller Industries, Inc.		16,800			840,504
Nordson Corp.		8,400			530,208
Oshkosh Corp.*		141,600			4,198,440
Timken Co.		65,500			3,132,865
Valmont Industries, Inc.		12,100			1,652,255

					25,031,199

Marine
Matson, Inc.		36,100			892,392


COMMON STOCKS (continued)	Shares		Value (Note 2)
Media — 1.8%
Belo Corp. (Class A Stock)		87,500	$	671,125
British Sky Broadcasting Group PLC (United Kingdom)		5,010		63,189
CBS Corp. (Class B Stock)		112,300		4,273,015
Cinemark Holdings, Inc.		13,800		358,524
Comcast Corp. (Class A Stock)		519,373		19,414,163
DIRECTV*		321,800		16,141,488
Gannett Co., Inc.		60,100		1,082,401
Hakuhodo DY Holdings, Inc. (Japan)		1,600		103,538
ITV PLC (United Kingdom)		170,250		295,345
News Corp. (Class A Stock)		118,800		3,034,152
Viacom, Inc. (Class B Stock)		19,500		1,028,430
Walt Disney Co. (The)		244,200		12,158,718

				58,624,088

Metals & Mining — 1.0%
Alcoa, Inc.		680,000		5,902,400
Anglo American PLC (United Kingdom)		1,720		54,220
BHP Billiton Ltd. (Australia)		15,084		588,888
BHP Billiton PLC (United Kingdom)		8,566		302,154
Boliden AB (Sweden)		5,139		97,646
Coeur d’Alene Mines Corp.*		125,500		3,087,300
Evraz PLC (United Kingdom)		24,132		103,568
Fortescue Metals Group Ltd. (Australia)(a)		59,050		294,273
Freeport-McMoRan Copper & Gold, Inc.		338,500		11,576,700
Fresnillo PLC (United Kingdom)		1,198		36,745
Iluka Resources Ltd. (Australia)(a)		3,964		38,308
JFE Holdings, Inc. (Japan)		1,000		18,847
Kazakhmys PLC (United Kingdom)		21,213		274,173
Newcrest Mining Ltd. (Australia)		5,663		132,473
OZ Minerals Ltd. (Australia)		38,058		270,273
Reliance Steel & Aluminum Co.		56,500		3,508,650
Rio Tinto Ltd. (Australia)		2,029		142,658
Rio Tinto PLC (United Kingdom)		6,804		396,850
Southern Copper Corp.		123,500		4,675,710
Sumitomo Metal Mining Co. Ltd. (Japan)		2,000		28,232
Worthington Industries, Inc.		53,100		1,380,069

				32,910,137

Multiline Retail — 0.8%
Dillard’s, Inc. (Class A Stock)		64,600		5,411,542
Dollar General Corp.*		31,600		1,393,244
Dollar Tree, Inc.*		168,700		6,842,472
Macy’s, Inc.		275,300		10,742,206
Next PLC (United Kingdom)		4,979		302,239
Target Corp.		48,200		2,851,994

				27,543,697

Multi-Utilities — 0.6%
Alliant Energy Corp.		33,600		1,475,376
Ameren Corp.		133,900		4,113,408
Avista Corp.		12,800		308,608
Consolidated Edison, Inc.		85,200		4,732,008
GDF Suez (France)		18,480		380,618
National Grid PLC (United Kingdom)		39,562		453,755

SEE NOTES TO FINANCIAL STATEMENTS.

A65


COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities (continued)
PG&E Corp.		40,100	$	1,611,218
Public Service Enterprise Group, Inc.		245,400		7,509,240

				20,584,231

Office Electronics
Konica Minolta Holdings, Inc. (Japan)		2,000		14,393
Ricoh Co. Ltd. (Japan)		3,000		31,843

				46,236

Oil, Gas & Consumable Fuels — 6.3%
Apache Corp.		193,100		15,158,350
BP PLC (United Kingdom)		94,718		658,569
Cabot Oil & Gas Corp.		196,800		9,788,832
Chevron Corp.		398,156		43,056,590
ConocoPhillips		360,734		20,918,965
ENI SpA (Italy)		22,363		547,841
Exxon Mobil Corp.		751,116		65,009,090
Hess Corp.		70,500		3,733,680
Inpex Corp. (Japan)		10		53,483
JX Holdings, Inc. (Japan)		6,400		36,133
Marathon Petroleum Corp.		141,900		8,939,700
Occidental Petroleum Corp.		208,100		15,942,541
OMV AG (Austria)		7,615		275,939
Phillips 66		175,000		9,292,500
Repsol SA (Spain)		2,311		47,174
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		24,784		860,261
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		19,506		695,906
Statoil ASA (Norway)		2,805		70,699
Tesoro Corp.		75,700		3,334,585
Total SA (France)		10,657		554,518
Williams Cos., Inc. (The)		227,800		7,458,172

				206,433,528

Paper & Forest Products
Schweitzer-Mauduit International, Inc.		8,400		327,852
Stora Enso OYJ (Finland) (Class R Stock)		39,140		273,958

				601,810

Personal Products
Herbalife Ltd.(a)		24,200		797,148
Kao Corp. (Japan)		1,500		39,086

				836,234

Pharmaceuticals — 2.8%
Astellas Pharma, Inc. (Japan)		2,100		94,419
AstraZeneca PLC (United Kingdom)		11,194		530,483
Bayer AG (Germany)		3,555		339,013
Eli Lilly & Co.		140,200		6,914,664
Endo Health Solutions, Inc.*		112,400		2,952,748
GlaxoSmithKline PLC (United Kingdom)		14,433		314,241
Johnson & Johnson(a)		345,098		24,191,370
Merck & Co., Inc.		285,200		11,676,088
Novartis AG (Switzerland)		10,799		682,208


COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Novo Nordisk A/S (Denmark) (Class B Stock)		1,905	$	310,204
Orion OYJ (Finland) (Class B Stock)		6,965		205,071
Otsuka Holdings Co. Ltd. (Japan)		1,700		47,891
Pfizer, Inc.		1,509,397		37,855,677
Roche Holding AG (Switzerland)		4,539		917,701
Sanofi (France)		8,401		796,670
Teva Pharmaceutical Industries Ltd. (Israel)		11,101		412,508
Warner Chilcott PLC (Class A Stock)		123,400		1,485,736
Watson Pharmaceuticals, Inc.*		13,300		1,143,800

				90,870,492

Professional Services — 0.2%
Capita Group PLC (The) (United Kingdom)		6,844		84,571
Equifax, Inc.		114,000		6,169,680
Experian PLC (United Kingdom)		2,969		47,851

				6,302,102

Real Estate Investment Trusts — 1.2%
American Capital Agency Corp.		173,300		5,015,302
American Tower Corp.		68,800		5,316,176
Ascendas Real Estate Investment Trust (Singapore)		140,000		273,969
Camden Property Trust		32,100		2,189,541
CommonWealth REIT		83,700		1,325,808
DiamondRock Hospitality Co.		119,600		1,076,400
General Growth Properties, Inc.		157,800		3,132,330
GPT Group (Australia)		21,177		81,514
HCP, Inc.		122,100		5,516,478
Hospitality Properties Trust		157,900		3,698,018
Link REIT (The) (Hong Kong)		62,000		310,503
Resource Capital Corp.		54,100		302,960
RLJ Lodging Trust		43,000		832,910
Simon Property Group, Inc.		40,500		6,402,645
Vornado Realty Trust		55,000		4,404,400
Westfield Retail Trust (Australia)		12,158		38,358
Winthrop Realty Trust		31,300		345,865

				40,263,177

Real Estate Management & Development — 0.2%
Cheung Kong Holdings Ltd. (Hong Kong)		6,000		93,357
Daiwa House Industry Co. Ltd. (Japan)		2,000		34,386
Henderson Land Development Co. Ltd. (Hong Kong)		4,000		28,637
Hysan Development Co. Ltd. (Hong Kong)		3,000		14,589
Jones Lang LaSalle, Inc.		38,700		3,248,478
Keppel Land Ltd. (Singapore)		82,000		274,639
Lend Lease Group (Australia)		22,132		216,137
New World Development Co. Ltd. (Hong Kong)		17,000		26,914
Sino Land Co. Ltd. (Hong Kong)		62,000		113,531
Sun Hung Kai Properties Ltd. (Hong Kong)		17,000		257,809
Swire Properties Ltd. (Hong Kong)		83,000		279,545

SEE NOTES TO FINANCIAL STATEMENTS.

A66


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development (continued)
Wharf Holdings Ltd. (Hong Kong)		28,000	$	223,152
Wheelock & Co. Ltd. (Hong Kong)		4,000		20,404

				4,831,578

Road & Rail — 1.0%
Aurizon Holdings Ltd. (Australia)		8,544		33,598
Central Japan Railway Co. (Japan)		3,800		308,406
ComfortDelGro Corp. Ltd. (Singapore)		43,000		63,258
CSX Corp.		553,100		10,912,663
DSV A/S (Denmark)		1,703		44,061
East Japan Railway Co. (Japan)		5,500		355,653
Hankyu Hanshin Holdings, Inc. (Japan)		5,000		25,852
MTR Corp. Ltd. (Hong Kong)		6,500		25,756
Norfolk Southern Corp.		156,800		9,696,512
Odakyu Electric Railway Co. Ltd. (Japan)		3,000		31,213
Tokyu Corp. (Japan)		5,000		28,169
Union Pacific Corp.		85,000		10,686,200
West Japan Railway Co. (Japan)		2,400		94,552

				32,305,893

Semiconductors & Semiconductor Equipment — 1.1%
ARM Holdings PLC (United Kingdom)		27,043		341,521
Intel Corp.		1,095,600		22,602,228
Kulicke & Soffa Industries, Inc.*		86,400		1,035,936
LSI Corp.*		809,200		5,729,136
NVIDIA Corp.		506,700		6,227,343
Silicon Laboratories, Inc.*		9,500		397,195

				36,333,359

Software — 2.7%
BMC Software, Inc.*		65,600		2,601,696
CA, Inc.		80,200		1,762,796
Dassault Systemes SA (France)		1,207		134,952
Intuit, Inc.		149,400		8,889,300
Microsoft Corp.		1,404,000		37,528,920
Oracle Corp.		1,047,300		34,896,036
SAP AG (Germany)		2,705		217,518
Symantec Corp.*		45,400		853,974

				86,885,192

Specialty Retail — 1.8%
ABC-Mart, Inc. (Japan)		1,100		47,889
Bed Bath & Beyond, Inc.*		39,500		2,208,445
Best Buy Co., Inc.(a)		28,200		334,170
Express, Inc.*(a)		47,900		722,811
Finish Line, Inc. (The) (Class A Stock)		41,800		791,274
Foot Locker, Inc.		19,300		619,916
Gap, Inc. (The)		347,300		10,780,192
Home Depot, Inc. (The)		260,350		16,102,647
Inditex SA (Spain)		2,413		339,044
PetSmart, Inc.		36,600		2,501,244
Ross Stores, Inc.		172,200		9,324,630
Select Comfort Corp.*		7,900		206,743
TJX Cos., Inc.		372,600		15,816,870

				59,795,875


COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods — 0.9%
Adidas AG (Germany)		360	$	32,130
Carter’s, Inc.*		42,100		2,342,865
Christian Dior SA (France)		90		15,341
Cie Financiere Richemont SA (Switzerland)		5,708		448,052
Coach, Inc.		160,400		8,903,804
NIKE, Inc. (Class B Stock)		327,400		16,893,840
VF Corp.		2,900		437,813

				29,073,845

Tobacco — 0.7%
Altria Group, Inc.		260,500		8,184,910
British American Tobacco PLC (United Kingdom)		2,802		142,440
Imperial Tobacco Group PLC (United Kingdom)		3,328		129,032
Japan Tobacco, Inc. (Japan)		13,300		375,717
Lorillard, Inc.		9,700		1,131,699
Philip Morris International, Inc.		152,600		12,763,464
Reynolds American, Inc.(a)		33,300		1,379,619

				24,106,881

Trading Companies & Distributors — 0.1%
Applied Industrial Technologies, Inc.		8,800		369,688
DXP Enterprises, Inc.*		5,700		279,699
ITOCHU Corp. (Japan)		30,800		325,528
Marubeni Corp. (Japan)		43,000		308,536
Sumitomo Corp. (Japan)		5,100		65,432
Toyota Tsusho Corp. (Japan)		11,600		286,320
W.W. Grainger, Inc.		6,900		1,396,353
Wolseley PLC (United Kingdom)		2,976		142,309

				3,173,865

Water Utilities — 0.2%
American Water Works Co., Inc.		143,200		5,317,016

Wireless Telecommunication Services
KDDI Corp. (Japan)		4,800		339,347
Millicom International Cellular SA (Luxembourg)		292		25,346
NTT DoCoMo, Inc. (Japan)		23		33,155
Softbank Corp. (Japan)		4,200		153,893
Vodafone Group PLC (United Kingdom)		90,143		226,915

				778,656

TOTAL COMMON STOCKS (cost $1,686,577,839)				2,091,604,659

EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund (cost $1,652,017)		30,600		1,738,692

PREFERRED STOCKS
Automobiles
Volkswagen AG (Germany)		961		220,502

Banking
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		22,000		613,800

SEE NOTES TO FINANCIAL STATEMENTS.

A67


PREFERRED STOCKS (continued)					Shares		Value (Note 2)
Media
ProSiebenSat.1 Media AG (Germany)						9,220	$	262,622

TOTAL PREFERRED STOCKS (cost $987,183)								1,096,924


					Units
RIGHTS
Oil, Gas & Consumable Fuels
Repsol SA (Spain)* (cost $0)						2,311		1,409


	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#
ASSET-BACKED SECURITIES — 2.1%
Non-Residential Mortgage-Backed Securities — 1.9%
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.569%	10/20/19	$	2,557		2,490,234
American Express Credit Account Master Trust, Ser. 2012-4, Class C, 144A(b)	AA-(c)		1.009%	05/15/20		3,900		3,900,651
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b)	Aaa		1.911%	05/17/21		500		501,499
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.574%	01/26/20		1,622		1,587,278
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.609%	01/15/16		3,209		3,209,584
Bank One Issuance Trust, Ser. 2003-C3, Class C3	Baa2		4.770%	02/16/16		5,200		5,292,784
Battalion CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A1, 144A(b)	AAA(c)		1.537%	11/15/19		2,500		2,490,817
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.562%	05/25/17		621		614,601
Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, Class A1, 144A(b)	Aaa		0.575%	04/25/19		2,279		2,227,530
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.563%	08/03/19		404		395,834
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(b)	Baa2		0.681%	03/24/17		2,200		2,183,306
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b)	Baa2		0.611%	02/20/15		1,350		1,349,977
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.569%	07/22/20		959		942,219
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aa1		0.778%	03/15/20		1,000		957,753
GE Capital Credit Card Master Note Trust, Ser. 2011-2, Class B(b)	A2		1.209%	05/15/19		8,345		8,409,565
GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b)	A2		1.059%	06/15/18		5,500		5,529,249
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.600%	12/15/17		230		229,649
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(b)	Aaa		0.700%	07/15/16		7		6,900
Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A, 144A(b)	AAA(c)		1.751%	09/06/22		1,863		1,861,623
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.561%	10/19/20		677		664,152
LCM LP (Cayman Islands), Ser. 2004-2A, Class A, 144A(b)	Aaa		0.639%	10/22/16		225		224,377
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.571%	06/01/17		1,651		1,625,159

SEE NOTES TO FINANCIAL STATEMENTS.

A68


ASSET-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.568%	09/15/17	$	1,192	$	1,172,265
Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A1A, 144A(b)	Aaa		2.003%	05/18/23		1,350		1,353,993
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.558%	03/15/18		381		368,675
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(b)	Aaa		1.791%	11/22/23		1,200		1,201,540
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(b)	AA(c)		2.511%	11/22/23		1,200		1,186,307
Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.961%	08/17/22		500		501,391
Sound Point CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		3.084%	10/20/23		1,100		1,118,372
Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b)	Aaa		0.572%	05/27/20		2,572		2,512,043
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		107		107,465
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		2,151		2,150,820
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.563%	11/01/18		2,400		2,368,805

								60,736,417

Residential Mortgage-Backed Securities — 0.2%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.860%	03/25/33		339		256,920
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3(b)	B3		4.853%	07/25/35		302		257,134
Equity One ABS, Inc., Ser. 2004-3, Class M1(d)	Ba1		5.330%	07/25/34		559		467,428
GSAMP Trust, Ser. 2004-HE2, Class A3C(b)	Aaa		0.790%	09/25/34		674		655,571
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.701%	01/20/35		265		252,333
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.740%	06/25/34		926		792,932
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.410%	05/25/33		554		521,090
Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(b)	B3		1.155%	06/25/34		1,112		1,024,277
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.260%	12/27/33		1,017		963,523
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.110%	07/25/32		591		502,446
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.485%	09/25/32		615		553,413
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(b)	Ba3		0.975%	02/25/34		987		888,019
Securitized Asset Backed Receivables LLC Trust, Ser. 2006-FR3, Class A3(b)	Ca		0.460%	05/25/36		1,078		549,205

								7,684,291

TOTAL ASSET-BACKED SECURITIES (cost $68,548,965)								68,420,708

BANK LOANS(b) — 0.4%
Automotive
Schaeffler AG (Germany)	Ba3		6.000%	01/27/17		750		757,032

Chemicals — 0.1%
Ashland, Inc.	Baa3		2.312%	08/23/16		1,678		1,679,729

SEE NOTES TO FINANCIAL STATEMENTS.

A69


BANK LOANS(b) (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods — 0.1%
Del Monte Foods Co.	Ba3		4.500%	03/08/18	$	1,098	$	1,098,694

Gaming
Scientific Games Corp.	Ba1		3.210%	06/30/15		645		643,569

Healthcare & Pharmaceutical — 0.1%
Community Health Systems, Inc.	Ba3		2.811%	10/25/16		491		489,414
HCA, Inc.	Ba3		3.462%	05/01/18		370		370,232
HCA, Inc.	Ba3		3.561%	03/31/17		886		887,996
RPI Finance Trust	Baa2		4.000%	11/09/18		1,076		1,085,629
Universal Health Services, Inc.	Ba2		2.060%	08/15/16		1,093		1,093,125

								3,926,396

Pipelines & Other
Energy Transfer Equity LP	Ba2		3.750%	03/23/17		900		906,047

Technology — 0.1%
First Data Corp.	B1		4.211%	03/26/18		2,134		2,029,889
First Data Corp.	B1		5.211%	03/24/17		162		158,972
Flextronics International Ltd. (Singapore)	Ba1		0.381%	10/01/14		533		532,439
Flextronics International Ltd. (Singapore)	Ba1		2.462%	10/01/14		153		152,999
Sensata Technologies, Inc.	Ba2		3.750%	05/12/18		434		435,634

								3,309,933

TOTAL BANK LOANS (cost $12,308,122)								12,321,400

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,569		1,986,071
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		3.002%	02/25/35		579		560,808
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		2.770%	03/25/35		450		417,778
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	B2		3.038%	02/25/37		1,238		1,233,710
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		509		520,211
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.991%	07/25/35		820		822,602
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		169		173,952
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa3		2.775%	02/25/34		525		529,696
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		212		214,723

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $6,839,965)								6,459,551

COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		2,268		2,292,883
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		3,700		3,735,509
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.685%	06/10/49		830		829,563
Banc of America Commercial Mortgage Inc., Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		1,920		2,024,728
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,900		4,248,040
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2007-2, Class A3(b)	AAA(c)		5.598%	04/10/49		1,500		1,667,119

SEE NOTES TO FINANCIAL STATEMENTS.

A70


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4	AAA(c)		5.405%	12/11/40	$	2,000	$	2,227,288
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(b)	Aaa		5.702%	12/10/49		1,000		1,178,161
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.304%	01/15/46		1,200		1,343,971
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%	10/15/48		580		666,618
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(c)		5.440%	09/15/30		426		431,782
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C7, Class A4(b)	AAA(c)		5.748%	06/10/46		5,450		6,189,565
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		334		335,826
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, Class A2	Aaa		1.765%	10/15/45		3,100		3,184,456
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR5, Class A3	Aaa		2.540%	12/10/45		1,000		999,362
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4	Aaa		4.835%	07/15/36		282		286,732
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		1,900		2,042,443
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(c)		5.409%	02/15/39		2,700		3,046,405
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AAA(c)		5.409%	02/15/39		640		708,477
CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA+(c)		5.223%	08/15/48		1,230		1,394,286
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(c)		5.803%	05/15/46		1,231		1,311,127
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b)	AA+(c)		1.479%	05/25/22		25,947		2,767,440
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b)	AA+(c)		1.516%	06/25/22		7,297		811,171
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b)	AA+(c)		1.755%	08/25/16		7,826		366,354
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b)	AA+(c)		1.785%	05/25/19		19,971		1,904,509
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1(b)	AA+(c)		1.712%	07/25/19		20,995		1,951,461
GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(b)	Aaa		5.307%	11/10/45		2,585		2,890,974
GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(b)	AAA(c)		5.296%	03/10/44		2,060		2,310,929
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(c)		4.697%	05/10/43		2,720		2,906,959
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A3	Aaa		4.569%	08/10/42		516		517,501
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5	Aa2		5.224%	04/10/37		8,050		8,894,308
Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(a)(b)	Aaa		5.867%	07/10/38		1,940		2,227,915
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		2,667		2,752,069
GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB	AAA(c)		5.587%	04/10/38		4,677		4,968,811
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		1,031		1,036,505
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB	Aaa		4.853%	03/15/46		1,392		1,437,045

SEE NOTES TO FINANCIAL STATEMENTS.

A71


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42	$	312	$	313,013
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,079,820
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		2,475		2,563,287
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%	10/15/42		1,270		1,381,364
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		2,818		3,006,154
JPMorgan Chase Commercial Mortgage Securities Corp., I/O, Ser. 2006-LDP6, Class X2(b)	Aaa		0.050%	04/15/43		78,211		6,570
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP7, Class A3A(b)	Aaa		5.871%	04/15/45		480		485,349
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD12, Class A2	Aaa		5.827%	02/15/51		844		866,469
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%	06/15/45		2,100		2,262,763
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		1,700		1,707,644
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5	AAA(c)		4.826%	08/15/29		1,569		1,602,793
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(c)		5.263%	11/15/40		1,510		1,659,736
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(c)		5.084%	02/15/31		304		303,826
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,780
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4	Aaa		5.661%	03/15/39		2,676		3,036,891
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		2,000		2,050,012
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	AA(c)		5.684%	05/12/39		930		1,042,985
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	A(c)		5.532%	02/12/39		530		589,334
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		5.893%	06/12/46		1,795		2,067,745
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		2,397		2,461,777
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.420%	03/12/44		1,500		1,677,270
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(c)		5.691%	10/15/42		2,600		2,935,127
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		4,720		5,431,073
Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31	Aaa		5.439%	02/12/44		1,230		1,286,354
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		3,865		4,052,752
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(c)		5.651%	06/11/42		1,031		1,063,204
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	Aaa		2.792%	12/10/45		1,700		1,719,099
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4	Aaa		5.418%	01/15/45		4,828		5,378,791
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.736%	05/15/43		700		798,799
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		4,500		5,199,233
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		5.921%	02/15/51		3,470		4,071,077

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $131,118,841)								140,043,383

SEE NOTES TO FINANCIAL STATEMENTS.

A72


CORPORATE BONDS — 9.8%	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Aerospace & Defense
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		6.300%	05/01/14	$	1,075	$	1,122,031
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		515		574,038

								1,696,069

Airlines — 0.2%
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 1998-1, Class A	Baa2		6.648%	09/15/17		203		217,034
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 2009-2, Class A	Baa2		7.250%	11/10/19		692		799,835
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 2010-A(a)	Baa2		4.750%	01/12/21		816		887,361
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 2012-2, Class A	Baa2		4.000%	10/29/24		705		742,013
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa2		6.821%	08/10/22		369		411,924
Delta Air Lines, Inc., Pass-Through Trust, Pass-thru Certs., Ser. 2011-1, Class A(a)	Baa2		5.300%	04/15/19		1,285		1,416,587
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2A	Baa2		4.950%	05/23/19		665		724,893

								5,199,647

Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		3.984%	06/15/16		415		440,658
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16		1,655		1,765,249
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%	03/15/17		450		465,086
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		500		546,043
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		245		276,555

								3,493,591

Banking — 2.6%
American Express Co., Sr. Unsec’d. Notes, 144A	A3		2.650%	12/02/22		2,213		2,204,188
American Express Credit Corp., Sr. Unsec’d. Notes, MTN(e)	A2		2.800%	09/19/16		2,030		2,147,831
Banco Bradesco SA (Brazil), Sub. Notes(a)	Baa1		8.750%	10/24/13		1,760		1,852,400
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		645		661,215
Bangkok Bank PCL/Hong Kong (Thailand), Sr. Unsec’d. Notes, 144A	A3		2.750%	03/27/18		1,850		1,871,064
Bank of America Corp., Jr. Sub. Notes, Ser. K(b)	B1		8.000%	12/29/49		2,200		2,433,376
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%	04/01/15		595		634,226
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,770		2,128,512
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		1,075		1,258,841
Bank of America Corp., Sr. Unsec’d. Notes, MTN	Baa2		5.000%	05/13/21		630		719,241
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		870		929,966
Bank of America Corp., Sub. Notes	Baa3		5.750%	08/15/16		1,775		1,941,019
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		930		1,045,980
Bank of America NA, Sub. Notes	Baa1		6.000%	10/15/36		410		502,364
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		5.300%	10/30/15		515		570,719
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		6.400%	10/02/17		330		396,329
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		7.250%	02/01/18		1,175		1,472,325
Capital One Bank USA NA, Sub. Notes	Baa1		6.500%	06/13/13		20		20,523
Capital One Bank USA NA, Sub. Notes	Baa1		8.800%	07/15/19		1,300		1,760,326
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%	05/15/40		1,080		1,080,000
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		3.953%	06/15/16		1,010		1,087,125
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%	01/14/22		2,450		2,733,475
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	05/19/15		2,265		2,441,752
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		1,155		1,384,165
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%	03/05/38		215		283,038

SEE NOTES TO FINANCIAL STATEMENTS.

A73


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39	$	710	$	1,062,952
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,895		2,548,087
Citigroup, Inc., Sub. Notes	Baa3		5.000%	09/15/14		454		477,648
Citigroup, Inc., Sub. Notes	Baa3		6.125%	08/25/36		570		621,230
Depfa ACS Bank (Ireland), Covered Notes, 144A	A3		5.125%	03/16/37		1,380		1,077,358
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		570		707,767
Goldman Sachs Group, Inc. (The), Sr. Notes	A3		6.250%	02/01/41		270		331,269
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		3.625%	02/07/16		2,000		2,117,046
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)	A3		5.250%	07/27/21		2,055		2,342,651
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	A3		5.750%	01/24/22		3,620		4,279,607
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		1,000		1,188,212
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%	01/15/17		1,190		1,305,641
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		104		117,866
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		4.875%	01/14/22		1,910		2,216,685
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21		1,025		1,210,403
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		170		207,988
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b)	Ba1		7.900%	04/29/49		2,000		2,266,020
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		3,210		3,400,834
JPMorgan Chase & Co., Sr. Unsec’d. Notes(a)(e)	A2		4.250%	10/15/20		2,930		3,258,532
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes	A2		6.375%	01/21/21		1,400		1,724,852
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN	A2		5.800%	01/13/20		1,870		2,188,429
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(a)	Baa2		6.400%	08/28/17		20		23,487
Morgan Stanley, Notes, Ser. G, MTN	Baa1		6.625%	04/01/18		105		123,750
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.750%	01/25/21		1,400		1,598,849
Morgan Stanley, Sr. Unsec’d. Notes(a)	Baa1		6.375%	07/24/42		780		914,398
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		1,415		1,600,337
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		510		577,526
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		2,345		2,594,932
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		760		862,884
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b)	Ba1		6.346%	07/29/49		800		882,156
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,455		1,462,567
PNC Funding Corp., Gtd. Notes	A3		2.700%	09/19/16		1,110		1,172,743
PNC Funding Corp., Gtd. Notes(a)	A3		6.700%	06/10/19		440		561,367
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes	Baa1		2.550%	09/18/15		455		465,652
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,775		2,097,411
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	09/24/15		955		972,514
US Bancorp, Sub. Notes, MTN	A2		2.950%	07/15/22		1,120		1,131,453
Wells Fargo Bank NA, Sub. Notes, Ser. AI(e)	A1		4.750%	02/09/15		585		628,300

								85,881,403

Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)	NR		6.875%	02/06/12		1,715		400,881
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)	NR		6.875%	05/02/18		700		168,000

								568,881

Building Materials & Construction
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		700		759,500
Owens Corning, Gtd. Notes	Ba1		4.200%	12/15/22		775		788,163

								1,547,663

SEE NOTES TO FINANCIAL STATEMENTS.

A74


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 0.2%
AT&T Broadband LLC, Gtd. Notes	Baa1		9.455%	11/15/22	$	255	$	385,524
Cablevision Systems Corp., Sr. Unsec’d. Notes(a)	B1		8.625%	09/15/17		1,000		1,166,250
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		570		728,300
Comcast Corp., Gtd. Notes	Baa1		6.450%	03/15/37		155		198,894
Comcast Corp., Gtd. Notes	Baa1		6.500%	11/15/35		450		577,372
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		605		820,420
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		920		974,654
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		173,573
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,560		1,577,835
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		373,826

								6,976,648

Capital Goods — 0.4%
Actuant Corp., Gtd. Notes	Ba2		5.625%	06/15/22		1,205		1,247,175
Case New Holland, Inc., Gtd. Notes	Ba2		7.875%	12/01/17		1,255		1,484,037
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		745		761,426
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $403,489; purchased 10/10/12)(g)(h)	Baa1		5.625%	03/15/42		375		415,456
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(a)(g)(h)	Baa1		6.375%	10/15/17		1,302		1,574,721
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(g)(h)	Baa1		7.000%	10/15/37		380		482,535
General Electric Co., Sr. Unsec’d. Notes	Aa3		4.125%	10/09/42		485		498,894
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17		200		235,830
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $384,850; purchased 07/10/12)(g)(h)	Baa3		2.500%	07/11/14		385		389,022
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(g)(h)	Baa3		2.500%	03/15/16		1,890		1,895,092
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $499,515; purchased 05/08/12)(g)(h)	Baa3		3.125%	05/11/15		500		510,170
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		1,830		2,033,425
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,260		1,430,512

								12,958,295

Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		3.150%	10/01/22		780		775,052
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		7.600%	05/15/14		778		849,406
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		432		711,259
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		720		751,799
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(a)	Baa3		5.000%	04/15/19		1,000		1,105,000
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		1,050		1,174,401
Union Carbide Corp., Sr. Unsec’d. Notes	Baa2		7.500%	06/01/25		460		572,842

								5,939,759

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,700		1,980,099
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		1,254		1,329,240

								3,309,339

Electric — 0.5%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		175		205,413
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		550		730,170

SEE NOTES TO FINANCIAL STATEMENTS.

A75


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Carolina Power & Light Co., First Mtge. Bonds	A1		5.250%	12/15/15	$	525	$	595,432
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		740		747,907
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		590		837,401
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		220		273,067
Duke Energy Carolinas LLC, First Ref. Mtge. Bonds	A1		4.000%	09/30/42		570		574,529
Duke Energy Carolinas LLC, First Mtge. Bonds	A1		6.050%	04/15/38		550		720,500
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		670		835,457
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,295		1,514,795
ENEL Finance International SA (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		1,280		1,239,484
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		155		168,722
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,425		1,657,077
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		295		384,239
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		495		593,816
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		145		155,552
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		460		493,022
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		300		370,411
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa1		6.500%	05/15/18		1,260		1,571,417
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		610		712,385
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		615		698,548
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa2		6.375%	01/15/15		345		380,748
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		140		170,111
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		535		693,358
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		4.800%	09/15/41		480		538,627
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		199		232,835

								17,095,023

Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		535		616,567
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		1,040		1,082,231

								1,698,798

Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		1,195		1,427,422
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		325		407,149
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		315,954
Cameron International Corp., Sr. Unsec’d. Notes	Baa1		4.500%	06/01/21		2,200		2,461,705
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		1,065		1,139,352
Nabors Industries, Inc., Gtd. Notes(a)	Baa2		4.625%	09/15/21		1,070		1,151,577
Phillips 66, Gtd. Notes, 144A	Baa1		2.950%	05/01/17		490		519,320
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,500		1,824,879
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		920		929,678
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		810		892,612
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,315		1,358,528

								12,428,176

Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		2.500%	07/15/22		1,630		1,640,204
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39		1,285		2,080,416
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		250		410,568
ARAMARK Corp., Gtd. Notes(a)	B3		8.500%	02/01/15		850		854,258
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		727		783,646
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,040		1,094,357
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		985		1,267,395

SEE NOTES TO FINANCIAL STATEMENTS.

A76


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $666,818; purchased 11/19/07)(g)(h)	A2		6.000%	11/27/17	$	670	$	806,076
Constellation Brands, Inc., Gtd. Notes	Ba1		4.625%	03/01/23		1,250		1,306,250
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		480		544,863
Kraft Foods Group, Inc., Gtd. Notes, 144A	Baa2		5.000%	06/04/42		680		764,659
TreeHouse Foods, Inc., Gtd. Notes	Ba2		7.750%	03/01/18		1,271		1,379,035
Tyson Foods, Inc., Gtd. Notes(b)	Baa3		6.600%	04/01/16		735		842,270

								13,773,997

Healthcare & Pharmaceutical — 0.4%
AbbVie, Inc., Gtd. Notes, 144A	Baa1		4.400%	11/06/42		740		786,719
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,640		1,845,600
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		1,110		1,308,721
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,460		2,537,724
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)	Ba3		5.125%	08/15/18		1,100		1,146,750
Genentech, Inc., Sr. Unsec’d. Notes	AA(c)		4.750%	07/15/15		280		308,790
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		565		701,896
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)	Baa2		3.750%	08/23/22		180		190,884
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		580		654,147
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		165		215,083
Mylan, Inc., Gtd. Notes, 144A(a)	Baa3		7.625%	07/15/17		1,000		1,123,869
Valeant Pharmaceuticals International, Gtd. Notes, 144A(a)	B1		6.500%	07/15/16		1,000		1,051,250
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		560		583,034
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a)	Baa3		6.125%	08/15/19		445		541,707
Wyeth, Gtd. Notes	A1		6.450%	02/01/24		60		81,445

								13,077,619

Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.500%	09/15/18		1,570		1,952,008
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		515		693,185
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		650		789,084
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		670		816,801
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,290		1,409,280
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		3.950%	10/15/42		260		258,906
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		5.950%	02/15/41		730		917,837
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		195		233,883
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		420		553,256
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		420		555,464
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		390		402,798
WellPoint, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.650%	01/15/43		995		1,036,906
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		5.000%	12/15/14		860		928,855

								10,548,263

Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		525		581,934
Allstate Corp. (The), Sr. Unsec’d. Notes(a)	A3		5.200%	01/15/42		140		166,158
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		580		587,045
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		2,425		3,008,935
American International Group, Inc., Sr. Unsec’d. Notes(a)	Baa1		8.250%	08/15/18		990		1,300,747
AON Corp., Sr. Unsec’d. Notes	Baa2		3.125%	05/27/16		2,655		2,795,115
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20		1,030		1,169,300
Chubb Corp. (The), Jr. Sub. Notes(a)(b)	A3		6.375%	03/29/67		1,300		1,417,000
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a)	Baa3		5.125%	04/15/22		755		871,157
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		850		987,878
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		365		410,639

SEE NOTES TO FINANCIAL STATEMENTS.

A77


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Lincoln National Corp., Jr. Sub. Notes(b)	Ba1		6.050%	04/20/67	$	260	$	259,025
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		492		588,226
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		705		917,589
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		605		809,064
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		835		1,019,493
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		400		521,930
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		430		509,269
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		660		912,922
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b)	A2		5.000%	10/18/42		745		786,931
Northwestern Mutual Life Insurance, Sub. Notes, 144A	Aa2		6.063%	03/30/40		370		472,376
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		680		774,402
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		995		1,391,409
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		130		132,125
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		735		793,800
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,450		1,966,599
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		350		399,903
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		555		602,276
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		460		524,255
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		85		90,511

								26,768,013

Lodging — 0.2%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		900		1,039,500
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	03/01/19		580		596,939
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		980		980,290
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Baa2		6.750%	05/15/18		2,800		3,404,114
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		1,055		1,089,305

								7,110,148

Media & Entertainment — 0.4%
Belo Corp., Gtd. Notes	Ba1		8.000%	11/15/16		1,200		1,306,500
CBS Corp., Gtd. Notes(g)	Baa2		4.850%	07/01/42		400		416,316
Globo Comunicacao E Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(d)	Baa2		5.307%	05/11/22		600		654,000
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		5.950%	04/01/41		635		778,530
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		620		760,904
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		1,315		1,665,557
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		90		117,834
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		1,300		1,430,000
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		210		257,169
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		1,465		1,808,844
Time Warner, Inc., Gtd. Notes(a)	Baa2		7.250%	10/15/17		790		991,985
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		180		247,803
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		505		745,745
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43		607		597,109

								11,778,296

Metals — 0.2%
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		880		1,059,823
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		1,525		1,620,313
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(c)		4.500%	05/15/13		115		116,497
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		425		545,609
Teck Resources Ltd. (Canada), Gtd. Notes	Baa2		5.200%	03/01/42		695		710,344
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		1.800%	10/23/15		1,110		1,116,027
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.450%	10/25/17		1,220		1,231,827
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,185		1,216,284

								7,616,724

SEE NOTES TO FINANCIAL STATEMENTS.

A78


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance — 0.4%
Discover Financial Services, Sr. Unsec’d. Notes, 144A	Ba1		3.850%	11/21/22	$	900	$	928,687
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		1,750		2,110,941
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.000%	08/07/19		920		1,119,238
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(e)(i)	A1		6.875%	01/10/39		1,625		2,208,861
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		375		395,283
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	Ba3		6.375%	03/25/13		1,850		1,869,425
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		570		619,875
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,050		1,199,625
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,070		1,251,900

								11,703,835

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(g)(h)	Baa2		5.400%	11/01/20		290		344,994
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		1,595		1,888,689
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		685		885,586
Rock-Tenn Co., Gtd. Notes, 144A	Ba1		4.000%	03/01/23		440		446,992
Rock-Tenn Co., Unsec’d. Notes, 144A(a)	Ba1		4.900%	03/01/22		800		864,548

								4,430,809

Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		675		741,643
NiSource Finance Corp., Gtd. Notes	Baa3		5.250%	09/15/17		245		280,234
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		350		411,284
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		145		179,799
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		90		90,407
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		2,690		3,275,395
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		235		236,494

								5,215,256

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		670		824,886
CSX Corp., Sr. Unsec’d. Notes	Baa2		6.150%	05/01/37		715		903,936
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		100		122,806
Norfolk Southern Corp., Sr. Unsec’d. Notes, 144A	Baa1		2.903%	02/15/23		489		492,225

								2,343,853

Real Estate Investment Trusts — 0.2%
HCP, Inc., Sr. Unsec’d. Notes	Baa1		2.700%	02/01/14		750		763,460
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		765		948,057
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		72		87,159
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		295		311,280
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		3.375%	03/15/22		230		242,907
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		6.125%	05/30/18		3,080		3,751,785

								6,104,648

Retailers — 0.3%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		5.750%	05/15/41		1,020		1,269,960
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		515		659,076
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		385		491,757
Ltd. Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		950		1,033,125
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		360		383,713
Macy’s Retail Holdings, Inc., Gtd. Notes	Baa3		5.875%	01/15/13		2,000		2,003,530
Nordstrom, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.000%	10/15/21		260		289,886
Target Corp., Sr. Unsec’d. Notes	A2		4.000%	07/01/42		1,140		1,171,212
Walgreen Co., Sr. Unsec’d. Notes	Baa1		1.800%	09/15/17		1,500		1,508,360

SEE NOTES TO FINANCIAL STATEMENTS.

A79


CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers (continued)
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41	$	720	$	942,895

								9,753,514

Technology — 0.3%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		400		415,029
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		2,410		2,531,638
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		1,500		1,614,375
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		1,000		1,065,000
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,720		2,860,594

								8,486,636

Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		590		776,230
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		7		10,593
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		815		949,107
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,720		2,260,274
AT&T, Inc., Sr. Unsec’d. Notes, 144A	A2		4.300%	12/15/42		1,363		1,368,933
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		400		635,472
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(g)(h)	Baa3		7.082%	06/01/16		325		380,764
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,626,279; purchased 05/12/06-04/10/07)(g)(h)	Baa3		7.995%	06/01/36		1,600		1,767,234
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		1,440		1,576,066
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		320		328,800
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		430		448,920
Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A(a)	BBB(c)		3.875%	10/12/22		430		429,252
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)	A3		6.000%	04/01/41		570		743,951
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.100%	04/15/18		3,165		3,891,643
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		1,000		1,037,500

								16,604,739

Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes	Baa1		4.750%	05/05/21		1,000		1,133,274
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		1,215		1,700,913
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		140		230,641
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		790		1,321,533
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		465		492,063
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		325		414,709
Reynolds American, Inc., Gtd. Notes	Baa2		7.250%	06/15/37		320		419,626

								5,712,759

TOTAL CORPORATE BONDS (cost $288,686,852)								319,822,401

MORTGAGE-BACKED SECURITIES — 9.6%
Federal Home Loan Mortgage Corp.(b)			2.615%	12/01/35		677		715,998
Federal Home Loan Mortgage Corp.(b)			2.634%	06/01/36		644		682,896
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		3,000		3,150,000
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		9,258		9,887,121
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		23,772		25,660,424
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-06/01/39		10,898		11,757,705
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		11,991		12,994,094
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-08/01/39		5,025		5,499,655
Federal Home Loan Mortgage Corp.			6.500%	12/01/14		37		37,818
Federal Home Loan Mortgage Corp.			7.000%	01/01/31-10/01/32		594		700,450
Federal National Mortgage Association(b)			2.290%	07/01/33		454		479,603

SEE NOTES TO FINANCIAL STATEMENTS.

A80


MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Association(b)			2.308%	06/01/37	$	139	$	146,570
Federal National Mortgage Association			2.500%	TBA 15 YR		7,000		7,319,375
Federal National Mortgage Association			3.000%	TBA 15 YR		4,500		4,749,610
Federal National Mortgage Association			3.500%	06/01/39-09/01/42		9,391		10,050,115
Federal National Mortgage Association			3.500%	TBA 15 YR		2,500		2,651,953
Federal National Mortgage Association			3.500%	TBA 30 YR		9,500		10,110,449
Federal National Mortgage Association			3.500%	TBA 30 YR		34,000		36,248,515
Federal National Mortgage Association			4.000%	TBA 30 YR		3,000		3,215,625
Federal National Mortgage Association			4.500%	08/01/39		2,682		2,977,348
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		16,301		17,898,873
Federal National Mortgage Association			5.000%	10/01/18-02/01/36		10,076		10,967,392
Federal National Mortgage Association			5.000%	TBA 30 YR		4,500		4,874,062
Federal National Mortgage Association			5.500%	03/01/16-08/01/37		14,343		15,771,560
Federal National Mortgage Association			6.000%	04/01/13-05/01/38		11,842		13,151,576
Federal National Mortgage Association			6.500%	07/01/17-09/01/37		4,612		5,191,783
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		374		438,057
Federal National Mortgage Association			7.500%	05/01/32		96		117,447
Government National Mortgage Association			3.000%	TBA 30 YR		3,000		3,189,375
Government National Mortgage Association			3.000%	TBA 30 YR		5,500		5,846,328
Government National Mortgage Association			3.500%	TBA 30 YR		7,500		8,148,633
Government National Mortgage Association			4.000%	06/15/40-05/20/41		3,794		4,178,671
Government National Mortgage Association			4.000%	TBA 30 YR		7,000		7,677,032
Government National Mortgage Association			4.000%	TBA 30 YR		22,000		23,955,939
Government National Mortgage Association			4.500%	01/20/41-02/20/41		7,330		8,085,702
Government National Mortgage Association			4.500%	TBA 30 YR		12,500		13,685,547
Government National Mortgage Association			5.000%	TBA 30 YR		8,000		8,748,750
Government National Mortgage Association			5.500%	11/15/32-02/15/36		4,986		5,513,864
Government National Mortgage Association			6.000%	02/15/33-10/15/34		2,210		2,492,180
Government National Mortgage Association			6.500%	10/15/23-07/15/35		2,332		2,687,536
Government National Mortgage Association			8.000%	01/15/24-04/15/25		71		82,268

TOTAL MORTGAGE-BACKED SECURITIES (cost $302,621,247)								311,737,899

MUNICIPAL BONDS — 0.5%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,325		1,815,064
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		1,030		1,333,304
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,000		1,203,050
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,070		1,567,732
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,130		1,416,376
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		455		529,725
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		300		345,894
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		445		577,045
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		550		652,460
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		680		923,379
State of California, GO, BABs	A1		7.300%	10/01/39		1,270		1,759,877
State of California, GO, BABs	A1		7.500%	04/01/34		475		658,872
State of California, GO, BABs	A1		7.550%	04/01/39		245		351,570
State of California, GO, BABs	A1		7.625%	03/01/40		215		308,759
State of Illinois, GO	A2		4.421%	01/01/15		740		784,541

SEE NOTES TO FINANCIAL STATEMENTS.

A81


MUNICIPAL BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26	$	335	$	405,541

TOTAL MUNICIPAL BONDS (cost $11,453,692)								14,633,189

NON-CORPORATE FOREIGN AGENCIES — 0.6%
Commonwealth Bank of Australia (Australia), Gov’t. Gtd. Notes, 144A(a)	Aaa		2.700%	11/25/14		7,435		7,745,337
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		4.000%	01/29/21		515		553,735
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		5.125%	06/29/20		400		459,639
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		1,000		1,070,368
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes	Aaa		2.375%	08/25/21		880		916,784
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		437,500
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		1,500		1,688,730
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		5.500%	01/21/21		2,730		3,190,005
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,190		2,425,425

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $17,588,116)								18,487,523

NON-CORPORATE SOVEREIGNS — 0.2%
Italy Government International Bond (Italy)(a)	NR		3.125%	01/26/15		300		304,674
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a)	Baa1		4.750%	03/08/44		1,006		1,136,780
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23		2,065		2,059,838
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		315		376,425
Russian Foreign Bond-Eurobond, Unsec’d. Notes (Russia), 144A	Baa1		3.250%	04/04/17		2,400		2,550,000
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, Ser. E, MTN	Baa3		3.625%	06/17/13		1,300		1,299,961

TOTAL NON-CORPORATE SOVEREIGNS (cost $7,371,915)								7,727,678

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.1%
Federal Home Loan Banks			5.500%	07/15/36		1,080		1,486,002
Federal Home Loan Mortgage Corp.			0.750%	01/12/18		685		680,361
Resolution Funding Corp. Interest Strip, Bonds(k)			1.170%	04/15/18		2,615		2,460,644

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $4,038,876)								4,627,007

U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.1%
U.S. Treasury Bonds			2.750%	08/15/42		2,100		2,027,812
U.S. Treasury Bonds(a)			2.750%	11/15/42		7,270		7,004,194
U.S. Treasury Inflation Indexed Bonds			1.375%	01/15/20		5,948		7,050,217
U.S. Treasury Notes			0.375%	06/15/15		840		841,312
U.S. Treasury Notes			0.625%	11/30/17		1,395		1,390,314
U.S. Treasury Notes			0.750%	12/31/17		30,920		30,970,740
U.S. Treasury Notes(a)			1.625%	11/15/22		2,420		2,393,530
U.S. Treasury Notes			2.125%	12/31/15		12,800		13,469,005
U.S. Treasury Notes			2.500%	06/30/17		1,020		1,105,026
U.S. Treasury Notes			3.000%	09/30/16		6,525		7,131,114
U.S. Treasury Notes			3.125%	04/30/17		7,045		7,806,741
U.S. Treasury Notes			3.500%	02/15/18		24,845		28,290,306

SEE NOTES TO FINANCIAL STATEMENTS.

A82


U.S. GOVERNMENT TREASURY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
U.S. Treasury Notes		4.250%	11/15/17	$		7,015	$	8,214,130
U.S. Treasury Notes		4.500%	11/15/15			24,895		27,835,722
U.S. Treasury Strips Coupon(j)		2.140%	05/15/24			24,985		19,612,101
U.S. Treasury Strips Coupon(a)(j)		2.180%	08/15/24			6,520		5,065,629
U.S. Treasury Strips Coupon(j)		2.260%	02/15/25			4,750		3,613,800
U.S. Treasury Strips Coupon(j)		2.610%	05/15/25			5,000		3,765,070
U.S. Treasury Strips Coupon(j)		3.020%	05/15/27			2,280		1,582,502
U.S. Treasury Strips Coupon(j)		3.070%	08/15/27			7,455		5,120,124
U.S. Treasury Strips Coupon(j)		3.120%	11/15/27			8,600		5,846,762
U.S. Treasury Strips Coupon(j)		3.350%	05/15/29			6,050		3,886,121
U.S. Treasury Strips Coupon(a)(j)		3.910%	08/15/33			10,730		5,899,225
U.S. Treasury Strips Principal(k)		0.300%	11/15/15			790		783,159

TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $191,454,563)								200,704,656

TOTAL LONG-TERM INVESTMENTS (cost $2,731,248,193)								3,199,427,079


				Shares
SHORT-TERM INVESTMENTS — 9.5%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $146,071,519) (Note 4)(l)						14,805,912		136,658,571
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $175,103,067; includes of $107,476,994 of cash collateral received for securities on loan) (Note 4)(l)(m)						175,103,067		175,103,067

TOTAL SHORT-TERM INVESTMENTS (cost $321,174,586)								311,761,638

TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 107.5% (cost $3,052,422,779)								3,511,188,717


				Principal Amount (000)#
SECURITY SOLD SHORT — (0.2)%
MORTGAGE-BACKED SECURITY
Federal National Mortgage Association (proceeds received $5,930,547)		4.500%	TBA 30 YR		$	5,500		(5,941,074	)

TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.3% (cost $3,046,492,232)								3,505,247,643
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (7.3)%								(239,481,663	)

NET ASSETS — 100.0%							$	3,265,765,980

The following abbreviations are used in the 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
ADR		American Depositary Receipt
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
REIT		Real Estate Investment Trust
TBA		To Be Announced

SEE NOTES TO FINANCIAL STATEMENTS.

A83

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

§	The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings.

†	The ratings reflected are as of December 31, 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 $105,330,771; cash collateral of $107,476,994 (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 December 31, 2012.

(c)	Standard & Poor’s Rating.

(d)	Represents step coupon bond. Rate shown reflects the rate in effect at December 31, 2012.

(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. Such securities may be post maturity.

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

(h)	Indicates a restricted security; the aggregate original cost of such securities is $7,800,263. The aggregate value of $8,566,064 is approximately 0.3% of net assets.

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

(j)	Rate shown reflects the effective yield at December 31, 2012.

(k)	Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2012.

(l)	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 Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund.

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

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

Open futures contracts outstanding at December 31, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
314	2 Year U.S. Treasury Notes		Mar. 2013	$	69,215,901	$	69,227,187	$	11,286
237	5 Year U.S. Treasury Notes		Mar. 2013		29,405,582		29,486,133		80,551
317	10 Year U.S. Treasury Notes		Mar. 2013		42,173,686		42,091,656		(82,030	)
35	U.S. Ultra Bond		Mar. 2013		5,721,574		5,690,781		(30,793	)

									(20,986	)

Short Position:
125	U.S. Long Bond		Mar. 2013		18,741,065		18,437,500		303,565

								$	282,579

Interest rate swap agreements outstanding at December 31, 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)	$	375,126		$	—	$	375,126		Credit Suisse International
	7,405		08/31/16		0.975%	3 month LIBOR(2)		(128,738	)		—		(128,738	)	JPMorgan Chase Bank
	7,405		08/31/16		0.978%	3 month LIBOR(2)		(129,768	)		—		(129,768	)	JPMorgan Chase Bank
	2,195		09/14/16		1.206%	3 month LIBOR(2)		(57,507	)		—		(57,507	)	Deutsche Bank AG
	36,200		11/30/16		0.945%	3 month LIBOR(2)		(472,046	)		—		(472,046	)	Citibank, NA
	22,530		11/30/16		0.913%	3 month LIBOR(2)		(264,789	)		—		(264,789	)	JPMorgan Chase Bank
	13,615		02/28/17		0.680%	3 month LIBOR(1)		6,660			—		6,660		Citibank, NA
	2,350		01/13/22		1.660%	3 month LIBOR(2)		(12,195	)		—		(12,195	)	Citibank, NA
	2,350		01/13/22		1.675%	3 month LIBOR(1)		11,186			—		11,186		Citibank, NA
	8,775		08/15/28		2.370%	3 month LIBOR(2)		17,450			—		17,450		Citibank, NA

							$	(654,621	)	$	—	$	(654,621	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A84

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

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

Credit default swap agreements outstanding at December 31, 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	$	1,941		$	—	$	1,941		JPMorgan Chase Bank
Newell Rubbermaid, Inc.		06/20/18		1.000%		1,700		(10,016	)		—		(10,016	)	Morgan Stanley Capital Services, Inc.
Simon Property Group L.P.		06/20/18		0.970%		2,800		792			—		792		Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		06/20/18		1.150%		2,200		2,896			—		2,896		Deutsche Bank AG

							$	(4,387	)	$	—	$	(4,387	)

(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.

The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	2,041,997,507	$	49,607,152		$	—
Exchange Traded Fund		1,738,692		—			—
Preferred Stocks		613,800		483,124			—
Rights		1,409		—			—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—		60,736,417			—
Residential Mortgage-Backed Securities		—		7,684,291			—
Bank Loans		—		12,321,400			—
Collateralized Mortgage Obligations		—		6,459,551			—
Commercial Mortgage-Backed Securities		—		140,043,383			—
Corporate Bonds		—		314,622,754			5,199,647
Mortgage-Backed Securities		—		311,737,899			—
Municipal Bonds		—		14,633,189			—
Non-Corporate Foreign Agencies		—		18,487,523			—
Non-Corporate Sovereigns		—		7,727,678			—
U.S. Government Agency Obligations		—		4,627,007			—
U.S. Government Treasury Obligations		—		200,704,656			—
Affiliated Mutual Funds		311,761,638		—			—
Mortgage-Backed Security Sold Short		—		(5,941,074	)
Other Financial Instruments*
Futures Contracts		282,579		—			—
Interest Rate Swap Agreements		—		(654,621	)		—
Credit Default Swap Agreements		—		(4,387	)		—

Total	$	2,356,395,625	$	1,143,275,942		$	5,199,647

*	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.

A85

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:


Mortgage-Backed Securities	9.6	%
Affiliated Mutual Funds (including 3.3% of collateral received for securities on loan)	9.5
Oil, Gas & Consumable Fuels	6.3
U.S. Government Treasury Obligations	6.1
Commercial Mortgage-Backed Securities	4.3
Computers & Peripherals	3.4
Insurance	2.9
Pharmaceuticals	2.8
Diversified Financial Services	2.7
Software	2.7
Banking	2.6
Commercial Banks	2.4
Healthcare Equipment & Supplies	2.2
Food & Staples Retailing	1.9
IT Services	1.9
Non-Residential Mortgage-Backed Securities	1.9
Media	1.8
Specialty Retail	1.8
Communications Equipment	1.7
Diversified Telecommunication Services	1.7
Biotechnology	1.5
Food Products	1.4
Household Products	1.4
Real Estate Investment Trusts	1.4
Chemicals	1.3
Aerospace & Defense	1.2
Capital Markets	1.2
Industrial Conglomerates	1.2
Beverages	1.1
Electric Utilities	1.1
Healthcare Providers & Services	1.1
Semiconductors & Semiconductor Equipment	1.1
Metals & Mining	1.0
Road & Rail	1.0
Internet Software & Services	0.9
Textiles, Apparel & Luxury Goods	0.9
Tobacco	0.9
Hotels, Restaurants & Leisure	0.8
Machinery	0.8
Multiline Retail	0.8
Energy Equipment & Services	0.7
Consumer Finance	0.6
Electrical Equipment	0.6
Life Sciences Tools & Services	0.6
Multi-Utilities	0.6
Non-Corporate Foreign Agencies	0.6
Air Freight & Logistics	0.5
Electric	0.5


Foods	0.5	%
Healthcare & Pharmaceutical	0.5
Household Durables	0.5
Municipal Bonds	0.5
Telecommunications	0.5
Automobiles	0.4
Capital Goods	0.4
Energy – Other	0.4
Media & Entertainment	0.4
Non-Captive Finance	0.4
Technology	0.4
Airlines	0.3
Auto Components	0.3
Healthcare Insurance	0.3
Independent Power Producers & Energy Traders	0.3
Retailers	0.3
Cable	0.2
Collateralized Mortgage Obligations	0.2
Commercial Services & Supplies	0.2
Electronic Equipment, Instruments & Components	0.2
Internet & Catalog Retail	0.2
Leisure Equipment & Products	0.2
Lodging	0.2
Metals	0.2
Non-Corporate Sovereigns	0.2
Pipelines & Other	0.2
Professional Services	0.2
Real Estate Management & Development	0.2
Residential Mortgage-Backed Securities	0.2
Water Utilities	0.2
Automotive	0.1
Building Products	0.1
Construction & Engineering	0.1
Construction Materials	0.1
Consumer	0.1
Containers & Packaging	0.1
Diversified Consumer Services	0.1
Energy – Integrated	0.1
Exchange Traded Fund	0.1
Paper	0.1
Railroads	0.1
Trading Companies & Distributors	0.1
U.S. Government Agency Obligations	0.1

	107.5
Mortgage-Backed Security Sold Short	(0.2	)
Liabilities in excess of other assets	(7.3	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A86

Fair values of derivative instruments as of December 31, 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	Unrealized appreciation on swap agreements	$	5,629		Unrealized depreciation on swap agreements	$	10,016
Equity contracts	Unaffiliated investments		1,409		—		—
Interest rate contracts	Unrealized appreciation on swap agreements		410,422		Unrealized depreciation on swap agreements		1,065,043
Interest rate contracts	Due from broker — variation margin		395,402	*	Due from broker — variation margin		112,823	*

Total		$	812,862			$	1,187,882

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 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	$	—	$	—	$	—		$	—		$	(432,184	)	$	(432,184	)
Equity contracts		25,669		—		—			1,369,712			—			1,395,381
Interest rate contracts		—		306,223		(289,749	)		(2,921,475	)		310,524			(2,594,477	)

Total	$	25,669	$	306,223	$	(289,749	)	$	(1,551,763	)	$	(121,660	)	$	(1,631,280	)


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Futures			Swaps			Total
Credit contracts	$	—	$	—		$	(20,576	)	$	(20,576	)
Equity contracts		1,409		(314,811	)		—			(313,402	)
Interest rate contracts		—		598,544			(1,267,769	)		(669,225	)

Total	$	1,409	$	283,733		$	(1,288,345	)	$	(1,003,203	)

For the year ended December 31, 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)
$142,355,472		$24,610,341


Interest Rate Swaps (Notional Amount in USD (000))		Credit Default Swaps as Buyer (Notional Amount in USD (000))
$119,364		$13,246

SEE NOTES TO FINANCIAL STATEMENTS.

A87


		*FLEXIBLE MANAGED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012


ASSETS
Investments, at value including securities on loan of $105,330,771:
Unaffiliated investments (cost $2,731,248,193)	$	3,199,427,079
Affiliated investments (cost $321,174,586)		311,761,638
Cash		40,080
Foreign currency, at value (cost $287,045)		287,172
Receivable for investments sold		53,749,151
Dividends and interest receivable		9,244,116
Unrealized appreciation on swap agreements		416,051
Receivable for Series shares sold		263,844
Foreign tax reclaim receivable		52,925
Due from broker—variation margin		30,318
Prepaid expenses		21,979

Total Assets		3,575,294,353

LIABILITIES
Payable for investments purchased		192,839,964
Collateral for securities on loan		107,476,994
Securities sold short, at value (proceeds received $5,930,547)		5,941,074
Management fee payable		1,657,560
Unrealized depreciation on swap agreements		1,075,059
Accrued expenses and other liabilities		272,618
Payable for Series shares repurchased		264,178
Affiliated transfer agent fee payable		926

Total Liabilities		309,528,373

NET ASSETS	$	3,265,765,980

Net assets were comprised of:
Paid-in capital	$	2,816,821,146
Retained earnings		448,944,834

Net assets, December 31, 2012	$	3,265,765,980

Net asset value and redemption price per share, $3,265,765,980 / 183,816,553 outstanding shares of beneficial interest	$	17.77

STATEMENT OF OPERATIONS

Year Ended December 31, 2012


INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $82,615)	$	48,233,411
Interest income (net of foreign withholding taxes of $14,291)		35,602,417
Affiliated dividend income		2,135,332
Affiliated income from securities loaned, net		186,873

		86,158,033

EXPENSES
Management fee		19,321,933
Custodian’s fees and expenses		468,000
Shareholders’ reports		275,000
Trustees’ fees		42,000
Audit fee		37,000
Insurance expenses		32,000
Legal fees and expenses		16,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		50,386

Total expenses		20,258,319

NET INVESTMENT INCOME		65,899,714

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		142,773,697
Futures transactions		(1,551,763	)
Swap agreement transactions		(121,660	)
Foreign currency transactions		(14,955	)
Options written transactions		(289,749	)

		140,795,570

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $5,446,362)		193,665,988
Futures		283,733
Swap agreements		(1,288,345	)
Foreign currencies		2,535

		192,663,911

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		333,459,481

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	399,359,195

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	65,899,714		$	61,901,155
Net realized gain on investment and foreign currency transactions		140,795,570			202,862,198
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		192,663,911			(135,181,474	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		399,359,195			129,581,879

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

SERIES SHARE TRANSACTIONS:
Series shares sold [819,611 and 664,274 shares, respectively]		14,077,527			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 [10,708,816 and 11,331,831 shares, respectively]		(184,472,132	)		(180,636,555	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(108,493,607	)		(109,865,231	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		228,964,590			(40,541,048	)
NET ASSETS:
Beginning of year		3,036,801,390			3,077,342,438

End of year	$	3,265,765,980		$	3,036,801,390

SEE NOTES TO FINANCIAL STATEMENTS.

A88


LONG-TERM INVESTMENTS — 96.3%
COMMON STOCKS — 96.0%	Shares		Value (Note 2)
Argentina — 0.3%
MercadoLibre, Inc.(a)		20,077	$	1,577,450

Australia — 1.7%
Arrium Ltd.		447,200		435,856
Ausdrill Ltd.		123,200		367,878
Bendigo and Adelaide Bank Ltd.		103,400		921,106
Caltex Australia Ltd.		34,900		703,924
Challenger Ltd.		156,300		582,393
Downer EDI Ltd.*		214,250		918,475
Lend Lease Group		114,600		1,119,163
Metcash Ltd.		206,000		714,150
National Australia Bank Ltd.		56,700		1,491,391
Pacific Brands Ltd.		460,600		299,518
Qantas Airways Ltd.*		419,500		656,904
Rio Tinto Ltd.		14,800		1,040,578
Westpac Banking Corp.		50,100		1,372,735

				10,624,071

Austria — 0.3%
OMV AG		32,300		1,170,429
Voestalpine AG		14,500		532,781

				1,703,210

Belgium — 0.1%
AGFA-Gevaert NV*		86,100		151,152
Delhaize Group SA		18,200		733,079

				884,231

Brazil — 0.2%
BR Malls Participacoes SA		109,200		1,441,067

Canada — 1.8%
Brookfield Asset Management, Inc. (Class A Stock)		80,976		2,967,770
Canadian Pacific Railway Ltd.		23,150		2,352,503
Lululemon Athletica, Inc.*(a)		35,970		2,741,993
Toronto-Dominion Bank (The)		37,121		3,125,449

				11,187,715

China — 0.8%
Baidu, Inc., ADR*(a)		20,064		2,012,219
China Mobile, Ltd.		225,000		2,647,733

				4,659,952

Denmark — 1.0%
Coloplast A/S (Class B Stock)		39,408		1,932,575
H Lundbeck A/S		28,700		420,931
Novo Nordisk A/S (Class B Stock)		21,127		3,440,250

				5,793,756

Finland — 0.2%
Tieto OYJ		56,200		1,110,413

France — 5.0%
Arkema SA		31,221		3,278,180
AXA SA		56,700		1,018,098
BNP Paribas SA		94,633		5,387,490
Bouygues SA		21,900		651,685
Cie Generale des Etablissements Michelin		12,000		1,149,834
Credit Agricole SA*		62,500		509,007
Dassault Systemes SA		23,125		2,585,558


COMMON STOCKS (continued)	Shares		Value (Note 2)
France (continued)
Renault SA		12,300	$	667,992
Sanofi		65,088		6,172,321
SCOR SE		22,000		594,631
Societe Generale*		10,800		410,645
Technip SA		22,972		2,656,404
Thales SA		20,600		717,762
Total SA		38,500		2,003,278
Valeo SA		13,300		668,063
Vivendi SA		81,530		1,843,888

				30,314,836

Germany — 4.3%
Allianz SE		9,500		1,324,278
Aurubis AG		6,200		443,541
BASF SE		12,600		1,191,461
Bayer AG		12,700		1,211,102
Bayerische Motoren Werke AG		34,778		3,384,300
Brenntag AG		11,910		1,569,096
Daimler AG		23,600		1,299,318
Deutsche Bank AG		20,300		893,099
Deutsche Post AG		43,100		949,305
E.ON AG		26,300		493,286
Freenet AG		37,500		695,009
Fresenius Se & Co. KGaA		25,766		2,964,868
Hannover Rueckversicherung AG		8,600		673,588
Lanxess AG		8,100		714,257
Merck KGaA		2,800		369,027
Metro AG		21,300		591,745
Muenchener Rueckversicherungs AG		6,300		1,137,331
Rheinmetall AG		13,300		646,113
RWE AG		18,800		779,781
SAP AG		37,533		3,018,145
Volkswagen AG		9,000		1,952,446

				26,301,096

Hong Kong — 1.5%
AIA Group Ltd.		967,200		3,836,239
Cheung Kong Holdings Ltd.		46,000		715,733
First Pacific Co. Ltd.		858,000		947,502
Hutchison Port Holdings Trust (Class U Stock)		2,393,000		1,890,470
Kingboard Chemical Holdings Ltd.		180,000		649,997
Singamas Container Holdings Ltd.		2,676,000		654,556
Yue Yuen Industrial Holdings Ltd.		154,000		520,859

				9,215,356

Indonesia — 0.3%
PT Bank Rakyat Indonesia (Persero Tbk)		2,410,000		1,747,862

Ireland — 0.4%
Accenture PLC (Class A Stock)		15,646		1,040,459
Allied Irish Banks PLC*		42,100		2,779
Irish Life & Permanent Group Holdings PLC*		51,300		1,463
XL Group PLC		63,000		1,578,780

				2,623,481

Israel — 0.6%
Bank Hapoalim BM*		176,900		758,979
Check Point Software Technologies Ltd.*(a)		41,775		1,990,161

SEE NOTES TO FINANCIAL STATEMENTS.

A89


COMMON STOCKS (continued)	Shares		Value (Note 2)
Israel (continued)
Elbit Systems Ltd.		11,400	$	457,434
Teva Pharmaceutical Industries Ltd.		12,500		464,494

				3,671,068

Italy — 0.7%
Banco Popolare SC*		38,200		63,610
Enel SpA		323,000		1,343,520
ENI SpA		70,800		1,734,434
Finmeccanica SpA*		43,100		249,430
Parmalat SpA		223,200		519,321
Telecom Italia SpA		626,400		568,189

				4,478,504

Japan — 6.7%
Alpine Electronics, Inc.		22,700		209,870
Aoyama Trading Co. Ltd.		39,100		749,413
Aozora Bank Ltd.		278,000		854,772
Daito Trust Construction Co. Ltd.		11,300		1,067,964
FANUC Corp.		16,200		3,014,004
Fuji Heavy Industries Ltd.		117,000		1,475,408
Fukuoka Financial Group, Inc.		129,000		516,616
Hitachi Capital Corp.		36,800		759,066
ITOCHU Corp.		87,400		923,739
JX Holdings, Inc.		101,400		572,481
KDDI Corp.		26,000		1,838,130
Keihin Corp.		24,500		351,408
K’s Holdings Corp.		19,700		501,477
Kurabo Industries Ltd.		173,100		295,594
Kyowa Exeo Corp.		81,900		823,753
Makita Corp.		48,300		2,243,746
Marubeni Corp.		176,000		1,262,843
Mitsubishi Corp.		34,500		664,227
Mitsubishi UFJ Financial Group, Inc.		140,200		758,638
Mitsui & Co. Ltd.		56,300		843,873
Mizuho Financial Group, Inc.		703,200		1,289,307
Nichii Gakkan Co.		40,300		320,126
Nichirei Corp.		118,000		616,417
Nippon Electric Glass Co. Ltd.		54,000		307,476
Nippon Shokubai Co. Ltd.		68,000		696,532
Nippon Telegraph & Telephone Corp.		37,000		1,557,810
NTT DoCoMo, Inc.		900		1,297,368
ORIX Corp.		34,140		3,856,404
Otsuka Holdings Co. Ltd.		32,500		915,567
Sankyu, Inc.		210,000		795,198
Seino Holdings Corp.		65,000		412,368
Shimachu Co. Ltd.		30,700		644,976
Sumitomo Corp.		88,900		1,140,570
Sumitomo Mitsui Financial Group, Inc.		125,000		4,542,727
Sumitomo Mitsui Trust Holdings, Inc.		64,070		225,738
Toagosei Co. Ltd.		147,000		577,018
Toyo Suisan Kaisha Ltd.		17,000		452,944
Toyota Tsusho Corp.		34,300		846,619
Yokohama Rubber Co. Ltd. (The)		100,000		724,897

				40,947,084

Liechtenstein
Verwaltungs-und Privat-Bank AG		2,100		149,237


COMMON STOCKS (continued)	Shares		Value (Note 2)
Mexico — 0.4%
Fomento Economico Mexicano SAB de CV, ADR*		21,316	$	2,146,521

Netherlands — 1.5%
Aegon NV		104,300		673,763
ASM Pacific Technology Ltd.		177,200		2,175,497
ING Groep NV CVA*		83,900		796,885
Koninklijke Ahold NV		99,700		1,336,885
Koninklijke DSM NV		17,700		1,078,745
Koninklijke KPN NV		82,600		408,486
Unilever NV CVA		64,874		2,482,327

				8,952,588

New Zealand — 0.1%
Air New Zealand Ltd.		737,900		793,351

Norway — 0.8%
DnB ASA		54,100		691,488
Statoil ASA		140,491		3,541,023
Yara International ASA		14,000		698,021

				4,930,532

Peru — 0.4%
Credicorp Ltd.		18,264		2,676,772

Singapore — 0.2%
Golden Agri-Resources Ltd.		1,765,200		949,944

South Africa — 0.9%
Aspen Pharmacare Holdings Ltd.		59,439		1,190,044
Discovery Holdings Ltd.		280,129		2,066,226
FirstRand Ltd.		589,276		2,168,393

				5,424,663

South Korea — 0.6%
Samsung Electronics Co. Ltd.		2,451		3,521,596

Spain — 1.1%
Banco Bilbao Vizcaya Argentaria SA		60,800		564,886
Banco Espanol de Credito SA		79,800		378,195
Banco Santander SA		126,300		1,026,447
Inditex SA		24,333		3,418,959
Repsol YPF SA		57,200		1,167,615
Telefonica SA		25,100		339,832

				6,895,934

Sweden — 1.0%
Atlas Copco AB (Class A Stock)		110,621		3,067,552
Boliden AB		64,800		1,231,265
NCC AB (Class B Stock)		15,700		330,091
Swedbank AB (Class A Stock)		50,400		990,127
Trelleborg AB (Class B Stock)		54,200		677,843

				6,296,878

Switzerland — 3.5%
Baloise Holding AG		11,400		984,650
Credit Suisse Group AG*		26,000		634,566
Geberit AG		9,183		2,035,644
Georg Fischer AG*		2,000		808,214
Glencore International PLC(a)		488,834		2,823,925
Lindt & Spruengli AG		27		1,021,942
Novartis AG		21,400		1,351,908
OC Oerlikon Corp. AG*		63,800		726,577

SEE NOTES TO FINANCIAL STATEMENTS.

A90


COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland (continued)
Partners Group Holding AG		10,085	$	2,331,446
Roche Holding AG		6,100		1,233,305
Swiss Life Holding AG*		6,100		814,205
Swiss Re AG*		19,300		1,399,227
Syngenta AG		8,780		3,547,000
UBS AG*		15,600		244,123
Zurich Financial Services AG*		5,800		1,554,157

				21,510,889

United Kingdom — 11.3%
Alent PLC*		81,100		406,824
ARM Holdings PLC		219,992		2,778,236
AstraZeneca PLC		55,900		2,649,099
Aviva PLC		144,400		893,544
Babcock International Group PLC		113,011		1,783,890
BAE Systems PLC		256,400		1,425,127
Barclays PLC		287,100		1,247,163
Beazley PLC		175,100		509,710
Berendsen PLC		24,300		235,464
Berkeley Group Holdings PLC		67,066		1,929,367
Bodycote PLC		93,600		699,904
BP PLC		339,100		2,357,744
BT Group PLC		478,600		1,825,965
Cable & Wireless Communications PLC		917,400		530,031
Compass Group PLC		239,814		2,846,788
Darty PLC		365,500		343,334
Debenhams PLC		301,400		562,713
Diageo PLC		87,510		2,548,883
Experian PLC		109,293		1,761,476
GlaxoSmithKline PLC		23,400		509,474
Home Retail Group PLC		107,200		223,683
HSBC Holdings PLC		305,200		3,234,903
InterContinental Hotels Group PLC		85,307		2,392,051
Intermediate Capital Group PLC		142,000		741,390
Intertek Group PLC		42,830		2,175,633
J Sainsbury PLC		259,000		1,465,337
John Wood Group PLC		132,086		1,579,034
Johnson Matthey PLC		59,747		2,347,060
Legal & General Group PLC		483,800		1,160,094
Marks & Spencer Group PLC		140,600		883,201
Marston’s PLC		339,130		679,558
Mondi PLC		105,500		1,164,508
Old Mutual PLC		314,825		924,656
Premier Foods PLC*		152,560		281,882
Rolls-Royce Holdings PLC*		145,794		2,091,190
Royal Bank of Scotland Group PLC*		26,352		140,850
Royal Dutch Shell PLC (Class B Stock)		200,992		7,170,691
Royal Dutch Shell PLC, ADR		29,250		2,016,787
RSA Insurance Group PLC		300,200		619,967
TESCO PLC		302,900		1,668,556
Thomas Cook Group PLC*		164,000		130,099
Vesuvius PLC		81,100		455,833
Vodafone Group PLC		547,900		1,379,216
Weir Group PLC (The)		66,345		2,051,604
WM Morrison Supermarkets PLC		320,700		1,376,983
Wolseley PLC		59,615		2,850,727

				69,050,229


COMMON STOCKS (continued)	Shares		Value (Note 2)
United States — 48.3%
3M Co.		31,800	$	2,952,630
AES Corp.		131,900		1,411,330
Allstate Corp. (The)		51,150		2,054,695
Amazon.com, Inc.*		3,314		832,278
American Express Co.		34,200		1,965,816
American International Group, Inc.*		25,486		899,656
American Tower Corp.		42,106		3,253,531
Ameriprise Financial, Inc.		17,950		1,124,209
Amgen, Inc.		21,300		1,838,616
Apache Corp.		11,050		867,425
Apple, Inc.		8,794		4,687,466
AT&T, Inc.		114,300		3,853,053
AutoZone, Inc.*		8,472		3,002,731
Avon Products, Inc.		61,100		877,396
Baker Hughes, Inc.		34,600		1,413,064
Bank of America Corp.		287,500		3,335,000
Biogen Idec, Inc.*		34,316		5,033,128
Boeing Co. (The)		15,400		1,160,544
Bristol-Myers Squibb Co.		71,554		2,331,945
Cablevision Systems Corp. (Class A Stock)(a)		48,600		726,084
CBS Corp. (Class B Stock)		123,844		4,712,264
Celanese Corp., Ser. A		33,850		1,507,341
Charles Schwab Corp. (The)(a)		84,000		1,206,240
Chevron Corp.		43,050		4,655,427
Chipotle Mexican Grill, Inc.*		5,671		1,686,896
Cisco Systems, Inc.		110,400		2,169,360
Citigroup, Inc.		89,156		3,527,011
Comcast Corp. (Class A Stock)		86,996		3,251,910
CONSOL Energy, Inc.		37,200		1,194,120
Covidien PLC		36,850		2,127,719
Cummins, Inc.		19,146		2,074,469
Danaher Corp.		31,220		1,745,198
Dell, Inc.		167,200		1,693,736
Dick’s Sporting Goods, Inc.		14,101		641,454
Dollar General Corp.*(a)		29,029		1,279,888
eBay, Inc.*		63,438		3,236,607
Emerson Electric Co.		20,000		1,059,200
Entergy Corp.		31,550		2,011,312
EQT Corp.		21,600		1,273,968
Equinix, Inc.*(a)		12,318		2,539,972
Estee Lauder Cos., Inc. (The) (Class A Stock)		20,238		1,211,447
Exelon Corp.		59,800		1,778,452
Express Scripts Holding Co.*		58,399		3,153,546
Exxon Mobil Corp.		50,300		4,353,465
Fifth Third Bancorp		91,700		1,392,923
Foot Locker, Inc.		1,512		48,565
General Electric Co.		160,700		3,373,093
General Motors Co.*(a)		92,300		2,661,009
Gilead Sciences, Inc.*		65,202		4,789,087
GNC Holdings, Inc. (Class A Stock)		33,756		1,123,400
Goldman Sachs Group, Inc. (The)		6,425		819,573
Google, Inc. (Class A Stock)*		2,347		1,664,891
Hess Corp.		28,500		1,509,360
Home Depot, Inc. (The)		41,910		2,592,133
Honeywell International, Inc.		25,600		1,624,832
Illinois Tool Works, Inc.		22,350		1,359,103

SEE NOTES TO FINANCIAL STATEMENTS.

A91


COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Ingersoll-Rand PLC		24,650	$	1,182,214
International Business Machines Corp.		5,850		1,120,567
International Paper Co.		67,300		2,681,232
Intuitive Surgical, Inc.*		4,942		2,423,409
Invesco Ltd.		52,100		1,359,289
Johnson & Johnson(a)		43,450		3,045,845
JPMorgan Chase & Co.		115,050		5,058,749
Kellogg Co.		26,550		1,482,817
Kinder Morgan, Inc.		47,988		1,695,416
Kohl’s Corp.		49,400		2,123,212
Liberty Global, Inc. (Class A Stock)*		33,104		2,085,221
Liberty Media Corp. — Liberty Starz, Ser. A (Class A Stock)*		4,500		522,045
Limited Brands, Inc.		34,312		1,614,723
LinkedIn Corp. (Class A Stock)*		7,245		831,871
Lockheed Martin Corp.		9,150		844,453
Lowe’s Cos., Inc.		166,811		5,925,127
LyondellBasell Industries NV (Class A Stock)		79,258		4,524,839
Madison Square Garden, Inc. (The) (Class A Stock)*		12,700		563,245
Marsh & McLennan Cos., Inc.		83,100		2,864,457
McDonald’s Corp.		18,788		1,657,289
Merck & Co., Inc.		92,400		3,782,856
MetLife, Inc.		33,100		1,090,314
Microsoft Corp.		128,700		3,440,151
Monsanto Co.		46,115		4,364,785
Morgan Stanley		145,900		2,789,608
Murphy Oil Corp.		18,800		1,119,540
National Oilwell Varco, Inc.		49,748		3,400,276
Newfield Exploration Co.*		41,600		1,114,048
NIKE, Inc. (Class B Stock)		59,690		3,080,004
NRG Energy, Inc.		100,900		2,319,691
Nucor Corp.		18,200		785,876
Pentair Ltd.*		54,630		2,685,064
PepsiCo, Inc.		28,350		1,939,991
Perrigo Co.		7,907		822,565
Pfizer, Inc.		184,800		4,634,784
PNC Financial Services Group, Inc.		19,800		1,154,538
Precision Castparts Corp.		22,172		4,199,820
priceline.com, Inc.*		5,022		3,119,666
Procter & Gamble Co. (The)		42,600		2,892,114
QUALCOMM, Inc.		81,230		5,037,885
Raytheon Co.		26,500		1,525,340
Schlumberger Ltd.		73,156		5,068,979
SLM Corp.		70,300		1,204,239
Southwest Airlines Co.		266,100		2,724,864
Spectra Energy Corp.		72,000		1,971,360
St Joe Co. (The)*(a)		46,400		1,070,912
Starbucks Corp.		44,871		2,405,983
Starwood Hotels & Resorts Worldwide, Inc.		84,269		4,833,670
TE Connectivity Ltd.		30,800		1,143,296
Texas Instruments, Inc.		30,700		949,858
Thermo Fisher Scientific, Inc.		30,750		1,961,235
Time Warner, Inc.		58,250		2,786,098
Time Warner Cable, Inc.		35,000		3,401,650
TJX Cos., Inc.		97,411		4,135,097
U.S. Bancorp		118,659		3,789,968


COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Union Pacific Corp.		41,894	$	5,266,913
United Rentals, Inc.*(a)		8,860		403,307
United Technologies Corp.		32,350		2,653,024
Visa, Inc. (Class A Stock)		33,301		5,047,766
VMware, Inc. (Class A Stock)*		25,806		2,429,377
Vulcan Materials Co.		27,100		1,410,555
W.W. Grainger, Inc.		17,430		3,527,309
Wal-Mart Stores, Inc.		15,950		1,088,269
Wells Fargo & Co.		227,647		7,780,974
Western Union Co. (The)		76,300		1,038,443
Weyerhaeuser Co.		76,800		2,136,576
Wynn Resorts Ltd.		32,646		3,672,349
Yum! Brands, Inc.		21,711		1,441,610

				294,918,185

TOTAL COMMON STOCKS (cost $511,859,493)				586,498,471

PREFERRED STOCK — 0.3%
United States — 0.3%
Wells Fargo & Co. (cost $1,510,954)		63,000		1,849,050

RIGHTS
Spain
Repsol SA* (cost $0)		57,200		34,882

TOTAL LONG-TERM INVESTMENTS (cost $513,370,447)				588,382,403

SHORT-TERM INVESTMENT — 7.0%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund, (cost $42,665,186; includes $18,114,025 of cash collateral received for securities on loan) (Note 4) (b)(c)		42,665,186		42,665,186

TOTAL INVESTMENTS — 103.3% (cost $556,035,633)				631,047,589
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.3)%				(19,857,804	)

NET ASSETS — 100.0%			$	611,189,785

The following abbreviations are used in portfolio descriptions:


ADR		American Depository Receipt
CVA		Certificate Van Aandelen (Bearer)

*	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 $17,903,679; cash collateral of $18,114,025 (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 December 31, 2012. Collateral was subsequently received on the following business day and the portfolio remained in compliance.

SEE NOTES TO FINANCIAL STATEMENTS.

A92

(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.

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 December 31, 2012 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Argentina	$	1,577,450	$	—	$	—
Australia		—		10,624,071		—
Austria		—		1,703,210		—
Belgium		151,152		733,079		—
Brazil		1,441,067		—		—
Canada		11,187,715		—		—
China		2,012,219		2,647,733		—
Denmark		420,931		5,372,825		—
Finland		—		1,110,413		—
France		—		30,314,836		—
Germany		—		26,301,096		—
Hong Kong		1,890,470		7,324,886		—
Indonesia		—		1,747,862		—
Ireland		2,623,481		—		—
Israel		1,990,161		1,680,907		—
Italy		—		4,478,504		—
Japan		—		40,947,084		—
Liechtenstein		149,237		—		—


	Level 1		Level 2		Level 3
Mexico	$	2,146,521	$	—	$	—
Netherlands		—		8,952,588		—
New Zealand		—		793,351		—
Norway		—		4,930,532		—
Peru		2,676,772		—		—
Singapore		—		949,944		—
South Africa		—		5,424,663		—
South Korea		—		3,521,596		—
Spain		—		6,895,934		—
Sweden		—		6,296,878		—
Switzerland		—		21,510,889		—
United Kingdom		3,114,908		65,935,321		—
United States		294,918,185		—		—
Preferred Stock		—		—		—
United States		1,849,050		—		—
Rights
Spain		34,882		—		—
Affiliated Money Market Mutual Fund		42,665,186		—		—

Total	$	370,849,387	$	260,198,202	$	—

Fair value of Level 2 investments at December 31, 2011 was $116,496. An amount of $35,318,999 was transferred from Level 1 into Level 2 at December 31, 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 December 31, 2012 was as follows:


Commercial Banks	8.3	%
Affiliated Money Market Mutual Fund (including 3.0% of collateral received for securities on loan)	7.0
Oil, Gas & Consumable Fuels	6.9
Pharmaceuticals	5.7
Insurance	4.7
Chemicals	4.1
Specialty Retail	4.0
Hotels, Restaurants & Leisure	3.6
Machinery	3.6
Diversified Financial Services	3.3
Media	3.0
Aerospace & Defense	2.8
Energy Equipment & Services	2.3
Trading Companies & Distributors	2.3
Software	2.2


Capital Markets	2.0	%
Automobiles	1.9
Biotechnology	1.9
Internet Software & Services	1.9
Diversified Telecommunication	1.8
Food & Staples Retailing	1.5
IT Services	1.5
Semiconductors & Semiconductor	1.5
Industrial Conglomerates	1.4
Real Estate Management & Development	1.4
Road & Rail	1.4
Food Products	1.3
Wireless Telecommunication Services	1.3
Communications Equipment	1.2
Metals & Mining	1.2
Beverages	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A93


Industry table (cont.)
Healthcare Equipment & Supplies	1.1	%
Healthcare Providers & Services	1.1
Textiles, Apparel & Luxury Goods	1.1
Computers & Peripherals	1.0
Real Estate Investment Trusts	0.9
Electric Utilities	0.8
Multiline Retail	0.8
Airlines	0.7
Internet & Catalog Retail	0.7
Consumer Finance	0.6
Independent Power Producers & Energy Traders	0.6
Paper & Forest Products	0.6
Professional Services	0.6
Auto Components	0.5
Commercial Services & Supplies	0.5


Household Products	0.5	%
Construction & Engineering	0.4
Household Durables	0.4
Building Products	0.3
Electronic Equipment & Instruments	0.3
Life Sciences Tools & Services	0.3
Personal Products	0.3
Transportation Infrastructure	0.3
Air Freight & Logistics	0.2
Construction Materials	0.2
Electrical Equipment	0.2
Multi-Utilities	0.2

	103.3
Liabilities in excess of other assets	(3.3	)

	100.0	%

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 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	$	(370,773	)	$	—	$	252,436	$	(118,337	)
Foreign exchange contracts		—			521,491		—		521,491

Total	$	(370,773	)	$	521,491	$	252,436	$	403,154


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Forward Currency Contracts
Foreign exchange contracts	$	33,436

For the year ended December 31, 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)
$2,139,442	$7,071,940	$277,730

SEE NOTES TO FINANCIAL STATEMENTS.

A94


		*GLOBAL PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012


ASSETS
Investments, at value including securities on loan of $17,903,679:
Unaffiliated investments (cost $513,370,447)	$	588,382,403
Affiliated investments (cost $42,665,186)		42,665,186
Foreign currency, at value (cost $2,250,794)		2,243,409
Receivable for investments sold		814,394
Foreign tax reclaim receivable		713,704
Dividends and interest receivable		464,710
Receivable for Series shares sold		4,332
Prepaid expenses		3,992

Total Assets		635,292,130

LIABILITIES
Collateral for securities on loan		18,114,025
Payable for investments purchased		5,283,447
Management fee payable		384,453
Accrued expenses and other liabilities		227,911
Payable for Series shares repurchased		91,583
Affiliated transfer agent fee payable		926

Total Liabilities		24,102,345

NET ASSETS	$	611,189,785

Net assets were comprised of:
Paid-in capital	$	617,193,503
Retained earnings		(6,003,718	)

Net assets, December 31, 2012	$	611,189,785

Net asset value and redemption price per share, $611,189,785 / 31,236,282 outstanding shares of beneficial interest	$	19 .57

STATEMENT OF OPERATIONS

Year Ended December 31, 2012


INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $57,645)	$	15,668,417
Affiliated income from securities loaned, net		116,684
Affiliated dividend income		37,542
Interest		24,939

		15,847,582

EXPENSES
Management fee		4,470,285
Custodian’s fees and expenses		258,000
Shareholders’ reports		148,000
Audit fee		25,000
Trustees’ fees		16,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Insurance expenses		6,000
Commitment fee on syndicated credit agreement		3,000
Miscellaneous		40,920

Total expenses		4,991,205

NET INVESTMENT INCOME		10,856,377

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		15,419,632
Futures transactions		252,436
Foreign currency transactions		345,856

		16,017,924

Net change in unrealized appreciation (depreciation) on:
Investments		68,499,603
Foreign currencies		108,142

		68,607,745

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		84,625,669

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	95,482,046

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net investment income	$	10,856,377		$	9,580,870
Net realized gain on investments and foreign currencies		16,017,924			26,174,487
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		68,607,745			(78,509,307	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		95,482,046			(42,753,950	)

DISTRIBUTIONS		(9,580,386	)		(9,684,066	)

SERIES SHARE TRANSACTIONS:
Series shares sold [392,325 and 843,518 shares, respectively]		7,205,788			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 [3,015,270 and 3,129,794 shares, respectively]		(55,676,472	)		(56,971,187	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(38,890,298	)		(31,902,345	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		47,011,362			(84,340,361	)
NET ASSETS:
Beginning of year		564,178,423			648,518,784

End of year	$	611,189,785		$	564,178,423

SEE NOTES TO FINANCIAL STATEMENTS.

A95


LONG-TERM INVESTMENTS — 96.4%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Asset-Backed Securities — 1.1%
Citibank Credit Card Issuance Trust, Ser. 2007-A8, Class A8		5.650%	09/20/19	$	1,500	$	1,816,848
Small Business Administration Participation Certificates, Ser. 1996-20J, Class 1		7.200%	10/01/16		675		718,459
Ser. 1997-20A, Class 1		7.150%	01/01/17		495		529,811
Ser. 1997-20G, Class 1		6.850%	07/01/17		268		287,845
Ser. 1998-20I, Class 1		6.000%	09/01/18		654		711,852

							4,064,815

Collateralized Mortgage Obligations — 1.1%
Federal Home Loan Mortgage Corp., Ser. 2002-2496, Class PM		5.500%	09/15/17		927		992,106
Ser. 2002-2501, Class MC		5.500%	09/15/17		310		329,685
Ser. 2002-2513, Class HC		5.000%	10/15/17		1,685		1,795,681
Federal National Mortgage Association, Ser. 2002-18, Class PC		5.500%	04/25/17		377		383,100
Ser. 2002-57, Class ND		5.500%	09/25/17		365		387,652
Merrill Lynch Mortgage Investors, Inc., Ser. 2003-E, Class A1(a)		0.830%	10/25/28		87		84,400
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)		2.775%	02/25/34		302		304,575

							4,277,199

Commercial Mortgage-Backed Securities — 17.2%
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a)		5.702%	12/10/49		2,000		2,356,322
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2007-CD4, Class A3		5.293%	12/11/49		1,800		1,869,770
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(a)		5.748%	06/10/46		2,000		2,271,400
Ser. 2012-CR5, Class A3		2.540%	12/10/45		1,000		999,362
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a)		5.800%	05/15/46		727		774,321
Federal National Mortgage Association, Ser. 2012-M13, Class A2		2.377%	05/25/22		1,850		1,882,591
FHLMC Multifamily Structured Pass-Through Certificates, Ser. 2009-K003, Class A5		5.085%	03/25/19		250		296,369
Ser. 2009-K004, Class A2		4.186%	08/25/19		3,725		4,297,346
Ser. 2010-K005, Class A2		4.317%	11/25/19		2,700		3,141,515
Ser. 2010-K007, Class A2		4.224%	03/25/20		3,600		4,181,584
Ser. 2011-K010, Class A2		4.333%	10/25/20		3,600		4,193,820
Ser. 2011-K011, Class A2		4.084%	11/25/20		3,600		4,143,049
Ser. 2011-K013, Class A2		3.974%	01/25/21		3,525		4,037,863
Ser. 2011-K016, Class A2(b)		2.968%	10/25/21		2,800		3,000,060
Ser. 2012-K020, Class X1, I/O(a)		1.479%	05/25/22		9,481		1,011,180
Ser. 2012-K021, Class A2		2.396%	06/25/22		3,600		3,658,953
Ser. 2012-K021, Class X1, I/O		1.516%	06/25/22		9,996		1,111,193
Ser. 2012-K022, Class A2		2.355%	07/25/22		3,550		3,587,151
Ser. 2012-K023, Class A2		2.307%	08/25/22		3,500		3,523,629
Ser. 2012-K501, Class X1A, I/O(a)		1.755%	08/25/16		4,259		199,408
Ser. 2012-K710, Class X1, I/O(a)		1.784%	05/25/19		8,487		809,416
Ser. 2012-K711, Class X1, I/O		1.712%	07/25/19		7,998		743,414
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2		5.381%	03/10/39		1,610		1,661,562
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2		5.778%	08/10/45		938		942,277
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A3(a)		5.812%	06/15/49		1,000		1,072,725
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-9, Class A2		5.590%	09/12/49		1,059		1,058,904
Morgan Stanley Capital I Trust, Ser. 2005-IQ10, Class A4B(a)		5.284%	09/15/42		800		884,193
NCUA Gtd. Notes, Ser. 2010-C1, Class A2		2.900%	10/29/20		2,600		2,771,512
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4		2.792%	12/10/45		1,300		1,314,605
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A5(a)		5.416%	01/15/45		1,500		1,696,382
Ser. 2006-C25, Class A5(a)		5.736%	05/15/43		2,000		2,303,990

							65,795,866

SEE NOTES TO FINANCIAL STATEMENTS.

A96


LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Corporate Bonds — 2.4%
Canada Government International Bond (Canada), Sr. Unsec’d. Notes		0.875%	02/14/17	$	1,025	$	1,033,302
DEPFA ACS Bank (Ireland), Covered Notes, 144A		5.125%	03/16/37		1,520		1,186,655
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes		2.375%	08/25/21		660		687,588
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%	10/23/22		3,075		3,030,191
Westpac Banking Corp. (Australia), Covered Notes, 144A(b)		1.250%	12/15/17		3,220		3,215,814

							9,153,550

Mortgage-Backed Securities — 39.5%
Federal Home Loan Mortgage Corp.(a)		2.354%	05/01/34		615		653,450
Federal Home Loan Mortgage Corp.(c)		3.000%	TBA 15 Year		1,500		1,575,000
Federal Home Loan Mortgage Corp.		4.000%	06/01/26-12/01/40		2,974		3,166,646
Federal Home Loan Mortgage Corp.		4.500%	09/01/39		6,349		6,813,422
Federal Home Loan Mortgage Corp.		5.000%	06/01/33-05/01/34		3,508		3,835,313
Federal Home Loan Mortgage Corp.		5.500%	05/01/37-05/01/38		3,024		3,267,642
Federal Home Loan Mortgage Corp.		6.000%	09/01/34-08/01/39		1,846		2,014,053
Federal Home Loan Mortgage Corp.		6.500%	05/01/13-09/01/32		164		185,700
Federal National Mortgage Association(a)		2.144%	07/01/33		1,892		2,008,592
Federal National Mortgage Association(a)		2.235%	06/01/34		523		554,009
Federal National Mortgage Association(a)		2.393%	08/01/33		1,211		1,288,468
Federal National Mortgage Association(c)		2.500%	TBA 15 Year		6,500		6,796,562
Federal National Mortgage Association(a)		2.526%	04/01/34		232		246,639
Federal National Mortgage Association(a)		2.676%	04/01/34		434		461,148
Federal National Mortgage Association(c)		3.000%	TBA 15 Year		4,500		4,749,610
Federal National Mortgage Association		3.500%	06/01/39		797		850,264
Federal National Mortgage Association(c)		3.500%	TBA 15 Year		1,000		1,060,781
Federal National Mortgage Association		3.500%	TBA 30 Year		7,500		7,981,933
Federal National Mortgage Association		3.500%	TBA 30 Year		27,000		28,785,586
Federal National Mortgage Association		4.500%	05/01/40		7,478		8,302,686
Federal National Mortgage Association(c)		4.500%	TBA 30 Year		2,000		2,160,391
Federal National Mortgage Association		5.000%	07/01/18-05/01/36		6,099		6,636,518
Federal National Mortgage Association		5.500%	01/01/17-11/01/35		12,915		14,402,087
Federal National Mortgage Association		6.000%	11/01/14-05/01/38		3,825		4,245,658
Federal National Mortgage Association		6.500%	01/01/15-10/01/37		2,515		2,836,891
Federal National Mortgage Association		7.000%	12/01/31-01/01/36		495		590,846
Federal National Mortgage Association		8.000%	03/01/22-02/01/26		20		20,450
Federal National Mortgage Association		9.000%	02/01/25-04/01/25		81		94,123
Government National Mortgage Association(c)		3.000%	TBA 30 Year		4,000		4,252,500
Government National Mortgage Association		3.500%	TBA 30 Year		500		542,383
Government National Mortgage Association		4.000%	06/15/40		908		1,002,689
Government National Mortgage Association(c)		4.000%	TBA 30 Year		5,000		5,444,532
Government National Mortgage Association(c)		4.000%	TBA 30 Year		4,000		4,386,875
Government National Mortgage Association		4.500%	02/20/41		2,572		2,837,492
Government National Mortgage Association(c)		4.500%	TBA 30 Year		9,500		10,401,016
Government National Mortgage Association		5.000%	07/15/33-04/15/34		1,467		1,614,038
Government National Mortgage Association(c)		5.000%	TBA 30 Year		2,000		2,187,187
Government National Mortgage Association		5.500%	03/15/34-03/15/36		1,261		1,389,300
Government National Mortgage Association		6.500%	07/15/32-08/15/32		341		398,912
Government National Mortgage Association		7.000%	03/15/23-08/15/28		854		1,002,606
Government National Mortgage Association		7.500%	12/15/25-02/15/26		163		193,131
Government National Mortgage Association		8.500%	09/15/24-04/15/25		211		254,150

							151,491,279

Municipal Bond — 0.2%
State of Utah, BABs, Ser. D		4.554%	07/01/24		630		740,597

U.S. Government Agency Obligations — 2.2%
Federal Home Loan Mortgage Corp.		1.250%	10/02/19		2,105		2,098,841
Federal Home Loan Mortgage Corp., Ser. 1		0.750%	01/12/18		1,380		1,370,653
Federal National Mortgage Association(b)(d)		0.875%	12/20/17		4,905		4,914,579

							8,384,073

SEE NOTES TO FINANCIAL STATEMENTS.

A97


LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
U.S. Treasury Securities — 32.7%
U.S. Treasury Bonds(d)		2.750%	08/15/42	$		3,125	$	3,017,578
U.S. Treasury Bonds		2.750%	11/15/42			9,865		9,504,605
U.S. Treasury Bonds		3.000%	05/15/42			1,645		1,675,844
U.S. Treasury Notes		0.625%	11/30/17			1,842		1,835,813
U.S. Treasury Notes		0.750%	12/31/17			48,620		48,699,785
U.S. Treasury Notes		1.125%	12/31/19			55		54,845
U.S. Treasury Notes		4.500%	11/15/15			4,710		5,266,369
U.S. Treasury Notes(d)(e)		4.625%	11/15/16			1,840		2,129,226
U.S. Treasury Strip Principal(f)		0.410%	02/15/16			15,870		15,668,594
U.S. Treasury Strips Coupon(b)(g)		0.330%	05/15/15			12,430		12,333,295
U.S. Treasury Strips Coupon(g)		2.180%	08/15/24			10,095		7,843,179
U.S. Treasury Strips Coupon(g)		2.260%	02/15/25			925		703,740
U.S. Treasury Strips Coupon(g)		2.610%	05/15/25			5,815		4,378,776
U.S. Treasury Strips Coupon(b)(g)		2.880%	08/15/26			4,045		2,893,696
U.S. Treasury Strips Coupon(g)		3.020%	05/15/27			5,240		3,636,979
U.S. Treasury Strips Coupon(g)		3.120%	11/15/27			6,000		4,079,136
U.S. Treasury Strips Coupon(g)		3.910%	08/15/33			2,725		1,498,172

								125,219,632

TOTAL LONG-TERM INVESTMENTS (cost $356,476,838)								369,127,011


					Shares
SHORT-TERM INVESTMENTS — 28.2%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $53,867,236)(h)						5,465,737		50,448,749
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $57,574,510; includes $12,971,111 of cash collateral received for securities on loan)(h)(i)						57,574,510		57,574,510

TOTAL AFFILIATED MUTUAL FUNDS (cost $111,441,746)								108,023,259

TOTAL INVESTMENTS — 124.6% (cost $467,918,584)								477,150,270
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (24.6)%								(94,244,934	)

NET ASSETS — 100.0%							$	382,905,336

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 Corporation
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 December 31, 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 $12,711,875; cash collateral of $12,971,111 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c)	All or partial principal amount totaling $39,500,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement.

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

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

(f)	Represents zero coupon bond. Rate shown reflects the effective yield on December 31, 2012.

SEE NOTES TO FINANCIAL STATEMENTS.

A98

(g)	Rate shown reflects the effective yield at December 31, 2012.

(h)	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.

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

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

Futures contracts outstanding at December 31, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
156	2 Year U.S. Treasury Notes		Mar. 2013	$	34,379,911	$	34,393,125	$	13,214
83	5 Year U.S. Treasury Notes		Mar. 2013		10,314,179		10,326,367		12,188
14	U.S. Ultra Bond		Mar. 2013		2,288,330		2,276,313		(12,017	)

									13,385

Short Positions:
33	10 Year U.S. Treasury Notes		Mar. 2013		4,369,600		4,381,781		(12,181	)
137	U.S. Long Bond		Mar. 2013		20,551,707		20,207,500		344,207

									332,026

								$	345,411

Interest rate swap agreements outstanding at December 31, 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)	$	283,394		$	—	$	283,394		Credit Suisse International
	5,595		08/31/16		0.978%	3 month LIBOR(2)		(98,049	)		—		(98,049	)	JPMorgan Chase Bank, NA
	5,595		08/31/16		0.975%	3 month LIBOR(2)		(97,270	)		—		(97,270	)	JPMorgan Chase Bank, NA
	880		09/14/16		1.206%	3 month LIBOR(2)		(23,055	)		—		(23,055	)	Deutsche Bank AG
	26,910		11/30/16		0.945%	3 month LIBOR(2)		(350,905	)		—		(350,905	)	Citibank, NA
	16,695		11/30/16		0.913%	3 month LIBOR(2)		(196,212	)		—		(196,212	)	JPMorgan Chase Bank, NA
	9,525		02/28/17		0.680%	3 month LIBOR(1)		4,659			—		4,659		Citibank, NA
	4,700		02/15/19		1.794%	3 month LIBOR(1)		226,987			—		226,987		JPMorgan Chase Bank, NA
	4,700		02/15/19		1.656%	3 month LIBOR(2)		(185,869	)		—		(185,869	)	Citibank, NA
	2,105		10/02/19		1.189%	3 month LIBOR(2)		1,414			—		1,414		Bank of Nova Scotia
	2,190		01/13/22		1.676%	3 month LIBOR(1)		10,425			—		10,425		Citibank, NA
	2,190		01/13/22		1.660%	3 month LIBOR(2)		(11,365	)		—		(11,365	)	Citibank, NA
	6,195		08/15/28		2.370%	3 month LIBOR(2)		12,319			—		12,319		Citibank, NA

							$	(423,527	)	$	—	$	(423,527	)

#	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.

SEE NOTES TO FINANCIAL STATEMENTS.

A99

The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities	$	—	$	4,064,815		$	—
Collateralized Mortgage Obligations		—		4,277,199			—
Commercial Mortgage-Backed Securities		—		65,795,866			—
Corporate Bonds		—		9,153,550			—
Mortgage-Backed Securities		—		151,491,279			—
Municipal Bond		—		740,597			—
U.S. Government Agency Obligations		—		8,384,073			—
U.S. Treasury Securities		—		125,219,632			—
Affiliated Mutual Funds		108,023,259		—			—
Other Financial Instruments*
Futures Contracts		345,411		—			—
Interest Rate Swap Agreements		—		(423,527	)		—

Total	$	108,368,670	$	368,703,484		$	—

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:


Mortgage-Backed Securities	39.5	%
U.S. Treasury Securities	32.7
Affiliated Mutual Funds (including 3.4% of collateral received for securities on loan)	28.2
Commercial Mortgage-Backed Securities	17.2
Corporate Bonds	2.4
U.S. Government Agency Obligations	2.2


Asset-Backed Securities	1.1	%
Collateralized Mortgage Obligations	1.1
Municipal Bond	0.2

	124.6
Liabilities in excess of other assets	(24.6	)

	100.0	%

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

Fair values of derivative instruments as of December 31, 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

369,609

Due from broker — variation margin

24,198

Interest rate contracts

Unrealized appreciation on swap agreements

539,198

Unrealized depreciation on swap agreements

962,725

Total

908,807

986,923

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 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	)	$	(2,641,608	)	$	182,747	$	(2,417,282	)


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	$	717,034	$	(866,131	)	$	(149,097	)

SEE NOTES TO FINANCIAL STATEMENTS.

A100

For the year ended December 31, 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))
$54,569,312	$37,038,951	$95,700

SEE NOTES TO FINANCIAL STATEMENTS.

A101


		*GOVERNMENT INCOME PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012


ASSETS
Investments, at value including securities on loan of $12,711,875:
Unaffiliated investments (cost $356,476,838)	$	369,127,011
Affiliated investments (cost $111,441,746)		108,023,259
Receivable for investments sold		46,351,734
Dividends and interest receivable		965,661
Unrealized appreciation on swap agreements		539,198
Due from broker—variation margin		108,815
Prepaid expenses		2,688
Receivable for Series shares sold		1,338

Total Assets		525,119,704

LIABILITIES
Payable for investments purchased		127,487,098
Collateral for securities on loan		12,971,111
Unrealized depreciation on swap agreements		962,725
Payable for Series shares repurchased		536,137
Management fee payable		130,213
Accrued expenses and other liabilities		108,094
Payable to custodian		17,703
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		361

Total Liabilities		142,214,368

NET ASSETS	$	382,905,336

Net assets were comprised of:
Paid-in capital	$	362,328,599
Retained earnings		20,576,737

Net assets, December 31, 2012	$	382,905,336

Net asset value and redemption price per share, $382,905,336 / 31,521,854 outstanding shares of beneficial interest	$	12.15

STATEMENT OF OPERATIONS

Year Ended December 31, 2012


INCOME
Interest income	$	8,826,800
Affiliated dividend income		784,462
Affiliated income from securities loaned, net		20,027

		9,631,289

EXPENSES
Management fee		1,581,269
Shareholders’ reports		145,000
Custodian’s fees and expenses		84,000
Audit fee		30,000
Trustees’ fees		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Legal fees and expenses		10,000
Insurance expenses		4,000
Commitment fee on syndicated credit agreement		3,000
Miscellaneous		9,156

Total expenses		1,891,425

NET INVESTMENT INCOME		7,739,864

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions (including affiliated: $(14))		13,718,069
Foreign currency transactions		42
Futures transactions		(2,641,608	)
Swap agreement transactions		182,747
Options written transactions		(211,836	)

		11,047,414

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $2,010,575)		(4,620,213	)
Futures		717,034
Swap agreements		(866,131	)

		(4,769,310	)

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		6,278,104

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	14,017,968

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	7,739,864		$	10,051,753
Net realized gain on investment and foreign currency transactions		11,047,414			12,493,569
Net change in unrealized appreciation (depreciation) on investments		(4,769,310	)		7,373,827

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		14,017,968			29,919,149

DISTRIBUTIONS		(20,654,654	)		(18,318,094	)

SERIES SHARE TRANSACTIONS:
Series shares sold [775,380 and 2,166,785 shares, respectively]		9,542,642			26,321,036
Series shares issued in reinvestment of distributions [1,707,009 and 1,519,181 shares, respectively]		20,654,654			18,318,094
Series shares repurchased [4,651,275 and 3,193,994 shares, respectively]		(57,309,200	)		(38,827,001	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(27,111,904	)		5,812,129

TOTAL INCREASE (DECREASE) IN NET ASSETS		(33,748,590	)		17,413,184
NET ASSETS:
Beginning of year		416,653,926			399,240,742

End of year	$	382,905,336		$	416,653,926

SEE NOTES TO FINANCIAL STATEMENTS.

A102


LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.3%
Boeing Co. (The)		122,236	$	9,211,705
General Dynamics Corp.		62,400		4,322,448
Honeywell International, Inc.		138,750		8,806,463
L-3 Communications Holdings, Inc.		17,800		1,363,836
Lockheed Martin Corp.		47,598		4,392,819
Northrop Grumman Corp.		44,726		3,022,583
Precision Castparts Corp.		25,600		4,849,152
Raytheon Co.		59,218		3,408,588
Rockwell Collins, Inc.(a)		25,100		1,460,067
Textron, Inc.		44,900		1,113,071
United Technologies Corp.		148,700		12,194,887

				54,145,619

Air Freight & Logistics — 0.8%
C.H. Robinson Worldwide, Inc.		28,900		1,827,058
Expeditors International of Washington, Inc.		38,900		1,538,495
FedEx Corp.		51,540		4,727,249
United Parcel Service, Inc. (Class B Stock)		129,300		9,533,289

				17,626,091

Airlines — 0.1%
Southwest Airlines Co.		139,337		1,426,811

Auto Components — 0.3%
BorgWarner, Inc.*(a)		18,700		1,339,294
Delphi Automotive PLC*		46,900		1,793,925
Goodyear Tire & Rubber Co. (The)*		38,600		533,066
Johnson Controls, Inc.		126,000		3,868,200

				7,534,485

Automobiles — 0.5%
Ford Motor Co.(a)		686,559		8,890,939
Harley-Davidson, Inc.		41,300		2,017,092

				10,908,031

Beverages — 2.3%
Beam, Inc.		25,900		1,582,231
Brown-Forman Corp. (Class B Stock)		27,750		1,755,187
Coca-Cola Co. (The)		693,900		25,153,875
Coca-Cola Enterprises, Inc.		48,800		1,548,424
Constellation Brands, Inc. (Class A Stock)*		26,900		951,991
Dr Pepper Snapple Group, Inc.(a)		38,800		1,714,184
Molson Coors Brewing Co. (Class B Stock)		29,100		1,245,189
Monster Beverage Corp.*		25,600		1,353,728
PepsiCo, Inc.		277,339		18,978,308

				54,283,117

Biotechnology — 1.6%
Alexion Pharmaceuticals, Inc.*		33,900		3,180,159
Amgen, Inc.		137,994		11,911,642
Biogen Idec, Inc.*		42,625		6,251,809
Celgene Corp.*		78,300		6,163,776
Gilead Sciences, Inc.*		134,400		9,871,680

				37,379,066


COMMON STOCKS (continued)	Shares		Value (Note 2)
Building Products
Masco Corp.		54,800	$	912,968

Capital Markets — 2.0%
Ameriprise Financial, Inc.		38,500		2,411,255
Bank of New York Mellon Corp. (The)(a)		211,789		5,442,977
BlackRock, Inc. (Class A Stock)		22,700		4,692,317
Charles Schwab Corp. (The)(a)		192,300		2,761,428
ETrade Financial Corp.		43,610		390,310
Franklin Resources, Inc.		24,800		3,117,360
Goldman Sachs Group, Inc. (The)		80,700		10,294,092
Invesco Ltd.		81,600		2,128,944
Legg Mason, Inc.(a)		23,900		614,708
Morgan Stanley		252,110		4,820,343
Northern Trust Corp.		40,900		2,051,544
State Street Corp.		87,100		4,094,571
T. Rowe Price Group, Inc.		46,300		3,015,519

				45,835,368

Chemicals — 2.5%
Air Products & Chemicals, Inc.		38,200		3,209,564
Airgas, Inc.		13,200		1,205,028
CF Industries Holdings, Inc.		12,200		2,478,552
Dow Chemical Co. (The)(a)		213,461		6,899,060
E.I. du Pont de Nemours & Co.		167,991		7,554,555
Eastman Chemical Co.		27,100		1,844,155
Ecolab, Inc.		48,400		3,479,960
FMC Corp.		25,200		1,474,704
International Flavors & Fragrances, Inc.		15,300		1,018,062
LyondellBasell Industries NV (Class A Stock)		65,000		3,710,850
Monsanto Co.		95,796		9,067,091
Mosaic Co. (The)		50,600		2,865,478
PPG Industries, Inc.		26,700		3,613,845
Praxair, Inc.		53,500		5,855,575
Sherwin-Williams Co. (The)		15,700		2,414,974
Sigma-Aldrich Corp.		20,700		1,523,106

				58,214,559

Commercial Banks — 2.7%
BB&T Corp.		126,800		3,691,148
Comerica, Inc.(a)		33,950		1,030,043
Fifth Third Bancorp		167,749		2,548,107
First Horizon National Corp.		37,745		374,053
Huntington Bancshares, Inc.		156,775		1,001,792
KeyCorp		167,700		1,412,034
M&T Bank Corp.		21,600		2,126,952
PNC Financial Services Group, Inc.		95,393		5,562,366
Regions Financial Corp.		255,912		1,822,093
SunTrust Banks, Inc.		98,200		2,783,970
U.S. Bancorp		340,581		10,878,157
Wells Fargo & Co.		878,386		30,023,234
Zions Bancorporation(a)		30,000		642,000

				63,895,949

Commercial Services & Supplies — 0.5%
ADT Corp. (The)		41,900		1,947,931
Avery Dennison Corp.(a)		19,000		663,480

SEE NOTES TO FINANCIAL STATEMENTS.

A103


COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies (continued)
Cintas Corp.(a)		19,700	$	805,730
Iron Mountain, Inc.		31,817		987,918
Pitney Bowes, Inc.(a)		34,700		369,208
Republic Services, Inc.		56,010		1,642,773
Stericycle, Inc.*		13,900		1,296,453
Tyco International Ltd.		81,800		2,392,650
Waste Management, Inc.		78,930		2,663,098

				12,769,241

Communications Equipment — 1.9%
Cisco Systems, Inc.		955,000		18,765,750
F5 Networks, Inc.*		14,800		1,437,820
Harris Corp.		20,700		1,013,472
JDS Uniphase Corp.*		39,587		536,008
Juniper Networks, Inc.*		93,100		1,831,277
Motorola Solutions, Inc.		49,627		2,763,231
QUALCOMM, Inc.		305,700		18,959,514

				45,307,072

Computers & Peripherals — 4.9%
Apple, Inc.		168,040		89,570,361
Dell, Inc.		264,300		2,677,359
EMC Corp.*		374,674		9,479,252
Hewlett-Packard Co.		357,616		5,096,028
NetApp, Inc.*		66,800		2,241,140
SanDisk Corp.*		41,900		1,825,164
Seagate Technology PLC		60,600		1,847,088
Western Digital Corp.		39,000		1,657,110

				114,393,502

Construction & Engineering — 0.2%
Fluor Corp.		30,200		1,773,948
Jacobs Engineering Group, Inc.*		22,200		945,054
Quanta Services, Inc.*		33,000		900,570

				3,619,572

Construction Materials
Vulcan Materials Co.		22,300		1,160,715

Consumer Finance — 0.9%
American Express Co.		174,700		10,041,756
Capital One Financial Corp.		102,069		5,912,857
Discover Financial Services		94,405		3,639,313
SLM Corp.		86,400		1,480,032

				21,073,958

Containers & Packaging — 0.1%
Ball Corp.(a)		29,900		1,338,025
Bemis Co., Inc.		17,900		598,934
Owens-Illinois, Inc.*		30,400		646,608
Sealed Air Corp.		31,620		553,666

				3,137,233

Distributors — 0.1%
Genuine Parts Co.		28,825		1,832,694

Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*(a)		22,700		474,884
H&R Block, Inc.		51,900		963,783

				1,438,667


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services — 3.5%
Bank of America Corp.		1,931,332	$	22,403,451
Citigroup, Inc.		524,297		20,741,189
CME Group, Inc.		55,400		2,809,334
IntercontinentalExchange, Inc.*		12,900		1,597,149
JPMorgan Chase & Co.		682,945		30,029,092
Leucadia National Corp.(a)		37,600		894,504
Moody’s Corp.		31,720		1,596,151
NASDAQ OMX Group, Inc. (The)		22,800		570,228
NYSE Euronext		43,800		1,381,452

				82,022,550

Diversified Telecommunication Services — 2.7%
AT&T, Inc.		1,022,511		34,468,846
CenturyLink, Inc.(a)		113,585		4,443,445
Frontier Communications Corp.(a)		177,916		761,481
Verizon Communications, Inc.		510,838		22,103,960
Windstream Corp.		96,065		795,418

				62,573,150

Electric Utilities — 1.9%
American Electric Power Co., Inc.		86,640		3,697,795
Duke Energy Corp.		126,948		8,099,282
Edison International		58,500		2,643,615
Entergy Corp.		31,700		2,020,875
Exelon Corp.		153,073		4,552,391
FirstEnergy Corp.		75,380		3,147,869
NextEra Energy, Inc.		76,400		5,286,116
Northeast Utilities		56,600		2,211,928
Pepco Holdings, Inc.(a)		35,700		700,077
Pinnacle West Capital Corp.		18,500		943,130
PPL Corp.		102,700		2,940,301
Southern Co.		156,700		6,708,327
Xcel Energy, Inc.		90,095		2,406,438

				45,358,144

Electrical Equipment — 0.7%
Eaton Corp. PLC		79,761		4,323,046
Emerson Electric Co.		132,100		6,996,016
Rockwell Automation, Inc.		25,900		2,175,341
Roper Industries, Inc.		17,100		1,906,308

				15,400,711

Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		29,100		1,882,770
Corning, Inc.		272,400		3,437,688
FLIR Systems, Inc.		23,500		524,285
Jabil Circuit, Inc.		34,100		657,789
Molex, Inc.(a)		26,600		726,978
TE Connectivity Ltd.		76,600		2,843,392

				10,072,902

Energy Equipment & Services — 1.8%
Baker Hughes, Inc.		80,248		3,277,328
Cameron International Corp.*		41,800		2,360,028
Diamond Offshore Drilling, Inc.(a)		12,500		849,500
Ensco PLC (Class A Stock)		39,700		2,353,416
FMC Technologies, Inc.*		38,900		1,666,087
Halliburton Co.		164,700		5,713,443
Helmerich & Payne, Inc.		19,900		1,114,599
Nabors Industries Ltd.*		56,600		817,870

SEE NOTES TO FINANCIAL STATEMENTS.

A104


COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
National Oilwell Varco, Inc.		76,400	$	5,221,940
Noble Corp.		45,300		1,577,346
Rowan Cos. PLC (Class A Stock)*		20,500		641,035
Schlumberger Ltd.		236,922		16,416,326

				42,008,918

Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		77,032		7,608,451
CVS Caremark Corp.		226,938		10,972,452
Kroger Co. (The)		97,900		2,547,358
Safeway, Inc.(a)		47,500		859,275
Sysco Corp.		101,500		3,213,490
Walgreen Co.		155,300		5,747,653
Wal-Mart Stores, Inc.		301,900		20,598,637
Whole Foods Market, Inc.		29,900		2,730,767

				54,278,083

Food Products — 1.7%
Archer-Daniels-Midland Co.		118,538		3,246,756
Campbell Soup Co.(a)		30,100		1,050,189
ConAgra Foods, Inc.		70,300		2,073,850
Dean Foods Co.*		24,300		401,193
General Mills, Inc.		116,700		4,715,847
H.J. Heinz Co.(a)		56,050		3,232,964
Hershey Co. (The)(a)		27,100		1,957,162
Hormel Foods Corp.		25,600		798,976
J.M. Smucker Co. (The)		20,300		1,750,672
Kellogg Co.		45,100		2,518,835
Kraft Foods Group, Inc.		105,137		4,780,579
McCormick & Co., Inc.		24,800		1,575,544
Mead Johnson Nutrition Co.		37,293		2,457,236
Mondelez International, Inc. (Class A Stock)		315,411		8,033,518
Tyson Foods, Inc. (Class A Stock)		56,100		1,088,340

				39,681,661

Gas Utilities — 0.1%
AGL Resources, Inc.		19,837		792,885
ONEOK, Inc.		36,240		1,549,260

				2,342,145

Healthcare Equipment & Supplies — 2.5%
Abbott Laboratories		281,600		18,444,800
Baxter International, Inc.(a)		98,400		6,559,344
Becton, Dickinson & Co.		36,200		2,830,478
Boston Scientific Corp.*		263,399		1,509,276
C.R. Bard, Inc.		14,500		1,417,230
CareFusion Corp.*		39,537		1,129,967
Covidien PLC		85,100		4,913,674
DENTSPLY International, Inc.		22,500		891,225
Edwards Lifesciences Corp.*		20,200		1,821,434
Intuitive Surgical, Inc.*		7,200		3,530,664
Medtronic, Inc.		185,200		7,596,904
St. Jude Medical, Inc.		57,800		2,088,892
Stryker Corp.		52,800		2,894,496
Varian Medical Systems, Inc.*		20,400		1,432,896
Zimmer Holdings, Inc.		31,486		2,098,857

				59,160,137


COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 1.9%
Aetna, Inc.(a)		60,448	$	2,798,742
AmerisourceBergen Corp.(a)		41,400		1,787,652
Cardinal Health, Inc.		58,975		2,428,590
CIGNA Corp.		52,100		2,785,266
Coventry Health Care, Inc.		25,250		1,131,958
DaVita, Inc.*		15,300		1,691,109
Express Scripts Holding Co.*		143,151		7,730,154
Humana, Inc.		29,800		2,045,174
Laboratory Corp. of America Holdings*(a)		17,500		1,515,850
McKesson Corp.		42,307		4,102,087
Patterson Cos., Inc.		15,900		544,257
Quest Diagnostics, Inc.		28,100		1,637,387
Tenet Healthcare Corp.*(a)		20,000		649,400
UnitedHealth Group, Inc.		186,000		10,088,640
WellPoint, Inc.		55,400		3,374,968

				44,311,234

Healthcare Technology — 0.1%
Cerner Corp.*(a)		24,900		1,933,236

Hotels, Restaurants & Leisure — 1.8%
Carnival Corp.		78,900		2,901,153
Chipotle Mexican Grill, Inc.*		5,500		1,636,030
Darden Restaurants, Inc.		23,350		1,052,385
International Game Technology		50,300		712,751
Marriott International, Inc. (Class A Stock)		48,103		1,792,799
McDonald’s Corp.		181,100		15,974,831
Starbucks Corp.		134,000		7,185,080
Starwood Hotels & Resorts Worldwide, Inc.		32,800		1,881,408
Wyndham Worldwide Corp.		26,163		1,392,133
Wynn Resorts Ltd.		13,100		1,473,619
Yum! Brands, Inc.		81,800		5,431,520

				41,433,709

Household Durables — 0.3%
D.R. Horton, Inc.		45,200		894,056
Garmin Ltd.(a)		14,600		595,972
Harman International Industries, Inc.		13,200		589,248
Leggett & Platt, Inc.		26,200		713,164
Lennar Corp. (Class A Stock)(a)		24,300		939,681
Newell Rubbermaid, Inc.		53,749		1,196,990
Pulte Group, Inc.*(a)		53,685		974,920
Whirlpool Corp.		13,907		1,415,037

				7,319,068

Household Products — 2.1%
Clorox Co. (The)(a)		24,400		1,786,568
Colgate-Palmolive Co.		80,700		8,436,378
Kimberly-Clark Corp.		69,988		5,909,087
Procter & Gamble Co. (The)		491,981		33,400,590

				49,532,623

Independent Power Producers & Energy Traders — 0.1%
AES Corp.		117,900		1,261,530
NRG Energy, Inc.		48,700		1,119,613

				2,381,143

SEE NOTES TO FINANCIAL STATEMENTS.

A105


COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 2.4%
3M Co.		113,600	$	10,547,760
Danaher Corp.		102,200		5,712,980
General Electric Co.		1,886,500		39,597,635

				55,858,375

Insurance — 3.8%
ACE Ltd.		62,100		4,955,580
Aflac, Inc.		87,500		4,648,000
Allstate Corp. (The)		90,688		3,642,937
American International Group, Inc.*		258,429		9,122,544
Aon PLC		60,025		3,337,390
Assurant, Inc.		19,400		673,180
Berkshire Hathaway, Inc. (Class B Stock)*		328,900		29,502,330
Chubb Corp. (The)		49,500		3,728,340
Cincinnati Financial Corp.		30,128		1,179,812
Genworth Financial, Inc. (Class A Stock)*		103,200		775,032
Hartford Financial Services Group, Inc. (The)		82,300		1,846,812
Lincoln National Corp.(a)		55,663		1,441,672
Loews Corp.		58,826		2,397,159
Marsh & McLennan Cos., Inc.		103,400		3,564,198
MetLife, Inc.		193,400		6,370,596
Principal Financial Group, Inc.		54,700		1,560,044
Progressive Corp. (The)(a)		109,000		2,299,900
Torchmark Corp.		20,750		1,072,153
Travelers Cos., Inc. (The)		71,098		5,106,258
Unum Group		58,256		1,212,890
XL Group PLC		59,500		1,491,070

				89,927,897

Internet & Catalog Retail — 1.0%
Amazon.com, Inc.*		64,300		16,148,302
Expedia, Inc.		16,700		1,026,215
Netflix, Inc.*(a)		8,700		807,186
priceline.com, Inc.*		8,900		5,528,680
Tripadvisor, Inc.*(a)		16,500		692,340

				24,202,723

Internet Software & Services — 2.2%
Akamai Technologies, Inc.*		33,500		1,370,485
eBay, Inc.*		205,900		10,505,018
Google, Inc. (Class A Stock)*		47,460		33,666,700
VeriSign, Inc.*(a)		25,400		986,028
Yahoo!, Inc.*(a)		190,300		3,786,970

				50,315,201

IT Services — 3.7%
Accenture PLC (Class A Stock)		115,000		7,647,500
Automatic Data Processing, Inc.		87,400		4,982,674
Cognizant Technology Solutions Corp. (Class A Stock)*		54,700		4,050,535
Computer Sciences Corp.		26,300		1,053,315
Fidelity National Information Services, Inc.		43,900		1,528,159
Fiserv, Inc.*		23,100		1,825,593
International Business Machines Corp.		190,600		36,509,430


COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Mastercard, Inc. (Class A Stock)		19,100	$	9,383,448
Paychex, Inc.		58,550		1,823,247
SAIC, Inc.		54,400		615,808
Teradata Corp.*		29,600		1,831,944
Total System Services, Inc.		29,993		642,450
Visa, Inc. (Class A Stock)		93,000		14,096,940
Western Union Co. (The)		110,204		1,499,877

				87,490,920

Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		19,050		683,895
Mattel, Inc.		57,681		2,112,278

				2,796,173

Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.		63,582		2,603,047
Life Technologies Corp.*		33,330		1,635,836
PerkinElmer, Inc.		23,200		736,368
Thermo Fisher Scientific, Inc.		66,300		4,228,614
Waters Corp.*		15,900		1,385,208

				10,589,073

Machinery — 1.9%
Caterpillar, Inc.		116,800		10,462,944
Cummins, Inc.		32,600		3,532,210
Deere & Co.		70,800		6,118,536
Dover Corp.		33,800		2,220,998
Flowserve Corp.		9,200		1,350,560
Illinois Tool Works, Inc.		77,900		4,737,099
Ingersoll-Rand PLC		51,900		2,489,124
Joy Global, Inc.		16,600		1,058,748
PACCAR, Inc.		61,128		2,763,597
Pall Corp.(a)		20,100		1,211,226
Parker Hannifin Corp.		27,487		2,338,044
Pentair Ltd.		36,107		1,774,659
Snap-on, Inc.		11,000		868,890
Stanley Black & Decker, Inc.		30,535		2,258,674
Xylem, Inc.		27,600		747,960

				43,933,269

Media — 3.5%
Cablevision Systems Corp. (Class A Stock)(a)		33,800		504,972
CBS Corp. (Class B Stock)		106,368		4,047,302
Comcast Corp. (Class A Stock)		478,946		17,903,002
DIRECTV*		111,200		5,577,792
Discovery Communications, Inc. (Class A Stock)*		44,500		2,824,860
Gannett Co., Inc.(a)		42,900		772,629
Interpublic Group of Cos., Inc. (The)		83,162		916,445
McGraw-Hill Cos., Inc. (The)		49,900		2,728,033
News Corp. (Class A Stock)		363,500		9,283,790
Omnicom Group, Inc.		48,400		2,418,064
Scripps Networks Interactive, Inc. (Class A Stock)		15,600		903,552
Time Warner Cable, Inc.		54,426		5,289,663
Time Warner, Inc.		167,740		8,023,004
Viacom, Inc. (Class B Stock)		85,468		4,507,582
Walt Disney Co. (The)		317,301		15,798,417

SEE NOTES TO FINANCIAL STATEMENTS.

A106


COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Washington Post Co. (The) (Class B Stock)		1,000	$	365,210

				81,864,317

Metals & Mining — 0.7%
Alcoa, Inc.		195,776		1,699,336
Allegheny Technologies, Inc.		15,440		468,759
Cliffs Natural Resources, Inc.		27,000		1,041,120
Freeport-McMoRan Copper & Gold, Inc.		170,912		5,845,190
Newmont Mining Corp.		89,403		4,151,875
Nucor Corp.		58,500		2,526,030
United States Steel Corp.(a)		21,140		504,612

				16,236,922

Multiline Retail — 0.8%
Big Lots, Inc.*		11,300		321,598
Dollar General Corp.*		45,600		2,010,504
Dollar Tree, Inc.*		42,800		1,735,968
Family Dollar Stores, Inc.		18,500		1,173,085
J.C. Penney Co., Inc.(a)		22,700		447,417
Kohl’s Corp.		39,500		1,697,710
Macy’s, Inc.		74,220		2,896,064
Nordstrom, Inc.		28,300		1,514,050
Target Corp.		115,268		6,820,408

				18,616,804

Multi-Utilities — 1.2%
Ameren Corp.		42,000		1,290,240
CenterPoint Energy, Inc.		73,110		1,407,367
CMS Energy Corp.(a)		45,800		1,116,604
Consolidated Edison, Inc.		52,400		2,910,296
Dominion Resources, Inc.		102,384		5,303,491
DTE Energy Co.		32,000		1,921,600
Integrys Energy Group, Inc.		12,050		629,251
NiSource, Inc.		49,600		1,234,544
PG&E Corp.		76,900		3,089,842
Public Service Enterprise Group, Inc.		89,200		2,729,520
SCANA Corp.(a)		22,200		1,013,208
Sempra Energy		41,754		2,962,029
TECO Energy, Inc.(a)		38,200		640,232
Wisconsin Energy Corp.		39,600		1,459,260

				27,707,484

Office Electronics — 0.1%
Xerox Corp.		240,211		1,638,239

Oil, Gas & Consumable Fuels — 8.9%
Anadarko Petroleum Corp.		88,626		6,585,798
Apache Corp.		69,250		5,436,125
Cabot Oil & Gas Corp.		38,200		1,900,068
Chesapeake Energy Corp.(a)		96,500		1,603,830
Chevron Corp.		352,492		38,118,485
ConocoPhillips		219,379		12,721,788
CONSOL Energy, Inc.		42,500		1,364,250
Denbury Resources, Inc.*		70,300		1,138,860
Devon Energy Corp.		68,400		3,559,536
EOG Resources, Inc.		48,200		5,822,078
EQT Corp.		26,400		1,557,072


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Exxon Mobil Corp.		819,354	$	70,915,089
Hess Corp.		54,600		2,891,616
Kinder Morgan, Inc.		109,943		3,884,286
Marathon Oil Corp.		128,194		3,930,428
Marathon Petroleum Corp.		60,947		3,839,661
Murphy Oil Corp.		32,500		1,935,375
Newfield Exploration Co.*		23,700		634,686
Noble Energy, Inc.		32,400		3,296,376
Occidental Petroleum Corp.		144,900		11,100,789
Peabody Energy Corp.(a)		47,100		1,253,331
Phillips 66		112,339		5,965,201
Pioneer Natural Resources Co.		21,200		2,259,708
QEP Resources, Inc.		29,200		883,884
Range Resources Corp.		29,500		1,853,485
Southwestern Energy Co.*(a)		64,300		2,148,263
Spectra Energy Corp.		119,042		3,259,370
Tesoro Corp.		26,500		1,167,325
Valero Energy Corp.		100,800		3,439,296
Williams Cos., Inc. (The)		119,700		3,918,978
WPX Energy, Inc.*		36,133		537,664

				208,922,701

Paper & Forest Products — 0.2%
International Paper Co.		79,667		3,173,933
MeadWestvaco Corp.		31,689		1,009,929

				4,183,862

Personal Products — 0.2%
Avon Products, Inc.		78,700		1,130,132
Estee Lauder Cos., Inc. (The) (Class A Stock)		40,500		2,424,330

				3,554,462

Pharmaceuticals — 5.2%
Allergan, Inc.		54,900		5,035,977
Bristol-Myers Squibb Co.		298,740		9,735,936
Eli Lilly & Co.		183,500		9,050,220
Forest Laboratories, Inc.*		43,300		1,529,356
Hospira, Inc.*		28,920		903,461
Johnson & Johnson(a)		494,671		34,676,437
Merck & Co., Inc.		544,404		22,287,893
Mylan, Inc.*		73,500		2,019,780
Perrigo Co.		15,700		1,633,271
Pfizer, Inc.		1,323,973		33,205,243
Watson Pharmaceuticals, Inc.*		23,300		2,003,800

				122,081,374

Professional Services — 0.1%
Dun & Bradstreet Corp. (The)(a)		7,700		605,605
Equifax, Inc.		21,500		1,163,580
Robert Half International, Inc.		23,100		735,042

				2,504,227

Real Estate Investment Trusts — 2.1%
American Tower Corp.		72,500		5,602,075
Apartment Investment & Management Co. (Class A Stock)		24,074		651,442
AvalonBay Communities, Inc.		20,218		2,741,359
Boston Properties, Inc.		26,200		2,772,222
Equity Residential		56,600		3,207,522

SEE NOTES TO FINANCIAL STATEMENTS.

A107


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
HCP, Inc.		78,700	$	3,555,666
Health Care REIT, Inc.		44,900		2,751,921
Host Hotels & Resorts, Inc.(a)		123,726		1,938,786
Kimco Realty Corp.(a)		76,400		1,476,048
Plum Creek Timber Co., Inc.		25,900		1,149,183
ProLogis, Inc.		81,228		2,964,010
Public Storage		25,400		3,681,984
Simon Property Group, Inc.		55,001		8,695,108
Ventas, Inc.		51,204		3,313,923
Vornado Realty Trust		32,157		2,575,133
Weyerhaeuser Co.		99,310		2,762,804

				49,839,186

Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		53,500		1,064,650

Road & Rail — 0.8%
CSX Corp.		187,472		3,698,823
Norfolk Southern Corp.		58,600		3,623,824
Ryder System, Inc.		9,100		454,363
Union Pacific Corp.		85,200		10,711,344

				18,488,354

Semiconductors & Semiconductor Equipment — 1.9%
Advanced Micro Devices, Inc.*(a)		96,600		231,840
Altera Corp.		57,500		1,980,300
Analog Devices, Inc.		52,900		2,224,974
Applied Materials, Inc.		229,600		2,626,624
Broadcom Corp. (Class A Stock)		86,950		2,887,609
First Solar, Inc.*(a)		4,600		142,048
Intel Corp.		899,500		18,556,685
KLA-Tencor Corp.		28,700		1,370,712
Lam Research Corp.*		31,350		1,132,676
Linear Technology Corp.		43,500		1,492,050
LSI Corp.*		108,400		767,472
Microchip Technology, Inc.(a)		31,900		1,039,621
Micron Technology, Inc.*		160,300		1,017,905
NVIDIA Corp.		108,250		1,330,393
Teradyne, Inc.*(a)		32,200		543,858
Texas Instruments, Inc.		205,700		6,364,358
Xilinx, Inc.		44,000		1,579,600

				45,288,725

Software — 3.4%
Adobe Systems, Inc.*		88,000		3,315,840
Autodesk, Inc.*		41,400		1,463,490
BMC Software, Inc.*		28,600		1,134,276
CA, Inc.		64,573		1,419,315
Citrix Systems, Inc.*		33,900		2,228,925
Electronic Arts, Inc.*(a)		56,900		826,757
Intuit, Inc.		50,400		2,998,800
Microsoft Corp.		1,356,700		36,264,591
Oracle Corp.		680,420		22,671,594
Red Hat, Inc.*		33,300		1,763,568
Salesforce.com, Inc.*(a)		22,700		3,815,870
Symantec Corp.*		131,611		2,475,603

				80,378,629


COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail — 2.2%
Abercrombie & Fitch Co. (Class A Stock)		15,000	$	719,550
AutoNation, Inc.*		4,289		170,273
AutoZone, Inc.*		6,800		2,410,124
Bed Bath & Beyond, Inc.*		42,000		2,348,220
Best Buy Co., Inc.(a)		51,725		612,941
CarMax, Inc.*(a)		40,000		1,501,600
GameStop Corp. (Class A Stock)(a)		25,000		627,250
Gap, Inc. (The)		58,587		1,818,541
Home Depot, Inc. (The)		270,619		16,737,785
Limited Brands, Inc.		43,496		2,046,922
Lowe’s Cos., Inc.		204,000		7,246,080
O’Reilly Automotive, Inc.*		20,800		1,859,936
PetSmart, Inc.		19,100		1,305,294
Ross Stores, Inc.		42,100		2,279,715
Staples, Inc.(a)		126,600		1,443,240
Tiffany & Co.		20,900		1,198,406
TJX Cos., Inc.		134,800		5,722,260
Urban Outfitters, Inc.*		19,000		747,840

				50,795,977

Textiles, Apparel & Luxury Goods — 0.6%
Coach, Inc.		51,700		2,869,867
Fossil, Inc.*(a)		8,300		772,730
NIKE, Inc. (Class B Stock)		132,400		6,831,840
Ralph Lauren Corp.		11,000		1,649,120
VF Corp.		15,536		2,345,470

				14,469,027

Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.		86,900		706,497
People’s United Financial, Inc.		64,900		784,641

				1,491,138

Tobacco — 1.8%
Altria Group, Inc.		362,700		11,396,034
Lorillard, Inc.		23,231		2,710,361
Philip Morris International, Inc.		298,700		24,983,268
Reynolds American, Inc.(a)		59,300		2,456,799

				41,546,462

Trading Companies & Distributors — 0.2%
Fastenal Co.		48,600		2,269,134
W.W. Grainger, Inc.		11,000		2,226,070

				4,495,204

Wireless Telecommunication Services — 0.3%
Crown Castle International Corp.*		49,700		3,586,352
MetroPCS Communications, Inc.*		47,100		468,174
Sprint Nextel Corp.*		552,022		3,129,965

				7,184,491

TOTAL LONG-TERM INVESTMENTS (cost $1,123,015,843)				2,284,169,998

SEE NOTES TO FINANCIAL STATEMENTS.

A108


SHORT-TERM INVESTMENTS — 7.8%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund — 7.7%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $178,676,661; includes $129,522,551 of cash collateral received for securities on loan)) (Note 4)(b)(c)		178,676,661	$	178,676,661

	Principal Amount (000)
U.S. Government Obligation — 0.1%
U.S. Treasury Bill, 03/21/2013(d)(e) (cost $2,999,704)	$	3,000		2,999,772

TOTAL SHORT-TERM INVESTMENTS (cost $181,676,365)				181,676,433

TOTAL INVESTMENTS — 105.4% (cost $1,304,692,208)				2,465,846,431
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (5.4)%				(125,582,016	)

NET ASSETS — 100.0%			$	2,340,264,415

The following abbreviations are used in portfolio descriptions:


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 $128,168,029; cash collateral of $129,522,551 (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 contract.

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

Open futures contracts outstanding at December 31, 2012:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Depreciation
Long Position:
155	S&P 500 Index		Mar. 2013	$	55,420,766	$	55,028,875	$	(391,891	)

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 December 31, 2012 in valuing such portfolio securities:


	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	2,284,169,998		$	—	$	—
Affiliated Money Market Mutual Fund		178,676,661			—		—
U.S. Government Obligation		—			2,999,772		—
Other Financial Instruments*
Futures		(391,891	)		—		—

Total	$	2,462,454,768		$	2,999,772	$	—

*	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.

A109

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 was as follows:


Oil, Gas & Consumable Fuels	8.9	%
Affiliated Money Market Mutual Fund (including 5.5% of collateral received for securities on loan)	7.6
Pharmaceuticals	5.2
Computers & Peripherals	4.9
Insurance	3.8
IT Services	3.7
Diversified Financial Services	3.5
Media	3.5
Software	3.4
Commercial Banks	2.7
Diversified Telecommunication Services	2.7
Chemicals	2.5
Healthcare Equipment & Supplies	2.5
Industrial Conglomerates	2.4
Aerospace & Defense	2.3
Beverages	2.3
Food & Staples Retailing	2.3
Internet Software & Services	2.2
Specialty Retail	2.2
Household Products	2.1
Real Estate Investment Trusts	2.1
Capital Markets	2.0
Communications Equipment	1.9
Electric Utilities	1.9
Healthcare Providers & Services	1.9
Machinery	1.9
Semiconductors & Semiconductor Equipment	1.9
Energy Equipment & Services	1.8
Hotels, Restaurants & Leisure	1.8
Tobacco	1.8
Food Products	1.7
Biotechnology	1.6
Multi-Utilities	1.2
Internet & Catalog Retail	1.0


Consumer Finance	0.9	%
Air Freight & Logistics	0.8
Multiline Retail	0.8
Road & Rail	0.8
Electrical Equipment	0.7
Metals & Mining	0.7
Textiles, Apparel & Luxury Goods	0.6
Automobiles	0.5
Commercial Services & Supplies	0.5
Life Sciences Tools & Services	0.5
Electronic Equipment, Instruments & Components	0.4
Auto Components	0.3
Household Durables	0.3
Wireless Telecommunication Services	0.3
Construction & Engineering	0.2
Paper & Forest Products	0.2
Personal Products	0.2
Trading Companies & Distributors	0.2
U.S. Government Obligation	0.2
Airlines	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
Professional Services	0.1
Thrifts & Mortgage Finance	0.1

	105.4
Liabilities in excess of other assets	(5.4	)

	100.0	%

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

Fair values of derivative instruments as of December 31, 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

391,891

*	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 year ended December 31, 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	$	7,667,963


Change in Unrealized Depreciation on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	(1,339,593	)

For the year ended December 31, 2012, the average value at trade date for futures long position was $48,182,801.

SEE NOTES TO FINANCIAL STATEMENTS.

A110


		*STOCK INDEX PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012


ASSETS
Investments, at value including securities on loan of $128,168,029:
Unaffiliated investments (cost $1,126,015,547)	$	2,287,169,770
Affiliated investments (cost $178,676,661)		178,676,661
Receivable for investments sold		3,020,845
Dividends and interest receivable		2,560,796
Due from broker—variation margin		1,398,875
Foreign tax reclaim receivable		19,310
Prepaid expenses		15,540
Receivable for Series shares sold		4,366

Total Assets		2,472,866,163

LIABILITIES
Collateral for securities on loan		129,522,551
Payable for investments purchased		1,683,877
Management fee payable		592,862
Payable for Series shares repurchased		551,672
Accrued expenses and other liabilities		127,028
Payable to custodian		122,832
Affiliated transfer agent fee payable		926

Total Liabilities		132,601,748

NET ASSETS	$	2,340,264,415

Net assets were comprised of:
Paid-in capital	$	1,128,501,387
Retained earnings		1,211,763,028

Net assets, December 31, 2012	$	2,340,264,415

Net asset value and redemption price per share, $2,340,264,415 / 65,639,105 outstanding shares of beneficial interest	$	35.65

STATEMENT OF OPERATIONS

Year Ended December 31, 2012


INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $9,655)	$	52,444,648
Affiliated income from securities loaned, net		322,112
Affiliated dividend income		89,524
Interest		2,364

		52,858,648

EXPENSES
Management fee		8,064,851
Custodian’s fees and expenses		228,000
Shareholders’ reports		151,000
Trustees’ fees		30,000
Insurance expenses		24,000
Audit fee		20,000
Legal fees and expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		15,632

Total expenses		8,564,483
Less: Management fee waiver (Note 3)		(1,152,122	)

Net expenses		7,412,361

NET INVESTMENT INCOME		45,446,287

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		47,849,129
Futures		7,667,963

		55,517,092

Net change in unrealized appreciation (depreciation) on:
Investments		232,183,193
Futures		(1,339,593	)

		230,843,600

NET GAIN ON INVESTMENTS		286,360,692

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	331,806,979

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	45,446,287		$	38,928,475
Net realized gain on investments		55,517,092			31,044,681
Net change in unrealized appreciation (depreciation) on investments		230,843,600			(25,573,488	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		331,806,979			44,399,668

DISTRIBUTIONS		(45,812,464	)		(36,002,280	)

SERIES SHARE TRANSACTIONS:
Series shares sold [1,497,834 and 1,251,307 shares, respectively]		52,031,635			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 [5,978,533 and 6,278,327 shares, respectively]		(205,985,546	)		(199,110,942	)

NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(108,141,447	)		(123,537,335	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		177,853,068			(115,139,947	)
NET ASSETS:
Beginning of year		2,162,411,347			2,277,551,294

End of year	$	2,340,264,415		$	2,162,411,347

SEE NOTES TO FINANCIAL STATEMENTS.

A111

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1:

General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). 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 (the “Board”) 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 or not representative of the fair value of the securities. 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:

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.

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 model prices derived using 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 model prices are classified as Level 2 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs to the valuation.

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies and guaranteed obligations, 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 models with input from deal terms, tranche level attributes, yield curves, 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 sixty days or less, 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 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 swap 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.

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 December 31, 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 invested in a highly liquid short-term money market and 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 and any interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls: Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. 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 December 31, 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”).

The Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2012, brokerage commission recaptured under these agreements was as follows:


Portfolio	Commission Recaptured
Equity Portfolio	$	150,792
Global Portfolio		3,278

Note 4:

Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

PIM also serves as the Series Fund’s security lending agent. For the year ended December 31, 2012, PIM was compensated as follows for these services by the Series Fund Portfolios:


Portfolio	PIM
Conservative Balanced Portfolio	$	80,668
Diversified Bond Portfolio		64,035
Equity Portfolio		546,566
Flexible Managed Portfolio		55,819
Global Portfolio		34,854
Government Income Portfolio		5,974
Stock Index Portfolio		96,215

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, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as affiliated dividend income.

Note 5:

Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2012 were as follows:


Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	3,027,076,428	$	3,124,109,519
Diversified Bond Portfolio		1,100,850,694		1,443,209,685
Equity Portfolio		1,468,458,591		1,706,309,866
Flexible Managed Portfolio		5,348,778,903		5,449,118,743
Global Portfolio		324,562,963		366,366,916
Government Income Portfolio		4,471,531,989		4,521,968,356
Stock Index Portfolio		48,232,425		160,463,387

Options written transactions, during the year ended December 31, 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 December 31, 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 December 31, 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 December 31, 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 December 31, 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 December 31, 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
Year ended December 31, 2012:
Series shares sold		665,566		$	17,089,685
Series shares issued in reinvestment of distributions		764,646			18,817,932
Series shares repurchased		(9,596,928	)		(249,386,485	)

Net increase (decrease) in shares outstanding		(8,166,716	)	$	(213,478,868	)

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	)


Class II
Year ended December 31, 2012:
Series shares sold		2,851		$	75,562
Series shares issued in reinvestment of distributions		170			4,233
Series shares repurchased		(18,112	)		(453,228	)

Net increase (decrease) in shares outstanding		(15,091	)	$	(373,433	)

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 November 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to November 15, 2012, the Funds had another SCA with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolio utilized the SCA during the year ended December 31, 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 December 31, 2012
Equity Portfolio	$	340,000		1		1.49	%	$	—

Note 9:

Ownership and Affiliates

As of December 31, 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.

B10

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.

B11

Financial Highlights


	Conservative Balanced Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	16.32		$	15.96		$	14.65		$	12.69		$	16.69

Income (Loss) From Investment Operations:
Net investment income		.38			.36			.37			.39			.50
Net realized and unrealized gain (loss) on investments		1.43			.37			1.31			2.08			(3.98	)

Total from investment operations		1.81			.73			1.68			2.47			(3.48	)

Less Distributions		(.36	)		(.37	)		(.37	)		(.51	)		(.52	)

Net Asset Value, end of year	$	17.77		$	16.32		$	15.96		$	14.65		$	12.69

Total Return(b)		11.23	%		4.60	%		11.74	%		20.01	%		(21.41	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,287.0		$	2,191.6		$	2,234.7		$	2,138.7		$	1,957.5
Ratios to average net assets(c):
Expenses		.58	%		.59	%		.59	%		.59	%		.59	%
Net investment income		2.11	%		2.12	%		2.32	%		2.68	%		3.12	%
Portfolio turnover rate(d)		188	%		215	%		185	%		250	%		336	%

	Diversified Bond Portfolio
	Year Ended December 31,
	2012(a)			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.74		$	11.67		$	11.16		$	9.89		$	10.90

Income (Loss) From Investment Operations:
Net investment income		.54			.56			.52			.50			.54
Net realized and unrealized gain (loss) on investments		.66			.30			.63			1.46			(.90	)

Total from investment operations		1.20			.86			1.15			1.96			(.36	)

Less Distributions		(1.06	)		(.79	)		(.64	)		(.69	)		(.65	)

Net Asset Value, end of year	$	11.88		$	11.74		$	11.67		$	11.16		$	9.89

Total Return(b)		10.68	%		7.51	%		10.57	%		20.51	%		(3.46	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,305.9		$	1,556.9		$	1,522.9		$	1,363.5		$	1,134.8
Ratios to average net assets(c):
Expenses		.44	%		.42	%		.46	%		.44	%		.44	%
Net investment income		4.57	%		4.76	%		4.46	%		4.79	%		5.07	%
Portfolio turnover rate		144	%		167	%		191	%		401	%		723	%

(a)	Calculated based on average shares outstanding during the year.

(b)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(c)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

(d)	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


	Equity Portfolio
	Class I
	Year Ended December 31,
	2012(c)			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	23.73		$	24.75		$	22.30		$	16.40		$	29.67

Income (Loss) From Investment Operations:
Net investment income		.27			.13			.15			.16			.29
Net realized and unrealized gain (loss) on investments		2.96			(.98	)		2.48			6.04			(10.52	)

Total from investment operations		3.23			(.85	)		2.63			6.20			(10.23	)

Less Distributions:		(.15	)		(.17	)		(.18	)		(.30	)		(3.04	)

Net Asset Value, end of year	$	26.81		$	23.73		$	24.75		$	22.30		$	16.40

Total Return(a)		13.69	%		(3.47	)%		11.90	%		38.17	%		(38.16	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,167.0		$	2,997.5		$	3,324.3		$	3,195.1		$	2,521.0
Ratios to average net assets(b):
Expenses		.47	%		.48	%		.48	%		.48	%		.48	%
Net investment income		1.04	%		.58	%		.71	%		.90	%		1.21	%
Portfolio turnover rate		48	%		49	%		68	%		98	%		67	%

	Equity Portfolio
	Class II
	Year Ended December 31,
	2012(c)			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	23.99		$	25.00		$	22.46		$	16.47		$	29.81

Income (Loss) From Investment Operations:
Net investment income		.17			.06			.04			.09			.19
Net realized and unrealized gain (loss) on investments		3.00			(1.03	)		2.54			6.07			(10.61	)

Total from investment operations		3.17			(.97	)		2.58			6.16			(10.42	)

Less Distributions:		(.06	)		(.04	)		(.04	)		(.17	)		(2.92	)

Net Asset Value, end of year	$	27.10		$	23.99		$	25.00		$	22.46		$	16.47

Total Return(a)		13.23	%		(3.87	)%		11.50	%		37.58	%		(38.47	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1.8		$	2.0		$	1.9		$	.4		$	.4
Ratios to average net assets(b):
Expenses		.87	%		.88	%		.88	%		.88	%		.88	%
Net investment income		.63	%		.19	%		.34	%		.52	%		.78	%
Portfolio turnover rate		48	%		49	%		68	%		98	%		67	%

(a)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

(b)	Does not include expenses of the underlying portfolio in which the Portfolio invests.

(c)	Calculation based on average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Flexible Managed Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.99		$	15.63		$	14.28		$	12.34		$	18.30

Income (Loss) From Investment Operations:
Net investment income		.37			.33			.31			.34			.45
Net realized and unrealized gain (loss) on investments		1.74			.34			1.37			2.05			(4.62	)

Total from investment operations		2.11			.67			1.68			2.39			(4.17	)

Less Distributions		(.33	)		(.31	)		(.33	)		(.45	)		(1.79	)

Net Asset Value, end of year	$	17.77		$	15.99		$	15.63		$	14.28		$	12.34

Total Return(a)		13.37	%		4.34	%		12.03	%		19.95	%		(24.82	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,265.8		$	3,036.8		$	3,077.3		$	2,906.0		$	2,621.6
Ratios to average net assets(b):
Expenses		.63	%		.63	%		.64	%		.63	%		.64	%
Net investment income		2.05	%		2.01	%		2.06	%		2.50	%		2.85	%
Portfolio turnover rate(c)		214	%		246	%		205	%		248	%		321	%

	Global Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	16.94		$	18.49		$	16.68		$	13.07		$	24.62

Income (Loss) From Investment Operations:
Net investment income		.36			.29			.28			.28			.40
Net realized and unrealized gain (loss) on investments		2.57			(1.56	)		1.79			3.75			(10.38	)

Total from investment operations		2.93			(1.27	)		2.07			4.03			(9.98	)

Less Distributions		(.30	)		(.28	)		(.26	)		(.42	)		(1.57	)

Net Asset Value, end of year	$	19.57		$	16.94		$	18.49		$	16.68		$	13.07

Total Return(a)		17.52	%		(6.97	)%		12.74	%		31.39	%		(42.92	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	611.2		$	564.2		$	648.5		$	619.5		$	512.7
Ratios to average net assets(b):
Expenses		.84	%		.84	%		.87	%		.85	%		.84	%
Net investment income		1.82	%		1.54	%		1.60	%		1.77	%		2.01	%
Portfolio turnover rate		57	%		69	%		69	%		50	%		65	%

(a)

(b)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c)	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


	Government Income Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.37		$	12.03		$	11.86		$	11.40		$	11.38

Income From Investment Operations:
Net investment income		.25			.30			.35			.37			.45
Net realized and unrealized gain on investments		.19			.60			.47			.49			.03

Total from investment operations		.44			.90			.82			.86			.48

Less Distributions		(.66	)		(.56	)		(.65	)		(.40	)		(.46	)

Net Asset Value, end of year	$	12.15		$	12.37		$	12.03		$	11.86		$	11.40

Total Return(a)		3.63	%		7.63	%		6.99	%		7.71	%		4.30	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	382.9		$	416.7		$	399.2		$	375.4		$	370.5
Ratios to average net assets(b):
Expenses		.48	%		.46	%		.50	%		.47	%		.52	%(d)
Net investment income		1.96	%		2.48	%		2.87	%		3.11	%		3.98	%(d)
Portfolio turnover rate(c)		1154	%		1554	%		1122	%		1179	%		2707	%

	Stock Index Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	31.47		$	31.37		$	27.89		$	22.76		$	36.84

Income (Loss) From Investment Operations:
Net investment income		.68			.54			.48			.49			.64
Net realized and unrealized gain (loss) on investments		4.19			.07			3.51			5.32			(14.02	)

Total from investment operations		4.87			.61			3.99			5.81			(13.38	)

Less Distributions		(.69	)		(.51	)		(.51	)		(.68	)		(.70	)

Net Asset Value, end of year	$	35.65		$	31.47		$	31.37		$	27.89		$	22.76

Total Return(a)		15.68	%		1.95	%		14.59	%		26.07	%		(36.94	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,340.3		$	2,162.4		$	2,277.6		$	2,098.1		$	1,815.8
Ratios to average net assets(b):
Expenses		.32	%(e)		.33	%(e)		.36	%(e)		.37	%		.37	%
Net investment income		1.97	%(e)		1.74	%(e)		1.70	%(e)		2.06	%		2.04	%
Portfolio turnover rate		2	%		2	%		4	%		5	%		4	%

(a)

(b)	Does not include expenses of the underlying portfolios in which the Portfolio invests.

(c)	The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(d)	Includes interest expense of .03%.

(e)

Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income ratio would have been .37% and 1.92% for the year ended December 31, 2012, .38% and 1.69% for the year ended December 31, 2011 and .38% and 1.68% for the year ended December 31, 2010, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2012, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2012, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 15, 2013

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.


Independent Trustees⁽¹⁾
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (45) No. of Portfolios Overseen: 92	Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat (63) No. of Portfolios Overseen: 92	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.).
Kay Ryan Booth (62) No. of Portfolios Overseen: 92	Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold (74) No. of Portfolios Overseen: 92	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
W. Scott McDonald, Jr., Ph.D. (75) No. of Portfolios Overseen: 92	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None.
Thomas T. Mooney (71) No. of Portfolios Overseen: 92	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.
Thomas M. O’Brien (62) No. of Portfolios Overseen: 92	Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.


Independent Trustees⁽¹⁾
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
F. Don Schwartz (77) No. of Portfolios Overseen: 92	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.
Interested Trustees⁽¹⁾
Robert F. O’Donnell (44) No. of Portfolios Overseen: 92	President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008)	None.
Robert F. Gunia (66) No. of Portfolios Overseen: 92	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (47) Number of Portfolios Overseen: 92	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Timothy S. Cronin, 2011; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; F. Don Schwartz, 2003.


Fund Officers^(a)(1)
Name, Address and Age Position with the Fund		Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara (57) Chief Legal Officer		Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Deborah A. Docs (54) Secretary		Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (54) Assistant Secretary		Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (38) Assistant Secretary		Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).
Andrew R. French (50) Assistant Secretary		Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Amanda S. Ryan (35) Assistant Secretary		Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of PI; Associate at Ropes & Gray (2008-2012).
Valerie M. Simpson (53) Chief Compliance Officer		Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President – Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (50) Deputy Chief Compliance Officer		Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001-2004).


Fund Officers^(a)(1)
Name, Address and Age Position with the Fund		Principal Occupation(s) During the Past Five Years
Richard W. Kinville (44) Anti-Money Laundering Compliance Officer		Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (53) Treasurer and Principal Financial and Accounting Officer		Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.
M. Sadiq Peshimam (49) Assistant Treasurer		Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (54) Assistant Treasurer		Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (56) Assistant Treasurer		Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. O’Donnell and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

⁽¹⁾ The year in which each individual became an Officer of the Fund is as follows: Raymond A. O’Hara, 2012; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; Amanda S. Ryan, 2012; Andrew R. French, 2006; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert O’Donnell and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

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

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

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

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

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 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.

0239747-00001-00 MD.RS.011

Item 2 – Code of Ethics — See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. Stephen P. Munn, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 – Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal years ended December 31, 2012 and December 31, 2011, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $19,000 and $19,000, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

None.

(d) All Other Fees

None.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

•

a review of the nature of the professional services expected to be provided,

•

a review of the safeguards put into place by the accounting firm to safeguard independence, and

•

periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

•

Annual Fund financial statement audits

•

Seed audits (related to new product filings, as required)

•

SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

•

Accounting consultations

•

Fund merger support services

•

Agreed Upon Procedure Reports

•

Attestation Reports

•

Other Internal Control Reports

Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

•

Tax compliance services related to the filing or amendment of the following:

•

Federal, state and local income tax compliance; and,

•

Sales and use tax compliance

•

Timely RIC qualification reviews

•

Tax distribution analysis and planning

•

Tax authority examination services

•

Tax appeals support services

•

Accounting methods studies

•

Fund merger support services

•

Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Other Non-audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

•

Bookkeeping or other services related to the accounting records or financial statements of the Fund

•

Financial information systems design and implementation

•

Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

•

Actuarial services

•

Internal audit outsourcing services

•

Management functions or human resources

•

Broker or dealer, investment adviser, or investment banking services

•

Legal services and expert services unrelated to the audit

•

Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

(e)	(2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –

Not applicable.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2012 and 2011. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2012 and 2011 was $0 and $0, respectively.

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5 – Audit Committee of Listed Registrants – Not applicable.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not

applicable.

Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.

Item 11 – Controls and Procedures

(a)

It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b)

There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

(a)

(1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

(3) Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.

(b)

Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

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


Registrant:		The Prudential Variable Contract Account-11

By:		/s/ Deborah A. Docs
		Deborah A. Docs
		Secretary

Date:		February 21, 2013

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


By:		/s/ Stuart S. Parker
		Stuart S. Parker
		President and Principal Executive Officer

Date:		February 21, 2013

By:		/s/ Grace C. Torres
		Grace C. Torres
		Treasurer and Principal Financial Officer

Date:		February 21, 2013

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2012