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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03422
Exact name of registrant as specified in charter:	The Prudential Variable Contract Account-11
Address of principal executive offices:	655 Broad Street 17th FL
	Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs
	655 Broad Street 17th FL
	Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2015
Date of reporting period:	6/30/2015

Item 1 – Reports to Stockholders

The MEDLEY Program

SEMIANNUAL REPORT • JUNE 30, 2015

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 are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies.

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

The accompanying financial statements as of June 30, 2015, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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

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

The Prudential MEDLEY Program   Table of Contents Semiannual Report June 30, 2015

n LETTER TO PARTICIPANTS

n VCA-10 CAPITAL GROWTH ACCOUNT

Financial Statements

n VCA-11 MONEY MARKET ACCOUNT

Financial Statements

n 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

n APPROVAL OF ADVISORY AGREEMENTS

The Prudential MEDLEY Program Letter to Participants June 30, 2015

n DEAR PARTICIPANT:

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

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

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

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

Sincerely,

Stuart Parker President, The Prudential Variable Contract Accounts 10 & 11	Timothy S. Cronin President, The Prudential Series Fund

July 31, 2015

Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24)   Presentation of Portfolio Holdings — unaudited June 30, 2015

Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	1.8%
U.S. Treasury Notes, 2.125%, 09/30/21	1.1%
Federal National Mortgage Assoc., 3.000%, TBA	1.0%
Microsoft Corp.	0.9%
Exxon Mobil Corp.	0.9%

Diversified Bond
Issuer	(% of Net Assets	)
Banking	12.8%
Commercial Mortgage-Backed Securities	10.7%
Residential Mortgage-Backed Securities	7.8%
Healthcare & Pharmaceutical	5.1%
Sovereigns	4.9%

Equity
Five Largest Holdings	(% of Net Assets	)
Allergan PLC	3.5%
Apple, Inc.	3.5%
Facebook, Inc. (Class A Stock)	3.1%
Amazon.com, Inc.	2.1%
NIKE, Inc., (Class B Stock)	2.0%

Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.6%
Exxon Mobil Corp.	1.4%
Microsoft Corp.	1.4%
JPMorgan Chase & Co.	1.2%
Johnson & Johnson	1.1%

Global
Top Five Countries	(% of Net Assets	)
United States	50.1%
Japan	9.7%
United Kingdom	7.8%
France	3.9%
Switzerland	3.1%

Government Income
Allocation	(% of Net Assets	)
U.S. Government Agency Obligations	50.9%
Commercial Mortgaged-Backed Securities	22.7%
U.S. Treasury Obligations	19.5%
Collateralized Loan Obligations	5.6%
Foreign Agencies	0.7%

Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.9%
Microsoft Corp.	1.9%
Exxon Mobil Corp.	1.9%
Johnson & Johnson	1.4%
General Electric Co.	1.4%

VCA-10
Five Largest Holdings	(% of Net Assets	)
Allergan PLC	3.2%
Apple, Inc.	2.8%
JPMorgan Chase & Co.	2.4%
Facebook, Inc. (Class A Stock)	2.4%
Wells Fargo & Co.	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.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2015

LONG-TERM INVESTMENTS — 98.1%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.4%
Boeing Co. (The)		17,316	$	2,402,076
Airlines — 0.6%
United Continental Holdings, Inc.(a)		17,868		947,183
Auto Components — 1.1%
Lear Corp.		16,685		1,873,058
Automobiles — 1.7%
General Motors Co.		26,016		867,113
Tesla Motors, Inc.(a)		7,990		2,143,397
				3,010,510
Banks — 8.9%
Bank of America Corp.		152,457		2,594,818
Citigroup, Inc.		54,918		3,033,670
JPMorgan Chase & Co.		62,856		4,259,123
PNC Financial Services Group, Inc.		18,525		1,771,916
Wells Fargo & Co.		69,829		3,927,183
				15,586,710
Biotechnology — 4.2%
Alexion Pharmaceuticals, Inc.(a)		8,731		1,578,303
Biogen, Inc.(a)		6,314		2,550,477
Celgene Corp.(a)		14,268		1,651,307
Regeneron Pharmaceuticals, Inc.(a)		3,091		1,576,812
				7,356,899
Capital Markets — 3.1%
Goldman Sachs Group, Inc. (The)		14,483		3,023,906
Morgan Stanley		59,896		2,323,366
				5,347,272
Chemicals — 0.9%
FMC Corp.		30,096		1,581,545
Communications Equipment — 1.1%
Brocade Communications Systems, Inc.		157,337		1,869,164
Consumer Finance — 3.4%
Capital One Financial Corp.		21,462		1,888,012
Navient Corp.		102,454		1,865,687
SLM Corp.(a)		222,338		2,194,476
				5,948,175
Diversified Financial Services — 1.1%
Voya Financial, Inc.		40,797		1,895,837
Electric Utilities — 1.5%
FirstEnergy Corp.		79,067		2,573,631
Electrical Equipment — 1.0%
Eaton Corp. PLC		25,852		1,744,751
Electronic Equipment & Instruments — 0.7%
FitBit, Inc.(a)		368		14,069
Flextronics International Ltd.(a)		103,825		1,174,261
				1,188,330
Energy Equipment & Services — 1.0%
Halliburton Co.		39,740		1,711,602

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products — 2.5%
Bunge Ltd.		20,434	$	1,794,105
Mondelez International, Inc. (Class A Stock)		63,586		2,615,928
				4,410,033
Health Care Equipment & Supplies — 0.7%
Zimmer Biomet Holdings, Inc.		11,210		1,224,468
Health Care Providers & Services — 2.7%
Cigna Corp.		17,810		2,885,220
HCA Holdings, Inc.(a)		19,049		1,728,125
				4,613,345
Hotels, Restaurants & Leisure — 3.7%
Carnival Corp.		55,778		2,754,875
Hyatt Hotels Corp.(a)		27,702		1,570,426
Starbucks Corp.		40,543		2,173,713
				6,499,014
Insurance — 2.5%
MetLife, Inc.		47,920		2,683,041
Travelers Cos, Inc. (The)		16,949		1,638,290
				4,321,331
Internet & Catalog Retail — 4.0%
Amazon.com, Inc.(a)		7,384		3,205,321
JD.com, Inc. (China), ADR(a)		62,790		2,141,139
Netflix, Inc.(a)		2,543		1,670,598
				7,017,058
Internet Software & Services — 7.4%
Facebook, Inc. (Class A Stock)(a)		48,233		4,136,703
Google, Inc. (Class A Stock)(a)		5,147		2,779,586
Google, Inc. (Class C Stock)		1,895		986,366
LinkedIn Corp.(a)		11,315		2,338,018
Tencent Holdings Ltd. (China), ADR		128,740		2,581,237
				12,821,910
IT Services — 2.9%
FleetCor Technologies, Inc.(a)		10,442		1,629,579
MasterCard, Inc. (Class A Stock)		19,132		1,788,459
Visa, Inc. (Class A Stock)		25,440		1,708,296
				5,126,334
Machinery — 0.8%
SPX Corp.		21,038		1,522,941
Media — 5.8%
Comcast Corp. (Class A Stock)		38,673		2,325,794
Liberty Global PLC (Series C) (United Kingdom)(a)		43,616		2,208,278
Viacom, Inc.		14,053		908,386
Vivendi SA (France), ADR		59,605		1,507,410
Walt Disney Co. (The)		28,262		3,225,825
				10,175,693
Multiline Retail — 1.3%
Target Corp.		27,984		2,284,334

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2015

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities — 0.8%
PG&E Corp.		29,126	$	1,430,087
Oil, Gas & Consumable Fuels — 5.1%
Anadarko Petroleum Corp.		19,788		1,544,651
Chevron Corp.		11,358		1,095,706
Marathon Oil Corp.		68,090		1,807,109
Noble Energy, Inc.		34,009		1,451,504
Occidental Petroleum Corp.		17,956		1,396,438
Suncor Energy, Inc. (Canada)		60,097		1,653,869
				8,949,277
Pharmaceuticals — 11.2%
AbbVie, Inc.		22,103		1,485,101
Allergan PLC(a)		18,564		5,633,431
Bayer AG (Germany), ADR		12,706		1,791,355
Merck & Co., Inc.		44,005		2,505,205
Mylan, Inc.(a)		25,081		1,701,997
Pfizer, Inc.		68,301		2,290,133
Shire PLC (Ireland), ADR		10,170		2,455,953
Teva Pharmaceuticals Industries Ltd., (Israel), ADR		29,625		1,750,838
				19,614,013
Road & Rail — 1.4%
Hertz Global Holdings, Inc.(a)		68,763		1,245,986
Union Pacific Corp.		12,838		1,224,360
				2,470,346
Semiconductors & Semiconductor Equipment — 1.0%
Applied Materials, Inc.		88,000		1,691,360
Software — 3.6%
Microsoft Corp.		51,233		2,261,937
PTC, Inc.(a)		32,281		1,324,167
Salesforce.com, Inc.(a)		39,289		2,735,693
				6,321,797
Technology Hardware, Storage & Peripherals — 5.5%
Apple, Inc.		38,793		4,865,612
EMC Corp/MA		63,055		1,664,021
Hewlett Packard Co.		70,260		2,108,503
NCR Corp.(a)		34,173		1,028,607
				9,666,743
Textiles, Apparel & Luxury Goods — 2.6%
Coach, Inc.		26,137		904,602
NIKE, Inc.		15,146		1,636,071
Under Armour, Inc. (Class A Stock)(a)		23,731		1,980,115
				4,520,788
Wireless Telecommunication Services — 0.9%
Vodafone Group PLC (United Kingdom), ADR		44,752		1,631,210
TOTAL COMMON STOCKS (cost $125,858,732)				171,348,825

COMMON STOCKS (continued)	Shares		Value (Note 2)
SHORT-TERM INVESTMENT — 1.8%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $3,133,554)(b)		3,133,554	$	3,133,554
TOTAL INVESTMENTS — 99.9% (cost $128,992,286)				174,482,379
OTHER ASSETS, LESS LIABILITIES — 0.1%
Receivable for Securities Sold			$	504,274
Interest and Dividends Receivable				222,886
Tax Reclaim Receivable				22,416
Payable Pending Capital Transactions				(272,788	)
Payable for Securities Purchased				(298,559	)
OTHER ASSETS IN EXCESS OF LIABILITIES				178,229
NET ASSETS — 100%			$	174,660,608
NET ASSETS, representing:
Equity of Participants —			$	174,687,896
Equity of The Prudential Insurance Company of America				(27,288	)
			$	174,660,608

The following abbreviations are used in the portfolio descriptions:

ADR American Depositary Receipt

(a) Non-income producing security.

(b) 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 (Unaudited)

June 30, 2015

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— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

Investments in Securities	Level 1		Level 2		Level 3
Common Stocks
Aerospace & Defense	$	2,402,076	$	—	$	—
Airlines		947,183		—		—
Auto Components		1,873,058		—		—
Automobiles		3,010,510		—		—
Banks		15,586,710		—		—
Biotechnology		7,356,899		—		—
Capital Markets		5,347,272		—		—
Chemicals		1,581,545		—		—
Communications Equipment		1,869,164		—		—
Consumer Finance		5,948,175		—		—
Diversified Financial Services		1,895,837		—		—
Electric Utilities		2,573,631		—		—
Electrical Equipment		1,744,751		—		—
Electronic Equipment & Instruments		1,188,330		—		—
Energy Equipment & Services		1,711,602		—		—
Food Products		4,410,033		—		—
Health Care Equipment & Supplies		1,224,468		—		—
Health Care Providers & Services		4,613,345		—		—
Hotels, Restaurants & Leisure		6,499,014		—		—
Insurance		4,321,331		—		—
Internet & Catalog Retail		7,017,058		—		—
Internet Software & Services		12,821,910		—		—
IT Services		5,126,334		—		—
Machinery		1,522,941		—		—
Media		10,175,693		—		—
Multiline Retail		2,284,334		—		—
Multi-Utilities		1,430,087		—		—
Oil, Gas & Consumable Fuels		8,949,277		—		—
Pharmaceuticals		19,614,013		—		—
Road & Rail		2,470,346		—		—
Semiconductors & Semiconductor Equipment		1,691,360		—		—
Software		6,321,797		—		—
Technology Hardware, Storage & Peripherals		9,666,743		—		—
Textiles, Apparel & Luxury Goods		4,520,788		—		—
Wireless Telecommunication Services		1,631,210		—		—
Affiliated Money Market Mutual Fund		3,133,554		—		—
Total	$	174,482,379	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2015

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2015 was as follows:

Pharmaceuticals	11.2	%
Banks	8.9
Internet Software & Services	7.4
Media	5.8
Technology Hardware, Storage & Peripherals	5.5
Oil, Gas & Consumable Fuels	5.1
Biotechnology	4.2
Internet & Catalog Retail	4.0
Hotels, Restaurants & Leisure	3.7
Software	3.6
Consumer Finance	3.4
Capital Markets	3.1
IT Services	2.9
Health Care Providers & Services	2.7
Textiles, Apparel & Luxury Goods	2.6
Food Products	2.5
Insurance	2.5
Affiliated Money Market Mutual Fund	1.8
Automobiles	1.7
Electric Utilities	1.5
Road & Rail	1.4

Aerospace & Defense	1.4	%
Multiline Retail	1.3
Auto Components	1.1
Communications Equipment	1.1
Diversified Financial Services	1.1
Semiconductors & Semiconductor Equipment	1.0
Energy Equipment & Services	1.0
Electrical Equipment	1.0
Chemicals	0.9
Wireless Telecommunications Services	0.9
Machinery	0.8
Multi-Utilities	0.8
Electronic Equipment & Instruments	0.7
Health Care Equipment & Supplies	0.7
Airlines	0.6
	99.9
Other assets in excess of liabilities	0.1
	100.0	%

The Account invested in derivative instruments (rights offerings) during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Account’s financial position and financial performance as reflected on the Statement of Net Assets and Statement of Operations is presented in the summary below.

For the six months ended June 30, 2015, the Account did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in Income on the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2015

INVESTMENT INCOME
Unaffiliated Dividend Income (net of $42,679 foreign withholding tax)	$	1,492,559
Affiliated Dividend Income		3,763
Total Income		1,496,322
EXPENSES
Fees Charged to Participants for Investment Management Services		(219,692	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(592,177	)
0.50% Contract		(4,883	)
0.45% Contract		(10,899	)
Total Expenses .		(827,651	)
NET INVESTMENT INCOME		668,671
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions		4,260,145
Net Change in Unrealized Appreciation (Depreciation) on Investments		110,998
NET GAIN ON INVESTMENTS		4,371,143
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,039,814

STATEMENT OF CHANGES IN NET ASSETS  (Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
OPERATIONS
Net Investment Income	$	668,671		$	581,392
Net Realized Gain on Investment Transactions		4,260,145			17,000,496
Net Change In Unrealized Appreciation (Depreciation) on Investments		110,998			711,791
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		5,039,814			18,293,679
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		770,285			2,800,566
Withdrawals and Transfers Out		(8,608,681	)		(19,564,364	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(7,838,396	)		(16,763,798	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(9,075	)		(3,501	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(2,807,657	)		1,526,380
NET ASSETS
Beginning of period		177,468,265			175,941,885
End of period	$	174,660,608		$	177,468,265

Accumulation Unit Values and Equity of Participants as of June 30, 2015

Standard Contract:
Accumulation Unit Value and Equity of Participants, $159,765,349 / 10,179,864 outstanding Accumulation Units		$	15.6943
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $3,887,807 / 225,299 outstanding Accumulation Units		$	17.2562
	��
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $11,034,740 / 638,059 outstanding Accumulation Units		$	17.2942

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*  (Unaudited)

(For an Accumulation Unit outstanding throughout the period)

	Six Months Ended June 30, 2015									Year Ended December 31, 2014
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.1321		$	.1450		$	.1453		$	.1871		$	.2046		$	.2049
Expenses
Investment management fee		(.0191	)		(.0211	)		(.0212	)		(.0362	)		(.0397	)		(.0398	)
Administrative expenses		(.0576	)		(.0211	)		(.0169	)		(.1086	)		(.0397	)		(.0318	)
Net Investment Income		.0554			.1028			.1072			.0423			.1252			.1333
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		.3828			.4202			.4210			1.4515			1.5879			1.5907
Net Increase (Decrease) in Accumulation Unit Value		.4382			.5230			.5282			1.4938			1.7131			1.7240
Accumulation Unit Value
Beginning of period		15.2561			16.7332			16.7660			13.7623			15.0201			15.0420
End of period	$	15.6943		$	17.2562		$	17.2942		$	15.2561		$	16.7332		$	16.7660
Total Return**		2.87	%		3.13	%		3.15	%		10.85	%		11.41	%		11.46	%
Ratio of Expenses To Average Net Assets***		1.00	%††		.50	%††		.45	%††		1.00	%		.50	%		.45	%
Ratio of Net Investment Income To Average Net Assets***		.72	%††		1.21	%††		1.26	%††		.29	%		.78	%		.83	%
Portfolio Turnover Rate		25	%†††		25	%†††		25	%†††		70	%		70	%		70	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		10,180			225			638			10,646			242			657

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized.

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

†† Annualized.

††† Not Annualized.

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.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*  (Unaudited)

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2013									Year Ended December 31, 2012
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.1792		$	.1950		$	.1952		$	.1825		$	.1975		$	.1976
Expenses
Investment management fee		(.0303	)		(.0330	)		(.0330	)		(.0251	)		(.0272	)		(.0272	)
Administrative expenses		(.0906	)		(.0330	)		(.0264	)		(.0752	)		(.0272	)		(.0218	)
Net Investment Income		.0583			.1290			.1358			.0822			.1431			.1486
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		3.1834			3.4658			3.4700			1.0786			1.1677			1.1686
Net Increase (Decrease) in Accumulation Unit Value		3.2417			3.5948			3.6058			1.1608			1.3108			1.3172
Accumulation Unit Value
Beginning of year		10.5206			11.4253			11.4362			9.3598			10.1145			10.1190
End of year	$	13.7623		$	15.0201		$	15.0420		$	10.5206		$	11.4253		$	11.4362
Total Return**		30.81	%		31.46	%		31.53	%		12.40	%		12.96	%		13.02	%
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%
Ratio of Net Investment Income To Average Net Assets***		.48	%		.98	%		1.03	%		.82	%		1.32	%		1.37	%
Portfolio Turnover Rate		69	%		69	%		69	%		44	%		44	%		44	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		11,720			224			751			13,204			205			891

* 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.

*** 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.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*  (Unaudited)

(For an Accumulation Unit outstanding throughout the period)

	Year/Period Ended December 31, 2011									Year Ended December  31, 2010
	Standard Contract			0.50% Contract			0.45% Contract†
Investment Income	$	.1448		$	.1559		$	.1203		$	.1531
Expenses
Investment management fee		(.0250	)		(.0270	)		(.0200	)		(.0227	)
Administrative expenses		(.0749	)		(.0270	)		(.0160	)		(.0678	)
Net Investment Income		.0449			.1019			.0843			.0626
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		(.7945	)		(.8579	)		(1.5558	)		.9846
Net Increase (Decrease) in Accumulation Unit Value		(.7496	)		(.7560	)		(1.4715	)		1.0472
Accumulation Unit Value
Beginning of period		10.1094			10.8705			11.5905			9.0708
End of period	$	9.3598		$	10.1145		$	10.1190		$	10.1180
Total Return**		(7.41	%)		(6.95	%)		(12.70	%)		11.54	%
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%††		1.00	%
Ratio of Net Investment Income To Average Net Assets***		.44	%		.94	%		1.03	%††		.69	%
Portfolio Turnover Rate		56	%		56	%		56	%†††		70	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		15,386			205			1,001			18,330

* 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.

† Inception Date — April 1, 2011.

†† Annualized.

††† Not Annualized.

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

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-10 (Unaudited)

Note 1: General

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

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

Note 2: Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.

Security Valuation:    The Account holds 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”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Account’s Schedule of Investments.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 where the security principally trades. 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 in the fair value hierarchy.

In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable.

Common and preferred stocks traded on foreign securities exchanges 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 in the fair value hierarchy, as the adjustment factors are observable. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the

vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

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 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.

OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.

Account securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in 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.

Restricted and Illiquid Securities:    The Account may hold up to 15% 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 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 that may differ from actual. 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 six months ended June 30, 2015, 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, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Purchases and Sales of Portfolio Securities

For the six months ended June 30, 2015, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $41,916,872 and $45,825,601, respectively.

Note 6: Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2015 and the year ended December 31, 2014, respectively, are as follows:

Standard Contracts	Units			Amount
Six months ended June 30, 2015:
Account units issued		44,593		$	691,531
Account units redeemed		(510,912	)		(7,918,539	)
Net increase (decrease) in units outstanding		(466,319	)	$	(7,227,008	)
Year ended December 31, 2014:
Account units issued		172,446		$	2,481,094
Account units redeemed		(1,246,510	)		(18,029,348	)
Net increase (decrease) in units outstanding		(1,074,064	)	$	(15,548,254	)

0.50 % Contracts	Units			Amount
Six months ended June 30, 2015:
Account units issued		4,638		$	78,754
Account units redeemed		(21,503	)		(367,590	)
Net increase (decrease) in units outstanding		(16,865	)	$	(288,836	)
Year ended December 31, 2014:
Account units issued		20,355		$	319,472
Account units redeemed		(2,392	)		(37,293	)
Net increase (decrease) in units outstanding		17,963		$	282,179
0.45 % Contracts	Units			Amount
Six months ended June 30, 2015:
Account units issued		—		$	—
Account units redeemed		(18,889	)		322,552
Net increase (decrease) in units outstanding		(18,889	)	$	322,552
Year ended December 31, 2014:
Account units issued		—		$	—
Account units redeemed		(93,613	)		(1,497,723	)
Net increase (decrease) in units outstanding		(93,613	)	$	(1,497,723	)

Note 7: Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

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

Note 8: Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.

For the six months ended June 30, 2015, $41,436 in participant loans were withdrawn from VCA-10 and $73,383 of principal and interest was repaid to VCA-10. For the year ended December 31, 2014, $95,927 in participant loans were withdrawn from VCA-10 and $155,348 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2015, PICA has advised the Account that it received $579 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 Pronouncement

In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2015

SHORT-TERM INVESTMENTS — 100%	Principal Amount (000)#		Value (Note 2)
Certificates of Deposit — 22.9%
Bank of America NA
0.230%, 08/12/2015	$	400	$	400,000
0.270%, 09/11/2015		250		250,000
Bank of Nova Scotia
0.220%, 09/18/2015		250		250,000
0.424%, 07/17/2015(b)		350		350,020
0.726%, 09/11/2015		60		60,000
Bank of Tokyo-Mitsubishi UFJ Ltd. 0.327%, 08/25/2015(b)		300		300,000
Chase Bank USA NA 0.270%, 07/27/2015		400		400,026
Citibank NA 0.200%, 09/21/2015		280		280,000
DNB Bank ASA 0.200%, 09/09/2015		275		275,000
Nordea Bank Finland PLC
0.245%, 07/09/2015		350		350,003
0.250%, 09/08/2015		350		350,020
Royal Bank of Canada 0.316%, 12/11/2015(b)		275		275,000
Skandinaviska Enskilda Banken AB
0.276%, 10/15/2015(b)		400		400,000
0.311%, 07/10/2015(b)		275		275,000
State Street Bank & Trust Co.
0.324%, 10/01/2015(b)		300		300,000
0.332%, 03/21/2016(b)		300		300,000
Sumitomo Mitsui Banking Corp. 0.260%, 07/09/2015		500		500,000
Svenska Handelsbanken AB 0.200%, 08/12/2015		400		400,002
U.S. Bank NA 0.246%, 07/27/2015(b)		300		300,000
				6,015,071
Commercial Paper — 16.7%
Caisse Centrale Desjardins du Quebec, 144A 0.277%, 10/22/2015(b)		450		450,000
Cargill, Inc., 144A 0.081%, 07/01/2015(a)		600		600,000
Commonwealth Bank of Australia, 144A 0.305%, 05/04/2016(b)		500		499,961
DNB Bank ASA, 144A 0.337%, 04/21/2016(b)		300		300,000
European Investment Bank 0.200%, 09/04/2015(a)		300		299,897
HSBC Bank PLC, 144A 0.281%, 07/10/2015(b)		275		275,000
ING (U.S.) Funding LLC, 0.270%, 09/18/2015(a)		365		364,784
JPMorgan Securities LLC, 144A 0.384%, 08/07/2015(b)		280		280,000
National Oilwell Varco, Inc., 144A 0.198%, 07/08/2015(a)		300		299,989
Pfizer, Inc., 144A 0.200%, 07/16/2015(b)		260		259,978

SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)#		Value (Note 2)
Commercial Paper (continued)
State Street Corp. 0.200%, 07/09/2015(a)	$	300	$	299,987
Swedbank AB 0.235%, 09/04/2015(a)		200		199,915
Toyota Motor Credit Corp. 0.170%, 08/25/2015(a)		250		249,935
				4,379,446
Other Corporate Obligations — 20.6%
Bank of Montreal Sr. Unsec’d Notes, MTN 0.532%, 09/24/2015		400		400,179
General Electric Capital Corp. , Sr. Unsec’d. Notes
0.474%, 01/08/2016(b)		400		400,346
1.625%, 07/02/2015		300		300,011
IBM Corp., Sr. Unsec’d. Notes 0.349%, 02/05/2016(a)		264		264,154
International American Development Bank, Sr. Unsec’d. Notes, MTN 0.186%, 07/29/2015(b)		250		250,000
International Finance Corp., Sr. Unsec’d. Notes, MTN 0.186%, 08/27/2015(b)		300		300,000
KFW, Gov’t. Gtd. Notes 0.243%, 07/09/2015(b)		470		470,006
Province of Ontario, Sr. Unsec’d. Notes 0.327%, 08/13/2015(b)		585		585,036
Toronto-Dominion Bank (The), Sr. Unsec’d. Notes, MTN 0.480%, 11/06/2015(b)		300		300,209
Total Capital Canada Ltd., Gtd. Notes, 0.655%, 01/15/2016(b)		500		500,921
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN
0.282%, 08/26/2015(b)		300		300,000
0.421%, 01/07/2016(b)		200		200,057
U.S. Bancorp., Sr. Unsec’d. Notes, MTN 2.450%, 07/27/2015		300		300,465
Volkswagen International Finance NV, Gtd. Notes, 144A 0.606%, 11/18/2015(b)		475		475,425
Wells Fargo Bank NA, Sr. Unsec’d. Notes 0.555%, 07/20/2015(b)		350		350,046
				5,396,855
Repurchase Agreement(c) — 9.3%
TD Securities (USA), Ltd. 0.120%, dated 06/30/2015, due 07/01/2015 in the amount of $2,446,008		2,446		2,446,000
U.S. Government Agency Obligations — 30.5%
Federal Farm Credit Bank 0.157%, 09/30/2015(a)		300		300,001
Federal Home Loan Bank
0.030%, 07/08/2015		1,000		999,994

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2015

SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)#		Value (Note 2)
U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (cont’d.)
0.071%, 08/07/2015(a)	$	500	$	499,964
0.071%, 08/19/2015(a)		492		491,953
0.075%, 07/22/2015(a)		1,000		999,956
0.082%, 07/17/2015(a)		500		499,982
0.085%, 08/28/2015(a)		300		299,959
0.092%, 08/05/2015(a)		500		499,955
0.095%, 09/30/2015(a)		500		499,880
0.115%, 08/26/2015(a)		300		299,946
0.145%, 07/10/2015(b)		300		300,000
0.150%, 08/10/2015(a)		250		249,999
0.160%, 10/09/2015(a)		265		264,983
0.165%, 12/24/2015(b)		300		299,967
0.167%, 01/25/2016(b)		400		400,000
Federal Home Loan Mortgage Corp.
0.145%, 02/18/2016(b)		500		499,952
0.165%, 10/16/2015(b)		590		590,037
				7,996,528
U.S. Treasury Obligation — 1.9%
U.S. Treasury Note 1.750%, 07/31/2015		500		500,687
TOTAL INVESTMENTS — 101.9% (amortized cost $26,734,587)				26,734,587
LIABILITIES, LESS OTHER ASSETS — (1.9)%
Interest Receivable				15,736
Cash				465
Payable Pending Capital Transactions				(26,957	)
Payable for Securities Purchased				(499,880	)
LIABILITIES IN EXCESS OF OTHER ASSETS				(510,636	)

SHORT-TERM INVESTMENTS (continued)	Value (Note 2)
NET ASSETS — 100%	$	26,223,951
NET ASSETS, representing:
Equity of Participants		26,225,035
Equity of The Prudential Insurance Company of America		(1,084	)
	$	26,223,951

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.
MTN	Medium Term Note

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

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

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(c) The Repurchase Agreements are collateralized by a U.S. Treasury Obligation (coupon rate 6.000%, maturity date 01/01/38), the aggregate value, including accrued interest, of $2,495,451. Repurchase Agreements are subject to a contractual netting agreement. For further detail on individual repurchase agreements and the corresponding counterparty, see the Schedule of Investments.

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— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	6,015,071	$	—
Commercial Paper		—		4,379,446		—
Other Corporate Obligations		—		5,396,855		—
Repurchase Agreement		—		2,446,000		—
U.S. Government Agency Obligations		—		7,996,528		—
U.S. Treasury Obligation		—		500,687
Total	$	—	$	26,734,587	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF NET ASSETS (Unaudited)

June 30, 2015

The industry classification of investments and liabilities in excess of other assets shown as a percentage on net assets as of June 30, 2015 were as follows:

U.S. Government Agency Obligations	30.5	%
Certificates of Deposit	22.9
Commercial Paper	16.7
Other Corporate Obligations	20.6
Repurchase Agreement	9.3

U.S. Treasury Obligation	1.9	%
	101.9
Liabilities in excess of other assets	(1.9	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2015

INVESTMENT INCOME
Unaffiliated Interest Income	$	23,923
EXPENSES
Fees Charged to Participants for Investment Management Services		(33,036	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(88,722	)
0.50% Contract		(2,035	)
0.45% Contract		(1,141	)
Total Expenses		(124,934	)
NET INVESTMENT LOSS		(101,011	)
Realized Gain on Investment Transactions		155
NET DECREASE IN NET ASSETS FROM OPERATIONS	$	(100,856	)

STATEMENT OF CHANGES IN NET ASSETS  (Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
OPERATIONS
Net Investment Loss	$	(101,011	)	$	(227,187	)
Net Realized Gain on Investment Transactions		155			385
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(100,856	)		(226,802	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		801,620			2,323,349
Withdrawals and Transfers Out		(1,913,058	)		(5,249,447	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(1,111,438	)		(2,926,098	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(1,331	)		(21	)
TOTAL DECREASE IN NET ASSETS		(1,213,625	)		(3,152,921	)
NET ASSETS
Beginning of period		27,437,576			30,590,497
End of period	$	26,223,951		$	27,437,576

Accumulation Unit Values and Equity of Participants as of June 30, 2015

Standard Contract:
Accumulation Unit Value and Equity of Participants, $23,426,866 / 7,300,429 outstanding Accumulation Units	$	3.2090
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $1,663,404 / 475,430 outstanding Accumulation Units	$	3.4987
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $1,134,765 / 323,623 outstanding Accumulation Units	$	3.5064

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11

INCOME PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the period)

	Six Months Ended June 30, 2015									Year Ended December 31, 2014
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	0.0030		$	.0031		$	.0031		$	.0052		$	.0056		$	.0056
Expenses
Investment management fee		(.0040	)		(.0043	)		(.0043	)		(.0081	)		(.0088	)		(.0088	)
Administrative expenses		(.0119	)		(.0043	)		(.0035	)		(.0242	)		(.0088	)		(.0070	)
Net Investment Loss		(.0129	)		(.0055	)		(.0047	)		(.0271	)		(.0120	)		(.0102	)
Capital Changes
Net realized gain (loss) on investment transactions		.0000	††		.0000	††		.0000	††		.0000	††		.0000	††		.0000	††
Net Decrease in Accumulation Unit Value		(.0129	)		(.0055	)		(.0047	)		(.0271	)		(.0120	)		(.0102	)
Accumulation Unit Value
Beginning of period		3.2219			3.5042			3.5111			3.2490			3.5162			3.5213
End of period	$	3.2090		$	3.4987		$	3.5064		$	3.2219		$	3.5042		$	3.5111
Total Return**		(.40	%)		(.16	%)		(.13	%)		(.83	%)		(.34	%)		(.29	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%
Ratio of Net Investment Loss To Average Net Assets***		(.81	%)		(.32	%)		(.27	%)		(.84	%)		(.34	%)		(.29	%)
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		7,300			475			324			7,653			458			335

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized.

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

†† Less than $.00005.

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 Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11

INCOME PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2013									Year Ended December 31, 2012
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.0060		$	.0063		$	.0064		$	.0081		$	.0085		$	.0086
Expenses
Investment management fee		(.0081	)		(.0087	)		(.0087	)		(.0083	)		(.0088	)		(.0088	)
Administrative expenses		(.0244	)		(.0087	)		(.0071	)		(.0246	)		(.0088	)		(.0071	)
Net Investment Income (Loss)		(.0265	)		(.0111	)		(.0094	)		(.0248	)		(.0091	)		(.0073	)
Capital Changes
Net realized gain (loss) on investment transactions		.0001			.0001			.0001			.0001			.0001			.0001
Net Increase (Decrease) in Accumulation Unit Value		(.0264	)		(.0110	)		(.0093	)		(.0247	)		(.0090	)		(.0072	)
Accumulation Unit Value
Beginning of year		3.2754			3.5272			3.5306			3.3001			3.5362			3.5378
End of year	$	3.2490		$	3.5162		$	3.5213		$	3.2754		$	3.5272		$	3.5306
Total Return**		(.81	%)		(.31	%)		(.26	%)		(.75	%)		(.25	%)		(.20	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%
Ratio of Net Investment Income (Loss) To Average Net Assets***		(.81	%)		(.32	%)		(.27	%)		(.75	%)		(.26	%)		(.21	%)
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		8,446			502			393			9,435			500			433

* 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.

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

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 Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11

INCOME PER ACCUMULATION UNIT* (Unaudited)

(For an Accumulation Unit outstanding throughout the period)

	Year/Period Ended December 31, 2011									Year Ended December 31, 2010
	Standard Contract			0.50% Contract			0.45% Contract†
Investment Income	$	.0070		$	.0073		$	.0051		$	.0136
Expenses
Investment management fee		(.0083	)		(.0088	)		(.0067	)		(.0083	)
Administrative expenses		(.0248	)		(.0088	)		(.0053	)		(.0249	)
Net Investment Income (Loss)		(.0261	)		(.0103	)		(.0069	)		(.0196	)
Capital Changes
Net realized gain (loss) on investment transactions		.0001			.0001			.0000	††		—
Net Increase (Decrease) in Accumulation Unit Value		(.0260	)		(.0102	)		(.0069	)		(.0196	)
Accumulation Unit Value
Beginning of period		3.3261			3.5464			3.5447			3.3520
End of period	$	3.3001		$	3.5362		$	3.5378		$	3.3324
Total Return**		(.78	%)		(.29	%)		(.19	%)		(.58	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%†††		1.00	%
Ratio of Net Investment Income (Loss) To Average Net Assets***		(.79	%)		(.29	%)		(.23	%)†††		(.71	%)
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		10,650			495			458			12,886

* 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-11.

† Inception Date — April 1, 2011.

†† Less than $.00005.

††† Annualized.

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 Units equal in value to the charge.

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-11 (Unaudited)

Note 1: General

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

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

Note 2: Accounting Policies

The Account follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.

Security Valuation:    The Account holds 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 adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.

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.

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.

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.

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.

Master Netting Arrangements:    The Account may be subject to various Master Agreements, or netting arrangements, with select counterparties. A master netting arrangement between the Account and the counterparty permits the Account to offset amounts payable by the Account to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Account to cover the Account’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforcable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right to set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.

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.

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-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.

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.

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

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

Note 4: Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2015 and the year ended December 31, 2014, respectively, are as follows:

Standard Contract	Units			Amount
Six months ended June 30, 2015:
Account units issued		219,545		$	705,974
Account units redeemed		(571,804	)		(1,838,911	)
Net increase (decrease) in units outstanding		(352,259	)		(1,132,937	)
Year ended December 31, 2014:
Account units issued		661,807		$	2,141,745
Account units redeemed		(1,454,946	)		(4,708,132	)
Net increase (decrease) in units outstanding		(793,139	)		(2,566,387	)
0.50% Contract
Six months ended June 30, 2015:
Account units issued		27,312		$	95,646
Account units redeemed		(9,867	)		(34,544	)
Net increase (decrease) in units outstanding		17,445			61,102
Year ended December 31, 2014:
Account units issued		51,736		$	181,605
Account units redeemed		(95,589	)		(335,583	)
Net increase (decrease) in units outstanding		(43,853	)		(153,978	)
0.45% Contract
Six months ended June 30, 2015:
Account units issued		—		$	—
Account units redeemed		(11,286	)		(39,603	)
Net increase (decrease) in units outstanding		(11,286	)		(39,603	)
Year ended December 31, 2014:
Account units issued		—		$	—
Account units redeemed		(58,508	)		(205,731	)
Net increase (decrease) in units outstanding		(58,508	)		(205,731	)

Note 5: Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

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

Note 6: Participant Loans

Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-11 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.

For the six months ended June 30, 2015, $18,364 in participant loans were withdrawn from VCA-11 and $26,226 of principal and interest was repaid to VCA-11. For the year ended December 31, 2014, $56,132 in participant loans were withdrawn from VCA-11 and $77,068 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not

necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the six months ended June 30, 2015, PICA has advised the Account that it received $298 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 Pronouncement

In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.

The Prudential Series Fund

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

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

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

Important Note

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

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

The Prudential Series Fund Fees and Expenses — unaudited June 30, 2015

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2015 through June 30, 2015.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2015		Ending Account Value June 30, 2015		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month  period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,005.30		0.58	%	$	2.88
	Hypothetical	$	1,000.00	$	1,021.92		0.58	%	$	2.91
Diversified Bond (Class I)	Actual	$	1,000.00	$	997.40		0.44	%	$	2.18
	Hypothetical	$	1,000.00	$	1,022.61		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,031.90		0.47	%	$	2.37
	Hypothetical	$	1,000.00	$	1,022.46		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	1,030.00		0.87	%	$	4.38
	Hypothetical	$	1,000.00	$	1,020.48		0.87	%	$	4.36
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,008.40		0.63	%	$	3.14
	Hypothetical	$	1,000.00	$	1,021.67		0.63	%	$	3.16
Global (Class I)	Actual	$	1,000.00	$	1,044.70		0.81	%	$	4.11
	Hypothetical	$	1,000.00	$	1,020.78		0.81	%	$	4.06
Government Income (Class I)	Actual	$	1,000.00	$	1,001.70		0.49	%	$	2.43
	Hypothetical	$	1,000.00	$	1,022.36		0.49	%	$	2.46
Stock Index (Class I)	Actual	$	1,000.00	$	1,010.80		0.32	%	$	1.60
	Hypothetical	$	1,000.00	$	1,023.21		0.32	%	$	1.61

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	CONSERVATIVE BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

LONG-TERM INVESTMENTS — 84.8%
COMMON STOCKS — 51.1%	Shares		Value (Note 2)
Aerospace & Defense — 1.3%
Airbus Group NV (France)		17,481	$	1,138,668
BAE Systems PLC (United Kingdom)		50,286		356,296
Boeing Co. (The)		40,650		5,638,968
General Dynamics Corp.		19,500		2,762,955
Honeywell International, Inc.		48,412		4,936,572
L-3 Communications Holdings, Inc.		5,100		578,238
Lockheed Martin Corp.		16,600		3,085,940
Northrop Grumman Corp.		12,462		1,976,847
Precision Castparts Corp.		8,800		1,758,856
Raytheon Co.		19,000		1,817,920
Rockwell Collins, Inc.		8,200		757,270
Safran SA (France)		3,060		207,956
Textron, Inc.		17,100		763,173
United Technologies Corp.		51,600		5,723,988
				31,503,647
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.		9,100		567,749
Expeditors International of Washington, Inc.		11,900		548,650
FedEx Corp.		16,600		2,828,640
Royal Mail PLC (United Kingdom)		7,426		60,035
United Parcel Service, Inc. (Class B Stock)		43,400		4,205,894
				8,210,968
Airlines — 0.3%
American Airlines Group, Inc.		43,000		1,717,205
ANA Holdings, Inc. (Japan)		13,000		35,247
Cathay Pacific Airways Ltd. (Hong Kong)		327,000		803,410
Delta Air Lines, Inc.		50,900		2,090,972
easyJet PLC (United Kingdom)		1,793		43,585
International Consolidated Airlines Group SA (United Kingdom)*		9,089		70,908
Japan Airlines Co. Ltd. (Japan)		1,400		48,789
Ryanair Holdings PLC (Ireland) ADR		11,100		791,985
Singapore Airlines Ltd. (Singapore)		5,900		46,976
Southwest Airlines Co.		41,800		1,383,162
				7,032,239
Auto Components — 0.3%
BorgWarner, Inc.		14,000		795,760
Cie Generale des Etablissements Michelin (France)		7,366		775,080
Continental AG (Germany)		279		66,061
Delphi Automotive PLC (United Kingdom)		18,000		1,531,620
Goodyear Tire & Rubber Co. (The)		16,300		491,445
Johnson Controls, Inc.		40,600		2,010,918
NHK Spring Co. Ltd. (Japan)		72,200		794,949
NOK Corp. (Japan)		26,700		827,268
Nokian Renkaat OYJ (Finland)		1,287		40,322
Toyota Industries Corp. (Japan)		1,900		108,198
Valeo SA (France)		790		124,965
				7,566,586

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles — 0.5%
Daimler AG (Germany)		18,812	$	1,713,694
Fiat Chrysler Automobiles NV (United Kingdom)*		10,057		147,538
Ford Motor Co.		244,285		3,666,718
Fuji Heavy Industries Ltd. (Japan)		6,800		250,041
General Motors Co.		83,500		2,783,055
Harley-Davidson, Inc.		13,100		738,185
Nissan Motor Co. Ltd. (Japan)		23,900		249,682
Peugeot SA (France)*		51,647		1,065,059
Renault SA (France)		2,141		224,479
Toyota Motor Corp. (Japan)		24,800		1,659,549
Volkswagen AG (Germany)		333		77,105
				12,575,105
Banks — 3.6%
Aozora Bank Ltd. (Japan)		106,000		399,940
Australia & New Zealand Banking Group Ltd. (Australia)		37,789		937,817
Banco Santander SA (Spain)		268,715		1,890,150
Bank Hapoalim BM (Israel)		156,282		841,103
Bank Leumi Le-Israel BM (Israel)*		46,319		195,721
Bank of America Corp.		649,521		11,054,847
Bank of Kyoto Ltd. (The) (Japan)		4,000		46,013
Bank of Yokohama Ltd. (The) (Japan)		13,000		79,612
Barclays PLC (United Kingdom)		4,989		20,448
BB&T Corp.		44,500		1,793,795
BOC Hong Kong Holdings Ltd. (Hong Kong)		38,000		158,158
Chiba Bank Ltd. (The) (Japan)		8,000		60,918
Citigroup, Inc.		188,185		10,395,339
Comerica, Inc.		11,000		564,520
Commonwealth Bank of Australia (Australia)		6,573		431,038
Credit Agricole SA (France)		11,877		177,324
Danske Bank A/S (Denmark)		3,407		100,156
DNB ASA (Norway)		57,655		960,164
Fifth Third Bancorp		50,321		1,047,683
HSBC Holdings PLC (United Kingdom)		218,852		1,959,679
Huntington Bancshares, Inc.		47,736		539,894
ING Groep NV (Netherlands), CVA		43,381		720,359
Intesa Sanpaolo SpA (Italy)		10,665		34,050
JPMorgan Chase & Co.		231,145		15,662,385
KBC Groep NV (Belgium)		14,972		1,003,698
KeyCorp		51,900		779,538
Lloyds Banking Group PLC (United Kingdom)		25,147		33,752
M&T Bank Corp.(a)		8,200		1,024,426
Mitsubishi UFJ Financial Group, Inc. (Japan)		282,400		2,031,717
Mizuho Financial Group, Inc. (Japan)		688,900		1,490,595
Nordea Bank AB (Sweden)		34,621		431,785
Oversea-Chinese Banking Corp. Ltd. (Singapore)		51,960		392,400
People’s United Financial, Inc.(a)		18,700		303,127
PNC Financial Services Group, Inc. (The)		32,233		3,083,087
Regions Financial Corp.		82,203		851,623
Resona Holdings, Inc. (Japan)		121,100		660,495

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		79,536	$	1,017,372
Sumitomo Mitsui Financial Group, Inc. (Japan)		32,300		1,437,970
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		143,000		654,168
SunTrust Banks, Inc.		32,400		1,393,848
Svenska Handelsbanken AB (Sweden) (Class A Stock)		68,060		993,557
U.S. Bancorp		109,985		4,773,349
Wells Fargo & Co.		290,364		16,330,071
Westpac Banking Corp. (Australia)		4,855		120,123
Zions Bancorporation		12,750		404,621
				89,282,435
Beverages — 1.0%
Anheuser-Busch InBev NV (Belgium)		4,077		490,629
Brown-Forman Corp. (Class B Stock)		9,650		966,737
Carlsberg A/S (Denmark) (Class B Stock)		1,231		111,535
Coca-Cola Co. (The)		242,701		9,521,160
Coca-Cola Enterprises, Inc.		13,400		582,096
Constellation Brands, Inc. (Class A Stock)		10,400		1,206,608
Diageo PLC (United Kingdom)		19,665		569,491
Dr. Pepper Snapple Group, Inc.		12,000		874,800
Heineken NV (Netherlands)		2,648		201,321
Molson Coors Brewing Co. (Class B Stock)		9,900		691,119
Monster Beverage Corp.*		9,100		1,219,582
PepsiCo, Inc.		92,107		8,597,267
Pernod Ricard SA (France)		1,556		179,878
SABMiller PLC (United Kingdom)		11,247		583,158
				25,795,381
Biotechnology — 1.5%
Alexion Pharmaceuticals, Inc.*		13,600		2,458,472
Amgen, Inc.		47,387		7,274,852
Biogen, Inc.*		14,690		5,933,879
Celgene Corp.*		49,900		5,775,176
Gilead Sciences, Inc.		92,300		10,806,484
Regeneron Pharmaceuticals, Inc.*		4,700		2,397,611
Vertex Pharmaceuticals, Inc.*		15,000		1,852,200
				36,498,674
Building Products — 0.1%
Allegion PLC		6,533		392,894
Asahi Glass Co. Ltd. (Japan)		64,000		384,226
Daikin Industries Ltd. (Japan)		2,700		194,099
Masco Corp.		21,900		584,073
TOTO Ltd. (Japan)		2,000		36,048
				1,591,340
Capital Markets — 1.2%
3i Group PLC (United Kingdom)		113,517		921,093
Affiliated Managers Group, Inc.*		3,400		743,240
Ameriprise Financial, Inc.		11,320		1,414,208
Bank of New York Mellon Corp. (The)		68,758		2,885,773
BlackRock, Inc.		8,000		2,767,840

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets (continued)
Charles Schwab Corp. (The)		71,250	$	2,326,312
E*TRADE Financial Corp.*		17,620		527,719
Franklin Resources, Inc.		24,200		1,186,526
Goldman Sachs Group, Inc. (The)		25,100		5,240,629
Invesco Ltd.		27,600		1,034,724
Legg Mason, Inc.		6,900		355,557
Macquarie Group Ltd. (Australia)		18,044		1,130,556
Mediobanca SpA (Italy)		6,985		68,486
Morgan Stanley		95,180		3,692,032
Nomura Holdings, Inc. (Japan)		41,700		281,552
Northern Trust Corp.		13,600		1,039,856
Schroders PLC (United Kingdom)		1,395		69,606
State Street Corp.		25,500		1,963,500
T. Rowe Price Group, Inc.		16,100		1,251,453
UBS Group AG (Switzerland)		41,566		881,884
				29,782,546
Chemicals — 1.2%
Air Products & Chemicals, Inc.		12,000		1,641,960
Airgas, Inc.		4,600		486,588
Asahi Kasei Corp. (Japan)		14,000		114,836
BASF SE (Germany)		10,486		922,696
CF Industries Holdings, Inc.		15,000		964,200
Daicel Corp. (Japan)		3,000		38,497
Dow Chemical Co. (The)		67,231		3,440,210
E.I. du Pont de Nemours & Co.		56,520		3,614,454
Eastman Chemical Co.		9,200		752,744
Ecolab, Inc.		16,700		1,888,269
FMC Corp.		8,200		430,910
Givaudan SA (Switzerland)*		73		126,385
Hitachi Chemical Co. Ltd. (Japan)		1,200		21,613
International Flavors & Fragrances, Inc.		5,000		546,450
K+S AG (Germany)		26,197		1,104,673
Kaneka Corp. (Japan)		3,000		21,909
Kuraray Co. Ltd. (Japan)		27,100		331,036
LyondellBasell Industries NV (Class A Stock)		24,500		2,536,240
Mitsubishi Gas Chemical Co., Inc. (Japan)		40,000		223,970
Monsanto Co.		29,894		3,186,402
Mosaic Co. (The)		19,200		899,520
Nippon Paint Holdings Co. Ltd. (Japan)		1,700		47,907
Nitto Denko Corp. (Japan)		1,800		147,820
PPG Industries, Inc.		16,800		1,927,296
Praxair, Inc.		17,900		2,139,945
Sherwin-Williams Co. (The)		5,000		1,375,100
Sigma-Aldrich Corp.		7,400		1,031,190
Sumitomo Chemical Co. Ltd. (Japan)		17,000		102,143
Yara International ASA (Norway)		17,769		925,909
				30,990,872
Commercial Services & Supplies — 0.2%
ADT Corp. (The)(a)		10,500		352,485
Cintas Corp.		6,000		507,540
Pitney Bowes, Inc.		13,100		272,611
Republic Services, Inc.		15,465		605,764
Secom Co. Ltd. (Japan)		2,000		129,931
Societe BIC SA (France)		2,078		331,283

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies (continued)
Stericycle, Inc.*		5,300	$	709,723
Tyco International PLC		26,000		1,000,480
Waste Management, Inc.		26,442		1,225,587
				5,135,404
Communications Equipment — 0.7%
Cisco Systems, Inc.		316,700		8,696,582
F5 Networks, Inc.*		4,500		541,575
Harris Corp.		8,200		630,662
Juniper Networks, Inc.		23,200		602,504
Motorola Solutions, Inc.		11,789		675,981
QUALCOMM, Inc.		102,600		6,425,838
				17,573,142
Construction & Engineering — 0.1%
Ferrovial SA (Spain)		13,876		301,476
Fluor Corp.		9,800		519,498
Jacobs Engineering Group, Inc.*(a)		7,700		312,774
Kajima Corp. (Japan)		10,000		46,968
Obayashi Corp. (Japan)		7,000		51,045
Quanta Services, Inc.*		13,100		377,542
Shimizu Corp. (Japan)		7,000		58,909
Skanska AB (Sweden) (Class B Stock)		33,919		687,336
Taisei Corp. (Japan)		19,000		109,079
				2,464,627
Construction Materials — 0.1%
HeidelbergCement AG (Germany)		936		74,185
Martin Marietta Materials, Inc.(a)		3,900		551,889
Taiheiyo Cement Corp. (Japan)		9,000		26,319
Vulcan Materials Co.		8,200		688,226
				1,340,619
Consumer Finance — 0.4%
American Express Co.		54,200		4,212,424
Capital One Financial Corp.		34,361		3,022,737
Discover Financial Services		27,640		1,592,617
Navient Corp.		25,400		462,534
				9,290,312
Containers & Packaging — 0.1%
Avery Dennison Corp.		6,200		377,828
Ball Corp.		8,500		596,275
MeadWestvaco Corp.		10,314		486,718
Owens-Illinois, Inc.*		9,400		215,636
Rexam PLC (United Kingdom)		74,290		644,316
Sealed Air Corp.		13,000		667,940
				2,988,713
Distributors
Genuine Parts Co.		9,500		850,535
Diversified Consumer Services
H&R Block, Inc.		17,200		509,980
Diversified Financial Services — 0.9%
Berkshire Hathaway, Inc. (Class B Stock)*		113,400		15,434,874
CME Group, Inc.		19,600		1,823,976
Intercontinental Exchange, Inc.		6,971		1,558,785
Investment AB Kinnevik (Sweden) (Class B Stock)		8,220		259,998

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
Investor AB (Sweden) (Class B Stock)		5,099	$	190,120
Leucadia National Corp.		20,700		502,596
McGraw Hill Financial, Inc.		16,900		1,697,605
Moody’s Corp.(a)		11,000		1,187,560
NASDAQ OMX Group, Inc. (The)		8,000		390,480
ORIX Corp. (Japan)		32,700		485,578
				23,531,572
Diversified Telecommunication Services — 1.2%
AT&T, Inc.		320,468		11,383,023
BT Group PLC (United Kingdom)		119,954		849,430
CenturyLink, Inc.		35,036		1,029,358
Deutsche Telekom AG (Germany)		44,605		769,005
Frontier Communications Corp.(a)		64,390		318,730
Level 3 Communications, Inc.*		17,700		932,259
Nippon Telegraph & Telephone Corp. (Japan)		32,600		1,180,634
PCCW Ltd. (Hong Kong)		47,000		28,034
Telecom Italia SpA (Italy)		902,926		920,772
Telecom Italia SpA (Italy) RSP*(a)		796,591		1,012,319
Telstra Corp. Ltd. (Australia)		49,801		235,686
Verizon Communications, Inc.		256,076		11,935,702
				30,594,952
Electric Utilities — 0.9%
American Electric Power Co., Inc.		30,260		1,602,872
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		93,000		721,904
Chubu Electric Power Co., Inc. (Japan)		7,400		110,291
Chugoku Electric Power Co., Inc. (The) (Japan)		2,200		32,092
Duke Energy Corp.(a)		43,761		3,090,402
Edison International		20,200		1,122,716
EDP-Energias de Portugal SA (Portugal)		16,785		63,951
Electricite de France SA (France)		29,583		661,733
Endesa SA (Spain)		3,624		69,406
Entergy Corp.		11,200		789,600
Eversource Energy		19,600		890,036
Exelon Corp.		53,113		1,668,810
FirstEnergy Corp.		26,006		846,495
Fortum OYJ (Finland)		45,298		804,719
Hokuriku Electric Power Co. (Japan)		2,200		32,771
Kansai Electric Power Co., Inc. (The) (Japan)*		8,200		90,778
Kyushu Electric Power Co., Inc. (Japan)*		3,200		37,101
NextEra Energy, Inc.		27,400		2,686,022
Pepco Holdings, Inc.		16,400		441,816
Pinnacle West Capital Corp.		7,500		426,675
Power Assets Holdings Ltd. (Hong Kong)		16,000		145,878
PPL Corp.		41,200		1,214,164
Shikoku Electric Power Co., Inc. (Japan)		2,300		34,431
Southern Co. (The)		56,200		2,354,780
Tohoku Electric Power Co., Inc. (Japan)		5,300		71,759

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Tokyo Electric Power Co., Inc. (Japan)*		16,500	$	89,890
Xcel Energy, Inc.		31,310		1,007,556
				21,108,648
Electrical Equipment — 0.4%
AMETEK, Inc.		14,900		816,222
Eaton Corp. PLC		29,337		1,979,954
Emerson Electric Co.		42,300		2,344,689
Fuji Electric Co. Ltd. (Japan)		6,000		25,806
Mitsubishi Electric Corp. (Japan)		88,000		1,136,318
OSRAM Licht AG (Germany)		15,848		758,182
Rockwell Automation, Inc.		8,400		1,046,976
Vestas Wind Systems A/S (Denmark)		17,757		885,071
				8,993,218
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		19,200		1,113,024
Citizen Holdings Co. Ltd. (Japan)		3,100		21,628
Corning, Inc.		78,500		1,548,805
FLIR Systems, Inc.		8,000		246,560
Ibiden Co. Ltd. (Japan)		44,400		750,867
Keyence Corp. (Japan)		1,200		646,772
Kyocera Corp. (Japan)		3,700		192,372
Murata Manufacturing Co. Ltd. (Japan)		8,900		1,553,187
TDK Corp. (Japan)		1,800		137,831
TE Connectivity Ltd. (Switzerland)		25,100		1,613,930
				7,824,976
Energy Equipment & Services — 0.6%
Baker Hughes, Inc.		26,898		1,659,607
Cameron International Corp.*		12,000		628,440
Diamond Offshore Drilling, Inc.(a)		4,700		121,307
Ensco PLC (Class A Stock)		14,700		327,369
FMC Technologies, Inc.*		14,300		593,307
Halliburton Co.		52,500		2,261,175
Helmerich & Payne, Inc.(a)		6,700		471,814
National Oilwell Varco, Inc.		24,000		1,158,720
Noble Corp. PLC(a)		14,100		216,999
Schlumberger Ltd.		79,318		6,836,418
Transocean Ltd.(a)		21,800		351,416
Transocean Ltd. (SWX)(a)		4,113		66,679
				14,693,251
Food & Staples Retailing — 1.2%
Casino Guichard Perrachon SA (France)		652		49,489
Costco Wholesale Corp.		27,200		3,673,632
CVS Health Corp.		70,048		7,346,634
Distribuidora Internacional de Alimentacion SA (Spain)		107,053		820,411
ICA Gruppen AB (Sweden)		6,366		225,847
J. Sainsbury PLC (United Kingdom)		161,327		671,556
Koninklijke Ahold NV (Netherlands)		9,887		185,606
Kroger Co. (The)		30,346		2,200,388
METRO AG (Germany)		3,292		103,975
Sysco Corp.		36,600		1,321,260
Wal-Mart Stores, Inc.		98,200		6,965,326
Walgreens Boots Alliance, Inc.		53,900		4,551,316

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing (continued)
Wesfarmers Ltd. (Australia)		29,564	$	889,084
Whole Foods Market, Inc.		22,300		879,512
WM Morrison Supermarkets PLC (United Kingdom)		172,713		490,290
				30,374,326
Food Products — 1.0%
Archer-Daniels-Midland Co.		39,226		1,891,478
Campbell Soup Co.(a)		11,000		524,150
Chocoladefabriken Lindt & Sprungli AG (Switzerland)		1		62,591
ConAgra Foods, Inc.		26,300		1,149,836
General Mills, Inc.		37,300		2,078,356
Hershey Co. (The)		9,200		817,236
Hormel Foods Corp.		8,300		467,871
J.M. Smucker Co. (The)		6,100		661,301
Kellogg Co.		15,700		984,390
Keurig Green Mountain, Inc.		7,500		574,725
Kraft Foods Group, Inc.		36,317		3,092,029
McCormick & Co., Inc.		8,000		647,600
Mead Johnson Nutrition Co.		12,567		1,133,795
Mondelez International, Inc. (Class A Stock)		101,853		4,190,232
Nestle SA (Switzerland)		45,679		3,295,769
NH Foods Ltd. (Japan)		2,000		45,609
Tyson Foods, Inc. (Class A Stock)(a)		18,100		771,603
Unilever NV (United Kingdom)		36,447		1,523,821
Wilmar International Ltd. (Singapore)		343,100		835,066
				24,747,458
Gas Utilities
AGL Resources, Inc.		8,039		374,296
Snam SpA (Italy)		26,639		126,776
				501,072
Health Care Equipment & Supplies — 1.0%
Abbott Laboratories		94,100		4,618,428
Baxter International, Inc.(a)		34,000		2,377,620
Becton, Dickinson & Co.		12,978		1,838,333
Boston Scientific Corp.*		82,167		1,454,356
C.R. Bard, Inc.		4,600		785,220
DENTSPLY International, Inc.		8,700		448,485
Edwards Lifesciences Corp.*		6,700		954,281
Hoya Corp. (Japan)		4,900		196,244
Intuitive Surgical, Inc.*		2,300		1,114,350
Medtronic PLC		88,590		6,564,519
St. Jude Medical, Inc.		17,400		1,271,418
Stryker Corp.		18,500		1,768,045
Varian Medical Systems, Inc.*(a)		6,200		522,846
Zimmer Biomet Holdings, Inc.		10,800		1,179,684
				25,093,829
Health Care Providers & Services — 1.4%
Aetna, Inc.		21,769		2,774,677
Alfresa Holdings Corp. (Japan)		1,200		18,673
AmerisourceBergen Corp.		12,900		1,371,786
Anthem, Inc.		16,500		2,708,310
Cardinal Health, Inc.		20,450		1,710,642
Cigna Corp.		16,000		2,592,000

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
DaVita HealthCare Partners, Inc.*		10,700	$	850,329
Express Scripts Holding Co.*		44,949		3,997,764
Fresenius SE & Co. KGaA (Germany)		4,411		283,215
HCA Holdings, Inc.*		18,200		1,651,104
Henry Schein, Inc.*(a)		5,200		739,024
Humana, Inc.		9,300		1,778,904
Laboratory Corp. of America Holdings*		6,200		751,564
McKesson Corp.		14,430		3,244,008
Medipal Holdings Corp. (Japan)		3,100		50,492
Miraca Holdings, Inc. (Japan)		600		29,979
Patterson Cos., Inc.		5,400		262,710
Quest Diagnostics, Inc.		8,900		645,428
Sonic Healthcare Ltd. (Australia)		52,813		869,656
Suzuken Co. Ltd. (Japan)		5,610		179,481
Tenet Healthcare Corp.*		6,550		379,114
UnitedHealth Group, Inc.		59,400		7,246,800
Universal Health Services, Inc. (Class B Stock)		5,700		809,970
				34,945,630
Health Care Technology — 0.1%
Cerner Corp.*		18,900		1,305,234
Hotels, Restaurants & Leisure — 0.8%
Carnival Corp.		27,800		1,373,042
Chipotle Mexican Grill, Inc.*		1,950		1,179,730
Darden Restaurants, Inc.		7,650		543,762
Flight Centre Travel Group Ltd. (Australia)(a)		858		22,551
Marriott International, Inc. (Class A Stock)(a)		12,828		954,275
McDonald’s Corp.		59,900		5,694,693
Merlin Entertainments PLC (United Kingdom)		7,994		53,614
Royal Caribbean Cruises Ltd.(a)		10,200		802,638
Sodexo SA (France)		6,099		580,612
Starbucks Corp.		93,000		4,986,195
Starwood Hotels & Resorts Worldwide, Inc.		10,600		859,554
Tatts Group Ltd. (Australia)		68,249		195,688
TUI AG (Germany)		5,011		81,079
Wyndham Worldwide Corp.		7,520		615,963
Wynn Resorts Ltd.		5,000		493,350
Yum! Brands, Inc.		26,800		2,414,144
				20,850,890
Household Durables — 0.3%
Barratt Developments PLC (United Kingdom)		89,711		865,287
D.R. Horton, Inc.		20,100		549,936
Garmin Ltd.		8,200		360,226
Harman International Industries, Inc.		4,200		499,548
Leggett & Platt, Inc.		9,300		452,724
Lennar Corp. (Class A Stock)(a)		11,100		566,544
Mohawk Industries, Inc.*		3,900		744,510
Newell Rubbermaid, Inc.		16,814		691,223
Panasonic Corp. (Japan)		25,400		347,884
Persimmon PLC (United Kingdom)*		20,838		646,515
PulteGroup, Inc.		20,122		405,458

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Durables (continued)
Sony Corp. (Japan)*		13,500	$	383,358
Taylor Wimpey PLC (United Kingdom)		229,165		668,305
Whirlpool Corp.		4,826		835,139
				8,016,657
Household Products — 0.9%
Clorox Co. (The)		8,100		842,562
Colgate-Palmolive Co.		52,700		3,447,107
Henkel AG & Co. KGaA (Germany)		8,459		806,617
Kimberly-Clark Corp.		22,600		2,394,922
Procter & Gamble Co. (The)		168,625		13,193,220
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		38,630		982,291
				21,666,719
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		43,300		574,158
Electric Power Development Co. Ltd. (Japan)		1,600		56,521
NRG Energy, Inc.		20,500		469,040
				1,099,719
Industrial Conglomerates — 1.1%
3M Co.		39,600		6,110,280
CK Hutchison Holdings Ltd. (Hong Kong)		22,916		336,910
Danaher Corp.		38,000		3,252,420
General Electric Co.		622,900		16,550,453
Hopewell Holdings Ltd. (Hong Kong)		120,000		439,349
Keppel Corp. Ltd. (Singapore)		16,700		101,789
Roper Technologies, Inc.		6,500		1,120,990
Siemens AG (Germany)		1,865		188,685
				28,100,876
Insurance — 1.5%
ACE Ltd.		20,300		2,064,104
Aflac, Inc.		27,100		1,685,620
Ageas (Belgium)		14,664		565,787
AIA Group Ltd. (Hong Kong)		5,200		34,001
Allianz SE (Germany)		9,947		1,551,249
Allstate Corp. (The)		25,700		1,667,159
American International Group, Inc.		83,839		5,182,927
AMP Ltd. (Australia)		33,561		155,734
Aon PLC		17,300		1,724,464
Assurant, Inc.		4,300		288,100
AXA SA (France)		43,775		1,109,779
Chubb Corp. (The)		14,300		1,360,502
Cincinnati Financial Corp.		9,037		453,477
Genworth Financial, Inc. (Class A Stock)*		29,900		226,343
Hannover Rueck SE (Germany)		8,407		813,687
Hartford Financial Services Group, Inc. (The)		26,000		1,080,820
Legal & General Group PLC (United Kingdom)		247,410		967,383
Lincoln National Corp.		16,518		978,196
Loews Corp.		18,475		711,472
Marsh & McLennan Cos., Inc.		34,000		1,927,800
MetLife, Inc.		69,000		3,863,310

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)		Shares		Value (Note 2)
Insurance (continued)
Muenchener Rueckversicherungs-Gesellschaft AG (Germany)			1,973	$	349,802
NN Group NV (Netherlands)			25,896		729,292
Principal Financial Group, Inc.(a)			16,900		866,801
Progressive Corp. (The)(a)			34,100		949,003
Prudential PLC (United Kingdom)			41,886		1,009,428
Sampo OYJ (Finland) (Class A Stock)			5,145		242,469
SCOR SE (France)			1,713		60,574
Swiss Life Holding AG (Switzerland)*			1,934		442,849
Swiss Re AG (Switzerland)			11,345		1,004,291
Tokio Marine Holdings, Inc. (Japan)			7,900		328,554
Torchmark Corp.			7,825		455,571
Travelers Cos., Inc. (The)			20,135		1,946,249
Unum Group			15,510		554,482
XL Group PLC (Ireland)			19,400		721,680
					38,072,959
Internet & Catalog Retail — 0.7%
Amazon.com, Inc.*			23,700		10,287,933
Expedia, Inc.			6,150		672,503
Netflix, Inc.*			3,750		2,463,525
Priceline Group, Inc. (The)*			3,230		3,718,925
TripAdvisor, Inc.*			6,950		605,623
					17,748,509
Internet Software & Services — 1.5%
Akamai Technologies, Inc.*			11,100		775,002
eBay, Inc.*			68,700		4,138,488
Equinix, Inc.			3,500		889,000
Facebook, Inc. (Class A Stock)*			130,200		11,166,603
Google, Inc. (Class A Stock)*			17,700		9,558,708
Google, Inc. (Class C Stock)*			17,923		9,329,101
Mixi, Inc. (Japan)			500		24,806
VeriSign, Inc.*(a)			6,500		401,180
Yahoo!, Inc.*			53,800		2,113,802
					38,396,690
IT Services — 1.6%
Accenture PLC (Class A Stock)			39,200		3,793,776
Alliance Data Systems Corp.*			3,940		1,150,244
Amadeus IT Holding SA (Spain) (Class A Stock)			11,234		448,465
Atos SE (France)			332		24,808
Automatic Data Processing, Inc.			29,400		2,358,762
Cap Gemini SA (France)			10,633		943,325
Cognizant Technology Solutions Corp. (Class A Stock)*			37,700		2,303,093
Computer Sciences Corp.	��		8,700		571,068
Fidelity National Information Services, Inc.			17,600		1,087,680
Fiserv, Inc.*			14,800		1,225,884
International Business Machines Corp.			57,000		9,271,620
MasterCard, Inc. (Class A Stock)			60,300		5,636,844
NTT Data Corp. (Japan)			1,500		65,506
Paychex, Inc.			20,200		946,976
Teradata Corp.*(a)			9,900		366,300
Total System Services, Inc.			10,196		425,887
Visa, Inc. (Class A Stock)			119,800		8,044,570

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Western Union Co. (The)(a)		33,110	$	673,126
Xerox Corp.		62,963		669,926
				40,007,860
Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		2,000		38,649
Hasbro, Inc.		6,900		516,051
Mattel, Inc.		21,251		545,938
Sega Sammy Holdings, Inc. (Japan)		4,200		54,916
Shimano, Inc. (Japan)		900		122,815
				1,278,369
Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.		20,714		799,146
Lonza Group AG (Switzerland)*		6,833		913,335
PerkinElmer, Inc.		7,600		400,064
QIAGEN NV*		2,705		66,480
Thermo Fisher Scientific, Inc.		24,900		3,231,024
Waters Corp.*		5,200		667,576
				6,077,625
Machinery — 0.9%
Amada Holdings Co. Ltd. (Japan)		2,600		27,443
Andritz AG (Austria)		13,629		754,722
Caterpillar, Inc.		37,500		3,180,750
Cummins, Inc.		10,400		1,364,376
Deere & Co.		21,000		2,038,050
Dover Corp.		10,100		708,818
FANUC Corp. (Japan)		5,500		1,125,386
Flowserve Corp.		8,300		437,078
GEA Group AG (Germany)		2,073		92,483
Illinois Tool Works, Inc.		21,600		1,982,664
Ingersoll-Rand PLC		16,300		1,098,946
Joy Global, Inc.		6,200		224,440
Kawasaki Heavy Industries Ltd. (Japan)		16,000		74,579
Minebea Co. Ltd. (Japan)		40,000		660,335
NGK Insulators Ltd. (Japan)		3,000		77,193
NSK Ltd. (Japan)		5,400		83,264
PACCAR, Inc.		21,943		1,400,183
Pall Corp.		6,600		821,370
Parker Hannifin Corp.		8,865		1,031,265
Pentair PLC (United Kingdom)		11,877		816,544
Schindler Holding AG (Switzerland)		1,680		274,368
Schindler Holding AG (Switzerland) (Part. Cert.)		511		83,575
SMC Corp. (Japan)		600		180,551
Snap-on, Inc.		3,600		573,300
Stanley Black & Decker, Inc.		9,797		1,031,036
Sumitomo Heavy Industries Ltd. (Japan)		142,000		827,057
THK Co. Ltd. (Japan)		1,500		32,370
Volvo AB (Sweden) (Class B Stock)		17,460		216,810
Xylem, Inc.		11,600		430,012
Yangzijiang Shipbuilding Holdings Ltd. (China)		25,000		26,258
				21,675,226

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		45	$	78,921
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)		358		647,279
Mitsui OSK Lines Ltd. (Japan)		8,000		25,608
Nippon Yusen K.K. (Japan)		19,000		52,897
				804,705
Media — 1.8%
Cablevision Systems Corp. (Class A Stock)(a)		12,900		308,826
CBS Corp. (Class B Stock)		28,234		1,566,987
Comcast Corp. (Class A Stock)		157,790		9,489,491
Dentsu, Inc. (Japan)		2,500		129,331
DIRECTV*		31,700		2,941,443
Discovery Communications, Inc. (Class A Stock)*(a)		10,100		335,926
Discovery Communications, Inc. (Class C Stock)*(a)		16,900		525,252
Gannett Co., Inc.*		6,900		96,531
Interpublic Group of Cos., Inc. (The)		25,731		495,836
ITV PLC (United Kingdom)		43,266		179,009
News Corp. (Class A Stock)*		29,375		428,581
Omnicom Group, Inc.(a)		15,300		1,063,197
Publicis Groupe SA (France)		11,712		868,130
RTL Group SA (Germany)		287		25,945
Scripps Networks Interactive, Inc. (Class A Stock)(a)		6,100		398,757
Sky PLC (United Kingdom)		11,601		188,952
TEGNA, Inc.		13,800		442,566
Time Warner Cable, Inc.		17,414		3,102,652
Time Warner, Inc.		51,366		4,489,902
Twenty-First Century Fox, Inc. (Class A Stock)		111,500		3,628,768
Viacom, Inc. (Class B Stock)		22,634		1,463,062
Vivendi SA (France)		13,920		352,965
Walt Disney Co. (The)		96,900		11,060,166
WPP PLC (United Kingdom)		46,811		1,050,722
				44,632,997
Metals & Mining — 0.3%
Alcoa, Inc.		75,440		841,156
Allegheny Technologies, Inc.		6,200		187,240
BHP Billiton Ltd. (Australia)		35,695		728,137
BHP Billiton PLC (Australia)		23,873		469,380
Boliden AB (Sweden)		3,047		55,549
Freeport-McMoRan, Inc.		64,188		1,195,181
Hitachi Metals Ltd. (Japan)		3,000		46,120
JFE Holdings, Inc. (Japan)		40,200		890,667
Kobe Steel Ltd. (Japan)		454,000		763,815
Mitsubishi Materials Corp. (Japan)		15,000		57,596
Newmont Mining Corp.		32,700		763,872
Nippon Steel & Sumitomo Metal Corp. (Japan)		110,000		285,214
Norsk Hydro ASA (Norway)		13,197		55,387
Nucor Corp.		19,700		868,179
Rio Tinto Ltd. (United Kingdom)		4,953		204,890
Rio Tinto PLC (United Kingdom)		14,674		603,582

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
South32 Ltd. (Australia)*		60,581	$	83,667
Sumitomo Metal Mining Co. Ltd. (Japan)		6,000		91,254
voestalpine AG (Austria)		1,252		52,180
				8,243,066
Multi-Utilities — 0.6%
AGL Energy Ltd. (Australia)		62,181		744,861
Ameren Corp.		15,000		565,200
CenterPoint Energy, Inc.		26,500		504,295
CMS Energy Corp.		17,000		541,280
Consolidated Edison, Inc.		18,100		1,047,628
Dominion Resources, Inc.		36,332		2,429,521
DTE Energy Co.		11,000		821,040
National Grid PLC (United Kingdom)		72,609		934,532
NiSource, Inc.		19,600		893,564
PG&E Corp.		29,400		1,443,540
Public Service Enterprise Group, Inc.		31,300		1,229,464
SCANA Corp.		8,700		440,655
Sempra Energy		14,319		1,416,722
TECO Energy, Inc.		14,700		259,602
WEC Energy Group, Inc.		20,114		904,516
				14,176,420
Multiline Retail — 0.4%
Dollar General Corp.		18,800		1,461,512
Dollar Tree, Inc.*		12,700		1,003,173
Family Dollar Stores, Inc.		5,900		464,979
Harvey Norman Holdings Ltd. (Australia)		6,410		22,258
J. Front Retailing Co. Ltd. (Japan)		2,700		50,817
Kohl’s Corp.(a)		12,500		782,625
Macy’s, Inc.		21,074		1,421,863
Nordstrom, Inc.		8,700		648,150
Takashimaya Co. Ltd. (Japan)		85,000		770,474
Target Corp.		39,400		3,216,222
				9,842,073
Oil, Gas & Consumable Fuels — 3.3%
Anadarko Petroleum Corp.		31,354		2,447,493
Apache Corp.		23,314		1,343,586
BG Group PLC (United Kingdom)		39,000		649,534
BP PLC (United Kingdom)		320,541		2,127,315
Cabot Oil & Gas Corp.		25,500		804,270
Caltex Australia Ltd. (Australia)		1,513		37,141
Chesapeake Energy Corp.(a)		32,700		365,259
Chevron Corp.		116,922		11,279,465
Cimarex Energy Co.		6,000		661,860
ConocoPhillips		76,077		4,671,889
CONSOL Energy, Inc.(a)		13,800		300,012
Devon Energy Corp.		23,900		1,421,811
Eni SpA (Italy)		17,614		312,854
EOG Resources, Inc.		33,900		2,967,945
EQT Corp.		9,400		764,596
Exxon Mobil Corp.		259,599		21,598,637
Hess Corp.		15,000		1,003,200
Kinder Morgan, Inc.		106,798		4,099,975
Marathon Oil Corp.		41,682		1,106,240
Marathon Petroleum Corp.		33,882		1,772,367

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Murphy Oil Corp.(a)		10,200	$	424,014
Neste OYJ (Finland)		1,017		25,944
Newfield Exploration Co.*		10,200		368,424
Noble Energy, Inc.		23,900		1,020,052
Occidental Petroleum Corp.		47,900		3,725,183
OMV AG (Austria)		1,661		45,727
ONEOK, Inc.		12,900		509,292
Phillips 66		33,638		2,709,877
Pioneer Natural Resources Co.		9,250		1,282,883
QEP Resources, Inc.		10,400		192,504
Range Resources Corp.		10,300		508,614
Repsol SA (Spain)		38,877		685,233
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		44,571		1,260,200
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		27,970		796,315
Southwestern Energy Co.*		25,000		568,250
Spectra Energy Corp.		41,462		1,351,661
Tesoro Corp.		7,800		658,398
Total SA (France)		38,531		1,889,987
Valero Energy Corp.		31,800		1,990,680
Williams Cos., Inc. (The)		41,600		2,387,424
Woodside Petroleum Ltd. (Australia)		9,134		241,016
				82,377,127
Paper & Forest Products — 0.1%
International Paper Co.		26,173		1,245,573
Mondi PLC (South Africa)		38,878		837,010
Oji Holdings Corp. (Japan)		9,000		39,113
UPM-Kymmene OYJ (Finland)		47,283		836,717
				2,958,413
Personal Products — 0.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		13,800		1,195,908
Pharmaceuticals — 3.5%
AbbVie, Inc.		106,800		7,175,892
Allergan PLC*		24,175		7,336,145
AstraZeneca PLC (United Kingdom)		2,715		171,832
Bayer AG (Germany)		7,799		1,092,175
Bristol-Myers Squibb Co.		103,370		6,878,240
Daiichi Sankyo Co. Ltd. (Japan)		7,300		134,908
Eli Lilly & Co.		60,400		5,042,796
Endo International PLC*		12,100		963,765
GlaxoSmithKline PLC (United Kingdom)		54,276		1,128,497
Hospira, Inc.*		10,660		945,649
Johnson & Johnson		172,348		16,797,036
Mallinckrodt PLC*		7,600		894,672
Merck & Co., Inc.		175,933		10,015,866
Mylan NV*(a)		25,200		1,710,072
Novartis AG (Switzerland)		26,302		2,587,077
Novo Nordisk A/S (Denmark) (Class B Stock)		39,365		2,160,150
Orion OYJ (Finland) (Class B Stock)		3,669		128,519
Otsuka Holdings Co. Ltd. (Japan)		28,900		920,846
Perrigo Co. PLC		9,200		1,700,436
Pfizer, Inc.		381,070		12,777,277

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Roche Holding AG (Switzerland)		7,965	$	2,233,318
Sanofi (France)		13,583		1,343,768
Shire PLC (Ireland)		13,183		1,059,242
Teva Pharmaceutical Industries Ltd. (Israel)		22,711		1,343,991
Zoetis, Inc.		31,000		1,494,820
				88,036,989
Professional Services — 0.1%
Dun & Bradstreet Corp. (The)		2,300		280,600
Equifax, Inc.		7,400		718,466
Nielsen NV		22,900		1,025,233
Randstad Holding NV (Netherlands)		1,419		92,331
Robert Half International, Inc.		8,400		466,200
SGS SA (Switzerland)		62		113,063
				2,695,893
Real Estate Investment Trusts (REITs) — 1.2%
American Tower Corp.		26,100		2,434,869
Apartment Investment & Management Co. (Class A Stock)		9,433		348,361
AvalonBay Communities, Inc.		8,175		1,306,937
Boston Properties, Inc.		9,500		1,149,880
British Land Co. PLC (The) (United Kingdom)		11,027		137,353
CapitaLand Commercial Trust (Singapore)		27,000		31,249
Crown Castle International Corp.(a)		20,700		1,662,210
Equity Residential		22,500		1,578,825
Essex Property Trust, Inc.		4,100		871,250
Federation Centres (Australia)		369,122		830,566
General Growth Properties, Inc.		38,800		995,608
Goodman Group (Australia)		19,977		96,483
GPT Group (The) (Australia)		19,120		63,032
HCP, Inc.		28,500		1,039,395
Health Care REIT, Inc.		21,600		1,417,608
Host Hotels & Resorts, Inc.		46,482		921,738
Intu Properties PLC (United Kingdom)		10,411		50,292
Iron Mountain, Inc.(a)		12,202		378,262
Kimco Realty Corp.		25,500		574,770
Land Securities Group PLC (United Kingdom)		28,266		534,481
Link REIT (The) (Hong Kong)		155,500		909,976
Macerich Co. (The)		8,700		649,020
Plum Creek Timber Co., Inc.		10,700		434,099
Prologis, Inc.		31,677		1,175,217
Public Storage		9,000		1,659,330
Realty Income Corp.(a)		13,700		608,143
Scentre Group (Australia)		61,683		178,184
Segro PLC (United Kingdom)		82,475		525,478
Simon Property Group, Inc.		19,293		3,338,075
SL Green Realty Corp.		6,400		703,296
Stockland (Australia)		26,695		84,295
Ventas, Inc.		20,418		1,267,754
Vornado Realty Trust		10,825		1,027,617
Weyerhaeuser Co.		32,398		1,020,537
				30,004,190

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		17,300	$	640,100
Cheung Kong Property Holdings Ltd. (Hong Kong)*		30,916		256,452
Daiwa House Industry Co. Ltd. (Japan)		6,800		158,426
Hang Lung Properties Ltd. (Hong Kong)		26,000		77,270
Henderson Land Development Co. Ltd. (Hong Kong)		89,540		612,090
Hysan Development Co. Ltd. (Hong Kong)		84,000		363,760
Kerry Properties Ltd. (Hong Kong)		199,000		780,042
Lend Lease Group (Australia)		38,352		443,436
New World Development Co. Ltd. (Hong Kong)		60,000		78,399
Sino Land Co. Ltd. (Hong Kong)		34,000		56,750
Swire Properties Ltd. (Hong Kong)		8,800		28,068
Tokyo Tatemono Co. Ltd. (Japan)		2,500		34,699
Wheelock & Co. Ltd. (Hong Kong)		11,000		56,130
				3,585,622
Road & Rail — 0.4%
Central Japan Railway Co. (Japan)		1,600		288,727
CSX Corp.		61,200		1,998,180
Hankyu Hanshin Holdings, Inc. (Japan)		13,000		76,739
Kansas City Southern		6,900		629,280
MTR Corp. Ltd. (Hong Kong)		16,000		74,441
Nippon Express Co. Ltd. (Japan)		10,000		49,134
Norfolk Southern Corp.		19,000		1,659,840
Ryder System, Inc.		3,600		314,532
Union Pacific Corp.		54,500		5,197,665
West Japan Railway Co. (Japan)		3,900		249,519
				10,538,057
Semiconductors & Semiconductor Equipment — 1.1%
Advantest Corp. (Japan)		1,900		19,755
Altera Corp.		18,500		947,200
Analog Devices, Inc.		19,300		1,238,770
Applied Materials, Inc.		75,900		1,458,798
ARM Holdings PLC (United Kingdom)		35,328		578,100
Avago Technologies Ltd. (Singapore)		15,900		2,113,587
Broadcom Corp. (Class A Stock)		33,650		1,732,638
First Solar, Inc.*(a)		5,100		239,598
Intel Corp.		293,700		8,932,885
KLA-Tencor Corp.		10,100		567,721
Lam Research Corp.		9,850		801,298
Linear Technology Corp.		14,800		654,604
Microchip Technology, Inc.(a)		12,500		592,813
Micron Technology, Inc.*(a)		66,500		1,252,860
NVIDIA Corp.		31,850		640,504
Qorvo, Inc.*		8,407		674,830
Skyworks Solutions, Inc.		11,800		1,228,380
Texas Instruments, Inc.		64,700		3,332,697
Tokyo Electron Ltd. (Japan)		3,500		222,450
Xilinx, Inc.		16,200		715,392
				27,944,880
Software — 1.7%
Adobe Systems, Inc.*		29,400		2,381,694
Autodesk, Inc.*		14,000		701,050

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
CA, Inc.(a)		19,664	$	575,959
Citrix Systems, Inc.*		9,900		694,584
Dassault Systemes SA (France)		1,470		106,714
Electronic Arts, Inc.*		19,200		1,276,800
Intuit, Inc.		17,100		1,723,167
Microsoft Corp.		505,100		22,300,165
Oracle Corp.		199,000		8,019,700
Red Hat, Inc.*		11,400		865,602
salesforce.com, inc.*		37,400		2,604,162
SAP SE (Germany)		766		53,678
Symantec Corp.		42,178		980,638
				42,283,913
Specialty Retail — 1.1%
ABC-Mart, Inc. (Japan)		400		24,481
AutoNation, Inc.*		5,074		319,561
AutoZone, Inc.*(a)		2,050		1,367,145
Bed Bath & Beyond, Inc.*		10,700		738,086
Best Buy Co., Inc.		18,025		587,795
CarMax, Inc.*		13,000		860,730
Dixons Carphone PLC (United Kingdom)		8,516		60,556
Fast Retailing Co. Ltd. (Japan)		600		272,083
GameStop Corp. (Class A Stock)(a)		7,100		305,016
Gap, Inc. (The)		16,400		625,988
Home Depot, Inc. (The)		81,650		9,073,765
L Brands, Inc.		15,206		1,303,610
Lowe’s Cos., Inc.		59,100		3,957,927
O’Reilly Automotive, Inc.*		6,300		1,423,674
Ross Stores, Inc.		25,600		1,244,416
Staples, Inc.		40,349		617,743
Tiffany & Co.		7,000		642,600
TJX Cos., Inc. (The)		42,200		2,792,374
Tractor Supply Co.		8,400		755,496
Urban Outfitters, Inc.*		6,100		213,500
USS Co. Ltd. (Japan)		4,400		79,354
				27,265,900
Technology Hardware, Storage & Peripherals — 2.2%
Apple, Inc.		359,090		45,038,863
EMC Corp.		122,750		3,239,373
FUJIFILM Holdings Corp. (Japan)		27,600		984,989
Hewlett-Packard Co.		112,248		3,368,563
NetApp, Inc.		19,300		609,108
SanDisk Corp.		13,200		768,504
Seagate Technology PLC(a)		20,300		964,250
Western Digital Corp.		13,400		1,050,828
				56,024,478
Textiles, Apparel & Luxury Goods — 0.5%
Christian Dior SE (France)		458		89,662
Coach, Inc.		17,100		591,831
Fossil Group, Inc.*		2,900		201,144
Hanesbrands, Inc.		25,500		849,660
Luxottica Group SpA (Italy)		11,533		767,153
LVMH Moet Hennessy Louis Vuitton SE (France)		7,394		1,299,945
Michael Kors Holdings Ltd.*		13,100		551,379
NIKE, Inc. (Class B Stock)		43,200		4,666,464

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
PVH Corp.		5,100	$	587,520
Ralph Lauren Corp.		3,800		502,968
Swatch Group AG (The) (Switzerland)		363		27,267
Under Armour, Inc. (Class A Stock)*(a)		10,300		859,432
VF Corp.		21,200		1,478,488
				12,472,913
Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		26,400		260,832
Tobacco — 0.7%
Altria Group, Inc.		122,800		6,006,148
British American Tobacco PLC (United Kingdom)		7,483		402,901
Imperial Tobacco Group PLC (United Kingdom)		26,442		1,273,497
Japan Tobacco, Inc. (Japan)		20,800		739,425
Philip Morris International, Inc.		96,300		7,720,371
Reynolds American, Inc.		25,569		1,908,982
				18,051,324
Trading Companies & Distributors — 0.2%
Ashtead Group PLC (United Kingdom)		35,184		606,385
Brenntag AG (Germany)		1,736		99,614
Bunzl PLC (United Kingdom)		3,822		104,262
Fastenal Co.(a)		16,800		708,624
ITOCHU Corp. (Japan)		72,600		958,844
Mitsui & Co. Ltd. (Japan)		19,300		262,212
Sumitomo Corp. (Japan)		12,800		148,985
United Rentals, Inc.*(a)		6,000		525,720
W.W. Grainger, Inc.(a)		3,800		899,270
				4,313,916
Transportation Infrastructure
Auckland International Airport Ltd. (New Zealand)		10,870		36,381
Groupe Eurotunnel SE (France)		5,311		77,005
				113,386

COMMON STOCKS (continued)	Shares		Value (Note 2)
Water Utilities
Severn Trent PLC (United Kingdom)		4,287	$	140,083
Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		52,500		1,266,928
NTT DOCOMO, Inc. (Japan)		8,100		155,508
Vodafone Group PLC (United Kingdom)		300,530		1,096,295
				2,518,731
TOTAL COMMON STOCKS (cost $575,366,322)				1,278,171,206
EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund (cost $1,172,477)		18,026		1,144,471
PREFERRED STOCKS — 0.1%
Automobiles — 0.1%
Bayerische Motoren Werke AG (Germany) (PRFC)		598		50,634
Volkswagen AG (Germany) (PRFC)		4,945		1,147,632
				1,198,266
Banking
Citigroup Capital XIII 7.875%, (Capital Security, fixed to floating preferred)(b)		20,000		519,200
Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		2,030		227,799
Media
ProSiebenSat.1 Media AG (Germany)		2,497		123,338
TOTAL PREFERRED STOCKS (cost $2,112,307)				2,068,603

ASSET-BACKED SECURITIES — 3.5%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.537%	(b)	04/25/19		368	$	363,259
Collateralized Loan Obligations — 1.6%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.455%	(b)	04/20/25		2,100		2,080,640
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		250		246,054
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.466%	(b)	07/13/25		2,400		2,377,537
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.779%	(b)	04/28/26		400		399,204
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.875%	(b)	10/15/26		2,000		2,002,250
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		1.822%	(b)	04/18/27		250		248,661
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.815%	(b)	10/15/26		600		599,478
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.874%	(b)	10/17/26		250		250,283
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		1.791%	(b)	04/18/27		1,000		1,000,148

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligation (continued)
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.475%	(b)	07/15/24		1,000	$	990,823
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.424%	(b)	04/17/25		2,200		2,177,965
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.825%	(b)	04/20/26		1,650		1,648,137
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.785%	(b)	10/18/26		250		249,224
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.674%	(b)	01/17/26		250		249,268
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.526%	(b)	07/22/20		235		233,655
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.756%	(b)	03/15/20		521		520,055
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.745%	(b)	10/15/26		750		747,348
Highbridge Loan Management (Cayman Islands), Series 2015-6A, Class A, 144A		1.271%	(b)	05/05/27		250		249,219
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		750		750,943
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		1.814%	(b)	04/15/27		250		250,094
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.864%	(b)	05/15/26		250		250,182
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.697%	(b)	07/25/26		2,000		1,988,908
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.725%	(b)	01/18/27		500		497,675
Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A		2.377%	(b)	07/25/23		250		250,467
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A		1.745%	(b)	04/15/26		500		498,429
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.425%	(b)	07/22/25		1,000		989,148
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A		1.586%	(b)	12/15/22		449		445,817
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		1.525%	(b)	02/20/25		250		248,353
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		1.754%	(b)	07/17/26		500		499,979
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		499,568
Shackleton CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A		1.685%	(b)	10/20/23		500		499,026
Shackleton CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A		1.754%	(b)	07/17/26		1,500		1,499,938
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.325%	(b)	04/15/25		2,600		2,558,392
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.926%	(b)	08/17/22		500		498,682
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.975%	(b)	10/20/23		900		897,825
THL Credit Wind River Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.896%	(b)	01/22/27		1,750		1,751,833
Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A		1.761%	(b)	04/20/27		1,500		1,497,470
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.395%	(b)	07/15/25		2,200		2,173,983
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A		1.885%	(b)	04/20/26		2,500		2,501,836
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.415%	(b)	04/15/24		1,500		1,479,788
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.775%	(b)	04/20/26		1,300		1,297,377
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		494,675
								40,590,337
Non-Residential Mortgage-Backed Securities — 1.3%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.986%	(b)	05/15/20		2,700		2,712,466
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%		09/20/19		1,475		1,470,252
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%		07/20/21		4,800		4,770,749
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%		12/20/21		3,800		3,790,249

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%		11/15/25		1,500	$	1,518,553
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%		04/15/26		2,400		2,426,556
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A		0.686%	(b)	05/15/20		1,600		1,600,666
Hertz Corp., Series 2015-1A, Class A		2.730%		03/25/21		4,200		4,179,000
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		3,600		3,602,736
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%		10/20/30		2,337		2,344,318
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		2,865		2,898,987
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		836		827,340
								32,141,872
Residential Mortgage-Backed Securities — 0.6%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.837%	(b)	03/25/33		287		271,250
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.996%	(b)	07/25/35		375		360,708
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1		0.937%	(b)	03/25/34		2,336		2,228,010
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.942%	(b)	07/25/34		425		403,695
Fremont Home Loan Trust, Series 2004-2, Class M1		1.042%	(b)	07/25/34		506		454,876
HSBC Home Equity Loan Trust USA, Series 2006-4, Class A4		0.417%	(b)	03/20/36		2,966		2,943,298
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.982%	(b)	06/25/34		582		561,323
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.387%	(b)	05/25/33		153		143,702
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.237%	(b)	12/25/33		853		823,186
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.087%	(b)	07/25/32		373		357,060
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.462%	(b)	09/25/32		576		567,907
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.952%	(b)	02/25/34		945		887,646
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%		02/25/55		1,419		1,414,982
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A		3.250%		02/25/55		3,568		3,552,981
								14,970,624
TOTAL ASSET-BACKED SECURITIES (cost $87,598,543)								88,066,092
BANK LOANS(b) — 0.2%
Automotive
Schaeffler AG (Germany)		4.250%		05/15/20		531		532,981
Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/30/23		673		666,062
Foods
ARAMARK Corp.		3.250%		09/07/19		437		435,643
Healthcare & Pharmaceutical — 0.1%
Grifols Worldwide Operations USA, Inc.		3.281%		02/26/21		247		246,721
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		871		871,984
								1,118,705
Retailers
Staples, Inc.		3.500%		02/28/22		595		593,843
Technology — 0.1%
First Data Corp.		3.687%		03/26/18		1,055		1,051,227
Trans Union LLC		3.750%		04/09/21		395		391,050
								1,442,277
TOTAL BANK LOANS (cost $4,759,086)								4,789,511

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.1%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,400	$	3,423,919
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.732%	(b)	04/10/49		2,997		3,166,119
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.899%	(b)	12/10/49		800		855,724
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		900		891,744
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,090		2,154,245
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		835		868,098
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		978,845
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%		03/10/46		1,400		1,399,320
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%		02/10/47		2,000		2,063,788
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,100		2,156,469
Commercial Mortgage Trust, Series 2014-LC17, Class A4		3.648%		10/10/47		5,000		5,182,985
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		1,700		1,748,860
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A		3.178%		02/10/35		4,500		4,416,759
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.609%	(b)	02/15/39		2,544		2,563,175
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(b)	02/15/39		530		538,138
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A		5.297%		12/15/39		2,385		2,489,032
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		1,925		2,026,340
Federal National Mortgage Assoc., Series 2015-M10, Class A2		3.092%	(b)	04/25/27		4,700		4,652,765
Federal National Mortgage Assoc., Series 2015-M8, Class AB2		2.829%		01/25/25		4,100		4,057,708
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(b)	05/25/22		20,824		1,680,010
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(b)	06/25/22		5,757		479,827
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(b)	08/25/16		4,736		57,872
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(b)	05/25/19		16,555		966,589
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(b)	07/25/19		17,144		975,365
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		629		629,795
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		3,500		3,525,074
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		3,000		2,964,726
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,100		1,117,367
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		5,000		4,852,790
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,170		1,170,745
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		352		355,830
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,629		1,677,658
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,500		1,473,722
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,200		3,189,142
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,700		1,763,877
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,100		1,078,705
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,390		1,393,055
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.865%	(b)	05/12/39		780		801,531
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.700%	(b)	02/12/39		440		448,324
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		6.059%	(b)	06/12/46		2,042		2,091,133
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,597		1,613,908
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,200		1,193,960
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		4,000		4,036,116

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)		Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4			5.845%	(b)	10/15/42		1,622	$	1,633,170
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB			5.444%		02/12/44		1,219		1,218,455
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4			2.792%		12/10/45		1,400		1,385,523
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3			2.920%		03/10/46		3,200		3,177,638
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3			2.971%		04/10/46		1,500		1,492,320
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4			5.897%	(b)	05/15/43		2,739		2,781,976
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A			5.608%	(b)	05/15/46		4,195		4,425,559
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $102,842,863)									101,285,795
CORPORATE BONDS — 9.7%
Airlines — 0.2%
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a)			3.375%		05/01/27		2,635		2,602,062
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A			6.648%		09/15/17		63		64,518
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1			6.703%		06/15/21		124		132,144
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A			7.250%		11/10/19		542		627,587
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A			4.750%		01/12/21		587		624,192
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a)			4.000%		10/29/24		373		380,297
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A			6.821%		08/10/22		303		347,190
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A			4.950%		05/23/19		438		464,595
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A			5.300%		04/15/19		729		784,069
									6,026,654
	��
Automotive — 0.2%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes			4.207%		04/15/16		1,890		1,932,971
General Motors Co., Sr. Unsec’d. Notes			6.250%		10/02/43		1,065		1,188,066
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A			2.700%		03/15/17		380		388,517
Johnson Controls, Inc., Sr. Unsec’d. Notes			5.500%		01/15/16		235		240,903
									3,750,457
Banking — 3.0%
American Express Co., Jr. Sub. Notes			5.200%	(b)	12/31/49		475		471,485
Bank of America Corp., Series K, Jr. Sub. Notes			8.000%	(b)	12/29/49		2,100		2,215,500
Bank of America Corp., Sr. Unsec’d. Notes			5.700%		01/24/22		1,290		1,464,358
Bank of America Corp., Sr. Unsec’d. Notes			6.000%		09/01/17		1,330		1,447,258
Bank of America Corp., Sr. Unsec’d. Notes, MTN			3.300%		01/11/23		360		354,541
Bank of America Corp., Sr. Unsec’d. Notes, MTN			4.000%		04/01/24		745		758,093
Bank of America Corp., Sr. Unsec’d. Notes, MTN			5.650%		05/01/18		105		115,343
Bank of America Corp., Sub. Notes, MTN(a)			4.000%		01/22/25		1,700		1,656,300
Bank of America NA, Sub. Notes			5.300%		03/15/17		850		900,289
Bank of America NA, Sub. Notes(a)			6.000%		10/15/36		805		956,415
Bank of Nova Scotia (Canada), Covered Bonds, 144A			1.650%		10/29/15		1,265		1,269,863
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes			5.300%		10/30/15		550		557,865
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes			6.400%		10/02/17		270		297,158
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes			7.250%		02/01/18		1,135		1,285,757
Capital One Financial Corp., Sr. Unsec’d. Notes			3.200%		02/05/25		1,070		1,012,100
Capital One Financial Corp., Sr. Unsec’d. Notes			3.750%		04/24/24		2,170		2,160,016
Citigroup, Inc., Sr. Unsec’d. Notes(a)			3.875%		10/25/23		1,730		1,765,500
Citigroup, Inc., Sr. Unsec’d. Notes			4.500%		01/14/22		1,125		1,211,803
Citigroup, Inc., Sr. Unsec’d. Notes			8.125%		07/15/39		850		1,220,058

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Citigroup, Inc., Sr. Unsec’d. Notes	��	8.500%		05/22/19		1,195	$	1,457,538
Compass Bank, Sr. Unsec’d. Notes		1.850%		09/29/17		1,050		1,048,740
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		595		587,850
Discover Bank, Sub. Notes		7.000%		04/15/20		485		564,462
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		893,606
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)	12/31/49		1,800		1,778,220
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,305		2,559,744
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		1,250		1,421,836
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		220		260,380
Goldman Sachs Group, Inc. (The), Sub. Notes		5.625%		01/15/17		765		810,071
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		1,100		1,290,243
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)		4.875%		01/14/22		1,230		1,356,374
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		920		1,025,540
Huntington Bancshares, Inc., Sub. Notes(a)		7.000%		12/15/20		150		178,669
Intesa Sanpaolo SpA (Italy), Gtd. Notes		3.125%		01/15/16		1,145		1,153,728
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)	12/31/49		1,175		1,179,112
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	04/29/49		2,000		2,115,500
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		1,660		1,774,977
JPMorgan Chase & Co., Sub. Notes		3.875%		09/10/24		3,525		3,468,269
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		185		197,295
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		1,770		2,022,213
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%		02/06/25		2,385		2,254,097
Morgan Stanley, Jr. Sub. Notes		5.450%	(b)	12/31/49		640		635,200
Morgan Stanley, Sr. Unsec’d. Notes		3.750%		02/25/23		605		611,740
Morgan Stanley, Sr. Unsec’d. Notes(a)		6.375%		07/24/42		640		785,787
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.450%		01/09/17		1,530		1,621,341
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.500%		07/28/21		840		947,595
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.625%		04/01/18		100		112,206
Morgan Stanley, Sub. Notes, MTN		4.350%		09/08/26		3,050		2,988,634
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)	07/29/49		800		837,600
National City Corp., Sub. Notes		6.875%		05/15/19		2,687		3,116,184
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,195		1,187,567
PNC Bank NA, Sub. Notes		3.800%		07/25/23		480		491,739
PNC Funding Corp., Gtd. Notes		6.700%		06/10/19		390		454,740
Royal Bank of Canada (Canada), Covered Bonds		2.200%		09/23/19		2,240		2,256,484
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		780		782,153
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		925		935,067
Synchrony Financial, Sr. Unsec’d. Notes		2.700%		02/03/20		2,175		2,148,498
Toronto-Dominion Bank (The) (Canada), Covered Bonds, 144A		1.950%		04/02/20		3,360		3,334,061
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		915		900,623
Westpac Banking Corp. (Australia), Covered Bonds, 144A		2.000%		05/21/19		870		878,057
								75,543,442
Brokerage — 0.1%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		465		454,309
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		5.250%		02/06/12		1,850		201,188
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		6.875%		05/02/18		700		80,500
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		680		684,954
								1,420,951
Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $1,154,375; purchased 10/27/14-02/11/15)(c)(d)		5.375%		11/15/24		1,135		1,114,400
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		375		382,031
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $530,000; purchased 06/19/14)(c)(d)		5.250%		06/27/29		530		397,606
								1,894,037

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 0.3%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%	09/15/17		900	$	981,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.375%	05/01/25		720		701,100
Comcast Cable Holdings LLC, Gtd. Notes		9.875%	06/15/22		1,440		1,919,520
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%	03/01/16		605		614,425
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		5.150%	03/15/42		520		489,217
Time Warner Cable, Inc., Gtd. Notes		5.850%	05/01/17		1,240		1,324,157
Videotron Ltd. (Canada), Gtd. Notes		5.000%	07/15/22		850		847,875
							6,877,294
Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%	06/15/22		1,040		1,058,200
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%	12/01/17		1,100		1,204,500
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(c)(d)		6.375%	10/15/17		1,198		1,316,918
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(c)(d)		7.000%	10/15/37		390		476,716
General Electric Co., Sr. Unsec’d. Notes		4.125%	10/09/42		180		173,188
General Electric Co., Sr. Unsec’d. Notes		4.500%	03/11/44		260		264,053
SPX Corp., Gtd. Notes		6.875%	09/01/17		810		872,775
United Rentals North America, Inc., Gtd. Notes		7.375%	05/15/20		725		773,568
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,060		1,148,311
							7,288,229
Chemicals — 0.3%
Celanese US Holdings LLC, Gtd. Notes(a)		5.875%	06/15/21		1,160		1,241,200
CF Industries, Inc., Gtd. Notes		5.375%	03/15/44		445		442,487
Dow Chemical Co. (The), Sr. Unsec’d. Notes(a)		4.625%	10/01/44		5		4,667
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		30		45,152
Koppers, Inc., Gtd. Notes		7.875%	12/01/19		1,050		1,060,500
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%	02/26/55		955		841,014
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%	04/15/19		800		866,612
Monsanto Co., Sr. Unsec’d. Notes		4.400%	07/15/44		180		161,185
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		265		282,086
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%	11/15/43		860		916,254
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%	06/01/25		500		623,055
							6,484,212
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%	04/15/18		1,600		1,773,398
Electric — 0.4%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%	08/01/16		170		179,582
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%	10/01/36		530		662,870
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%	04/01/36		340		400,541
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2		6.950%	03/15/33		300		393,186
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%	12/01/39		145		165,789
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%	11/01/43		45		44,424
Duke Energy Carolinas LLC, First Mortgage		6.050%	04/15/38		530		652,899
Dynegy, Inc., Gtd. Notes, 144A		6.750%	11/01/19		345		358,972
Dynegy, Inc., Gtd. Notes, 144A		7.375%	11/01/22		255		267,113
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35		845		993,511
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%	08/01/15		1,020		1,025,712
Eversource Energy, Sr. Unsec’d. Notes		4.500%	11/15/19		605		661,015
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%	10/01/39		1,375		1,517,240
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%	07/15/44		265		275,863
Florida Power & Light Co., First Mortgage		5.950%	10/01/33		380		462,826
Iberdrola International BV (Spain), Gtd. Notes		6.750%	09/15/33		140		160,236
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%	08/15/19		545		598,093
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%	05/15/18		135		157,096
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%	05/01/37		515		620,862

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Southern California Edison Co., First Mortgage		3.600%		02/01/45		690	$	615,053
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		497,789
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		263		281,869
								10,992,541
Energy – Integrated
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		400		431,331
Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		1,000		400,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		305		351,933
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		225		261,356
Devon Financing Corp. LLC, Gtd. Notes		7.875%		09/30/31		1,350		1,740,151
EOG Resources, Inc., Sr. Unsec’d. Notes(a)		3.900%		04/01/35		830		785,718
Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a)		4.650%		03/15/25		1,555		1,605,208
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		890		884,189
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		350		287,525
Phillips 66, Gtd. Notes		2.950%		05/01/17		415		426,568
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,450		1,628,092
Valero Energy Corp., Sr. Unsec’d. Notes		4.900%		03/15/45		225		210,847
								8,581,587
Foods — 0.1%
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		860		1,039,626
Tyson Foods, Inc., Gtd. Notes		6.600%		04/01/16		785		815,003
								1,854,629
Gaming — 0.1%
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.875%		11/01/20		800		814,000
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., Gtd. Notes, 144A		5.500%		03/01/25		900		857,250
								1,671,250
Healthcare & Pharmaceutical — 0.9%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		950		938,975
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,595		1,560,393
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25		805		790,769
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35		1,305		1,240,758
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45		480		456,986
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		440		496,758
Amgen, Inc., Sr. Unsec’d. Notes		5.150%		11/15/41		1,365		1,401,786
Becton Dickinson & Co., Sr. Unsec’d. Notes(a)		3.734%		12/15/24		805		802,292
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes		5.125%		08/15/18		900		922,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		1,235		1,250,438
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		140		160,407
HCA, Inc., Sr. Sec’d. Notes		5.000%		03/15/24		900		915,750
HCA, Inc., Sr. Sec’d. Notes		5.250%		04/15/25		350		364,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%		02/01/22		160		157,743
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%		12/15/15		560		571,277
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%		03/15/25		2,515		2,506,416
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%		03/15/35		1,065		1,056,826
Merck & Co., Inc., Sr. Unsec’d. Notes		2.750%		02/10/25		340		326,038
Merck & Co., Inc., Sr. Unsec’d. Notes		3.700%		02/10/45		1,105		987,172
Mylan, Inc., Gtd. Notes		1.800%		06/24/16		355		355,178
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%		08/01/45		340		310,151
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		1,010		1,041,236
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%		09/29/21		4,385		4,421,141
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		90		85,807
								23,120,797

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance — 0.2%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		480	$	589,561
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,050		1,321,236
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		330		301,639
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		260		238,358
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		540		614,428
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		640		738,337
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		440		398,107
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		115		125,214
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		410		525,615
								4,852,495
Insurance — 0.9%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		480		534,931
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%		06/15/43		125		126,123
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,910		1,816,878
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		910		1,081,849
Axis Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		990		1,120,448
Chubb Corp. (The), Jr. Sub. Notes(a)		6.375%	(b)	03/29/67		1,260		1,321,740
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		375		395,625
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes		5.125%		04/15/22		635		704,232
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		215		250,886
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		910		1,103,188
Lincoln National Corp., Jr. Sub. Notes(a)		6.050%	(b)	04/20/67		250		226,250
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		876		1,032,275
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		660		827,814
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		505		619,154
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		165		162,230
MetLife, Inc., Sr. Unsec’d. Notes		5.700%		06/15/35		960		1,117,045
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		85		104,878
MetLife, Inc., Sr. Unsec’d. Notes		6.750%		06/01/16		270		284,042
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		650		853,020
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(b)	10/16/44		1,505		1,574,606
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		350		418,525
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		640		728,467
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		695		1,037,882
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		105		101,086
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		715		745,387
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		570		503,208
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,430		1,790,579
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		315		354,456
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		575		648,358
								21,585,162
Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		955		1,034,981
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		490		502,434
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		805		793,713
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes		6.750%		05/15/18		2,700		3,020,817
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		405		406,042
								5,757,987
Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		250		289,073
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		35		43,776
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,265		1,636,890
CBS Corp., Gtd. Notes		4.850%		07/01/42		115		105,938
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		625		825,641
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		750		793,125
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		175		198,808

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Time Warner, Inc., Gtd. Notes		6.250%	03/29/41		495	$	566,423
Time Warner, Inc., Gtd. Notes		7.625%	04/15/31		75		97,525
Viacom, Inc., Sr. Unsec’d. Notes		4.500%	02/27/42		50		41,805
Viacom, Inc., Sr. Unsec’d. Notes		4.875%	06/15/43		150		134,271
Viacom, Inc., Sr. Unsec’d. Notes		5.850%	09/01/43		325		323,486
							5,056,761
Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%	09/30/43		700		726,624
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.050%	10/23/15		905		907,317
Newmont Mining Corp., Gtd. Notes		6.250%	10/01/39		15		14,699
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%	04/23/45		400		380,480
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		7.500%	07/27/35		370		414,378
							2,443,498
Non-Captive Finance — 0.1%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%	05/15/19		600		593,250
General Electric Capital Corp., Gtd. Notes, MTN		5.875%	01/14/38		580		693,697
General Electric Capital Corp., Gtd. Notes, MTN		6.875%	01/10/39		1,085		1,456,801
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%	05/15/16		230		235,750
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%	06/15/18		295		327,834
							3,307,332
Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%	01/15/23		1,000		944,380
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(c)(d)		5.400%	11/01/20		275		306,977
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41		1,270		1,369,221
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18		460		537,098
Rock-Tenn Co., Gtd. Notes		4.900%	03/01/22		675		726,827
							2,940,123
Pipelines & Other — 0.3%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		4.750%	09/30/21		600		592,862
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%	03/15/20		1,125		1,156,483
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%	06/01/21		610		626,070
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.900%	03/15/35		200		180,462
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		5.150%	03/15/45		500		441,777
EnLink Midstream Partners LP, Sr. Unsec’d. Notes		4.150%	06/01/25		665		647,477
Enterprise Products Operating LLC, Gtd. Notes		3.750%	02/15/25		1,055		1,033,976
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%	02/15/18		530		579,169
MPLX LP, Sr. Unsec’d. Notes		4.000%	02/15/25		1,140		1,112,265
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20		500		563,061
ONEOK Partners LP, Gtd. Notes		6.650%	10/01/36		130		135,998
							7,069,600
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		3.450%	09/15/21		1,180		1,219,002
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		735		930,140
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		690		820,985
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		120		138,151
							3,108,278
Real Estate Investment Trusts — 0.2%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		685		788,484
Prologis LP, Gtd. Notes		6.875%	03/15/20		68		78,552
Select Income REIT, Sr. Unsec’d. Notes		2.850%	02/01/18		550		557,425
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		235		240,532

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Real Estate Investment Trusts (continued)
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		190	$	192,850
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		2,925		3,286,498
							5,144,341
Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes(a)		5.300%	12/05/43		170		185,247
Home Depot, Inc. (The), Sr. Unsec’d. Notes(a)		4.400%	03/15/45		565		564,186
L Brands, Inc., Gtd. Notes		5.625%	02/15/22		1,300		1,368,250
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		345		433,913
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%	01/15/22		300		311,066
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		265		270,511
							3,133,173
Technology
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		700		690,300
Seagate HDD Cayman, Gtd. Notes		3.750%	11/15/18		455		474,353
							1,164,653
Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		300		347,379
AT&T Corp., Gtd. Notes		8.000%	11/15/31		18		24,425
AT&T, Inc., Sr. Unsec’d. Notes		3.400%	05/15/25		3,130		2,985,106
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	05/15/35		350		321,750
AT&T, Inc., Sr. Unsec’d. Notes		4.750%	05/15/46		560		509,585
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		305		284,107
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		1,133		1,115,458
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		350		519,461
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(c)(d)		7.082%	06/01/16		325		337,977
Embarq Corp., Sr. Unsec’d. Notes (original cost $364,974; purchased 05/12/06)(c)(d)		7.995%	06/01/36		365		404,675
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		950		976,125
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,220		1,186,644
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.862%	08/21/46		1,053		985,520
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		2,349		2,155,412
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.522%	09/15/48		1,182		1,038,407
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.672%	03/15/55		2,288		1,990,455
							15,182,486
Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes		4.000%	01/31/24		1,585		1,609,531
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		42		67,630
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		274		451,204
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		1,680		1,672,284
RJ Reynolds Tobacco Co., Gtd. Notes		8.125%	06/23/19		290		343,556
							4,144,205
TOTAL CORPORATE BONDS (cost $236,223,128)							243,545,283
MUNICIPAL BONDS — 0.5%
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,305		1,688,435
State of California, GO, BABs		7.300%	10/01/39		1,250		1,736,312
State of California, GO, BABs		7.500%	04/01/34		350		484,761
State of California, GO, BABs		7.550%	04/01/39		245		354,253
State of California, GO, BABs		7.625%	03/01/40		205		295,893
							4,559,654

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

MUNICIPAL BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		565	$	704,035
Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		970		1,186,950
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,000		1,388,710
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,100		1,319,835
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		415		458,438
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		275		306,449
							764,887
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		425		518,934
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		505		570,993
Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		945		1,169,457
Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		305		347,651
TOTAL MUNICIPAL BONDS (cost $10,004,110)							12,531,106
NON-CORPORATE FOREIGN AGENCIES — 0.8%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%	07/24/24		1,300		1,309,023
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		490		501,025
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%	06/29/20		265		297,022
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%	04/23/19		695		771,450
International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d. Notes		2.250%	06/24/21		3,295		3,362,050
KFW (Germany), Gov’t. Gtd. Notes, MTN		2.750%	10/01/20		2,645		2,760,370
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		2,634		2,626,003
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,400		1,383,438
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%	01/30/23		705		668,833
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/18/24		375		384,375
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%	01/21/21		1,970		2,136,465
Petroleos Mexicanos (Mexico), Gtd. Notes		6.625%	06/15/35		453		483,578
Petroleos Mexicanos (Mexico), Sr. Unsec’d. Notes		8.625%	12/01/23		350		430,150
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%	05/15/17		560		565,600
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%	04/10/17		1,035		1,035,590
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,000		984,940
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%	05/07/19		500		505,050
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $20,141,475)							20,204,962
NON-CORPORATE SOVEREIGNS — 0.5%
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a)		4.250%	01/07/25		2,270		2,191,685
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%	02/26/24		920		915,400
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%	03/25/19		392		404,662
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%	03/13/20		770		856,625
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%	01/15/24		750		828,750

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

NON-CORPORATE SOVEREIGNS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		6.875%		01/17/18		745	$	833,826
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		3.625%		03/15/22		550		556,600
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		766		727,700
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		490		482,650
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		395		396,975
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		375		413,250
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%		10/23/22		1,975		1,934,506
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		140		148,050
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN, RegS		6.125%		01/22/44		350		392,700
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,260		1,438,245
TOTAL NON-CORPORATE SOVEREIGNS (cost $12,489,974)								12,521,624
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		298		303,839
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,404		1,183,211
Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A		3.500%	(b)	01/01/30		2,114		2,121,025
Banc of America Mortgage Trust, Series 2005-A, Class 2A1		2.673%	(b)	02/25/35		311		303,459
Banc of America Mortgage Trust, Series 2005-B, Class 2A1		2.732%	(b)	03/25/35		362		334,024
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.553%	(b)	02/25/37		707		687,381
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1		2.137%	(b)	11/25/24		3,114		3,137,733
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1		1.687%	(b)	02/25/25		1,031		1,032,634
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1		1.335%	(b)	05/25/25		4,974		4,946,635
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1		1.087%	(b)	10/25/27		6,402		6,388,608
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.595%	(b)	07/25/35		375		375,787
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A		3.284%	(b)	09/01/21		4,695		4,719,316
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A		2.184%	(b)	04/01/20		2,337		2,327,876
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A		2.184%	(b)	05/01/20		4,139		4,108,998
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		72		72,882
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(b)	02/25/34		427		425,048
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		197		197,280
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $32,917,995)								32,665,736
U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.4%
Federal Home Loan Banks		0.375%		08/28/15		335		335,144
Federal Home Loan Banks(g)		5.500%		07/15/36		850		1,099,677
Federal Home Loan Mortgage Corp.		0.750%		01/12/18		407		404,973
Federal Home Loan Mortgage Corp.		2.236%	(b)	12/01/35		315		334,349
Federal Home Loan Mortgage Corp.		2.292%	(b)	06/01/36		294		312,755
Federal Home Loan Mortgage Corp.(a)		2.375%		01/13/22		3,700		3,746,139
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		978		990,718
Federal Home Loan Mortgage Corp.(l)		3.000%		TBA		7,000		6,958,164
Federal Home Loan Mortgage Corp.		3.000%		10/01/28-01/01/43		3,975		4,073,473
Federal Home Loan Mortgage Corp.(l)		3.500%		TBA		7,500		7,695,557
Federal Home Loan Mortgage Corp.(l)		3.500%		TBA		500		526,848
Federal Home Loan Mortgage Corp.		3.500%		08/01/26		1,355		1,432,207
Federal Home Loan Mortgage Corp.(l)		4.000%		TBA		2,500		2,643,799
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		3,971		4,221,490
Federal Home Loan Mortgage Corp.		4.500%		02/01/19-10/01/41		11,174		12,080,210
Federal Home Loan Mortgage Corp.		5.000%		07/01/18-05/01/39		3,254		3,538,905
Federal Home Loan Mortgage Corp.		5.500%		12/01/33-07/01/38		3,042		3,410,630
Federal Home Loan Mortgage Corp.		6.000%		03/01/32-08/01/39		1,198		1,365,212
Federal Home Loan Mortgage Corp.		6.500%		09/01/16		1		1,041

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		7.000%		05/01/31-10/01/31		314	$	358,011
Federal National Mortgage Assoc.(a)(g)(h)		1.500%		06/22/20		4,835		4,777,662
Federal National Mortgage Assoc.		1.625%		01/21/20		1,365		1,363,108
Federal National Mortgage Assoc.		1.875%		02/19/19		156		158,940
Federal National Mortgage Assoc.		1.959%	(b)	07/01/33		421		443,914
Federal National Mortgage Assoc.		2.059%	(b)	06/01/37		74		74,794
Federal National Mortgage Assoc.		2.151%	(b)	07/01/37		465		491,582
Federal National Mortgage Assoc.(l)		2.500%		TBA		1,000		1,012,114
Federal National Mortgage Assoc.		2.500%		01/01/28-10/01/43		2,615		2,605,186
Federal National Mortgage Assoc.(a)		2.625%		09/06/24		130		130,050
Federal National Mortgage Assoc.(l)		3.000%		TBA		26,000		25,903,007
Federal National Mortgage Assoc.		3.000%		02/01/27		3,899		4,049,237
Federal National Mortgage Assoc.(l)		3.500%		TBA		500		527,320
Federal National Mortgage Assoc.(l)		3.500%		TBA		3,000		3,083,672
Federal National Mortgage Assoc.		3.500%		07/01/27-03/01/43		30,896		32,006,763
Federal National Mortgage Assoc.(l)		4.000%		TBA		16,000		16,914,186
Federal National Mortgage Assoc.(l)		4.000%		TBA		7,500		7,946,103
Federal National Mortgage Assoc.		4.000%		09/01/44		6,570		6,963,812
Federal National Mortgage Assoc.		4.500%		11/01/18-03/01/41		7,817		8,488,473
Federal National Mortgage Assoc.(l)		5.000%		TBA		3,500		3,866,406
Federal National Mortgage Assoc.		5.000%		10/01/18-05/01/36		2,364		2,603,483
Federal National Mortgage Assoc.		5.500%		03/01/16-04/01/37		4,590		5,157,888
Federal National Mortgage Assoc.		6.000%		09/01/17-06/01/38		5,110		5,828,235
Federal National Mortgage Assoc.		6.500%		07/01/17-01/01/37		1,956		2,258,372
Federal National Mortgage Assoc.		7.000%		02/01/32-07/01/32		212		247,383
Federal National Mortgage Assoc.		7.500%		05/01/32		41		43,476
Government National Mortgage Assoc.(l)		3.000%		TBA		2,000		2,018,750
Government National Mortgage Assoc.(l)		3.000%		TBA		4,000		4,037,812
Government National Mortgage Assoc.(l)		3.500%		TBA		18,000		18,681,331
Government National Mortgage Assoc.		3.500%		05/20/43-04/20/45		3,886		4,051,792
Government National Mortgage Assoc.		4.000%		06/15/40-04/20/45		9,216		9,784,493
Government National Mortgage Assoc.(l)		4.500%		TBA		1,000		1,085,781
Government National Mortgage Assoc.		4.500%		04/15/40-12/20/44		9,455		10,277,573
Government National Mortgage Assoc.		5.500%		08/15/33-04/15/36		2,187		2,492,387
Government National Mortgage Assoc.		6.000%		11/15/23-07/15/34		853		980,739
Government National Mortgage Assoc.		6.500%		10/15/23-09/15/36		1,613		1,865,817
Government National Mortgage Assoc.		8.000%		01/15/24-07/15/24		25		27,561
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		566		584,397
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		3,910		3,929,550
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		1,115		1,117,787
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO		1.825%	(f)	10/15/19		1,105		1,019,930
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO		2.066%	(f)	07/15/20		3,351		3,032,843
Tennessee Valley Authority, Sr. Unsec’d. Notes		5.880%		04/01/36		76		98,636
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.847%		05/29/20		3,665		3,667,888
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $257,240,748)								261,229,535
U.S. TREASURY OBLIGATIONS — 2.5%
U.S. Treasury Bonds(a)		2.500%		02/15/45		1,260		1,108,901
U.S. Treasury Bonds		2.750%		08/15/42-11/15/42		2,850		2,651,489
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/20		5,824		5,871,016
U.S. Treasury Inflation Indexed Bonds, TIPS		1.375%		01/15/20		9,436		10,087,863
U.S. Treasury Notes		1.500%		10/31/19		1,745		1,745,954
U.S. Treasury Notes(h)		2.125%		09/30/21		27,615		27,891,150
U.S. Treasury Notes		3.125%		05/15/19		3,065		3,270,689
U.S. Treasury Strips Coupon		2.184%	(f)	02/15/28		2,115		1,496,130
U.S. Treasury Strips Coupon		2.241%	(f)	05/15/28		1,055		740,111
U.S. Treasury Strips Coupon		2.280%	(f)	02/15/29		1,055		718,154
U.S. Treasury Strips Coupon		2.363%	(f)	08/15/30		3,150		2,027,349
U.S. Treasury Strips Coupon		2.384%	(f)	05/15/29		2,175		1,466,011
U.S. Treasury Strips Coupon		2.519%	(f)	08/15/25		1,930		1,496,877

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

U.S. TREASURY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Treasury Strips Coupon		3.103%	(f)	11/15/34		1,430	$	783,950
U.S. Treasury Strips Principal		2.351%	(f)	05/15/43		1,180		474,287
U.S. Treasury Strips Principal		3.577%	(f)	05/15/44		1,780		696,774
TOTAL U.S. TREASURY OBLIGATIONS (cost $62,170,536)								62,526,705
TOTAL LONG-TERM INVESTMENTS (cost $1,405,039,564)								2,120,750,629
SHORT-TERM INVESTMENTS — 21.3%
					Shares
AFFILIATED MUTUAL FUNDS — 20.9%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $100,433,000) (Note 4)(j)						10,486,362		97,942,621
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $425,643,804; includes $58,627,635 of cash collateral for securities on loan) (Note 4)(j)(k)						425,643,804		425,643,804
TOTAL AFFILIATED MUTUAL FUNDS (cost $526,076,804)								523,586,425
					Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.4%
U.S. Treasury Bills(g) (cost $10,647,264)		0.152%(i)		09/17/15		10,650		10,650,000
					Notional Amount (000)#
OPTIONS PURCHASED*
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00						27,200		467,500
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00						13,600		29,750
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00						13,600		10,625
TOTAL OPTIONS PURCHASED (cost $470,563)								507,875
TOTAL SHORT-TERM INVESTMENTS (cost $537,194,631)								534,744,300
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.1% (cost $1,942,234,195)								2,655,494,929
OPTIONS WRITTEN*
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00						27,200		(174,250	)
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00						27,200		(102,000	)
TOTAL OPTIONS WRITTEN (premiums received $241,312)								(276,250	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.1% (cost $1,941,992,883)								2,655,218,679
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.1)%								(152,651,453	)
NET ASSETS — 100.0%							$	2,502,567,226

SEE NOTES TO FINANCIAL STATEMENTS.

A24

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

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

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $57,070,426; cash collateral of $58,627,635 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(c) Indicates a restricted security; the aggregate original cost of the restricted securities is $4,272,642. The aggregate value of $4,355,269 is approximately 0.2% of net assets.

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

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

(f) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

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

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

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

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

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

(l) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $100,000,000 is approximately 4.0% of net assets.

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

Futures contracts outstanding at June 30, 2015:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
Long Positions:
91	2 Year U.S. Treasury Notes		Sep. 2015	$	19,930,551	$	19,923,313	$	(7,238	)
666	5 Year U.S. Treasury Notes		Sep. 2015		78,964,065		79,425,703		461,638
218	10 Year U.S. Treasury Notes		Sep. 2015		27,425,071		27,505,469		80,398
87	DAX Index		Sep. 2015		26,619,996		26,676,473		56,477
691	DJ Euro STOXX 50		Sep. 2015		26,453,417		26,469,665		16,248
221	IBEX 35 Index		Jul. 2015		26,419,156		26,547,447		128,291
16	MSCI EAFE Mini Futures		Sep. 2015		1,506,518		1,467,200		(39,318	)
59	S&P 500 E-Mini Futures		Sep. 2015		6,155,981		6,060,480		(95,501	)
62	S&P 500 Index Futures		Sep. 2015		32,439,964		31,843,200		(596,764	)
227	U.S. Ultra Bonds		Sep. 2015		35,813,459		34,972,188		(841,271	)
									(837,040	)
Short Position:
194	U.S. Long Bonds		Sep. 2015		29,872,710		29,263,688		609,022
								$	(228,018	)

(1) A U.S. Treasury Obligation with a market value of $10,650,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $1,926,660 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

Interest rate swap agreements outstanding at June 30, 2015:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
	Over-the-counter swap agreements:
	2,634		05/17/18		0.989%	3 Month LIBOR(1)	$	13,942	$	—	$	13,942	Credit Suisse First Boston Corp.

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Interest rate swap agreements outstanding at June 30, 2015 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation
	Exchange-traded swap agreements:
	12,735		12/31/21		1.831%	3 Month LIBOR(1)	$	8,825		$	171,024		$	162,199
	26,880		12/31/21		1.950%	3 Month LIBOR(1)		73,934			163,044			89,110
	40,475		05/31/22		2.200%	3 Month LIBOR(1)		(56,569	)		(44,834	)		11,735
							$	26,190		$	289,234		$	263,044

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

Credit default swap agreements outstanding at June 30, 2015:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at June 30, 2015(4)			Unrealized Appreciation
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		53,000	$	(997,536	)	$	(756,174	)	$	241,362

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V9		12/20/16		5.000%		1,150	$	63,809	$	47,923	$	15,886	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V9		12/20/16		5.000%		2,990		165,903		128,338		37,565	Deutsche Bank AG
CDX.NA.HY.17.V9		12/20/16		5.000%		4,140		229,713		181,413		48,300	Deutsche Bank AG
							$	459,425	$	357,674	$	101,751

A U.S. Government Agency Obligation and a U.S. Treasury Obligation with a combined market value of $3,538,677 have been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at June 30, 2015.

The Portfolio entered into credit default swap (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(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) 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 less the recovery value 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) The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A26

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

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— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	1,132,886,509		$	145,284,697	$	—
Exchange Traded Fund		1,144,471			—		—
Preferred Stocks		519,200			1,549,403		—
Asset-Backed Securities
Collateralized Debt Obligation		—			363,259		—
Collateralized Loan Obligations		—			40,590,337		—
Non-Residential Mortgage-Backed Securities		—			24,360,136		7,781,736
Residential Mortgage-Backed Securities		—			14,970,624		—
Bank Loans		—			4,789,511		—
Commercial Mortgage-Backed Securities		—			101,285,795		—
Corporate Bonds		—			243,480,765		64,518
Municipal Bonds		—			12,531,106		—
Non-Corporate Foreign Agencies		—			20,204,962		—
Non-Corporate Sovereigns		—			12,521,624		—
Residential Mortgage-Backed Securities		—			32,665,736		—
U.S. Government Agency Obligations		—			261,229,535		—
U.S. Treasury Obligations		—			73,176,705		—
Affiliated Mutual Funds		523,586,425			—		—
Options Purchased		507,875			—		—
Options Written		(276,250	)		—		—
Other Financial Instruments*
Futures Contracts		(228,018	)		—		—
Over-the-counter interest rate swap		—			13,942		—
Exchange-traded interest rate swaps		—			263,044		—
Exchange-traded credit default swap		—			241,362		—
Over-the-counter credit default swaps		—			459,425		—
Total	$	1,658,140,212		$	989,981,968	$	7,846,254

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:

Affiliated Mutual Funds (including 2.3% of collateral for securities on loan)	20.9	%
U.S. Government Agency Obligations	10.4
Commercial Mortgage-Backed Securities	4.1
Banks	3.6
Pharmaceuticals	3.5
Oil, Gas & Consumable Fuels	3.3
Banking	3.0
U.S. Treasury Obligations	2.9
Insurance	2.4
Technology Hardware, Storage & Peripherals	2.2
Residential Mortgage-Backed Securities	1.9
Media	1.8
Software	1.7

Collateralized Loan Obligations	1.6	%
IT Services	1.6
Internet Software & Services	1.5
Chemicals	1.5
Biotechnology	1.5
Real Estate Investment Trusts (REITs)	1.4
Health Care Providers & Services	1.4
Non-Residential Mortgage-Backed Securities	1.3
Aerospace & Defense	1.3
Diversified Telecommunication Services	1.2
Food & Staples Retailing	1.2
Capital Markets	1.2
Industrial Conglomerates	1.1
Semiconductors & Semiconductor Equipment	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A27

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Industry table (con’t)
Specialty Retail	1.1	%
Beverages	1.0
Health Care Equipment & Supplies	1.0
Food Products	1.0
Healthcare & Pharmaceutical	1.0
Diversified Financial Services	0.9
Tobacco	0.9
Household Products	0.9
Machinery	0.9
Electric Utilities	0.9
Hotels, Restaurants & Leisure	0.8
Non-Corporate Foreign Agencies	0.8
Internet & Catalog Retail	0.7
Communications Equipment	0.7
Telecommunications	0.6
Energy Equipment & Services	0.6
Multi-Utilities	0.6
Automobiles	0.6
Airlines	0.5
Municipal Bonds	0.5
Non-Corporate Sovereigns	0.5
Textiles, Apparel & Luxury Goods	0.5
Electric	0.4
Road & Rail	0.4
Multiline Retail	0.4
Consumer Finance	0.4
Electrical Equipment	0.4
Energy – Other	0.3
Metals & Mining	0.3
Air Freight & Logistics	0.3
Household Durables	0.3
Electronic Equipment, Instruments & Components	0.3
Auto Components	0.3
Cable	0.3
Capital Goods	0.3

Pipelines & Other	0.3	%
Life Sciences Tools & Services	0.2
Lodging	0.2
Commercial Services & Supplies	0.2
Media & Entertainment	0.2
Healthcare Insurance	0.2
Trading Companies & Distributors	0.2
Automotive	0.2
Retailers	0.1
Real Estate Management & Development	0.1
Non-Captive Finance	0.1
Railroads	0.1
Containers & Packaging	0.1
Paper & Forest Products	0.1
Paper	0.1
Professional Services	0.1
Technology	0.1
Wireless Telecommunication Services	0.1
Construction & Engineering	0.1
Metals	0.1
Foods	0.1
Building Materials & Construction	0.1
Consumer	0.1
Gaming	0.1
Building Products	0.1
Brokerage	0.1
Construction Materials	0.1
Health Care Technology	0.1
Leisure Products	0.1
Personal Products	0.1
Exchange Traded Fund	0.1
Independent Power & Renewable Electricity Producers	0.1
	106.1
Liabilities in excess of other assets	(6.1	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for 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	$	357,674		—	$	—
Credit contracts	Due from/to broker — variation margin swaps		241,362	*	—		—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		101,751		—		—
Equity Contracts	Due from/to broker — variation margin futures		201,016	*	Due from/to broker — variation margin futures		731,583	*
Interest rate contracts	Due from/to broker — variation margin futures		1,151,058	*	Due from/to broker — variation margin futures		848,509	*
Interest rate contracts	Due from/to broker — variation margin swaps		263,044	*	—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A28

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements	$	13,942	—	$	—
Interest rate contracts	Unaffiliated investments		507,875	Options written outstanding, at value		276,250
Total		$	2,837,722		$	1,856,342

* Includes cumulative appreciation/depreciation as reported in schedule of open futures and exchange-traded swap 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 six months ended June 30, 2015 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written		Futures		Swaps			Total
Credit contracts	$	—	$	—		$	—	$	—	$	(512,220	)	$	(512,220	)
Equity contracts		6,783		—			—		5,744,856		—			5,751,639
Interest rate contracts		—		(1,084,032	)		299,296		880,255		8,398			103,917
	$	6,783	$	(1,084,032	)	$	299,296	$	6,625,111	$	(503,822	)	$	5,343,336

* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*		Options Written			Futures			Swaps		Total
Credit contracts	$	—	$	—		$	—		$	364,634	$	364,634
Equity contracts		—		—			(5,108,672	)		—		(5,108,672	)
Interest rate contracts		61,024		(60,445	)		(315,501	)		307,262		(7,660	)
Total	$	61,024	$	(60,445	)	$	(5,424,173	)	$	671,896	$	(4,751,698	)

* Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:

Options  Purchased(1)	Options  Written(2)	Futures Contracts— Long Positions(3)	Futures Contracts— Short Position(3)
$256,036	$91,067	$254,361,154	$22,231,478

Interest Rate Swap Agreements(2)	Credit Default Swap Agreements—Buy Protection(2)	Credit Default Swap Agreements—Sell Protection(2)
$76,936	$57,643	$8,401

⁽¹⁾  Cost.

⁽²⁾  Notional Amount in USD (000).

⁽³⁾  Value at Trade Date.

SEE NOTES TO FINANCIAL STATEMENTS.

A29

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Offsetting of over-the-counter (OTC) derivative assets and liabilities:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	77,751	$	—	$	—		$	77,751
Deutsche Bank AG		395,616		—		(521,616	)		—
	$	473,367
Counterparty	Gross amounts of recognized liabilities(2)		Gross amounts available for offset		Collateral Pledged(3)			Net Amount
Credit Suisse First Boston Corp.	$	—	$	—	$	—		$	—
Deutsche Bank AG		—		—		—			—
	$	—

(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

(3) Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A30

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015

ASSETS
Investments at value, including securities on loan of $57,070,426:
Unaffiliated investments (cost $1,416,157,391)	$	2,131,908,504
Affiliated investments (cost $526,076,804)		523,586,425
Cash		100,252
Foreign currency, at value (cost $6,346,061)		6,343,507
Receivable for investments sold		64,285,156
Dividends and interest receivable		6,934,612
Tax reclaim receivable		475,965
Premium paid for swap agreements		357,674
Unrealized appreciation on over-the-counter swap agreements		115,693
Due from broker—variation margin swaps		2,674
Receivable for Series shares sold		1,100
Prepaid expenses		2,685
Total Assets		2,734,114,247
LIABILITIES
Payable for investments purchased		166,785,887
Payable to broker for collateral for securities on loan		58,627,635
Due to broker—variation margin futures		4,007,486
Management fee payable		1,146,231
Payable for Series shares repurchased		414,210
Accrued expenses and other liabilities		288,396
Options written outstanding, at value (premiums received $241,312)		276,250
Affiliated transfer agent fee payable		926
Total Liabilities		231,547,021
NET ASSETS	$	2,502,567,226
Net assets were comprised of:
Paid-in capital	$	1,349,921,100
Retained earnings		1,152,646,126
Net assets, June 30, 2015	$	2,502,567,226
Net asset value and redemption price per share $2,502,567,226 / 110,859,648 outstanding shares of beneficial interest	$	22.57

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $258,544)	$	16,104,768
Interest income		12,912,052
Affiliated dividend income		816,991
Affiliated income from securities lending, net		114,687
Total income		29,948,498
EXPENSES
Management fee		6,992,729
Custodian and accounting fees		212,000
Shareholders’ reports		114,000
Audit fee		21,000
Insurance expenses		16,000
Trustees’ fees		15,000
Legal fees and expenses		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		25,799
Total expenses		7,410,528
NET INVESTMENT INCOME		22,537,970
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		85,041,456
Futures transactions		6,625,111
Options written transactions		299,296
Swap agreement transactions		(503,822	)
Foreign currency transactions		(133,373	)
		91,328,668
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $442)		(93,764,386	)
Futures		(5,424,173	)
Securities sold short		9,708
Options written		(60,445	)
Swap agreements		671,896
Foreign currencies		(18,735	)
		(98,586,135	)
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(7,257,467	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	15,280,503

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	22,537,970		$	42,111,812
Net realized gain on investment and foreign currency transactions		91,328,668			120,488,994
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(98,586,135	)		50,456,589
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		15,280,503			213,057,395
SERIES SHARE TRANSACTIONS
Series shares sold [155,045 and 657,128 shares, respectively]		3,531,071			14,068,708
Series shares repurchased [3,986,192 and 7,335,062 shares, respectively]		(90,599,574	)		(157,169,187	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(87,068,503	)		(143,100,479	)
TOTAL INCREASE (DECREASE)		(71,788,000	)		69,956,916
NET ASSETS:
Beginning of period		2,574,355,226			2,504,398,310
End of period	$	2,502,567,226		$	2,574,355,226

SEE NOTES TO FINANCIAL STATEMENTS.

A31

	DIVERSIFIED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

LONG-TERM INVESTMENTS — 90.1% ASSET-BACKED SECURITIES — 13.8%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 4.4%
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.725%	(a)	07/15/26		500	$	497,885
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.455%	(a)	04/20/25		3,300		3,269,578
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500		492,107
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.888%	(a)	10/15/26		1,750		1,751,969
Battalion VII CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.675%	(a)	10/22/25		1,300		1,296,433
Battalion VII CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.874%	(a)	10/17/26		2,750		2,753,115
Benefit Street Partners II CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.475%	(a)	07/15/24		900		891,741
Benefit Street Partners V CLO Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A		1.875%	(a)	10/20/26		1,250		1,251,118
Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A		0.551%	(a)	06/20/17		255		255,089
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.755%	(a)	01/15/26		700		700,033
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.424%	(a)	04/17/25		2,600		2,573,959
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A		1.737%	(a)	07/27/26		250		249,773
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A		1.725%	(a)	07/15/26		1,500		1,493,603
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.745%	(a)	01/20/26		2,500		2,492,493
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.670%	(a)	01/17/26		1,250		1,246,341
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.415%	(a)	04/15/24		4,200		4,143,406
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		1.763%	(a)	04/15/27		2,250		2,250,849
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		1.825%	(a)	07/15/26		250		249,872
Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.755%	(a)	04/15/26		250		249,306
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A		—%	(a)(k)	07/20/27		1,000		998,100
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.837%	(a)	10/25/26		4,375		4,374,087
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A		3.440%		04/15/25		700		680,883
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.325%	(a)	04/15/25		7,300		7,183,177
Sound Point VI CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A		1.635%	(a)	10/20/26		750		743,555
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A		1.725%	(a)	01/18/26		3,300		3,296,421
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.395%	(a)	07/15/25		300		296,452
								45,681,345
Non-Residential Mortgage-Backed Securities — 1.6%
GE Business Loan Trust, Series 2006-1A, Class D, 144A		1.186%	(a)	05/15/34		129		106,464
Hertz, Series 2015-1A, Class A		2.730%		03/25/21		5,600		5,572,000
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A		3.540%		10/20/32		1,961		2,020,853
Onemain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		3,900		3,902,964
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		4,600		4,654,570
								16,256,851
Residential Mortgage-Backed Securities — 7.8%
ABFC Trust, Series 2004-OPT1, Class M1		1.237%	(a)	08/25/33		1,258		1,190,269
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1		1.087%	(a)	09/25/33		1,343		1,258,197
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		368		375,801
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1		1.147%	(a)	09/25/34		950		947,173
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3		3.112%	(a)	10/25/31		407		387,229
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1		1.012%	(a)	05/25/34		1,432		1,368,202
Argent Securities, Inc., Series 2003-W2, Class M4		5.812%	(a)	09/25/33		2,400		2,243,040
Argent Securities, Inc., Series 2004-W10, Class A2		0.967%	(a)	10/25/34		1,802		1,750,084

SEE NOTES TO FINANCIAL STATEMENTS.

A32

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1		1.431%	(a)	06/15/33		1,142	$	1,089,673
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1		1.236%	(a)	01/15/34		204		193,823
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1		1.087%	(a)	08/25/34		1,728		1,669,589
Bayview Opportunity Master Fund IIIb NPL Trust, Series 2015-NPLA, Class A, 144A		3.721%	(a)	07/28/35		5,000		5,000,000
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1		1.087%	(a)	03/25/34		3,612		3,441,928
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2		1.912%	(a)	04/25/34		1,935		1,767,522
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2		3.562%	(a)	03/25/33		189		127,653
Centex Home Equity Loan Trust, Series 2004-B, Class AF6		4.686%	(a)	03/25/34		1,094		1,123,543
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2		2.437%	(a)	08/25/32		66		56,485
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.942%		07/25/34		538		510,699
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1		1.687%	(a)	02/25/25		1,375		1,376,845
FBR Securitization Trust, Series 2005-2, Class M1		0.907%	(a)	09/25/35		3,205		3,178,190
Fremont Home Loan Trust, Series 2003-B, Class M1		1.237%	(a)	12/25/33		193		184,446
GSAMP Trust, Series 2004-FM1, Class M1		1.162%	(a)	11/25/33		1,852		1,794,373
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A		0.327%	(a)	01/26/37		4,809		4,617,911
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A		0.327%	(a)	01/26/37		1,400		1,109,360
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A		0.325%	(a)	03/26/37		3,750		3,567,000
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A		0.325%	(a)	03/26/37		700		533,330
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1		0.937%	(a)	02/25/34		3,926		3,732,501
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A		2.184%	(a)	05/01/20		6,677		6,628,206
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		72		72,882
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1		0.967%	(a)	02/25/34		1,995		1,896,081
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1		1.387%	(a)	08/25/35		614		580,298
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A		0.707%	(a)	06/25/35		1,628		1,560,647
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.387%	(a)	05/25/33		1,141		1,070,576
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1		1.207%	(a)	10/25/33		866		807,803
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.237%	(a)	12/27/33		693		668,839
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1		1.057%	(a)	11/25/34		3,688		3,362,692
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1		1.117%	(a)	06/25/34		2,009		1,943,430
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1		1.102%	(a)	07/25/34		1,549		1,477,153
New Century Home Equity Loan Trust, Series 2003-4, Class M1		1.312%	(a)	10/25/33		2,728		2,619,098
New Century Home Equity Loan Trust, Series 2004-4, Class M1		0.952%	(a)	02/25/35		3,048		2,831,336
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2		1.387%	(a)	12/25/34		175		173,370
Residential Asset Securities Corp., Series 2004-KS1, Class AI5		5.221%		02/25/34		1,000		1,037,136
Saxon Asset Securities Trust, Series 2002-3, Class M1		1.312%	(a)	12/25/32		199		185,575
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1		0.967%	(a)	02/25/34		3,034		2,821,591
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1		0.952%	(a)	02/25/35		1,038		952,924
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(a)	02/25/34		1,197		1,190,134
Structured Asset Investment Loan Trust, Series 2004-2, Class A4		0.892%	(a)	03/25/34		2,297		2,127,577
Structured Asset Investment Loan Trust, Series 2004-7, Class A8		1.387%	(a)	08/25/34		1,400		1,277,209
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3		3.187%	(a)	07/25/32		725		679,767
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		302		302,646
								80,861,836
TOTAL ASSET-BACKED SECURITIES (cost $135,536,352)								142,800,032
BANK LOANS(a) — 3.0%
Aerospace & Defense — 0.2%
Transdigm, Inc.		3.500%		05/13/22		1,995		1,969,588

SEE NOTES TO FINANCIAL STATEMENTS.

A33

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

BANK LOANS(a) (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Automotive — 0.2%
Chrysler Group LLC		3.250%		12/31/18		997	$	994,482
Chrysler Group LLC		3.500%		05/24/17		1,335		1,332,117
								2,326,599
Chemicals — 0.1%
Axalta Coating Systems US Holdings		3.750%		02/01/20		709		708,156
CeramTec GmbH (Germany)		4.250%		08/30/20	EUR	900		1,002,740
								1,710,896
Financials — 0.2%
Scandlines GmbH (Germany)		4.500%		11/04/20	EUR	1,675		1,876,283
Foods — 0.1%
Pinnacle Foods Finance LLC		3.000%		04/29/20		697		693,256
Gaming — 0.2%
CCM Merger, Inc.		4.500%		08/06/21		2,244		2,245,980
Healthcare & Pharmaceutical — 0.9%
Capsugel Holdings US, Inc.		3.500%		08/01/18		928		926,954
Davita Healthcare Partners, Inc.		3.500%		06/24/21		1,485		1,483,453
Grifols SA		3.281%		02/26/21		1,485		1,483,663
Mallinckrodt International Finance SA		3.500%		03/19/21		1,514		1,508,097
Nima ACQ LLC		3.250%		02/26/21		684		683,361
Ortho Clinical Diagnostics		4.750%		06/30/21		495		484,344
RPI Finance Trust (Luxembourg)		3.500%		11/09/20		1,696		1,695,739
Valeant Pharmaceutiicals International, Inc.		4.000%		04/01/22		1,147		1,146,082
								9,411,693
Media & Entertainment — 0.1%
CBS Outdoor Americas CAP Co.		3.000%		02/01/21		1,000		995,833
Technology — 0.9%
BMC Software Finance, Inc.		5.000%		09/10/20		495		464,830
First Data Corp.		3.687%		03/26/18		2,411		2,401,848
First Data Corp.		4.187%		03/24/21		183		183,180
Freescale Semiconductor, Inc.		4.250%		02/28/20		1,711		1,711,891
Interactive Data Corp.		4.750%		05/03/21		1,188		1,190,475
RBS WorldPay, Inc. (United Kingdom)		5.750%		11/29/19	GBP	900		1,415,294
TransUnion LLC/TransUnion Financing Corp.		3.750%		04/09/21		198		195,525
Vantiv LLC		2.282%		06/13/19		1,425		1,407,188
								8,970,231
Telecommunications — 0.1%
SBA Senior Finance II LLC		3.250%		03/24/21		1,139		1,127,273
TOTAL BANK LOANS (cost $31,768,926)								31,327,632
COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.7%
Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2		5.317%		09/10/47		195		195,177
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2		5.309%		10/10/45		334		334,384
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4		5.356%		10/10/45		800		819,120
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.732%	(a)	04/10/49		1,359		1,435,307
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A		2.036%	(a)	12/15/27		5,000		4,988,385
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		3,200		3,298,365
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		235		236,575
COMM Mortgage Trust, Series 2014-UBS4, Class A4		3.420%		08/10/47		3,200		3,242,291
COMM Mortgage Trust, Series 2015-DC1, Class A4		3.078%		02/10/48		5,000		4,918,060
COMM Mortgage Trust, Series 2015-LC21, Class A4		3.708%		07/10/48		5,000		5,126,155

SEE NOTES TO FINANCIAL STATEMENTS.

A34

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		2,000	$	1,957,690
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		3,900		3,898,105
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(a)	02/15/39		970		984,894
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.798%	(a)	06/25/20		9,304		583,245
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(a)	05/25/22		28,573		2,305,130
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(a)	06/25/22		16,295		1,358,155
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		1.022%	(a)	10/25/22		11,151		586,257
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, I/O		0.757%	(a)	01/25/25		83,962		4,914,970
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(a)	08/25/16		9,250		113,031
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(a)	05/25/19		22,885		1,336,167
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(a)	07/25/19		27,431		1,560,584
GS Mortgage Securities Trust, Series 2013-GC12, Class A3		2.860%		06/10/46		4,600		4,574,447
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(a)	10/15/42		1,820		1,821,159
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3		6.136%	(a)	02/15/51		489		489,428
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		2,000		1,964,962
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		4,600		4,584,392
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		4,600		4,510,949
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C21, Class A4		3.493%		08/15/47		3,200		3,274,550
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(a)	11/15/40		2,100		2,104,616
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2		5.300%		11/15/38		539		542,726
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3		6.029%	(a)	06/12/50		136		136,313
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, I/O, 144A		1.979%	(a)	08/15/45		52,935		4,051,976
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,700		1,691,444
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3		2.834%		05/15/46		2,300		2,277,299
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3		4.103%	(a)	07/15/46		4,800		5,144,582
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3		3.766%		11/15/46		4,000		4,214,908
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB		5.654%	(a)	04/15/49		2,143		2,178,972
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		2,300		2,276,216
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		4,600		4,567,855
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		3,800		3,780,544
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		108		108,332
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(b)		5.509%		04/15/47		5,150		5,388,167
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A		5.903%	(a)	06/15/49		2,497		2,638,192

SEE NOTES TO FINANCIAL STATEMENTS.

A35

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4		3.548%		08/15/50		4,300	$	4,420,968
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $113,290,239)								110,935,044
CORPORATE BONDS — 50.2%
Aerospace & Defense — 0.3%
Textron, Inc., Sr. Unsec’d. Notes		7.250%		10/01/19		2,350		2,750,569
Airlines — 0.6%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%		06/15/21		2		2,493
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B		7.373%		12/15/15		394		401,267
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		5.983%		04/19/22		1,496		1,667,754
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		01/12/21		448		475,575
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		1,123		1,288,074
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		508		538,128
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		544		584,613
United Airlines Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A		6.636%		07/02/22		824		884,273
								5,842,177
Automotive — 1.1%
Ford Motor Co., Sr. Unsec’d. Notes(b)		4.750%		01/15/43		750		727,201
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		1.700%		05/09/16		4,620		4,626,020
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		2.375%		01/16/18		2,225		2,245,684
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		3.984%		06/15/16		375		383,765
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23		1,350		1,423,269
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,885		2,102,821
								11,508,760
Banking — 12.7%
Ally Financial, Inc., Sr. Unsec’d. Notes		4.125%		02/13/22		3,000		2,880,000
American Express Co., Jr. Sub. Notes		5.200%	(a)	12/31/49		655		650,153
Bank of America Corp., Jr. Sub Notes, Series K		8.000%	(a)	12/29/49		3,500		3,692,500
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,775		2,014,911
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		4,590		4,994,673
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		4,275		4,210,178
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		1,150		1,170,211
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%		01/22/24		3,750		3,843,259
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		1,340		1,373,686
Bank of America NA, Sub. Notes		5.300%		03/15/17		790		836,740
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(b)		3.750%		05/15/24		3,375		3,389,695
Branch Banking & Trust Co., Sr. Unsec’d. Notes		2.850%		04/01/21		3,700		3,721,786
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,400		2,388,958
Capital One Financial Corp., Sr. Unsec’d. Notes		5.250%		02/21/17		2,460		2,610,749
Capital One Financial Corp., Sub. Notes		6.150%		09/01/16		700		738,840
Citigroup, Inc., Sr. Unsec’d. Notes		6.125%		11/21/17		2,050		2,254,943
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		4,120		5,913,691
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,375		1,677,083
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN(b)		3.625%		09/09/24		1,050		1,043,762
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes(b)		3.700%		05/30/24		1,650		1,629,436
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		1,150		1,136,180
Discover Bank, Sub. Notes		7.000%		04/15/20		2,005		2,333,499
Fifth Third Bank, Sr. Unsec’d. Notes		1.450%		02/28/18		3,275		3,250,880

SEE NOTES TO FINANCIAL STATEMENTS.

A36

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Fifth Third Bank, Sr. Unsec’d. Notes		2.375%		04/25/19		425	$	425,575
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(a)	12/29/49		1,950		1,926,405
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(c)		5.750%		01/24/22		4,200		4,777,370
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.150%		04/01/18		1,355		1,506,597
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		09/01/17		3,195		3,497,745
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		2,195		2,597,883
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D		6.000%		06/15/20		2,420		2,765,397
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		440		516,097
Huntington Bancshares, Inc., Sub. Notes(b)		7.000%		12/15/20		260		309,693
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A		7.250%	(a)	08/29/49		2,380		2,436,644
ING Bank NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.000%		09/25/15		770		772,037
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes		3.125%		01/15/16		1,625		1,637,387
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1		7.900%	(a)	04/29/49		6,130		6,484,007
JPMorgan Chase & Co., Jr. Sub. Notes, Series X(b)		6.100%	(a)	12/31/49		1,450		1,455,075
JPMorgan Chase & Co., Sr. Unsec’d. Notes(b)		2.750%		06/23/20		5,400		5,405,756
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.150%		07/05/16		2,245		2,290,461
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.250%		09/23/22		500		496,757
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		600		641,558
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		675		719,861
KeyCorp, Sr. Unsec’d. Notes, MTN(b)		5.100%		03/24/21		1,155		1,281,446
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A		5.800%		01/13/20		2,650		3,027,606
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A		1.850%		03/21/18		1,125		1,126,627
Morgan Stanley, Jr. Sub. Notes, Series H		5.450%	(a)	12/31/49		975		967,688
Morgan Stanley, Sr. Unsec’d. Notes		3.750%		02/25/23		1,535		1,552,100
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,920		2,187,487
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		4,035		4,275,889
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		2,080		2,346,425
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%		09/23/19		2,635		2,952,765
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		750		734,910
Northern Trust Corp., Sub. Notes(b)		3.950%		10/30/25		3,025		3,125,611
People’s United Bank, Sub. Notes		4.000%		07/15/24		550		544,594
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,675		1,664,581
PNC Financial Services Group, Inc. (The), Sub. Notes		3.900%		04/29/24		975		984,950
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes		2.550%		09/18/15		625		626,748
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		950		952,622
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		4.625%		04/19/16		525		538,089
State Street Corp., Jr. Sub. Debs.		4.956%		03/15/18		3,025		3,251,811
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes		2.450%		01/10/19		625		631,802
								131,191,869
Beverages — 0.1%
Cott Beverages, Inc. (Canada), Gtd. Notes, 144A		6.750%		01/01/20		1,250		1,296,875
Brokerage — 0.2%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		650		635,056
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d)		6.875%		05/02/18		2,740		315,100
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		950		956,922
								1,907,078
Building Materials & Construction — 1.3%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125%		07/01/22		2,000		1,970,000
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $3,116,250; purchased 02/11/15)(e)(f)		5.375%		11/15/24		3,000		2,945,550
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, RegS		9.875%		04/30/19		1,233		1,349,148
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.875%		04/30/19		1,360		1,488,112
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		4.750%		01/11/22	EUR	900		1,006,327
Mohawk Industries, Inc., Sr. Unsec’d. Notes		3.850%		02/01/23		294		293,583

SEE NOTES TO FINANCIAL STATEMENTS.

A37

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Building Materials & Construction (continued)
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $1,275,000; purchased 06/19/14)(e)(f)		5.250%	06/27/29		1,275	$	956,505
Standard Pacific Corp., Gtd. Notes		6.250%	12/15/21		3,500		3,710,000
							13,719,225
Cable — 2.1%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A		6.100%	02/15/18		210		230,668
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.000%	01/15/19		878		912,022
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.375%	06/01/20		1,100		1,161,875
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.875%	05/01/27		1,000		976,250
CSC Holdings LLC, Sr. Unsec’d. Notes		6.750%	11/15/21		2,225		2,347,375
CSC Holdings LLC, Sr. Unsec’d. Notes(b)		8.625%	02/15/19		1,610		1,825,337
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%	03/01/16		2,825		2,869,011
DISH DBS Corp., Gtd. Notes		4.250%	04/01/18		2,850		2,899,875
NBCUniversal Media LLC, Gtd. Notes		4.450%	01/15/43		290		278,718
TCI Communications, Inc., Sr. Unsec’d. Notes		7.875%	02/15/26		750		1,011,499
Time Warner Cable, Inc., Gtd. Notes		6.750%	07/01/18		2,620		2,921,177
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		5.375%	01/15/25		1,140		1,088,130
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		7.250%	11/15/21		1,035		1,117,800
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A		6.000%	04/15/21	GBP	945		1,544,215
							21,183,952
Capital Goods — 1.7%
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%	07/15/22		1,375		1,457,500
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,098,609; purchased 05/30/13)(e)(f)		6.700%	06/01/34		920		1,119,540
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $996,365; purchased 05/14/13)(e)(f)		7.000%	10/15/37		770		941,209
General Electric Co., Sr. Unsec’d. Notes		4.125%	10/09/42		500		481,076
General Electric Co., Sr. Unsec’d. Notes		4.500%	03/11/44		740		751,537
Hertz Corp. (The), Gtd. Notes		6.750%	04/15/19		1,500		1,547,850
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes		5.750%	06/15/43		425		467,685
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $2,022,003; purchased 09/24/12)(e)(f)		2.500%	03/15/16		2,025		2,039,157
Pentair Finance SA, Gtd. Notes		1.875%	09/15/17		625		627,344
Rockwell Automation, Inc., Sr. Unsec’d. Notes		5.200%	01/15/98		1,100		1,089,476
United Rentals North America, Inc., Gtd. Notes		5.500%	07/15/25		650		628,062
United Rentals North America, Inc., Gtd. Notes		7.625%	04/15/22		2,700		2,922,750
United Technologies Corp., Sr. Unsec’d. Notes		4.500%	06/01/42		1,675		1,701,624
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,960		2,123,292
							17,898,102
Chemicals — 1.8%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		4.900%	06/01/43		870		837,521
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		5.250%	01/15/45		420		424,163
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		6.125%	01/15/41		450		506,292
Ashland, Inc., Sr. Unsec’d. Notes		6.875%	05/15/43		3,000		3,045,000
CF Industries, Inc., Gtd. Notes		4.950%	06/01/43		675		631,581
CF Industries, Inc., Gtd. Notes		5.375%	03/15/44		700		696,047
CF Industries, Inc., Gtd. Notes		6.875%	05/01/18		380		427,782
CF Industries, Inc., Gtd. Notes		7.125%	05/01/20		300		356,368
Dow Chemical Co. (The), Sr. Unsec’d. Notes(b)		4.625%	10/01/44		125		116,677
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		1,002		1,508,060
LyondellBasell Industries NV, Sr. Unsec’d. Notes		6.000%	11/15/21		3,550		4,063,529
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A		6.750%	09/19/42		1,065		1,095,352
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		465		494,981

SEE NOTES TO FINANCIAL STATEMENTS.

A38

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Chemicals (continued)
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		155	$	165,139
Union Carbide Corp., Sr. Unsec’d. Notes		7.875%		04/01/23		3,058		3,753,667
								18,122,159
Consumer — 0.2%
Service Corp. International, Sr. Unsec’d. Notes		7.625%		10/01/18		2,000		2,280,000
Diversified Telecommunication Services — 0.3%
AT&T, Inc., Sr. Unsec’d. Notes		3.400%		05/15/25		2,320		2,212,603
AT&T, Inc., Sr. Unsec’d. Notes		4.500%		05/15/35		300		275,786
AT&T, Inc., Sr. Unsec’d. Notes		4.750%		05/15/46		850		773,478
								3,261,867
Electric — 3.5%
AES Corp. (The), Sr. Unsec’d. Notes		5.500%		04/15/25		5,000		4,750,000
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		3.350%		07/01/23		550		553,318
Calpine Corp., Sr. Unsec’d. Notes(b)		5.375%		01/15/23		800		786,000
Calpine Corp., Sr. Unsec’d. Notes		5.750%		01/15/25		850		826,625
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%		12/01/20		2,500		2,625,000
Duke Energy Corp., Sr. Unsec’d. Notes		2.100%		06/15/18		3,775		3,812,116
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		2,325		2,733,626
Enel Finance International NV (Netherlands), Gtd. Notes, 144A		6.000%		10/07/39		1,450		1,610,118
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.200%		10/01/17		1,930		2,110,117
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,900		2,096,549
FirstEnergy Corp., Series A, Sr. Unsec’d. Notes		2.750%		03/15/18		1,800		1,826,509
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		400		416,398
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		1,150		1,316,222
NRG Energy, Inc., Gtd. Notes(b)		6.625%		03/15/23		2,750		2,832,500
Pacific Gas & Electric Co., Sr. Unsec’d. Notes		4.600%		06/15/43		1,950		1,964,102
South Carolina Electric & Gas Co., First Mortgage		4.600%		06/15/43		2,025		2,001,887
TransAlta Corp. (Canada), Sr. Unsec’d. Notes		6.650%		05/15/18		1,953		2,158,307
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		1,947		2,086,689
								36,506,083
Energy – Integrated — 0.7%
Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A		7.250%		11/05/19		1,300		1,370,200
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		870		714,705
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		7.250%		12/12/21		1,040		852,800
Pacific Rubiales Energy Corp. (Colombia), Sr. Unsec’d. Notes, RegS		7.250%		12/12/21		1,540		1,262,800
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		510		549,947
Sasol Financing International PLC (South Africa), Gtd. Notes		4.500%		11/14/22		2,725		2,748,844
								7,499,296
Energy – Other — 1.1%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(g)	10/10/36		2,000		800,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		3,265		3,583,024
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		340		392,319
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		290,395
Cameron International Corp., Sr. Unsec’d. Notes		7.000%		07/15/38		450		516,663
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,650		1,639,227
Noble Energy, Inc., Sr. Unsec’d. Notes		6.000%		03/01/41		1,530		1,619,736
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,750		1,964,939
Precision Drilling Corp. (Canada), Gtd. Notes		6.625%		11/15/20		1,000		980,000
								11,786,303
Foods — 1.2%
Aramark Corp., Gtd. Notes(b)		5.750%		03/15/20		1,350		1,409,400
B&G Foods, Inc., Gtd. Notes		4.625%		06/01/21		2,000		1,970,000
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		3.950%		05/22/23		705		667,106
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		4.750%		05/22/24		775		760,469

SEE NOTES TO FINANCIAL STATEMENTS.

A39

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A		4.750%	10/01/18		375	$	395,396
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(e)(f)		7.250%	06/01/21		1,330		1,401,487
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A (original cost $2,025,000; purchased 05/20/15)(e)(f)		5.750%	06/15/25		2,025		2,001,611
Kraft Heinz Foods Co., Gtd. Notes, 144A		5.000%	07/15/35		725		733,715
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A		12.250%	02/10/22		725		797,863
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A (original cost $1,350,000; purchased 05/29/15)(e)(f)		8.000%	06/15/22		1,350		1,351,687
Tyson Foods, Inc., Gtd. Notes		6.600%	04/01/16		1,000		1,038,220
							12,526,954
Gaming — 0.8%
MGM Resorts International, Gtd. Notes		6.625%	12/15/21		3,325		3,474,625
MTR Gaming Group, Inc., Sec’d. Notes		11.500%	08/01/19		1,650		1,755,187
Pinnacle Entertainment, Inc., Gtd. Notes		7.500%	04/15/21		1,550		1,641,063
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp., Gtd. Notes, 144A(b)		5.500%	03/01/25		1,900		1,809,750
							8,680,625
Healthcare & Pharmaceutical — 4.2%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%	05/14/25		1,020		1,008,163
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%	05/14/35		1,715		1,677,790
Actavis Funding SCS, Gtd. Notes		3.800%	03/15/25		875		859,532
Actavis Funding SCS, Gtd. Notes		4.550%	03/15/35		1,500		1,426,158
Actavis Funding SCS, Gtd. Notes		4.750%	03/15/45		525		499,828
Amgen, Inc., Sr. Unsec’d. Notes		5.150%	11/15/41		2,635		2,706,011
CHS/Community Health Systems, Inc., Gtd. Notes		7.125%	07/15/20		750		794,625
CHS/Community Health Systems, Inc., Gtd. Notes(b)		8.000%	11/15/19		3,400		3,582,750
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A		8.250%	01/15/19		2,300		2,259,750
Davita Healthcare Partners, Inc., Gtd. Notes		5.000%	05/01/25		500		481,250
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A		6.000%	07/15/23		625		639,063
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%	10/15/20		2,705		2,738,812
HCA, Inc., Gtd. Notes		5.375%	02/01/25		5,025		5,106,907
HealthSouth Corp., Gtd. Notes		5.125%	03/15/23		300		298,125
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%	02/01/22		240		236,615
LifePoint Hospitals, Inc., Gtd. Notes		6.625%	10/01/20		2,000		2,080,000
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%	03/15/25		3,435		3,423,276
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%	03/15/35		1,450		1,438,871
Merck & Co, Inc., Sr. Unsec’d. Notes		4.150%	05/18/43		2,075		2,016,954
Pfizer, Inc., Sr. Unsec’d. Notes		4.300%	06/15/43		1,550		1,514,590
Quintiles Transnational Corp., Gtd. Notes, 144A		4.875%	05/15/23		1,000		1,005,000
Select Medical Corp., Gtd. Notes		6.375%	06/01/21		2,600		2,626,000
Tenet Healthcare Corp., Sr. Unsec’d. Notes		8.000%	08/01/20		1,570		1,634,763
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		6.750%	08/15/18		2,000		2,097,500
Valeant Pharmaceuticals International, Inc., Sr. Unsec’d. Notes, 144A		6.125%	04/15/25		800		823,000
							42,975,333
Healthcare Insurance — 0.9%
Aetna, Inc., Sr. Unsec’d. Notes		6.750%	12/15/37		1,900		2,390,808
Anthem, Inc., Sr. Unsec’d. Notes		4.650%	01/15/43		385		352,954
Cigna Corp., Sr. Unsec’d. Notes		4.375%	12/15/20		745		807,319
Cigna Corp., Sr. Unsec’d. Notes		5.375%	03/15/17		2,125		2,270,342
Cigna Corp., Sr. Unsec’d. Notes		5.875%	03/15/41		750		853,372
UnitedHealth Group, Inc., Sr. Unsec’d. Notes(b)		4.250%	03/15/43		1,200		1,133,930
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%	06/15/37		760		958,967
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%	11/15/37		195		249,987
							9,017,679

SEE NOTES TO FINANCIAL STATEMENTS.

A40

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance — 3.4%
Allied World Assurance Co. Ltd., Gtd. Notes		5.500%		11/15/20		430	$	479,209
Allied World Assurance Co. Ltd., Gtd. Notes		7.500%		08/01/16		2,475		2,627,658
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,075		1,022,588
American International Group, Inc., Sr. Unsec’d. Notes		5.050%		10/01/15		315		318,182
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		950		1,129,403
American International Group, Inc., Sr. Unsec’d. Notes, MTN		5.850%		01/16/18		3,700		4,079,202
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.000%		02/11/23		1,850		1,863,577
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(b)		4.500%		02/11/43		1,350		1,353,475
Chubb Corp. (The), Jr. Sub. Notes(b)		6.375%	(a)	03/29/67		1,775		1,861,975
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(a)	10/29/49		515		543,325
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes		7.000%		07/15/34		1,350		1,584,198
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		500		554,514
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		6.500%		03/15/35		1,030		1,204,448
Lincoln National Corp., Jr. Sub. Notes(b)		6.050%	(a)	04/20/67		350		316,750
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		1,265		1,586,643
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		1,265		1,550,949
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		350		344,124
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A		8.875%		06/01/39		1,200		1,798,603
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(a)	10/16/44		2,075		2,170,969
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		500		597,892
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		850		967,495
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		150		144,409
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(a)	06/15/37		1,015		1,058,137
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		2,310		2,892,473
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		500		562,629
Willis Group Holdings PLC, Gtd. Notes		4.125%		03/15/16		1,280		1,306,076
XLIT Ltd. (Ireland), Jr. Sub. Notes, Series E		6.500%	(a)	10/29/49		1,880		1,608,584
								35,527,487
Lodging — 0.4%
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		1,325		1,306,422
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.950%		03/01/17		2,420		2,456,532
								3,762,954
Media & Entertainment — 2.6%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		460		531,895
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		65		81,298
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,415		1,830,987
AMC Networks, Inc., Gtd. Notes		7.750%		07/15/21		3,750		4,050,000
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.375%		06/01/24		425		429,760
Cinemark USA, Inc., Gtd. Notes		4.875%		06/01/23		1,508		1,449,565
Gannett Co., Inc., Gtd. Notes, 144A		4.875%		09/15/21		475		471,438
Historic TW, Inc., Gtd. Notes		6.625%		05/15/29		1,837		2,191,640
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes		7.250%		10/15/20		2,016		1,993,320
Liberty Interactive LLC, Sr. Unsec’d. Notes(b)		8.250%		02/01/30		2,250		2,362,500
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A		6.000%		07/18/20		1,035		1,122,199
Nielsen Finance LLC/Nielsen Finance Co. (Netherlands), Gtd. Notes, 144A		5.000%		04/15/22		1,500		1,470,000
RR Donnelley & Sons Co., Sr. Unsec’d. Notes		8.600%		08/15/16		4,750		5,106,250
Time Warner Cos., Inc., Gtd. Notes		7.250%		10/15/17		1,440		1,623,308
Univision Communications, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,191,156; purchased 04/13/15)(e)(f)		5.125%		02/15/25		1,175		1,134,110
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42		95		79,430
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43		475		425,190
								26,352,890
Metals — 0.5%
Alcoa, Inc., Sr. Unsec’d. Notes(b)		5.125%		10/01/24		425		430,312
CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS		6.875%		01/21/18		1,100		1,215,170

SEE NOTES TO FINANCIAL STATEMENTS.

A41

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Metals (continued)
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes		3.625%		06/09/21		825	$	820,561
Newmont Mining Corp., Gtd. Notes		6.250%		10/01/39		75		73,494
Peabody Energy Corp., Gtd. Notes(b)		6.000%		11/15/18		1,600		768,000
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		5.875%		04/23/45		270		256,824
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		6.750%		04/16/40		990		1,022,413
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		7.500%		07/27/35		550		615,967
								5,202,741
Non-Captive Finance — 1.6%
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		08/15/22		1,350		1,336,500
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19		4,000		4,170,000
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN		5.875%		01/14/38		675		807,320
General Electric Capital Corp., Sub. Notes		5.300%		02/11/21		1,185		1,332,452
HSBC Finance Corp., Sub. Notes		6.676%		01/15/21		295		341,287
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%		05/15/16		1,125		1,153,125
International Lease Finance Corp., Sr. Unsec’d. Notes(b)		6.250%		05/15/19		1,400		1,513,750
OneMain Financial Holdings, Inc., Gtd. Notes, 144A		7.250%		12/15/21		2,375		2,461,094
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A		1.001%	(a)	07/03/33		472		414,706
Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A (original cost $1,681,739; purchased 03/27/12-12/31/14)(b)(e)(f)		5.875%		09/25/22		1,650		660,186
SLM Corp., Sr. Unsec’d. Notes, MTN		6.000%		01/25/17		1,075		1,118,000
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A		5.250%		12/15/24		1,235		1,284,400
								16,592,820
Packaging — 0.4%
Greif Luxembourg Finance, Sr. Unsec’d. Notes, MTN		7.375%		07/15/21	EUR	1,470		1,927,267
Greif, Inc., Sr. Unsec’d. Notes		7.750%		08/01/19		1,815		2,019,188
								3,946,455
Paper — 0.5%
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		675		727,736
International Paper Co., Sr. Unsec’d. Notes		7.300%		11/15/39		1,000		1,223,880
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		1,640		1,914,872
Rock-Tenn Co., Gtd. Notes		4.450%		03/01/19		1,165		1,236,659
								5,103,147
Pipelines & Other — 0.7%
AGL Capital Corp., Gtd. Notes		4.400%		06/01/43		1,050		1,043,945
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $451,812; purchased 07/22/14)(b)(e)(f)		6.375%		03/30/38		432		438,317
NiSource Finance Corp., Gtd. Notes		4.800%		02/15/44		300		305,894
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20		1,345		1,514,634
ONEOK Partners LP, Gtd. Notes		2.000%		10/01/17		750		751,577
Sempra Energy, Sr. Unsec’d. Notes		6.500%		06/01/16		2,275		2,383,443
Western Gas Partners LP, Sr. Unsec’d. Notes		5.450%		04/01/44		575		573,009
								7,010,819
Real Estate Investment Trusts — 0.4%
DuPont Fabros Technology LP, Gtd. Notes		5.875%		09/15/21		2,000		2,025,000
ProLogis LP, Gtd. Notes		6.875%		03/15/20		8		9,241
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22		325		329,876
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%		05/30/18		40		44,943
Simon Property Group LP, Sr. Unsec’d. Notes		10.350%		04/01/19		1,685		2,140,390
								4,549,450
Retailers — 0.2%
Limited Brands, Inc., Gtd. Notes		5.625%		02/15/22		2,200		2,315,500
Software — 0.1%
First Data Corp., Gtd. Notes		12.625%		01/15/21		1,200		1,386,000

SEE NOTES TO FINANCIAL STATEMENTS.

A42

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology — 2.3%
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A		6.750%	11/15/20		800	$	846,000
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A		8.875%	01/01/20		2,000		2,175,000
Brightstar Corp., Gtd. Notes, 144A (original cost $2,126,719; purchased 08/06/14)(e)(f)		9.500%	12/01/16		2,000		2,055,000
CDW LLC/CDW Finance Corp., Gtd. Notes(b)		5.000%	09/01/23		3,050		2,996,625
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A		6.625%	06/01/20		2,500		2,593,750
First Data Corp., Gtd. Notes		11.250%	01/15/21		1,750		1,942,500
First Data Corp., Sr. Sec’d. Notes, 144A		7.375%	06/15/19		1,000		1,039,500
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A		6.000%	01/15/22		2,050		2,173,000
Infor US, Inc., Sr. Unsec’d. Notes, 144A (original cost $971,375; purchased 04/09/15)(e)(f)		6.500%	05/15/22		950		966,625
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		3.750%	06/01/18		1,925		1,939,437
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		1,070		1,055,173
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A		5.000%	10/01/25		1,750		1,704,063
SunGard Data Systems, Inc., Gtd. Notes		7.625%	11/15/20		1,700		1,776,500
							23,263,173
Telecommunications — 1.8%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		655		758,444
AT&T Corp., Gtd. Notes		8.000%	11/15/31		103		139,763
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		1,515		1,411,221
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		483		475,522
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.125%	03/11/23		1,305		1,362,417
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.350%	05/20/24		690		730,627
Digicel Ltd. (Jamaica), Gtd. Notes, 144A		6.750%	03/01/23		525		514,658
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS		11.750%	01/31/20	EUR	1,400		1,726,502
Embarq Corp., Sr. Unsec’d. Notes (original cost $584,102; purchased 04/22/10)(e)(f)		7.995%	06/01/36		560		620,872
Sprint Capital Corp., Gtd. Notes		6.900%	05/01/19		1,300		1,326,000
Sprint Communications, Inc., Gtd. Notes, 144A		9.000%	11/15/18		1,575		1,778,585
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.750%	11/01/41		745		697,840
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		3,362		3,084,928
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.522%	09/15/48		1,799		1,580,452
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.672%	03/15/55		2,796		2,432,391
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		9.125%	04/30/18		200		214,064
							18,854,286
Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		873		1,405,736
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,375		2,364,092
RJ Reynolds Tobacco Co., Gtd. Notes		3.500%	08/04/16		515		526,554
RJ Reynolds Tobacco Co., Gtd. Notes		8.125%	06/23/19		895		1,060,287
							5,356,669
TOTAL CORPORATE BONDS (cost $506,040,542)							519,179,297
FOREIGN AGENCIES — 2.5%
CNOOC Finance 2013 Ltd. (China), Gtd. Notes		3.000%	05/09/23		750		710,525
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		875		894,688
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes		4.125%	01/16/25		100		92,280
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes(b)		5.875%	05/28/45		221		195,033
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A		5.375%	11/04/16		790		820,944
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS		9.250%	04/23/19		1,080		1,198,800
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%	03/07/22		975		976,463
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		7.000%	05/05/20		475		510,150

SEE NOTES TO FINANCIAL STATEMENTS.

A43

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

FOREIGN AGENCIES (Continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A		9.125%	07/02/18		2,910	$	3,288,300
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes		4.625%	11/16/21		600		664,253
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS(b)		4.250%	11/02/20		1,750		1,900,771
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A		4.750%	07/13/21		1,650		1,827,576
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	10/17/16		2,500		2,678,125
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	01/20/20		1,500		1,734,375
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,000		988,170
Petrobras International Finance Co. (Brazil), Gtd. Notes(b)		5.375%	01/27/21		345		331,821
Petroleos Mexicanos (Mexico), Gtd. Notes(b)		3.500%	01/30/23		1,125		1,067,287
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/24/22		2,100		2,183,727
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%	06/02/41		745		774,800
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS		7.390%	12/02/24		1,000		1,308,800
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,250		1,231,175
TOTAL FOREIGN AGENCIES (cost $25,000,265)							25,378,063
MUNICIPAL BONDS — 1.9%
California — 0.7%
Bay Area Toll Authority, Revenue Bonds, BABs		6.907%	10/01/50		1,125		1,502,606
State of California, General Obligation Unlimited, BABs		7.300%	10/01/39		2,280		3,167,034
State of California, General Obligation Unlimited, BABs		7.625%	03/01/40		725		1,046,451
University of California, Revenue Bonds, BABs		5.770%	05/15/43		1,400		1,678,474
							7,394,565
Colorado — 0.1%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		770		959,481
Illinois — 0.2%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,380		1,688,651
New Jersey — 0.4%
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs		7.102%	01/01/41		1,175		1,578,319
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		2,050		2,846,855
							4,425,174
Ohio — 0.1%
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		695		767,746
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		450		501,462
							1,269,208
Oregon — 0.1%
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs		5.834%	11/15/34		615		750,927
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		800		904,544
Tennessee — 0.2%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		1,375		1,701,590
Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		425		484,432
TOTAL MUNICIPAL BONDS (cost $15,298,823)							19,578,572

SEE NOTES TO FINANCIAL STATEMENTS.

A44

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

SOVEREIGNS — 4.9%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Brazilian Government International Bond (Brazil), Unsec’d. Notes		11.000%		06/26/17	EUR	2,200	$	2,927,880
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		2,000		1,990,000
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9BR		5.800%		07/14/15	JPY	76,200		339,331
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9RG		5.800%		07/14/15	JPY	107,100		476,933
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, EMTN		3.800%		08/08/17	JPY	680,000		3,055,958
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.125%		02/19/18		2,020		2,102,315
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		02/21/23		436		471,621
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes, RegS		6.000%		01/11/19	EUR	715		920,194
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		776		880,372
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%		03/29/41		1,000		1,325,140
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		2.875%		07/08/21	EUR	825		926,651
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		5.875%		03/13/20		2,245		2,497,562
Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d Notes(c)		6.500%		11/01/27	EUR	3,545		5,502,469
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		3.450%		03/24/17	JPY	170,000		1,446,080
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		2.750%		04/22/23	EUR	2,350		2,712,385
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		1,062		1,008,900
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		450		443,250
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		1,115		1,228,730
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A		3.974%	(g)	05/31/18		593		566,197
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		6.250%		03/15/16	EUR	850		985,662
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		9.500%		02/02/30		450		728,438
Portugal Government International Bond (Portugal), Unsec’d. Notes, 144A		5.125%		10/15/24		800		816,064
Portugal Government International Bond (Portugal), Unsec’d. Notes, RegS		5.125%		10/15/24		1,100		1,122,088
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, 144A		4.950%		10/25/23	EUR	200		261,121
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, 144A		4.750%		06/14/19	EUR	4,410		5,561,463
Republic of Brazil (Brazil), Sr. Unsec’d. Notes		8.250%		01/20/34		510		633,675
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS		4.875%		05/05/21		1,600		1,698,080
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		1,370		1,448,775
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		6.125%		01/22/44		300		336,600
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS		6.125%		01/22/44		300		336,600
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.250%		02/18/24		2,100		2,289,000
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.500%		10/26/22		1,300		1,441,635

SEE NOTES TO FINANCIAL STATEMENTS.

A45

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

SOVEREIGNS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.850%	05/10/23		200	$	226,290
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A		4.125%	02/18/19		300		312,000
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%	06/05/20		1,510		1,723,611
TOTAL SOVEREIGNS (cost $55,857,475)							50,743,070
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6%
Federal Home Loan Mortgage Corp.		5.000%	07/01/19		98		103,408
Federal Home Loan Mortgage Corp.		5.500%	10/01/33-06/01/34		1,447		1,633,772
Federal Home Loan Mortgage Corp.		6.000%	11/01/33-06/01/34		1,009		1,142,835
Federal Home Loan Mortgage Corp.		6.500%	07/01/32-09/01/32		787		907,060
Federal Home Loan Mortgage Corp.		7.000%	10/01/32		72		75,244
Federal National Mortgage Assoc.		4.000%	05/01/19		68		71,499
Federal National Mortgage Assoc.		4.500%	12/01/18-02/01/35		478		500,109
Federal National Mortgage Assoc.		5.500%	03/01/17-06/01/34		2,044		2,225,686
Federal National Mortgage Assoc.		6.000%	09/01/17-11/01/36		1,868		2,130,049
Federal National Mortgage Assoc.		6.500%	07/01/17-11/01/33		1,486		1,725,690
Federal National Mortgage Assoc.		7.000%	05/01/32-06/01/32		174		198,802
Government National Mortgage Assoc.		5.500%	01/15/33-07/15/35		1,848		2,110,664
Government National Mortgage Assoc.		6.000%	12/15/32-11/15/34		2,113		2,461,755
Government National Mortgage Assoc.		6.500%	09/15/32-11/15/33		1,312		1,498,684
Government National Mortgage Assoc.		7.500%	10/15/25-02/15/26		53		61,557
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $15,158,108)							16,846,814
U.S. TREASURY OBLIGATIONS — 1.4%
U.S. Treasury Bonds(b)		2.500%	02/15/45		235		206,819
U.S. Treasury Bonds(h)		2.875%	05/15/43		1,440		1,372,275
U.S. Treasury Notes(c)(h)		1.500%	05/31/19		12,730		12,800,613
TOTAL U.S. TREASURY OBLIGATIONS (cost $14,438,683)							14,379,707
PREFERRED STOCK — 0.1%				Shares
Banking
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred) (cost $1,125,000)					45,000		1,168,200
TOTAL LONG-TERM INVESTMENTS (cost $913,514,413)							932,336,431
SHORT-TERM INVESTMENTS — 12.9%
AFFILIATED MUTUAL FUNDS — 12.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $89,506,114) (Note 4)(i)					9,197,972		85,909,060
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $47,069,648; includes $38,015,140 of cash collateral for securities on loan) (Note 4)(i)(j)					47,069,648		47,069,648
TOTAL AFFILIATED MUTUAL FUNDS (cost $136,575,762)							132,978,708
			Counterparty	Notional Amount (000)#
OPTIONS PURCHASED* — 0.1%
Call Options — 0.1%
Interest Rate Swap Options,
Receive a fixed rate of 1.00% and pay a floating rate based on 3 Month LIBOR, expiring 10/28/15			Citigroup Global Markets		32,710		55,197

SEE NOTES TO FINANCIAL STATEMENTS.

A46

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

OPTIONS PURCHASED* (continued)	Counterparty	Notional Amount (000)#		Value (Note 2)
Receive a fixed rate of 1.05% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15	JPMorgan Chase		95,800	$	18,060
Receive a fixed rate of 1.25% and pay a floating rate based on 3 Month LIBOR, expiring 08/19/15	Barclays Capital Group		54,000		290,686
Receive a fixed rate of 1.35% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15	JPMorgan Chase		95,800		99,119
Receive a fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 04/28/16	Citigroup Global Markets		22,260		114,298
Receive a fixed rate of 1.55% and pay a floating rate based on 3 Month LIBOR, expiring 11/09/15	Citigroup Global Markets		37,000		237,461
Receive a fixed rate of 1.76% and pay a floating rate based on 3 Month LIBOR, expiring 02/23/16	Citigroup Global Markets		37,340		339,488
					1,154,309
Put Options
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.75			17,250		431
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.88			17,250		863
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.13			162,250		16,225
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.38			145,000		79,750
					97,269
TOTAL OPTIONS PURCHASED (cost $1,399,946)					1,251,578
TOTAL SHORT-TERM INVESTMENTS (cost $137,975,708)					134,230,286
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 103.0% (cost $1,051,490,121)					1,066,566,717
OPTIONS WRITTEN*
Call Option
Interest Rate Swap Option,
Pay a fixed rate of 1.20% and receive a floating rate based on 3 Month LIBOR, expiring 08/24/15	JPMorgan Chase		191,600		(93,659	)
Put Options
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.00			69,000		(5,175	)
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.25			272,750		(68,187	)
					(73,362	)
TOTAL OPTIONS WRITTEN (premiums received $271,161)					(167,021	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 103.0% (cost $1,051,218,960)					1,066,399,696
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (3.0)%					(31,437,973	)
NET ASSETS — 100.0%				$	1,034,961,723

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

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

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,993,201; cash collateral of $38,015,140 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

(d) Represents issuer in default on interest payments. Non-income producing security.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A47

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

(f) Indicates a restricted security; the aggregate original cost of the restricted securities is $20,117,055. The aggregate value of $18,631,856 is approximately 1.8% of net assets.

(g) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

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

(i) 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.

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

(k) Interest rate not available as of June 30, 2015.

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

Futures contracts outstanding at June 30, 2015:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Depreciation(1)
Long Positions:
2,961	5 Year U.S. Treasury Notes		Sep. 2015	$	353,273,889	$	353,122,382	$	(151,507	)
1,767	10 Year U.S. Treasury Notes		Sep. 2015		223,697,346		222,945,703		(751,643	)
350	U.S. Ultra Treasury Bond		Sep. 2015		55,234,702		53,921,875		(1,312,827	)
									(2,215,977	)
Short Position:
1,564	2 Year U.S. Treasury Notes		Sep. 2015		341,950,700		342,418,249		(467,549	)
								$	(2,683,526	)

(1) Cash of $48,350 and U.S. Treasury obligations with a combined market value of $6,403,033 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

Forward foreign currency exchange contracts outstanding at June 30, 2015:

Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
Brazilian Real,
Expiring 07/14/15	Barclays Capital Group	BRL	2,673	$	830,500	$	855,118	$	24,618
British Pound,
Expiring 07/28/15	JPMorgan Chase	GBP	160		245,022		251,426		6,404
Canadian Dollar,
Expiring 07/16/15	JPMorgan Chase	CAD	406		323,894		324,955		1,061
Euro,
Expiring 07/28/15	JPMorgan Chase	EUR	209		233,884		233,097		(787	)
Japanese Yen,
Expiring 07/28/15	Citigroup Global Markets	JPY	177,898		1,475,000		1,454,105		(20,895	)
Mexican Peso,
Expiring 07/22/15	Citigroup Global Markets	MXN	844		54,641		53,621		(1,020	)
Expiring 07/22/15	UBS AG	MXN	4,781		315,500		303,673		(11,827	)
				$	3,478,441	$	3,475,995	$	(2,446	)
Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
Australian Dollar,
Expiring 07/16/15	JPMorgan Chase	AUD	1,051	$	795,163	$	810,193	$	(15,030	)
Brazilian Real,
Expiring 07/14/15	Citigroup Global Markets	BRL	1,885		636,900		603,223		33,677
Expiring 07/14/15	Citigroup Global Markets	BRL	980		317,000		313,718		3,282
British Pound,
Expiring 07/28/15	Goldman Sachs & Co.	GBP	1,895		2,864,660		2,976,664		(112,004	)
Euro,
Expiring 07/28/15	Bank of America	EUR	6,274		6,793,800		6,997,423		(203,623	)
Expiring 07/28/15	JPMorgan Chase	EUR	6,274		6,795,003		6,997,422		(202,419	)

SEE NOTES TO FINANCIAL STATEMENTS.

A48

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Forward foreign currency exchange contracts outstanding at June 30, 2015 (continued):

Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
Hungarian Forint,
Expiring 07/22/15	BNP Paribas	HUF	219,665	$	787,359	$	775,972	$	11,387
Japanese Yen,
Expiring 07/28/15	Bank of America	JPY	26,935		226,719		220,163		6,556
Expiring 07/28/15	Barclays Capital Group	JPY	679		5,527		5,548		(21	)
Expiring 07/28/15	Goldman Sachs & Co.	JPY	91,219		760,091		745,611		14,480
Expiring 07/28/15	JPMorgan Chase	JPY	88,990		737,700		727,391		10,309
Mexican Peso,
Expiring 07/22/15	Citigroup Global Markets	MXN	11,442		739,123		726,782		12,341
Expiring 07/22/15	Goldman Sachs & Co.	MXN	5,010		323,399		318,241		5,158
Polish Zloty,
Expiring 07/23/15	Citigroup Global Markets	PLN	2,314		620,357		615,010		5,347
South African Rand,
Expiring 07/20/15	BNP Paribas	ZAR	6,587		540,797		539,443		1,354
Turkish Lira,
Expiring 07/24/15	Deutsche Bank AG	TRY	568		210,500		210,299		201
Expiring 07/24/15	Hong Kong & Shanghai Bank	TRY	46,254		16,718,090		17,127,758		(409,668	)
				$	39,872,188	$	40,710,861		(838,673	)
								$	(841,119	)

Interest rate swap agreements outstanding at June 30, 2015:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements:
AUD	1,270		12/19/32		4.423%	6 Month BBSW(2)	$	95,617		$	—	$	95,617		Barclays Capital Group
AUD	1,620		12/20/32		4.420%	6 Month BBSW(2)		121,376			—		121,376		Citigroup Global Markets
CLP	610,000		02/25/20		3.910%	1 Day CLP OIS(2)		(2,956	)		—		(2,956	)	JPMorgan Chase
COP	185,000		02/13/20		5.050%	1 Day COLIBOR OIS(2)		(445	)		—		(445	)	Deutsche Bank AG
COP	685,000		04/17/20		5.050%	1 Day COLIBOR OIS(2)		(2,027	)		—		(2,027	)	Deutsche Bank AG
COP	1,365,000		04/10/25		6.020%	1 Day COLIBOR OIS(2)		(8,819	)		—		(8,819	)	JPMorgan Chase
MXN	76,000		06/20/18		6.020%	28 Day Mexican Interbank Rate(2)		198,130			—		198,130		Credit Suisse First Boston Corp.
MXN	73,100		11/09/18		5.410%	28 Day Mexican Interbank Rate(2)		99,973			—		99,973		Deutsche Bank AG
	25,690		11/15/19		1.334%	3 Month LIBOR(1)		282,091			—		282,091		Citigroup Global Markets
ZAR	10,000		09/03/33		8.970%	3 Month JIBAR(2)		22,171			—		22,171		Hong Kong & Shanghai Bank
							$	805,111		$	—	$	805,111

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
AUD	2,300		03/07/29		4.743%	6 Month BBSW(2)	$	(39,329	)	$	228,532		$	267,861
CAD	13,250		01/09/20		1.710%	3 Month Canadian Banker’s Acceptance(1)		(161	)		(212,657	)		(212,496	)
EUR	8,050		08/04/16		0.078%	1 Day EUROIS(1)		4,645			(29,715	)		(34,360	)
EUR	6,100		08/01/19		0.346%	1 Day EUROIS(1)		17,304			(94,000	)		(111,304	)
GBP	1,490		11/03/24		1.960%	6 Month GBP LIBOR(1)		(789	)		(63,321	)		(62,532	)
GBP	1,600		01/08/25		1.325%	1 Day GBP OIS(1)		485			88,827			88,342
JPY	115,000		02/26/35		1.194%	6 Month JPY LIBOR(2)		(34	)		(8,906	)		(8,872	)
JPY	250,000		03/03/35		1.149%	6 Month JPY LIBOR(2)		430			(36,480	)		(36,910	)
MXN	65,000		12/02/15		5.080%	28 Day Mexican Interbank Rate(2)		(11,450	)		29,777			41,227
MXN	112,800		02/09/18		4.630%	28 Day Mexican Interbank Rate(2)		(2,367	)		30,819			33,186
MXN	70,000		04/18/19		5.480%	28 Day Mexican Interbank Rate(2)		(22,549	)		83,907			106,456

SEE NOTES TO FINANCIAL STATEMENTS.

A49

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Interest rate swap agreements outstanding at June 30, 2015 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements (continued):
MXN	48,200		05/25/22		6.370%	28 Day Mexican Interbank Rate(2)	$	(30,834	)	$	88,833		$	119,667
MXN	38,000		08/13/24		6.120%	28 Day Mexican Interbank Rate(2)		(7,005	)		(26,027	)		(19,022	)
MXN	38,100		12/27/24		5.795%	28 Day Mexican Interbank Rate(2)		434			(97,279	)		(97,713	)
MXN	13,900		07/27/34		6.720%	28 Day Mexican Interbank Rate(2)		(436	)		(27,288	)		(26,852	)
	100,400		09/17/15		0.181%	1 Day Overnight Fed Funds Effective Rate(2)		175			5,072			4,897
	85,500		09/17/15		0.185%	1 Day Overnight Fed Funds Effective Rate(2)		172			4,765			4,593
	122,500		10/28/15		0.278%	1 Day Overnight Fed Funds Effective Rate(1)		181			(12,619	)		(12,800	)
	104,500		10/28/15		0.282%	1 Day Overnight Fed Funds Effective Rate(1)		176			(11,300	)		(11,476	)
	5,150		02/28/19		1.625%	6 Month LIBOR(1)		173			(34,563	)		(34,736	)
	19,300		02/28/19		1.806%	3 Month LIBOR(1)		42,047			(255,039	)		(297,086	)
	7,450		11/06/19		1.753%	6 Month LIBOR(1)		183			(40,820	)		(41,003	)
	9,010		12/02/19		1.639%	6 Month LIBOR(1)		191			615			424
	11,160		03/11/20		1.824%	3 Month LIBOR(1)		195			(64,106	)		(64,301	)
	16,250		07/31/21		2.290%	3 Month LIBOR(1)		248			(289,278	)		(289,526	)
	220,700		12/31/21		1.787%	3 Month LIBOR(1)		(73,175	)		3,565,408			3,638,583
	17,000		12/31/21		1.850%	3 Month LIBOR(1)		241			207,720			207,479
	17,000		05/31/22		2.237%	3 Month LIBOR(2)		66,956			58,120			(8,836	)
ZAR	20,000		10/22/23		7.625%	3 Month JIBAR(2)		(1,114	)		(56,471	)		(55,357	)
ZAR	38,300		11/14/23		8.190%	3 Month JIBAR(2)		(26,088	)		(1,289	)		24,799
ZAR	1,800		01/12/25		7.430%	3 Month JIBAR(2)		23			(8,140	)		(8,163	)
ZAR	14,500		01/13/25		7.440%	3 Month JIBAR(2)		20,576			(64,769	)		(85,345	)
							$	(60,496	)	$	2,958,328		$	3,018,824

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

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

Credit default swap agreements outstanding at June 30, 2015:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at June 30, 2015(5)			Fair Value			Upfront Premiums Paid (Received)		Unrealized 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		0.320	%	$	(342,728	)	$	—	$	(342,728	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		0.274	%		(44,040	)		229,662		(273,702	)	JPMorgan Chase
										$	(386,768	)	$	229,662	$	(616,430	)

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Fair Value(3)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V9		12/20/16		5.000%		6,440	$	357,331	$	270,122	$	87,209	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V9		12/20/16		5.000%		12,420		689,138		567,525		121,613	Deutsche Bank AG
CDX.NA.HY.17.V9		12/20/16		5.000%		17,940		995,421		774,908		220,513	Deutsche Bank AG
CDX.NA.HY.17.V9		12/20/16		5.000%		11,500		638,091		503,924		134,167	Deutsche Bank AG
							$	2,679,981	$	2,116,479	$	563,502

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Value at Trade Date			Value at June 30, 2015(3)			Unrealized Appreciation
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		207,000	$	(3,524,860	)	$	(2,953,360	)	$	571,500

SEE NOTES TO FINANCIAL STATEMENTS.

A50

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

A U.S. Treasury obligation and a Sovereign with a combined market value of $11,964,494 have been segregated with Citigroup Global Markets to cover requirements for open exchanged-traded interest rate and credit default swap contracts at June 30, 2015.

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(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) 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 the buyer of protection an amount equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation 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) The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms when compared to the notional amount of the swap, represents 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.

(4) 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.

(5) 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 the emerging country as of 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.

Currency swap agreements outstanding at June 30, 2015:

Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
	Over-the-counter swap agreements:
	502		3 Month LIBOR		JPY	50,000	3 Month JPY LIBOR minus 54.00 bps	Barclays Capital Group	10/12/16	$	94,093		$	—	$	94,093
	278		3 Month LIBOR		EUR	240	3 Month EURIBOR minus 24.50 bps	Citigroup Global Markets	01/16/17		11,256			—		11,256
	1,541		3 Month LIBOR plus 432 bps		JPY	120,000	3.450%	Citigroup Global Markets	03/24/17		604,384			7,475		596,909
	5,882		3 Month LIBOR		JPY	600,000	3 Month JPY LIBOR minus 31.25 bps	Deutsche Bank AG	05/14/17		967,428			—		967,428
TRY	20,000		8.68%			9,749	3 Month LIBOR	Hong Kong & Shanghai Bank	09/05/15		(1,796,160	)		—		(1,796,160	)
TRY	23,640		8.69%			11,376	3 Month LIBOR	Hong Kong & Shanghai Bank	09/09/15		(1,983,685	)		—		(1,983,685	)
	1,157		3 Month LIBOR		EUR	900	3 Month EURIBOR minus 31.75 bps	Hong Kong & Shanghai Bank	09/28/17		155,847			—		155,847
JPY	265,000		3 Month JPY LIBOR minus 43.35 bps			2,250	3 Month LIBOR	JPMorgan Chase	11/26/16		(83,015	)		—		(83,015	)
JPY	1,060,000		3 Month JPY LIBOR minus 42.10 bps			8,979	3 Month LIBOR	JPMorgan Chase	11/28/16		(311,787	)		—		(311,787	)

SEE NOTES TO FINANCIAL STATEMENTS.

A51

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Currency swap agreements outstanding at June 30, 2015 (continued):

Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
	Over-the-counter swap agreements (continued):
	13,099		3 Month LIBOR		EUR	11,400	3 Month EURIBOR minus 26.95	JPMorgan Chase	02/17/17	$	332,197		$	—	$	332,197
	2,250		3 Month LIBOR		JPY	265,000	3 Month JPY LIBOR minus 69.88 bps	JPMorgan Chase	11/26/24		82,372			—		82,372
	8,979		3 Month LIBOR		JPY	1,060,000	3 Month JPY LIBOR minus 67.32 bps	JPMorgan Chase	11/28/24		288,904			—		288,904
										$	(1,638,166	)	$	7,475	$	(1,645,641	)

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— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	44,683,245		$	998,100
Non-Residential Mortgage-Backed Securities		—			6,781,887			9,474,964
Residential Mortgage-Backed Securities		—			71,034,235			9,827,601
Bank Loans		—			31,327,632			—
Commercial Mortgage-Backed Securities		—			110,935,044			—
Corporate Bonds		—			519,179,297			—
Foreign Agencies		—			25,378,063			—
Municipal Bonds		—			19,578,572			—
Sovereigns		—			50,743,070			—
U.S. Government Agency Obligations		—			16,846,814			—
U.S. Treasury Obligations		—			14,379,707			—
Preferred Stock		1,168,200			—			—
Affiliated Mutual Funds		132,978,708			—			—
Options Purchased		97,269			1,154,309			—
Options Written		(73,362	)		(93,659	)		—
Other Financial Instruments*
Futures Contracts		(2,683,526	)		—			—
Forward Foreign Currency Exchange Contracts		—			(841,119	)		—
Over-the-counter interest rate swaps		—			805,111			—
Exchange-traded interest rate swaps		—			3,018,824			—
Over-the-counter credit default swaps		—			2,293,213			—
Exchange-traded credit default swaps		—			571,500			—
Currency Swap Agreements		—			(1,638,166	)		—
Total	$	131,487,289		$	916,137,579		$	20,300,665

SEE NOTES TO FINANCIAL STATEMENTS.

A52

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

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

	Bank Loans			Collateralized Loan Obligations			Corporate Bonds			Non-Residential Mortgage-Backed Securities			Residential Mortgage-Backed Securities
Balance as of December 31, 2014	$	4,745,724		$	—		$	6,610,851		$	—		$	—
Realized gain (loss)		(1,139	)		—			—			—			—
Change in unrealized appreciation (depreciation)**		(62,693	)		(410	)		—			(25,011	)		(2,705	)
Purchases		—			998,510			—			9,499,977			9,915,369
Sales		(3,049,874	)		—			—			—			(87,569	)
Accrued discount/premium		396			—			—			(2	)		2,506
Transfers into Level 3		—			—			—			—			—
Transfers out of Level 3		(1,632,414	)		—			(6,610,851	)		—			—
Balance as of June 30, 2015	$	—		$	998,100		$	—		$	9,474,964		$	9,827,601

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

** Of which, $(28,126) was relating to securities held at the reporting period end.

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:

Level 3 Securities	Fair Value as of June 30, 2015		Valuation Methodology	Unobservable Inputs
Collateralized Loan Obligations	$	998,100	Market Approach	Single Broker Indicative Quote
Non-Residential Mortgage-Backed Securities		9,474,964	Market Approach	Single Broker Indicative Quote
Residential Mortgage-Backed Securities		9,827,601	Market Approach	Single Broker Indicative Quote
	$	20,300,665

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, securities transferred levels as follows:

Investments in Securities	Amount Transferred		Level Transfer		Logic
Bank Loans	$	1,632,414		L3 to L2	Single Broker Quote to Evaluated Bid
Corporate Bonds		6,610,851		L3 to L2	Single Broker Quote to Evaluated Bid

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:

Affiliated Mutual Funds (including 3.7% of collateral for securities on loan)	12.8	%
Banking	12.8
Commercial Mortgage-Backed Securities	10.7
Residential Mortgage-Backed Securities	7.8
Healthcare & Pharmaceutical	5.1
Sovereigns	4.9
Collateralized Loan Obligations	4.4
Electric	3.5
Insurance	3.4
Technology	3.2
Media & Entertainment	2.7
Foreign Agencies	2.5
Cable	2.1
Telecommunications	1.9
Chemicals	1.9
Municipal Bonds	1.9
Capital Goods	1.7
Non-Residential Mortgage-Backed Securities	1.6
U.S. Government Agency Obligations	1.6

Non-Captive Finance	1.6	%
U.S. Treasury Obligations	1.4
Automotive	1.3
Building Materials & Construction	1.3
Foods	1.3
Energy – Other	1.1
Gaming	1.0
Healthcare Insurance	0.9
Energy – Integrated	0.7
Pipelines & Other	0.7
Airlines	0.6
Tobacco	0.5
Metals	0.5
Paper	0.5
Aerospace & Defense	0.5
Real Estate Investment Trusts	0.4
Packaging	0.4
Lodging	0.4
Diversified Telecommunication Services	0.3
Retailers	0.2

SEE NOTES TO FINANCIAL STATEMENTS.

A53

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Industry table (cont’d.)
Consumer	0.2	%
Brokerage	0.2
Financials	0.2
Software	0.1
Beverages	0.1

Options Purchased	0.1	%
Options Written	—	*
	103.0
Liabilities in excess of other assets	(3.0	)
	100.0	%

* Less than 0.05%

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

Fair values of derivative instruments as of June 30, 2015 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	Due from/to broker-variation margin swaps	$	571,500	*	—	$	—
Credit contracts	Premiums paid for swap agreements		2,346,141		—		—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		563,502		Unrealized depreciation on over-the-counter swap agreements		616,430
Foreign exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		136,175		Unrealized depreciation on forward foreign currency exchange contracts		977,294
Interest rate contracts	—		—		Due from/to broker-variation margin futures		2,683,526	*
Interest rate contracts	Due from/to broker-variation margin swaps		4,537,514	*	Due from/to broker-variation margin swaps		1,518,690	*
Interest rate contracts	Premiums paid for swap agreements		7,475		—		—
Interest rate contracts	Unaffiliated investments		1,251,578		Options written outstanding, at value		167,021
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		3,348,364		Unrealized depreciation on over-the-counter swap agreements		4,188,894
Total		$	12,762,249			$	10,151,855

* Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap 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 six months ended June 30, 2015 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*			Options Written		Futures		Forward Rate Agreements		Forward and Cross Currency Contracts**		Swaps			Total
Credit contracts	$	—		$	—	$	—	$	—	$	—	$	(1,464,571	)	$	(1,464,571	)
Equity contracts		—			—		—		—		—		99,939			99,939
Foreign exchange contracts		—			—		—		—		1,699,754		—			1,699,754
Interest rate contracts		(1,141,965	)		385,971		2,289,912		30,908		—		(3,743,510	)		(2,178,684	)
	$	(1,141,965	)	$	385,971	$	2,289,912	$	30,908	$	1,699,754	$	(5,108,142	)	$	(1,843,562	)

* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

** Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A54

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*			Options Written		Futures			Forward and Cross Currency Contracts**			Swaps			Total
Credit contracts	$	—		$	—	$	—		$	—		$	1,206,589		$	1,206,589
Foreign exchange contracts		—			—		—			(617,442	)		—			(617,442	)
Interest rate contracts		(72,807	)		25,010		(4,043,613	)		—			(1,530,441	)		(5,621,851	)
	$	(72,807	)	$	25,010	$	(4,043,613	)	$	(617,442	)	$	(323,852	)	$	(5,032,704	)

* Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

** Included in net change in unrealized appreciation (depreciation) on foreign currencies in the Statement of Operations.

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(4)	Futures Contracts Long Positions(2)	Futures Contracts Short Positions(2)	Forward Foreign Currency Exchange Contracts—Purchased(3)
$1,057,971	$439,783	$441,755,729	$174,597,241	$37,207,782
Forward Foreign Currency Exchange Contracts—Sold(3)	Cross Currency Exchange Contracts(3)	Interest Rate Swap Agreements(4)	Credit Default Swap Agreements Buy Protection(4)	Credit Default Swap Agreements Sell Protection(4)
$67,008,206	$72,963	$548,777	$169,798	$49,000
	Currency Swap Agreements(4)	Total Return Swap Agreements(4)	Forward Rate Agreements(4)
	$80,258	$4,053	$120,660

⁽¹⁾  Cost.

⁽²⁾  Value at Trade Date.

⁽³⁾  Value at Settlement Date.

⁽⁴⁾  Notional Amount in USD (000).

Offsetting of over-the-counter (OTC) derivative assets and liabilities:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset			Collateral Received(3)			Net Amount
Bank of America	$	6,556	$	(6,556	)	$	—		$	—
Barclays Capital Group		505,014		(21	)		(530,474	)		—
BNP Paribas		12,741		—			—			12,741
Citigroup Global Markets		1,820,198		(21,915	)		(1,734,000	)		64,283
Credit Suisse First Boston Corp.		555,461		—			(602,000	)		—
Deutsche Bank AG		3,390,252		(345,200	)		(3,050,201	)		—
Goldman Sachs & Co.		19,638		(19,638	)		—			—
Hong Kong & Shanghai Bank		178,018		(178,018	)		—			—
JPMorgan Chase		1,068,088		(992,174	)		—			75,914
UBS AG		—		—			—			—
	$	7,555,966

SEE NOTES TO FINANCIAL STATEMENTS.

A55

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged(3)		Net Amount
Bank of America	$	(203,623	)	$	6,556	$	—	$	(197,067	)
Barclays Capital Group		(21	)		21		—		—
BNP Paribas		—			—		—		—
Citigroup Global Markets		(21,915	)		21,915		—		—
Credit Suisse First Boston Corp.		—			—		—		—
Deutsche Bank AG		(345,200	)		345,200		—		—
Goldman Sachs & Co.		(112,004	)		19,638		—		(92,366	)
Hong Kong & Shanghai Bank		(4,189,513	)		178,018		3,982,881		(28,614	)
JPMorgan Chase		(992,174	)		992,174		—		—
UBS AG		(11,827	)		—		—		(11,827	)
	$	(5,876,277	)

(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

(3) Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A56

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

as of June 30, 2015

ASSETS
Investments at value, including securities on loan of $36,993,201:
Unaffiliated investments (cost $914,914,359)	$	933,588,009
Affiliated investments (cost $136,575,762)		132,978,708
Foreign currency, at value (cost $577,622)		575,092
Dividends and interest receivable		9,614,786
Unrealized appreciation on over-the-counter swap agreements		3,911,866
Premium paid for swap agreements		2,353,616
Receivable for investments sold		177,254
Receivable for Series shares sold		168,657
Unrealized appreciation on forward foreign currency exchange contracts		136,175
Deposit with Broker		48,350
Tax reclaim receivable		2,265
Prepaid expenses		1,235
Total Assets		1,083,556,013
LIABILITIES
Payable to broker for collateral for securities on loan		38,015,140
Unrealized depreciation on over-the-counter swap agreements		4,805,324
Payable for investments purchased		3,346,405
Unrealized depreciation on forward foreign currency exchange contracts		977,294
Payable for Series shares repurchased		451,830
Management fee payable		340,161
Accrued expenses and other liabilities		220,642
Options written outstanding, at value (premiums received $271,161)		167,021
Due to broker—variation margin futures		111,774
Payable to custodian		101,573
Due to broker—variation margin swaps		54,113
Deferred trustees’ fees		2,087
Affiliated transfer agent fee payable		926
Total Liabilities		48,594,290
NET ASSETS	$	1,034,961,723
Net assets were comprised of:
Paid-in capital	$	937,307,076
Retained earnings		97,654,647
Net assets, June 30, 2015	$	1,034,961,723
Net asset value and redemption price per share $1,034,961,723 / 89,019,538 outstanding shares of beneficial interest	$	11.63

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015

NET INVESTMENT INCOME
INCOME
Interest income (net of foreign withholding taxes of $10,391)	$	20,368,323
Affiliated dividend income		631,695
Unaffiliated dividend income		44,297
Affiliated income from securities lending, net		34,288
Total income		21,078,603
EXPENSES
Management fee		2,111,010
Custodian and accounting fees		107,000
Shareholders’ reports		53,000
Audit fee		23,000
Trustees’ fees		10,000
Insurance expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Legal fees and expenses		5,000
Loan Interest expense		44
Miscellaneous		11,438
Total expenses		2,333,492
NET INVESTMENT INCOME		18,745,111
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		(152,684	)
Futures transactions		2,289,912
Options written transactions		385,971
Forward rate agreement transactions		30,908
Swap agreement transactions		(5,108,142	)
Foreign currency transactions		8,704,074
		6,150,039
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $1,076,473)		(22,706,673	)
Futures		(4,043,613	)
Options written		25,010
Swap agreements		(323,852	)
Foreign currencies		(633,283	)
		(27,682,411	)
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(21,532,372	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,787,261	)

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	18,745,111		$	40,596,712
Net realized gain on investment and foreign currency transactions		6,150,039			19,370,419
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(27,682,411	)		16,033,794
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(2,787,261	)		76,000,925
DISTRIBUTIONS		—			(11,827,554	)
SERIES SHARE TRANSACTIONS
Series shares sold [867,418 and 2,077,773 shares, respectively]		10,256,322			23,745,718
Series shares issued in reinvestment of distributions [0 and 1,060,767 shares, respectively]		—			11,827,554
Series shares repurchased [3,424,936 and 20,335,487 shares, respectively]		(40,379,351	)		(229,380,709	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(30,123,029	)		(193,807,437	)
TOTAL DECREASE		(32,910,290	)		(129,634,066	)
NET ASSETS:
Beginning of period		1,067,872,013			1,197,506,079
End of period	$	1,034,961,723		$	1,067,872,013

SEE NOTES TO FINANCIAL STATEMENTS.

A57

	EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

LONG-TERM INVESTMENTS — 97.3%			Value (Note 2)
COMMON STOCKS	Shares
Aerospace & Defense — 1.1%
Boeing Co. (The)		306,179	$	42,473,151
Airlines — 0.4%
United Continental Holdings, Inc.*		290,395		15,393,839
Auto Components — 1.0%
Lear Corp.		359,100		40,312,566
Automobiles — 1.5%
General Motors Co.		563,186		18,770,989
Tesla Motors, Inc.*(a)		151,223		40,567,082
				59,338,071
Banks — 6.8%
Bank of America Corp.		2,500,404		42,556,876
Citigroup, Inc.		996,883		55,067,817
JPMorgan Chase & Co.		949,886		64,364,276
PNC Financial Services Group, Inc. (The)		464,799		44,458,024
Wells Fargo & Co.		1,156,205		65,024,969
				271,471,962
Biotechnology — 5.2%
Alexion Pharmaceuticals, Inc.*		227,284		41,086,129
Biogen, Inc.*		155,653		62,874,473
Celgene Corp.*		302,755		35,039,350
Gilead Sciences, Inc.		313,395		36,692,286
Regeneron Pharmaceuticals, Inc.*		67,428		34,397,046
				210,089,284
Capital Markets — 3.0%
Goldman Sachs Group, Inc. (The)		224,319		46,835,564
Morgan Stanley		1,893,713		73,457,127
				120,292,691
Chemicals — 1.2%
FMC Corp.		623,781		32,779,692
Monsanto Co.		135,999		14,496,133
				47,275,825
Communications Equipment — 0.8%
Brocade Communications Systems, Inc.		2,772,634		32,938,892
Consumer Finance — 2.1%
Capital One Financial Corp.		478,764		42,116,869
SLM Corp.*		4,118,457		40,649,171
				82,766,040
Diversified Financial Services — 0.8%
Voya Financial, Inc.		660,352		30,686,557
Electric Utilities — 1.0%
FirstEnergy Corp.		1,224,023		39,841,949
Electrical Equipment — 1.1%
Eaton Corp. PLC		670,542		45,254,880
Electronic Equipment, Instruments & Components — 0.5%
Fitbit, Inc. (Class A Stock)*(a)		14,076		538,125

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components (continued)
Flextronics International Ltd.*		1,844,886	$	20,865,661
				21,403,786
Energy Equipment & Services — 1.5%
Halliburton Co.		754,934		32,515,007
Schlumberger Ltd.		303,800		26,184,522
				58,699,529
Food & Staples Retailing — 1.7%
Costco Wholesale Corp.		282,311		38,128,924
Kroger Co. (The)(a)		417,992		30,308,600
				68,437,524
Food Products — 2.5%
Bunge Ltd.		443,108		38,904,883
Mondelez International, Inc. (Class A Stock)		1,514,117		62,290,773
				101,195,656
Health Care Equipment & Supplies — 0.5%
Zimmer Biomet Holdings, Inc.		182,030		19,883,137
Hotels, Restaurants & Leisure — 3.9%
Carnival Corp.		1,106,810		54,665,346
Marriott International, Inc. (Class A Stock)(a)		540,209		40,186,148
Starbucks Corp.		1,170,786		62,771,691
				157,623,185
Insurance — 1.7%
MetLife, Inc.		855,760		47,914,002
Travelers Cos., Inc. (The)		223,666		21,619,556
				69,533,558
Internet & Catalog Retail — 5.6%
Amazon.com, Inc.*		197,586		85,770,107
JD.com, Inc. (China), ADR*		924,704		31,532,406
Netflix, Inc.*		91,590		60,169,135
Priceline Group, Inc. (The)*		39,522		45,504,445
				222,976,093
Internet Software & Services — 8.1%
Alibaba Group Holding Ltd. (China), ADR*		340,684		28,028,073
Facebook, Inc. (Class A Stock)*		1,424,115		122,139,223
Google, Inc. (Class A Stock)*		58,391		31,533,476
Google, Inc. (Class C Stock)*		64,305		33,471,395
LinkedIn Corp. (Class A Stock)*		259,465		53,613,253
Tencent Holdings Ltd. (China)		2,770,548		55,401,354
				324,186,774
IT Services — 2.9%
FleetCor Technologies, Inc.*		267,564		41,756,038
MasterCard, Inc. (Class A Stock)		821,626		76,805,598
				118,561,636
Life Sciences Tools & Services — 1.1%
Illumina, Inc.*		206,378		45,064,700
Machinery — 0.9%
SPX Corp.		478,749		34,656,640

SEE NOTES TO FINANCIAL STATEMENTS.

A58

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media — 3.8%
Comcast Corp. (Class A Stock)		887,649	$	53,383,211
Time Warner, Inc.		240,467		21,019,220
Walt Disney Co. (The)		672,076		76,710,755
				151,113,186
Multi-Utilities — 0.6%
PG&E Corp.		470,666		23,109,701
Multiline Retail — 1.3%
Target Corp.		628,113		51,272,864
Oil, Gas & Consumable Fuels — 4.7%
Chevron Corp.		307,390		29,653,913
Concho Resources, Inc.*		288,085		32,801,358
Marathon Oil Corp.		1,177,401		31,248,223
Noble Energy, Inc.		701,485		29,939,380
Occidental Petroleum Corp.		410,422		31,918,519
Suncor Energy, Inc. (Canada)		1,262,075		34,760,112
				190,321,505
Pharmaceuticals — 10.8%
AbbVie, Inc.		337,593		22,682,874
Allergan PLC*		465,125		141,146,832
Bayer AG (Germany), ADR		310,713		43,805,872
Bristol-Myers Squibb Co.		815,373		54,254,919
Merck & Co., Inc.		771,420		43,916,941
Pfizer, Inc.		921,320		30,891,860
Shire PLC (Ireland), ADR		173,933		42,003,080
Teva Pharmaceutical Industries Ltd. (Israel), ADR		892,245		52,731,680
				431,434,058
Road & Rail — 0.5%
Hertz Global Holdings, Inc.*		1,134,552		20,558,082
Semiconductors & Semiconductor Equipment — 1.0%
Applied Materials, Inc.		2,055,728		39,511,092
Software — 5.9%
Adobe Systems, Inc.*		525,404		42,562,978
Microsoft Corp.		1,148,208		50,693,383
Red Hat, Inc.*		507,601		38,542,144
salesforce.com, Inc.*		724,283		50,431,825
Splunk, Inc.*(a)		471,387		32,817,963
Workday, Inc. (Class A Stock)*(a)		286,207		21,863,353
				236,911,646
Specialty Retail — 1.2%
Inditex SA (Spain), ADR		2,909,759		47,225,388
Technology Hardware, Storage & Peripherals — 5.9%
Apple, Inc.		1,106,379		138,767,586
EMC Corp.		1,485,306		39,197,225
Hewlett-Packard Co.		1,418,623		42,572,876
NCR Corp.*		554,837		16,700,594
				237,238,281
Textiles, Apparel & Luxury Goods — 3.2%
Coach, Inc.		424,137		14,679,381
NIKE, Inc. (Class B Stock)		724,749		78,287,387
Under Armour, Inc. (Class A Stock)*(a)		440,665		36,769,088
				129,735,856

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 1.5%
SBA Communications Corp. (Class A Stock)*		272,157	$	31,289,890
Vodafone Group PLC (United Kingdom), ADR		807,774		29,443,363
				60,733,253
TOTAL LONG-TERM INVESTMENTS (cost $2,640,296,681)				3,899,522,837
SHORT-TERM INVESTMENT — 4.9%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $194,865,661; includes $94,663,514 of cash collateral for securities on loan)(Note 4)(b)(c)		194,865,661		194,865,661
TOTAL INVESTMENTS — 102.2% (cost $2,835,162,342)				4,094,388,498
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)%				(88,086,181	)
NET ASSETS — 100.0%			$	4,006,302,317

See the Glossary for abbreviations used in the Portfolio descriptions.

* 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 $93,785,223; cash collateral of $94,663,514 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. 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 Fund 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.

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—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A59

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	42,473,151	$	—	$	—
Airlines		15,393,839		—		—
Auto Components		40,312,566		—		—
Automobiles		59,338,071		—		—
Banks		271,471,962		—		—
Biotechnology		210,089,284		—		—
Capital Markets		120,292,691		—		—
Chemicals		47,275,825		—		—
Communications Equipment		32,938,892		—		—
Consumer Finance		82,766,040		—		—
Diversified Financial Services		30,686,557		—		—
Electric Utilities		39,841,949		—		—
Electrical Equipment		45,254,880		—		—
Electronic Equipment, Instruments & Components		21,403,786		—		—
Energy Equipment & Services		58,699,529		—		—
Food & Staples Retailing		68,437,524		—		—
Food Products		101,195,656		—		—
Health Care Equipment & Supplies		19,883,137		—		—
Hotels, Restaurants & Leisure		157,623,185		—		—
Insurance		69,533,558		—		—
Internet & Catalog Retail		222,976,093		—		—
Internet Software & Services		268,785,420		55,401,354		—
IT Services		118,561,636		—		—
Life Sciences Tools & Services		45,064,700		—		—
Machinery		34,656,640		—		—
Media		151,113,186		—		—
Multi-Utilities		23,109,701		—		—
Multiline Retail		51,272,864		—		—
Oil, Gas & Consumable Fuels		190,321,505		—		—
Pharmaceuticals		431,434,058		—		—
Road & Rail		20,558,082		—		—
Semiconductors & Semiconductor Equipment		39,511,092		—		—
Software		236,911,646		—		—
Specialty Retail		47,225,388		—		—
Technology Hardware, Storage & Peripherals		237,238,281		—		—
Textiles, Apparel & Luxury Goods		129,735,856		—		—
Wireless Telecommunication Services		60,733,253		—		—
Affiliated Money Market Mutual Fund		194,865,661		—		—
Total	$	4,038,987,144	$	55,401,354	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:

Pharmaceuticals	10.8	%
Internet Software & Services	8.1
Banks	6.8
Technology Hardware, Storage & Peripherals	5.9
Software	5.9
Internet & Catalog Retail	5.6
Biotechnology	5.2
Affiliated Money Market Mutual Fund (including 2.4% of collateral for securities on loan)	4.9
Oil, Gas & Consumable Fuels	4.7
Hotels, Restaurants & Leisure	3.9
Media	3.8
Textiles, Apparel & Luxury Goods	3.2
Capital Markets	3.0

IT Services	2.9	%
Food Products	2.5
Consumer Finance	2.1
Insurance	1.7
Food & Staples Retailing	1.7
Wireless Telecommunication Services	1.5
Automobiles	1.5
Energy Equipment & Services	1.5
Multiline Retail	1.3
Chemicals	1.2
Specialty Retail	1.2
Electrical Equipment	1.1
Life Sciences Tools & Services	1.1
Aerospace & Defense	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A60

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Industry table (cont.)
Auto Components	1.0	%
Electric Utilities	1.0
Semiconductors & Semiconductor Equipment	1.0
Machinery	0.9
Communications Equipment	0.8
Diversified Financial Services	0.8
Multi-Utilities	0.6

Electronic Equipment, Instruments & Components	0.5	%
Road & Rail	0.5
Health Care Equipment & Supplies	0.5
Airlines	0.4
	102.2
Liabilities in excess of other assets	(2.2	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A61

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES (Unaudited)

as of June 30, 2015

ASSETS
Investments at value, including securities on loan of $93,785,223:
Unaffiliated investments (cost $2,640,296,681)	$	3,899,522,837
Affiliated investments (cost $194,865,661)		194,865,661
Receivable for investments sold		3,974,313
Dividends and interest receivable		3,397,744
Tax reclaim receivable		1,998,511
Prepaid expenses		4,683
Total assets		4,103,763,749
LIABILITIES
Payable to broker for collateral for securities on loan		94,663,514
Management fee payable		1,504,143
Payable for Series shares repurchased		1,023,129
Accrued expenses and other liabilities		268,787
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		511
Distribution fee payable		422
Total liabilities		97,461,432
NET ASSETS	$	4,006,302,317
Net assets were comprised of:
Paid-in capital	$	2,012,688,949
Retained earnings		1,993,613,368
Net assets, June 30, 2015	$	4,006,302,317
Class I:
Net asset value and redemption price per share $4,004,300,423 / 100,635,098 outstanding shares of beneficial interest	$	39.79
Class II:
Net asset value and redemption price per share $2,001,894 / 50,275 outstanding shares of beneficial interest	$	39.82

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2015

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $565,231)	$	26,662,728
Affiliated income from securities lending, net		141,448
Affiliated dividend income		80,086
Total income		26,884,262
EXPENSES
Management fee		8,998,262
Distribution fee—Class II		2,601
Administration fee—Class II		1,561
Custodian and accounting fees		220,000
Shareholders’ reports		113,000
Insurance expenses		27,000
Trustees’ fees		22,000
Audit fee		12,000
Legal fees and expenses		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		15,072
Total expenses		9,425,496
NET INVESTMENT INCOME		17,458,766
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		43,569,064
Foreign currency transactions		(58,627	)
		43,510,437
Net change in unrealized appreciation (depreciation) on:
Investments		65,993,262
Foreign currencies		(95,524	)
		65,897,738
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		109,408,175
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	126,866,941

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	17,458,766		$	20,780,578
Net realized gain on investment and foreign currency transactions		43,510,437			365,889,333
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		65,897,738			(92,188,862	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		126,866,941			294,481,049
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		5,475,644			12,816,469
Series shares repurchased		(145,838,191	)		(260,744,091	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(140,362,547	)		(247,927,622	)
TOTAL INCREASE (DECREASE)		(13,495,606	)		46,553,427
NET ASSETS:
Beginning of period		4,019,797,923			3,973,244,496
End of period	$	4,006,302,317		$	4,019,797,923

SEE NOTES TO FINANCIAL STATEMENTS.

A62

	FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

LONG-TERM INVESTMENTS — 92.0%
COMMON STOCKS — 61.9%	Shares		Value (Note 2)
Aerospace & Defense — 1.9%
Airbus Group NV (France)		13,567	$	883,720
BAE Systems PLC (United Kingdom)		48,072		340,609
General Dynamics Corp.		130,900		18,547,221
Huntington Ingalls Industries, Inc.		65,900		7,419,681
L-3 Communications Holdings, Inc.		8,000		907,040
Lockheed Martin Corp.		92,100		17,121,390
Northrop Grumman Corp.		96,400		15,291,932
Raytheon Co.		127,000		12,151,360
Safran SA (France)		3,677		249,887
				72,912,840
Air Freight & Logistics — 0.8%
FedEx Corp.		86,400		14,722,560
Royal Mail PLC (United Kingdom)		9,010		72,841
United Parcel Service, Inc. (Class B Stock)		175,000		16,959,250
				31,754,651
Airlines — 0.4%
Cathay Pacific Airways Ltd. (Hong Kong)		397,000		975,393
easyJet PLC (United Kingdom)		2,175		52,871
International Consolidated Airlines Group SA (United Kingdom)*		11,080		86,441
Japan Airlines Co. Ltd. (Japan)		1,600		55,759
Ryanair Holdings PLC (Ireland) ADR		13,500		963,225
Singapore Airlines Ltd. (Singapore)		7,200		57,327
Southwest Airlines Co.		410,600		13,586,754
				15,777,770
Auto Components — 0.3%
Bridgestone Corp. (Japan)		1,500		55,444
Cie Generale des Etablissements Michelin (France)		10,823		1,138,840
Continental AG (Germany)		842		199,367
Johnson Controls, Inc.		177,100		8,771,763
NHK Spring Co. Ltd. (Japan)		86,800		955,700
NOK Corp. (Japan)		31,400		972,891
Valeo SA (France)		1,030		162,929
				12,256,934
Automobiles — 0.3%
Daimler AG (Germany)		22,808		2,077,713
Fiat Chrysler Automobiles NV (United Kingdom)*		12,193		178,874
Fuji Heavy Industries Ltd. (Japan)		8,300		305,198
Peugeot SA (France)*		57,600		1,187,821
Renault SA (France)		2,590		271,555
Thor Industries, Inc.		88,000		4,952,640
Toyota Motor Corp. (Japan)		34,900		2,335,413
Volkswagen AG (Germany)		487		112,763
				11,421,977
Banks — 4.0%
Aozora Bank Ltd. (Japan)		16,000		60,368
Australia & New Zealand Banking Group Ltd. (Australia)		38,862		964,446

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Banco Santander SA (Spain)		325,341	$	2,288,459
Bank Hapoalim BM (Israel)		193,670		1,042,323
Bank Leumi Le-Israel BM (Israel)*		58,203		245,937
Bank of America Corp.		2,001,100		34,058,722
Bank of Kyoto Ltd. (The) (Japan)		4,000		46,013
Bank of Yokohama Ltd. (The) (Japan)		16,000		97,984
Barclays PLC (United Kingdom)		6,055		24,817
BOC Hong Kong Holdings Ltd. (Hong Kong)		51,000		212,265
Chiba Bank Ltd. (The) (Japan)		10,000		76,148
Citigroup, Inc.		245,550		13,564,182
Commonwealth Bank of Australia (Australia)		7,976		523,043
Credit Agricole SA (France)		14,380		214,693
Danske Bank A/S (Denmark)		9,084		267,042
DNB ASA (Norway)		69,982		1,165,453
Fukuoka Financial Group, Inc. (Japan)		11,000		57,014
HSBC Holdings PLC (United Kingdom)		265,527		2,377,624
ING Groep NV (Netherlands), CVA		53,179		883,059
Intesa Sanpaolo SpA (Italy)		9,749		31,125
JPMorgan Chase & Co.		698,694		47,343,505
KBC Groep NV (Belgium)		18,127		1,215,204
KeyCorp		431,100		6,475,122
Lloyds Banking Group PLC (United Kingdom)		30,523		40,968
Mitsubishi UFJ Financial Group, Inc. (Japan)		342,400		2,463,385
Mizuho Financial Group, Inc. (Japan)		842,000		1,821,863
Nordea Bank AB (Sweden)		41,917		522,779
Oversea-Chinese Banking Corp. Ltd. (Singapore)		58,278		440,113
Regions Financial Corp.		1,321,200		13,687,632
Resona Holdings, Inc. (Japan)		196,300		1,070,645
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		96,297		1,231,768
Societe Generale SA (France)		6,754		316,924
Sumitomo Mitsui Financial Group, Inc. (Japan)		42,900		1,909,874
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		88,000		402,565
Svenska Handelsbanken AB (Sweden) (Class A Stock)		82,575		1,205,451
U.S. Bancorp		49,800		2,161,320
Wells Fargo & Co.		280,112		15,753,499
Westpac Banking Corp. (Australia)		5,892		145,780
				156,409,114
Beverages — 1.7%
Anheuser-Busch InBev NV (Belgium)		4,652		559,825
Carlsberg A/S (Denmark) (Class B Stock)		5,493		497,697
Coca-Cola Co. (The)		437,700		17,170,971

SEE NOTES TO FINANCIAL STATEMENTS.

A63

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages (continued)
Coca-Cola Enterprises, Inc.		71,700	$	3,114,648
Diageo PLC (United Kingdom)		19,458		563,496
Dr. Pepper Snapple Group, Inc.		19,600		1,428,840
Heineken Holding NV (Netherlands)		630		44,157
Heineken NV (Netherlands)		3,099		235,609
Monster Beverage Corp.*		59,300		7,947,386
PepsiCo, Inc.		353,620		33,006,891
Pernod Ricard SA (France)		2,247		259,759
SABMiller PLC (United Kingdom)		13,646		707,546
				65,536,825
Biotechnology — 2.3%
Amgen, Inc.		138,008		21,186,988
Biogen Idec, Inc.*		65,300		26,377,282
Celgene Corp.*		38,200		4,421,077
Gilead Sciences, Inc.		240,100		28,110,908
Regeneron Pharmaceuticals, Inc.*(a)		14,300		7,294,859
				87,391,114
Building Products — 0.2%
A.O. Smith Corp.		90,000		6,478,200
Asahi Glass Co. Ltd. (Japan)		40,000		240,141
Daikin Industries Ltd. (Japan)		3,200		230,043
Fortune Brands Home & Security, Inc.		32,600		1,493,732
				8,442,116
Capital Markets — 1.6%
3i Group PLC (United Kingdom)		150,630		1,222,233
Bank of New York Mellon Corp. (The)		352,700		14,802,819
Franklin Resources, Inc.		266,000		13,041,980
Goldman Sachs Group, Inc. (The)		122,000		25,472,380
Macquarie Group Ltd. (Australia)		21,877		1,370,714
Mediobanca SpA (Italy)		8,467		83,016
Nomura Holdings, Inc. (Japan)		50,700		342,319
Schroders PLC (United Kingdom)		1,690		84,325
State Street Corp.		73,800		5,682,600
UBS Group AG (Switzerland)		37,770		801,346
				62,903,732
Chemicals — 1.5%
Asahi Kasei Corp. (Japan)		26,000		213,267
BASF SE (Germany)		12,793		1,125,696
Cabot Corp.		82,100		3,061,509
Celanese Corp. Series A		28,500		2,048,580
Daicel Corp. (Japan)		3,800		48,762
Evonik Industries AG (Germany)		1,286		49,104
Givaudan SA (Switzerland)		110		190,444
Hitachi Chemical Co. Ltd. (Japan)		1,500		27,017
JSR Corp. (Japan)		2,500		44,133
K+S AG (Germany)		31,791		1,340,560
Kaneka Corp. (Japan)		4,000		29,212
Kuraray Co. Ltd. (Japan)		24,500		299,276
LyondellBasell Industries NV (Netherlands) (Class A Stock)		208,200		21,552,864
Mitsubishi Chemical Holdings Corp. (Japan)		7,400		46,521

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Mitsubishi Gas Chemical Co., Inc. (Japan)		5,000	$	27,996
Mosaic Co. (The)		287,300		13,460,005
Nippon Paint Holdings Co. Ltd. (Japan)		2,100		59,179
Nitto Denko Corp. (Japan)		2,200		180,669
Sherwin-Williams Co. (The)		50,300		13,833,506
Sumitomo Chemical Co. Ltd. (Japan)		21,000		126,177
Symrise AG (Germany)		1,691		105,020
Yara International ASA (Norway)		21,563		1,123,608
				58,993,105
Commercial Services & Supplies
Secom Co. Ltd. (Japan)		2,200		142,924
Societe BIC SA (France)		2,934		467,749
Toppan Printing Co. Ltd. (Japan)		6,000		50,160
				660,833
Communications Equipment — 1.0%
Brocade Communications Systems, Inc.		247,800		2,943,864
Cisco Systems, Inc.		1,027,900		28,226,134
F5 Networks, Inc.*		24,400		2,936,540
Juniper Networks, Inc.		58,900		1,529,633
QUALCOMM, Inc.		25,800		1,615,854
				37,252,025
Construction & Engineering — 0.1%
Ferrovial SA (Spain)		47,939		1,041,546
Kajima Corp. (Japan)		12,000		56,361
Obayashi Corp. (Japan)		9,000		65,629
Skanska AB (Sweden) (Class B Stock)		33,649		681,865
Taisei Corp. (Japan)		21,000		120,561
				1,965,962
Construction Materials — 0.1%
HeidelbergCement AG (Germany)		429		34,001
Imerys SA (France)		469		35,979
Vulcan Materials Co.		47,900		4,020,247
				4,090,227
Consumer Finance — 0.2%
Discover Financial Services		101,800		5,865,716
Synchrony Financial*(a)		83,000		2,733,190
				8,598,906
Containers & Packaging — 0.1%
Packaging Corp of America		44,000		2,749,560
Rexam PLC (United Kingdom)		83,940		728,011
				3,477,571
Diversified Financial Services — 1.0%
Berkshire Hathaway, Inc. (Class B Stock)*		271,000		36,885,810
Industrivarden AB (Sweden) (Class C Stock)		2,268		42,742
Investment AB Kinnevik (Sweden)		3,221		101,880
Investor AB (Sweden) (Class B Stock)		6,188		230,724

SEE NOTES TO FINANCIAL STATEMENTS.

A64

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
MSCI, Inc.		12,100	$	744,755
ORIX Corp. (Japan)		55,200		819,691
				38,825,602
Diversified Telecommunication Services — 1.4%
AT&T, Inc.		376,247		13,364,294
BT Group PLC (United Kingdom)		156,956		1,111,452
Deutsche Telekom AG (Germany)		67,900		1,170,618
Nippon Telegraph & Telephone Corp. (Japan)		39,600		1,434,144
Telecom Italia SpA (Italy)		1,093,202		1,114,808
Telecom Italia SpA (Italy)*(a)		964,458		1,225,647
Telstra Corp. Ltd. (Australia)		60,379		285,747
Verizon Communications, Inc.		741,588		34,565,417
				54,272,127
Electric Utilities — 0.7%
American Electric Power Co., Inc.		42,800		2,267,116
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		124,000		962,538
Chubu Electric Power Co., Inc. (Japan)		9,000		134,137
Chugoku Electric Power Co., Inc. (The) (Japan)		4,200		61,267
EDP-Energias de Portugal SA (Portugal)		31,305		119,272
Electricite de France (France)		35,867		802,297
Endesa SA (Spain)		4,398		84,229
Enel SpA (Italy)		13,060		59,192
Entergy Corp.		154,500		10,892,250
FirstEnergy Corp.		29,600		963,480
Fortum OYJ (Finland)		55,223		981,037
Hokuriku Electric Power Co. (Japan)		1,700		25,323
Kansai Electric Power Co., Inc. (The) (Japan)*		9,900		109,598
Kyushu Electric Power Co., Inc. (Japan)*		6,000		69,564
Power Assets Holdings Ltd. (Hong Kong)		19,500		177,789
PPL Corp.		315,700		9,303,679
Shikoku Electric Power Co., Inc. (Japan)		2,500		37,425
Tohoku Electric Power Co., Inc. (Japan)		6,400		86,653
Tokyo Electric Power Co., Inc. (Japan)*		20,000		108,958
				27,245,804
Electrical Equipment — 0.3%
Acuity Brands, Inc.		33,800		6,083,324
Babcock & Wilcox Co. (The)		53,800		1,764,640
Fuji Electric Co. Ltd. (Japan)		6,000		25,806
Mitsubishi Electric Corp. (Japan)		106,000		1,368,746
OSRAM Licht AG (Germany)		19,423		929,213
Vestas Wind Systems A/S (Denmark)		21,544		1,073,829
				11,245,558

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components — 0.3%
CDW Corp.		28,400	$	973,552
Citizen Holdings Co. Ltd. (Japan)		2,700		18,837
Ibiden Co. Ltd. (Japan)		53,900		911,525
Jabil Circuit, Inc.		270,500		5,758,945
Keyence Corp. (Japan)		1,500		808,466
Kyocera Corp. (Japan)		2,200		114,384
Murata Manufacturing Co. Ltd. (Japan)		10,700		1,867,315
TDK Corp. (Japan)		1,700		130,173
				10,583,197
Energy Equipment & Services — 0.8%
Atwood Oceanics, Inc.		31,500		832,860
Cameron International Corp.*		172,400		9,028,588
Schlumberger Ltd.		232,100		20,004,699
Transocean Ltd.(a)		4,986		80,832
				29,946,979
Food & Staples Retailing — 1.3%
Casino Guichard Perrachon SA (France)		789		59,887
CVS Health Corp.		30,200		3,167,376
Distribuidora Internacional de Alimentacion SA (Spain)		122,384		937,901
ICA Gruppen AB (Sweden)		6,834		242,451
J. Sainsbury PLC (United Kingdom)		145,840		607,088
Koninklijke Ahold NV (Netherlands)		18,921		355,198
Kroger Co. (The)		238,700		17,308,137
METRO AG (Germany)		7,699		243,167
Olam International Ltd. (Singapore)		107,100		149,455
Wal-Mart Stores, Inc.		346,900		24,605,617
Wesfarmers Ltd. (Australia)		21,992		661,370
Whole Foods Market, Inc.		17,300		682,312
WM Morrison Supermarkets PLC (United Kingdom)		269,123		763,975
				49,783,934
Food Products — 0.8%
Archer-Daniels-Midland Co.		327,300		15,782,406
Bunge Ltd.		43,200		3,792,960
ConAgra Foods, Inc.		113,300		4,953,476
Lindt & Spruengli AG (Switzerland)		1		62,591
Nestle SA (Switzerland)		54,141		3,906,307
Nippon Meat Packers, Inc. (Japan)		2,000		45,609
Nisshin Seifun Group, Inc. (Japan)		3,000		39,874
Unilever NV (United Kingdom)		44,221		1,848,846
Wilmar International Ltd. (Singapore)		415,400		1,011,036
				31,443,105
Gas Utilities — 0.3%
AGL Resources, Inc.		165,800		7,719,648
Snam SpA (Italy)		28,766		136,898
UGI Corp.		64,700		2,228,915
				10,085,461
Health Care Equipment & Supplies — 1.2%
Abbott Laboratories		415,900		20,412,372
C.R. Bard, Inc.		71,100		12,136,770
DENTSPLY International, Inc.		13,100		675,305

SEE NOTES TO FINANCIAL STATEMENTS.

A65

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Equipment & Supplies (continued)
Edwards Lifesciences Corp.*		17,500	$	2,492,525
Hoya Corp. (Japan)		5,900		236,293
Medtronic PLC		69,300		5,135,130
Stryker Corp.		55,200		5,275,464
				46,363,859
Health Care Providers & Services — 2.1%
Aetna, Inc.		174,800		22,280,008
Alfresa Holdings Corp. (Japan)		1,900		29,566
Anthem, Inc.		66,300		10,882,482
Cigna Corp.		32,300		5,232,600
Express Scripts Holding Co.*(a)		127,700		11,357,638
Fresenius SE & Co. KGaA (Germany)		5,348		343,377
Medipal Holdings Corp. (Japan)		34,500		561,922
Miraca Holdings, Inc. (Japan)		800		39,971
Ryman Healthcare Ltd. (New Zealand)		5,231		28,075
Sonic Healthcare Ltd. (Australia)		65,231		1,074,140
Suzuken Co. Ltd. (Japan)		15,480		495,252
UnitedHealth Group, Inc.		254,100		31,000,200
				83,325,231
Hotels, Restaurants & Leisure — 1.1%
Chipotle Mexican Grill, Inc.*		5,700		3,448,443
Cracker Barrel Old Country Store, Inc.(a)		5,500		820,380
Darden Restaurants, Inc.		89,800		6,382,984
DineEquity, Inc.		19,700		1,952,073
Flight Centre Travel Group Ltd. (Australia)(a)		776		20,395
Marriott Vacations Worldwide Corp.		38,700		3,550,725
McDonald’s Corp.		253,300		24,081,231
Merlin Entertainments PLC (United Kingdom), 144A		9,701		65,063
Sodexo SA (France)		4,040		384,600
Tatts Group Ltd. (Australia)		209,086		599,504
Tui AG (Germany)		6,076		98,311
				41,403,709
Household Durables — 0.1%
Barratt Developments PLC (United Kingdom)		98,279		947,927
Helen of Troy Ltd.*		30,600		2,983,194
Panasonic Corp. (Japan)		37,800		517,717
Persimmon PLC (United Kingdom)		22,051		684,149
Sony Corp. (Japan)*		16,300		462,869
Taylor Wimpey PLC (United Kingdom)		43,702		127,447
				5,723,303
Household Products — 1.5%
Colgate-Palmolive Co.		75,900		4,964,619
Henkel AG & Co. KGaA (Germany)		4,488		427,958
Kimberly-Clark Corp.		128,800		13,648,936
Procter & Gamble Co. (The)		470,705		36,827,959
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		46,818		1,190,497
				57,059,969

COMMON STOCKS (continued)	Shares		Value (Note 2)
Independent Power & Renewable Electricity Producers — 0.4%
AES Corp.(a)		838,300	$	11,115,858
Calpine Corp.*(a)		196,600		3,536,834
Electric Power Development Co. Ltd. (Japan)		2,000		70,652
				14,723,344
Industrial Conglomerates — 1.0%
3M Co.		148,200		22,867,260
Carlisle Cos., Inc.		19,300		1,932,316
CK Hutchison Holdings Ltd. (Hong Kong)		26,020		382,545
Danaher Corp.		15,300		1,309,527
General Electric Co.		380,000		10,096,600
Hopewell Holdings Ltd. (Hong Kong)		97,000		355,140
Keppel Corp. Ltd. (Singapore)		20,200		123,122
Siemens AG (Germany)		2,200		222,578
				37,289,088
Insurance — 1.4%
ACE Ltd.		12,100		1,230,328
Aegon NV (Netherlands)		23,100		170,437
Aflac, Inc.		138,300		8,602,260
Ageas (Belgium)		9,435		364,035
AIA Group Ltd. (Hong Kong)		7,400		48,386
Allianz SE (Germany)		12,096		1,886,388
Allstate Corp. (The)		126,500		8,206,055
American Financial Group, Inc.		54,400		3,538,176
AMP Ltd. (Australia)		40,633		188,550
AXA SA (France)		62,231		1,577,674
Direct Line Insurance Group PLC (United Kingdom)		18,877		99,599
Hannover Rueck SE (Germany)		10,202		987,420
Legal & General Group PLC (United Kingdom)		299,900		1,172,621
MetLife, Inc.		136,800		7,659,432
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		2,383		422,493
NN Group NV (Netherlands)		32,650		919,500
Old Republic International Corp.		150,000		2,344,500
Prudential PLC (United Kingdom)		47,549		1,145,902
Sampo OYJ (Finland) (Class A Stock)		1,437		67,722
SCOR SE (France)		2,097		74,153
Swiss Life Holding AG (Switzerland)		2,664		610,005
Swiss Re AG (Switzerland)		13,787		1,220,463
Tokio Marine Holdings, Inc. (Japan)		9,600		399,255
Travelers Cos., Inc. (The)		89,100		8,612,406
Unum Group		108,300		3,871,725
				55,419,485
Internet & Catalog Retail — 0.5%
Amazon.com, Inc.*		3,600		1,562,724
Liberty Interactive Corp. QVC Group (Class A Stock)*		246,600		6,843,150
TripAdvisor, Inc.*(a)		116,300		10,134,382
				18,540,256

SEE NOTES TO FINANCIAL STATEMENTS.

A66

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services — 1.5%
eBay, Inc.*		68,400	$	4,120,416
Equinix, Inc.		11,700		2,971,800
Google, Inc. (Class A Stock)*		31,800		17,173,272
Google, Inc. (Class C Stock)*		62,382		32,470,455
Mixi, Inc. (Japan)		600		29,768
				56,765,711
IT Services — 1.6%
Amadeus IT Holding SA (Spain) (Class A Stock)		13,659		545,271
Atos SE (France)		410		30,637
Automatic Data Processing, Inc.		127,000		10,189,210
Booz Allen Hamilton Holding Corp.		87,700		2,213,548
Broadridge Financial Solutions, Inc.		43,000		2,150,430
Cap Gemini SA (France)		12,887		1,143,292
DST Systems, Inc.		53,100		6,689,538
Fiserv, Inc.*(a)		116,600		9,657,978
International Business Machines Corp.		33,500		5,449,110
MAXIMUS, Inc.		39,100		2,570,043
NTT Data Corp. (Japan)		1,800		78,607
Syntel, Inc.*		16,300		773,924
Total System Services, Inc.		32,900		1,374,233
Visa, Inc. (Class A Stock)(a)		272,800		18,318,520
				61,184,341
Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		2,400		46,379
Brunswick Corp.		97,400		4,953,764
Sega Sammy Holdings, Inc. (Japan)		2,600		33,996
Shimano, Inc. (Japan)		1,100		150,106
				5,184,245
Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.		25,100		968,358
Lonza Group AG (Switzerland)		8,284		1,107,283
QIAGEN NV*		3,279		80,587
Thermo Fisher Scientific, Inc.		124,600		16,168,096
				18,324,324
Machinery — 0.5%
Amada Co. Ltd. (Japan)		3,800		40,109
ANDRITZ AG (Austria)		16,502		913,818
Caterpillar, Inc.		28,700		2,434,334
Crane Co.		18,000		1,057,140
Cummins, Inc.		13,200		1,731,708
FANUC Corp. (Japan)		7,200		1,473,232
Kawasaki Heavy Industries Ltd. (Japan)		20,000		93,224
Lincoln Electric Holdings, Inc.		17,900		1,089,931
Minebea Co. Ltd. (Japan)		63,000		1,040,027
NGK Insulators Ltd. (Japan)		4,000		102,924
NSK Ltd. (Japan)		6,000		92,515
Oshkosh Corp.(a)		15,500		656,890
Parker Hannifin Corp.		6,300		732,879
Schindler Holding AG (Switzerland)		2,505		409,102
SMC Corp. (Japan)		200		60,184
SPX Corp.		12,500		904,875

COMMON STOCKS (continued)		Shares		Value (Note 2)
Machinery (continued)
Sumitomo Heavy Industries Ltd. (Japan)			172,000	$	1,001,788
THK Co. Ltd. (Japan)			1,200		25,896
Trinity Industries, Inc.(a)			196,000		5,180,280
Volvo AB (Sweden)			21,184		263,053
Wabtec Corp.			15,100		1,423,024
Yangzijiang Shipbuilding Holdings Ltd. (China)			26,000		27,308
					20,754,241
	��
Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)			59		103,475
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)			598		1,081,209
Mitsui OSK Lines Ltd. (Japan)			15,000		48,015
Nippon Yusen K.K. (Japan)			23,000		64,033
					1,296,732
Media — 2.1%
Cinemark Holdings, Inc.			77,700		3,121,209
Comcast Corp. (Class A Stock)			505,273		30,387,118
Dentsu, Inc. (Japan)			3,000		155,198
DIRECTV*			92,400		8,573,796
Discovery Communications, Inc. (Class C Stock)*(a)			81,500		2,533,020
ITV PLC (United Kingdom)			52,494		217,189
ProSiebenSat.1 Media AG (Germany)			3,029		149,615
Publicis Groupe SA (France)			14,394		1,066,929
RTL Group SA (Germany)			540		48,816
Sky PLC (United Kingdom)			14,063		229,052
Vivendi SA (France)			15,844		401,751
Walt Disney Co. (The)			287,700		32,838,078
WPP PLC (United Kingdom)			57,804		1,297,471
					81,019,242
Metals & Mining — 0.2%
BHP Billiton Ltd. (Australia)			42,306		862,994
BHP Billiton PLC (Australia)			28,976		569,713
Boliden AB (Sweden)			3,633		66,232
Century Aluminum Co.*(a)			118,700		1,238,041
Fortescue Metals Group Ltd. (Australia)(a)			18,607		27,404
Hitachi Metals Ltd. (Japan)			3,000		46,120
JFE Holdings, Inc. (Japan)			38,700		857,433
Kobe Steel Ltd. (Japan)			551,000		927,009
Mitsubishi Materials Corp. (Japan)			16,000		61,436
Nippon Steel & Sumitomo Metal Corp. (Japan)			105,000		272,250
Norsk Hydro ASA (Norway)			18,575		77,958
Rio Tinto Ltd. (United Kingdom)			6,012		248,697
Rio Tinto PLC (United Kingdom)			18,987		780,987
South32 Ltd. (Australia)*			42,306		58,428
Sumitomo Metal Mining Co. Ltd. (Japan)			7,000		106,463
Voestalpine AG (Austria)			9,095		379,057
					6,580,222

SEE NOTES TO FINANCIAL STATEMENTS.

A67

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		80,183	$	960,506
National Grid PLC (United Kingdom)		118,513		1,525,351
Public Service Enterprise Group, Inc.		361,600		14,203,648
Vectren Corp.		36,000		1,385,280
				18,074,785
Multiline Retail — 0.6%
Dillard’s, Inc. (Class A Stock)		38,100		4,007,739
Harvey Norman Holdings Ltd. (Australia)		7,371		25,595
Isetan Mitsukoshi Holdings Ltd. (Japan)		4,800		85,755
J. Front Retailing Co. Ltd. (Japan)		3,300		62,110
Takashimaya Co. Ltd. (Japan)		94,000		852,054
Target Corp.		224,300		18,309,609
				23,342,862
Oil, Gas & Consumable Fuels — 4.5%
BG Group PLC (United Kingdom)		47,400		789,433
BP PLC (United Kingdom)		388,904		2,581,015
Cabot Oil & Gas Corp.(a)		225,700		7,118,578
Caltex Australia Ltd. (Australia)		1,803		44,260
Chevron Corp.		69,156		6,671,479
Eni SpA (Italy)		32,382		575,158
EQT Corp.		151,700		12,339,278
Exxon Mobil Corp.		640,216		53,265,971
Hess Corp.		106,300		7,109,344
HollyFrontier Corp.		167,300		7,142,037
Marathon Oil Corp.		110,700		2,937,978
Marathon Petroleum Corp.		300,200		15,703,462
Neste OYJ (Finland)		1,749		44,617
OMV AG (Austria)		1,730		47,627
ONEOK, Inc.		100,000		3,948,000
Phillips 66		254,000		20,462,240
Repsol SA (Spain)		22,072		389,034
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		53,426		1,510,566
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		33,454		952,447
Statoil ASA (Norway)		15,692		280,620
Total SA (France)		46,247		2,268,465
Valero Energy Corp.		299,600		18,754,960
Western Refining, Inc.		81,300		3,546,306
Woodside Petroleum Ltd. (Australia)		10,154		267,931
World Fuel Services Corp.		88,400		4,238,780
				172,989,586
Paper & Forest Products — 0.4%
International Paper Co.		268,100		12,758,879
Mondi PLC (South Africa)		47,181		1,015,766
Oji Holdings Corp. (Japan)		11,000		47,804
UPM-Kymmene OYJ (Finland)		57,326		1,014,438
				14,836,887
Personal Products
L’Oreal SA (France)		427		76,399

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals — 3.7%
AbbVie, Inc.		205,000	$	13,773,950
AstraZeneca PLC (United Kingdom)		4,455		281,956
Bayer AG (Germany)		7,248		1,015,013
Bristol-Myers Squibb Co.		297,100		19,769,034
GlaxoSmithKline PLC (United Kingdom)		72,717		1,511,918
Johnson & Johnson		427,498		41,663,955
Merck & Co., Inc.		475,000		27,041,750
Novartis AG (Switzerland)		34,743		3,417,338
Novo Nordisk A/S (Denmark) (Class B Stock)		32,905		1,805,658
Orion OYJ (Finland) (Class B Stock)		9,812		343,699
Otsuka Holdings Co. Ltd. (Japan)		33,300		1,061,045
Pfizer, Inc.		752,497		25,231,224
Roche Holding AG (Switzerland)		9,663		2,709,423
Sanofi (France)		16,462		1,628,588
Shire PLC (Ireland)		15,083		1,211,905
Teva Pharmaceutical Industries Ltd. (Israel)		27,061		1,601,415
				144,067,871
Professional Services
SGS SA (Switzerland)		75		136,770
Real Estate Investment Trusts (REITs) — 1.3%
Annaly Capital Management, Inc.		942,300		8,659,737
British Land Co. PLC (The) (United Kingdom)		13,341		166,176
CapitaCommercial Trust (Singapore)		28,300		32,754
CBL & Associates Properties, Inc.		62,800		1,017,360
Chambers Street Properties		182,500		1,450,875
Chimera Investment Corp.		46,700		640,257
Equity Residential		23,400		1,641,978
Federation Centres Ltd. (Australia)		447,952		1,007,942
Franklin Street Properties Corp.		84,000		950,040
GEO Group, Inc. (The)		27,200		929,152
Goodman Group (Australia)		23,208		112,087
GPT Group (Australia)		23,181		76,420
Healthcare Realty Trust, Inc.		32,900		765,254
Hospitality Properties Trust		199,900		5,761,118
Intu Properties PLC (United Kingdom)		111,892		540,509
Invesco Mortgage Capital, Inc.		227,300		3,254,936
Land Securities Group PLC (United Kingdom)		24,862		470,115
Lexington Realty Trust(a)		176,500		1,496,720
Link REIT (The) (Hong Kong)		188,500		1,103,090
Prologis, Inc.		349,000		12,947,900
Scentre Group (Australia)		74,785		216,032
Segro PLC (United Kingdom)		10,225		65,147
Simon Property Group, Inc.		17,400		3,010,548
Sunstone Hotel Investors, Inc.		209,000		3,137,090
WP Carey, Inc.		15,200		895,888
				50,349,125

SEE NOTES TO FINANCIAL STATEMENTS.

A68

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development — 0.6%
CBRE Group, Inc. (Class A Stock)*		338,800	$	12,535,600
Cheung Kong Property Holdings Ltd. (Hong Kong)*		38,020		315,380
Daiwa House Industry Co. Ltd. (Japan)		8,200		191,043
Henderson Land Development Co. Ltd. (Hong Kong)		114,510		782,784
Hysan Development Co. Ltd. (Hong Kong)		104,000		450,370
Jones Lang LaSalle, Inc.		33,200		5,677,200
Kerry Properties Ltd. (Hong Kong)		241,000		944,674
Lend Lease Group (Australia)		79,067		914,194
New World Development Co. Ltd. (Hong Kong)		139,000		181,624
Sino Land Co. Ltd. (Hong Kong)		42,000		70,103
Swire Properties Ltd. (Hong Kong)		16,200		51,670
Wheelock & Co. Ltd. (Hong Kong)		13,000		66,335
				22,180,977
Road & Rail — 0.6%
Central Japan Railway Co. (Japan)		2,000		360,909
ComfortDelGro Corp. Ltd. (Singapore)		21,000		48,769
Hankyu Hanshin Holdings, Inc. (Japan)		16,000		94,447
MTR Corp. Ltd. (Hong Kong)		20,500		95,378
Nippon Express Co. Ltd. (Japan)		11,000		54,048
Union Pacific Corp.		216,800		20,676,216
West Japan Railway Co. (Japan)		4,500		287,906
				21,617,673
Semiconductors & Semiconductor Equipment — 1.8%
Advantest Corp. (Japan)		2,300		23,914
ARM Holdings PLC (United Kingdom)		58,558		958,230
Avago Technologies Ltd. (Singapore)(a)		65,100		8,653,743
Integrated Device Technology, Inc.*(a)		65,100		1,412,670
Intel Corp.		1,059,500		32,224,693
Skyworks Solutions, Inc.		82,800		8,619,480
Texas Instruments, Inc.		369,000		19,007,190
Tokyo Electron Ltd. (Japan)		2,400		152,537
				71,052,457
Software — 2.2%
Dassault Systemes (France)		1,783		129,436
GungHo Online Entertainment, Inc. (Japan)		5,600		21,793
Manhattan Associates, Inc.*		56,100		3,346,365
Microsoft Corp.		1,188,100		52,454,615
Oracle Corp.		393,200		15,845,960
SAP SE (Germany)		930		65,171
SolarWinds, Inc.*		35,800		1,651,454
Symantec Corp.		366,000		8,509,500
Synopsys, Inc.*		49,700		2,517,305
				84,541,599

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail — 1.8%
ABC-Mart, Inc. (Japan)		400	$	24,481
AutoNation, Inc.*		175,000		11,021,500
Dixons Carphone PLC (United Kingdom)		13,627		96,900
Express, Inc.*		61,200		1,108,332
Fast Retailing Co. Ltd. (Japan)		700		317,430
Gap, Inc. (The)(a)		244,400		9,328,748
GNC Holdings, Inc. (Class A Stock)		24,300		1,080,864
Home Depot, Inc. (The)		138,900		15,435,957
Lowe’s Cos., Inc.		147,700		9,891,469
Ross Stores, Inc.		351,000		17,062,110
Ulta Salon Cosmetics & Fragrance, Inc.*		23,500		3,629,575
Urban Outfitters, Inc.*		21,800		763,000
USS Co. Ltd. (Japan)		4,600		82,961
				69,843,327
Technology Hardware, Storage & Peripherals — 3.2%
Apple, Inc.		794,000		99,587,450
EMC Corp.		91,500		2,414,685
FUJIFILM Holdings Corp. (Japan)		33,500		1,195,549
Hewlett-Packard Co.		665,800		19,980,658
Western Digital Corp.		30,100		2,360,442
				125,538,784
Textiles, Apparel & Luxury Goods — 0.5%
Carter’s, Inc.		58,800		6,250,440
Christian Dior SE (France)		747		146,240
Luxottica Group SpA (Italy)		17,404		1,157,681
LVMH Moet Hennessy Louis Vuitton SE (France)		8,971		1,577,198
Michael Kors Holdings Ltd.*		261,600		11,010,744
Swatch Group AG (The) (Switzerland)		680		51,078
				20,193,381
Tobacco — 0.8%
Altria Group, Inc.		473,100		23,139,321
British American Tobacco PLC (United Kingdom)		9,083		489,048
Imperial Tobacco Group PLC (United Kingdom)		35,070		1,689,039
Japan Tobacco, Inc. (Japan)		29,300		1,041,594
Philip Morris International, Inc.		50,800		4,072,636
Reynolds American, Inc.		16,100		1,202,026
				31,633,664
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		59,328		1,022,499
Brenntag AG (Germany)		2,103		120,674
Bunzl PLC (United Kingdom)		4,566		124,557
ITOCHU Corp. (Japan)		88,100		1,163,556
Mitsubishi Corp. (Japan)		800		17,587
Mitsui & Co. Ltd. (Japan)		23,400		317,915
Sumitomo Corp. (Japan)		15,500		180,411
				2,947,199

SEE NOTES TO FINANCIAL STATEMENTS.

A69

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Transportation Infrastructure
Auckland International Airport Ltd. (New Zealand)		13,161	$	44,048
Groupe Eurotunnel SE (France)		6,431		93,245
				137,293
Water Utilities
Severn Trent PLC (United Kingdom)		3,275		107,014
Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		63,700		1,537,205
NTT DOCOMO, Inc. (Japan)		9,200		176,627
Vodafone Group PLC (United Kingdom)		359,254		1,310,513
				3,024,345
TOTAL COMMON STOCKS (cost $1,889,754,826)				2,390,926,769
EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund (cost $1,242,564)		20,650		1,311,069

COMMON STOCKS (continued)	Shares		Value (Note 2)
PREFERRED STOCKS — 0.1%
Automobiles — 0.1%
Bayerische Motoren Werke AG (Germany) (PRFC)		735	$	62,235
Volkswagen AG (Germany) (PRFC)		5,588		1,296,859
				1,359,094
Banks
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b)		22,000		571,120
Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		2,460		276,052
TOTAL PREFERRED STOCKS (cost $2,181,507)				2,206,266

ASSET-BACKED SECURITIES — 3.6%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.537%	(b)	04/25/19		442		435,911
Collateralized Loan Obligations — 1.6%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.455%	(b)	04/20/25		2,550		2,526,492
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500		492,107
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.986%	(b)	05/15/20		3,900		3,918,006
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.466%	(b)	07/13/25		2,700		2,674,729
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.779%	(b)	04/28/26		1,500		1,497,014
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.875%	(b)	10/15/26		2,500		2,502,813
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		1.822%	(b)	04/18/27		250		248,661
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.815%	(b)	10/15/26		750		749,348
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.874%	(b)	10/17/26		250		250,283
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		1.791%	(b)	04/18/27		1,250		1,250,185
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.475%	(b)	07/15/24		1,200		1,188,987
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.424%	(b)	04/17/25		2,100		2,078,967
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.825%	(b)	04/20/26		2,200		2,197,517
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A		2.075%	(b)	04/20/26		450		446,680
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.785%	(b)	10/18/26		500		498,448
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.745%	(b)	01/20/26		2,300		2,293,093
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.674%	(b)	01/17/26		500		498,536
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.526%	(b)	07/22/20		353		350,483
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.756%	(b)	03/15/20		521		520,055
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.745%	(b)	10/15/26		1,250		1,245,580
HLM (Cayman Islands), Series 2015-15, Class 6A, 144A		1.271%	(b)	05/05/27		250		249,219
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		1,000		1,001,257
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.415%	(b)	04/15/24		1,850		1,825,072
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		1.814%	(b)	04/15/27		500		500,189

SEE NOTES TO FINANCIAL STATEMENTS.

A70

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.864%	(b)	05/15/26		300	$	300,218
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		1.775%	(b)	04/18/26		750		748,502
Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.697%	(b)	07/25/26		3,000		2,983,363
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.755%	(b)	04/15/26		5,300		5,285,278
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.725%	(b)	01/18/27		500		497,675
Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A		2.377%	(b)	07/25/23		250		250,467
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A		1.745%	(b)	04/15/26		500		498,429
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.425%	(b)	07/22/25		1,200		1,186,978
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A		1.586%	(b)	12/15/22		449		445,817
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		1.525%	(b)	02/20/25		250		248,353
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		1.754%	(b)	07/17/26		800		799,967
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		499,568
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.325%	(b)	04/15/25		3,200		3,148,790
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.926%	(b)	08/17/22		500		498,682
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.975%	(b)	10/20/23		1,100		1,097,342
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		1,012		1,001,516
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.896%	(b)	01/22/27		2,250		2,252,357
Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A		1.761%	(b)	04/20/27		250		249,578
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.395%	(b)	07/15/25		2,700		2,668,070
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A		1.885%	(b)	04/20/26		3,000		3,002,203
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.775%	(b)	04/20/26		1,850		1,846,267
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		494,675
								61,007,816
Non-Residential Mortgage-Backed Securities — 0.8%
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%		09/20/19		1,700		1,694,527
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%		07/20/21		6,000		5,963,436
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%		12/20/21		4,700		4,687,940
Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A		2.260%		11/15/25		2,000		2,024,738
Ford Credit Auto Owner Trust, Series 2014-REV2, Class A, 144A		2.310%		04/15/26		3,200		3,235,408
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A		0.686%	(b)	05/15/20		1,800		1,800,749
Hertz Corp., Series 2015-1A, Class A(c)		2.730%		03/25/21		5,300		5,273,500
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		4,500		4,503,420
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		3,495		3,536,461
								32,720,179
Residential Mortgage-Backed Securities — 1.2%
Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A		3.500%	(b)	01/01/30		2,594		2,603,076
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.837%	(b)	03/25/33		227		215,304
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.996%		07/25/35		302		290,225
CSMC, Series 2015-3R, Class 10A1, 144A		2.185%	(b)	10/29/47		4,575		4,570,223
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.942%		07/25/34		328		311,283
GSAMP Trust, Series 2004-HE2, Class A3C		1.347%	(b)	09/25/34		674		657,496
HSBC Home Equity Loan Trust U.S.A., Series 2006-4, Class A4		0.417%	(b)	03/20/36		3,559		3,531,958
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.982%	(b)	06/25/34		582		561,323
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A		3.284%	(b)	09/01/21		4,695		4,719,316
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A		2.184%	(b)	03/01/20		3,918		3,900,254
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A		2.184%	(b)	04/01/20		3,417		3,367,407

SEE NOTES TO FINANCIAL STATEMENTS.

A71

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A		2.184%	(b)	04/01/20		2,921	$	2,909,845
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A		2.184%	(b)	05/01/20		5,150		5,111,790
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.387%	(b)	05/25/33		383		359,254
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1		1.132%	(b)	06/25/34		819		769,466
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.237%	(b)	12/25/33		693		668,839
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.087%	(b)	07/25/32		344		328,871
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.462%	(b)	09/25/32		439		432,691
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.952%	(b)	02/25/34		754		708,094
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%		10/20/30		2,974		2,983,678
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%		02/25/55		2,128		2,122,473
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A		3.250%		02/25/55		4,361		4,342,532
								45,465,398
TOTAL ASSET-BACKED SECURITIES (cost $139,280,097)								139,629,304
BANK LOANS(b) — 0.1%
Automotive
Schaeffler AG (Germany)		4.250%		05/15/20		663		666,226
Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/30/23		673		666,062
Foods
ARAMARK Corp.		3.250%		09/07/19		534		532,452
Healthcare & Pharmaceutical
Grifols Worldwide Operations USA, Inc.		3.281%		02/26/21		247		246,721
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		1,032		1,033,463
								1,280,184
Retailers
Staples, Inc.		3.500%		02/28/22		730		728,581
Technology — 0.1%
First Data Corp.		3.687%		03/26/18		1,134		1,129,976
TransUnion LLC		3.750%		04/09/21		494		490,050
								1,620,026
TOTAL BANK LOANS (cost $5,457,017)								5,493,531
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.6%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		235		239,873
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,685		1,419,853
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.673%	(b)	02/25/35		340		331,782
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		2.732%	(b)	03/25/35		300		276,127
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.553%	(b)	02/25/37		732		711,931
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1		2.137%	(b)	11/25/24		3,893		3,922,166
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1		1.687%	(b)	02/25/25		1,238		1,239,160
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1		1.335%	(b)	05/25/25		5,968		5,935,961
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1		1.087%	(b)	10/25/27		8,864		8,845,764
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.595%	(b)	07/25/35		405		405,591
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		72		72,882
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(b)	02/25/34		342		340,038
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		101		100,882
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $24,030,052)								23,842,010

SEE NOTES TO FINANCIAL STATEMENTS.

A72

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,900	$	3,927,436
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.732%	(b)	04/10/49		5,274		5,572,369
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3		5.756%	(b)	04/10/49		1,500		1,515,281
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.899%	(b)	12/10/49		1,000		1,069,655
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		1,100		1,089,910
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,750		2,834,532
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3		3.356%		07/10/47		2,800		2,834,171
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,007		1,046,824
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		978,845
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		1,700		1,699,174
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2		2.928%		02/10/47		2,700		2,786,114
Commercial Mortgage Trust, Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		3,617		3,621,321
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		4,500		4,532,238
Commercial Mortgage Trust, Series 2014-CCRE20, Class A3		3.326%		11/10/47		5,000		5,031,885
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,800		2,875,292
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		2,300		2,366,104
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A		3.178%		02/10/35		5,300		5,201,961
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.609%	(b)	02/15/39		2,444		2,462,838
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(b)	02/15/39		640		649,827
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(b)	04/25/27		6,500		6,434,675
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		2,515		2,647,400
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500		3,598,952
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		2,000		1,994,122
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(b)	05/25/22		25,183		2,031,640
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(b)	06/25/22		7,123		593,684
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%		02/25/23		5,800		6,076,503
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		2,400		2,538,233
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(b)	08/25/16		5,846		71,435
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(b)	05/25/19		19,477		1,137,163
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(b)	07/25/19		20,573		1,170,438
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4		5.495%	(b)	11/10/45		2,580		2,585,913
GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4		5.449%	(b)	03/10/44		1,886		1,906,708
GS Mortgage Securities Trust, Series 2006-GG6, Class AAB		5.587%	(b)	04/10/38		255		255,480
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		4,000		3,952,968
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,400		1,422,103
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		6,000		5,823,348
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,270		1,270,809
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		686		693,869
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,901		1,957,268
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,700		1,670,218

SEE NOTES TO FINANCIAL STATEMENTS.

A73

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,900	$	3,886,767
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		2,700		2,801,452
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,400		1,372,897
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,510		1,513,319
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.865%	(b)	05/12/39		930		955,672
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.700%	(b)	02/12/39		530		540,027
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		6.059%	(b)	06/12/46		1,658		1,698,454
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,775		1,793,231
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,500		1,492,451
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		5,000		5,045,145
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4		5.845%	(b)	10/15/42		1,622		1,633,170
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31		5.439%		02/12/44		210		210,242
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		1,275		1,273,839
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,700		1,682,420
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,900		3,872,747
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,800		1,790,784
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4		5.897%	(b)	05/15/43		520		528,104
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a)		5.509%		04/15/47		4,500		4,708,107
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		1,316		1,388,411
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $142,441,879)								140,115,945
CORPORATE BONDS — 9.2%
Airlines — 0.2%
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a)		3.375%		05/01/27		3,260		3,219,250
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		69		70,695
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		591		683,853
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		01/12/21		683		726,100
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a)		4.000%		10/29/24		650		661,999
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		315		361,077
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		482		511,389
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		950		1,021,353
								7,255,716
Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.207%		04/15/16		2,090		2,137,518
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,395		1,556,199
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		450		460,086
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250%		11/15/19		715		725,725
Johnson Controls, Inc., Sr. Unsec’d. Notes		5.500%		01/15/16		245		251,154
								5,130,682
Banking — 3.0%
American Express Co., Jr. Sub. Notes		5.200%	(b)	12/31/49		605		600,523
American Express Co., Sr. Unsec’d. Notes		2.650%		12/02/22		2,213		2,128,815
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A		3.875%		09/20/22		645		651,995

SEE NOTES TO FINANCIAL STATEMENTS.

A74

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	12/29/49		2,200	$	2,321,000
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		2,155		2,446,272
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,075		1,169,776
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		780		768,173
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		975		992,136
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%		01/22/24		3,820		3,915,000
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.000%		05/13/21		200		219,553
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		870		891,871
Bank of America Corp., Sub. Notes		5.750%		08/15/16		1,775		1,858,693
Bank of America Corp., Sub. Notes, MTN(a)		4.000%		01/22/25		2,000		1,948,588
Bank of America NA, Sub. Notes		5.300%		03/15/17		930		985,023
Bank of America NA, Sub. Notes(a)		6.000%		10/15/36		410		487,118
Bank of Nova Scotia (Canada), Covered Notes, 144A		1.650%		10/29/15		1,535		1,540,901
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		5.300%		10/30/15		515		522,365
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		6.400%		10/02/17		330		363,193
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		7.250%		02/01/18		1,175		1,331,071
Capital One Bank USA NA, Sub. Notes		3.375%		02/15/23		1,560		1,515,354
Capital One Financial Corp., Sr. Unsec’d. Notes		3.200%		02/05/25		1,830		1,730,975
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,590		2,578,083
Citigroup, Inc., Sr. Unsec’d. Notes		3.875%		10/25/23		1,900		1,938,988
Citigroup, Inc., Sr. Unsec’d. Notes		3.953%		06/15/16		1,010		1,036,939
Citigroup, Inc., Sr. Unsec’d. Notes		4.500%		01/14/22		2,450		2,639,037
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		710		1,019,107
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,895		2,311,326
Compass Bank, Sr. Unsec’d. Notes		1.850%		09/29/17		1,270		1,268,476
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		970		958,344
Discover Bank, Sub. Notes		7.000%		04/15/20		570		663,389
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		893,606
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)	12/31/49		2,215		2,188,198
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.500%		01/23/25		4,100		3,976,155
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.625%		02/07/16		2,000		2,032,398
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,055		2,282,114
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		3,620		4,117,638
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		270		319,557
Goldman Sachs Group, Inc. (The), Sub. Notes		5.625%		01/15/17		1,190		1,260,111
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		104		121,987
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%		01/14/22		1,910		2,106,239
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		1,025		1,142,585
Huntington Bancshares, Inc., Sub. Notes(a)		7.000%		12/15/20		170		202,491
Intesa Sanpaolo SpA (Italy), Gtd. Notes		3.125%		01/15/16		1,395		1,405,634
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)	12/31/49		1,275		1,279,463
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	04/29/49		2,000		2,115,500
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		2,930		3,132,941
JPMorgan Chase & Co., Sub. Notes		3.875%		09/10/24		3,775		3,714,245
JPMorgan Chase & Co., Sub. Notes(a)		5.625%		08/16/43		490		522,566
Lloyds Bank PLC (United Kingdom), Gtd. Notes		6.375%		01/21/21		1,400		1,651,177
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		1,870		2,136,462
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%		02/06/25		3,080		2,910,951
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN		6.400%		08/28/17		20		21,929
Morgan Stanley, Jr. Sub. Notes(a)		5.450%	(b)	12/31/49		840		833,700
Morgan Stanley, Sr. Unsec’d. Notes		3.750%		02/25/23		940		950,472
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,400		1,595,042
Morgan Stanley, Sr. Unsec’d. Notes(a)		6.375%		07/24/42		780		957,679
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.450%		01/09/17		1,345		1,425,297
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.500%		07/28/21		1,290		1,455,235
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%		09/23/19		1,415		1,585,641
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.625%		04/01/18		105		117,816
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		3,825		3,748,041

SEE NOTES TO FINANCIAL STATEMENTS.

A75

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)	07/29/49		800	$	837,600
National City Corp., Sub. Notes		6.875%		05/15/19		3,370		3,908,277
People’s United Bank, Sub. Notes		4.000%		07/15/24		465		460,429
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,455		1,445,950
PNC Bank NA, Sub. Notes		3.800%		07/25/23		270		276,603
PNC Funding Corp., Gtd. Notes		6.700%		06/10/19		440		513,040
Royal Bank of Canada (Canada), Covered Notes		2.200%		09/23/19		2,940		2,961,635
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes		2.550%		09/18/15		455		456,272
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		955		957,636
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		1,210		1,223,168
Synchrony Financial, Sr. Unsec’d. Notes		2.700%		02/03/20		2,700		2,667,100
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A		1.950%		04/02/20		4,140		4,108,039
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		1,120		1,102,401
Westpac Banking Corp. (Australia), Covered Notes, 144A		2.000%		05/21/19		1,130		1,140,465
								117,063,569
Brokerage
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		560		547,125
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d)		6.875%		02/06/12		1,715		186,506
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d)		6.875%		05/02/18		700		80,500
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		820		825,975
								1,640,106
Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $1,423,250; purchased 10/27/14-02/11/15)(c)(e)		5.375%		11/15/24		1,400		1,374,590
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		450		458,438
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $740,000; purchased 06/19/14)(c)(e)		5.250%		06/27/29		740		555,148
Owens Corning, Inc., Gtd. Notes		4.200%		12/15/22		775		785,515
								3,173,691
Cable — 0.2%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		1,000		1,090,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A		5.375%		05/01/25		880		856,900
Comcast Cable Communications Holdings, Inc., Gtd. Notes		9.455%		11/15/22		255		350,415
Comcast Corp., Gtd. Notes		6.400%		05/15/38		530		644,920
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%		03/01/16		920		934,333
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		5.150%		03/15/42		860		809,090
DISH DBS Corp., Gtd. Notes		7.125%		02/01/16		1,000		1,026,250
Time Warner Cable, Inc., Gtd. Notes		5.850%		05/01/17		1,710		1,826,054
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		1,040		1,037,400
								8,575,362
Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%		06/15/22		1,205		1,226,088
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%		12/01/17		1,255		1,374,225
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(c)(e)		6.375%		10/15/17		1,302		1,431,242
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $501,539; purchased 05/30/13)(c)(e)		6.700%		06/01/34		420		511,094
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(c)(e)		7.000%		10/15/37		380		464,493
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		190		182,809
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		280		284,365
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(c)(e)		2.500%		03/15/16		1,890		1,903,213
SPX Corp., Gtd. Notes		6.875%		09/01/17		950		1,023,625

SEE NOTES TO FINANCIAL STATEMENTS.

A76

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
United Rentals North America, Inc., Gtd. Notes		7.375%		05/15/20		1,000	$	1,066,990
United Technologies Corp., Sr. Unsec’d. Notes		4.500%		06/01/42		1,445		1,467,968
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,260		1,364,973
								12,301,085
Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		3.150%		10/01/22		780		756,263
Celanese US Holdings LLC, Gtd. Notes(a)		5.875%		06/15/21		1,500		1,605,000
CF Industries, Inc., Gtd. Notes		5.375%		03/15/44		585		581,696
Dow Chemical Co. (The), Sr. Unsec’d. Notes(a)		4.625%		10/01/44		45		42,004
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		347		522,252
Koppers, Inc., Gtd. Notes		7.875%		12/01/19		1,300		1,313,000
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%		02/26/55		1,185		1,043,562
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%		04/15/19		1,000		1,083,265
Monsanto Co., Sr. Unsec’d. Notes		4.400%		07/15/44		235		210,435
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%		11/15/33		345		367,244
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		1,135		1,209,243
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%		06/01/25		460		573,211
								9,307,175
Consumer
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%		04/15/18		1,700		1,884,236
Electric — 0.4%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%		08/01/16		175		184,864
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%		10/01/36		550		687,884
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%		04/01/36		310		365,199
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%		03/15/33		590		773,265
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%		12/01/39		220		251,542
Duke Energy Carolinas LLC, First Mortgage		6.050%		04/15/38		550		677,536
Duke Energy Carolinas LLC, First Ref. Mortgage		4.000%		09/30/42		570		538,888
Dynegy, Inc., Gtd. Notes, 144A		6.750%		11/01/19		455		473,427
Dynegy, Inc., Gtd. Notes, 144A		7.375%		11/01/22		345		361,387
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		670		787,755
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%		08/01/15		1,295		1,302,252
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,425		1,572,412
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		355		369,553
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		295		359,299
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		145		165,958
Nevada Power Co., Gen. Ref. Mtge.		6.500%		05/15/18		1,260		1,432,566
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		610		669,426
Northeast Utilities, Sr. Unsec’d. Notes		4.500%		11/15/19		615		671,940
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		140		162,915
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN		5.800%		05/01/37		535		644,974
Southern California Edison Co., First Mortgage		3.600%		02/01/45		860		766,588
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		497,789
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		199		213,277
								13,930,696
Energy – Integrated — 0.1%
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		460		377,890
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		550		593,081
Shell International Finance BV (Netherlands), Gtd. Notes		3.250%		05/11/25		3,155		3,124,330
								4,095,301
Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		2,000		800,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		1,195		1,311,398
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		325		375,011
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		290,395

SEE NOTES TO FINANCIAL STATEMENTS.

A77

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Cameron International Corp., Sr. Unsec’d. Notes		4.500%	06/01/21		2,200	$	2,305,419
Devon Financing Corp. LLC, Gtd. Notes		7.875%	09/30/31		1,700		2,191,302
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%	11/01/43		65		64,169
EOG Resources, Inc., Sr. Unsec’d. Notes(a)		3.900%	04/01/35		1,020		965,581
Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a)		4.650%	03/15/25		1,995		2,059,414
Nabors Industries, Inc., Gtd. Notes		4.625%	09/15/21		1,070		1,063,014
Phillips 66, Gtd. Notes		2.950%	05/01/17		490		503,659
Pioneer Natural Resources Co., Sr. Unsec’d. Notes(a)		6.875%	05/01/18		1,500		1,684,233
							13,613,595
Foods — 0.2%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%	11/15/39		1,285		1,885,489
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.200%	01/15/39		250		372,175
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%	06/15/19		985		1,190,735
Constellation Brands, Inc., Gtd. Notes		4.250%	05/01/23		1,400		1,379,000
Kraft Heinz Foods Co., Gtd. Notes, 144A		5.000%	07/15/35		815		824,796
Tyson Foods, Inc., Gtd. Notes		6.600%	04/01/16		735		763,092
							6,415,287
Gaming — 0.1%
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a)		4.375%	11/01/18		1,000		1,026,250
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Gtd. Notes, 144A		5.500%	03/01/25		1,125		1,071,562
							2,097,812
Healthcare & Pharmaceutical — 0.8%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%	05/14/25		1,175		1,161,364
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%	05/14/35		1,910		1,868,559
Actavis Funding SCS, Gtd. Notes		3.800%	03/15/25		1,000		982,322
Actavis Funding SCS, Gtd. Notes		4.550%	03/15/35		1,615		1,535,497
Actavis Funding SCS, Gtd. Notes		4.750%	03/15/45		595		566,472
Actavis, Inc., Gtd. Notes		6.125%	08/15/19		445		502,403
Amgen, Inc., Sr. Unsec’d. Notes		5.150%	11/15/41		1,640		1,684,196
Becton Dickinson and Co., Sr. Unsec’d. Notes(a)		3.734%	12/15/24		1,025		1,021,552
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes		5.125%	08/15/18		1,100		1,127,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%	10/15/20		1,665		1,685,813
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%	02/01/25		1,460		1,462,127
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%	12/01/41		185		211,966
HCA, Inc., Sr. Sec’d. Notes		4.250%	10/15/19		555		568,181
HCA, Inc., Sr. Sec’d. Notes		5.000%	03/15/24		1,100		1,119,250
HCA, Inc., Sr. Sec’d. Notes		5.250%	04/15/25		400		416,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%	02/01/22		190		187,320
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%	12/15/15		580		591,680
Medtronic, Inc., Gtd. Notes, 144A		3.500%	03/15/25		3,205		3,194,061
Medtronic, Inc., Gtd. Notes, 144A		4.375%	03/15/35		1,355		1,344,600
Merck & Co, Inc., Sr. Unsec’d. Notes		2.750%	02/10/25		420		402,753
Merck & Co, Inc., Sr. Unsec’d. Notes		3.700%	02/10/45		1,380		1,232,848
Mylan, Inc., Gtd. Notes		1.800%	06/24/16		425		425,213
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%	08/01/45		445		405,933
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%	05/06/44		1,325		1,365,978
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A(a)		2.875%	09/29/21		5,305		5,348,724
Wyeth LLC, Gtd. Notes		6.450%	02/01/24		60		74,049
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%	02/01/43		120		114,410
							30,600,771
Healthcare Insurance — 0.2%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%	06/15/36		515		632,550
Aetna, Inc., Sr. Unsec’d. Notes		6.750%	12/15/37		1,380		1,736,482
Anthem, Inc., Sr. Unsec’d. Notes		4.625%	05/15/42		390		356,483
Anthem, Inc., Sr. Unsec’d. Notes		4.650%	01/15/43		360		330,035
Cigna Corp., Sr. Unsec’d. Notes		5.875%	03/15/41		650		739,589

SEE NOTES TO FINANCIAL STATEMENTS.

A78

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance (continued)
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		670	$	772,946
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		720		651,448
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		195		212,319
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		420		538,434
								5,970,286
Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		525		585,081
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%		06/15/43		150		151,347
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,980		1,883,465
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		2,425		2,882,949
Aon Corp., Gtd. Notes		3.125%		05/27/16		2,655		2,707,991
Axis Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		1,030		1,165,719
Chubb Corp. (The), Jr. Sub. Notes(a)		6.375%	(b)	03/29/67		1,300		1,363,700
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		480		506,400
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		755		837,315
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		365		425,923
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		850		1,030,450
Lincoln National Corp., Jr. Sub. Notes(a)		6.050%	(b)	04/20/67		260		235,300
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		1,272		1,498,920
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		705		884,255
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		605		741,758
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		200		196,642
MetLife, Inc., Sr. Unsec’d. Notes		5.700%		06/15/35		835		971,597
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		400		493,546
New York Life Global Funding, Sec’d. Notes, 144A		1.950%		02/11/20		3,030		2,985,050
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		660		866,143
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)		5.100%	(b)	10/16/44		1,925		2,014,031
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		370		442,440
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		680		773,996
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		910		1,358,954
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		130		125,154
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		735		766,238
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		710		626,803
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,450		1,815,622
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		350		393,840
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		460		518,687
								31,249,316
Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		1,000		1,083,750
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		580		594,718
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		980		966,259
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes		6.750%		05/15/18		2,800		3,132,699
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		490		491,261
								6,268,687
Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		515		595,492
21st Century Fox America, Inc., Gtd. Notes		6.150%		02/15/41		1,175		1,364,475
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		90		112,567
CBS Corp., Gtd. Notes		4.850%		07/01/42		155		142,787
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		505		667,118
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		1,300		1,374,750
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		210		238,569
Time Warner, Inc., Gtd. Notes		6.250%		03/29/41		1,465		1,676,383
Time Warner, Inc., Gtd. Notes		7.625%		04/15/31		90		117,030
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42		50		41,805
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43		200		179,027
Viacom, Inc., Sr. Unsec’d. Notes		5.850%		09/01/43		425		423,020
								6,933,023

SEE NOTES TO FINANCIAL STATEMENTS.

A79

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%	09/30/43		920	$	954,991
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.050%	10/23/15		1,110		1,112,843
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.700%	10/25/17		1,220		1,232,650
Newmont Mining Corp., Gtd. Notes		6.250%	10/01/39		35		34,297
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		5.875%	04/23/45		530		504,136
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes		7.500%	07/27/35		425		475,975
							4,314,892
Non-Captive Finance — 0.2%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%	05/15/19		775		766,281
General Electric Capital Corp., Gtd. Notes, MTN		5.875%	01/14/38		1,040		1,243,871
General Electric Capital Corp., Gtd. Notes, MTN		6.000%	08/07/19		920		1,051,642
General Electric Capital Corp., Gtd. Notes, MTN		6.875%	01/10/39		2,270		3,047,870
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%	05/15/16		375		384,375
Navient LLC, Sr. Unsec’d. Notes, MTN		8.450%	06/15/18		240		266,712
							6,760,751
Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%	01/15/23		1,100		1,038,818
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(c)(e)		5.400%	11/01/20		290		323,721
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41		1,595		1,719,613
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18		510		595,478
Rock-Tenn Co., Gtd. Notes		4.900%	03/01/22		800		861,424
							3,500,236
Pipelines & Other — 0.2%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A(a)		4.750%	09/30/21		500		494,052
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%	03/15/20		1,575		1,619,076
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%	06/01/21		675		692,782
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.900%	03/15/35		250		225,577
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		5.150%	03/15/45		620		547,804
EnLink Midstream Partners LP, Sr. Unsec’d. Notes		4.150%	06/01/25		820		798,393
Enterprise Products Operating LLC, Gtd. Notes		3.750%	02/15/25		1,345		1,318,197
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%	02/15/18		510		557,313
MPLX LP, Sr. Unsec’d. Notes		4.000%	02/15/25		1,430		1,395,210
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20		350		394,143
ONEOK Partners LP, Gtd. Notes		6.650%	10/01/36		145		151,690
							8,194,237
Railroads
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		670		847,882
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		715		850,731
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		100		115,126
							1,813,739
Real Estate Investment Trusts (REITs) — 0.1%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		765		880,570
ProLogis LP, Gtd. Notes		6.875%	03/15/20		72		83,172
Select Income REIT, Sr. Unsec’d. Notes		2.850%	02/01/18		715		724,652
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		295		301,945
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		230		233,451
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		3,080		3,460,654
							5,684,444
Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes(a)		5.300%	12/05/43		225		245,179
Home Depot, Inc. (The), Sr. Unsec’d. Notes(a)		4.400%	03/15/45		755		753,912

SEE NOTES TO FINANCIAL STATEMENTS.

A80

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers (continued)
L Brands, Inc., Gtd. Notes		5.625%	02/15/22		1,450	$	1,526,125
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		385		484,222
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%	01/15/22		360		373,280
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		345		352,174
							3,734,892
Technology — 0.2%
Apple, Inc., Sr. Unsec’d. Notes(a)		3.450%	02/09/45		890		754,296
Microsoft Corp., Sr. Unsec’d. Notes		2.375%	02/12/22		3,085		3,029,772
Microsoft Corp., Sr. Unsec’d. Notes(a)		2.700%	02/12/25		1,380		1,329,823
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		920		907,252
Seagate HDD Cayman, Gtd. Notes		3.750%	11/15/18		605		630,733
							6,651,876
Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		480		555,806
AT&T Corp., Gtd. Notes		8.000%	11/15/31		7		9,498
AT&T, Inc., Sr. Unsec’d. Notes		3.400%	05/15/25		3,460		3,299,830
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	05/15/35		430		395,293
AT&T, Inc., Sr. Unsec’d. Notes		4.750%	05/15/46		875		796,227
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44		1,000		931,499
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		815		802,381
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		400		593,669
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(c)(e)		7.082%	06/01/16		325		337,977
Embarq Corp., Sr. Unsec’d. Notes (original cost $479,966; purchased 05/12/06)(c)(e)		7.995%	06/01/36		480		532,176
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		1,075		1,104,563
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,270		1,235,277
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.862%	08/21/46		1,256		1,175,510
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54		3,127		2,869,295
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.350%	04/01/19		3,165		3,616,782
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.522%	09/15/48		1,355		1,190,391
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		4.672%	03/15/55		2,056		1,788,625
							21,234,799
Tobacco — 0.1%
Altria Group, Inc., Gtd. Notes(a)		4.000%	01/31/24		1,500		1,523,216
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		46		74,071
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		254		418,269
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,050		2,040,584
Lorillard Tobacco Co., Gtd. Notes		3.500%	08/04/16		465		475,433
RJ Reynolds Tobacco Co., Gtd. Notes		8.125%	06/23/19		325		385,020
							4,916,593
TOTAL CORPORATE BONDS (cost $345,933,655)							355,351,673
FOREIGN AGENCIES — 0.6%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%	07/24/24		800		805,553
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		645		659,513
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%	06/29/20		400		448,335
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%	04/23/19		930		1,032,300
KFW (Germany), Gov’t. Gtd. Notes, GMTN		2.750%	10/01/20		3,525		3,678,754
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		3,158		3,148,412
Pemex Project Funding Master Trust (Mexico), Gtd. Notes		6.625%	06/15/35		1,624		1,733,620
Pemex Project Funding Master Trust (Mexico), Sr. Unsec’d. Notes		8.625%	12/01/23		350		430,150
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,665		1,645,303
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%	01/30/23		970		920,239
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/18/24		510		522,750
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%	01/21/21		2,730		2,960,685

SEE NOTES TO FINANCIAL STATEMENTS.

A81

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

FOREIGN AGENCIES (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%	05/15/17		1,030	$	1,040,300
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%	04/10/17		1,620		1,620,923
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20		1,250		1,231,175
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%	05/07/19		665		671,716
TOTAL FOREIGN AGENCIES (cost $22,596,947)							22,549,728
MUNICIPAL BONDS — 0.4%
California — 0.1%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,325		1,714,312
State of California, GO, BABs		7.300%	10/01/39		1,270		1,764,093
State of California, GO, BABs		7.500%	04/01/34		475		657,889
State of California, GO, BABs		7.550%	04/01/39		245		354,253
State of California, GO, BABs		7.625%	03/01/40		215		310,327
							4,800,874
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		680		847,334
Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,030		1,260,370
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,070		1,485,920
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,130		1,355,830
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		455		502,625
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		300		334,308
							836,933
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		445		543,354
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		550		621,874
Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		1,000		1,237,520
Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		335		381,846
TOTAL MUNICIPAL BONDS (cost $10,676,024)							13,371,855
SOVEREIGN BONDS 0.4%
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a)		4.250%	01/07/25		3,275		3,162,012
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%	02/26/24		1,475		1,467,625
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%	03/25/19		580		598,734
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		5.875%	03/13/20		1,135		1,262,688
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%	01/15/24		950		1,049,750
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		6.875%	01/17/18		1,120		1,253,538
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		3.625%	03/15/22		700		708,400
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%	03/08/44		1,006		955,700
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%	03/16/25		600		591,000
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%	09/22/24		515		517,575

SEE NOTES TO FINANCIAL STATEMENTS.

A82

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		620	$	683,240
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%		10/23/22		1,620		1,586,785
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS		6.125%		01/22/44		400		448,800
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		190		200,925
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A		4.125%		02/18/19		200		208,000
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,710		1,951,903
TOTAL SOVEREIGN BONDS (cost $16,612,380)								16,646,675
U.S. GOVERNMENT AGENCY OBLIGATIONS 9.1%
Federal Home Loan Bank		0.375%		08/28/15		460		460,197
Federal Home Loan Bank(g)(h)		5.500%		07/15/36		1,080		1,397,237
Federal Home Loan Mortgage Corp.(h)		0.750%		01/12/18		685		681,589
Federal Home Loan Mortgage Corp.		2.236%	(b)	12/01/35		292		310,573
Federal Home Loan Mortgage Corp.		2.292%	(b)	06/01/36		441		469,133
Federal Home Loan Mortgage Corp.(a)(g)		2.375%		01/13/22		6,020		6,095,069
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		978		990,718
Federal Home Loan Mortgage Corp.(i)		3.000%		TBA		9,000		8,946,211
Federal Home Loan Mortgage Corp.		3.000%		10/01/28-01/01/43		4,855		4,969,527
Federal Home Loan Mortgage Corp.(i)		3.500%		TBA		9,500		9,747,705
Federal Home Loan Mortgage Corp.		3.500%		12/01/25-06/01/42		3,439		3,618,500
Federal Home Loan Mortgage Corp.(i)		4.000%		TBA		4,000		4,230,078
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		4,970		5,284,171
Federal Home Loan Mortgage Corp.		4.500%		02/01/19-10/01/41		13,359		14,448,165
Federal Home Loan Mortgage Corp.		5.000%		07/01/18-06/01/39		3,860		4,214,655
Federal Home Loan Mortgage Corp.		5.500%		12/01/33-07/01/38		3,970		4,445,023
Federal Home Loan Mortgage Corp.		6.000%		03/01/32-08/01/39		1,952		2,217,159
Federal Home Loan Mortgage Corp.		7.000%		01/01/31-10/01/32		275		318,917
Federal National Mortgage Assoc.(a)(g)		1.500%		06/22/20		6,650		6,571,138
Federal National Mortgage Assoc.		1.625%		01/21/20		225		224,688
Federal National Mortgage Assoc.		1.875%		02/19/19		230		234,335
Federal National Mortgage Assoc.		1.959%	(b)	07/01/33		345		363,739
Federal National Mortgage Assoc.		2.059%	(b)	06/01/37		138		139,095
Federal National Mortgage Assoc.(i)		2.500%		TBA		10,750		10,880,224
Federal National Mortgage Assoc.		2.500%		01/01/28-10/01/43		3,922		3,907,778
Federal National Mortgage Assoc.(i)		3.000%		TBA		35,000		34,869,433
Federal National Mortgage Assoc.		3.000%		02/01/27-12/01/42		6,465		6,634,917
Federal National Mortgage Assoc.(i)		3.500%		TBA		500		527,320
Federal National Mortgage Assoc.(i)		3.500%		TBA		2,000		2,061,094
Federal National Mortgage Assoc.(i)		3.500%		TBA		9,500		9,764,961
Federal National Mortgage Assoc.		3.500%		07/01/27-03/01/43		38,393		39,771,045
Federal National Mortgage Assoc.(i)		4.000%		TBA		20,500		21,671,301
Federal National Mortgage Assoc.(i)		4.000%		TBA		11,500		12,184,025
Federal National Mortgage Assoc.		4.000%		09/01/44		7,508		7,958,642
Federal National Mortgage Assoc.		4.500%		11/01/18-05/01/44		10,832		11,752,679
Federal National Mortgage Assoc.(i)		5.000%		TBA		4,000		4,418,750
Federal National Mortgage Assoc.		5.000%		10/01/18-02/01/36		3,965		4,383,466
Federal National Mortgage Assoc.		5.500%		03/01/16-08/01/37		5,741		6,451,260
Federal National Mortgage Assoc.		6.000%		09/01/17-05/01/38		5,089		5,795,999
Federal National Mortgage Assoc.		6.500%		07/01/17-09/01/37		1,883		2,183,743
Federal National Mortgage Assoc.		7.000%		02/01/32-07/01/32		201		234,340
Federal National Mortgage Assoc.		7.500%		05/01/32		41		43,476
Financing Corp., Strips Principal, Series A-P		1.282%	(f)	10/06/17		1,570		1,532,201
Financing Corp., Strips Principal, Series B-P		1.282%	(f)	10/06/17		2,140		2,095,991
Government National Mortgage Assoc.(i)		3.000%		TBA		2,500		2,523,438
Government National Mortgage Assoc.(i)		3.000%		TBA		4,500		4,542,539

SEE NOTES TO FINANCIAL STATEMENTS.

A83

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.(i)		3.500%		TBA		26,000	$	26,984,144
Government National Mortgage Assoc.		3.500%		05/20/43-04/20/45		3,886		4,051,792
Government National Mortgage Assoc.		4.000%		06/15/40-04/20/45		11,057		11,738,203
Government National Mortgage Assoc.(i)		4.500%		TBA		2,000		2,171,562
Government National Mortgage Assoc.		4.500%		04/15/40-12/20/44		12,483		13,548,014
Government National Mortgage Assoc.		5.500%		11/15/32-02/15/36		2,457		2,810,923
Government National Mortgage Assoc.		6.000%		02/15/33-10/15/34		1,186		1,367,608
Government National Mortgage Assoc.		6.500%		10/15/23-07/15/35		1,396		1,614,740
Government National Mortgage Assoc.		8.000%		01/15/24-04/15/25		39		44,176
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		1,378		1,422,789
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		5,450		5,477,250
Residual Funding Corp. Principal Strip, Bonds		1.825%	(f)	10/15/19		1,535		1,416,827
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.847%		05/29/20		5,045		5,048,975
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $349,423,574)								354,263,247
U.S. TREASURY OBLIGATIONS — 2.4%
U.S. Treasury Bonds(a)		2.500%		02/15/45		1,285		1,130,903
U.S. Treasury Bonds		2.750%		08/15/42-11/15/42		1,690		1,572,247
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/20		8,077		8,142,025
U.S. Treasury Inflation Indexed Bonds, TIPS		1.375%		01/15/20		6,083		6,503,016
U.S. Treasury Notes		1.000%		09/30/19		5,245		5,147,065
U.S. Treasury Notes		1.375%		12/31/18		1,830		1,840,436
U.S. Treasury Notes(h)		1.500%		01/31/19		10,845		10,944,134
U.S. Treasury Notes		1.500%		05/31/19		6,950		6,988,552
U.S. Treasury Notes		1.625%		04/30/19-06/30/20		32,513		32,668,053
U.S. Treasury Notes		2.125%		09/30/21		2,755		2,782,550
U.S. Treasury Notes		2.250%		03/31/21		110		112,372
U.S. Treasury Notes		3.125%		05/15/19-05/15/21		1,660		1,771,726
U.S. Treasury Strips Coupon		2.184%	(f)	02/15/28		5,465		3,865,886
U.S. Treasury Strips Coupon		2.241%	(f)	05/15/28		2,735		1,918,676
U.S. Treasury Strips Coupon		2.280%	(f)	02/15/29		2,735		1,861,756
U.S. Treasury Strips Coupon		2.384%	(f)	05/15/29		5,640		3,801,518
U.S. Treasury Strips Principal		2.351%	(f)	05/15/43		3,320		1,334,434
U.S. Treasury Strips Principal		3.563%	(f)	05/15/44		5,485		2,147,081
TOTAL U.S. TREASURY OBLIGATIONS (cost $95,123,143)								94,532,430
TOTAL LONG-TERM INVESTMENTS (cost $3,044,753,665)								3,560,240,502
SHORT-TERM INVESTMENTS — 14.6%					Shares
AFFILIATED MUTUAL FUNDS — 14.3%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $134,179,464) (Note 4)(j)						13,648,612		127,478,033
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $424,089,504; includes $106,610,240 of cash collateral for securities on loan) (Note 4)(j)(k)						424,089,504		424,089,504
TOTAL AFFILIATED MUTUAL FUNDS (cost $558,268,968)								551,567,537
OPTIONS PURCHASED*					Notional Amount (000)#
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00						37,700		647,969
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00						18,900		41,344
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00						18,800		14,687
TOTAL OPTIONS PURCHASED (cost $652,082)								704,000

SEE NOTES TO FINANCIAL STATEMENTS.

A84

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

U.S. TREASURY OBLIGATION — 0.3%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Treasury Bill (cost $10,247,584)(h)		0.110%	(l)	09/17/15		10,250	$	10,250,000
TOTAL SHORT-TERM INVESTMENTS (cost $569,168,634)								562,521,537
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.6% (cost $3,613,922,299)								4,122,762,039
OPTIONS WRITTEN*					Notional Amount (000)#
Call Options
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00						37,800		(242,157	)
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00						37,600		(141,000	)
TOTAL OPTIONS WRITTEN (premiums received $334,574)								(383,157	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.6% (cost $3,613,587,725)								4,122,378,882
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.6)%								(256,502,976	)
NET ASSETS — 100.0%							$	3,865,875,906

See the Glossary for abbreviations used in the Portfolio descriptions.

# Principal or notional 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 $103,974,613; cash collateral of $106,610,240 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(c) Indicates a security or securities that have been deemed illiquid.

(d) Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity.

(e) Indicates a restricted security; the aggregate original cost of the restricted securities is $7,364,067. The aggregate value of $7,433,654 is approximately 0.2% of net assets.

(f) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

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

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

(i) All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $151,250,000 is approximately 3.91% of net assets.

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

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

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

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

Futures contracts outstanding at June 30, 2015:

Number of Contracts		Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
	Long Positions:
	97	2 Year U.S. Treasury Notes		Sep. 2015	$	21,244,653	$	21,236,938	$	(7,715	)
	666	5 Year U.S. Treasury Notes		Sep. 2015		79,286,592		79,425,703		139,111
	330	10 Year U.S. Treasury Notes		Sep. 2015		41,451,438		41,636,719		185,281
	109	DAX Index		Sep. 2015		33,351,489		33,422,247		70,758

SEE NOTES TO FINANCIAL STATEMENTS.

A85

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Futures contracts outstanding at June 30, 2015 (continued):

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
869	DJ Euro Stoxx 50 Index		Sep. 2015	$	33,267,755	$	33,288,188	$	20,433
278	IBEX 35 Index		Jul. 2015		33,233,147		33,394,526		161,379
20	MSCI EAFE Index Mini		Sep. 2015		1,883,147		1,834,000		(49,147	)
257	U.S. Ultra Bonds		Sep. 2015		40,668,214		39,594,063		(1,074,151	)
									(554,051	)
Short Position:
150	U.S. Long Bonds		Sep. 2015		23,001,715		22,626,563		375,152
								$	(178,899	)

(1) U.S. Treasury Obligation with a market value of $10,250,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency securities and a U.S Treasury Obligation with a combined market value of $2,537,005 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

Interest rate swap agreements outstanding at June 30, 2015:

Notional Amount (000)		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
	Over-the-counter swap agreements:
	3,158		05/17/18		0.989%	3 Month LIBOR(1)	$	16,715	$	—	$	16,715	Credit Suisse First Boston Corp.

Notional Amount (000)		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation
	Exchange-traded swap agreements:
	26,370		12/31/21		1.831%	3 Month LIBOR(1)	$	76,518		$	354,133		$	277,615
	22,285		12/31/21		1.950%	3 Month LIBOR(1)		89,948			135,173			45,225
	50,090		05/31/22		2.200%	3 Month LIBOR(1)		(70,213	)		(55,484	)		14,729
							$	96,253		$	433,822		$	337,569

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

Credit default swap agreements outstanding at June 30, 2015:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V5		12/20/16		5.000%		1,380	$	76,571	$	57,883	$	18,688	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V5		12/20/16		5.000%		3,680		204,189		158,956		45,233	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		5,060		280,760		221,727		59,033	Deutsche Bank AG
							$	561,520	$	438,566	$	122,954

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		51,500	$	(969,274	)	$	(734,773	)	$	234,501

U.S. Government Agency Obligations with a combined market value of $3,994,958 have been segregated with Citigroup Global Markets to cover requirements for open interest rate and credit default exchange-traded swap contracts at June 30, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

A86

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(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 Series 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) 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) The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents 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.

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—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	2,214,439,295		$	176,487,474	$	—
Exchange Traded Fund		1,311,069			—		—
Preferred Stocks		571,120			1,635,146		—
Asset-Backed Securities
Collateralized Debt Obligation		—			435,911		—
Collateralized Loan Obligations		—			61,007,816		—
Non-Residential Mortgage-Backed Securities		—			22,943,259		9,776,920
Residential Mortgage-Backed Securities		—			45,465,398		—
Bank Loans		—			5,493,531		—
Collateralized Mortgage Obligations		—			23,842,010		—
Commercial Mortgage-Backed Securities		—			140,115,945		—
Corporate Bonds		—			355,280,978		70,695
Foreign Agencies		—			22,549,728		—
Municipal Bonds		—			13,371,855		—
Sovereign Bonds		—			16,646,675		—
U.S. Government Agency Obligations		—			354,263,247		—
U.S. Treasury Obligations		—			104,782,430		—
Affiliated Mutual Funds		551,567,537			—		—
Options Purchased		704,000			—		—
Options Written		(383,157	)		—		—
Other Financial Instruments*
Futures Contracts		(178,899	)		—		—
Over-the-counter interest rate swap		—			16,715		—
Exchange-traded interest rate swaps		—			337,569		—
Over-the-counter credit default swaps		—			561,520		—
Exchange-traded credit default swap		—			234,501		—
Total	$	2,768,030,965		$	1,345,471,708	$	9,847,615

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

SEE NOTES TO FINANCIAL STATEMENTS.

A87

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:

Affiliated Mutual Funds (including 2.8% of collateral for securities on loan)		14.3	%
U.S. Government Agency Obligations		9.1
Oil, Gas & Consumable Fuels		4.5
Banks		4.0
Pharmaceuticals		3.7
Commercial Mortgage-Backed Securities		3.6
Technology Hardware, Storage & Peripherals		3.2
Banking		3.0
U.S. Treasury Obligations		2.7
Biotechnology		2.3
Insurance		2.2
Software		2.2
Health Care Providers & Services		2.1
Media		2.1
Aerospace & Defense		1.9
Semiconductors & Semiconductor Equipment		1.8
Specialty Retail		1.8
Chemicals		1.7
Beverages		1.7
Capital Markets		1.6
IT Services		1.6
Collateralized Loan Obligations	��	1.6
Household Products		1.5
Internet Software & Services		1.5
Real Estate Investment Trusts (REITs)		1.4
Diversified Telecommunication Services		1.4
Food & Staples Retailing		1.3
Health Care Equipment & Supplies		1.2
Residential Mortgage-Backed Securities		1.2
Hotels, Restaurants & Leisure		1.1
Diversified Financial Services		1.0
Industrial Conglomerates		1.0
Communications Equipment		1.0
Tobacco		0.9
Non-Residential Mortgage-Backed Securities		0.8
Healthcare & Pharmaceutical		0.8
Air Freight & Logistics		0.8
Food Products		0.8
Energy Equipment & Services		0.8
Electric Utilities		0.7
Foreign Agencies		0.6
Collateralized Mortgage Obligations		0.6
Multiline Retail		0.6
Airlines		0.6
Real Estate Management & Development		0.6
Road & Rail		0.6
Telecommunications		0.6
Machinery		0.5

Textiles, Apparel & Luxury Goods	0.5	%
Internet & Catalog Retail	0.5
Life Sciences Tools & Services	0.5
Multi-Utilities	0.5
Sovereign Bonds	0.4
Paper & Forest Products	0.4
Independent Power & Renewable Electricity Producers	0.4
Electric	0.4
Energy – Other	0.4
Municipal Bonds	0.4
Automobiles	0.4
Capital Goods	0.3
Auto Components	0.3
Electrical Equipment	0.3
Electronic Equipment, Instruments & Components	0.3
Gas Utilities	0.3
Technology	0.3
Cable	0.2
Consumer Finance	0.2
Building Products	0.2
Pipelines & Other	0.2
Foods	0.2
Media & Entertainment	0.2
Non-Captive Finance	0.2
Metals & Mining	0.2
Lodging	0.2
Healthcare Insurance	0.2
Automotive	0.1
Household Durables	0.1
Leisure Products	0.1
Retailers	0.1
Metals	0.1
Energy – Integrated	0.1
Construction Materials	0.1
Paper	0.1
Containers & Packaging	0.1
Building Materials & Construction	0.1
Wireless Telecommunication Services	0.1
Trading Companies & Distributors	0.1
Gaming	0.1
Construction & Engineering	0.1
Options Purchased	—	*
	106.6
Liabilities in excess of other assets	(6.6	)
	100.0	%

* Less than 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A88

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

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

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for 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	$	438,566		—	$	—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		122,954		—		—
Credit contracts	Due from/to broker — variation margin swaps		234,501	*	—		—
Equity contacts	Due from/to broker —variation margin futures		252,570	*	Due from/to broker —variation margin futures		49,147	*
Interest rate contracts	Due from/to broker —variation margin futures		699,544	*	Due from/to broker —variation margin futures		1,081,866	*
Interest rate contracts	Unaffiliated investments		704,000		Options written outstanding, at value		383,157
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		16,715		—		—
Interest rate contracts	Due from/to broker —variation margin swaps		337,569	*	—		—
Total		$	2,806,419			$	1,514,170

* Includes cumulative appreciation/depreciation as reported in schedule of open futures and exchange-traded swap 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 six months ended June 30, 2015 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*			Options Purchased*			Options Written		Futures			Swaps			Total
Credit contracts	$	—		$	—		$	—	$	—		$	(514,091	)	$	(514,091	)
Equity		(745	)		—			—		5,042,948			—			5,042,203
Interest rate contracts		—			(1,323,064	)		364,167		(1,543,705	)		(19,947	)		(2,522,549	)
	$	(745	)	$	(1,323,064	)	$	364,167	$	3,499,243		$	(534,038	)	$	2,005,563

* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased**		Options Written			Futures			Swaps		Total
Credit contracts	$	—	$	—		$	—		$	356,157	$	356,157
Equity contracts		—		—			(3,149,471	)		—		(3,149,471	)
Interest rate contracts		82,631		(81,620	)		(971,862	)		395,926		(574,925	)
	$	82,631	$	(81,620	)	$	(4,121,333	)	$	752,083	$	(3,368,239	)

** Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A89

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Long Position(3)	Futures Short Position(3)
$341,388	$116,867	$255,975,686	$13,093,134

Interest Rate Swaps(2)	Credit Default Swaps as Buyer(2)	Credit Default Swaps as Writer(2)
$100,123	$56,803	$10,267

⁽¹⁾  Cost.

⁽²⁾  Notional Amount in USD (000).

⁽³⁾  Value at Trade Date.

Offsetting of over-the-counter (OTC) derivative assets and liabilities:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	93,286	$	—	$	(469,000	)	$	—
Deutsche Bank AG		484,949		—		(610,836	)		—
	$	578,235

Counterparty	Gross amounts of recognized liabilities(2)		Gross amounts available for offset		Collateral Pledged(3)		Net Amount
Credit Suisse First Boston Corp.	$	—	$	—	$	—	$	—
Deutsche Bank AG		—		—		—		—
	$	—

(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

(3) Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A90

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES (Unaudited)

as of June 30, 2015

ASSETS
Investments at value, including securities on loan of $103,974,613:
Unaffiliated investments (cost $3,055,653,331)	$	3,571,194,502
Affiliated investments (cost $558,268,968)		551,567,537
Foreign currency, at value (cost $6,926,960)		6,924,015
Receivable for investments sold		68,482,883
Dividends and interest receivable		10,829,462
Tax reclaim receivable		458,515
Premium paid for swap agreements		438,566
Unrealized appreciation on over-the-counter swap agreements		139,669
Due from broker—variation margin swaps		16,838
Receivable for Series shares sold		976
Prepaid expenses		4,442
Total Assets		4,210,057,405
LIABILITIES
Payable for investments purchased		228,700,128
Payable to broker for collateral for securities on loan		106,610,240
Due to broker—variation margin futures		5,120,982
Management fee payable		1,932,786
Payable for Series shares repurchased		694,792
Payable to custodian		430,404
Options written outstanding, at value (premiums received $334,574)		383,157
Accrued expenses and other liabilities		308,084
Affiliated transfer agent fee payable		926
Total Liabilities		344,181,499
NET ASSETS	$	3,865,875,906
Net assets were comprised of:
Paid-in capital	$	2,338,863,532
Retained earnings		1,527,012,374
Net assets, June 30, 2015	$	3,865,875,906
Net asset value and redemption price per share $3,865,875,906 / 161,695,081 outstanding shares of beneficial interest	$	23.91

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2015

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $317,006)	$	30,214,877
Interest income		15,899,581
Affiliated dividend income		976,349
Affiliated income from securities lending, net		106,369
Total income		47,197,176
EXPENSES
Management fee		11,739,630
Custodian and accounting fees		285,000
Shareholders’ reports		111,000
Insurance expenses		26,000
Trustees’ fees		19,000
Audit fee		19,000
Legal fees and expenses		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		29,437
Total expenses		12,244,067
NET INVESTMENT INCOME		34,953,109
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		140,787,405
Futures transactions		3,499,243
Options written transactions		364,167
Swap agreement transactions		(534,038	)
Foreign currency transactions		(146,917	)
		143,969,860
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $577)		(141,701,520	)
Futures		(4,121,333	)
Securities Sold Short		4,160
Options written		(81,620	)
Swap agreements		752,083
Foreign currencies		24,723
		(145,123,507	)
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(1,153,647	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	33,799,462

STATEMENT OF CHANGES IN NET ASSETS

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	34,953,109		$	63,798,028
Net realized gain on investment and foreign currency transactions		143,969,860			396,359,030
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(145,123,507	)		(57,434,131	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		33,799,462			402,722,927
SERIES SHARE TRANSACTIONS
Series shares sold [203,374 and 562,392 shares, respectively]		4,887,181			12,588,751
Series shares repurchased [4,845,437 and 8,998,418 shares, respectively]		(116,622,347	)		(202,125,849	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(111,735,166	)		(189,537,098	)
TOTAL INCREASE (DECREASE)		(77,935,704	)		213,185,829
NET ASSETS:
Beginning of period		3,943,811,610			3,730,625,781
End of period	$	3,865,875,906		$	3,943,811,610

SEE NOTES TO FINANCIAL STATEMENTS.

A91

	GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

LONG-TERM INVESTMENTS — 96.6%			Value (Note 2)
COMMON STOCKS — 96.6%	Shares
Australia — 1.4%
AGL Energy Ltd.		47,200	$	565,405
Arrium Ltd.		894,400		93,336
Ausdrill Ltd.		123,200		37,038
Bendigo & Adelaide Bank Ltd.		67,200		635,422
Bradken Ltd.		98,900		109,378
Challenger Ltd.		150,800		781,687
Downer EDI Ltd.		182,200		670,632
Fortescue Metals Group Ltd.(a)		188,800		278,056
Independence Group NL		114,300		367,727
Lend Lease Group		114,600		1,325,037
Macquarie Group Ltd.		50,913		3,189,980
Metcash Ltd.(a)		276,300		235,095
Mineral Resources Ltd.		49,900		253,682
National Australia Bank Ltd.		33,588		862,678
Pacific Brands Ltd.*		460,600		113,476
Primary Health Care Ltd.		139,400		541,061
				10,059,690
Austria — 0.2%
OMV AG		36,200		996,578
Voestalpine AG		14,500		604,324
				1,600,902
Belgium — 0.3%
AGFA-Gevaert NV*		86,100		239,972
Delhaize Group		21,500		1,748,755
				1,988,727
Canada — 1.9%
Alimentation Couche-Tard, Inc. (Class B Stock)		85,830		3,671,655
Brookfield Asset Management, Inc. (Class A Stock)		111,910		3,909,016
Canadian Natural Resources Ltd.		77,400		2,102,184
Canadian Pacific Railway Ltd.		15,150		2,427,484
Suncor Energy, Inc.		71,200		1,960,993
				14,071,332
China — 1.6%
Baidu, Inc., ADR*		9,803		1,951,581
China Overseas Land & Investment Ltd.		542,000		1,907,904
Lenovo Group Ltd.		1,732,000		2,394,602
NetEase, Inc., ADR		15,734		2,279,306
Poly Property Group Co. Ltd.		412,000		198,898
Shougang Fushan Resources Group Ltd.		1,160,000		270,540
Tencent Holdings Ltd.		147,900		2,957,487
				11,960,318
Denmark — 0.7%
A.P. Moeller – Maersk A/S (Class B Stock)		400		723,217
Novo Nordisk A/S (Class B Stock)		59,227		3,250,075
TDC A/S		161,500		1,183,851
				5,157,143
Finland — 0.6%
Sampo OYJ (Class A Stock)		58,787		2,770,460
Tieto OYJ		25,300		590,705

COMMON STOCKS (continued)	Shares		Value (Note 2)
Finland (continued)
UPM-Kymmene OYJ		57,300	$	1,013,977
				4,375,142
France — 3.9%
Alstom SA*		26,800		761,236
Arkema SA		7,200		520,472
AXA SA		37,000		938,020
BNP Paribas SA		16,000		970,926
Cap Gemini SA		43,815		3,887,123
Cie Generale des Etablissements Michelin		12,000		1,262,689
CNP Assurances		34,000		569,051
Credit Agricole SA		78,500		1,172,004
Electricite de France SA		61,800		1,382,384
Hermes International		3,499		1,306,458
JCDecaux SA		42,632		1,782,802
Renault SA		12,300		1,289,626
Sanofi		22,800		2,255,607
SCOR SE		22,000		777,954
Societe Generale SA		21,400		1,004,171
Thales SA		27,900		1,685,750
Total SA		84,783		4,158,696
Valeo SA		18,468		2,921,330
				28,646,299
Germany — 2.9%
Allianz SE		9,800		1,528,324
Aurubis AG		6,200		364,236
BASF SE		13,500		1,187,907
Bayerische Motoren Werke AG		35,373		3,873,864
Continental AG		13,314		3,152,460
Daimler AG		23,700		2,158,971
Deutsche Bank AG		27,100		814,809
E.ON SE		46,000		613,387
Freenet AG		29,700		1,000,409
Hannover Rueck SE		9,800		948,511
Merck KGaA		4,700		468,545
Muenchener Rueckversicherungs AG		5,700		1,010,580
Rational AG		2,681		984,699
Rheinmetall AG		13,300		674,616
Stada Arzneimittel AG		14,500		489,116
Volkswagen AG		7,400		1,713,448
Wincor Nixdorf AG		13,000		510,962
				21,494,844
Hong Kong — 1.2%
AIA Group Ltd.		514,000		3,360,870
Cheung Kong Property Holdings Ltd.*		46,000		381,575
China Resources Cement Holdings Ltd.		1,173,000		653,796
CK Hutchison Holdings Ltd.		46,000		676,291
First Pacific Co. Ltd.		133,000		112,213
Huabao International Holdings Ltd.		1,045,000		628,243
Kingboard Chemical Holdings Ltd.		216,000		373,088
Singamas Container Holdings Ltd.		2,676,000		485,169
Skyworth Digital Holdings Ltd.		1,072,000		954,350
Yue Yuen Industrial Holdings Ltd.		220,500		737,552
				8,363,147

SEE NOTES TO FINANCIAL STATEMENTS.

A92

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
India — 0.9%
HDFC Bank Ltd., ADR		71,267	$	4,313,791
Tata Motors Ltd., ADR		69,853		2,407,833
				6,721,624
Indonesia — 0.3%
PT Bank Rakyat Indonesia (Persero) Tbk		2,284,400		1,768,052
Ireland — 0.8%
Permanent TSB Group Holdings PLC*		513		2,684
Ryanair Holdings PLC, ADR		38,861		2,772,732
Smurfit Kappa Group PLC		35,200		970,181
XL Group PLC		55,052		2,047,934
				5,793,531
Israel — 1.2%
Bank Hapoalim BM		128,000		688,890
Check Point Software Technologies Ltd.*(a)		32,288		2,568,510
Elbit Systems Ltd.		11,400		894,747
Teva Pharmaceutical Industries Ltd.		16,300		964,601
Teva Pharmaceutical Industries Ltd., ADR		65,592		3,876,487
				8,993,235
Italy — 0.9%
Enel SpA		242,800		1,100,443
Eni SpA		70,800		1,257,525
Intesa Sanpaolo SpA		1,100,499		3,996,454
				6,354,422
Japan — 9.7%
Alfresa Holdings Corp.		22,900		356,350
Alpine Electronics, Inc.		22,700		437,225
Aoyama Trading Co. Ltd.		22,600		913,024
Aozora Bank Ltd.		231,000		871,566
Asahi Kasei Corp.		76,000		623,396
Astellas Pharma, Inc.		180,000		2,564,252
Bank of Yokohama Ltd. (The)		96,000		587,902
Calsonic Kansei Corp.		105,000		746,640
Daihatsu Motor Co. Ltd.		60,500		861,108
Daikin Industries Ltd.		47,600		3,421,887
Enplas Corp.		12,600		512,195
FANUC Corp.		13,100		2,680,464
Fuji Heavy Industries Ltd.		85,174		3,131,915
Fujikura Ltd.		113,000		631,765
Heiwa Corp.		34,800		692,734
Hogy Medical Co. Ltd.		11,400		584,800
Hoya Corp.		63,600		2,547,163
Isuzu Motors Ltd.		51,100		670,410
ITOCHU Corp.		76,300		1,007,711
Japan Airlines Co. Ltd.		28,000		975,784
JX Holdings, Inc.		101,400		437,171
Kao Corp.		57,200		2,660,200
KDDI Corp.		32,600		786,702
Keihin Corp.		37,200		533,018
Keyence Corp.		4,400		2,371,498
KYORIN Holdings, Inc.		37,400		762,522
Kyowa Exeo Corp.		66,900		778,490

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Marubeni Corp.		109,700	$	629,530
Medipal Holdings Corp.		36,500		594,498
Mitsubishi Corp.		50,200		1,103,597
Mitsubishi UFJ Financial Group, Inc.		243,500		1,751,853
Mitsui & Co. Ltd.		59,300		805,657
Mizuho Financial Group, Inc.		597,700		1,293,263
Murata Manufacturing Co. Ltd.		21,400		3,734,631
Nippon Telegraph & Telephone Corp.		74,000		2,679,966
Nishi-Nippon City Bank Ltd. (The)		167,000		481,160
Nissan Motor Co. Ltd.		140,100		1,463,618
Nitori Holdings Co. Ltd.		23,400		1,907,768
NTT DOCOMO, Inc.		62,400		1,197,990
ORIX Corp.		201,000		2,984,746
Otsuka Holdings Co. Ltd.		15,100		481,134
Resona Holdings, Inc.		266,300		1,452,434
Ricoh Co. Ltd.		66,500		688,871
Sankyu, Inc.		151,000		824,595
Seino Holdings Co. Ltd.		52,600		588,864
Shimachu Co. Ltd.		30,700		885,101
SKY Perfect JSAT Holdings, Inc.		107,500		576,905
SMC Corp.		6,700		2,016,158
Sumitomo Corp.		84,300		981,203
Sumitomo Metal Mining Co. Ltd.		53,000		806,076
Sumitomo Mitsui Financial Group, Inc.		81,786		3,641,048
Toagosei Co. Ltd.		73,500		612,481
Toho Holdings Co. Ltd.		41,200		948,401
Toyo Tire & Rubber Co. Ltd.		35,200		743,848
Toyoda Gosei Co. Ltd.		23,800		573,682
Tsumura & Co.		22,900		492,640
Yokohama Rubber Co. Ltd. (The)		45,000		902,954
				70,992,564
Liechtenstein
Verwaltungs-und Privat-Bank AG		2,100		183,619
Netherlands — 2.5%
Aegon NV		95,000		700,930
ING Groep NV, CVA		58,400		969,756
Koninklijke Ahold NV		78,461		1,472,924
Koninklijke Philips NV		28,400		724,840
NXP Semiconductors NV*		80,045		7,860,419
Royal Dutch Shell PLC (Class A Stock), ADR		34,450		1,963,995
Royal Dutch Shell PLC (Class A Stock)		66,302		1,885,625
Royal Dutch Shell PLC (Class B Stock)		94,700		2,696,141
				18,274,630
New Zealand — 0.2%
Air New Zealand Ltd.		737,900		1,274,910
Norway — 0.5%
DNB ASA		50,500		841,008
Fred Olsen Energy ASA*(a)		17,100		119,075
Marine Harvest ASA		85,500		979,195
Statoil ASA		36,600		654,518
Yara International ASA		23,200		1,208,909
				3,802,705

SEE NOTES TO FINANCIAL STATEMENTS.

A93

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Singapore — 0.3%
DBS Group Holdings Ltd.		119,000	$	1,825,895
Wilmar International Ltd.		222,100		540,566
				2,366,461
South Africa — 1.0%
Aspen Pharmacare Holdings Ltd.		41,314		1,221,756
Bidvest Group Ltd.		74,947		1,896,402
Discovery Ltd.		282,432		2,933,214
Mondi PLC		49,500		1,065,692
				7,117,064
South Korea — 0.4%
Samsung Electronics Co. Ltd.		2,596		2,945,386
Spain — 0.8%
ACS Actividades de Construccion y Servicios SA		14,600		470,938
Amadeus IT Holding SA (Class A Stock)		53,972		2,154,578
Banco Santander SA		94,600		665,419
Ebro Foods SA		26,300		509,545
Gas Natural SDG SA		13,900		315,632
Iberdrola SA		150,200		1,014,085
Repsol SA		57,200		1,008,189
				6,138,386
Sweden — 1.4%
Atlas Copco AB (Class A Stock)		77,228		2,160,709
Boliden AB		45,100		822,205
Hexagon AB (Class B Stock)		77,898		2,821,507
Nordea Bank AB		86,400		1,077,560
Securitas AB (Class B Stock)		46,500		614,122
Swedbank AB (Class A Stock)		40,800		951,228
Telefonaktiebolaget LM Ericsson (Class B Stock)		77,900		811,339
TeliaSonera AB		154,700		911,761
				10,170,431
Switzerland — 3.1%
Actelion Ltd.*		24,541		3,594,066
Baloise Holding AG		11,400		1,390,012
Credit Suisse Group AG*		94,400		2,604,259
Geberit AG		7,210		2,403,776
Georg Fischer AG		2,000		1,374,921
Helvetia Holding AG		1,400		800,233
Oriflame Holding AG*		13,600		219,835
Partners Group Holding AG		9,293		2,777,563
Swiss Life Holding AG*		7,800		1,786,050
Swiss Re AG*		23,900		2,115,694
TE Connectivity Ltd.		26,600		1,710,380
UBS AG		1,500		31,859
Zurich Insurance Group AG*		5,800		1,765,692
				22,574,340
United Kingdom — 7.8%
3i Group PLC		120,600		978,565
Alent PLC		54		312
Anglo American PLC		47,800		690,535
ARM Holdings PLC		71,067		1,162,925
AstraZeneca PLC		56,472		3,574,105
Aviva PLC		129,800		1,005,345

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
BAE Systems PLC		227,200	$	1,609,799
Barclays PLC		287,100		1,176,715
Barratt Developments PLC		98,600		951,023
Beazley PLC		129,500		601,871
Bellway PLC		25,400		946,117
Berkeley Group Holdings PLC		20,500		1,077,246
Bovis Homes Group PLC		40,500		708,348
BP PLC		317,500		2,107,133
BT Group PLC		141,300		1,000,588
Carillion PLC		145,900		783,242
Centrica PLC		220,400		914,540
Compass Group PLC		250,864		4,149,051
Debenhams PLC		301,400		422,499
DS Smith PLC		63,600		385,680
GlaxoSmithKline PLC		52,400		1,089,491
Home Retail Group PLC		107,200		284,658
HSBC Holdings PLC		167,100		1,496,273
IG Group Holdings PLC		164,794		1,931,606
InterContinental Hotels Group PLC		56,935		2,295,420
Intermediate Capital Group PLC		108,800		939,889
J. Sainsbury PLC		306,300		1,275,036
Man Group PLC		325,800		802,984
National Express Group PLC		163,900		791,969
Old Mutual PLC		282,100		892,941
Petrofac Ltd.		34,000		494,721
Premier Foods PLC*		357,756		211,964
Prudential PLC		123,054		2,965,528
QinetiQ Group PLC		269,900		950,278
Reckitt Benckiser Group PLC		36,107		3,113,643
Relx PLC		187,865		3,052,915
Rio Tinto Ltd.		18,500		765,286
St. James’s Place PLC		143,811		2,044,917
Tate & Lyle PLC		81,200		662,802
Vesuvius PLC		81,100		540,526
WM Morrison Supermarkets PLC		452,000		1,283,119
Wolseley PLC		36,190		2,307,980
WPP PLC		116,413		2,613,011
				57,052,596
United States — 50.1%
3M Co.		11,425		1,762,878
AbbVie, Inc.		27,150		1,824,209
AES Corp.		249,400		3,307,044
Alexion Pharmaceuticals, Inc.*		16,110		2,912,205
Allstate Corp. (The)		34,100		2,212,067
Amazon.com, Inc.*		19,634		8,522,923
American Express Co.		24,550		1,908,026
Ameriprise Financial, Inc.		14,450		1,805,239
Amgen, Inc.		16,450		2,525,404
Amphenol Corp. (Class A Stock)		110,932		6,430,728
ANSYS, Inc.*		41,201		3,759,179
Apache Corp.		55,000		3,169,650
Apple, Inc.		55,267		6,931,863
AT&T, Inc.		52,450		1,863,024
Avon Products, Inc.(a)		65,450		409,717
Baker Hughes, Inc.		23,300		1,437,610
Bank of America Corp.		299,650		5,100,043
Bank of New York Mellon Corp. (The)		53,750		2,255,888
Baxalta, Inc.*		12,500		399,250

SEE NOTES TO FINANCIAL STATEMENTS.

A94

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Boeing Co. (The)		18,150	$	2,517,768
Bristol-Myers Squibb Co.		83,933		5,584,902
Carnival Corp.		73,450		3,627,695
Celanese Corp., Series A		65,000		4,672,200
Charles Schwab Corp. (The)		321,861		10,508,762
Cisco Systems, Inc.		78,600		2,158,356
Cognizant Technology Solutions Corp. (Class A Stock)*		91,696		5,601,709
Colfax Corp.*(a)		79,455		3,666,848
Comcast Corp. (Class A Stock)		29,400		1,768,116
CONSOL Energy, Inc.(a)		21,800		473,932
Costco Wholesale Corp.		42,957		5,801,772
Danaher Corp.		80,698		6,906,942
DaVita HealthCare Partners, Inc.*		63,522		5,048,093
E.I. du Pont de Nemours & Co.		4,400		281,380
Ecolab, Inc.		53,820		6,085,427
Emerson Electric Co.		7,500		415,725
Entergy Corp.		18,450		1,300,725
EQT Corp.		16,100		1,309,574
Estee Lauder Cos., Inc. (The) (Class A Stock)		79,173		6,861,132
Exelon Corp.		67,150		2,109,853
Express Scripts Holding Co.*(a)		94,628		8,416,214
Exxon Mobil Corp.		30,400		2,529,280
Facebook, Inc. (Class A Stock)*		84,415		7,239,852
Fastenal Co.(a)		118,273		4,988,755
FirstEnergy Corp.		68,100		2,216,655
FMC Technologies, Inc.*		98,159		4,072,617
General Electric Co.		196,950		5,232,961
General Motors Co.		52,200		1,739,826
Genpact Ltd.*		197,290		4,208,196
Gilead Sciences, Inc.		41,472		4,855,542
Google, Inc. (Class A Stock)*		5,656		3,054,466
Google, Inc. (Class C Stock)*		5,742		2,988,768
Hess Corp.		32,750		2,190,320
Honeywell International, Inc.		21,550		2,197,454
Illinois Tool Works, Inc.		18,050		1,656,810
International Paper Co.		32,600		1,551,434
Intuitive Surgical, Inc.*		13,779		6,675,925
Invesco Ltd.		31,650		1,186,559
Johnson & Johnson		36,950		3,601,147
Johnson Controls, Inc.		35,450		1,755,839
JPMorgan Chase & Co.		110,500		7,487,480
Kohl’s Corp.		36,700		2,297,787
Las Vegas Sands Corp.		21,250		1,117,113
Loews Corp.		15,900		612,309
Lowe’s Cos., Inc.		57,650		3,860,820
Marsh & McLennan Cos., Inc.		67,000		3,798,900
Mattel, Inc.		42,450		1,090,541
Mead Johnson Nutrition Co.		61,056		5,508,472
Medtronic PLC		38,871		2,880,341
Merck & Co., Inc.		69,200		3,939,556
MetLife, Inc.		67,600		3,784,924
Microsoft Corp.		99,750		4,403,962
Morgan Stanley		124,800		4,840,992
National Instruments Corp.		95,757		2,821,001
NetSuite, Inc.*(a)		28,390		2,604,783
News Corp. (Class A Stock)*		45,500		663,845
NRG Energy, Inc.		59,100		1,352,208
Occidental Petroleum Corp.		34,300		2,667,511
PepsiCo, Inc.		28,350		2,646,189
Pfizer, Inc.		165,550		5,550,891

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
PG&E Corp.		83,100	$	4,080,210
Philip Morris International, Inc.		31,250		2,505,313
PNC Financial Services Group, Inc.		19,400		1,855,610
Procter & Gamble Co. (The)		34,050		2,664,072
QUALCOMM, Inc.		31,800		1,991,634
Raytheon Co.		15,950		1,526,096
salesforce.com, inc.*		91,171		6,348,237
Schlumberger Ltd.		54,864		4,728,728
Southwest Airlines Co.		87,750		2,903,647
Starbucks Corp.		158,704		8,508,915
Stericycle, Inc.*		52,244		6,995,994
T-Mobile U.S., Inc.*		25,650		994,451
Texas Instruments, Inc.		41,150		2,119,637
Thermo Fisher Scientific, Inc.		25,450		3,302,392
Time Warner Cable, Inc.		12,500		2,227,125
Time Warner, Inc.		38,850		3,395,878
TripAdvisor, Inc.*		70,282		6,124,373
Tyco International PLC		37,050		1,425,684
U.S. Bancorp		69,550		3,018,470
Union Pacific Corp.		17,650		1,683,281
United Technologies Corp.		41,800		4,636,874
Viacom, Inc. (Class B Stock)		16,150		1,043,936
Visa, Inc. (Class A Stock)		121,922		8,187,062
Vulcan Materials Co.		20,500		1,720,565
Wal-Mart Stores, Inc.		9,300		659,649
Wells Fargo & Co.		56,700		3,188,808
Western Union Co. (The)		99,550		2,023,852
Weyerhaeuser Co.		49,950		1,573,425
Whole Foods Market, Inc.		99,669		3,930,945
				366,890,966
TOTAL COMMON STOCKS (cost $562,597,205)				707,132,466
	Units
RIGHTS*
Spain
Repsol SA, expiring 07/09/15 (cost $31,487)		57,200		29,653
TOTAL LONG-TERM INVESTMENTS (cost $562,628,692)				707,162,119
SHORT-TERM INVESTMENT — 5.8%
	Shares
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $42,709,639; includes $22,106,732 of cash collateral for securities on loan)(Note 4)(b)(c)		42,709,639		42,709,639
TOTAL INVESTMENTS — 102.4% (cost $605,338,331)				749,871,758
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)%				(17,509,637	)
NET ASSETS — 100.0%			$	732,362,121

SEE NOTES TO FINANCIAL STATEMENTS.

A95

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

See the Glossary for abbreviations used in the Portfolio descriptions.

* 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 $21,605,587; cash collateral of $22,106,732 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	10,059,690	$	—
Austria		—		1,600,902		—
Belgium		239,972		1,748,755		—
Canada		14,071,332		—		—
China		4,230,887		7,729,431		—
Denmark		—		5,157,143		—
Finland		—		4,375,142		—
France		—		28,646,299		—
Germany		984,699		20,510,145		—
Hong Kong		493,788		7,869,359		—
India		6,721,624		—		—
Indonesia		—		1,768,052		—
Ireland		4,823,350		970,181		—
Israel		6,444,997		2,548,238		—
Italy		—		6,354,422		—
Japan		512,195		70,480,369		—
Liechtenstein		183,619		—		—
Netherlands		9,824,414		8,450,216		—
New Zealand		—		1,274,910		—
Norway		—		3,802,705		—
Singapore		—		2,366,461		—
South Africa		—		7,117,064		—
South Korea		—		2,945,386		—
Spain		—		6,138,386		—
Sweden		—		10,170,431		—
Switzerland		1,930,215		20,644,125		—
United Kingdom		947,460		56,105,136		—
United States		366,890,966		—		—
Rights		29,653		—		—
Affiliated Money Market Mutual Fund		42,709,639		—		—
Total	$	461,038,810	$	288,832,948	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A96

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:

Banks	7.5	%
Insurance	5.9
Affiliated Money Market Mutual Fund (including 3.0% of collateral for securities on loan)	5.8
Pharmaceuticals	5.8
Oil, Gas & Consumable Fuels	4.6
Capital Markets	4.5
IT Services	3.6
Electronic Equipment, Instruments & Components	2.8
Internet Software & Services	2.8
Software	2.7
Hotels, Restaurants & Leisure	2.7
Food & Staples Retailing	2.7
Automobiles	2.6
Industrial Conglomerates	2.4
Media	2.3
Aerospace & Defense	2.2
Chemicals	2.2
Health Care Providers & Services	2.2
Machinery	2.1
Internet & Catalog Retail	2.0
Biotechnology	1.9
Technology Hardware, Storage & Peripherals	1.8
Auto Components	1.7
Electric Utilities	1.7
Health Care Equipment & Supplies	1.7
Trading Companies & Distributors	1.6
Energy Equipment & Services	1.5
Semiconductors & Semiconductor Equipment	1.5
Commercial Services & Supplies	1.4
Personal Products	1.4
Real Estate Management & Development	1.3

Food Products	1.1	%
Airlines	1.1
Diversified Telecommunication Services	1.0
Specialty Retail	1.0
Road & Rail	0.9
Multi-Utilities	0.8
Household Products	0.8
Building Products	0.8
Diversified Financial Services	0.8
Metals & Mining	0.8
Household Durables	0.7
Communications Equipment	0.6
Independent Power & Renewable Electricity Producers	0.6
Paper & Forest Products	0.5
Wireless Telecommunication Services	0.5
Life Sciences Tools & Services	0.4
Multiline Retail	0.4
Beverages	0.3
Tobacco	0.3
Construction Materials	0.3
Construction & Engineering	0.3
Textiles, Apparel & Luxury Goods	0.3
Consumer Finance	0.3
Electrical Equipment	0.2
Leisure Products	0.2
Real Estate Investment Trusts (REITs)	0.2
Containers & Packaging	0.2
Marine	0.1
	102.4
Liabilities in excess of other assets	(2.4	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts	Unaffiliated investments	$	29,653		$	—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*
Equity contracts	$	(1,834	)

* Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A97

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015

ASSETS
Investments at value, including securities on loan of $21,605,587:
Unaffiliated investments (cost $562,628,692)	$	707,162,119
Affiliated investments (cost $42,709,639)		42,709,639
Cash		12,469
Foreign currency, at value (cost $3,264,510)		3,213,337
Tax reclaim receivable		1,728,802
Dividends and interest receivable		900,490
Receivable for investments sold		690,124
Receivable for Series shares sold		83,486
Prepaid expenses		881
Total Assets		756,501,347
LIABILITIES
Payable to broker for collateral for securities on loan		22,106,732
Payable for investments purchased		1,369,593
Management fee payable		453,925
Accrued expenses and other liabilities		163,857
Payable for Series shares repurchased		44,193
Affiliated transfer agent fee payable		926
Total Liabilities		24,139,226
NET ASSETS	$	732,362,121
Net assets were comprised of:
Paid-in capital	$	519,763,758
Retained earnings		212,598,363
Net assets, June 30, 2015	$	732,362,121
Net asset value and redemption price per share $732,362,121 / 27,261,121 outstanding shares of beneficial interest	$	26.86

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $106,285)	$	9,456,683
Affiliated dividend income		16,047
Affiliated income from securities lending, net		12,358
Total income		9,485,088
EXPENSES
Management fee		2,745,543
Custodian and accounting fees		159,000
Shareholders’ reports		42,000
Audit fee		13,000
Trustees’ fees		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Legal fees and expenses		6,000
Insurance expenses		5,000
Loan interest expense		42
Miscellaneous		20,825
Total expenses		3,005,410
Less: Management fee waiver		(38,481	)
Net expenses		2,966,929
NET INVESTMENT INCOME		6,518,159
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		19,512,995
Foreign currency transactions		(114,999	)
		19,397,996
Net change in unrealized appreciation (depreciation) on:
Investments		6,057,602
Foreign currencies		(38,406	)
		6,019,196
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		25,417,192
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	31,935,351

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	6,518,159		$	10,803,379
Net realized gain on investment and foreign currency transactions		19,397,996			38,470,561
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		6,019,196			(25,504,944	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		31,935,351			23,768,996
SERIES SHARE TRANSACTIONS
Series shares sold [165,191 and 941,874 shares, respectively]		4,406,096			23,729,047
Series shares repurchased [868,536 and 2,863,482 shares, respectively]		(23,152,397	)		(72,868,700	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(18,746,301	)		(49,139,653	)
TOTAL INCREASE (DECREASE)		13,189,050			(25,370,657	)
NET ASSETS:
Beginning of period		719,173,071			744,543,728
End of period	$	732,362,121		$	719,173,071

SEE NOTES TO FINANCIAL STATEMENTS.

A98

	GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

LONG-TERM INVESTMENTS — 100.0% ASSET-BACKED SECURITIES — 6.1%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 5.6%
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A		1.853%	(a)	10/15/26		750	$	750,844
Ares CLO Ltd., Series 2014-31A, Class A1, 144A		1.726%	(a)	08/28/25		1,000		998,261
Babson CLO Ltd., Series 2013-IA, Class A, 144A		1.375%	(a)	04/20/25		1,750		1,735,948
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A		1.874%	(a)	10/17/26		750		750,850
Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A		1.791%	(a)	04/18/27		500		500,074
Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A		1.755%	(a)	01/15/26		600		600,028
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A		1.674%	(a)	01/17/26		250		249,268
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A		1.745%	(a)	10/15/26		3,250		3,238,509
Magnetite VIII Ltd., Series 2014-8A, Class A, 144A		1.755%	(a)	04/15/26		2,260		2,253,722
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A		1.745%	(a)	04/15/26		250		249,215
Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A		1.685%	(a)	10/20/23		500		499,026
Silver Spring Ltd., Series 2014-1A, Class A, 144A		1.725%	(a)	10/15/26		1,500		1,493,281
Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A (Cayman Islands)		1.786%	(a)	07/20/27		750		749,250
Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A		1.885%	(a)	04/20/26		1,500		1,501,101
Voya CLO Ltd., Series 2014-3A, Class A1, 144A		1.697%	(a)	07/25/26		3,000		2,979,567
								18,548,944
Collateralized Mortgage Obligations — 0.3%
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM		5.500%		09/15/17		220		228,317
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC		5.500%		09/15/17		65		67,238
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC		5.000%		10/15/17		411		424,594
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND		5.500%		09/25/17		76		78,657
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1		0.807%	(a)	10/25/28		45		42,501
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.637%	(a)	02/25/34		197		195,522
								1,036,829
Non-Residential Mortgage-Backed Securities — 0.2%
Small Business Administration Participation Certificates, Series 1996-20J, Class 1		7.200%		10/01/16		164		169,219
Small Business Administration Participation Certificates, Series 1997-20A, Class 1		7.150%		01/01/17		127		130,464
Small Business Administration Participation Certificates, Series 1997-20G, Class 1		6.850%		07/01/17		90		92,642
Small Business Administration Participation Certificates, Series 1998-20I, Class 1		6.000%		09/01/18		259		274,208
								666,533
TOTAL ASSET-BACKED SECURITIES (cost $20,200,414)								20,252,306
COMMERCIAL MORTGAGE-BACKED SECURITIES — 22.7%
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		168		169,318
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,637		1,702,153
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		978,845
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(a)	04/10/37		1,500		1,510,746
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.639%	(a)	02/15/39		200		203,071
Fannie Mae-Aces, Series 2015-M1, Class AB2		2.465%		09/25/24		550		528,651
Fannie Mae-Aces, Series 2015-M3, Class AB2		2.625%		10/25/24		2,730		2,665,004
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(a)	04/25/27		1,600		1,583,920
Federal National Mortgage Assoc., Series 2012-M2, Class A2		2.717%		02/25/22		200		203,455
Federal National Mortgage Assoc., Series 2012-M13, Class A2		2.377%		05/25/22		1,850		1,831,914
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(a)	12/25/23		2,650		2,789,507
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5		5.085%		03/25/19		250		279,247
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2		4.186%		08/25/19		4,825		5,246,165
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2		4.317%		11/25/19		1,100		1,204,297

SEE NOTES TO FINANCIAL STATEMENTS.

A99

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.798%	(a)	06/25/20		18,609	$	1,166,489
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, I/O		1.866%	(a)	03/25/22		18,331		1,705,015
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.596%	(a)	05/25/22		9,201		742,330
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.632%	(a)	06/25/22		9,757		813,266
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2		2.573%		09/25/22		2,000		2,004,902
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		1.022%	(a)	10/25/22		27,532		1,447,485
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2		2.510%		11/25/22		3,600		3,587,051
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%		02/25/23		3,600		3,771,623
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2		3.310%	(a)	05/25/23		2,730		2,849,667
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2		3.060%		07/25/23		3,600		3,690,306
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%		07/25/23		5,200		5,499,504
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.734%	(a)	08/25/16		3,182		38,883
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.906%	(a)	05/25/19		8,278		483,294
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.826%	(a)	07/25/19		7,837		445,881
FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2		2.615%		01/25/23		1,800		1,793,133
FHLMC Multifamily Structured Pass-Through Certificates, Series-K044, Class A2		2.811%		01/25/25		3,200		3,172,755
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2		3.003%		01/15/47		1,700		1,760,056
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3		5.961%	(a)	06/15/49		792		799,928
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,700		1,667,090
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C23, Class A3		3.368%		09/15/47		1,700		1,747,336
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.865%	(a)	05/12/39		1,375		1,412,956
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class AM		6.066%	(a)	06/12/46		250		259,032
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM		5.204%		12/12/49		1,500		1,573,281
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		1,600		1,614,446
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B		5.284%	(a)	09/15/42		800		799,558
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,300		1,286,557
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		62		62,003
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5		5.416%	(a)	01/15/45		1,500		1,519,684
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM		5.466%	(a)	01/15/45		1,700		1,734,809
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5		5.896%	(a)	05/15/43		2,000		2,051,434
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3		5.765%	(a)	07/15/45		2,294		2,357,227
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $75,153,365)								74,753,274
FOREIGN AGENCIES — 0.7%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		820		825,691
KFW, Gov’t. Gtd., GMTN		2.750%		10/01/20		1,320		1,377,576
TOTAL FOREIGN AGENCIES (cost $2,176,860)								2,203,267

SEE NOTES TO FINANCIAL STATEMENTS.

A100

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

MUNICIPAL BOND — 0.2%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Utah
State of Utah, BABs, Series D (cost $630,000)		4.554%		07/01/24		630	$	695,570
U.S. GOVERNMENT AGENCY OBLIGATIONS — 50.8%
Federal Home Loan Mortgage Corp.		0.750%		07/14/17-01/12/18		3,180		3,173,088
Federal Home Loan Mortgage Corp.		2.479%	(a)	05/01/34		390		414,107
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		978		990,718
Federal Home Loan Mortgage Corp.(c)		3.000%		TBA		1,000		994,023
Federal Home Loan Mortgage Corp.		3.000%		06/01/29-06/01/45		1,885		1,913,823
Federal Home Loan Mortgage Corp.(c)		3.500%		TBA		4,000		4,104,297
Federal Home Loan Mortgage Corp.		3.500%		08/01/26-01/01/27		886		936,992
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		3,248		3,447,528
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		3,167		3,428,732
Federal Home Loan Mortgage Corp.		5.000%		06/01/33-05/01/34		1,444		1,605,480
Federal Home Loan Mortgage Corp.		5.500%		05/01/37-05/01/38		911		1,019,388
Federal Home Loan Mortgage Corp.		6.000%		09/01/34-08/01/39		640		725,807
Federal Home Loan Mortgage Corp.		6.500%		09/01/32		94		107,914
Federal National Mortgage Assoc.		0.875%		05/21/18		580		576,529
Federal National Mortgage Assoc.(e)		1.500%		06/22/20		1,355		1,338,931
Federal National Mortgage Assoc.		1.625%		01/21/20		2,415		2,411,653
Federal National Mortgage Assoc.		1.875%		02/19/19		90		91,696
Federal National Mortgage Assoc.		2.104%	(a)	04/01/34		160		170,524
Federal National Mortgage Assoc.		2.207%	(a)	04/01/34		299		317,581
Federal National Mortgage Assoc.		2.261%	(a)	07/01/33		1,011		1,069,623
Federal National Mortgage Assoc.		2.350%	(a)	06/01/34		281		299,314
Federal National Mortgage Assoc.		2.392%	(a)	08/01/33		688		729,712
Federal National Mortgage Assoc.(c)		2.500%		TBA		250		253,028
Federal National Mortgage Assoc.(b)(e)		2.625%		09/06/24		850		850,328
Federal National Mortgage Assoc.(c)		3.000%		TBA		14,500		14,445,908
Federal National Mortgage Assoc.		3.000%		08/01/28		1,951		2,025,813
Federal National Mortgage Assoc.(c)		3.500%		TBA		500		527,320
Federal National Mortgage Assoc.(c)		3.500%		TBA		500		515,273
Federal National Mortgage Assoc.(c)		3.500%		TBA		35,000		35,976,173
Federal National Mortgage Assoc.		3.500%		03/01/27-06/01/39		1,477		1,548,653
Federal National Mortgage Assoc.(c)		4.000%		TBA		11,000		11,654,284
Federal National Mortgage Assoc.(c)		4.000%		TBA		6,500		6,871,388
Federal National Mortgage Assoc.		4.000%		09/01/40-09/01/44		5,135		5,459,742
Federal National Mortgage Assoc.(c)		4.500%		TBA		500		540,547
Federal National Mortgage Assoc.		4.500%		05/01/40		3,708		4,048,915
Federal National Mortgage Assoc.(c)		5.000%		TBA		3,500		3,866,406
Federal National Mortgage Assoc.		5.000%		07/01/18-05/01/36		2,425		2,647,089
Federal National Mortgage Assoc.		5.500%		01/01/17-11/01/35		6,189		7,000,646
Federal National Mortgage Assoc.		6.000%		05/01/21-05/01/38		1,193		1,352,010
Federal National Mortgage Assoc.		6.500%		07/01/32-10/01/37		1,429		1,675,724
Federal National Mortgage Assoc.		7.000%		12/01/31-01/01/36		203		232,058
Federal National Mortgage Assoc.		8.000%		03/01/22-02/01/26		9		9,498
Federal National Mortgage Assoc.		9.000%		02/01/25-04/01/25		30		34,500
Financing Corp. Strips Principal, Series 4-P		1.390%	(d)	10/06/17		2,700		2,644,472
Financing Corp. Strips Principal, Series D-P		2.224%	(d)	09/26/19		1,370		1,269,961
Government National Mortgage Assoc.(c)		3.000%		TBA		3,000		3,028,125
Government National Mortgage Assoc.(c)		3.500%		TBA		3,000		3,113,555
Government National Mortgage Assoc.		3.500%		02/20/45-04/20/45		3,916		4,084,717
Government National Mortgage Assoc.		4.000%		06/15/40-01/20/45		3,426		3,633,951
Government National Mortgage Assoc.(c)		4.500%		TBA		2,000		2,171,562
Government National Mortgage Assoc.		4.500%		02/20/41-03/20/41		2,512		2,740,633
Government National Mortgage Assoc.		5.000%		07/15/33-04/15/34		794		885,392
Government National Mortgage Assoc.		5.500%		03/15/34-03/15/36		668		768,563
Government National Mortgage Assoc.		6.500%		07/15/32-08/15/32		221		258,397
Government National Mortgage Assoc.		7.000%		03/15/23-08/15/28		490		544,335

SEE NOTES TO FINANCIAL STATEMENTS.

A101

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.		7.500%		12/15/25-02/15/26			78	$	88,754
Government National Mortgage Assoc.		8.500%		09/15/24-04/15/25			165		188,464
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%		10/30/20			937		967,455
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22			1,520		1,527,600
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25			1,040		1,042,600
Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO		1.825%	(d)	10/15/19			2,745		2,533,673
Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO		2.066%	(d)	07/15/20			1,545		1,398,312
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.847%		05/29/20			3,480		3,482,742
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $164,948,613)									167,776,026
U.S. TREASURY OBLIGATIONS — 19.5%
U.S. Treasury Bonds		2.750%		08/15/42-11/15/42			5,265		4,898,114
U.S. Treasury Bonds		2.875%		05/15/43			1,185		1,129,268
U.S. Treasury Bonds		4.625%		02/15/40			830		1,058,444
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/20			4,536		4,572,569
U.S. Treasury Notes		0.750%		06/30/17			340		340,664
U.S. Treasury Notes(f)		1.250%		11/30/18			3,365		3,373,412
U.S. Treasury Notes(e)		1.375%		12/31/18-03/31/20			7,295		7,296,337
U.S. Treasury Notes(e)		1.500%		12/31/18			11,905		12,022,193
U.S. Treasury Notes		1.500%		05/31/19-10/31/19			5,560		5,565,841
U.S. Treasury Notes(e)		1.625%		04/30/19			8,680		8,776,973
U.S. Treasury Notes		2.125%		09/30/21			3,940		3,979,400
U.S. Treasury Notes		3.125%		05/15/19			425		453,521
U.S. Treasury Strips Coupon		2.037%	(d)	02/15/22	��		2,280		1,982,348
U.S. Treasury Strips Coupon		2.184%	(d)	02/15/28			550		389,065
U.S. Treasury Strips Coupon		2.241%	(d)	05/15/28			275		192,920
U.S. Treasury Strips Coupon		2.280%	(d)	02/15/29			275		187,197
U.S. Treasury Strips Coupon		2.384%	(d)	05/15/29			565		380,826
U.S. Treasury Strips Coupon(f)		2.404%	(d)	08/15/21			3,370		2,974,103
U.S. Treasury Strips Coupon		4.138%	(d)	02/15/42			5,000		2,079,740
U.S. Treasury Strips Principal		2.351%	(d)	05/15/43			1,500		602,907
U.S. Treasury Strips Principal		3.371%	(d)	05/15/44			4,510		1,765,421
U.S. Treasury Strips Principal		3.879%	(d)	02/15/44			715		282,147
TOTAL U.S. TREASURY OBLIGATIONS (cost $64,108,210)									64,303,410
TOTAL LONG-TERM INVESTMENTS (cost $327,217,462)									329,983,853
SHORT-TERM INVESTMENTS — 26.9%
						Shares
AFFILIATED MUTUAL FUNDS — 26.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $55,573,949)(Note 4)(g)							5,648,746		52,759,283
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $35,782,813; includes $335,198 of cash collateral for securities on loan)(Note 4)(g)(h)							35,782,813		35,782,813
TOTAL AFFILIATED MUTUAL FUNDS (cost $91,356,762)									88,542,096
						Notional Amount (000)#
OPTIONS PURCHASED* — 0.1%
Call Options
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $152.00							21,200		364,375
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $160.00							10,600		23,188

SEE NOTES TO FINANCIAL STATEMENTS.

A102

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

OPTIONS PURCHASED* (continued)	Notional Amount (000)#		Value (Note 2)
Call Options (continued)
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $164.00		10,600	$	8,281
TOTAL OPTIONS PURCHASED (cost $366,763)				395,844
TOTAL SHORT-TERM INVESTMENTS (cost $91,723,525) (Note 3)			��	88,937,940
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 126.9% (cost $418,940,987)				418,921,793
OPTIONS WRITTEN*
Call Options
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $156.00		21,200		(135,812	)
U.S. Treasury Long Bond Futures expiring 07/24/15, Strike Price $158.00		21,200		(79,500	)
TOTAL OPTIONS WRITTEN (premiums received $188,081)				(215,312	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 126.9% (cost $418,752,906)				418,706,481
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (26.9)%				(88,703,774	)
NET ASSETS 100.0%			$	330,002,707

See the Glossary for abbreviations used in the Portfolio descriptions.

* Non-income producing security.

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

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015.

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $327,898; cash collateral of $335,198 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(c) All or partial amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $85,250,000 is approximately 26% of net assets.

(d) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.

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

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

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

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

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

Futures contracts outstanding at June 30, 2015:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Appreciation (Depreciation)(1)
Long Positions:
39	2 Year U.S. Treasury Notes		Sep. 2015	$	8,541,665	$	8,538,563	$	(3,102	)
90	5 Year U.S. Treasury Notes		Sep. 2015		10,669,507		10,733,203		63,696
346	10 Year U.S. Treasury Notes		Sep. 2015		43,482,602		43,655,468		172,866
									233,460
Short Positions:
7	U.S. Long Bonds		Sep. 2015		1,053,258		1,055,906		(2,648	)
5	U.S. Ultra Bonds		Sep. 2015		769,836		770,312		(476	)
									(3,124	)
								$	230,336

(1) U.S. Treasury securities with a combined market value of $1,167,445 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

A103

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

Interest rate swap agreements outstanding at June 30, 2015:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements:
	1,360		11/30/16		0.945%	3 Month LIBOR(1)	$	(6,149	)	$	—	$	(6,149	)	Citigroup Global Markets
	4,700		02/15/19		1.656%	3 Month LIBOR(1)		(65,102	)		—		(65,102	)	Citigroup Global Markets
	4,700		02/15/19		1.794%	3 Month LIBOR(2)		90,555			—		90,555		JPMorgan Chase
							$	19,304		$	—	$	19,304

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2015			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	100		02/21/16		0.429%	3 Month LIBOR(1)	$	150		$	(24	)	$	(174	)
	7,855		09/17/21		2.358%	3 Month LIBOR(2)		197			162,242			162,045
	10,555		12/31/21		1.831%	3 Month LIBOR(1)		17,669			141,747			124,078
	16,300		12/31/21		1.950%	3 Month LIBOR(1)		47,095			98,870			51,775
	5,100		01/13/22		2.351%	3 Month LIBOR(1)		181			(91,301	)		(91,482	)
	4,850		01/13/22		2.480%	3 Month LIBOR(1)		179			(125,854	)		(126,033	)
	1,710		01/22/22		2.467%	3 Month LIBOR(1)		160			(42,677	)		(42,837	)
	27,675		05/31/22		2.200%	3 Month LIBOR(1)		(38,559	)		(30,655	)		7,904
	8,720		12/20/23		2.932%	3 Month LIBOR(1)		220			(424,777	)		(424,997	)
	11,725		08/18/24		2.750%	3 Month LIBOR(2)		168			364,343			364,175
	5,290		09/17/24		2.732%	3 Month LIBOR(1)		110			(153,980	)		(154,090	)
	230		09/17/29		3.070%	3 Month LIBOR(2)		11			10,535			10,524
								$ 27,581		$	(91,531	)	$	(119,112	)

U.S. Treasury obligations with a combined market value of $1,090,217 and U.S. Government Agency obligations with a combined market value of $1,023,418 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate swap contracts at June 30, 2015.

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

(2) The Portfolio pays the floating rate and receives the fixed 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— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3— unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	17,799,694	$	749,250
Collateralized Mortgage Obligations		—			1,036,829		—
Non-Residential Mortgage-Backed Securities		—			666,533		—
Commercial Mortgage-Backed Securities		—			74,753,274		—
Foreign Agencies		—			2,203,267		—
Municipal Bond		—			695,570		—
U.S. Government Agency Obligations		—			167,776,026		—
U.S. Treasury Obligations		—			64,303,410		—
Affiliated Mutual Funds		88,542,096			—		—
Options Purchased		395,844			—		—
Options Written		(215,312	)		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A104

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

	Level 1		Level 2			Level 3
Other Financial Instruments*
Futures Contracts	$	230,336	$	—		$	—
Over-the-counter interest rate swaps		—		19,304			—
Exchange-traded interest rate swaps		—		(119,112	)		—
Total	$	88,952,964	$	329,134,795		$	749,250

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:

U.S. Government Agency Obligations	50.8	%
Affiliated Mutual Funds	26.8
Commercial Mortgage-Backed Securities	22.7
U.S. Treasury Obligations	19.5
Collateralized Loan Obligations	5.6
Foreign Agencies	0.7
Collateralized Mortgage Obligations	0.3

Non-Residential Mortgage-Backed Securities	0.2	%
Municipal Bond	0.2
Options Purchased	0.1
	126.9
Liabilities in excess of other assets	(26.9	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2015 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 futures	$	236,562	*	Due from broker — variation margin futures	$	6,226	*
Interest rate contracts	Due from broker — variation margin swaps		720,501	*	Due from broker — variation margin swaps		839,613	*
Interest rate contracts	Unrealized appreciation on swap agreements		90,555		Unrealized depreciation on swap agreements		71,251
Interest rate contracts	Unaffiliated investments		395,844		Options written outstanding, at value		215,312
Total		$	1,443,462			$	1,132,402

* Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap 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 six months ended June 30, 2015 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	$	(772,677	)	$	221,537	$	(526,005	)	$	(153,461	)	$	(1,230,606	)

* Included in net realized gain (loss) on investment transactions in the Statement of Operations.

Change in Unrealized Appreciation or (Depreciation) 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	$	50,648	$	(50,430	)	$	(1,824	)	$	208,850	$	207,244

* Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A105

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(3)	Futures Contracts— Short Positions(3)	Interest Rate Swap Agreements(2)
$194,585	$70,400	$69,944,539	$8,957,393	$119,583

⁽¹⁾  Cost.

⁽²⁾  Notional Amount in USD (000).

⁽³⁾  Value at Trade Date.

Offsetting of over-the-counter (OTC) derivative assets and liabilities:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.

Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)		Net Amount
Citigroup Global Markets	$	—	$	—	$	—	$	—
JPMorgan Chase		90,555		—		—		90,555
	$	90,555

Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged(3)		Net Amount
Citigroup Global Markets	$	(71,251	)	$	—	$	—	$	(71,251	)
JPMorgan Chase		—			—		—		—
	$	(71,251	)

(1) Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options.

(2) Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options.

(3) Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A106

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015

ASSETS
Investments at value, including securities on loan of $327,898:
Unaffiliated investments (cost $327,584,225)	$	330,379,697
Affiliated investments (cost $91,356,762)		88,542,096
Receivable for investments sold		87,639,774
Dividends and interest receivable		970,195
Unrealized appreciation on over-the-counter swap agreements		90,555
Due from broker—variation margin swaps		39,419
Receivable for Series shares sold		1,866
Prepaid expenses		389
Total Assets		507,663,991
LIABILITIES
Payable for investments purchased		176,750,058
Payable to broker for collateral for securities on loan		335,198
Options written outstanding, at value (premiums received $188,081)		215,312
Management fee payable		108,705
Accrued expenses and other liabilities		102,685
Unrealized depreciation on over-the-counter swap agreements		71,251
Payable to custodian		39,356
Payable for Series shares repurchased		24,606
Due to broker—variation margin futures		12,367
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		820
Total Liabilities		177,661,284
NET ASSETS	$	330,002,707
Net assets were comprised of:
Paid-in capital	$	316,463,681
Retained earnings		13,539,026
Net assets, June 30, 2015	$	330,002,707
Net asset value and redemption price per share $330,002,707 / 27,637,596 outstanding shares of beneficial interest	$	11.94

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015

NET INVESTMENT INCOME
INCOME
Interest income	$	2,823,732
Affiliated dividend income		365,820
Affiliated income from securities lending, net		13,876
Total income		3,203,428
EXPENSES
Management fee		670,154
Shareholders’ reports		50,000
Custodian and accounting fees		39,000
Audit fee		16,000
Trustees’ fees		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Legal fees and expenses		4,000
Insurance expenses		2,000
Miscellaneous		7,461
Total expenses		800,615
NET INVESTMENT INCOME		2,402,813
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		1,348,138
Futures transactions		(526,005	)
Options written transactions		221,537
Swap agreement transactions		(153,461	)
		890,209
Net change in unrealized appreciation (depreciation) on:
Investments		(2,799,962	)
Futures		(1,824	)
Options written		(50,430	)
Swap agreements		208,850
		(2,643,366	)
NET LOSS ON INVESTMENT TRANSACTIONS		(1,753,157	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	649,656

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	2,402,813		$	5,901,363
Net realized gain on investment transactions		890,209			7,472,234
Net change in unrealized appreciation (depreciation) on investments		(2,643,366	)		5,994,740
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		649,656			19,368,337
DISTRIBUTIONS		—			(1,210,720	)
SERIES SHARE TRANSACTIONS
Series shares sold [165,541 and 449,768 shares, respectively]		1,991,940			5,246,081
Series shares issued in reinvestment of distributions [0 and 105,280 shares, respectively]		—			1,210,720
Series shares repurchased [982,647 and 2,279,485 shares, respectively]		(11,819,420	)		(26,512,995	)
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(9,827,480	)		(20,056,194	)
TOTAL DECREASE		(9,177,824	)		(1,898,577	)
NET ASSETS:
Beginning of period		339,180,531			341,079,108
End of period	$	330,002,707		$	339,180,531

SEE NOTES TO FINANCIAL STATEMENTS.

A107

	STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

LONG-TERM INVESTMENTS — 96.9%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.6%
Boeing Co. (The)		119,436	$	16,568,162
General Dynamics Corp.		58,200		8,246,358
Honeywell International, Inc.		144,050		14,688,779
L-3 Communications Holdings, Inc.		15,500		1,757,390
Lockheed Martin Corp.		49,598		9,220,268
Northrop Grumman Corp.		36,626		5,809,982
Precision Castparts Corp.		26,000		5,196,620
Raytheon Co.		56,818		5,436,346
Rockwell Collins, Inc.		24,600		2,271,810
Textron, Inc.		51,100		2,280,593
United Technologies Corp.		152,100		16,872,453
				88,348,761
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		27,300		1,703,247
Expeditors International of Washington, Inc.		35,600		1,641,338
FedEx Corp.		48,640		8,288,256
United Parcel Service, Inc. (Class B Stock)		127,900		12,394,789
				24,027,630
Airlines — 0.5%
American Airlines Group, Inc.		127,500		5,091,713
Delta Air Lines, Inc.		151,700		6,231,836
Southwest Airlines Co.		124,837		4,130,856
				15,454,405
Auto Components — 0.4%
BorgWarner, Inc.		41,800		2,375,912
Delphi Automotive PLC (United Kingdom)		53,600		4,560,824
Goodyear Tire & Rubber Co. (The)		50,000		1,507,500
Johnson Controls, Inc.		120,400		5,963,412
				14,407,648
Automobiles — 0.6%
Ford Motor Co.		726,959		10,911,655
General Motors Co.		248,200		8,272,506
Harley-Davidson, Inc.		38,900		2,192,015
				21,376,176
Banks — 6.0%
Bank of America Corp.		1,931,582		32,875,526
BB&T Corp.		133,100		5,365,261
Citigroup, Inc.		558,022		30,825,135
Comerica, Inc.		32,150		1,649,938
Fifth Third Bancorp		149,849		3,119,856
Huntington Bancshares, Inc.		148,275		1,676,990
JPMorgan Chase & Co.		685,045		46,418,649
KeyCorp		155,600		2,337,112
M&T Bank Corp.(a)		24,600		3,073,278
People’s United Financial, Inc.(a)		55,900		906,139
PNC Financial Services Group, Inc. (The)		95,593		9,143,471
Regions Financial Corp.		247,212		2,561,116
SunTrust Banks, Inc.		96,900		4,168,638
U.S. Bancorp		327,581		14,217,015

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Wells Fargo & Co.		861,436	$	48,447,161
Zions Bancorporation		36,700		1,164,675
				207,949,960
Beverages — 2.0%
Brown-Forman Corp. (Class B Stock)		28,850		2,890,193
Coca-Cola Co. (The)		722,350		28,337,790
Coca-Cola Enterprises, Inc.		40,300		1,750,632
Constellation Brands, Inc. (Class A Stock)		31,100		3,608,222
Dr. Pepper Snapple Group, Inc.		36,000		2,624,400
Molson Coors Brewing Co. (Class B Stock)		29,600		2,066,376
Monster Beverage Corp.*		27,000		3,618,540
PepsiCo, Inc.		272,414		25,427,123
				70,323,276
Biotechnology — 3.1%
Alexion Pharmaceuticals, Inc.*		40,300		7,285,031
Amgen, Inc.		139,894		21,476,527
Biogen, Inc.*		43,275		17,480,503
Celgene Corp.*		147,100		17,024,619
Gilead Sciences, Inc.		272,600		31,916,008
Regeneron Pharmaceuticals, Inc.*		13,700		6,988,781
Vertex Pharmaceuticals, Inc.*		44,600		5,507,208
				107,678,677
Building Products — 0.1%
Allegion PLC		17,733		1,066,463
Masco Corp.		63,500		1,693,545
				2,760,008
Capital Markets — 2.3%
Affiliated Managers Group, Inc.*		10,100		2,207,860
Ameriprise Financial, Inc.		33,700		4,210,141
Bank of New York Mellon Corp. (The)		204,389		8,578,206
BlackRock, Inc.		23,500		8,130,530
Charles Schwab Corp. (The)		211,400		6,902,210
E*TRADE Financial Corp.*		53,610		1,605,620
Franklin Resources, Inc.		72,400		3,549,772
Goldman Sachs Group, Inc. (The)		74,500		15,554,855
Invesco Ltd.		79,300		2,972,957
Legg Mason, Inc.		18,500		953,305
Morgan Stanley		283,410		10,993,474
Northern Trust Corp.		40,300		3,081,338
State Street Corp.		76,125		5,861,625
T. Rowe Price Group, Inc.		48,200		3,746,586
				78,348,479
Chemicals — 2.3%
Air Products & Chemicals, Inc.		35,600		4,871,148
Airgas, Inc.		12,800		1,353,984
CF Industries Holdings, Inc.		44,000		2,828,320
Dow Chemical Co. (The)		200,911		10,280,616
E.I. du Pont de Nemours & Co.		166,491		10,647,099
Eastman Chemical Co.		27,600		2,258,232
Ecolab, Inc.		49,300		5,574,351
FMC Corp.		24,900		1,308,495

SEE NOTES TO FINANCIAL STATEMENTS.

A108

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
International Flavors & Fragrances, Inc.		15,200	$	1,661,208
LyondellBasell Industries NV (Class A Stock)		73,100		7,567,312
Monsanto Co.		88,796		9,464,766
Mosaic Co. (The)		57,400		2,689,190
PPG Industries, Inc.		50,400		5,781,888
Praxair, Inc.(a)		53,400		6,383,970
Sherwin-Williams Co. (The)		14,900		4,097,798
Sigma-Aldrich Corp.		22,100		3,079,635
				79,848,012
Commercial Services & Supplies — 0.4%
ADT Corp. (The)(a)		31,400		1,054,098
Cintas Corp.		17,500		1,480,325
Pitney Bowes, Inc.		37,400		778,294
Republic Services, Inc.		45,635		1,787,523
Stericycle, Inc.*		15,700		2,102,387
Tyco International PLC		77,600		2,986,048
Waste Management, Inc.		78,830		3,653,770
				13,842,445
Communications Equipment — 1.5%
Cisco Systems, Inc.		940,975		25,839,173
F5 Networks, Inc.*		13,500		1,624,725
Harris Corp.		22,700		1,745,857
Juniper Networks, Inc.		66,300		1,721,811
Motorola Solutions, Inc.		35,427		2,031,384
QUALCOMM, Inc.		301,950		18,911,129
				51,874,079
Construction & Engineering — 0.1%
Fluor Corp.		27,800		1,473,678
Jacobs Engineering Group, Inc.*(a)		23,600		958,632
Quanta Services, Inc.*		39,200		1,129,744
				3,562,054
Construction Materials — 0.1%
Martin Marietta Materials, Inc.(a)		11,500		1,627,365
Vulcan Materials Co.		24,500		2,056,285
				3,683,650
Consumer Finance — 0.8%
American Express Co.		161,100		12,520,692
Capital One Financial Corp.		101,569		8,935,025
Discover Financial Services		82,605		4,759,700
Navient Corp.		72,400		1,318,404
				27,533,821
Containers & Packaging — 0.2%
Avery Dennison Corp.		16,900		1,029,886
Ball Corp.		25,400		1,781,810
MeadWestvaco Corp.		30,989		1,462,371
Owens-Illinois, Inc.*		30,300		695,082
Sealed Air Corp.		38,220		1,963,743
				6,932,892
Distributors — 0.1%
Genuine Parts Co.		28,225		2,526,984
Diversified Consumer Services
H&R Block, Inc.		50,900		1,509,185

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services — 1.9%
Berkshire Hathaway, Inc. (Class B Stock)*		335,200	$	45,624,072
CME Group, Inc.		58,600		5,453,316
Intercontinental Exchange, Inc.		20,698		4,628,280
Leucadia National Corp.		57,500		1,396,100
McGraw Hill Financial, Inc.		50,500		5,072,725
Moody’s Corp.(a)		32,820		3,543,247
NASDAQ OMX Group, Inc. (The)		22,100		1,078,701
				66,796,441
Diversified Telecommunication Services — 2.2%
AT&T, Inc.		953,111		33,854,503
CenturyLink, Inc.		104,585		3,072,707
Frontier Communications Corp.(a)		191,716		948,994
Level 3 Communications, Inc.*		53,000		2,791,510
Verizon Communications, Inc.		755,738		35,224,948
				75,892,662
Electric Utilities — 1.6%
American Electric Power Co., Inc.		90,440		4,790,607
Duke Energy Corp.(a)		127,348		8,993,316
Edison International		60,200		3,345,916
Entergy Corp.		33,400		2,354,700
Eversource Energy		58,500		2,656,485
Exelon Corp.		158,773		4,988,648
FirstEnergy Corp.		77,780		2,531,739
NextEra Energy, Inc.		81,875		8,026,206
Pepco Holdings, Inc.		45,900		1,236,546
Pinnacle West Capital Corp.		20,900		1,189,001
PPL Corp.		123,100		3,627,757
Southern Co. (The)		166,800		6,988,920
Xcel Energy, Inc.		93,395		3,005,451
				53,735,292
Electrical Equipment — 0.5%
AMETEK, Inc.		44,200		2,421,276
Eaton Corp. PLC		86,961		5,868,998
Emerson Electric Co.		124,900		6,923,207
Rockwell Automation, Inc.		25,100		3,128,464
				18,341,945
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		57,300		3,321,681
Corning, Inc.		234,700		4,630,631
FLIR Systems, Inc.		25,000		770,500
TE Connectivity Ltd. (Switzerland)		75,000		4,822,500
				13,545,312
Energy Equipment & Services — 1.3%
Baker Hughes, Inc.		79,448		4,901,941
Cameron International Corp.*		36,300		1,901,031
Diamond Offshore Drilling, Inc.(a)		11,900		307,139
Ensco PLC (Class A Stock)		43,300		964,291
FMC Technologies, Inc.*		43,200		1,792,368
Halliburton Co.		156,500		6,740,455
Helmerich & Payne, Inc.(a)		20,000		1,408,400
National Oilwell Varco, Inc.		71,300		3,442,364
Noble Corp. PLC(a)		43,600		671,004
Schlumberger Ltd.		234,972		20,252,237
Transocean Ltd.(a)		61,500		991,380
				43,372,610

SEE NOTES TO FINANCIAL STATEMENTS.

A109

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)		Shares		Value (Note 2)
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.			80,822	$	10,915,819
CVS Health Corp.			207,238		21,735,122
Kroger Co. (The)			90,700		6,576,657
Sysco Corp.			109,400		3,949,340
Wal-Mart Stores, Inc.			291,500		20,676,095
Walgreens Boots Alliance, Inc.			159,600		13,476,624
Whole Foods Market, Inc.			66,600		2,626,704
					79,956,361
Food Products — 1.6%
Archer-Daniels-Midland Co.			117,138		5,648,394
Campbell Soup Co.(a)			32,400		1,543,860
ConAgra Foods, Inc.			78,700		3,440,764
General Mills, Inc.			111,500		6,212,780
Hershey Co. (The)			27,400		2,433,942
Hormel Foods Corp.			24,500		1,381,065
J.M. Smucker Co. (The)			18,200		1,973,062
Kellogg Co.			46,800		2,934,360
Keurig Green Mountain, Inc.			21,300		1,632,219
Kraft Foods Group, Inc.			108,537		9,240,840
McCormick & Co., Inc. (Non-Voting Shares)			23,700		1,918,515
Mead Johnson Nutrition Co.			37,393		3,373,596
Mondelez International, Inc. (Class A Stock)			301,511		12,404,163
Tyson Foods, Inc. (Class A Stock)(a)			54,000		2,302,020
					56,439,580
Gas Utilities
AGL Resources, Inc.			22,437		1,044,667
Health Care Equipment & Supplies — 2.1%
Abbott Laboratories			278,550		13,671,234
Baxter International, Inc.(a)			100,200		7,006,986
Becton, Dickinson & Co.			38,554		5,461,174
Boston Scientific Corp.*			242,699		4,295,772
C.R. Bard, Inc.	��		13,800		2,355,660
DENTSPLY International, Inc.			25,500		1,314,525
Edwards Lifesciences Corp.*			20,000		2,848,600
Intuitive Surgical, Inc.*			6,790		3,289,755
Medtronic PLC			261,828		19,401,455
St. Jude Medical, Inc.			52,100		3,806,947
Stryker Corp.			55,300		5,285,021
Varian Medical Systems, Inc.*(a)			18,700		1,576,971
Zimmer Biomet Holdings, Inc.			31,386		3,428,293
					73,742,393
Health Care Providers & Services — 2.9%
Aetna, Inc.			64,957		8,279,419
AmerisourceBergen Corp.			38,600		4,104,724
Anthem, Inc.			49,300		8,092,102
Cardinal Health, Inc.			60,975		5,100,559
Cigna Corp.			47,700		7,727,400
DaVita HealthCare Partners, Inc.*			32,000		2,543,040
Express Scripts Holding Co.*			133,626		11,884,696
HCA Holdings, Inc.*			54,400		4,935,168
Henry Schein, Inc.*			15,500		2,202,860
Humana, Inc.			27,700		5,298,456

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
Laboratory Corp. of America Holdings*		18,600	$	2,254,692
McKesson Corp.		43,007		9,668,404
Patterson Cos., Inc.		16,000		778,400
Quest Diagnostics, Inc.		27,000		1,958,040
Tenet Healthcare Corp.*		18,000		1,041,840
UnitedHealth Group, Inc.		175,700		21,435,400
Universal Health Services, Inc. (Class B Stock)		16,700		2,373,070
				99,678,270
Health Care Technology — 0.1%
Cerner Corp.*		56,300		3,888,078
Hotels, Restaurants & Leisure — 1.7%
Carnival Corp.		83,200		4,109,248
Chipotle Mexican Grill, Inc.*		5,770		3,490,792
Darden Restaurants, Inc.		22,950		1,631,286
Marriott International, Inc. (Class A Stock)(a)		38,303		2,849,360
McDonald’s Corp.		176,800		16,808,376
Royal Caribbean Cruises Ltd.(a)		30,700		2,415,783
Starbucks Corp.		275,700		14,781,656
Starwood Hotels & Resorts Worldwide, Inc.		31,700		2,570,553
Wyndham Worldwide Corp.		22,463		1,839,944
Wynn Resorts Ltd.		14,900		1,470,183
Yum! Brands, Inc.		80,000		7,206,400
				59,173,581
Household Durables — 0.4%
D.R. Horton, Inc.		61,600		1,685,376
Garmin Ltd.		22,700		997,211
Harman International Industries, Inc.		12,900		1,534,326
Leggett & Platt, Inc.		25,900		1,260,812
Lennar Corp. (Class A Stock)(a)		33,200		1,694,528
Mohawk Industries, Inc.*		11,500		2,195,350
Newell Rubbermaid, Inc.		50,449		2,073,958
PulteGroup, Inc.		60,785		1,224,818
Whirlpool Corp.		14,507		2,510,436
				15,176,815
Household Products — 1.7%
Clorox Co. (The)		24,300		2,527,686
Colgate-Palmolive Co.		157,400		10,295,534
Kimberly-Clark Corp.		67,488		7,151,703
Procter & Gamble Co. (The)		498,406		38,995,286
				58,970,209
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		123,400		1,636,284
NRG Energy, Inc.		62,900		1,439,152
				3,075,436
Industrial Conglomerates — 2.3%
3M Co.		116,700		18,006,810
Danaher Corp.		113,000		9,671,670
General Electric Co.		1,849,875		49,151,179
Roper Technologies, Inc.		18,600		3,207,756
				80,037,415

SEE NOTES TO FINANCIAL STATEMENTS.

A110

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance — 2.5%
ACE Ltd.		60,500	$	6,151,640
Aflac, Inc.		81,100		5,044,420
Allstate Corp. (The)		76,888		4,987,725
American International Group, Inc.		245,429		15,172,421
Aon PLC		51,725		5,155,948
Assurant, Inc.		13,200		884,400
Chubb Corp. (The)		42,700		4,062,478
Cincinnati Financial Corp.		27,828		1,396,409
Genworth Financial, Inc. (Class A Stock)*		90,600		685,842
Hartford Financial Services Group, Inc. (The)		77,700		3,229,989
Lincoln National Corp.		47,063		2,787,071
Loews Corp.		55,526		2,138,306
Marsh & McLennan Cos., Inc.		99,500		5,641,650
MetLife, Inc.		205,300		11,494,747
Principal Financial Group, Inc.(a)		50,500		2,590,145
Progressive Corp. (The)(a)		99,000		2,755,170
Torchmark Corp.		23,375		1,360,892
Travelers Cos., Inc. (The)		59,398		5,741,411
Unum Group		46,656		1,667,952
XL Group PLC (Ireland)		53,500		1,990,200
				84,938,816
Internet & Catalog Retail — 1.5%
Amazon.com, Inc.*		70,100		30,429,709
Expedia, Inc.		18,100		1,979,235
Netflix, Inc.*		11,070		7,272,326
Priceline Group, Inc. (The)*		9,570		11,018,611
TripAdvisor, Inc.*		20,900		1,821,226
				52,521,107
Internet Software & Services — 3.3%
Akamai Technologies, Inc.*		33,100		2,311,042
eBay, Inc.*		202,400		12,192,576
Equinix, Inc.		10,500		2,667,000
Facebook, Inc. (Class A Stock)*		386,000		33,105,290
Google, Inc. (Class A Stock)*		52,515		28,360,201
Google, Inc. (Class C Stock)*		52,840		27,503,748
VeriSign, Inc.*(a)		19,500		1,203,540
Yahoo!, Inc.*		160,200		6,294,258
				113,637,655
IT Services — 3.3%
Accenture PLC (Class A Stock)		115,400		11,168,412
Alliance Data Systems Corp.*		11,500		3,357,310
Automatic Data Processing, Inc.		87,700		7,036,171
Cognizant Technology Solutions Corp. (Class A Stock)*		112,100		6,848,189
Computer Sciences Corp.		26,300		1,726,332
Fidelity National Information Services, Inc.		52,700		3,256,860
Fiserv, Inc.*		44,100		3,652,803
International Business Machines Corp.		169,125		27,509,872
MasterCard, Inc. (Class A Stock)		178,500		16,686,180
Paychex, Inc.		60,350		2,829,208
Teradata Corp.*(a)		27,000		999,000
Total System Services, Inc.		29,893		1,248,631
Visa, Inc. (Class A Stock)		356,100		23,912,115

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Western Union Co. (The)(a)		96,304	$	1,957,860
Xerox Corp.		189,611		2,017,461
				114,206,404
Leisure Products — 0.1%
Hasbro, Inc.		21,150		1,581,808
Mattel, Inc.		61,581		1,582,016
				3,163,824
Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.		61,982		2,391,266
PerkinElmer, Inc.		20,700		1,089,648
Thermo Fisher Scientific, Inc.		73,300		9,511,408
Waters Corp.*		15,500		1,989,890
				14,982,212
Machinery — 1.5%
Caterpillar, Inc.(a)		111,300		9,440,466
Cummins, Inc.		31,100		4,080,009
Deere & Co.		61,750		5,992,838
Dover Corp.		30,000		2,105,400
Flowserve Corp.		24,600		1,295,436
Illinois Tool Works, Inc.		63,275		5,808,012
Ingersoll-Rand PLC		48,700		3,283,354
Joy Global, Inc.		18,200		658,840
PACCAR, Inc.(a)		65,528		4,181,342
Pall Corp.		19,800		2,464,110
Parker-Hannifin Corp.		25,887		3,011,435
Pentair PLC (United Kingdom)		33,107		2,276,106
Snap-on, Inc.		11,000		1,751,750
Stanley Black & Decker, Inc.		29,135		3,066,167
Xylem, Inc.		33,600		1,245,552
				50,660,817
Media — 3.6%
Cablevision Systems Corp. (Class A Stock)(a)		39,300		940,842
CBS Corp. (Class B Non-Voting Stock)		84,468		4,687,974
Comcast Corp. (Class A Stock)		466,246		28,040,034
DIRECTV*		92,825		8,613,232
Discovery Communications, Inc. (Class A Stock)*(a)		27,500		914,650
Discovery Communications, Inc. (Class C Stock)*(a)		49,100		1,526,028
Gannett Co., Inc.*		21,050		294,489
Interpublic Group of Cos., Inc. (The)		75,062		1,446,445
News Corp. (Class A Stock)*		88,925		1,297,416
Omnicom Group, Inc.		45,600		3,168,744
Scripps Networks Interactive, Inc. (Class A Stock)(a)		17,900		1,170,123
Tegna, Inc.		42,100		1,350,147
Time Warner Cable, Inc.		51,626		9,198,204
Time Warner, Inc.		152,715		13,348,818
Twenty-First Century Fox, Inc. (Class A Stock)		325,700		10,599,906
Viacom, Inc. (Class B Stock)		67,443		4,359,516
Walt Disney Co. (The)		287,676		32,835,339
				123,791,907

SEE NOTES TO FINANCIAL STATEMENTS.

A111

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.3%
Alcoa, Inc.		224,376	$	2,501,792
Allegheny Technologies, Inc.		19,340		584,068
Freeport-McMoRan, Inc.		189,012		3,519,404
Newmont Mining Corp.		96,303		2,249,638
Nucor Corp.		58,900		2,595,723
				11,450,625
Multiline Retail — 0.8%
Dollar General Corp.		55,100		4,283,474
Dollar Tree, Inc.*		38,000		3,001,620
Family Dollar Stores, Inc.		17,500		1,379,175
Kohl’s Corp.(a)		37,300		2,335,353
Macy’s, Inc.		62,920		4,245,212
Nordstrom, Inc.		26,000		1,937,000
Target Corp.		117,168		9,564,424
				26,746,258
Multi-Utilities — 1.1%
Ameren Corp.		44,900		1,691,832
CenterPoint Energy, Inc.		79,410		1,511,172
CMS Energy Corp.		51,000		1,623,840
Consolidated Edison, Inc.		54,100		3,131,308
Dominion Resources, Inc.		107,784		7,207,516
DTE Energy Co.		32,800		2,448,192
NiSource, Inc.		58,400		2,662,456
PG&E Corp.		88,000		4,320,800
Public Service Enterprise Group, Inc.		93,500		3,672,680
SCANA Corp.		26,600		1,347,290
Sempra Energy		42,754		4,230,081
TECO Energy, Inc.		42,300		747,018
Wec Energy Group, Inc.		58,676		2,638,678
				37,232,863
Oil, Gas & Consumable Fuels — 6.4%
Anadarko Petroleum Corp.		93,526		7,300,639
Apache Corp.		69,550		4,008,166
Cabot Oil & Gas Corp.(a)		76,300		2,406,502
Chesapeake Energy Corp.(a)		93,400		1,043,278
Chevron Corp.		345,542		33,334,437
Cimarex Energy Co.		16,200		1,787,022
ConocoPhillips		226,629		13,917,287
CONSOL Energy, Inc.(a)		41,800		908,732
Devon Energy Corp.		71,400		4,247,586
EOG Resources, Inc.		100,900		8,833,795
EQT Corp.		28,100		2,285,654
Exxon Mobil Corp.		771,704		64,205,773
Hess Corp.		44,975		3,007,928
Kinder Morgan, Inc.		316,543		12,152,086
Marathon Oil Corp.		124,594		3,306,725
Marathon Petroleum Corp.		100,894		5,277,765
Murphy Oil Corp.(a)		31,300		1,301,141
Newfield Exploration Co.*		30,000		1,083,600
Noble Energy, Inc.		71,400		3,047,352
Occidental Petroleum Corp.		141,600		11,012,232
ONEOK, Inc.		38,540		1,521,559
Phillips 66		100,364		8,085,324
Pioneer Natural Resources Co.		27,200		3,772,368
QEP Resources, Inc.		29,800		551,598

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Range Resources Corp.		30,500	$	1,506,090
Southwestern Energy Co.*		71,000		1,613,830
Spectra Energy Corp.		123,942		4,040,509
Tesoro Corp.		23,200		1,958,312
Valero Energy Corp.		95,100		5,953,260
Williams Cos., Inc. (The)		123,600		7,093,404
				220,563,954
Paper & Forest Products — 0.1%
International Paper Co.		78,067		3,715,208
Personal Products — 0.1%
Estee Lauder Cos., Inc. (The) (Class A Stock)		41,200		3,570,392
Pharmaceuticals — 6.3%
AbbVie, Inc.		316,100		21,238,759
Allergan PLC*		71,706		21,759,903
Bristol-Myers Squibb Co.		306,040		20,363,902
Eli Lilly & Co.		179,400		14,978,106
Endo International PLC*		36,100		2,875,365
Hospira, Inc.*		31,720		2,813,881
Johnson & Johnson		510,996		49,801,670
Mallinckrodt PLC*		21,500		2,530,980
Merck & Co., Inc.		522,303		29,734,710
Mylan NV*(a)		73,800		5,008,068
Perrigo Co. PLC		26,500		4,897,995
Pfizer, Inc.		1,130,323		37,899,730
Zoetis, Inc.		92,500		4,460,350
				218,363,419
Professional Services — 0.2%
Dun & Bradstreet Corp. (The)		6,900		841,800
Equifax, Inc.		22,100		2,145,689
Nielsen NV		66,000		2,954,820
Robert Half International, Inc.		25,400		1,409,700
				7,352,009
Real Estate Investment Trusts (REITs) — 2.3%
American Tower Corp.		78,000		7,276,620
Apartment Investment & Management Co. (Class A Stock)		28,974		1,070,010
AvalonBay Communities, Inc.		24,418		3,903,706
Boston Properties, Inc.		28,300		3,425,432
Crown Castle International Corp.(a)		61,700		4,954,510
Equity Residential		67,200		4,715,424
Essex Property Trust, Inc.		12,100		2,571,250
General Growth Properties, Inc.		116,000		2,976,560
HCP, Inc.		85,100		3,103,597
Health Care REIT, Inc.		64,500		4,233,135
Host Hotels & Resorts, Inc.		137,326		2,723,174
Iron Mountain, Inc.(a)		34,030		1,054,930
Kimco Realty Corp.		76,200		1,717,548
Macerich Co. (The)		26,200		1,954,520
Plum Creek Timber Co., Inc.		32,100		1,302,297
Prologis, Inc.		94,528		3,506,989
Public Storage		26,800		4,941,116
Realty Income Corp.(a)		39,400		1,748,966
Simon Property Group, Inc.		57,101		9,879,615

SEE NOTES TO FINANCIAL STATEMENTS.

A112

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
SL Green Realty Corp.		18,300	$	2,010,987
Ventas, Inc.		61,104		3,793,947
Vornado Realty Trust		32,257		3,062,157
Weyerhaeuser Co.		96,910		3,052,665
				78,979,155
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		52,300		1,935,100
Road & Rail — 0.8%
CSX Corp.		181,372		5,921,796
Kansas City Southern		20,600		1,878,720
Norfolk Southern Corp.		56,800		4,962,048
Ryder System, Inc.		9,600		838,752
Union Pacific Corp.		162,300		15,478,551
				29,079,867
Semiconductors & Semiconductor Equipment — 2.3%
Altera Corp.		54,400		2,785,280
Analog Devices, Inc.		57,600		3,697,056
Applied Materials, Inc.		224,200		4,309,124
Avago Technologies Ltd. (Singapore)		47,400		6,300,882
Broadcom Corp. (Class A Stock)		100,650		5,182,468
First Solar, Inc.*(a)		14,300		671,814
Intel Corp.		870,600		26,479,299
KLA-Tencor Corp.		30,400		1,708,784
Lam Research Corp.		29,550		2,403,892
Linear Technology Corp.		44,200		1,954,966
Microchip Technology, Inc.(a)		37,300		1,768,953
Micron Technology, Inc.*(a)		197,100		3,713,364
NVIDIA Corp.		93,450		1,879,280
Qorvo, Inc.*		26,086		2,093,923
Skyworks Solutions, Inc.		35,300		3,674,730
Texas Instruments, Inc.(a)		192,300		9,905,373
Xilinx, Inc.		48,200		2,128,512
				80,657,700
Software — 3.6%
Adobe Systems, Inc.*		87,875		7,118,754
Autodesk, Inc.*		41,900		2,098,143
CA, Inc.(a)		58,873		1,724,390
Citrix Systems, Inc.*		29,700		2,083,752
Electronic Arts, Inc.*		57,400		3,817,100
Intuit, Inc.		51,100		5,149,347
Microsoft Corp.		1,494,000		65,960,100
Oracle Corp.		589,295		23,748,588
Red Hat, Inc.*(a)		33,600		2,551,248
Salesforce.com, inc.*		111,700		7,777,671
Symantec Corp.		124,811		2,901,856
				124,930,949
Specialty Retail — 2.3%
AutoNation, Inc.*		14,289		899,921
AutoZone, Inc.*(a)		5,900		3,934,710
Bed Bath & Beyond, Inc.*(a)		32,400		2,234,952
Best Buy Co., Inc.		53,825		1,755,233
CarMax, Inc.*		38,200		2,529,222

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
GameStop Corp. (Class A Stock)(a)		19,800	$	850,608
Gap, Inc. (The)		49,087		1,873,651
Home Depot, Inc. (The)		241,169		26,801,111
L. Brands, Inc.		45,396		3,891,799
Lowe’s Cos., Inc.		172,825		11,574,091
O’Reilly Automotive, Inc.*		18,800		4,248,424
Ross Stores, Inc.		76,600		3,723,526
Staples, Inc.		116,100		1,777,491
Tiffany & Co.		20,800		1,909,440
TJX Cos., Inc. (The)		126,100		8,344,037
Tractor Supply Co.		25,200		2,266,488
Urban Outfitters, Inc.*		19,000		665,000
				79,279,704
Technology Hardware, Storage & Peripherals — 4.7%
Apple, Inc.		1,062,405		133,252,147
EMC Corp.		362,474		9,565,689
Hewlett-Packard Co.		335,466		10,067,335
NetApp, Inc.		57,900		1,827,324
SanDisk Corp.		39,400		2,293,868
Seagate Technology PLC(a)		59,400		2,821,500
Western Digital Corp.		40,100		3,144,642
				162,972,505
Textiles, Apparel & Luxury Goods — 0.9%
Coach, Inc.		51,000		1,765,110
Fossil Group, Inc.*		8,300		575,688
Hanesbrands, Inc.		74,000		2,465,680
Michael Kors Holdings Ltd.*		37,300		1,569,957
NIKE, Inc. (Class B Stock)		128,700		13,902,174
PVH Corp.		15,400		1,774,080
Ralph Lauren Corp.		11,400		1,508,904
Under Armour, Inc. (Class A Stock)*(a)		30,400		2,536,576
VF Corp.		63,244		4,410,637
				30,508,806
Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		88,000		869,440
Tobacco 1.3%
Altria Group, Inc.		363,500		17,778,785
Philip Morris International, Inc.		284,600		22,816,382
Reynolds American, Inc.		76,242		5,692,228
				46,287,395
Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		50,200		2,117,436
United Rentals, Inc.*(a)		17,900		1,568,398
W.W. Grainger, Inc.(a)		11,000		2,603,150
				6,288,984
TOTAL LONG-TERM INVESTMENTS (cost $1,329,571,580)				3,353,542,284

SEE NOTES TO FINANCIAL STATEMENTS.

A113

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

SHORT-TERM INVESTMENTS — 6.2%	Shares		Value (Note 2)
AFFILIATED MONEY MARKET MUTUAL FUND — 6.0%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $208,948,664; includes $111,980,415 of cash collateral for securities on loan) (Note 4)(b)(c)		208,948,664	$	208,948,664
	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills, 0.152%, 09/17/15 (cost $5,998,049)(d)(e)		6,000		6,000,000
TOTAL SHORT-TERM INVESTMENTS (cost $214,946,713)				214,948,664
TOTAL INVESTMENTS — 103.1% (cost $1,544,518,293)				3,568,490,948
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (3.1)%				(107,560,000	)
NET ASSETS — 100.0%			$	3,460,930,948

See the Glossary for abbreviations used in the Portfolio descriptions.

# Principal amount 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 $108,588,439; cash collateral of $111,980,415 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

Futures contracts outstanding at June 30, 2015:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2015		Unrealized Depreciation(1)
Long Positions:
41	S&P 500 E-mini		Sep. 2015	$	4,278,165	$	4,211,520	$	(66,645	)
201	S&P 500 Index		Sep. 2015		104,944,702		103,233,600		(1,711,102	)
								$	(1,777,747	)

(1) A U.S. Government Treasury security with a market value of $6,000,000 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2015.

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—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	88,348,761	$	—	$	—
Air Freight & Logistics		24,027,630		—		—
Airlines		15,454,405		—		—
Auto Components		14,407,648		—		—
Automobiles		21,376,176		—		—
Banks		207,949,960		—		—
Beverages		70,323,276		—		—
Biotechnology		107,678,677		—		—
Building Products		2,760,008		—		—
Capital Markets		78,348,479		—		—
Chemicals		79,848,012		—		—
Commercial Services & Supplies		13,842,445		—		—
Communications Equipment		51,874,079		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A114

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Construction & Engineering	$	3,562,054		$	—	$	—
Construction Materials		3,683,650			—		—
Consumer Finance		27,533,821			—		—
Containers & Packaging		6,932,892			—		—
Distributors		2,526,984			—		—
Diversified Consumer Services		1,509,185			—		—
Diversified Financial Services		66,796,441			—		—
Diversified Telecommunication Services		75,892,662			—		—
Electric Utilities		53,735,292			—		—
Electrical Equipment		18,341,945			—		—
Electronic Equipment, Instruments & Components		13,545,312			—		—
Energy Equipment & Services		43,372,610			—		—
Food & Staples Retailing		79,956,361			—		—
Food Products		56,439,580			—		—
Gas Utilities		1,044,667			—		—
Health Care Equipment & Supplies		73,742,393			—		—
Health Care Providers & Services		99,678,270			—		—
Health Care Technology		3,888,078			—		—
Hotels, Restaurants & Leisure		59,173,581			—		—
Household Durables		15,176,815			—		—
Household Products		58,970,209			—		—
Independent Power & Renewable Electricity Producers		3,075,436			—		—
Industrial Conglomerates		80,037,415			—		—
Insurance		84,938,816			—		—
Internet & Catalog Retail		52,521,107			—		—
Internet Software & Services		113,637,655			—		—
IT Services		114,206,404			—		—
Leisure Products		3,163,824			—		—
Life Sciences Tools & Services		14,982,212			—		—
Machinery		50,660,817			—		—
Media		123,791,907			—		—
Metals & Mining		11,450,625			—		—
Multiline Retail		26,746,258			—		—
Multi-Utilities		37,232,863			—		—
Oil, Gas & Consumable Fuels		220,563,954			—		—
Paper & Forest Products		3,715,208			—		—
Personal Products		3,570,392			—		—
Pharmaceuticals		218,363,419			—		—
Professional Services		7,352,009			—		—
Real Estate Investment Trusts (REITs)		78,979,155			—		—
Real Estate Management & Development		1,935,100			—		—
Road & Rail		29,079,867			—		—
Semiconductors & Semiconductor Equipment		80,657,700			—		—
Software		124,930,949			—		—
Specialty Retail		79,279,704			—		—
Technology Hardware, Storage & Peripherals		162,972,505			—		—
Textiles, Apparel & Luxury Goods		30,508,806			—		—
Thrifts & Mortgage Finance		869,440			—		—
Tobacco		46,287,395			—		—
Trading Companies & Distributors		6,288,984			—		—
Affiliated Money Market Mutual Fund		208,948,664			—		—
U.S. Treasury Obligation		—			6,000,000		—
Other Financial Instruments*
Futures Contracts		(1,777,747	)		—		—
Total	$	3,560,713,201		$	6,000,000	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A115

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of June 30, 2015 (Unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:

Oil, Gas & Consumable Fuels	6.4	%
Pharmaceuticals	6.3
Affiliated Money Market Mutual Fund (including 3.2% of collateral for securities on loan)	6.0
Banks	6.0
Technology Hardware, Storage & Peripherals	4.7
Software	3.6
Media	3.6
IT Services	3.3
Internet Software & Services	3.3
Biotechnology	3.1
Health Care Providers & Services	2.9
Aerospace & Defense	2.6
Insurance	2.5
Semiconductors & Semiconductor Equipment	2.3
Industrial Conglomerates	2.3
Food & Staples Retailing	2.3
Chemicals	2.3
Specialty Retail	2.3
Real Estate Investment Trusts (REITs)	2.3
Capital Markets	2.3
Diversified Telecommunication Services	2.2
Health Care Equipment & Supplies	2.1
Beverages	2.0
Diversified Financial Services	1.9
Hotels, Restaurants & Leisure	1.7
Household Products	1.7
Food Products	1.6
Electric Utilities	1.6
Internet & Catalog Retail	1.5
Communications Equipment	1.5
Machinery	1.5
Tobacco	1.3
Energy Equipment & Services	1.3

Multi-Utilities	1.1	%
Textiles, Apparel & Luxury Goods	0.9
Road & Rail	0.8
Consumer Finance	0.8
Multiline Retail	0.8
Air Freight & Logistics	0.7
Automobiles	0.6
Electrical Equipment	0.5
Airlines	0.5
Household Durables	0.4
Life Sciences Tools & Services	0.4
Auto Components	0.4
Commercial Services & Supplies	0.4
Electronic Equipment, Instruments & Components	0.4
Metals & Mining	0.3
Professional Services	0.2
Containers & Packaging	0.2
Trading Companies & Distributors	0.2
U.S. Treasury Obligation	0.2
Health Care Technology	0.1
Paper & Forest Products	0.1
Construction Materials	0.1
Personal Products	0.1
Construction & Engineering	0.1
Leisure Products	0.1
Independent Power & Renewable Electricity Producers	0.1
Building Products	0.1
Distributors	0.1
Real Estate Management & Development	0.1
	103.1
Liabilities in excess of other assets	(3.1	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for 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/to broker — variation margin futures	$	—	Due from/to broker — variation margin futures	$	1,777,747	*

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	7,070,392
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(5,795,603	)

For the six months ended June 30, 2015, the Fund’s average value at trade date for futures long positions was $106,999,805.

SEE NOTES TO FINANCIAL STATEMENTS.

A116

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(Unaudited)

as of June 30, 2015

ASSETS
Investments at value, including securities on loan of $108,588,439:
Unaffiliated investments (cost $1,335,569,629)	$	3,359,542,284
Affiliated investments (cost $208,948,664)		208,948,664
Cash		287,493
Dividends and interest receivable		3,916,484
Receivable for investments sold		2,047,724
Due from broker—variation margin futures		203,970
Receivable for Series shares sold		8,163
Tax reclaim receivable		494
Prepaid expenses		3,496
Total Assets		3,574,958,772
LIABILITIES
Payable to broker for collateral for securities on loan		111,980,415
Management fee payable		868,539
Payable for Series shares repurchased		800,099
Payable for investments purchased		197,570
Accrued expenses and other liabilities		180,275
Affiliated transfer agent fee payable		926
Total Liabilities		114,027,824
NET ASSETS	$	3,460,930,948
Net assets were comprised of:
Paid-in capital	$	1,417,174,813
Retained earnings		2,043,756,135
Net assets, June 30, 2015	$	3,460,930,948
Net asset value and redemption price per share $3,460,930,948 /  71,292,904 outstanding shares of beneficial interest	$	48.55

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2015

NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $6,862)	$	34,621,339
Affiliated income from securities lending, net		134,749
Affiliated dividend income		88,207
Interest income		3,172
Total income		34,847,467
EXPENSES
Management fee		5,985,632
Custodian and accounting fees		162,000
Shareholders’ reports		54,000
Insurance expenses		20,000
Trustees’ fees		19,000
Audit fee		11,000
Legal fees and expenses		7,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800)		6,000
Miscellaneous		13,251
Total expenses		6,277,883
Less: Management fee waiver		(855,117	)
Net expenses		5,422,766
NET INVESTMENT INCOME		29,424,701
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		34,869,859
Futures transactions		7,070,392
		41,940,251
Net change in unrealized appreciation (depreciation) on:
Investments		(28,370,106	)
Futures		(5,795,603	)
		(34,165,709	)
NET GAIN ON INVESTMENT TRANSACTIONS		7,774,542
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	37,199,243

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2015			Year Ended December 31, 2014
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	29,424,701		$	51,495,446
Net realized gain on investment transactions		41,940,251			41,942,935
Net change in unrealized appreciation (depreciation) on investments		(34,165,709	)		295,725,505
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		37,199,243			389,163,886
DISTRIBUTIONS		(93,414,310	)		(225,034,357	)
SERIES SHARE TRANSACTIONS
Series shares sold [4,255,287 and 5,571,572 shares, respectively]		211,647,212			260,144,327
Series shares issued in reinvestment of distributions [1,896,737 and 4,895,244 shares, respectively]		93,414,310			225,034,357
Series shares repurchased [2,010,192 and 4,786,716 shares, respectively]		(100,589,305	)		(227,184,200	)
NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		204,472,217			257,994,484
TOTAL INCREASE		148,257,150			422,124,013
NET ASSETS:
Beginning of period		3,312,673,798			2,890,549,785
End of period	$	3,460,930,948		$	3,312,673,798

SEE NOTES TO FINANCIAL STATEMENTS.

A117

	GLOSSARY
SCHEDULE OF INVESTMENTS		As of June 30, 2015 (Unaudited)

The following abbreviations are used in the preceding Portfolios’ descriptions:

Currency

AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CLP	Chilean Peso
COP	Colombian Peso
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
JPY	Japanese Yen
MXN	Mexican Peso
PLN	Polish Zloty
TRY	Turkish Lira
ZAR	South African Rand

Index

CDX	Credit Derivative Index
DAX	German Stock Index
IBEX	Spanish Stock Index
STOXX	Stock Index of Eurozone

Other

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.
RegS	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
ADR	American Depositary Receipt
AID	Agency for International Development
BABs	Build America Bonds
BBSW	Australian Bank Bill Swap Reference Rate
bps	Basis Points
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
CMBS	Collateralized Mortgage-Backed Security
COLIBOR	Columbia Interbank Offered Rate
CVA	Certificate Van Aandelen (Bearer)
EMTN	Euro Medium Term Note
EUROIS	Euro Overnight Index Swap
FHLMC	Federal Home Loan Mortgage Corp.
GMTN	Global Medium Term Note
GO	General Obligation
I/O	Interest Only
JIBAR	Johannesburg Interbank Agreed Rate
LIBOR	London Interbank Offered Rate
MSCI	Morgan Stanley Capital International
MTN	Medium Term Note
OIS	Overnight Index Swap
PIK	Payment-in-Kind
PO	Principle Only
PRFC	Preference Shares
REIT	Real Estate Investment Trust
REMICS	Real Estate Mortgage Investment Conduit Service
STRIPS	Separate Trading of Registered Interest and Principle of Securities
SWX	Swiss Exchange
TBA	To Be Announced
TIPS	Treasury Inflation Protected Securities
USAID	United States Agency for International Development

SEE NOTES TO FINANCIAL STATEMENTS.

A118

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the 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.

Note 2: Accounting Policies

The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

Securities Valuation:    Each Portfolio holds 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 adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, 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 where the security principally trades. 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 in the fair value hierarchy.

In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

B1

Common and preferred stocks traded on foreign securities exchanges 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 in the fair value hierarchy. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

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 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.

OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

Portfolio securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Restricted and Illiquid Securities:    Subject to guidelines adopted by the Board, each Portfolio may invest 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. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation:    The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i)  market value of investment securities, other assets and liabilities — at the current daily rates of exchange;

(ii)  purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

B2

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do 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 Portfolios do 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 holdings of foreign currencies, forward currency contracts, disposition 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 Portfolios’ 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.

Concentration of Risk:    The ability of debt securities issuers (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 or economic instability or the level of governmental supervision and regulation of foreign securities markets.

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios 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. 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. A 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.

Cross Currency Exchange Contracts:    A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Short Sales:    Certain Portfolios 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 or loss. When the contract expires or is closed, the gain or loss is realized and is presented in the Statement of Operations as net realized gain or loss on financial futures contracts.

B3

Certain Portfolios invested in 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, the value of equities or foreign currency exchange rates. The Portfolio may also use futures to gain additional 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. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Options:    Certain Portfolios purchased and 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. 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. The Portfolio, as a purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options, and guarantees the options contracts against default.

Swap Agreements:    Certain Portfolios entered 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 a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange-traded”). 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. Exchange-traded swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. 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. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. A 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.

Credit Default Swaps:    Credit default swaps (“CDS”) 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 (collectively a “credit event”) for the referenced entity (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. Certain Portfolios are subject to credit risk in the normal course of pursuing their

B4

investment objectives. Certain Portfolios may enter into credit default swaps to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the 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. This potential amount 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 which the Portfolio entered into 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 market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk 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 indicators of the current status of the payment/performance risk. Wider credit spreads and increased 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 of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency Swaps:    Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.

Total Return Swaps:    In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. The Portfolio is subject to risk exposures associated with the referenced asset in the normal course of pursuing its investment objectives. Certain Portfolios entered into total return swaps to manage its exposure to a security or an index. The Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Fund’s favor, from the point of entering into the contract.

Master Netting Arrangements:    Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are arrangements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. 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. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.

B5

Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian, and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

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 no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified 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 to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of June 30, 2015, 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. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights:    Certain Portfolios 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 approved fair valuation procedures.

Securities Lending:    Each Portfolio 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 in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of 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.

B6

Dollar Rolls:    Certain Portfolios 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 that may differ from actual.

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 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 the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders 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 Portfolio’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. 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 subadvisers’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisers, cost of 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.

B7

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		0.74	*
Government Income Portfolio	0.40		0.40
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion		0.30	**

* PI has contractually agreed, through March 31, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio. Effective April 1, 2015, PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio.

** PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

At June 30, 2015, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:

Portfolio	Subadviser(s)
Conservative Balanced Portfolio	PIM, QMA
Diversified Bond Portfolio	PIM
Equity Portfolio	Jennison
Flexible Managed Portfolio	PIM, QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PIM
Stock Index Portfolio	QMA

The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, 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”).

Certain 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 with realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2015, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio	$	176,026
Global Portfolio		12,946

B8

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 securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated for the securities lending as follows:

Portfolio	Amount
Conservative Balanced Portfolio	$	34,257
Diversified Bond Portfolio		10,242
Equity Portfolio		42,269
Flexible Managed Portfolio		31,773
Global Portfolio		3,706
Government Income Portfolio		4,145
Stock Index Portfolio		40,250

Certain Portfolios invest in the Prudential Core Short-Term Bond Fund and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as “Affiliated dividend income”.

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the six months ended June 30, 2015 were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	1,890,866,083	$	1,979,635,655
Diversified Bond Portfolio		202,903,490		138,157,957
Equity Portfolio		629,127,960		751,646,232
Flexible Managed Portfolio		3,375,981,936		3,516,590,583
Global Portfolio		116,907,055		130,673,102
Government Income Portfolio		1,043,483,955		1,028,889,951
Stock Index Portfolio		235,291,565		95,779,442

Options written transactions, during the six months ended June 30, 2015, were as follows:

Conservative Balanced Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		84,000		$	38,632
Options written		530,100			775,130
Options closed		(268,000	)		(415,369	)
Options expired		(291,700	)		(157,081	)
Balance as of June 30, 2015		54,400		$	241,312

Diversified Bond Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		649,000		$	455,618
Options written		132,238,850			934,850
Options closed		(131,705,000	)		(391,476	)
Options expired		(649,500	)		(727,831	)
Balance as of June 30, 2015		533,350		$	271,161

B9

Flexible Managed Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		108,800		$	50,037
Options written		661,100			987,732
Options closed		(329,700	)		(506,869	)
Options expired		(364,800	)		(196,326	)
Balance as of June 30, 2015		75,400		$	334,574

Government Income Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2014		76,400		$	35,136
Options written		384,000			576,773
Options closed		(199,500	)		(307,761	)
Options expired		(218,500	)		(116,067	)
Balance as of June 30, 2015		42,400		$	188,081

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. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local 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 reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of June 30, 2015, the Equity Portfolio has Class II shares outstanding.

B10

Transactions in shares of beneficial interest of the Equity Portfolio were as follows:

Equity Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2015:
Series shares sold		139,289		$	5,459,082
Series shares repurchased		(3,706,537	)		(145,555,630	)
Net increase (decrease) in shares outstanding		(3,567,248	)	$	(140,096,548	)
Year ended December 31, 2014:
Series shares sold		334,797		$	12,282,548
Series shares repurchased		(7,032,156	)		(259,927,615	)
Net increase (decrease) in shares outstanding		(6,697,359	)	$	(247,645,067	)
Class II
Six months ended June 30, 2015:
Series shares sold		412		$	16,562
Series shares repurchased		(7,152	)		(282,561	)
Net increase (decrease) in shares outstanding		(6,740	)	$	(265,999	)
Year ended December 31, 2014:
Series shares sold		14,613		$	533,921
Series shares repurchased		(21,926	)		(816,476	)
Net increase (decrease) in shares outstanding		(7,313	)	$	(282,555	)

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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the six months ended June 30, 2015. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Maximum Balance Outstanding		Amount Outstanding at June 30, 2015
Diversified Bond Portfolio	$	223,600		5		1.43	%	$	391,000		—
Global Portfolio		351,333		3		1.43	%		471,000		—

Note 9: Ownership and Affiliates

As of June 30, 2015, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

Note 10: New Accounting Pronouncement

In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.

B11

Financial Highlights

(Unaudited)

	Conservative Balanced Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
				2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	22.45		$	20.63		$	17.77		$	16.32		$	15.96		$	14.65
Income (Loss) From Investment Operations:
Net investment income		.20			.36			.35			.38			.36			.37
Net realized and unrealized gain (loss) on investments		(.08	)		1.46			2.51			1.43			.37			1.31
Total from investment operations		.12			1.82			2.86			1.81			.73			1.68
Less Distributions		—			—			—			(.36	)		(.37	)		(.37	)
Net Asset Value, end of period	$	22.57		$	22.45		$	20.63		$	17.77		$	16.32		$	15.96
Total Return(b)		.53	%		8.82	%		16.09	%		11.23	%		4.60	%		11.74	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,502.6		$	2,574.4		$	2,504.4		$	2,287.0		$	2,191.6		$	2,234.7
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.58	%(e)		.58	%		.58	%		.58	%		.59	%		.59	%
Expenses before waivers and/or expense reimbursement		.58	%(e)		.58	%		.58	%		.58	%		.59	%		.59	%
Net investment income		1.77	%(e)		1.66	%		1.84	%		2.11	%		2.12	%		2.32	%
Portfolio turnover rate(d)		109	%(f)		134	%		196	%		188	%		215	%		185	%
	Diversified Bond Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
				2014(a)			2013			2012(a)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.66		$	11.01		$	11.88		$	11.74		$	11.67		$	11.16
Income (Loss) From Investment Operations:
Net investment income		.21			.43			.48			.54			.56			.52
Net realized and unrealized gain (loss) on investments		(.24	)		.34			(.56	)		.66			.30			.63
Total from investment operations		(.03	)		.77			(.08	)		1.20			.86			1.15
Less Distributions		—			(.12	)		(.79	)		(1.06	)		(.79	)		(.64	)
Net Asset Value, end of period	$	11.63		$	11.66		$	11.01		$	11.88		$	11.74		$11.67
Total Return(b)		(.26	)%		7.09	%		(.71	)%		10.68	%		7.51	%		10.57	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,035.0		$	1,067.9		$	1,197.5		$	1,305.9		$	1,556.9		$	1,522.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.44	%(e)		.44	%		.44	%		.44	%		.42	%		.46	%
Expenses before waivers and/or expense reimbursement		.44	%(e)		.44	%		.44	%		.44	%		.42	%		.46	%
Net investment income		3.55	%(e)		3.73	%		4.10	%		4.57	%		4.76	%		4.46	%
Portfolio turnover rate		37	%(f)		50	%		111	%		144	%		167	%		191	%

(a) Calculated based on average shares outstanding during the period.

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

(d) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover.

(e) Annualized.

(f) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(Unaudited)

	Equity Portfolio
	Class I
	Six Months Ended June 30, 2015(c)			Year Ended December 31,
				2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	38.56		$	35.81		$	26.81		$	23.73		$	24.75		$	22.30
Income (Loss) From Investment Operations:
Net investment income		.17			.19			.27			.27			.13			.15
Net realized and unrealized gain (loss) on investments		1.06			2.56			8.73			2.96			(.98	)		2.48
Total from investment operations		1.23			2.75			9.00			3.23			(.85	)		2.63
Less Distributions:		—			—			—			(.15	)		(.17	)		(.18	)
Net Asset Value, end of period	$	39.79		$	38.56		$	35.81		$	26.81		$	23.73		$	24.75
Total Return(a)		3.19	%		7.68	%		33.57	%		13.69	%		(3.47	)%		11.90	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,004.3		$	4,017.6		$	3,970.9		$	3,167.0		$	2,997.5		$	3,324.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.47	%(d)		.47	%		.47	%		.47	%		.48	%		.48	%
Expenses before waivers and/or expense reimbursement		.47	%(d)		.47	%		.47	%		.47	%		.48	%		.48	%
Net investment income		.87	%(d)		.52	%		.86	%		1.04	%		.58	%		.71	%
Portfolio turnover rate		16	%(e)		51	%		45	%		48	%		49	%		68	%
	Equity Portfolio
	Class II
	Six Months Ended June 30, 2015(c)			Year Ended December 31,
				2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	38.66		$	36.05		$	27.10		$	23.99		$	25.00		$	22.46
Income (Loss) From Investment Operations:
Net investment income		.09			.04			.13			.17			.06			.04
Net realized and unrealized gain (loss) on investments		1.07			2.57			8.82			3.00			(1.03	)		2.54
Total from investment operations		1.16			2.61			8.95			3.17			(.97	)		2.58
Less Distributions:		—			—			—			(.06	)		(.04	)		(.04	)
Net Asset Value, end of period	$	39.82		$	38.66		$	36.05		$	27.10		$	23.99		$	25.00
Total Return(a)		3.00	%		7.24	%		33.03	%		13.23	%		(3.87	)%		11.50	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2.0		$	2.2		$	2.3		$	1.8		$	2.0		$	1.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.87	%(d)		.87	%		.87	%		.87	%		.88	%		.88	%
Expenses before waivers and/or expense reimbursement		.87	%(d)		.87	%		.87	%		.87	%		.88	%		.88	%
Net investment income		.48	%(d)		.11	%		.47	%		.63	%		.19	%		.34	%
Portfolio turnover rate		16	%(e)		51	%		45	%		48	%		49	%		68	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(b) Does not include expenses of the underlying portfolio in which the Portfolio invests.

(c) Calculated based on average shares outstanding during the period.

(d) Annualized.

(e) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(Unaudited)

	Flexible Managed Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
				2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	23.71		$	21.35		$	17.77		$	15.99		$	15.63		$	14.28
Income (Loss) From Investment Operations:
Net investment income		.21			.37			.36			.37			.33			.31
Net realized and unrealized gain (loss) on investments		(.01	)		1.99			3.22			1.74			.34			1.37
Total from investment operations		.20			2.36			3.58			2.11			.67			1.68
Less Distributions		—			—			—			(.33	)		(.31	)		(.33	)
Net Asset Value, end of period	$	23.91		$	23.71		$	21.35		$	17.77		$	15.99		$	15.63
Total Return(b)		.84	%		11.05	%		20.15	%		13.37	%		4.34	%		12.03	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,865.9		$	3,943.8		$	3,730.6		$	3,265.8		$	3,036.8		$	3,077.3
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.63	%		.64	%
Expenses before waivers and/or expense reimbursement		.63	%(e)		.63	%		.63	%		.63	%		.63	%		.64	%
Net investment income		1.79	%(e)		1.66	%		1.86	%		2.05	%		2.01	%		2.06	%
Portfolio turnover rate(d)		108	%(f)		161	%		210	%		214	%		246	%		205	%
	Global Portfolio
	Six Months Ended June 30, 2015(a)			Year Ended December 31,
				2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	25.72		$	24.91		$	19.57		$	16.94		$	18.49		$	16.68
Income (Loss) From Investment Operations:
Net investment income		.24			.37			.31			.36			.29			.28
Net realized and unrealized gain (loss) on investments		.90			.44			5.03			2.57			(1.56	)		1.79
Total from investment operations		1.14			.81			5.34			2.93			(1.27	)		2.07
Less Distributions		—			—			—			(.30	)		(.28	)		(.26	)
Net Asset Value, end of period	$	26.86		$	25.72		$	24.91		$	19.57		$	16.94		$	18.49
Total Return(b)		4.43	%		3.25	%		27.29	%		17.52	%		(6.97	)%		12.74	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	732.4		$	719.2		$	744.5		$	611.2		$	564.2		$	648.5
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursements		.81	%(e)		.81	%		.84	%		.84	%		.84	%		.87	%
Expenses before waivers and/or expense reimbursements		.82	%(e)		.82	%		.84	%		.84	%		.84	%		.87	%
Net investment income		1.78	%(e)		1.45	%		1.29	%		1.82	%		1.54	%		1.60	%
Portfolio turnover rate		17	%(f)		37	%		70	%		57	%		69	%		69	%

(a) Calculated based on average shares outstanding during the period.

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(c) Does not include expenses of the underlying portfolios in which the Portfolio invests.

(d) The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(e) Annualized.

(f) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(Unaudited)

	Government Income Portfolio
	Six Months Ended June 30, 2015			Year Ended December 31,
				2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.92		$	11.30		$	12.15		$	12.37		$	12.03		$	11.86
Income (Loss) From Investment Operations:
Net investment income		.09			.21			.21			.25			.30			.35
Net realized and unrealized gain (loss) on investments		(.07	)		.45			(.49	)		.19			.60			.47
Total from investment operations		.02			.66			(.28	)		.44			.90			.82
Less Distributions		—			(.04	)		(.57	)		(.66	)		(.56	)		(.65	)
Net Asset Value, end of period	$	11.94		$	11.92		$	11.30		$	12.15		$	12.37		$	12.03
Total Return(a)		.17	%		5.86	%		(2.34	)%		3.63	%		7.63	%		6.99	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	330.0		$	339.2		$	341.1		$	382.9		$	416.7		$	399.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.48	%(d)		.47	%		.49	%		.48	%		.46	%		.50	%
Expenses before waivers and/or expense reimbursement		.48	%(d)		.47	%		.49	%		.48	%		.46	%		.50	%
Net investment income		1.43	%(d)		1.73	%		1.78	%		1.96	%		2.48	%		2.87	%
Portfolio turnover rate(c)		341	%(e)		830	%		1135	%		1154	%		1554	%		1122	%
	Stock Index Portfolio
	Six Months Ended June 30, 2015			Year Ended December 31,
				2014(f)			2013(f)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of period	$	49.33		$	47.02		$	35.65		$	31.47		$	31.37		$	27.89
Income (Loss) From Investment Operations:
Net investment income		.43			.79			.73			.68			.54			.48
Net realized and unrealized gain on investments		.13			5.20			10.64			4.19			.07			3.51
Total from investment operations		.56			5.99			11.37			4.87			.61			3.99
Less Distributions		(1.34	)		(3.68	)		—			(.69	)		(.51	)		(.51	)
Net Asset Value, end of period	$	48.55		$	49.33		$	47.02		$	35.65		$	31.47		$	31.37
Total Return(a)		1.10	%		13.31	%		31.89	%		15.68	%		1.95	%		14.59	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,460.9		$	3,312.7		$	2,890.5		$	2,340.3		$	2,162.4		$	2,277.6
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.32	%(d)		.32	%		.32	%		.32	%		.33	%		.36	%
Expenses before waivers and/or expense reimbursements		.37	%(d)		.37	%		.37	%		.37	%		.38	%		.38	%
Net investment income		1.72	%(d)		1.67	%		1.77	%		1.97	%		1.74	%		1.70	%
Portfolio turnover rate		3	%(e)		5	%		3	%		2	%		2	%		4	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

(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) Annualized.

(e) Not annualized.

(f) Calculated based on average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

The Prudential Variable Contract Account — 10

Approval of Advisory Agreements

The VCA-10 Committee

The Committee of the Prudential Variable Contract Account-10 (“VCA-10”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-10’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with Prudential Investments LLC (“PI”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 9-11, 2015 and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-10, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 9-11, 2015.

The Committee determined that the overall arrangements between VCA-10 and PI, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PI and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, quality and extent of services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-10 by PI and Jennison. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-10, as well as the provision of recordkeeping, compliance, and other services to VCA-10. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence to VCA-10’s investment restrictions and compliance with applicable VCA-10 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-10 and Jennison, and also considered the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for the day-to-day management of VCA-10’s portfolio. The Committee was provided with information pertaining to PI’s and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PI and Jennison. The Committee noted that Jennison is affiliated with PI.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-10 by Jennison, and that there was a reasonable basis on which to conclude that VCA-10 benefits from the services provided by PI and Jennison under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.

Economies of Scale

PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.

The Committee received and discussed information concerning economies of scale that PI may realize as VCA-10’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-10, the management fees of VCA-10 compared to those of similarly managed funds and PI’s investment in VCA-10 over time. The Committee noted that economies of scale, if any, may be shared with VCA-10 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-10 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.

The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PI and Jennison

The Committee considered potential ancillary benefits that might be received by PI and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as VCA-10’s securities lending agent, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-10 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2014. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2014. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PI to other funds and the fee charged by other advisers

to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-10 represents the actual expense ratio incurred by VCA-10 investors.

The mutual funds included in the Peer Universe (the Lipper VA Large-Cap Core Funds Performance Universe)¹ and the Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. To the extent that PI deemed appropriate, and for reasons addressed in detail with the Committee, PI may have provided supplemental data compiled by Lipper for the Committee’s consideration. The comparisons placed VCA-10 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-10’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.

Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	4th Quartile	4th Quartile	2nd Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 4th Quartile

• The Committee noted that VCA-10 outperformed its benchmark index over the ten-year period, though it underperformed over the other periods.

• The Committee noted PI’s explanation that underperformance against the benchmark index was primarily attributable to VCA-10’s value and growth components. The Committee also considered PI’s explanation that the portfolio manager responsible for the value component had been replaced in 2014, resulting in changes in the securities selection process for value stocks, and that VCA-10’s value holdings had not fully repositioned under the new portfolio manager until the end of 2014.

• The Committee considered that, following the replacement of the value component’s portfolio manager, VCA-10’s performance had shown significant improvement, with VCA-10 ranking in the second quartile of its Peer Universe and outperforming its benchmark index during the first quarter of 2015.

• The Committee concluded that, in light of the above, it would be in the best interests of VCA-10 and its investors to continue to monitor performance and to renew the agreements.

• The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-10 and its investors.

¹  Although Lipper classifies VCA-10 in its VA Multi-Cap Core Funds Performance Universe, the VA Large-Cap Core Funds Performance Universe was utilized because PI believes that the funds included in this Universe are more consistent with VCA-10’s investment approach, and therefore, provide a more appropriate basis for VCA-10 performance comparisons.

The Prudential Variable Contract Account — 11

Approval of Advisory Agreements

The VCA-11 Committee

The Committee of the Prudential Variable Contract Account-11 (“VCA-11”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-11, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-11 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Committee has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.

Annual Approval of VCA-11’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-11’s management agreement with Prudential Investments LLC (“PI”) and VCA-11’s subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 9-11, 2015 and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of VCA-11 and its investors.

In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and PIM. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-11, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-11 and its investors. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-11. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 9-11, 2015.

The Committee determined that the overall arrangements between VCA-11 and PI, which serves as VCA-11’s investment manager pursuant to a management agreement, and between PI and PIM, which serves as VCA-11’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-11 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.

Nature, quality and extent of services

The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-11 by PI and PIM. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-11, as well as the provision of recordkeeping, compliance, and other services to VCA-11. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by PIM, as well as adherence to VCA-11’s investment restrictions and compliance with applicable VCA-11 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.

The Committee considered the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-11 and PIM, and also considered the qualifications, backgrounds and responsibilities of PIM portfolio managers who are responsible for the day-to-day management of VCA-11’s portfolio. The Committee was provided with information pertaining to PI’s and PIM’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and PIM. The Committee also noted that it received favorable compliance reports from VCA-11’s Chief Compliance Officer (“CCO”) as to both PI and PIM. The Committee noted that PIM is affiliated with PI.

The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-11 by PIM, and that there was a reasonable basis on which to conclude that VCA-11 benefits from the services provided by PI and PIM under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-11’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.

Economies of Scale

PI and the Committee previously retained an outside business consulting firm to review management fee breakpoint usage and trends in management fees across the mutual fund industry. The consulting firm presented its analysis and conclusions as to the management fee structures to the Committee and PI. The Committee and PI have discussed these conclusions extensively since that presentation.

The Committee received and discussed information concerning economies of scale that PI may realize as VCA-11’s assets grow beyond current levels. The Committee considered information provided by PI regarding the launch date of VCA-11, the management fees of VCA-11 compared to those of similarly managed funds and PI’s investment in VCA-11 over time. The Committee noted that economies of scale, if any, may be shared with VCA-11 in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Committee considered PI’s assertion that it continually evaluates the management fee schedule of VCA-11 and the potential to share economies of scale through breakpoints or fee waivers as asset levels increase.

The Committee recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Committee’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.

Other Benefits to PI and PIM

The Committee considered potential ancillary benefits that might be received by PI and PIM and their affiliates as a result of their relationship with VCA-11. The Committee concluded that potential benefits to be derived by PI included benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-11. The Committee concluded that the potential benefits to be derived by PIM included those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and PIM were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of VCA-11 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-11 for the one-, three-, five- and ten-year periods ended December 31, 2014. The Committee also considered VCA-11’s actual management fee, as well as VCA-11’s net total expense ratio, for the fiscal year ended December 31, 2014. The Committee considered the management fee for VCA-11 as compared to the management fee charged by PI to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-11 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-11 represents the actual expense ratio incurred by VCA-11 investors.

The mutual funds included in the Peer Universe (the Lipper VA Money Market Funds Performance Universe) and the Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. The comparisons placed VCA-11 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).

The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-11’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Committee.

Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	3rd Quartile	3rd Quartile	2nd Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

• The Committee noted that VCA-11 outperformed its Peer Universe for the ten-year period, performed in-line with its Peer Universe over the one-year period, and underperformed by less than three basis points for the three- and five-year periods.

• The Committee noted PI’s assertion that VCA-11’s underperformance was primarily attributable to its conservative positioning and shorter-than-peer group Weighted Average Maturity.

• The Committee noted the challenging money market and interest rate environment since the financial crisis.

• The Committee concluded that, in light of the above, it would be in the best interests of investors to renew the agreements.

• The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-11 and its investors.

The Prudential Series Fund

Approval of Advisory Agreements

The Trust’s Board of Trustees

The Board of Trustees (the Board) of The Prudential Series Fund (the Trust, and each series thereof, the Portfolios) consists of ten individuals, nine of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

In advance of the Meeting, the Trustees received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.

In approving the agreements, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.

The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.

The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio

managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and each subadviser. The Board noted that Prudential Investment Management, Inc. (PIM), Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PI.

The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PI and each subadviser under the management and subadvisory agreements.

Costs of Services and Profits Realized by PI

The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PIM, Jennison and QMA, each of which are affiliates of PI, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.

Economies of Scale

The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.

With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. The Board also noted that the management fee was subject to a voluntary waiver by PI of 0.05% of the management fee at each breakpoint level, and that PI had agreed to retain this waiver.

Other Benefits to PI and the Subadvisers

The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as the Portfolios’ securities lending agent, compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2014, except as otherwise

noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2014. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided and the Board may have considered, supplemental data compiled by Lipper for the Board’s consideration.

The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.

Conservative Balanced Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	2nd Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Diversified Bond Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Equity Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	4th Quartile	4th Quartile	4th Quartile	2nd Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over the ten-year period, although it underperformed its benchmark index over the one-, three- and five-year periods.

• The Board noted that the Portfolio’s portfolio manager team responsible for the Portfolio’s performance record had recently been replaced, resulting in changes in the securities selection process for the Portfolio.

• The Board further noted that the Portfolio’s repositioning by the new portfolio manager was not completed until the end of 2014 and that through the first quarter of 2015 the Portfolio beat its benchmark and its Peer Universe median.

• The Board considered that the Portfolio’s performance had improved during the first quarter of 2015, with the Portfolio ranked in the second quartile of its Peer Universe and outperforming its benchmark index.

• The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to continue to monitor the Portfolio’s performance and to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Flexible Managed Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	2nd Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 2nd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Global Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	4th Quartile	4th Quartile	4th Quartile	—
Actual Management Fees: 1st Quartile
Net Total Expenses: 2nd Quartile

• The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, although it underperformed over the one-year period.

• The Board considered that the Portfolio’s recent performance had improved, with the Portfolio ranked in the first quartile of its Peer Universe and outperforming its benchmark index during the first quarter of 2015.

• The Board noted that PI had contractually agreed to waive of 0.011% of its management fee through June 30, 2016.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Government Income Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

• The Board noted that the Portfolio outperformed its benchmark index over all periods.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

Stock Index Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	3rd Quartile	2nd Quartile	1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

• The Board noted that the Portfolio’s outperformed its benchmark index over the five- and ten-year periods, although it underperformed over the one- and three-year periods.

• The Board further considered that, through the first quarter of 2015, the Portfolio outperformed its benchmark and its Peer Universe median for the trailing one-, three-, five- and ten-year periods.

• The Board took into account that, on a net basis, the Portfolio outperformed its Peer Universe Median for all periods.

• The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016.

• The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided.

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

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

^©2015 Prudential Financial, Inc. and its related entities. Prudential Retirement, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0228795-00004-00    MD.RS.011

Item 2 –	Code of Ethics – Not required, as this is not an annual filing.
Item 3 –	Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4 –	Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5 –	Audit Committee of Listed Registrants – Not applicable.
Item 6 –	Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 –	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 –	Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 –	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10 –	Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 –	Controls and Procedures
	(a)	It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
	(b)	There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –	Exhibits
	(a)	(1)	Code of Ethics – Not required, as this is not an annual filing.
		(2)	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
		(3)	Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
	(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:    The Prudential Variable Contract Account-11

By:	/s/ Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	August 17, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
Date:	August 17, 2015
By:	/s/ M. Sadiq Peshimam
	M. Sadiq Peshimam
	Treasurer and Principal Financial and Accounting Officer
Date:	August 17, 2015