Prudential Variable Contract Account 10 N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03421
Exact name of registrant as specified in charter:	The Prudential Variable
	Contract Account-10
Address of principal executive offices:	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs
	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2016
Date of reporting period:	12/31/2016

Item 1 – Reports to Stockholders

The MEDLEY Program

ANNUAL REPORT December 31, 2016

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.

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 Annual Report December 31, 2016

∎ LETTER TO PARTICIPANTS

∎ MARKET OVERVIEW

∎ REPORT OF THE INVESTMENT MANAGER

∎ VCA-10

Financial Statements

∎ VCA-11

Financial Statements

∎ VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Stock Index Portfolio

The Prudential MEDLEY Program Letter to Participants December 31, 2016

∎ DEAR PARTICIPANT:

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

Prudential has been building on a heritage of success for more than 135 years. 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

January 31, 2017

Market Overview — unaudited Annual Report December 31, 2016

Equity Market Overview

US Equities lifted by post-election optimism

In a year of surprises, US equities left no surprise regarding investor sentiment. After a powerful fourth quarter of 2016, the S&P 500, including dividends, returned 3.82% for the quarter and 11.94% for the year.

The year began on a down note. US stocks entered into a correction in January, jolted by a steep decline in manufacturing in China, followed by a massive selloff in China’s equity markets, which spilled over to all global markets. Market woes continued roughly through the first half of February, as stocks performed poorly, but then turned upward. In March, a strong rally powered stocks in the S&P 500 to rise by one of the largest gains in any single month in recent history. Continued low interest rates and a stabilization in oil prices helped stocks to rebound.

One of the biggest surprises took place in late June. The UK’s vote to leave the European Union, known as “Brexit,” briefly increased market volatility, although the macroeconomic fallout appeared manageable, if not limited. Volatility was generally kept in check during the third quarter. Also, riskier equities, such as companies in the technology and financial sectors, outperformed.

In the fourth quarter, the presidential election delivered the year’s biggest surprise as Donald Trump was elected the 45th president of the US. Stocks, especially financials, surged on the news, as Trump’s US-focus on a growth-friendly agenda was also seen as a boon for the US financial sector. In December, to no one’s surprise, the Fed raised interest rates by 0.25%.

Sector performance reflects strength in the economy

Sector performance was positive except for health care. Cyclical stocks, which are more sensitive to developments in the economy, outpaced most of their defensive counterparts. Energy led all sectors with a 27.36% gain, as oil prices climbed. The defensive, but dividend-paying, telecommunications sector rose by 23.49%, as the search for yield continues. Financials, were boosted by the election results, shot up 22.80%, with banks and diversified financial companies achieving impressive returns. Industrials churned out an 18.86% gain, led by construction and engineering companies. Materials turned in a strong performance, rising by 16.69%, as metals & mining and construction materials industries surged.

Utilities gained 16.29%, as independent power and renewable energy producers charge forward. Information technology clicked up by 13.85% on strength in the semi-conductor & semi-conductor equipment industry. The media industry and Internet catalogue & retail industries boosted consumer discretionary, which rose by 6.03%. Consumer staples rang up a 5.38% return on gains in the tobacco and food industries. Real estate posted a gain of 3.39%, on concerns over rising interest rates. Health care stumbled to a -2.69% return on weakness in the health care technology and biotechnology industries.

Small-caps show leadership in Russell Indexes

The Russell US Indexes, which measure equity performance with respect to stock-specific styles (value and growth) and capitalization levels (small-, mid-, and large-cap), were all in positive territory. Small-cap stocks, as measured by the Russell 2000^® Index, gained 21.31% against their larger counterparts, which also reflected stronger business activity. The Russell Midcap^® Index returned 13.80%. In large-cap stocks, the Russell 1000^® Value Index gained 17.34% against the 7.08% return of the Russell 1000^® Growth Index.

International and emerging markets mixed

The MSCI-EAFE Index, which measures the performance of developed markets excluding the United States and Canada, eked out a positive return of 1.0% net of dividends, for the year.

A lackluster fourth quarter hindered market performance for the year, especially in Europe which was fraught with political uncertainty. Most heavily weighted countries in Europe turned in a moderate performance. Germany returned 2.28%, France rose by 4.88%, and the UK fell by -0.10%. Austria gained 11.26% to lead the region, while Belgium lagged the region, falling to a -15.77% return.

Countries in the Pacific region generally gained. Hong Kong rose by 2.26%. Singapore gained 1.42%. Japan was positive with a 2.37% gain. Australia rose by 11.44% and New Zealand gained 18.37% on low interest rates and strong dividend-paying companies.

The MSCI Emerging Markets Index generally recorded solid gains, rising by 11.19%. The Brazil, Russia, India, and China (BRIC) group rose by 12.12%. Brazil rose by a whopping 66.24%, as a result of its new, pro-growth leadership. Re-energized Russian markets posted a huge 54.82% gain on rising oil prices. India dipped into negative territory with a -1.43% return, and China was slightly positive, returning 0.93%.

Market Overview — unaudited Annual Report December 31, 2016

Fixed Income Market Overview

Bond Market Review

According to the Bloomberg Barclays bond indexes, the US Aggregate Bond Index returned 2.68%, US Treasury securities returned 1.04%, and US investment-grade corporate bonds returned 6.11% and US corporate high yield bonds returned 17.13% for the fourth quarter of 2016.

Between the Brexit vote and the Trump sweep, 2016 was certainly a year of surprises and bumps, but it was a generally productive year for the bond market, even after subtracting out the fourth-quarter setback.

Bonds took a hit during the fourth quarter as US interest rates rose and the Federal Reserve hiked its benchmark rate by 0.25% in December. This comes in the wake of the US economy presumably approaching full employment and fiscal policy seemingly about to turn stimulative. While the US economy may be reasonably solid, it nonetheless has to fit within a larger global puzzle — which is perhaps best characterized as having plenty of excess capacity, but not enough growth.

The US elections resulted in an upset Republican sweep. The market’s immediate reaction was a flight to quality, presumably driven by fears of trade wars. After the initial lapse in confidence, however, the markets have seemingly come to the firm conclusion that the prevailing outcome of the new political landscape could be a stronger US economy as evidenced by the rise in Treasury yields and the US dollar.

US and European Corporate Bonds

US corporate bond spreads (the extra yield investors receive to compensate for the risk between investment-grade corporate bonds and US Treasuries with similar maturities) tightened in the fourth quarter of 2016 but not by enough to overcome the run-up in interest rates following the November presidential election. For the year, US corporate bonds delivered a respectable return. Long-term corporate bonds were the clear winner.

European corporate bonds were also volatile in the fourth quarter with yields first rising over concerns that the European Central Bank (ECB) may begin tapering its quantitative easing program. Yields then tightened again in early/mid December. Also, concerns over rising populism and the duration of the ECB’s quantitative easing program dominated sentiment in the European corporate bond markets.

Global Leveraged Finance

In global leveraged bond markets, high yield spreads (the extra yield investors receive to compensate for the risk between non-investment grade and investment-grade bonds) drifted wider in the run-up to the US elections, and while the surprise victory by president-elect Trump prompted a substantial selloff — which led to further spread widening — the tone of the market improved on the prospects for faster economic growth, less regulation, tax reform, and increased fiscal spending. High yield spreads tightened sharply and the high yield bonds had the strongest annual return since 2009.

Emerging Markets Debt

It was a year of recovery for the emerging markets debt sector. The Emerging Market Foreign Exchange just posted its third consecutive year of negative returns, Emerging Market local yields rose to levels last seen during 2013’s taper tantrum. Brazil faced a political and confidence crisis not seen in recent decades, and concerns mounted about China’s growth outlook.

Mortgages

Agency mortgage-backed securities underperformed US Treasuries in the fourth quarter as rates rose sharply following the November presidential election. Mortgages posted a moderate return in 2016. Mortgage-backed securities (MBS) benefitted from strong demand from the Federal Reserve, as well as US. and overseas investors.

Prudential Variable Contract Account-10 (VCA-10)   Presentation of Portfolio Holdings — unaudited December 31, 2016

VCA-10
Five Largest Holdings	(% of Net Assets	)
Goldman Sachs Group, Inc. (The)	3.4%
JPMorgan Chase & Co.	3.3%
Microsoft Corp.	2.8%
Alphabet, Inc. (Class A Stock)	2.5%
Shire PLC, ADR	2.4%

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

The Prudential MEDLEY Program — VCA-10 December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year			Since Inception
VCA-101—Standard Contract		6.22	%		11.21	%		4.42	%		—
VCA-101—0.50% Contract		6.75			11.76			4.94			—
VCA-101—0.45% Contract		6.80			11.81			—			9.11	%
S&P 500 Index		11.94			14.65			6.94			11.90

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2016, the value of the standard contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) returned 6.22%, the value of a contract with annual expenses of 0.50% returned 6.75%, and the value of a contract with annual expenses of 0.45% returned 6.80%.

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

What were market conditions during the reporting period?

2016 was a year of volatility and surprises. Among the contributing factors were decelerating economic growth in China; the negative effect of lower energy prices on industrial sectors; fears of slowing US economic growth; uncertainty about future Federal Reserve monetary tightening; Brexit, the UK’s decision to leave the European Union; and anxiety about the highly unconventional US presidential election. US dollar strength persisted throughout the reporting period, as strong US economic growth fueled investors’ preference for the US dollar and US-dollar-denominated assets.

The S&P 500 Index (the Index) returned 11.94% during the period. Among sectors, energy, telecommunication services, and financials generated the largest gains in the Index. Health care was the only sector to record negative returns. Value stocks significantly outperformed growth stocks across market capitalizations, while small-cap companies generally outpaced large-cap and mid-cap stocks.

What strategies or holdings affected the Account’s performance?

The Account underperformed the Index during the period, with positions in health care detracting from returns. After several acquisitions, Allergan has grown in size and scope, and could become a growth leader in global pharmaceuticals. Allergan’s development pipeline could be considerably more productive than investors assume and its balance sheet should allow for significant strategic capital deployment. Uncertainty around mergers and acquisitions activity in the pharmaceuticals industry caused volatility in Teva’s share price. Near period end, the US Federal Trade Commission approved its acquisition of Allergan’s generics business and subadviser exited the Account’s position because of a lowered outlook on Teva’s generics division. Alexion’s flagship product, Soliris, treats two rare genetic, and potentially life-threatening, blood disorders. The company is aggressively pursuing expansion opportunities for the drug in other autoimmune and inflammatory disease settings. Given heightened volatility in the health care sector and Alexion’s realization of pipeline milestones, the Account eliminated the position during the period.

In the consumer discretionary sector, the Account’s underperformance was driven by Netflix, which suffered from weaker-than-expected subscriber growth. Although the subadviser believes the company’s long-term competitive positioning is strong, the Account sold the position due to near-term headwinds.

Despite positive performance from Texas Instruments, the Account’s exposure to information technology detracted overall. Strong demand across Texas Instruments’ end-markets led to improved results. The subadviser likes Texas Instruments’ focus on free cash flow margins and capital returns, as well as its product mix, dominant share in analog products, and strong channel relationships. LinkedIn, a leading global online professional network, was mostly responsible for the Account’s shortfall in the information technology sector. The Account eliminated the position as recent high growth rates started to decelerate.

Stock selection and overweight positions in the financials and energy sectors added to performance. An improved outlook for fiscal-spending stimulus, higher interest rates, better economic growth, and regulatory relief benefited many financial companies. Goldman Sachs, JP Morgan Chase, and SLM were standouts in both the sector and the Account. In the energy sector, as crude oil prices rebounded due to falling US shale production, the market rewarded stronger energy companies such as Halliburton and Chevron.

¹  The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-10 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-10 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-10 contracts with reduced expenses will be higher than the performance of the standard VCA-10 contract. All total returns are for the periods indicated and are calculated based on changes in unit values.

²  The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to a lower fee structure.

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

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

1

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2016

LONG-TERM INVESTMENTS — 98.3%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 3.1%
Boeing Co. (The)		10,186	$	1,585,756
TransDigm Group, Inc.		5,712		1,422,060
United Technologies Corp.		15,431		1,691,546
				4,699,362
Banks — 11.1%
Bank of America Corp.		147,486		3,259,441
BB&T Corp.		39,898		1,876,004
Citigroup, Inc.		45,527		2,705,670
JPMorgan Chase & Co.		56,643		4,887,724
PNC Financial Services Group, Inc.		17,629		2,061,888
Wells Fargo & Co.		34,242		1,887,077
				16,677,804
Biotechnology — 4.3%
Celgene Corp.(a)		24,237		2,805,433
Shire PLC, ADR		21,274		3,624,664
				6,430,097
Capital Markets — 3.4%
Goldman Sachs Group, Inc. (The)		21,263		5,091,425
Chemicals — 1.9%
Dow Chemicals Co. (The)		24,336		1,392,506
FMC Corp.		25,381		1,435,549
				2,828,055
Communications Equipment — 1.1%
Brocade Communications Systems, Inc.		131,427		1,641,523
Consumer Finance — 2.8%
Capital One Financial Corp.		23,924		2,087,130
SLM Corp.(a)		190,072		2,094,593
				4,181,723
Diversified Financial Services — 0.7%
Voya Financial, Inc.		27,846		1,092,120	��
Electric Utilities — 2.4%
Exelon Corp.		22,608		802,358
PG&E Corp.		46,387		2,818,938
				3,621,296
Electrical Equipment — 0.9%
Eaton Corp. PLC		20,798		1,395,338
Electronic Equipment, Instruments & Components — 1.1%
Flex Ltd.(a)		111,500		1,602,255
Energy Equipment & Services — 1.5%
Halliburton Co.		41,521		2,245,871
Equity Real Estate Investment Trust (REITs) — 0.9%
American Tower Corp.		12,225		1,291,938
Food & Staples Retailing — 1.0%
Wal-Mart Stores, Inc.		21,496		1,485,804

COMMON STOCKS
(continued)	Shares		Value (Note 2)
Food Products — 2.3%
ConAgra Foods, Inc.		45,981	$	1,818,549
Mondelez International, Inc. (Class A Stock)		37,777		1,674,654
				3,493,203
Health Care Equipment & Supplies — 0.9%
Zimmer Biomet Holdings, Inc.		13,039		1,345,625
Health Care Providers & Services — 2.0%
Cigna Corp.		11,734		1,565,198
Laboratory Corp. of America Holdings(a)		11,113		1,426,687
				2,991,885
Hotels, Restaurants & Leisure — 2.6%
Carnival Corp.		25,737		1,339,868
Hyatt Hotels Corp. (Class A Stock)(a)		28,112		1,553,469
McDonald's Corp.		8,559		1,041,801
				3,935,138
Household Products — 1.6%
Procter & Gamble Co. (The)		27,985		2,352,979
Industrial Conglomerates — 1.5%
General Electric Co.		73,512		2,322,979
Insurance — 2.5%
Chubb Ltd. (Switzerland)		15,715		2,076,266
MetLife, Inc.		29,856		1,608,940
				3,685,206
Internet & Direct Marketing Retail — 1.9%
Amazon.com, Inc.(a)		3,804		2,852,505
Internet Software & Services — 9.0%
Alibaba Group Holding Ltd. (China), ADR(a)		26,320		2,311,159
Alphabet, Inc. (Class A Stock)(a)		4,678		3,707,081
Alphabet, Inc. (Class C Stock)(a)		1,903		1,468,773
eBay, Inc.(a)		45,285		1,344,512
Facebook, Inc. (Class A Stock)(a)		19,997		2,300,655
Tencent Holdings Ltd. (China), ADR		99,109		2,400,420
				13,532,600
IT Services — 1.4%
Mastercard, Inc.		20,616		2,128,602
Media — 3.9%
Charter Communications, Inc.(a)		5,131		1,477,318
Comcast Corp. (Class A Stock)		31,729		2,190,887
Liberty Global PLC (Series C) (United Kingdom)(a)		17,119		508,434
Twenty-First Century Fox, Inc. (Class A Stock)		27,965		784,139
Viacom, Inc. (Class B Stock)		25,107		881,256
				5,842,034
Oil, Gas & Consumable Fuels — 8.3%
Anadarko Petroleum Corp.		21,170		1,476,184
Chevron Corp.		20,568		2,420,854

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
EOG Resources, Inc.		8,068	$	815,675
Hess Corp.		20,639		1,285,603
Noble Energy, Inc.		31,096		1,183,514
Occidental Petroleum Corp.		23,542		1,676,897
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		37,777		2,054,313
Suncor Energy, Inc. (Canada)		49,278		1,610,898
				12,523,938
Pharmaceuticals — 4.6%
Allergan PLC(a)		6,782		1,424,288
Eli Lilly & Co.		11,459		842,809
Merck & Co., Inc.		41,195		2,425,150
Pfizer, Inc.		69,442		2,255,476
				6,947,723
Road & Rail — 1.7%
Ryder Systems, Inc.		12,831		955,140
Union Pacific Corp.		15,421		1,598,849
				2,553,989
Semiconductors & Semiconductor Equipment — 4.6%
NVIDIA Corp.		19,189		2,048,234
QUALCOMM, Inc.		50,985		3,324,222
Texas Instruments, Inc.		21,661		1,580,603
				6,953,059
Software — 6.6%
Adobe Systems, Inc.(a)		20,377		2,097,812
Microsoft Corp.		66,475		4,130,756
PTC, Inc.(a)		35,284		1,632,591
salesforce.com, Inc.(a)		28,803		1,971,853
				9,833,012
Specialty Retail — 2.5%
Industria de Diseno Textil SA (Spain)		56,729		1,936,383
O’ Reilly Automotive, Inc.(a)		6,307		1,755,932
				3,692,315
Technology Hardware, Storage & Peripherals — 1.0%
Apple, Inc.		12,400		1,436,168
Textiles, Apparel & Luxury Goods — 2.4%
adidas AG (Germany), ADR		26,885		2,111,817
Coach, Inc.		42,750		1,497,105
				3,608,922
Wireless Telecommunication Services — 0.8%
Vodafone Group PLC (United Kingdom), ADR		48,179		1,177,013
TOTAL COMMON STOCKS
(cost $110,431,054)				147,493,506

SHORT-TERM INVESTMENT — 1.7%	Shares		Value (Note 2)
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $2,542,529)(b) (Note 4)		2,542,529	$	2,542,529
TOTAL INVESTMENTS — 100.0%
(cost $112,973,583)				150,036,035
LIABILITIES LESS, OTHER ASSETS
Dividends Receivable				193,669
Tax Reclaim Receivable				33,618
Payable for Securities Purchased				(113,056	)
Payable Pending Capital Transactions				(122,633	)
LIABILITIES IN EXCESS OF OTHER ASSETS				(8,402	)
NET ASSETS — 100%			$	150,027,633
Net Assets, representing:
Equity of Participants —			$	150,045,495
Equity of The Prudential Insurance Company of America				(17,862	)
			$	150,027,633

The following abbreviation is used in the annual report:

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 Ultra Short Bond Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2016

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 December 31, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	4,699,362	$	—	$	—
Banks		16,677,804		—		—
Biotechnology		6,430,097		—		—
Capital Markets		5,091,425		—		—
Chemicals		2,828,055		—		—
Communications Equipment		1,641,523		—		—
Consumer Finance		4,181,723		—		—
Diversified Financial Services		1,092,120		—		—
Electric Utilities		3,621,296		—		—
Electrical Equipment		1,395,338		—		—
Electronic Equipment, Instruments & Components		1,602,255		—		—
Energy Equipment & Services		2,245,871		—		—
Equity Real Estate Investment Trust (REITs)		1,291,938		—		—
Food & Staples Retailing		1,485,804		—		—
Food Products		3,493,203		—		—
Health Care Equipment & Supplies		1,345,625		—		—
Health Care Providers & Services		2,991,885		—		—
Hotels, Restaurants & Leisure		3,935,138		—		—
Household Products		2,352,979		—		—
Industrial Conglomerates		2,322,979		—		—
Insurance		3,685,206		—		—
Internet & Direct Marketing Retail		2,852,505		—		—
Internet Software & Services		13,532,600		—		—
IT Services		2,128,602		—		—
Media		5,842,034		—		—
Oil, Gas & Consumable Fuels		12,523,938		—		—
Pharmaceuticals		6,947,723		—		—
Road & Rail		2,553,989		—		—
Semiconductors & Semiconductor Equipment		6,953,059		—		—
Software		9,833,012		—		—
Specialty Retail		1,755,932		1,936,383		—
Technology Hardware, Storage & Peripherals		1,436,168		—		—
Textiles, Apparel & Luxury Goods		3,608,922		—		—
Wireless Telecommunication Services		1,177,013		—		—
Affiliated Mutual Fund		2,542,529		—		—
Total	$	148,099,652	$	1,936,383	$	—

During the period, there were no transfers between Level 1 and Level 2 to report.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS

December 31, 2016

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (Unaudited):

Banks	11.1	%
Internet Software & Services	9.0
Oil, Gas & Consumable Fuels	8.3
Software	6.6
Semiconductors & Semiconductor Equipment	4.6
Pharmaceuticals	4.6
Biotechnology	4.3
Media	3.9
Capital Markets	3.4
Aerospace & Defense	3.1
Consumer Finance	2.8
Hotels, Restaurants & Leisure	2.6
Specialty Retail	2.5
Insurance	2.5
Textiles, Apparel & Luxury Goods	2.4
Electric Utilities	2.4
Food Products	2.3
Health Care Providers & Services	2.0
Internet & Direct Marketing Retail	1.9
Chemicals	1.9

Road & Rail	1.7	%
Affiliated Mutual Fund	1.7
Household Products	1.6
Industrial Conglomerates	1.5
Energy Equipment & Services	1.5
IT Services	1.4
Communications Equipment	1.1
Electronic Equipment, Instruments & Components	1.1
Technology Hardware, Storage & Peripherals	1.0
Food & Staples Retailing	1.0
Electrical Equipment	0.9
Equity Real Estate Investment Trust (REITs)	0.9
Health Care Equipment & Supplies	0.9
Wireless Telecommunications Services	0.8
Diversified Financial Services	0.7
	100.0
Liabilities in excess of other assets	—	*
	100.0	%

* Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

INVESTMENT INCOME
Unaffiliated Dividend Income (net of $15,276 foreign withholding tax)	$	2,710,017
Affiliated Dividend Income		22,594
Total Income		2,732,611
EXPENSES
Fees Charged to Participants for Investment Management Services		(374,578	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(1,009,026	)
0.50% Contract		(8,778	)
0.45% Contract		(18,513	)
Total Expenses		(1,410,895	)
NET INVESTMENT INCOME		1,321,716
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) on:
Investment Transactions		4,634,082
Foreign Currency Transactions		(1,779	)
		4,632,303
Net Change in Unrealized Appreciation (Depreciation) on Investments		2,703,381
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		7,335,684
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,657,400

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
OPERATIONS
Net Investment Income	$	1,321,716		$	1,046,235
Net Realized Gain on Investment and Foreign Currency Transactions		4,632,303			7,365,457
Net Change In Unrealized Appreciation (Depreciation) on Investments		2,703,381			(11,020,024	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		8,657,400			(2,608,332	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		1,076,649			1,785,014
Withdrawals and Transfers Out		(17,277,918	)		(19,074,873	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(16,201,269	)		(17,289,859	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		4,298			(2,870	)
TOTAL DECREASE IN NET ASSETS		(7,539,571	)		(19,901,061	)
NET ASSETS
Beginning of year		157,567,204			177,468,265
End of year	$	150,027,633		$	157,567,204

Accumulation Unit Values and Equity of Participants as of December 31, 2016

Standard Contract:
Accumulation Unit Value and Equity of Participants, $137,067,345 / 8,605,567 Accumulation Units	$	15.9278
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $3,748,289 / 212,438 Accumulation Units	$	17.6442
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $9,229,861 / 521,571 Accumulation Units	$	17.6963

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION  UNIT*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2016									Year Ended December 31, 2015
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.2736		$	.3019		$	.3027		$	.2397		$	.2631		$	.2637
Expenses
Investment management fee		(.0369	)		(.0407	)		(.0408	)		(.0384	)		(.0422	)		(.0423	)
Administrative expenses		(.1103	)		(.0407	)		(.0327	)		(.1149	)		(.0422	)		(.0339	)
Net Investment Income		.1264			.2205			.2292			.0864			.1787			.1875
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		.8068			.8955			.8983			(.3479	)		(.3837	)		(.3847	)
Net Increase (Decrease) in Accumulation Unit Value		.9332			1.1160			1.1275			(.2615	)		(.2050	)		(.1972	)
Accumulation Unit Value
Beginning of year		14.9946			16.5282			16.5688			15.2561			16.7332			16.7660
End of year	$	15.9278		$	17.6442		$	17.6963		$	14.9946		$	16.5282		$	16.5688
Total Return**		6.22	%		6.75	%		6.80	%		(1.71	%)		(1.23	%)		(1.18	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%
Ratio of Net Investment Income To Average Net Assets***		.85	%		1.34	%		1.39	%		.57	%		1.06	%		1.11	%
Portfolio Turnover Rate		42	%		42	%		42	%		47	%		47	%		47	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		8,606			212			522			9,595			219			609

* 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.

*** 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*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2014									Year Ended December 31, 2013
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract				0.50% Contract			0.45% Contract
Investment Income	$	.1871		$	.2046		$	.2049		$	.1792		��	$	.1950		$	.1952
Expenses
Investment management fee		(.0362	)		(.0397	)		(.0398	)		(.0303	)			(.0330	)		(.0330	)
Administrative expenses		(.1086	)		(.0397	)		(.0318	)		(.0906	)			(.0330	)		(.0264	)
Net Investment Income		.0423			.1252			.1333			.0583				.1290			.1358
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		1.4515			1.5879			1.5907			3.1834				3.4658			3.4700
Net Increase (Decrease) in Accumulation Unit Value		1.4938			1.7131			1.7240			3.2417				3.5948			3.6058
Accumulation Unit Value
Beginning of year		13.7623			15.0201			15.0420			10.5206				11.4253			11.4362
End of year	$	15.2561		$	16.7332		$	16.7660		$	13.7623			$	15.0201		$	15.0420
Total Return**		10.85	%		11.41	%		11.46	%		30.81	%			31.46	%		31.53	%
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%			.50	%		.45	%
Ratio of Net Investment Income To Average Net Assets***		.29	%		.78	%		.83	%		.48	%			.98	%		1.03	%
Portfolio Turnover Rate		70	%		70	%		70	%		69	%			69	%		69	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		10,646			242			657			11,720				224			751

* 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.

*** 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*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2012
	Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.1825		$	.1975		$	.1976
Expenses
Investment management fee		(.0251	)		(.0272	)		(.0272	)
Administrative expenses		(.0752	)		(.0272	)		(.0218	)
Net Investment Income		.0822			.1431			.1486
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		1.0786			1.1677			1.1686
Net Increase (Decrease) in Accumulation Unit Value		1.1608			1.3108			1.3172
Accumulation Unit Value
Beginning of year		9.3598			10.1145			10.1190
End of year	$	10.5206		$	11.4253		$	11.4362
Total Return**		12.40	%		12.96	%		13.02	%
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%
Ratio of Net Investment Income To Average Net Assets***		.82	%		1.32	%		1.37	%
Portfolio Turnover Rate		44	%		44	%		44	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		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 year 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.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-10

Note 1: General

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

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

Note 2: Accounting Policies

The 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.

Securities Valuation:    The Account holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) 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 Statement of Net Assets.

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.

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. The models generate an evaluated adjustment factor for each security, which can be applied to the local closing

price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory notes (“P-notes”) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

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.

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 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:    Subject to guidelines adopted by the Committee, the Account may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. 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 Account has valued the investment. Therefore, the Account 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 Account’s subadviser under the guidelines adopted by the Committee Members of the Account. However, the liquidity of the Account’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 Account are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

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

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

Although the net assets of the Account are presented at the foreign exchange rates and market values at the close of the period, the Account does not generally 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 Account does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Account does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Account’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Concentration of Risk:    Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. 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 (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, 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, 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

The Account may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person

that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Account’s Committee.

For the year ended December 31, 2016, the Account invested in the Prudential Core Ultra Short Bond 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 year ended December 31, 2016, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $60,273,308 and $71,966,295, respectively.

Note 6: Unit Transactions

The number of Accumulation Units issued and redeemed for the year ended December 31, 2016 and the year ended December 31, 2015, respectively, are as follows:

Standard Contracts	Units			Amount
Year ended December 31, 2016:
Account units issued		73,142		$	1,076,402
Account units redeemed		(1,062,336	)		(15,742,006	)
Net increase (decrease) in units outstanding		(989,194	)	$	(14,665,604	)
Year ended December 31, 2015:
Account units issued		107,010		$	1,648,237
Account units redeemed		(1,158,432	)		(17,720,977	)
Net increase (decrease) in units outstanding		(1,051,422	)	$	(16,072,740	)
0.50 % Contracts	Units			Amount
Year ended December 31, 2016:
Account units issued		15		$	247
Account units redeemed		(6,770	)		(109,172	)
Net increase (decrease) in units outstanding		(6,755	)	$	(108,925	)
Year ended December 31, 2015:
Account units issued		8,078		$	136,777
Account units redeemed		(31,049	)		(527,491	)
Net increase (decrease) in units outstanding		(22,971	)	$	(390,714	)
0.45 % Contracts	Units			Amount
Year ended December 31, 2016:
Account units issued		—		$	—
Account units redeemed		(87,732	)		(1,426,740	)
Net increase (decrease) in units outstanding		(87,732	)	$	(1,426,740	)
Year ended December 31, 2015:
Account units issued		—		$	—
Account units redeemed		(47,645	)		(804,689	)
Net increase (decrease) in units outstanding		(47,645	)	$	(804,689	)

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

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

Note 8: Participant Loans

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

For the year ended December 31, 2016, $85,662 in participant loans were withdrawn from VCA-10 and $80,871 of principal and interest was repaid to VCA-10. For the year ended December 31, 2015, $100,361 in participant loans were withdrawn from VCA-10 and $172,795 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the year ended December 31, 2016, PICA has advised the Account that it received $674 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: Recent Accounting Pronouncements and Reporting Updates

In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.

On October 13, 2016, the Securities and Exchange Commission (the “SEC”) adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE COMMITTEE AND PARTICIPANTS OF

THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (the “Account”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

New York, New York

February 16, 2017

The Prudential MEDLEY Program — VCA-11 December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	7-Day Current Net Yield			1-Year			5-Year			10-Year		Since Inception
VCA-11 Money Market Account1— Standard Contract		-0.20	%		-0.38	%		-0.71	%		0.11		—
VCA-11 Money Market Account1— 0.50% Contract		0.30			0.12			-0.22			0.60		—
VCA-11 Money Market Account1— 0.45% Contract		0.35			0.17			-0.17			—		-0.18	%
Citigroup 3-Month Treasury Bill Index		—			0.27			0.09			0.73		0.09

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

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

VCA-11

ONE-YEAR TOTAL RETURN FOR THE

PAST 10 YEARS²

For the year ended December 31, 2016, the value of the standard contract for the Prudential Variable Contract Account 11 (“VCA-11” or the “Account”) returned -0.38%, the value of a contract with annual expenses of 0.50% returned 0.12%, and the value of a contract with annual expenses of 0.45% returned 0.17%.

The Account’s investment objective is to seek high current income and maintain high levels of liquidity. The Account is subadvised by PGIM Fixed Income.

What were market conditions during the reporting period?

2016 was a turbulent year, marked by a sharp sell-off in equities and other riskier asset classes during the first quarter, the UK’s vote to leave the European Union (commonly known as Brexit), continued geopolitical risk worldwide, and the election of Donald Trump as US president.

After raising the targeted fed funds rate in December 2015, the Federal Reserve eased its expected pace of 2016 rate hikes during the first quarter, citing uncertainty about the sustainability of US economic growth, as well as concerns about tightening US financial conditions and rising international vulnerabilities. Mid-year, as the negative interest rate policies and aggressive bond-buying programs of the Bank of Japan and the European Central Bank powered ahead, Japanese, German, and UK government bonds staged spectacular rallies, thanks in part to economic slowdown fears brought on by Brexit. US yields also fell, following the global trend of low short-term rates and based on some evidence of moderating US growth, which kept the Fed at bay. In December, the Fed raised the fed funds rate 0.25% to a range of between 0.50% and 0.75%. As the move was well communicated, the markets had priced in the rate hike ahead of the announcement.

What strategies or holdings affected the Account’s performance?

Early in the period, the Account maintained a weighted average maturity (WAM) in line with its peers. It kept its weighted average life longer than its peers through the addition of longer-maturity corporate and bank securities in anticipation of the SEC’s regulatory changes, which the subadviser believed would dampen yields on government paper. The Account maintained this strategy through the middle of the period as the peer group continued to increase liquidity ahead of the regulatory changes. In addition, as credit spreads widened, the Account added LIBOR-based floating rate paper. (Credit spreads are the amount of extra yield that corporate bonds provide over similar-duration Treasuries.)

Through the second half of the reporting period, the Account maintained a relatively longer WAM than its peers as money market funds continued to position themselves for the final implementation of SEC regulations in October. As credit spreads widened, the subadviser took advantage of the more attractive spreads and reduced the Account’s exposure to US government securities in favor of corporate bonds, particularly those issued by foreign corporations. As December approached, in advance of the widely anticipated fed funds rate hike, the subadviser shortened the Account’s WAM.

¹  The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-11 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-11 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-11 contracts with reduced expenses will be higher than the performance of the standard VCA-11 contract. All total returns are for the periods indicated and are calculated based on changes in unit values.

² The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to a lower fee structure.

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

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

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

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

2

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF NET ASSETS

December 31, 2016

SHORT-TERM INVESTMENTS — 99.9%	Principal Amount (000)#		Value (Note 2)
Certificates of Deposit — 22.9%
Bank of Montreal
1.035%, 01/05/2017(b)	$	234	$	234,017
1.284%, 03/10/2017(b)		300		300,327
Bank of Tokyo-Mitsubishi UFJ Ltd.
0.900%, 01/23/2017(a)		600		600,143
Branch Banking and Trust Co.
0.710%, 02/01/2017(a)		600		599,996
Canadian Imperial Bank of Commerce
1.237%, 02/09/2017(b)		250		250,148
Citibank NA
0.900%, 02/13/2017(a)		250		250,067
1.100%, 05/01/2017(a)		350		349,949
Credit Agricole Corporate
1.280%, 01/17/2017(b)		195		195,063
Nordea Bank Finland
1.281%, 04/21/2017(b)		250		250,323
Norinchukin Bank NY
0.880%, 01/27/2017(a)		250		250,030
Skandinaviska Enskilda Banken NY
1.216%, 04/18/2017(b)		300		300,270
State Street Bank & Trust Co.
1.332%, 04/18/2017(b)		300		300,428
Sumitomo Mitsui Banking Corp.
0.860%, 01/26/2017(a)		250		250,043
0.970%, 03/06/2017(a)		300		300,103
Svenska Handelsbanken AB
1.105%, 02/09/2017(b)		300		300,204
Toronto-Dominion Bank (The)
1.311%, 05/19/2017(b)		200		200,242
Wells Fargo Bank NA
1.010%, 01/18/2017(a)		500		500,107
				5,431,460
Commercial Paper — 45.6%
ABN AMRO Funding USA LLC, 144A
0.894%, 02/16/2017(a)		300		299,736
Apple Inc., 144A
0.700%, 02/07/2017(a)		560		559,679
Caisse Centrale Desjardins du Quebec, 144A
0.884%, 01/04/2017(a)		450		449,957
Cargill, Inc., 144A
0.720%, 01/03/2017(a)		500		499,975
CDP Financial, Inc., 144A
0.832%, 02/17/2017(a)		250		249,785
1.275%, 03/13/2017(a)		300		299,513
Commonwealth Bank of Australia, 144A
1.271%, 04/20/2017(b)		250		250,306
CPPIB Capital, Inc., 144A
0.711%, 01/19/2017(a)		250		249,927
DNB Bank ASA, 144A
1.284%, 04/26/2017(b)		250		250,321
1.284%, 03/10/2017(b)		300		300,327
General Electric Co.
0.608%, 01/06/2017(a)		500		499,940

SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)#		Value (Note 2)
Commercial Paper (continued)
HSBC Bank PLC, 144A
1.281%, 02/06/2017(b)	$	200	$	200,121
ING US Funding LLC
1.205%, 05/03/2017(b)		300		300,349
JPMorgan Securities LLC, 144A
1.037%, 02/02/2017(b)		250		250,140
KFW, 144A
0.813%, 01/10/2017(a)		475		474,902
0.823%, 02/01/2017(a)		260		259,821
Microsoft Corp., 144A
0.721%, 01/25/2017(a)		350		349,867
0.843%, 02/21/2017(a)		400		399,636
Novartis Corp., 144A
0.730%, 01/09/2017(a)		500		499,933
Ontario (Province of)
0.639%, 02/01/2017(a)		250		249,867
0.751%, 03/01/2017(a)		400		399,539
Ontario Teachers’ Financial Trust, 144A
0.979%, 03/06/2017(b)		300		300,262
1.255%, 05/26/2017(a)		250		248,598
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN
0.928%, 02/01/2017(b)		250		250,118
1.153%, 09/06/2017(b)		250		249,940
PSP Capital Inc., 144A
0.925%, 03/06/2017(a)		600		599,197
Roche Holdings, Inc., 144A
0.649%, 01/4/2017(a)		580		579,963
Siemens Capital Co. LLC, 144A
0.925%, 03/27/2017(a)		400		399,091
Sumitomo Mitsui Banking Co., 144A
0.966%, 01/04/2017(a)		300		299,977
Total Capital Canada, 144A
0.761%, 01/17/2017(a)		600		599,845
				10,820,632
Other Corporate Obligations — 1.7%
Bank of America NA
1.372%, 02/14/2017(b)		250		250,119
Caisse Centrale Desjardins du Quebec, 144A
1.397%, 03/27/2017(b)		160		159,993
				410,112
Repurchase Agreement(c) — 2.7%
BNP Paribas SA
0.500%, dated 12/30/2016, due 01/03/2017 in the amount of $637,035 (cost $637,000)		637		637,000
U.S. Government Agency Obligations — 21.7%
Federal Home Loan Bank
0.406%, 01/13/2017(a)		500		499,947
0.446%, 01/11/2017(a)		500		499,958
0.456%, 01/18/2017(a)		750		749,882
0.462%, 01/27/2017(a)		500		499,875
0.497%, 01/17/2017(a)		300		299,956

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF NET ASSETS

December 31, 2016

SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)#		Value (Note 2)
U.S. Government Agency Obligations (continued)
0.502%, 01/17/2017(a)	$	700	$	699,896
0.502%, 01/18/2017(a)		300		299,926
0.507%, 01/11/2017(a)		1,000		999,916
0.507%, 01/24/2017(a)		300		299,953
Federal Home Loan Mortgage Corporation
0.796%, 04/27/2017(b)		300		300,171
				5,149,480
U.S. Treasury Obligations — 5.3%
U.S. Treasury Bills
0.406%, 01/12/2017(a)		250		249,975
0.438%, 01/19/2017(a)		250		249,954
0.489%, 01/12/2017(a)		500		499,950
U.S. Treasury Note
0.875%, 02/28/2017(a)		250		250,168
				1,250,047
TOTAL INVESTMENTS — 99.9% (cost $23,693,014)				23,698,731
OTHER ASSETS, LESS LIABILITIES — 0.1%
Interest Receivable				13,891
Receivable Pending Capital Transactions				13,121
Cash				164
OTHER ASSETS IN EXCESS OF LIABILITIES				27,176
NET ASSETS — 100.0%			$	23,725,907
NET ASSETS, representing:
Equity of Participants			$	23,725,775
Equity of The Prudential Insurance Company of America				132
			$	23,725,907

The following abbreviations are used in the semiannual report:

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	MediumTerm 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 December 31, 2016.

(c) Repurchase agreements are collaterized by U.S. Treasury Securities (coupon rates 0.000%-0.125%, maturity dates 01/05/2017-01/15/2022), with the aggregate value, including accrued interest, of $649,752. Repurchase agreements are subject to contractual netting arrangements. For further detail on individual repurchase agreements and the corresponding counterparty, see the Statement of Net Assets.

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 December 31, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	5,431,460	$	—
Commercial Paper		—		10,820,632		—
Other Corporate Obligations		—		410,112		—
Repurchase Agreement		—		637,000		—
U.S. Government Agency Obligations		—		5,149,480		—
U.S. Treasury Obligations		—		1,250,047		—
Total	$	—	$	23,698,731	$	—

During the period, there were no transfers between Level 1 and Level 2 to report.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF NET ASSETS

December 31, 2016

The industry classification of investments and other assets in excess of liabilities shown as a percentage on net assets as of December 31, 2016 were as follows (Unaudited):

Commercial Paper	45.6	%
Certificates of Deposit	22.9
U.S. Government Agency Obligations	21.7
Repurchase Agreement	2.7
U.S. Treasury Obligations	5.3

Other Corporate Obligations	1.7	%
	99.9
Other assets in excess of liabilities	0.1
	100.0	%

Offsetting of financial instrument assets and liabilities:

The Account invested in financial instruments 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 financial instruments, where the legal right to set-off exists, is presented in the summary below.

Description	Gross Amounts of Recognized Assets(1)		Collateral Received		Net Amount
Repurchase Agreements	$	637,000	$	637,000	$	—

(1) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

INVESTMENT INCOME
Interest Income	$	144,532
EXPENSES
Fees Charged to Participants for Investment Management Services		(61,358	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(164,536	)
0.50% Contract		(3,833	)
0.45% Contract		(2,143	)
Total Expenses		(231,870	)
NET INVESTMENT LOSS		(87,338	)
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net Realized Gain on Investment Transactions		613
Net Change in Unrealized Appreciation on Investments		5,717
NET GAIN ON INVESTMENT TRANSACTIONS		6,330
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(81,008	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
OPERATIONS
Net Investment Loss	$	(87,338	)	$	(194,100	)
Net Realized Gain on Investment Transactions		613			316
Net Change in Unrealized Appreciation (Depreciation) on Investments		5,717			—
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(81,008	)		(193,784	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		1,731,599			1,843,959
Withdrawals and Transfers Out		(3,241,840	)		(3,770,747	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(1,510,241	)		(1,926,788	)
NET INCREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		134			18
TOTAL DECREASE IN NET ASSETS		(1,591,115	)		(2,120,554	)
NET ASSETS
Beginning of year		25,317,022			27,437,576
End of year	$	23,725,907		$	25,317,022

Accumulation Unit Values and Equity of Participants as of December 31, 2016

Standard Contract:
Accumulation Unit Value and Equity of Participants, $21,195,640 / 6,656,050 outstanding Accumulation Units	$	3.1844
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $1,486,524 / 424,967 outstanding Accumulation Units	$	3.4980
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $1,043,611 / 297,468 outstanding Accumulation Units	$	3.5083

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-11

INCOME AND CAPITAL CHANGES PER ACCUMULATION  UNIT*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2016									Year Ended December 31, 2015
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.0189		$	.0206		$	.0207		$	.0066		$	.0071		$	.0071
Expenses
Investment management fee		(.0080	)		(.0087	)		(.0088	)		(.0080	)		(.0087	)		(.0088	)
Administrative expenses		(.0239	)		(.0087	)		(.0070	)		(.0239	)		(.0087	)		(.0069	)
Net Investment Income (Loss)		(.0130	)		(.0032	)		.0049			(.0253	)		(.0103	)		(.0086	)
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		.0008			.0009			.0009			.0000	††		.0000	††		.0000	††
Net Increase (Decrease) in Accumulation Unit Value		(.0122	)		.0041			.0058			(.0253	)		(.0103	)		(.0086	)
Accumulation Unit Value
Beginning of year		3.1966			3.4939			3.5025			3.2219			3.5042			3.5111
End of year	$	3.1844		$	3.4980		$	3.5083		$	3.1966		$	3.4939		$	3.5025
Total Return**		(.38	%)		.12	%		.17	%		(.79	%)		(.29	%)		(.24	%)
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***		(.41	%)		.09	%		.14	%		(.79	%)		(.29	%)		(.24	%)
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		6,656			425			297			7,077			456			314

* 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.

*** 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*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2014									Year Ended December 31, 2013
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.0052		$	.0056		$	.0056		$	.0060		$	.0063		$	.0064
Expenses
Investment management fee		(.0081	)		(.0088	)		(.0088	)		(.0081	)		(.0087	)		(.0087	)
Administrative expenses		(.0242	)		(.0088	)		(.0070	)		(.0244	)		(.0087	)		(.0071	)
Net Investment Loss		(.0271	)		(.0120	)		(.0102	)		(.0265	)		(.0111	)		(.0094	)
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		.0000	††		.0000	††		.0000	††		.0001			.0001			.0001
Net Increase (Decrease) in Accumulation Unit Value		(.0271	)		(.0120	)		(.0102	)		(.0264	)		(.0110	)		(.0093	)
Accumulation Unit Value
Beginning of year		3.2490			3.5162			3.5213			3.2754			3.5272			3.5306
End of year	$	3.2219		$	3.5042		$	3.5111		$	3.2490		$	3.5162		$	3.5213
Total Return**		(.83	%)		(.34	%)		(.29	%)		(.81	%)		(.31	%)		(.26	%)
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***		(.84	%)		(.34	%)		(.29	%)		(.81	%)		(.32	%)		(.27	%)
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		7,653			458			335			8,446			502			393

* 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.

*** 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*

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2012
	Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.0081		$	.0085		$	.0086
Expenses
Investment management fee		(.0083	)		(.0088	)		(.0088	)
Administrative expenses		(.0246	)		(.0088	)		(.0071	)
Net Investment Loss		(.0248	)		(.0091	)		(.0073	)
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		.0001			.0001			.0001
Net Increase (Decrease) in Accumulation Unit Value		(.0247	)		(.0090	)		(.0072	)
Accumulation Unit Value
Beginning of year		3.3001			3.5362			3.5378
End of year	$	3.2754		$	3.5272		$	3.5306
Total Return**		(.75	%)		(.25	%)		(.20	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%
Ratio of Net Investment Income (Loss) To Average Net Assets***		(.75	%)		(.26	%)		(.21	%)
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		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 year 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.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-11

Note 1: General

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

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

Note 2: Accounting Policies

The 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.

Securities Valuation:    The Account holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) 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 action is subject to the Board’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 Statement of Net Assets.

Effective March 30, 2016, the Account has amended its valuation policy for fixed income securities as follows. 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.

Through March 29, 2016, the Account valued 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.

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.

Loan Participations:    The Account may invest in loan participations. When the Account purchases a loan participation, the Account typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Account assumes the credit risk of the borrower, the Selling Participant and any other persons positioned between the Account and the borrower. The Account may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.

Restricted and Illiquid Securities:    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 was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from security transactions are calculated on the specific identification method. 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 PGIM, Inc. The subadvisory agreement provides that PGIM, Inc. will furnish investment advisory services in connection with management of the Account. PI pays for the services of PGIM, Inc. Prior to January 4, 2016, PGIM, Inc. was known as Prudential Investment Management, Inc. (“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, 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, for investment management services.

PICA, PI and PGIM, Inc. 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 year ended December 31, 2016 and the year ended December 31, 2015, respectively, are as follows:

Standard Contract	Units			Amount
Year ended December 31, 2016:
Account units issued		515,713		$	1,645,625
Account units redeemed		(936,855	)		(2,988,387	)
Net increase (decrease) in units outstanding		(421,142	)	$	(1,342,762	)
Year ended December 31, 2015:
Account units issued		524,714		$	1,683,743
Account units redeemed		(1,100,210	)		(3,531,497	)
Net increase (decrease) in units outstanding		(575,496	)	$	(1,847,754	)
0.50% Contract
Year ended December 31, 2016:
Account units issued		24,604		$	85,974
Account units redeemed		(56,073	)		(195,951	)
Net increase (decrease) in units outstanding		(31,469	)	$	(109,977	)
Year ended December 31, 2015:
Account units issued		45,777		$	160,216
Account units redeemed		(47,326	)		(165,489	)
Net increase (decrease) in units outstanding		(1,549	)	$	(5,273	)
0.45% Contract
Year ended December 31, 2016:
Account units issued		—		$	—
Account units redeemed		(16,407	)		(57,502	)
Net increase (decrease) in units outstanding		(16,407	)	$	(57,502	)
Year ended December 31, 2015:
Account units issued		—		$	—
Account units redeemed		(21,034	)		(73,761	)
Net increase (decrease) in units outstanding		(21,034	)	$	(73,761	)

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

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

Note 6: Participant Loans

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

For the year ended December 31, 2016, $15,491 in participant loans were withdrawn from VCA-11 and $24,387 of principal and interest was repaid to VCA-11. For the year ended December 31, 2015, $28,071 in participant loans were withdrawn from VCA-11 and $44,121 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the year ended December 31, 2016, PICA has advised the Account that it received $317 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: Recent Accounting Pronouncements and Reporting Updates

In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.

On October 13, 2016, the Securities and Exchange Commission (the “SEC”) adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.

Note 8: Subsequent Event

On September 22, 2016, the Committee approved and on January 27, 2017, the contractholders and participants having voting rights in VCA 11 approved the Agreement and Plan of Reorganization, which provides for the transfer of the assets and liabilities of VCA 11 to the Government Money Market Portfolio (“Government Money Market Portfolio”), a series of The Prudential Series Fund, in exchange for Class I shares of the Government Money Market Portfolio having an aggregate value equal to the net asset value of VCA 11, and the restructuring of VCA 11 into a unit investment trust under the Investment Company Act of 1940, as amended (“1940 Act”). The reorganization will take place on or about April 28, 2017.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE COMMITTEE AND PARTICIPANTS OF

THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-11:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-11 (the “Account”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

New York, New York

February 16, 2017

INFORMATION ABOUT COMMITTEE MEMBERS AND OFFICERS

VCA 10 and VCA 11 are managed by the VCA 10 Committee and the VCA 11 Committee, respectively. The members of each Committee are elected by the persons having voting rights in respect of the VCA 10 Account or the VCA 11 Account. The affairs of VCA 10 and VCA 11 are conducted in accordance with the Rules and Regulations of VCA 10 and VCA 11, respectively. Information pertaining to the members of the VCA 10 Committee and the VCA 11 Committee (hereafter referred to as “Committee Members”) is set forth below. Committee Members who are not deemed to be “interested persons” of VCA 10 or VCA 11 as defined in the Investment Company Act of 1940, as amended (the 1940 Act) are referred to as “Independent Committee Members.” Committee Members who are deemed to be “interested persons” of VCA10 or VCA 11 are referred to as “Independent Committee Members.” Information pertaining to the Officers of VCA 10 and VCA 11 is also set forth below.

Independent Committee Members(1)
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held During Past Five Years
Ellen S. Alberding (58) Committee Member Portfolios Overseen: 88	President and Board Member, The Joyce Foundation (charitable foundation) (since 2002); Vice Chair, City Colleges of Chicago (community college system) (since 2011); Trustee, Skills for America’s Future (national initiative to connect employers to community colleges) (since 2011); Trustee, National Park Foundation (charitable foundation for national park system) (since 2009); Trustee, Economic Club of Chicago (since 2009).	None.
Kevin J. Bannon (64) Committee Member Portfolios Overseen: 88	Managing Director (April 2008-May 2015) and Chief Investment Officer (October 2008-November 2013) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May 2003-May 2007) of BNY Hamilton Family of Mutual Funds.	Director of Urstadt Biddle Properties (equity real estate investment trust) (since September 2008).
Linda W. Bynoe (64) Committee Member Portfolios Overseen: 88	President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co. (broker-dealer).	Director of Simon Property Group, Inc. (retail real estate) (May 2003-May 2012); Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009).
Keith F. Hartstein (60) Committee Member & Independent Chair Portfolios Overseen: 88	Retired; Member (since November 2014) of the Governing Council of the Independent Directors Council (organization of independent mutual fund directors); formerly President and Chief Executive Officer (2005-2012), Senior Vice President (2004-2005), Senior Vice President of Sales and Marketing (1997-2004), and various executive management positions (1990-1997), John Hancock Funds, LLC (asset management); Chairman, Investment Company Institute’s Sales Force Marketing Committee (2003-2008).	None.
Michael S. Hyland, CFA (71) Committee Member Portfolios Overseen: 88	Retired (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999).	None.
Richard A. Redeker (73) Committee Member & Independent Vice Chair Portfolios Overseen: 88	Retired Mutual Fund Senior Executive (47 years); Management Consultant; Director, Mutual Fund Directors Forum (since 2014); Independent Directors Council (organization of independent mutual fund directors)-Executive Committee, Chair of Policy Steering Committee, Governing Council.	None.
Stephen G. Stoneburn (73) Committee Member Portfolios Overseen: 88	Chairman (since July 2011), President and Chief Executive Officer (since June 1996) of Frontline Medical Communications (publishing company); formerly President (June 1995-June 1996) of Argus Integrated Media, Inc.; Senior Vice President and Managing Director (January 1993-1995) of Cowles Business Media; Senior Vice President of Fairchild Publications, Inc. (1975-1989).	None.

Interested Committee Members(1)
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held During Past Five Years
Stuart S. Parker (54) Committee Member & President Portfolios Overseen: 88	President of Prudential Investments LLC (since January 2012); Executive Vice President of Prudential Investment Management Services LLC (since December 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of Prudential Investments LLC (June 2005-December 2011).	None.

Interested Committee Members(1)
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held During Past Five Years
Scott E. Benjamin (43) Committee Member & Vice President Portfolios Overseen: 88	Executive Vice President (since June 2009) of Prudential Investments LLC; Executive Vice President (June 2009-June 2012) and Vice President (since June 2012) of Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, Prudential Investments (since February 2006); Vice President of Product Development and Product Management, Prudential Investments (2003-2006).	None.
Grace C. Torres* (57) Committee Member Portfolios Overseen: 86	Retired; formerly Treasurer and Principal Financial and Accounting Officer of the Prudential Investments Funds, Target Funds, Advanced Series Trust, Prudential Variable Contract Accounts and The Prudential Series Fund (1998-June 2014); Assistant Treasurer (March 1999-June 2014) and Senior Vice President (September 1999-June 2014) of Prudential Investments LLC; Assistant Treasurer (May 2003-June 2014) and Vice President (June 2005-June 2014) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (May 2003-June 2014) of Prudential Annuities Advisory Services, Inc.	Director (since July 2015) of Sun Bancorp, Inc. N.A.

* Note: Prior to her retirement in 2014, Ms. Torres was employed by Prudential Investments LLC. Due to her prior employment, she is considered to be an “interested person” under the 1940 Act. Ms. Torres is a Non-Management Interested Committee Member.

⁽¹⁾ The year that each Committee Member joined the VCA 10 and VCA 11 Committees is as follows: Ellen S. Alberding, 2013; Kevin J. Bannon, 2008; Linda W. Bynoe, 2008; Keith F. Hartstein, 2013; Michael S. Hyland, 2008; Richard A. Redeker, 2008; Stephen G. Stoneburn, 2008; Grace C. Torres, 2015; Stuart S. Parker, Committee Member since 2015 and President since 2012; Scott E. Benjamin, Committee Member since 2010 and Vice President since 2009.

VCA 10/11 Officers(a)
Name, Address and Age Position with VCA 10/11	Principal Occupation(s) During Past Five Years	Length of Service as VCA10/11 Officer
Raymond A. O’Hara (61) Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988–August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).	Since 2012
Chad A. Earnst (41) Chief Compliance Officer	Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission.	Since 2014
Deborah A. Docs (59) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since 2004

VCA 10/11 Officers(a)
Name, Address and Age Position with VCA 10/11	Principal Occupation(s) During Past Five Years	Length of Service as VCA10/11 Officer
Jonathan D. Shain (58) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since 2005
Claudia DiGiacomo (42) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).	Since 2005
Andrew R. French (54) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since 2006
Theresa C. Thompson (54) Deputy Chief Compliance Officer	Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).	Since 2008
Charles H. Smith (43) Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).	Since 2016
M. Sadiq Peshimam (53) Treasurer and Principal Financial and Accounting Officer	Vice President (since 2005) of Prudential Investments LLC; formerly Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014).	Since 2006
Peter Parrella (58) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).	Since 2007
Lana Lomuti (49) Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since 2014
Linda McMullin (55) Assistant Treasurer	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.	Since 2014
Kelly A. Coyne (48) Assistant Treasurer	Director, Investment Operations of Prudential Mutual Fund Services LLC (since 2010).	Since 2015

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

Explanatory Notes to Tables:

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

Unless otherwise noted, the address of all Committee Members and Officers is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102-4410.

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

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

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

The Prudential Series Fund

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

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

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

Important Note

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

Contract unit values increase or decrease based on the performance of each corresponding 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 each Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.

The Prudential Series Fund, Conservative Balanced Portfolio   December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		7.28	%		8.64	%		5.88	%
Blended Index		7.11			8.21			5.58
S&P 500 Index		11.94			14.65			6.94

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2016, the Conservative Balanced Portfolio returned 7.28%.

The net assets of the Portfolio at December 31, 2016 were $2,473.2 million.

The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.

The Portfolio’s subadvisers are PGIM Fixed Income and Quantitative Management Associates LLC.

What were market conditions during the reporting period?

Following a global market sell-off from January through mid-February and after the UK’s June referendum to leave the European Union, 2016 culminated in Donald Trump’s victory in the November US presidential election. The election results had an immediate effect on global markets as investors looked to a reflationary environment and fiscal spending to boost economic growth. In December, the Federal Reserve raised short-term interest rates, only the second rate hike in the last decade. These two fourth-quarter events worked together to push interest rates higher, spark a rally in the US dollar, and provide a tailwind for US equity markets. The rise in interest rates had a negative impact on fixed income, while the strengthening US dollar weighed on international equity prices. Value stocks, however, had one of their best periods of the past few years, as did the small-cap segment of the US stock market.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio benefited from asset allocation decisions throughout the reporting period. In the middle of the period, the Portfolio’s higher allocation to international equities was reduced in favor of US equities and maintained a smaller allocation to international equities through the fourth quarter when the asset class lagged US equities. In addition, the Portfolio shifted away from fixed income and into US equities early in the fourth quarter, which resulted in positive returns as bonds underperformed and US stocks outperformed through end of the period. The Portfolio’s cash position was kept below benchmark levels throughout the period, as investments in both fixed income and equities consistently seemed more attractive from a fundamental standpoint. At the close of the period, the portfolio was positioned with a slight overweight in equities, a slight underweight in fixed income, and a position in cash that was within guidelines.

Did the Portfolio use derivatives, and how did they affect performance?

The Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used credit default swaps to hedge credit risk of the portfolio in order to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had no material impact on performance in 2016. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period.

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

1

The Prudential Series Fund, Diversified Bond Portfolio December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		5.59	%		4.39	%		6.12	%
Bloomberg Barclays U.S. Aggregate Bond Index		2.65			2.23			4.34

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2016, the Diversified Bond Portfolio returned 5.59%.

The net assets of the Portfolio at December 31, 2016 were $1,104.6 million.

The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital. The Portfolio’s subadviser is PGIM Fixed Income.

What were market conditions during the reporting period?

The broad fixed income market generated positive returns during 2016, in spite of setbacks during February and the fourth quarter. The gain came amid a number of surprises, including a commodity price decline and rebound, Britain’s decision to leave the European Union (commonly called Brexit), and the Republican sweep of Congress and the White House.

Investment-grade corporate bonds began the reporting period under pressure, as commodity price weakness, global growth concerns, and a stronger US dollar caused credit spreads to widen. (Credit spreads are the amount of extra yield that corporate bonds provide over similar-duration Treasuries.) Spreads then tightened at the beginning of the second quarter as commodity prices stabilized and were buoyed by strong investor demand. During the rest of the reporting period, despite political uncertainty, a pickup in mergers and acquisitions activity, and hawkishness from central bank officials, investment-grade corporate bonds advanced. They generally benefited from improved economic data, supportive central bank policies, and Donald Trump’s surprise victory in the US election, even during a calendar year of record issuance.

What strategies or holdings affected the Portfolio’s performance?

During the period, security selection was a large positive contributor to the Portfolio’s performance, highlighted by positions in non-agency mortgage-backed securities, investment-grade corporate bonds, emerging markets debt, collateralized loan obligations, and commercial mortgage-backed securities (CMBS). Security selection in high yield corporate bonds detracted from results. Within its holdings of corporate bonds, the Portfolio benefited from positions in upstream energy and consumer non-cyclical names and was hurt by positions in health care & pharmaceutical, midstream energy, and banking bonds. Investments in non-US, non-corporate bonds added to performance. At the sector level, the Portfolio’s exposure to high yield corporate bonds, CMBS, investment-grade corporate bonds, bank loans, and emerging markets debt added to returns. The combined impact of the Portfolio’s duration and yield curve strategies was negative during the period. Duration is a measure of a bond’s price sensitivity to interest rates over time.

Did the Portfolio use derivatives, and how did they affect performance?

During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period. The Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used credit default swaps to hedge credit risk of the portfolio in order to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had no material impact on performance in 2016. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period.

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

2

The Prudential Series Fund, Equity Portfolio December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		3.78	%		11.67	%		5.77	%
Portfolio: Class II		3.35			11.23			5.35
Russell 1000® Index		12.05			14.69			7.08
S&P 500 Index		11.94			14.65			6.94

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

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

$10,000 INVESTED OVER 10 YEARS¹

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

For the year ended December 31, 2016, Equity Portfolio Class I shares returned 3.78% and Class II shares returned 3.35%.

The net assets of the Portfolio at December 31, 2016 were $3,743.4 million.

The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadviser is Jennison Associates LLC.

What were market conditions during the reporting period?

2016 was a year of volatility and surprises. China’s decelerating economic growth; the negative effect of lower energy prices on industrials; fears of slowing US economic growth; uncertainty about the course of Federal Reserve monetary tightening; the United Kingdom’s vote to leave the European Union; and anxiety about the unconventional US presidential election contributed to volatility. US dollar strength persisted throughout 2016, as superior US economic growth drove a strong preference for the dollar and dollar-denominated assets.

What strategies or holdings affected the Portfolio’s performance?

There was significant disparity among market segments during the year. Value significantly outperformed growth across capitalizations and small outperformed large and midcaps.

The Portfolio underperformed the Russell 1000 Index. Health care positions, especially those in pharmaceuticals and biotechnology, detracted from absolute and relative returns. Many health care companies faced concerns about drug pricing. Biotechnology companies that sell innovative, high-priced drugs lost ground, including Alexion Pharmaceuticals and Regeneron Pharmaceuticals. Jennison believes that the long-term fundamentals of the Portfolio’s biotechnology holdings remain intact and that current valuations underestimate the potential of pipeline drugs.

Allergan has grown in size and scope and appears to be on track to be a leader in global growth pharmaceuticals. Although Allergan’s development pipeline could be meaningfully more productive than investors currently assume, and its strong balance sheet should allow for significant capital deployment, the company has hit bumps in the road that may indicate that its transition is still in progress.

Shire — with product franchises in neuroscience, gastrointestinal, and rare diseases — has been transforming itself into a leading orphan disease company. The stock’s recent weakness may have been related to news that Roche expects to release clinical trial data for a developmental hemophilia treatment that could potentially compete with Shire hemophilia drugs.

Uncertainty around mergers and acquisitions for Teva, and pharmaceutical companies in general, caused volatility in its share price. The US Federal Trade Commission approved its acquisition to acquire Allergan’s generics business. The position was eliminated due to a reduced outlook on its generics business.

Stock selection in information technology also detracted from performance. LinkedIn is a leading global online professional network that provides what is considered unique access to a job candidate database. While its long-term potential is attractive, the position was eliminated due to decelerating growth.

Semiconductor maker NVIDIA posted a substantial gain in the period. Jennison believes it is uniquely positioned in its markets, potentially driving several years of strong growth.

Financials were the largest source of absolute and relative gain as a better outlook for a fiscal spending stimulus, higher rates, better economic growth, and regulatory relief benefited many positions in the sector. Goldman Sachs, JP Morgan, and SLM were standouts in the sector and the overall Portfolio.

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

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

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

3

The Prudential Series Fund, Flexible Managed Portfolio December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		8.52	%		10.64	%		6.40	%
Blended Index		8.16			9.56			6.02
S&P 500 Index		11.94			14.65			6.94

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ending December 31, 2016, the Flexible Managed Portfolio returned 8.52%.

The net assets of the Portfolio at December 31, 2016 were $3,889.8 million.

The Portfolio’s investment objective is total investment return consistent with an aggressively managed diversified portfolio.

The Portfolio’s subadvisers are PGIM, Inc. and Quantitative Management Associates LLC.

What were market conditions during the reporting period?

Following a global market sell-off from January through mid-February and the leave result in the UK’s June referendum about membership in the European Union, 2016 culminated in Donald Trump’s victory in the November US presidential election. The election results had an immediate effect on global markets, as investors looked to a reflationary environment and fiscal spending to boost economic growth. In December, the Federal Reserve raised short-term interest rates, only the second rate hike in the last decade. These two fourth-quarter events worked together to push up interest rates, spark a rally in the US dollar, and provide a tailwind for US equity markets. The rise in interest rates had a negative impact on fixed income, while the strengthening US dollar weighed on international equity prices. However, value stocks had one of their best periods of the past few years, as did the small-cap segment of the US stock market.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio benefited from our asset allocation decisions throughout the reporting period. In the middle of the period, we reduced the Portfolio’s higher allocation to international equities in favor of cash and maintained a smaller allocation to international equities through the fourth quarter when the asset class lagged US equities. After keeping the Portfolio at a guideline weight in fixed income for most of the year, we shifted it away from fixed income and into US equities early in the fourth quarter, which resulted in positive returns as bonds underperformed and US stocks outperformed through the end of the period. The Portfolio’s cash position slightly below benchmark levels throughout the period, as investments in both fixed income and equities consistently seemed more attractive from a fundamental standpoint. At the close of the period, the Portfolio was positioned with a slight overweight in equities, a slight underweight in fixed income, and a position in cash that was within guidelines.

Did the Portfolio use derivatives, and how did they affect performance?

Derivatives, in the form of international futures contracts, were used during the year to gain exposure to international equity markets. The impact on the Portfolio was immaterial to performance. The Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used options to buy or sell a specific amount of a given security, at a specific price during a specific period of time. Options are used as an efficient and cost effective way to gain exposure to a particular security. They are also used to manage risk and portfolio volatility. The use of options had no material impact on performance in 2016. The Portfolio also used credit default swaps to hedge credit risk of the portfolio in order to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had no material impact on performance in 2016. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period.

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

PGIM, Inc., and Quantitative Management Associates LLC are registered investment advisers and are Prudential Financial companies.

4

The Prudential Series Fund, Global Portfolio December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		4.44	%		10.55	%		3.68	%
MSCI World Index (GD)		8.15			11.04			4.41

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2016, the Global Portfolio returned 4.44%.

The net assets of the Portfolio at December 31, 2016 were $955.4 million.

The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadvisers are: Brown Advisory (Brown), LLC, (US growth stocks), T. Rowe Price Associates, Inc. (US value stocks), William Blair & Company LLC (international growth stocks), LSV Asset Management (international value stocks), and Quantitative Management Associates LLC.

What were market conditions during the reporting period?

In a difficult environment for active managers, investors moved between buying and selling high-dividend-yielding stocks, as speculation swirled around the timing and magnitude of Federal Reserve rate hikes. In addition, volatility surrounding the UK’s vote to leave the European Union (commonly known as Brexit) and the US elections caused many managers to underperform, as markets tended to move against consensus expectations for these events.

What strategies or holdings affected the Portfolio’s performance?

All of the Portfolio’s subadvisers underperformed their respective style-specific indices in this challenging environment for active managers. Furthermore, only one of the Portfolio’s four subadvisers was able to outperform the Portfolio’s benchmark index. The large-cap value portion of the Portfolio was the only positive contributor to overall relative performance, driven primarily by strong absolute returns in US large-cap value stocks relative to other areas of the global equity markets. The Portfolio was hurt by its underexposure to dividend-paying stocks, as these higher-quality stocks were strongly rewarded in the first half of the reporting period.

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

5

The Prudential Series Fund, Government Income Portfolio December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		2.17	%		1.96	%		4.18	%
Bloomberg Barclays Government Bond Index		1.05			1.22			3.86

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2016, the Government Income Portfolio returned 2.17%.

The net assets of the Portfolio at December 31, 2016 were $226.3 million.

The Portfolio’s investment objective is a high level of income over the long term consistent with the preservation of capital. The Portfolio’s subadviser is PGIM Fixed Income.

What were market conditions during the reporting period?

The broad fixed income market generated positive returns during 2016, in spite of a setback during the fourth quarter. The gain came amid a number of surprises, including a commodity price decline and rebound, Britain’s decision to leave the European Union (commonly called Brexit), and the Republican sweep of Congress and the White House.

Interest rates in most developed countries encountered steady headwinds in late 2016 amid expectations for expanded fiscal policies in the US, signs of policy restraint or tightening from major central banks, and firming inflation prospects as oil prices rose.

The Federal Reserve (Fed) raised short-term rates in December, as widely expected, but its hawkish trajectory for rate hikes in 2017 was a surprise. The Fed’s “dot plot,” which shows the projections of the 16 members of the Fed’s rate-setting body, anticipated three rate increases in 2017 — an increase from the prior projection of two hikes — and three increases in 2018 and 2019, respectively. Nevertheless, long-term Fed fund futures, which are used by investors to hedge against or speculate on changes in Fed monetary policy, remained stable at the end of the reporting period.

What strategies or holdings affected the Portfolio’s performance?

During the period, security selection was a strong driver of the Portfolio’s outperformance, highlighted by positions among interest rate swaps, collateralized loan obligations, and agency securities. Security selection in commercial mortgage-backed securities (CMBS) hurt performance.

Sector allocations also added to performance, with the Portfolio’s overweight in CMBS the largest positive contributor to returns. The Portfolio’s positioning for a flatter US yield curve detracted from performance, while its tactical long duration position bolstered results. Yield curves are single line graphs that illustrate the relationship between the yields and maturities of fixed income securities. They are created by plotting the yields of different maturities for the same type of bonds. Duration measures the approximate price change of a bond portfolio for a given change in interest rates.

Did the Portfolio use derivatives, and how did they affect performance?

During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage the Portfolio’s interest rate risk, which is a more efficient way of managing interest rate risk than through the purchases and sales of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period.

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

6

The Prudential Series Fund, Stock Index Portfolio December 31, 2016

Report of the Investment Manager - As of December 31, 2016 (Unaudited)

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		11.83	%		14.36	%		6.68	%
S&P 500 Index		11.94			14.65			6.94

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2016, the Stock Index Portfolio returned 11.83%.

The net assets of the Portfolio at December 31, 2016 were $3,305.1 million.

The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.

The Portfolio’s subadviser is Quantitative Management Associates LLC (QMA).

What were market conditions during the reporting period?

Following a global market sell-off from January through mid-February and the UK’s vote to leave the European Union in June, 2016 culminated in Donald Trump’s victory in the November US presidential election. The election results had an immediate effect on global markets, as investors looked to a reflationary environment and fiscal spending to boost economic growth. In December, the Federal Reserve raised short-term interest rates, only the second rate hike in the last decade. These two fourth-quarter events worked together to push up interest rates, spark a rally in the US dollar, and provide a tailwind for US equity markets. The rise in interest rates had a negative impact on fixed income, while the strengthening US dollar weighed on international equity returns. However, value stocks had one of their best periods of the past few years, as did the small-cap segment of the US stock market.

What strategies or holdings affected the Portfolio’s performance?

Potential tracking error differences (the difference between the return of the Portfolio and the return of the benchmark), brokerage costs, and other costs and expenses of the Portfolio may cause its return to be lower than that of the S&P 500 Index. The Portfolio slightly underperformed the Index during the reporting period.

Did the Portfolio’s use of derivatives affect performance?

During the period, the Portfolio had a small exposure to derivative instruments to help enhance its liquidity, but the position did not have a material impact on its performance.

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

7

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2016

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2016 through December 31, 2016.

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 the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2016		Ending Account Value December 31, 2016		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month  period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,029.40		0.58	%	$	2.96
	Hypothetical	$	1,000.00	$	1,022.22		0.58	%	$	2.95
Diversified Bond (Class I)	Actual	$	1,000.00	$	986.30		0.42	%	$	2.10
	Hypothetical	$	1,000.00	$	1,023.03		0.42	%	$	2.14
Equity (Class I)	Actual	$	1,000.00	$	1,092.60		0.47	%	$	2.47
	Hypothetical	$	1,000.00	$	1,022.77		0.47	%	$	2.39
Equity (Class II)	Actual	$	1,000.00	$	1,090.20		0.87	%	$	4.57
	Hypothetical	$	1,000.00	$	1,020.76		0.87	%	$	4.42
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,048.40		0.63	%	$	3.24
	Hypothetical	$	1,000.00	$	1,021.97		0.63	%	$	3.20
Global (Class I)	Actual	$	1,000.00	$	1,051.20		0.79	%	$	4.07
	Hypothetical	$	1,000.00	$	1,021.17		0.79	%	$	4.01
Government Income (Class I)	Actual	$	1,000.00	$	973.00		0.52	%	$	2.58
	Hypothetical	$	1,000.00	$	1,022.52		0.52	%	$	2.64
Stock Index (Class I)	Actual	$	1,000.00	$	1,076.20		0.32	%	$	1.67
	Hypothetical	$	1,000.00	$	1,023.53		0.32	%	$	1.63

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2016, and divided by the 366 days in the Portfolio's fiscal year ended December 31, 2016 (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 December 31, 2016

LONG-TERM INVESTMENTS — 87.8%			Value (Note 2)
COMMON STOCKS — 50.5%	Shares
Aerospace & Defense — 1.1%
Arconic, Inc.		26,980	$	500,209
BAE Systems PLC (United Kingdom)		6,267		45,583
Boeing Co. (The)		37,150		5,783,512
General Dynamics Corp.		18,300		3,159,678
L3 Technologies, Inc.		5,100		775,761
Lockheed Martin Corp.		16,300		4,074,022
Northrop Grumman Corp.		11,362		2,642,574
Raytheon Co.		18,800		2,669,600
Rockwell Collins, Inc.		8,200		760,632
Safran SA (France)		568		40,853
Textron, Inc.		17,100		830,376
Thales SA (France)		1,785		172,933
TransDigm Group, Inc.(a)		3,400		846,464
United Technologies Corp.		49,300		5,404,266
				27,706,463
Air Freight & Logistics — 0.4%
C.H. Robinson Worldwide, Inc.(a)		9,200		673,992
Deutsche Post AG (Germany)		1,764		57,851
Expeditors International of Washington, Inc.(a)		11,000		582,560
FedEx Corp.		15,700		2,923,340
United Parcel Service, Inc. (Class B Stock)		43,800		5,021,232
				9,258,975
Airlines — 0.3%
Alaska Air Group, Inc.		8,000		709,840
American Airlines Group, Inc.(a)		33,100		1,545,439
Delta Air Lines, Inc.(a)		48,500		2,385,715
Deutsche Lufthansa AG (Germany)		11,224		144,686
International Consolidated Airlines Group SA (United Kingdom)		3,186		17,164
Singapore Airlines Ltd. (Singapore)		3,300		21,984
Southwest Airlines Co.		39,600		1,973,664
United Continental Holdings, Inc.*		19,200		1,399,296
				8,197,788
Auto Components — 0.1%
Aisin Seiki Co. Ltd. (Japan)		3,600		155,770
BorgWarner, Inc.		14,000		552,160
Cie Generale des Etablissements Michelin (France)		997		110,826
Delphi Automotive PLC		16,900		1,138,215
Goodyear Tire & Rubber Co. (The)		16,300		503,181
Koito Manufacturing Co. Ltd. (Japan)		400		21,124
Valeo SA (France)		1,685		96,732
				2,578,008
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		541		50,387
Ferrari NV (Italy)		218		12,692
Fiat Chrysler Automobiles NV (United Kingdom)		3,504		31,875
Ford Motor Co.		244,185		2,961,964
Fuji Heavy Industries Ltd. (Japan)		1,000		40,744

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
General Motors Co.		88,000	$	3,065,920
Harley-Davidson, Inc.		11,000		641,740
Honda Motor Co. Ltd. (Japan)		3,300		96,345
Mazda Motor Corp. (Japan)		2,200		35,825
Mitsubishi Motors Corp. (Japan)		1,400		7,959
Nissan Motor Co. Ltd. (Japan)		4,400		44,137
Peugeot SA (France)*		974		15,864
Renault SA (France)		342		30,375
Suzuki Motor Corp. (Japan)		5,000		175,544
Toyota Motor Corp. (Japan)		4,400		257,965
Volkswagen AG (Germany)		123		17,654
				7,486,990
Banks — 3.5%
Aozora Bank Ltd. (Japan)		2,000		7,066
Bank Hapoalim BM (Israel)		27,327		162,200
Bank of America Corp.		649,121		14,345,574
BB&T Corp.		52,100		2,449,742
Bendigo & Adelaide Bank Ltd. (Australia)		18,079		165,383
BNP Paribas SA (France)		4,997		318,000
BOC Hong Kong Holdings Ltd. (Hong Kong)		46,000		163,832
Citigroup, Inc.		183,685		10,916,400
Citizens Financial Group, Inc.		31,700		1,129,471
Comerica, Inc.		11,000		749,210
Commonwealth Bank of Australia (Australia)		882		52,324
Concordia Financial Group Ltd. (Japan)		4,700		22,617
Credit Agricole SA (France)		19,000		235,196
DBS Group Holdings Ltd. (Singapore)		3,900		46,530
DNB ASA (Norway)		1,430		21,229
Erste Group Bank AG (Austria)		607		17,747
Fifth Third Bancorp		47,021		1,268,156
Fukuoka Financial Group, Inc. (Japan)		13,000		57,655
HSBC Holdings PLC (United Kingdom)		58,862		474,938
Huntington Bancshares, Inc.		64,236		849,200
ING Groep NV (Netherlands)		22,342		314,549
Intesa Sanpaolo SpA (Italy)		22,976		58,202
Intesa Sanpaolo SpA, RSP (Italy)		10,665		24,980
JPMorgan Chase & Co.		229,245		19,781,551
KeyCorp.		65,500		1,196,685
M&T Bank Corp.(a)		10,100		1,579,943
Mediobanca SpA (Italy)		7,358		59,924
Mitsubishi UFJ Financial Group, Inc. (Japan)		2,100		12,951
Mizuho Financial Group, Inc. (Japan)		47,500		85,240
National Australia Bank Ltd. (Australia)		5,302		117,113
People’s United Financial, Inc.		19,100		369,776
PNC Financial Services Group, Inc. (The)		31,433		3,676,404
Regions Financial Corp.		78,203		1,122,995

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Resona Holdings, Inc. (Japan)		8,700	$	44,588
Societe Generale SA (France)		5,693		280,021
Sumitomo Mitsui Financial Group, Inc. (Japan)		4,400		167,565
SunTrust Banks, Inc.		31,800		1,744,230
Svenska Handelsbanken AB (Sweden) (Class A Stock)		3,046		42,188
Swedbank AB (Sweden) (Class A Stock)		1,840		44,334
U.S. Bancorp		102,085		5,244,106
UniCredit SpA (Italy)		10,217		29,341
Wells Fargo & Co.		287,964		15,869,696
Westpac Banking Corp. (Australia)		410		9,624
Zions Bancorporation(a)		12,850		553,064
				85,881,540
Beverages — 1.0%
Anheuser-Busch InBev SA/NV (Belgium)		255		26,990
Asahi Group Holdings Ltd. (Japan)		600		18,891
Brown-Forman Corp. (Class B Stock)(a)		12,500		561,500
Coca-Cola Amatil Ltd. (Australia)		20,856		152,103
Coca-Cola Co. (The)		245,201		10,166,033
Coca-Cola European Partners PLC (United Kingdom)		850		26,827
Constellation Brands, Inc. (Class A Stock)		11,100		1,701,741
Diageo PLC (United Kingdom)		10,771		279,508
Dr. Pepper Snapple Group, Inc.		12,000		1,088,040
Molson Coors Brewing Co. (Class B Stock)		11,700		1,138,527
Monster Beverage Corp.*		26,700		1,183,878
PepsiCo, Inc.		90,907		9,511,599
				25,855,637
Biotechnology — 1.4%
AbbVie, Inc.		103,300		6,468,646
Actelion Ltd. (Switzerland)		761		164,459
Alexion Pharmaceuticals, Inc.*		14,300		1,749,605
Amgen, Inc.		47,737		6,979,627
Biogen, Inc.*		14,060		3,987,135
Celgene Corp.*		49,500		5,729,625
Gilead Sciences, Inc.		83,800		6,000,918
Regeneron Pharmaceuticals, Inc.*		5,040		1,850,133
Shire PLC		1,045		59,669
Vertex Pharmaceuticals, Inc.*		15,900		1,171,353
				34,161,170
Building Products — 0.2%
Allegion PLC		6,433		411,712
Asahi Glass Co. Ltd. (Japan)		4,000		27,139
Cie de Saint-Gobain (France)		865		40,238
Daikin Industries Ltd. (Japan)		500		45,804
Fortune Brands Home & Security, Inc.		9,700		518,562
Johnson Controls International PLC		59,522		2,451,711
Masco Corp.		21,400		676,668
				4,171,834

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets — 1.5%
3i Group PLC (United Kingdom)		22,175	$	191,824
Affiliated Managers Group, Inc.*		3,500		508,550
Ameriprise Financial, Inc.		10,820		1,200,371
ASX Ltd. (Australia)		541		19,381
Bank of New York Mellon Corp. (The)		67,358		3,191,422
BlackRock, Inc.		8,000		3,044,320
Charles Schwab Corp. (The)		75,650		2,985,905
CME Group, Inc.		21,600		2,491,560
E*TRADE Financial Corp.*		17,520		607,068
Franklin Resources, Inc.		22,900		906,382
Goldman Sachs Group, Inc. (The)		24,100		5,770,745
Intercontinental Exchange, Inc.		38,355		2,163,989
Invesco Ltd.		25,400		770,636
London Stock Exchange Group PLC (United Kingdom)		630		22,517
Macquarie Group Ltd. (Australia)		3,592		225,011
Moody’s Corp.		10,900		1,027,543
Morgan Stanley		95,080		4,017,130
Nasdaq, Inc.		7,700		516,824
Northern Trust Corp.		13,600		1,211,080
Partners Group Holding AG (Switzerland)		66		30,897
S&P Global, Inc.		17,000		1,828,180
SBI Holdings, Inc. (Japan)		300		3,812
State Street Corp.		24,200		1,880,824
T. Rowe Price Group, Inc.		15,900		1,196,634
UBS Group AG (Switzerland)		7,305		114,217
				35,926,822
Chemicals — 1.1%
Air Products & Chemicals, Inc.		13,700		1,970,334
Albemarle Corp.		7,400		636,992
Asahi Kasei Corp. (Japan)		4,000		34,805
BASF SE (Germany)		1,846		171,081
CF Industries Holdings, Inc.(a)		13,400		421,832
Croda International PLC (United Kingdom)		513		20,176
Daicel Corp. (Japan)		12,700		139,624
Dow Chemical Co. (The)		71,031		4,064,394
E.I. du Pont de Nemours & Co.		55,420		4,067,828
Eastman Chemical Co.		9,300		699,453
Ecolab, Inc.		16,700		1,957,574
FMC Corp.		8,200		463,792
Givaudan SA (Switzerland)		19		34,773
Hitachi Chemical Co. Ltd. (Japan)		400		9,979
International Flavors & Fragrances, Inc.(a)		5,000		589,150
JSR Corp. (Japan)		400		6,296
K+S AG (Germany)		389		9,266
Kuraray Co. Ltd. (Japan)		1,300		19,494
LyondellBasell Industries NV (Class A Stock)		21,700		1,861,426
Mitsubishi Chemical Holdings Corp. (Japan)		5,300		34,268
Mitsubishi Gas Chemical Co., Inc. (Japan)		6,200		105,645
Mitsui Chemicals, Inc. (Japan)		1,000		4,481
Monsanto Co.		27,494		2,892,644

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Mosaic Co. (The)(a)		21,900	$	642,327
PPG Industries, Inc.		17,300		1,639,348
Praxair, Inc.		18,200		2,132,858
Sherwin-Williams Co. (The)		5,000		1,343,700
Shin-Etsu Chemical Co. Ltd. (Japan)		600		46,433
Sika AG (Switzerland)		3		14,394
Solvay SA (Belgium)		135		15,783
Sumitomo Chemical Co. Ltd. (Japan)		6,000		28,442
Teijin Ltd. (Japan)		600		12,123
Toray Industries, Inc. (Japan)		4,000		32,302
Yara International ASA (Norway)		4,830		190,008
				26,313,025
Commercial Services & Supplies — 0.2%
Cintas Corp.		5,400		624,024
Pitney Bowes, Inc.		9,400		142,786
Republic Services, Inc.		15,465		882,279
Stericycle, Inc.*		5,600		431,424
Waste Management, Inc.		26,242		1,860,820
				3,941,333
Communications Equipment — 0.5%
Cisco Systems, Inc.		318,500		9,625,070
F5 Networks, Inc.*		4,500		651,240
Harris Corp.		8,000		819,760
Juniper Networks, Inc.		23,200		655,632
Motorola Solutions, Inc.		11,089		919,167
				12,670,869
Construction & Engineering — 0.1%
Fluor Corp.		8,800		462,176
Jacobs Engineering Group, Inc.*		7,700		438,900
Kajima Corp. (Japan)		22,000		151,956
Obayashi Corp. (Japan)		16,500		157,531
Quanta Services, Inc.*		8,400		292,740
Shimizu Corp. (Japan)		2,000		18,256
Taisei Corp. (Japan)		13,000		90,779
				1,612,338
Construction Materials — 0.1%
Fletcher Building Ltd. (New Zealand)		1,253		9,207
HeidelbergCement AG (Germany)		328		30,530
Martin Marietta Materials, Inc.		4,000		886,120
Vulcan Materials Co.		8,600		1,076,290
				2,002,147
Consumer Finance — 0.4%
American Express Co.		50,500		3,741,040
Capital One Financial Corp.		31,761		2,770,830
Discover Financial Services		26,440		1,906,060
Navient Corp.		18,300		300,669
Synchrony Financial		52,172		1,892,278
				10,610,877
Containers & Packaging — 0.2%
Avery Dennison Corp.		5,400		379,188
Ball Corp.(a)		10,500		788,235
International Paper Co.		26,273		1,394,045

COMMON STOCKS (continued)	Shares		Value (Note 2)
Containers & Packaging (continued)
Sealed Air Corp.		12,000	$	544,080
WestRock Co.		15,544		789,169
				3,894,717
Distributors — 0.1%
Genuine Parts Co.		9,600		917,184
Jardine Cycle & Carriage Ltd. (Singapore)		2,200		62,480
LKQ Corp.*		18,300		560,895
				1,540,559
Diversified Consumer Services
H&R Block, Inc.(a)		12,800		294,272
Diversified Financial Services — 0.8%
Berkshire Hathaway, Inc. (Class B Stock)*		120,800		19,687,984
Challenger Ltd. (Australia)		5,328		43,050
Investor AB (Sweden) (Class B Stock)		916		34,130
Leucadia National Corp.		18,600		432,450
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		900		4,642
ORIX Corp. (Japan)		11,600		180,545
				20,382,801
Diversified Telecommunication Services — 1.3%
AT&T, Inc.		389,738		16,575,557
CenturyLink, Inc.(a)		33,336		792,730
Deutsche Telekom AG (Germany)		5,933		101,794
Frontier Communications Corp.(a)		66,190		223,722
HKT Trust & HKT Ltd. (Hong Kong)		4,000		4,900
Level 3 Communications, Inc.*		17,800		1,003,208
Nippon Telegraph & Telephone Corp. (Japan)		4,800		202,057
Orange SA (France)		3,659		55,485
Spark New Zealand Ltd. (New Zealand)		3,575		8,459
Telecom Italia SpA (Italy)*		149,299		131,823
Telecom Italia SpA, RSP (Italy)		210,856		153,038
Telefonica SA (Spain)		8,048		74,302
Verizon Communications, Inc.		258,376		13,792,111
				33,119,186
Electric Utilities — 1.0%
Alliant Energy Corp.		13,700		519,093
American Electric Power Co., Inc.		30,760		1,936,650
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		2,000		15,885
Chubu Electric Power Co., Inc. (Japan)		2,400		33,397
Chugoku Electric Power Co., Inc. (The) (Japan)		500		5,852
CLP Holdings Ltd. (Hong Kong)		7,000		64,196
Duke Energy Corp.		43,761		3,396,729
Edison International		21,200		1,526,188
EDP-Energias de Portugal SA (Portugal)		30,232		92,013
Electricite de France SA (France)		1,013		10,307
Enel SpA (Italy)		51,672		227,135

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Entergy Corp.		11,400	$	837,558
Eversource Energy		19,600		1,082,508
Exelon Corp.		57,613		2,044,685
FirstEnergy Corp.		25,806		799,212
Hokuriku Electric Power Co. (Japan)		300		3,356
Iberdrola SA (Spain)		10,270		67,247
Kansai Electric Power Co., Inc. (The) (Japan)*		2,700		29,434
Kyushu Electric Power Co., Inc. (Japan)		1,600		17,334
NextEra Energy, Inc.		29,700		3,547,962
PG&E Corp.		31,700		1,926,409
Pinnacle West Capital Corp.		7,400		577,422
PPL Corp.		42,100		1,433,505
Shikoku Electric Power Co., Inc. (Japan)		300		3,032
Southern Co. (The)		61,300		3,015,347
SSE PLC (United Kingdom)		1,852		35,362
Tohoku Electric Power Co., Inc. (Japan)		1,700		21,430
Tokyo Electric Power Co. Holdings, Inc. (Japan)*		5,600		22,538
Xcel Energy, Inc.		32,110		1,306,877
				24,598,663
Electrical Equipment — 0.3%
ABB Ltd. (Switzerland)		2,564		53,951
Acuity Brands, Inc.(a)		2,900		669,494
AMETEK, Inc.		14,900		724,140
Eaton Corp. PLC		29,137		1,954,801
Emerson Electric Co.		40,100		2,235,575
Nidec Corp. (Japan)		500		43,045
Rockwell Automation, Inc.		8,500		1,142,400
Vestas Wind Systems A/S (Denmark)		2,563		165,992
				6,989,398
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		19,500		1,310,400
Corning, Inc.		64,500		1,565,415
FLIR Systems, Inc.		8,800		318,472
Hitachi High-Technologies Corp. (Japan)		3,700		148,816
Hitachi Ltd. (Japan)		9,000		48,529
TDK Corp. (Japan)		2,400		164,564
TE Connectivity Ltd.		22,500		1,558,800
				5,114,996
Energy Equipment & Services — 0.6%
Baker Hughes, Inc.		27,398		1,780,048
FMC Technologies, Inc.*		14,300		508,079
Halliburton Co.		54,100		2,926,269
Helmerich & Payne, Inc.(a)		6,700		518,580
National Oilwell Varco, Inc.(a)		22,700		849,888
Schlumberger Ltd.		87,724		7,364,430
Transocean Ltd.*(a)		20,500		302,170
				14,249,464

COMMON STOCKS (continued)		Shares		Value (Note 2)
Equity Real Estate Investment Trusts (REITs) — 1.4%
American Tower Corp.			27,100	$	2,863,928
Apartment Investment & Management Co. (Class A Stock)			9,533		433,275
AvalonBay Communities, Inc.			8,875		1,572,206
Boston Properties, Inc.			9,800		1,232,644
Crown Castle International Corp.			22,900		1,987,033
Dexus Property Group (Australia)	��		6,477		44,932
Digital Realty Trust, Inc.(a)			9,500		933,470
Equinix, Inc.			4,494		1,606,201
Equity Residential(a)			22,800		1,467,408
Essex Property Trust, Inc.(a)			4,150		964,875
Extra Space Storage, Inc.(a)			8,000		617,920
Federal Realty Investment Trust			4,500		639,495
General Growth Properties, Inc.			35,800		894,284
Goodman Group (Australia)			6,830		35,076
GPT Group (The) (Australia)			7,268		26,351
HCP, Inc.(a)			28,800		855,936
Host Hotels & Resorts, Inc.(a)			45,582		858,765
Iron Mountain, Inc.			14,902		484,017
Kimco Realty Corp.			25,600		644,096
Land Securities Group PLC (United Kingdom)			2,906		38,177
Link REIT (Hong Kong)			4,500		29,174
Macerich Co. (The)(a)			8,100		573,804
Mid-America Apartment Communities, Inc.			6,600		646,272
Mirvac Group (Australia)			96,402		148,044
Prologis, Inc.			32,877		1,735,577
Public Storage			9,500		2,123,250
Realty Income Corp.			16,100		925,428
Simon Property Group, Inc.			19,693		3,498,855
SL Green Realty Corp.			6,400		688,320
UDR, Inc.			15,900		580,032
Unibail-Rodamco SE (France)			196		46,708
Ventas, Inc.(a)			22,218		1,389,069
Vornado Realty Trust			11,425		1,192,427
Welltower, Inc.			22,800		1,526,004
Weyerhaeuser Co.			46,818		1,408,754
					34,711,807
Food & Staples Retailing — 1.0%
Carrefour SA (France)			1,094		26,339
Casino Guichard Perrachon SA (France)			488		23,382
Costco Wholesale Corp.			27,400		4,387,014
CVS Health Corp.			67,548		5,330,213
ICA Gruppen AB (Sweden)			5,153		156,846
J. Sainsbury PLC (United Kingdom)			58,582		180,050
Kroger Co. (The)			60,292		2,080,677
METRO AG (Germany)			5,220		173,499
Sysco Corp.			32,800		1,816,136
Wal-Mart Stores, Inc.			96,100		6,642,432
Walgreens Boots Alliance, Inc.			54,700		4,526,972
Whole Foods Market, Inc.(a)			19,000		584,440
					25,928,000
Food Products — 0.8%
Archer-Daniels-Midland Co.			36,726		1,676,542
Campbell Soup Co.			11,700		707,499

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
Conagra Brands, Inc.		26,900	$	1,063,895
General Mills, Inc.		37,800		2,334,906
Hershey Co. (The)		9,200		951,556
Hormel Foods Corp.		16,800		584,808
J.M. Smucker Co. (The)		7,500		960,450
Kellogg Co.		15,800		1,164,618
Kraft Heinz Co. (The)		37,917		3,310,912
Marine Harvest ASA (Norway)		8,837		159,777
McCormick & Co., Inc.(a)		7,500		699,975
Mead Johnson Nutrition Co.		11,967		846,785
MEIJI Holdings Co. Ltd. (Japan)		400		31,291
Mondelez International, Inc. (Class A Stock)		97,553		4,324,525
Nestle SA (Switzerland)		4,224		302,597
Orkla ASA (Norway)		1,982		17,935
Tate & Lyle PLC (United Kingdom)		3,149		27,405
Tyson Foods, Inc. (Class A Stock)		19,400		1,196,592
WH Group Ltd. (Hong Kong), 144A		220,500		177,744
Wilmar International Ltd. (Singapore)		3,800		9,388
				20,549,200
Gas Utilities
Gas Natural SDG SA (Spain)		1,629		30,647
Tokyo Gas Co. Ltd. (Japan)		7,000		31,599
				62,246
Health Care Equipment & Supplies — 1.2%
Abbott Laboratories		92,300		3,545,243
Baxter International, Inc.		31,900		1,414,446
Becton, Dickinson & Co.		13,778		2,280,948
Boston Scientific Corp.*		84,467		1,827,021
C.R. Bard, Inc.		4,700		1,055,902
Cooper Cos., Inc. (The)		2,800		489,804
Danaher Corp.		38,900		3,027,976
DENTSPLY SIRONA, Inc.		14,400		831,312
Edwards Lifesciences Corp.*		13,700		1,283,690
Hologic, Inc.*		17,500		702,100
Intuitive Surgical, Inc.*		2,450		1,553,716
Medtronic PLC		88,490		6,303,143
St. Jude Medical, Inc.		17,800		1,427,382
Stryker Corp.		20,000		2,396,200
Varian Medical Systems, Inc.*		6,200		556,636
Zimmer Biomet Holdings, Inc.		12,600		1,300,320
				29,995,839
Health Care Providers & Services — 1.3%
Aetna, Inc.		22,269		2,761,579
Alfresa Holdings Corp. (Japan)		5,800		95,798
AmerisourceBergen Corp.		11,600		907,004
Anthem, Inc.		16,800		2,415,336
Cardinal Health, Inc.		20,650		1,486,181
Centene Corp.*		11,000		621,610
Cigna Corp.		16,600		2,214,274
DaVita, Inc.*		10,700		686,940
Envision Healthcare Corp.*		6,500		411,385
Express Scripts Holding Co.*		40,649		2,796,245
Fresenius SE & Co. KGaA (Germany)		756		58,976

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
HCA Holdings, Inc.*		18,800	$	1,391,576
Henry Schein, Inc.*		5,300		804,063
Humana, Inc.		9,600		1,958,688
Laboratory Corp. of America Holdings*		6,700		860,146
McKesson Corp.		14,330		2,012,649
Medipal Holdings Corp. (Japan)		10,500		165,397
Patterson Cos., Inc.(a)		5,400		221,562
Quest Diagnostics, Inc.		9,300		854,670
Ramsay Health Care Ltd. (Australia)		540		26,550
Sonic Healthcare Ltd. (Australia)		1,516		23,331
Suzuken Co. Ltd. (Japan)		210		6,859
UnitedHealth Group, Inc.		60,600		9,698,424
Universal Health Services, Inc. (Class B Stock)		5,700		606,366
				33,085,609
Health Care Technology
Cerner Corp.*		18,700		885,819
Hotels, Restaurants & Leisure — 0.8%
Aristocrat Leisure Ltd. (Australia)		15,595		173,988
Carnival Corp.		27,600		1,436,856
Chipotle Mexican Grill, Inc.*(a)		1,950		735,774
Compass Group PLC (United Kingdom)		11,699		216,217
Darden Restaurants, Inc.(a)		8,450		614,484
Marriott International, Inc. (Class A Stock)		20,568		1,700,562
McDonald’s Corp.		54,000		6,572,880
Paddy Power Betfair PLC (Ireland)		716		76,188
Royal Caribbean Cruises Ltd.		10,800		886,032
Starbucks Corp.		92,600		5,141,152
TUI AG (Germany)		1,957		28,019
Wyndham Worldwide Corp.		7,520		574,302
Wynn Resorts Ltd.(a)		5,300		458,503
Yum! Brands, Inc.		23,400		1,481,922
				20,096,879
Household Durables — 0.2%
D.R. Horton, Inc.		20,200		552,066
Electrolux AB (Sweden) (Class B Stock)		5,844		144,704
Garmin Ltd.(a)		7,000		339,430
Harman International Industries, Inc.		4,700		522,452
Iida Group Holdings Co. Ltd. (Japan)		7,500		142,179
Leggett & Platt, Inc.		8,400		410,592
Lennar Corp. (Class A Stock)		11,700		502,281
Mohawk Industries, Inc.*		4,200		838,656
Newell Brands, Inc.		29,414		1,313,335
Panasonic Corp. (Japan)		4,000		40,569
PulteGroup, Inc.		18,222		334,920
Sekisui House Ltd. (Japan)		2,300		38,213
Sony Corp. (Japan)		2,600		72,649
Whirlpool Corp.(a)		4,926		895,399
				6,147,445
Household Products — 0.9%
Church & Dwight Co., Inc.		16,400		724,716
Clorox Co. (The)		8,600		1,032,172

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products (continued)
Colgate-Palmolive Co.		56,600	$	3,703,904
Henkel AG & Co. KGaA (Germany)		191		19,878
Kimberly-Clark Corp.		23,000		2,624,760
Procter & Gamble Co. (The)		169,525		14,253,662
Reckitt Benckiser Group PLC (United Kingdom)		1,179		99,872
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		1,127		31,721
				22,490,685
Independent Power & Renewable Electricity Producers
AES Corp.		39,500		458,990
Electric Power Development Co. Ltd. (Japan)		500		11,476
NRG Energy, Inc.		18,200		223,132
				693,598
Industrial Conglomerates — 1.3%
3M Co.		38,200		6,821,374
CK Hutchison Holdings Ltd. (Hong Kong)		3,916		44,206
DCC PLC (United Kingdom)		163		12,116
General Electric Co.		566,730		17,908,668
Honeywell International, Inc.		48,012		5,562,190
Jardine Matheson Holdings Ltd. (Hong Kong)		500		27,625
Roper Technologies, Inc.		6,600		1,208,328
Siemens AG (Germany)		2,072		253,696
Toshiba Corp. (Japan)*		15,000		36,233
				31,874,436
Insurance — 1.3%
Aflac, Inc.		26,000		1,809,600
AIA Group Ltd. (Hong Kong)		23,800		133,324
Allianz SE (Germany)		517		85,325
Allstate Corp. (The)		23,400		1,734,408
American International Group, Inc.		64,139		4,188,918
Aon PLC		17,200		1,918,316
Arthur J. Gallagher & Co.		10,700		555,972
Assicurazioni Generali SpA (Italy)		2,322		34,418
Assurant, Inc.		4,300		399,298
AXA SA (France)		3,864		97,407
Chubb Ltd.		29,286		3,869,266
Cincinnati Financial Corp.(a)		9,237		699,703
Hartford Financial Services Group, Inc. (The)		24,000		1,143,600
Legal & General Group PLC (United Kingdom)		64,188		195,542
Lincoln National Corp.		14,918		988,616
Loews Corp.		17,075		799,622
Marsh & McLennan Cos., Inc.		32,700		2,210,193
MetLife, Inc.		68,700		3,702,243
MS&AD Insurance Group Holdings, Inc. (Japan)		1,000		30,967
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		322		60,819
NN Group NV (Netherlands)		4,229		143,163
Principal Financial Group, Inc.		17,000		983,620

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
Progressive Corp. (The)		36,300	$	1,288,650
QBE Insurance Group Ltd. (Australia)		2,802		25,035
St. James’s Place PLC (United Kingdom)		6,542		81,604
Swiss Life Holding AG (Switzerland)		613		173,160
Swiss Re AG (Switzerland)		675		63,864
Tokio Marine Holdings, Inc. (Japan)		1,400		57,320
Torchmark Corp.		6,925		510,788
Travelers Cos., Inc. (The)		18,335		2,244,571
Unum Group		15,310		672,568
Willis Towers Watson PLC		8,700		1,063,836
XL Group Ltd. (Ireland)		18,000		670,680
				32,636,416
Internet & Direct Marketing Retail — 1.1%
Amazon.com, Inc.*		25,020		18,761,747
Expedia, Inc.		7,650		866,592
Netflix, Inc.*		27,350		3,385,930
Priceline Group, Inc. (The)*		3,180		4,662,071
TripAdvisor, Inc.*		7,350		340,820
				28,017,160
Internet Software & Services — 2.1%
Akamai Technologies, Inc.*		11,000		733,480
Alphabet, Inc. (Class A Stock)*		18,860		14,945,607
Alphabet, Inc. (Class C Stock)*		18,903		14,589,713
eBay, Inc.*		66,500		1,974,385
Facebook, Inc. (Class A Stock)*		148,700		17,107,935
VeriSign, Inc.*(a)		6,400		486,848
Yahoo!, Inc.*		55,300		2,138,451
				51,976,419
IT Services — 1.9%
Accenture PLC (Class A Stock)		39,800		4,661,774
Alliance Data Systems Corp.		3,840		877,440
Amadeus IT Group SA (Spain)		1,801		81,683
Atos SE (France)		1,247		131,432
Automatic Data Processing, Inc.		29,200		3,001,176
Cognizant Technology Solutions Corp. (Class A Stock)*		38,200		2,140,346
CSRA, Inc.		8,700		277,008
Fidelity National Information Services, Inc.		20,300		1,535,492
Fiserv, Inc.*		14,300		1,519,804
Fujitsu Ltd. (Japan)		24,000		132,901
Global Payments, Inc.		9,800		680,218
International Business Machines Corp.		55,600		9,229,044
Mastercard, Inc. (Class A Stock)		61,500		6,349,875
Paychex, Inc.(a)		20,300		1,235,864
PayPal Holdings, Inc.*		69,700		2,751,059
Teradata Corp.*		8,400		228,228
Total System Services, Inc.		11,096		544,037
Visa, Inc. (Class A Stock)(a)		119,800		9,346,796
Western Union Co. (The)(a)		30,410		660,505
Worldpay Group PLC (United Kingdom), 144A		12,018		39,901
Xerox Corp.		58,163		507,763
				45,932,346

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Leisure Products
Bandai Namco Holdings, Inc. (Japan)		2,700	$	74,317
Hasbro, Inc.		7,000		544,530
Mattel, Inc.		21,351		588,220
				1,207,067
Life Sciences Tools & Services — 0.3%
Agilent Technologies, Inc.		20,714		943,730
Illumina, Inc.*		9,500		1,216,380
Mettler-Toledo International, Inc.*		1,700		711,552
PerkinElmer, Inc.		6,600		344,190
QIAGEN NV*		406		11,377
Thermo Fisher Scientific, Inc.		25,000		3,527,500
Waters Corp.*		5,200		698,828
				7,453,557
Machinery — 0.8%
Amada Holdings Co. Ltd. (Japan)		600		6,684
Atlas Copco AB (Sweden) (Class A Stock)		6,396		194,033
Atlas Copco AB (Sweden) (Class B Stock)		1,000		27,187
Caterpillar, Inc.(a)		37,100		3,440,654
Cummins, Inc.		10,000		1,366,700
Deere & Co.(a)		19,200		1,978,368
Dover Corp.		10,100		756,793
Flowserve Corp.(a)		8,300		398,815
Fortive Corp.		18,750		1,005,563
Illinois Tool Works, Inc.		20,500		2,510,430
Ingersoll-Rand PLC		16,400		1,230,656
Kone OYJ (Finland) (Class B Stock)		680		30,385
PACCAR, Inc.		22,043		1,408,548
Parker-Hannifin Corp.		8,765		1,227,100
Pentair PLC (United Kingdom)		11,577		649,122
Sandvik AB (Sweden)		2,161		26,658
Schindler Holding AG (Switzerland)		270		47,128
Snap-on, Inc.		3,900		667,953
Stanley Black & Decker, Inc.		9,697		1,112,149
Volvo AB (Sweden) (Class B Stock)		652		7,591
Xylem, Inc.		11,600		574,432
				18,666,949
Marine
A.P. Moeller-Maersk A/S (Denmark) (Class A Stock)		6		9,055
Media — 1.5%
CBS Corp. (Class B Stock)		25,934		1,649,921
Charter Communications, Inc. (Class A Stock)*		13,550		3,901,316
Comcast Corp. (Class A Stock)		152,090		10,501,814
Discovery Communications, Inc. (Class A Stock)*(a)		8,500		232,985
Discovery Communications, Inc. (Class C Stock)*(a)		13,100		350,818
Interpublic Group of Cos., Inc. (The)		23,131		541,497
News Corp. (Class A Stock)		21,475		246,103
News Corp. (Class B Stock)		4,800		56,640
Omnicom Group, Inc.(a)		15,300		1,302,183
RTL Group SA (Luxembourg)		287		21,027

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Scripps Networks Interactive, Inc. (Class A Stock)(a)		6,100	$	435,357
TEGNA, Inc.		11,400		243,846
Time Warner, Inc.		49,466		4,774,953
Twenty-First Century Fox, Inc. (Class A Stock)		67,800		1,901,112
Twenty-First Century Fox, Inc. (Class B Stock)		29,400		801,150
Viacom, Inc. (Class B Stock)		21,334		748,823
Walt Disney Co. (The)		93,900		9,786,258
WPP PLC (United Kingdom)		9,878		219,821
				37,715,624
Metals & Mining — 0.2%
Anglo American PLC (United Kingdom)*		2,378		33,599
BHP Billiton Ltd. (Australia)		5,784		103,619
Boliden AB (Sweden)		5,128		133,200
Fortescue Metals Group Ltd. (Australia)		41,517		173,500
Freeport-McMoRan, Inc.*		82,088		1,082,741
Mitsubishi Materials Corp. (Japan)		900		27,528
Newmont Mining Corp.		33,800		1,151,566
Nucor Corp.		20,400		1,214,208
Rio Tinto PLC (United Kingdom)		2,246		85,748
voestalpine AG (Austria)		3,347		130,879
				4,136,588
Multi-Utilities — 0.5%
Ameren Corp.		15,100		792,146
CenterPoint Energy, Inc.		25,300		623,392
CMS Energy Corp.		17,200		715,864
Consolidated Edison, Inc.(a)		19,800		1,458,864
Dominion Resources, Inc.(a)		38,932		2,981,802
DTE Energy Co.		11,700		1,152,567
National Grid PLC (United Kingdom)		8,921		104,231
NiSource, Inc.		19,600		433,944
Public Service Enterprise Group, Inc.		31,600		1,386,608
SCANA Corp.		9,600		703,488
Sempra Energy(a)		15,419		1,551,768
WEC Energy Group, Inc.		19,913		1,167,898
				13,072,572
Multiline Retail — 0.3%
Dollar General Corp.		17,200		1,274,004
Dollar Tree, Inc.*(a)		14,765		1,139,563
Harvey Norman Holdings Ltd. (Australia)		2,314		8,574
Kohl’s Corp.(a)		11,700		577,746
Macy’s, Inc.		19,474		697,364
Nordstrom, Inc.(a)		8,600		412,198
Target Corp.(a)		37,000		2,672,510
				6,781,959
Oil, Gas & Consumable Fuels — 3.2%
Anadarko Petroleum Corp.		34,654		2,416,423
Apache Corp.		23,914		1,517,822
BP PLC (United Kingdom)		54,358		340,469
Cabot Oil & Gas Corp.		27,700		647,072
Chesapeake Energy Corp.*		38,100		267,462

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Chevron Corp.		119,722	$	14,091,279
Cimarex Energy Co.		6,200		842,580
Concho Resources, Inc.*(a)		9,000		1,193,400
ConocoPhillips		78,577		3,939,851
Devon Energy Corp.		33,400		1,525,378
EOG Resources, Inc.		36,200		3,659,820
EQT Corp.		11,200		732,480
Exxon Mobil Corp.		263,899		23,819,524
Galp Energia SGPS SA (Portugal)		13,233		197,281
Hess Corp.		17,100		1,065,159
Kinder Morgan, Inc.		119,298		2,470,662
Marathon Oil Corp.		51,882		898,077
Marathon Petroleum Corp.		33,082		1,665,679
Murphy Oil Corp.(a)		10,200		317,526
Neste Oyj (Finland)		4,433		169,641
Newfield Exploration Co.*		12,100		490,050
Noble Energy, Inc.		26,300		1,000,978
Occidental Petroleum Corp.		48,300		3,440,409
ONEOK, Inc.(a)		12,900		740,589
Phillips 66		29,338		2,535,097
Pioneer Natural Resources Co.		10,450		1,881,731
Range Resources Corp.		10,300		353,908
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		8,689		239,849
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		6,920		198,826
Southwestern Energy Co.*		28,800		311,616
Spectra Energy Corp.		43,762		1,798,181
Statoil ASA (Norway)		450		8,213
Tesoro Corp.(a)		7,800		682,110
TOTAL SA (France)		4,090		209,785
Valero Energy Corp.		30,100		2,056,432
Williams Cos., Inc. (The)		42,500		1,323,450
				79,048,809
Paper & Forest Products
Mondi PLC (South Africa)		2,108		43,050
Stora Enso OYJ (Finland) (Class R Stock)		2,120		22,678
UPM-Kymmene OYJ (Finland)		5,941		145,291
				211,019
Personal Products — 0.1%
Coty, Inc. (Class A Stock)		26,800		490,708
Estee Lauder Cos., Inc. (The) (Class A Stock)		13,900		1,063,211
Kao Corp. (Japan)		900		42,601
Unilever NV (United Kingdom), CVA		3,257		133,794
Unilever PLC (United Kingdom)		2,044		82,660
				1,812,974
Pharmaceuticals — 2.6%
Allergan PLC*(a)		24,375		5,118,994
Astellas Pharma, Inc. (Japan)		9,100		126,248
AstraZeneca PLC (United Kingdom)		2,302		125,708
Bayer AG (Germany)		3,107		323,699
Bristol-Myers Squibb Co.		105,070		6,140,291
Daiichi Sankyo Co. Ltd. (Japan)		1,200		24,503
Eli Lilly & Co.		61,400		4,515,970

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Endo International PLC*		12,500	$	205,875
GlaxoSmithKline PLC (United Kingdom)		9,498		182,443
Johnson & Johnson		173,248		19,959,902
Mallinckrodt PLC*		6,900		343,758
Merck & Co., Inc.		175,133		10,310,080
Mitsubishi Tanabe Pharma Corp. (Japan)		5,200		101,815
Mylan NV*		28,400		1,083,460
Novartis AG (Switzerland)		4,229		307,548
Novo Nordisk A/S (Denmark) (Class B Stock)		3,450		123,759
Perrigo Co. PLC(a)		9,300		774,039
Pfizer, Inc.		386,170		12,542,802
Roche Holding AG (Switzerland)		1,659		378,173
Sanofi (France)		2,160		174,669
Shionogi & Co. Ltd. (Japan)		500		23,896
Teva Pharmaceutical Industries Ltd. (Israel)		3,561		128,222
Zoetis, Inc.		31,300		1,675,489
				64,691,343
Professional Services — 0.1%
Adecco Group AG (Switzerland)		1,874		122,329
Dun & Bradstreet Corp. (The)		2,300		279,036
Equifax, Inc.		7,500		886,725
Intertek Group PLC (United Kingdom)		322		13,800
Nielsen Holdings PLC		21,200		889,340
Randstad Holding NV (Netherlands)		3,016		163,370
RELX PLC (United Kingdom)		5,807		103,484
Robert Half International, Inc.		8,400		409,752
Verisk Analytics, Inc.*		10,000		811,700
Wolters Kluwer NV (Netherlands)		593		21,449
				3,700,985
Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		18,200		573,118
Cheung Kong Property Holdings Ltd. (Hong Kong)		5,500		33,589
Daito Trust Construction Co. Ltd. (Japan)		1,100		165,372
Daiwa House Industry Co. Ltd. (Japan)		1,000		27,270
Kerry Properties Ltd. (Hong Kong)		5,000		13,521
Mitsubishi Estate Co. Ltd. (Japan)		2,000		39,729
Mitsui Fudosan Co. Ltd. (Japan)		2,000		46,301
Sun Hung Kai Properties Ltd. (Hong Kong)		13,000		163,702
Wharf Holdings Ltd. (The) (Hong Kong)		3,000		19,872
Wheelock & Co. Ltd. (Hong Kong)		3,000		16,837
				1,099,311
Road & Rail — 0.5%
CSX Corp.		59,200		2,127,056
East Japan Railway Co. (Japan)		600		51,731
JB Hunt Transport Services, Inc.		6,000		582,420
Kansas City Southern		6,900		585,465

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Road & Rail (continued)
Norfolk Southern Corp.		18,700	$	2,020,909
Ryder System, Inc.		3,600		267,984
Union Pacific Corp.		52,900		5,484,672
				11,120,237
Semiconductors & Semiconductor Equipment — 1.7%
Analog Devices, Inc.		19,600		1,423,352
Applied Materials, Inc.		67,700		2,184,679
Broadcom Ltd. (Singapore)		25,080		4,433,392
First Solar, Inc.*(a)		5,100		163,659
Intel Corp.		300,300		10,891,881
KLA-Tencor Corp.		10,000		786,800
Lam Research Corp.(a)		10,250		1,083,732
Linear Technology Corp.		14,900		929,015
Microchip Technology, Inc.(a)		13,600		872,440
Micron Technology, Inc.*		63,300		1,387,536
NVIDIA Corp.(a)		33,850		3,613,149
Qorvo, Inc.*(a)		7,707		406,390
QUALCOMM, Inc.		94,000		6,128,800
Skyworks Solutions, Inc.		12,100		903,386
Texas Instruments, Inc.		64,000		4,670,080
Tokyo Electron Ltd. (Japan)		300		28,215
Xilinx, Inc.		16,200		977,994
				40,884,500
Software — 2.2%
Activision Blizzard, Inc.		42,200		1,523,842
Adobe Systems, Inc.*		31,500		3,242,925
Autodesk, Inc.*		13,700		1,013,937
CA, Inc.		18,864		599,309
Check Point Software Technologies Ltd. (Israel)*		900		76,014
Citrix Systems, Inc.*		9,900		884,169
Electronic Arts, Inc.*		19,400		1,527,944
Intuit, Inc.		16,400		1,879,604
Konami Holdings Corp. (Japan)		3,200		129,147
Microsoft Corp.		494,700		30,740,658
Oracle Corp.		191,200		7,351,640
Red Hat, Inc.*		11,400		794,580
Sage Group PLC (The) (United Kingdom)		4,244		34,211
salesforce.com, inc.*		40,200		2,752,092
SAP SE (Germany)		1,214		105,018
Symantec Corp.		38,178		912,072
				53,567,162
Specialty Retail — 1.3%
Advance Auto Parts, Inc.		4,800		811,776
AutoNation, Inc.*		4,674		227,390
AutoZone, Inc.*		1,950		1,540,090
Bed Bath & Beyond, Inc.(a)		9,400		382,016
Best Buy Co., Inc.(a)		18,025		769,127
CarMax, Inc.*(a)		12,100		779,119
Foot Locker, Inc.		8,900		630,921
Gap, Inc. (The)(a)		13,300		298,452
Home Depot, Inc. (The)		78,450		10,518,576
Industria de Diseno Textil SA (Spain)		5,306		180,755
Kingfisher PLC (United Kingdom)		8,899		38,341

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
L Brands, Inc.		15,806	$	1,040,667
Lowe’s Cos., Inc.		55,800		3,968,496
O’Reilly Automotive, Inc.*(a)		6,200		1,726,142
Ross Stores, Inc.		25,700		1,685,920
Signet Jewelers Ltd.(a)		5,200		490,152
Staples, Inc.		37,049		335,293
Tiffany & Co.(a)		7,400		572,982
TJX Cos., Inc. (The)		42,000		3,155,460
Tractor Supply Co.		8,800		667,128
Ulta Salon Cosmetics & Fragrance, Inc.*		4,000		1,019,760
Urban Outfitters, Inc.*		4,300		122,464
				30,961,027
Technology Hardware, Storage & Peripherals — 1.9%
Apple, Inc.		340,590		39,447,134
Brother Industries Ltd. (Japan)		9,200		165,392
FUJIFILM Holdings Corp. (Japan)		900		34,079
Hewlett Packard Enterprise Co.		104,448		2,416,927
HP, Inc.		106,548		1,581,172
NEC Corp. (Japan)		11,000		29,094
NetApp, Inc.		17,800		627,806
Seagate Technology PLC(a)		18,800		717,596
Western Digital Corp.		17,803		1,209,714
				46,228,914
Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		372		58,671
Coach, Inc.		17,300		605,846
Hanesbrands, Inc.		23,600		509,052
Hermes International (France)		52		21,331
LVMH Moet Hennessy Louis Vuitton SE (France)		548		104,489
Michael Kors Holdings Ltd.*		10,700		459,886
NIKE, Inc. (Class B Stock)(a)		84,400		4,290,052
PVH Corp.		5,300		478,272
Ralph Lauren Corp.(a)		3,800		343,216
Swatch Group AG (The) (Switzerland)		363		22,153
Under Armour, Inc. (Class A Stock)*(a)		11,900		345,695
Under Armour, Inc. (Class C Stock)*(a)		12,074		303,903
VF Corp.		21,300		1,136,355
				8,678,921
Tobacco — 0.8%
Altria Group, Inc.		123,100		8,324,022
British American Tobacco PLC (United Kingdom)		5,979		338,864
Japan Tobacco, Inc. (Japan)		3,800		124,730
Philip Morris International, Inc.		98,700		9,030,063
Reynolds American, Inc.		51,638		2,893,794
				20,711,473
Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,960		38,103
Fastenal Co.(a)		18,200		855,036
ITOCHU Corp. (Japan)		13,700		181,399

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Trading Companies & Distributors (continued)
Mitsubishi Corp. (Japan)		5,300	$	112,565
Mitsui & Co. Ltd. (Japan)		16,000		219,237
United Rentals, Inc.*		6,000		633,480
W.W. Grainger, Inc.		3,800		882,550
				2,922,370
Transportation Infrastructure
Abertis Infraestructuras SA (Spain)		2,121		29,633
Aena SA (Spain), 144A, RegS		782		106,541
Atlantia SpA (Italy)		757		17,711
Auckland International Airport Ltd. (New Zealand)		3,721		16,140
Sydney Airport (Australia)		4,183		18,056
				188,081
Water Utilities
American Water Works Co., Inc.		11,100		803,196
Wireless Telecommunication Services
KDDI Corp. (Japan)		3,500		88,386
NTT DOCOMO, Inc. (Japan)		2,700		61,412
SoftBank Group Corp. (Japan)		2,300		152,200
Vodafone Group PLC (United Kingdom)		48,846		120,205
				422,203
TOTAL COMMON STOCKS (cost $504,126,534)				1,249,739,672

PREFERRED STOCKS — 0.1%	Shares		Value (Note 2)
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		212	$	16,191
Volkswagen AG (Germany) (PRFC)		1,519		212,535
				228,726
Banks
Citigroup Capital XIII 7.257%, (Capital Security, fixed to floating preferred)		20,000		516,400
Capital Markets — 0.1%
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)		30,000		750,600
Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		355		42,259
TOTAL PREFERRED STOCKS (cost $1,488,613)				1,537,985
UNAFFILIATED EXCHANGE TRADED FUND
iShares MSCI EAFE ETF(a) (cost $177,380)		3,226		186,237

ASSET-BACKED SECURITIES — 5.2%	Interest Rate			Maturity Date	Principal Amount (000)#
Collateralized Loan Obligations — 1.7%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.061%	(b)	04/20/25		2,100	2,097,629
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A		2.288%	(b)	04/28/26		400	400,839
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.480%	(b)	10/15/26		2,000	2,005,078
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		2.432%	(b)	04/18/27		1,000	1,001,456
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		2.420%	(b)	10/15/26		600	600,633
Battalion CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		2.480%	(b)	10/17/26		250	250,353
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		2.412%	(b)	04/18/27		1,000	1,000,365
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		2.080%	(b)	07/15/24		1,000	996,275
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.030%	(b)	04/17/25		2,200	2,197,045
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.431%	(b)	04/20/26		1,650	1,652,202
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.280%	(b)	01/17/26		250	249,917
Galaxy CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		2.350%	(b)	10/15/26		750	751,482
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A		2.331%	(b)	05/05/27		250	249,807
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A(c)		3.280%		01/25/27		750	740,510
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.420%	(b)	04/15/27		250	250,167
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.496%	(b)	05/15/26		250	250,312
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A(c)		2.302%	(b)	07/25/26		2,000	2,003,305
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A(c)		2.332%	(b)	01/18/27		500	500,992
Mill Creek CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A		2.631%	(b)	04/20/28		1,250	1,252,214
OZLM Funding Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		2.032%	(b)	07/22/25		1,000	1,000,421
Race Point CLO Ltd. (Cayman Islands), Series 2011-5A, Class AR, 144A		2.263%	(b)	12/15/22		201	201,327
Race Point CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		2.161%	(b)	02/20/25		250	250,103
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.292%	(b)	07/25/26		1,250	1,250,768

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		2.360%	(b)	07/17/26		500	$	500,775
Shackleton CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.381%	(b)	05/07/26		2,500		2,508,290
Shackleton CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A		2.360%	(b)	07/17/26		1,500		1,502,361
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.930%	(b)	04/15/25		2,600		2,595,427
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		3.556%	(b)	08/17/22		500		499,007
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		3.581%	(b)	10/20/23		900		901,435
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		2.502%	(b)	01/22/27		1,750		1,749,695
TIAA CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A		2.581%	(b)	07/20/28		1,750		1,752,682
Trinitas CLO Ltd (Cayman Islands), Series 2016-5A, Class A, 144A		2.434%	(b)	10/25/28		2,500		2,499,437
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.000%	(b)	07/15/25		2,200		2,200,936
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.020%	(b)	04/15/24		1,500		1,500,594
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.381%	(b)	04/20/26		1,300		1,298,873
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		504,026
								41,166,738
Non-Residential Mortgage-Backed Securities — 2.7%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		1.504%	(b)	05/15/20		2,700		2,698,349
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B		1.399%	(b)	04/08/19		1,383		1,384,203
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B		1.349%	(b)	10/08/19		2,494		2,499,589
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B		1.209%	(b)	11/08/19		800		800,863
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C		2.410%		07/08/22		800		792,720
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%		09/20/19		1,475		1,467,584
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%		07/20/21		4,800		4,763,482
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%		12/20/21		3,800		3,753,520
Chase Issuance Trust, Series 2007-C1, Class C1		1.164%	(b)	04/15/19		6,200		6,199,487
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A		1.740%		02/22/22		2,100		2,094,055
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%		11/15/25		2,325		2,344,846
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%		04/15/26		2,400		2,420,072
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A		2.310%		08/15/27		4,100		4,092,039
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A		2.030%		12/15/27		2,500		2,458,700
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c)		1.038%	(b)	05/15/20		1,600		1,600,697
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A(c)		1.554%	(b)	05/17/21		1,700		1,708,954
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A		2.730%		03/25/21		4,200		4,169,749
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A		2.670%		09/25/21		2,500		2,460,149
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A		2.320%		03/25/20		2,400		2,384,166
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A		2.040%		01/15/21		854		855,442
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		3,800		3,800,133
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B		1.404%	(b)	12/17/18		115		114,988
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B		1.454%	(b)	12/17/18		329		328,768
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%		10/20/30		1,118		1,118,067
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A		2.580%		09/20/32		1,116		1,110,274
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A		3.080%		03/21/33		2,080		2,100,043
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A		3.050%		04/25/29		2,259		2,270,367
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		4,665		4,701,854
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		527		517,955
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A		1.740%		09/15/21		1,200		1,200,638
								68,211,753
Residential Mortgage-Backed Securities — 0.8%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		2.406%	(b)	03/25/33		208		199,914
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A		3.767%	(b)	12/26/46		4,132		4,116,755
Credit Suisse Mortgage Trust, Series 2016-12R, Class 1A1, 144A(d)		3.239%	(b)	02/28/47		2,820		2,820,000
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.765%	(b)	07/25/35		368		351,484
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1		1.506%	(b)	03/25/34		1,626		1,568,842

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.792%			07/25/34		346	$	328,474
Fremont Home Loan Trust, Series 2004-2, Class M1		1.611%	(b)		07/25/34		506		463,032
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		1.379%	(b)		06/25/34		424		411,392
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.956%	(b)		05/25/33		113		109,627
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.806%	(b)		12/27/33		674		656,551
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.656%	(b)		07/25/32		245		236,978
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		2.031%	(b)		09/25/32		2,619		2,517,865
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		1.521%	(b)		02/25/34		772		722,364
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A		4.250%			04/25/46		1,647		1,659,019
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%			02/25/55		694		695,612
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A		3.625%			07/25/45		2,139		2,137,155
									18,995,064
TOTAL ASSET-BACKED SECURITIES (cost $127,913,777)									128,373,555
BANK LOANS(b) — 0.3%
Food
Aramark Corp.		3.430%			02/24/21		381		384,233
Media & Entertainment
Nielsen Finance LLC		3.442%			10/04/23		672		676,917
Pharmaceuticals — 0.1%
RPI Finance Trust		3.498%			10/14/22		1,006		1,016,854
Technology — 0.2%
Avago Technologies Cayman Finance Ltd. (Singapore)		3.881%			02/01/23		727		736,638
Dell International LLC		2.998%			12/31/18		500		499,219
Dell International LLC		4.020%			09/07/23		610		619,913
First Data Corp.		3.998%			03/24/21		940		948,981
Trans Union LLC		3.520%			04/09/21		389		391,436
Western Digital Corp.		4.748%			04/29/23		700		709,361
									3,905,548
Telecommunications
T-Mobile USA, Inc.		3.707%			11/09/22		733		740,188
TOTAL BANK LOANS (cost $6,595,334)									6,723,740
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.6%
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A		3.172%			05/15/49		3,100		3,052,396
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.587%	(b)		04/10/49		2,191		2,201,715
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3		3.014%			05/10/58		2,500		2,431,497
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.711%	(b)		12/10/49		800		806,936
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%			04/10/46		900		905,278
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%			05/10/47		2,090		2,164,670
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3		2.944%			05/10/49		2,700		2,640,788
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%			12/10/45		1,000		994,960
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%			03/10/46		1,400		1,415,034
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%			02/10/47		2,000		2,042,116
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%			07/15/47		2,100		2,168,950
Commercial Mortgage Trust, Series 2014-LC17, Class A4		3.648%			10/10/47		5,000		5,185,823
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%			06/10/47		1,700		1,733,196
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3		3.544%			11/15/48		2,500		2,558,252
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A		3.555%	(b)		09/10/35		1,100		1,131,841
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(b)		12/25/23		1,925		2,005,234
Fannie Mae-Aces, Series 2015-M8, Class AB2		2.829%	(b)		01/25/25		4,100		4,066,914
Fannie Mae-Aces, Series 2015-M17, Class A2		2.940%	(b)		11/25/25		3,000		3,013,884
Fannie Mae-Aces, Series 2016-M7, Class AB2		2.385%			09/25/26		1,800		1,669,215

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.442%	(b)	05/25/22		20,259	$	1,274,814
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.481%	(b)	06/25/22		5,603		368,576
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2		3.023%		01/25/25		4,965		5,045,286
FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2		3.284%	(b)	06/25/25		3,650		3,771,258
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,IO		1.369%	(b)	03/25/26		9,331		916,951
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.759%	(b)	05/25/19		15,802		526,934
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.692%	(b)	07/25/19		16,616		562,502
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(b)	05/25/25		1,900		1,921,057
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		3,000		3,002,028
GS Mortgage Securities Trust, Series 2015-GC34, Class A3		3.244%		10/10/48		4,800		4,808,330
GS Mortgage Securities Trust, Series 2016-GS4, Class A3		3.178%		11/10/49		4,000		3,993,376
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,100		1,127,553
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		5,000		4,932,718
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A		2.881%		06/15/49		2,500		2,441,701
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		792		805,773
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,500		1,502,230
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,200		3,235,584
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,219		1,243,755
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,100		1,112,004
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM		6.114%	(b)	07/15/40		2,500		2,565,752
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,200		1,210,809
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3		3.540%		12/15/48		5,000		5,135,655
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3		2.531%		08/15/49		6,300		5,959,370
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,400		1,411,029
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,200		3,218,562
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,500		1,513,070
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		3,838		3,897,378
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XB, IO		1.343%	(b)	08/15/49		9,000		948,935
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3		2.642%		11/15/49		4,500		4,266,067
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $117,304,605)								114,907,756
CORPORATE BONDS — 10.7%
Agriculture — 0.2%
Altria Group, Inc., Gtd. Notes		4.000%		01/31/24		1,585		1,674,738
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		690		790,501
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%		02/11/18		1,680		1,681,559
Reynolds American, Inc., Gtd. Notes		8.125%		06/23/19		290		330,843
								4,477,641
Airlines — 0.2%
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A		3.375%		11/01/28		2,449		2,411,785
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		03/15/19		34		34,604

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines (continued)
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%		12/15/22		30	$	31,582
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		05/10/21		487		544,139
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		07/12/22		509		537,294
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%		04/29/26		343		350,836
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		6.821%		02/10/24		264		303,256
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		11/23/20		311		325,410
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		10/15/20		593		625,692
								5,164,598
Auto Manufacturers — 0.3%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%		01/15/43		1,090		1,034,854
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN		4.389%		01/08/26		1,240		1,256,709
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,065		1,177,335
General Motors Co., Sr. Unsec’d. Notes		6.600%		04/01/36		585		668,659
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN		2.700%		03/15/17		380		380,888
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN		2.850%		01/15/21		2,300		2,309,752
								6,828,197
Banks — 2.9%
Bank of America Corp., Jr. Sub. Notes		6.300%	(b)	12/29/49		275		287,375
Bank of America Corp., Jr. Sub. Notes		8.000%	(b)	07/29/49		2,100		2,157,750
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,290		1,448,977
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,330		1,368,542
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%		01/11/23		360		361,202
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.500%		04/19/26		4,770		4,706,425
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		745		768,348
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.650%		05/01/18		105		110,015
Bank of America Corp., Sub. Notes, MTN		4.000%		01/22/25		1,700		1,702,135
Bank of America NA, Sub. Notes		5.300%		03/15/17		850		856,583
Bank of America NA, Sub. Notes		6.000%		10/15/36		805		971,212
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%		01/12/26		1,205		1,220,451
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		3,325		3,368,291
Citigroup, Inc., Jr. Sub. Notes		5.950%	(b)	12/29/49		1,590		1,613,770
Citigroup, Inc., Jr. Sub. Notes		6.125%	(b)	12/29/49		945		978,075
Citigroup, Inc., Jr. Sub. Notes		6.250%	(b)	12/29/49		640		658,560
Citigroup, Inc., Sr. Unsec’d. Notes		3.700%		01/12/26		1,610		1,601,712
Citigroup, Inc., Sr. Unsec’d. Notes		4.500%		01/14/22		1,125		1,199,448
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		850		1,263,044
Citigroup, Inc., Sub. Notes		4.450%		09/29/27		1,485		1,508,531
Compass Bank, Sr. Unsec’d. Notes		1.850%		09/29/17		1,050		1,047,617
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%		05/12/21		1,240		1,227,461
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		595		606,141
Discover Bank, Sub. Notes		7.000%		04/15/20		485		538,533
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.300%	(b)	12/29/49		560		536,900
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)	12/29/49		1,800		1,818,000
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%		02/25/26		1,165		1,168,423
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,305		2,526,257
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		1,250		1,405,269
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		220		272,705
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		1,100		1,358,332
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%		01/14/22		1,230		1,327,832
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		920		994,250

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banks (continued)
JPMorgan Chase & Co., Jr. Sub. Notes		6.100%	(b)	10/29/49		1,175	$	1,188,953
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	12/29/49		2,000		2,071,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		1,660		1,756,672
JPMorgan Chase & Co., Sub. Notes		3.875%		09/10/24		3,525		3,566,725
JPMorgan Chase & Co., Sub. Notes		4.950%		06/01/45		195		207,930
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN		5.800%		01/13/20		1,770		1,930,150
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%		02/06/25		2,385		2,323,686
Morgan Stanley, Jr. Sub. Notes		5.450%	(b)	07/29/49		640		633,600
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%		02/25/23		605		621,422
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		1,530		1,530,753
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		840		930,835
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		6.625%		04/01/18		100		105,753
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.375%		07/24/42		640		822,507
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		3,050		3,125,481
National City Corp., Sub. Notes		6.875%		05/15/19		2,687		2,957,541
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN		1.875%		09/17/18		1,590		1,589,216
PNC Bank NA, Sr. Unsec’d. Notes		1.950%		03/04/19		455		455,480
PNC Bank NA, Sub. Notes		3.800%		07/25/23		480		494,908
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		925		930,063
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		915		920,423
								71,141,264
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.700%		02/01/36		2,005		2,108,995
Biotechnology — 0.1%
Amgen, Inc., Sr. Unsec’d. Notes, 144A		4.663%		06/15/51		1,527		1,467,612
Gilead Sciences, Inc., Sr. Unsec’d. Notes		4.150%		03/01/47		30		28,494
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		110		127,141
								1,623,247
Building Materials
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(c)		5.375%		11/15/24		1,135		1,166,212
Chemicals — 0.2%
Celanese US Holdings LLC, Gtd. Notes		5.875%		06/15/21		1,160		1,288,193
CF Industries, Inc., Gtd. Notes		5.375%		03/15/44		445		367,263
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%		10/01/44		5		5,017
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		30		46,545
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%		02/26/55		955		887,428
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%		04/15/19		800		845,322
Mosaic Co. (The), Sr. Unsec’d. Notes(a)		5.450%		11/15/33		265		262,829
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		860		828,778
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%		06/01/25		500		601,944
Westlake Chemical Corp., Gtd. Notes, 144A		4.625%		02/15/21		750		776,250
								5,909,569
Commercial Services — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A(c)		6.375%		10/15/17		1,198		1,241,302
ERAC USA Finance LLC, Gtd. Notes, 144A(c)		7.000%		10/15/37		390		494,152
United Rentals North America, Inc., Gtd. Notes		5.875%		09/15/26		400		411,500
								2,146,954
Computers — 0.2%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		3.480%		06/01/19		825		842,165
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		4.420%		06/15/21		700		724,322
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.450%	(b)	10/05/17		2,915		2,931,207
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.850%	(b)	10/05/18		545		550,271
Seagate HDD Cayman, Gtd. Notes		3.750%		11/15/18		455		466,204
								5,514,169

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Diversified Financial Services — 0.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		3.750%		05/15/19		600	$	611,250
Bear Stearns Cos. LLC (The), Gtd. Notes		6.400%		10/02/17		270		279,706
Bear Stearns Cos. LLC (The), Gtd. Notes		7.250%		02/01/18		1,135		1,201,100
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		913,710
GE Capital International Funding Co., Gtd. Notes		4.418%		11/15/35		922		966,170
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		465		478,480
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(e)		5.250%		02/06/12		1,850		106,375
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(e)		6.875%		05/02/18		700		41,370
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%		06/15/18		295		317,863
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		1.875%		07/15/18		55		55,426
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		2.450%		07/15/24		285		277,625
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		3.250%		06/15/25		895		924,511
Synchrony Financial, Sr. Unsec’d. Notes		2.700%		02/03/20		2,175		2,168,551
								8,342,137
Electric — 0.6%
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%		10/01/36		530		672,831
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%		04/01/36		340		424,619
Black Hills Corp., Sr. Unsec’d. Notes		2.500%		01/11/19		950		953,788
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%		03/15/33		300		399,483
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes		5.500%		12/01/39		145		170,731
Dominion Resources, Inc., Jr. Sub. Notes		4.104%		04/01/21		2,470		2,572,920
Duke Energy Carolinas LLC, First Mortgage		6.050%		04/15/38		530		668,515
Dynegy, Inc., Gtd. Notes		6.750%		11/01/19		345		351,037
Dynegy, Inc., Gtd. Notes		7.375%		11/01/22		255		243,525
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		845		974,330
Emera U.S. Finance LP (Canada), Gtd. Notes, 144A		3.550%		06/15/26		745		732,357
Eversource Energy, Sr. Unsec’d. Notes		4.500%		11/15/19		605		642,164
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,375		1,384,441
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		265		281,315
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		380		473,883
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		140		160,410
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		545		581,597
NRG Energy, Inc., Gtd. Notes, 144A		7.250%		05/15/26		685		681,575
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		135		145,739
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%		05/01/37		515		638,104
Southern California Edison Co., First Mortgage		3.600%		02/01/45		690		652,671
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		511,441
								14,317,476
Entertainment
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.875%		11/01/20		800		840,000
Food — 0.1%
Kraft Heinz Foods Co., Gtd. Notes		3.000%		06/01/26		1,510		1,417,644
Kraft Heinz Foods Co., Gtd. Notes		4.375%		06/01/46		360		338,752
Lamb Weston Holdings, Inc., Gtd. Notes, 144A		4.875%		11/01/26		715		707,403
								2,463,799
Forest Products & Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A(c)		5.400%		11/01/20		275		302,329
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		1,270		1,426,225
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		304		329,985
								2,058,539
Gas
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%		11/01/43		45		46,629
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20		500		545,994
								592,623

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Healthcare-Products — 0.3%
Becton Dickinson & Co., Sr. Unsec’d. Notes		3.734%		12/15/24		372	$	380,415
Medtronic, Inc., Gtd. Notes		3.500%		03/15/25		2,515		2,589,731
Medtronic, Inc., Gtd. Notes		4.375%		03/15/35		997		1,054,754
St. Jude Medical, Inc., Sr. Unsec’d. Notes		2.000%		09/15/18		3,700		3,705,221
								7,730,121
Healthcare-Services — 0.4%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		480		610,650
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,050		1,364,592
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		330		331,574
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		260		261,013
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)		5.125%		08/15/18		181		177,380
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		540		620,726
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		640		742,113
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		1,235		1,278,225
HCA, Inc., Sr. Sec’d. Notes		5.000%		03/15/24		900		925,875
HCA, Inc., Sr. Sec’d. Notes		5.250%		04/15/25		350		365,312
HCA, Inc., Sr. Sec’d. Notes		5.250%		06/15/26		700		723,625
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%		02/01/22		160		161,329
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%		08/01/45		340		329,994
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		440		428,498
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		115		117,368
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		410		536,306
								8,974,580
Home Builders
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		375		378,750
Housewares — 0.1%
Newell Brands, Inc., Sr. Unsec’d. Notes		4.200%		04/01/26		610		636,706
Newell Brands, Inc., Sr. Unsec’d. Notes		6.250%		04/15/18		1,600		1,683,841
								2,320,547
Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		480		517,790
American International Group, Inc., Sr. Unsec’d. Notes(a)		4.500%		07/16/44		1,910		1,883,403
AXIS Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		990		1,085,165
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.125%		03/15/26		1,350		1,341,232
Chubb Corp. (The), Gtd. Notes		6.375%(b)		03/29/67		1,260		1,184,400
Chubb INA Holdings, Inc., Gtd. Notes(a)		3.350%		05/03/26		705		714,102
Chubb INA Holdings, Inc., Gtd. Notes		4.350%		11/03/45		100		105,630
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes		5.125%		04/15/22		635		704,333
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		215		254,911
Liberty Mutual Group, Inc., Gtd. Notes, 144A		7.000%		03/15/34		910		1,080,492
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		701		825,639
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		165		167,352
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		650		854,948
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		350		430,985
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		640		703,689
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		695		1,026,601
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		105		108,749
Progressive Corp. (The), Jr. Sub. Notes		6.700%(b)		06/15/67		715		698,913
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		570		531,975
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,430		1,855,745
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes		4.300%		08/25/45		660		683,665
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		315		343,037
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		575		626,352
								17,729,108

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%			07/01/22		555	$	592,463
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%			03/01/19		490		498,574
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%			09/15/22		805		811,740
Marriott International, Inc., Sr. Unsec’d. Notes		6.750%			05/15/18		2,700		2,878,240
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%			03/01/18		405		408,409
									5,189,426
Machinery-Diversified — 0.1%
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%			12/01/17		1,100		1,156,375
Xylem, Inc., Sr. Unsec’d. Notes		4.875%			10/01/21		1,060		1,144,346
									2,300,721
Media — 0.6%
21st Century Fox America, Inc., Gtd. Notes		6.150%			03/01/37		250		292,566
21st Century Fox America, Inc., Gtd. Notes		6.900%			08/15/39		35		43,951
21st Century Fox America, Inc., Gtd. Notes		7.625%			11/30/28		1,265		1,621,611
AMC Networks, Inc., Gtd. Notes		5.000%			04/01/24		1,225		1,231,125
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%			09/15/17		900		936,000
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.375%			05/01/25		720		741,600
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.384%			10/23/35		630		719,354
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.484%			10/23/45		1,000		1,156,079
Comcast Cable Holdings LLC, Gtd. Notes		9.875%			06/15/22		1,440		1,859,639
Historic TW, Inc., Gtd. Notes		9.150%			02/01/23		625		801,530
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%			07/28/17		750		764,820
Time Warner Cable, Inc., Sr. Sec’d. Notes		5.850%			05/01/17		1,240		1,257,597
Time Warner, Inc., Gtd. Notes		3.800%			02/15/27		585		581,678
Time Warner, Inc., Gtd. Notes		6.200%			03/15/40		175		202,009
Time Warner, Inc., Gtd. Notes		6.250%			03/29/41		495		577,557
Viacom, Inc., Sr. Unsec’d. Notes		4.500%			02/27/42		50		41,449
Viacom, Inc., Sr. Unsec’d. Notes		4.875%			06/15/43		150		130,038
Viacom, Inc., Sr. Unsec’d. Notes		5.250%			04/01/44		340		309,312
Videotron Ltd. (Canada), Gtd. Notes		5.000%			07/15/22		850		871,250
									14,139,165
Mining — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%			09/30/43		700		781,872
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A(a)		6.250%	(b)		10/19/75		845		914,882
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%			04/23/45		400		392,690
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		6.750%			04/16/40		300		323,672
									2,413,116
Miscellaneous Manufacturing — 0.1%
Actuant Corp., Gtd. Notes		5.625%			06/15/22		1,040		1,066,000
Koppers, Inc., Gtd. Notes		7.875%			12/01/19		1,050		1,064,437
									2,130,437
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%			05/10/19		1,065		1,058,059
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		2.400%			10/26/22		855		830,001
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		4.375%			02/11/20		800		851,156
									2,739,216
Oil & Gas — 0.6%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)		10/10/36		1,000		404,312
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%			09/15/36		1,040		1,237,773
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%			03/15/46		195		240,505
ConocoPhillips Co., Gtd. Notes		4.950%			03/15/26		1,700		1,876,803
Devon Energy Corp., Sr. Unsec’d. Notes		5.000%			06/15/45		85		83,498

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Oil & Gas (continued)
Devon Energy Corp., Sr. Unsec’d. Notes		5.600%		07/15/41		225	$	231,749
Devon Financing Co. LLC, Gtd. Notes		7.875%		09/30/31		1,350		1,712,939
EOG Resources, Inc., Sr. Unsec’d. Notes		3.900%		04/01/35		830		786,036
Helmerich & Payne International Drilling Co., Gtd. Notes		4.650%		03/15/25		1,555		1,606,738
Hess Corp., Sr. Unsec’d. Notes		4.300%		04/01/27		780		776,429
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		890		904,703
Noble Energy, Inc., Sr. Unsec’d. Notes		5.050%		11/15/44		925		927,727
Occidental Petroleum Corp., Sr. Unsec’d. Notes		3.000%		02/15/27		415		401,544
Phillips 66, Gtd. Notes		2.950%		05/01/17		415		417,315
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,450		1,539,366
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		400		432,441
Valero Energy Corp., Sr. Unsec’d. Notes(a)		4.900%		03/15/45		225		224,222
								13,804,100
Oil & Gas Services — 0.1%
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A		4.000%		12/21/25		2,170		2,274,138
Packaging & Containers — 0.1%
Ball Corp., Gtd. Notes		4.375%		12/15/20		465		485,925
WestRock RKT Co., Gtd. Notes		4.900%		03/01/22		675		732,738
								1,218,663
Pharmaceuticals — 0.3%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		950		940,964
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,595		1,567,130
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25		805		805,948
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35		1,625		1,608,412
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45		230		225,799
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		440		480,713
Merck & Co., Inc., Sr. Unsec’d. Notes(a)		2.750%		02/10/25		340		333,833
Merck & Co., Inc., Sr. Unsec’d. Notes		3.700%		02/10/45		1,105		1,053,664
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		700		754,908
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a)		3.150%		10/01/26		460		424,086
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes		4.100%		10/01/46		145		124,245
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		90		87,604
								8,407,306
Pipelines — 0.2%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%		03/15/20		473		490,738
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.650%		06/01/21		610		633,344
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.900%		03/15/35		200		186,906
Enterprise Products Operating LLC, Gtd. Notes(a)		3.700%		02/15/26		550		551,994
Enterprise Products Operating LLC, Gtd. Notes(a)		3.750%		02/15/25		1,055		1,071,945
Enterprise Products Operating LLC, Gtd. Notes(a)		3.950%		02/15/27		810		829,758
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%		02/15/18		530		552,854
MPLX LP, Sr. Unsec’d. Notes		4.000%		02/15/25		1,140		1,108,086
ONEOK Partners LP, Gtd. Notes		6.650%		10/01/36		130		147,474
								5,573,099
Real Estate
Prologis LP, Gtd. Notes		6.875%		03/15/20		68		76,279
Real Estate Investment Trusts (REITs)
Select Income REIT, Sr. Unsec’d. Notes		2.850%		02/01/18		550		552,350
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22		190		196,434
								748,784
Retail — 0.3%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%		07/20/45		590		657,524
CVS Health Corp., Sr. Unsec’d. Notes		5.300%		12/05/43		170		192,624
Home Depot, Inc. (The), Sr. Unsec’d. Notes		3.000%		04/01/26		585		583,877

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Retail (continued)
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%			03/15/45		565	$	602,118
L Brands, Inc., Gtd. Notes		5.625%			02/15/22		1,300		1,387,750
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%			03/15/29		345		445,650
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%			01/15/22		300		307,268
McDonald’s Corp., Sr. Unsec’d. Notes, MTN		3.700%			01/30/26		1,925		1,959,837
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes		5.625%			12/01/25		1,020		1,060,800
Target Corp., Sr. Unsec’d. Notes		3.500%			07/01/24		265		275,266
									7,472,714
Savings & Loans
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%			12/06/22		1,195		1,201,718
Semiconductors — 0.1%
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%			03/15/23		1,200		1,266,000
Software — 0.2%
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		2.850%			10/15/18		1,225		1,246,306
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		3.625%			10/15/20		1,640		1,697,840
Microsoft Corp., Sr. Unsec’d. Notes		4.000%			02/12/55		360		340,481
Oracle Corp., Sr. Unsec’d. Notes		4.300%			07/08/34		700		723,789
									4,008,416
Telecommunications — 0.6%
AT&T Corp., Gtd. Notes		8.250%	(b)		11/15/31		10		13,901
AT&T, Inc., Sr. Unsec’d. Notes		3.400%			05/15/25		3,130		3,016,766
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			05/15/35		350		338,158
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			03/09/48		12		10,783
AT&T, Inc., Sr. Unsec’d. Notes		4.550%			03/09/49		1,174		1,060,434
AT&T, Inc., Sr. Unsec’d. Notes		4.750%			05/15/46		560		530,555
AT&T, Inc., Sr. Unsec’d. Notes		4.800%			06/15/44		305		288,199
AT&T, Inc., Sr. Unsec’d. Notes		5.150%			03/15/42		520		518,009
AT&T, Inc., Sr. Unsec’d. Notes		5.350%			09/01/40		113		116,051
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.125%	(b)		12/15/30		350		533,988
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Sec’d. Notes, 144A		3.360%			03/20/23		1,400		1,402,618
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.522%			09/15/48		1,827		1,751,932
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%			03/15/55		2,288		2,148,684
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%			08/21/54		2,349		2,336,696
									14,066,774
Transportation — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		3.450%			09/15/21		1,180		1,232,346
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%			08/01/28		735		936,190
CSX Corp., Sr. Unsec’d. Notes		6.150%			05/01/37		690		847,635
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%			05/17/25		120		137,265
									3,153,436
TOTAL CORPORATE BONDS (cost $256,743,437)									264,012,034
MUNICIPAL BONDS — 0.6%
Alabama
Alabama Economic Settlement Authority, Revenue Bonds, BABs		4.263%			09/15/32		180		185,000
California — 0.3%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%			04/01/49		1,305		1,772,869
California Educational Facilities Authority, Revenue Bonds, BABs		5.000%			06/01/46		550		704,352
Central Puget Sound Regional Transit Authority, Revenue Bonds, BABs		5.000%			11/01/46		700		888,846
State of California, GO, BABs		7.300%			10/01/39		1,250		1,765,487
State of California, GO, BABs		7.500%			04/01/34		350		492,331
State of California, GO, BABs		7.550%			04/01/39		245		363,827
State of California, GO, BABs		7.625%			03/01/40		205		301,211
									6,288,923

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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	$	732,336
Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%			01/01/40		970		1,266,093
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%			01/01/40		1,000		1,440,530
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%			08/01/36		1,100		1,360,898
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%			06/01/40		415		474,801
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%			12/01/34		275		309,477
									784,278
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%			11/15/34		425		535,122
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%			12/01/45		505		606,631
Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%			07/01/43		945		1,222,159
TOTAL MUNICIPAL BONDS (cost $11,452,714)									14,421,970
NON-CORPORATE FOREIGN AGENCIES — 0.8%
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.625%			04/28/21		2,086		2,117,753
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%			07/24/24		1,300		1,318,447
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.750%			02/23/27		355		340,800
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%			01/15/24		490		486,938
Dexia Credit Local SA (France), Gov’t. Liq. Gtd. Notes, 144A		1.875%			09/15/21		1,000		965,013
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%			06/29/20		265		286,836
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN		2.375%			06/04/25		400		382,736
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		4.950%			07/19/22		255		262,387
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%			03/07/22		440		485,373
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		1.500%			07/21/21		600		575,267
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%			04/13/21		600		586,865
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%			10/25/23		1,000		951,284
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%			05/23/18		2,634		2,623,617
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%			01/21/21		795		817,856
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%			06/02/41		955		894,405
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%	(b)		12/01/23		350		379,750
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A		5.375%			03/13/22		330		337,913
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%			05/15/17		560		566,729
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%			04/10/17		1,035		1,034,661
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%			04/28/20		1,000		993,371
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%			05/07/19		500		506,517
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN		1.750%			03/10/21		2,385		2,340,560
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $19,560,945)									19,255,078
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.7%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%			09/25/19		163		163,464
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%			01/25/36		1,026		872,011
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A		3.500%	(b)		07/26/36		1,430		1,430,580

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A		0.739%	(b)		08/26/36		790	$	744,886
Banc of America Mortgage Trust, Series 2005-A, Class 2A1		2.961%	(b)		02/25/35		236		235,128
Banc of America Mortgage Trust, Series 2005-B, Class 2A1		3.063%	(b)		03/25/35		268		241,340
Bayview Opportunity Master Fund Trust, Series 2016-CRT1, Class M1, 144A		2.511%	(b)		10/27/27		511		509,664
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		3.167%	(b)		02/25/37		500		479,429
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1(g)		2.706%	(b)		11/25/24		623		624,422
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(g)		1.906%	(b)		05/25/25		252		251,845
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(g)		2.906%	(b)		09/25/28		1,080		1,090,938
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(g)		2.956%	(b)		10/25/28		1,379		1,392,873
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1(g)		2.206%	(b)		01/25/29		1,308		1,316,324
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(g)		1.656%	(b)		10/25/27		3,785		3,787,735
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(g)		2.106%	(b)		04/25/28		305		305,592
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(g)		2.206%	(b)		07/25/28		1,967		1,974,558
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(g)		2.756%	(b)		12/25/28		1,425		1,438,264
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2(g)		2.056%	(b)		03/25/29		1,040		1,038,022
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(g)		3.006%	(b)		11/25/28		1,200		1,224,645
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		3.182%	(b)		07/25/35		259		258,137
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-6, Class A, 144A(d)		2.533%	(b)		05/01/20		3,951		3,896,453
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-7, Class A, 144A(d)		2.533%	(b)		07/01/20		1,557		1,547,018
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-8, Class A1, 144A		2.617%	(b)		08/01/20		1,147		1,145,391
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-10, Class A1, 144A(d)		2.617%	(b)		11/01/20		402		398,704
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-1, Class A1, 144A		2.617%	(b)		01/01/21		1,738		1,707,624
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A(d)		2.617%	(b)		09/01/21		1,934		1,910,279
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-6, Class A, 144A		2.635%	(b)		11/01/21		1,250		1,232,583
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%			04/25/19		32		32,464
Mortgage Repurchase Agreement Financing Trust, Series 2016-3, Class A1, 144A(d)		1.664%	(b)		11/10/18		1,770		1,770,000
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A(d)		1.737%	(b)		05/10/19		7,380		7,363,963
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A(d)		1.871%	(b)		06/10/19		1,300		1,300,000
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.093%	(b)		02/25/34		326		326,423
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%			03/25/20		113		113,604
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $42,229,167)									42,124,363
SOVEREIGN BONDS — 0.6%
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, RegS, EMTN		1.125%			08/03/19		1,200		1,181,266
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%			02/26/24		220		222,200
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.375%			07/12/21		400		419,000
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%			03/25/19		392		405,720
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%			03/29/21		1,760		1,970,778
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%			03/29/41		688		961,308

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		5.250%			01/08/47		705	$	702,971
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%			03/13/20		770		840,373
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN		5.875%			01/15/24		750		827,478
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		4.875%			05/05/21		750		793,958
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		4.000%			10/02/23		438		439,051
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%			03/08/44		766		696,524
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%			03/16/25		490		486,325
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%			09/22/24		395		401,912
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%			01/30/20		375		402,750
Province of Alberta (Canada), Sr. Unsec’d. Notes		1.900%			12/06/19		800		801,225
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS, MTN		6.125%			01/22/44		350		408,537
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN		2.375%			10/26/21		980		951,517
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%			06/05/20		1,260		1,352,890
TOTAL SOVEREIGN BONDS (cost $14,356,096)									14,265,783
U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.3%
Federal Home Loan Banks(h)		5.500%			07/15/36		850		1,114,973
Federal Home Loan Mortgage Corp.		2.500%			TBA		5,000		5,008,985
Federal Home Loan Mortgage Corp.		2.500%			03/01/30		804		806,911
Federal Home Loan Mortgage Corp.		2.665%	(b)		12/01/35		296		312,204
Federal Home Loan Mortgage Corp.		2.875%	(b)		06/01/36		278		294,489
Federal Home Loan Mortgage Corp.		3.000%			10/01/28		700		719,846
Federal Home Loan Mortgage Corp.		3.000%			06/01/29		1,331		1,368,856
Federal Home Loan Mortgage Corp.		3.000%			06/01/42		523		523,173
Federal Home Loan Mortgage Corp.		3.000%			10/01/42		873		872,993
Federal Home Loan Mortgage Corp.		3.000%			01/01/43		1,088		1,087,500
Federal Home Loan Mortgage Corp.		3.000%			07/01/43		2,847		2,841,618
Federal Home Loan Mortgage Corp.		3.000%			12/01/44		1,233		1,226,620
Federal Home Loan Mortgage Corp.		3.000%			03/01/45		957		951,906
Federal Home Loan Mortgage Corp.		3.000%			03/01/45		1,375		1,367,877
Federal Home Loan Mortgage Corp.		3.000%			04/01/45		939		936,477
Federal Home Loan Mortgage Corp.		3.500%			TBA		15,000		15,359,144
Federal Home Loan Mortgage Corp.		3.500%			08/01/26		936		981,269
Federal Home Loan Mortgage Corp.		3.500%			06/01/42		530		545,465
Federal Home Loan Mortgage Corp.		4.000%			TBA		7,500		7,877,490
Federal Home Loan Mortgage Corp.		4.000%			06/01/26		923		971,610
Federal Home Loan Mortgage Corp.		4.000%			09/01/26		340		358,179
Federal Home Loan Mortgage Corp.		4.000%			10/01/39		894		943,534
Federal Home Loan Mortgage Corp.		4.000%			12/01/40		626		661,004
Federal Home Loan Mortgage Corp.		4.000%			10/01/41		799		839,389
Federal Home Loan Mortgage Corp.		4.000%			01/01/42		232		244,758
Federal Home Loan Mortgage Corp.		4.000%			10/01/45		1,224		1,286,650
Federal Home Loan Mortgage Corp.		4.500%			02/01/19		24		24,745
Federal Home Loan Mortgage Corp.		4.500%			07/01/19		174		179,011
Federal Home Loan Mortgage Corp.		4.500%			07/01/20		95		98,086
Federal Home Loan Mortgage Corp.		4.500%			02/01/39		142		152,069
Federal Home Loan Mortgage Corp.		4.500%			09/01/39		244		263,301
Federal Home Loan Mortgage Corp.		4.500%			10/01/39		2,224		2,393,632
Federal Home Loan Mortgage Corp.		4.500%			12/01/39		220		236,759
Federal Home Loan Mortgage Corp.		4.500%			07/01/41		325		350,675
Federal Home Loan Mortgage Corp.		4.500%			07/01/41		2,447		2,641,927
Federal Home Loan Mortgage Corp.		4.500%			08/01/41		804		863,964

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		243	$	261,354
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		175		188,059
Federal Home Loan Mortgage Corp.		4.500%		10/01/41		674		727,706
Federal Home Loan Mortgage Corp.		5.000%		07/01/18		95		97,165
Federal Home Loan Mortgage Corp.		5.000%		12/01/18		55		56,019
Federal Home Loan Mortgage Corp.		5.000%		07/01/19		116		118,961
Federal Home Loan Mortgage Corp.		5.000%		07/01/19		130		134,041
Federal Home Loan Mortgage Corp.		5.000%		12/01/19		24		24,498
Federal Home Loan Mortgage Corp.		5.000%		05/01/34		30		32,600
Federal Home Loan Mortgage Corp.		5.000%		05/01/34		501		548,905
Federal Home Loan Mortgage Corp.		5.000%		10/01/35		12		13,161
Federal Home Loan Mortgage Corp.		5.000%		07/01/37		837		915,559
Federal Home Loan Mortgage Corp.		5.000%		05/01/39		114		124,582
Federal Home Loan Mortgage Corp.		5.500%		12/01/33		156		173,161
Federal Home Loan Mortgage Corp.		5.500%		01/01/34		65		73,577
Federal Home Loan Mortgage Corp.		5.500%		06/01/34		106		118,710
Federal Home Loan Mortgage Corp.		5.500%		07/01/34		342		383,567
Federal Home Loan Mortgage Corp.		5.500%		05/01/37		97		107,987
Federal Home Loan Mortgage Corp.		5.500%		02/01/38		783		873,204
Federal Home Loan Mortgage Corp.		5.500%		05/01/38		82		91,863
Federal Home Loan Mortgage Corp.		5.500%		07/01/38		203		225,746
Federal Home Loan Mortgage Corp.		6.000%		03/01/32		336		386,900
Federal Home Loan Mortgage Corp.		6.000%		12/01/33		110		123,832
Federal Home Loan Mortgage Corp.		6.000%		11/01/36		98		111,113
Federal Home Loan Mortgage Corp.		6.000%		01/01/37		86		97,352
Federal Home Loan Mortgage Corp.		6.000%		05/01/37		46		51,931
Federal Home Loan Mortgage Corp.		6.000%		02/01/38		8		8,963
Federal Home Loan Mortgage Corp.		6.000%		08/01/39		112		128,228
Federal Home Loan Mortgage Corp.(i)		6.750%		03/15/31		550		775,163
Federal Home Loan Mortgage Corp.		7.000%		05/01/31		23		25,629
Federal Home Loan Mortgage Corp.		7.000%		06/01/31		15		16,203
Federal Home Loan Mortgage Corp.		7.000%		06/01/31		12		12,102
Federal Home Loan Mortgage Corp.		7.000%		08/01/31		179		200,496
Federal Home Loan Mortgage Corp.		7.000%		10/01/31		7		7,841
Federal National Mortgage Assoc.		1.875%		09/24/26		200		183,745
Federal National Mortgage Assoc.		2.000%		08/01/31		1,180		1,149,838
Federal National Mortgage Assoc.		2.432%	(b)	07/01/33		315		330,047
Federal National Mortgage Assoc.		2.500%		TBA		1,500		1,427,025
Federal National Mortgage Assoc.		2.500%		01/01/28		1,230		1,234,133
Federal National Mortgage Assoc.		2.500%		10/01/43		875		837,351
Federal National Mortgage Assoc.		2.560%	(b)	06/01/37		74		74,420
Federal National Mortgage Assoc.		2.678%	(b)	07/01/37		401		420,267
Federal National Mortgage Assoc.		3.000%		02/01/27		2,832		2,913,009
Federal National Mortgage Assoc.		3.000%		08/01/30		1,721		1,767,998
Federal National Mortgage Assoc.		3.000%		02/01/31		3,728		3,828,482
Federal National Mortgage Assoc.		3.000%		05/01/31		2,179		2,237,787
Federal National Mortgage Assoc.		3.000%		11/01/36		2,977		3,016,224
Federal National Mortgage Assoc.		3.000%		12/01/42		2,457		2,456,033
Federal National Mortgage Assoc.		3.000%		04/01/43		7,418		7,416,241
Federal National Mortgage Assoc.		3.000%		07/01/43		1,781		1,780,322
Federal National Mortgage Assoc.		3.000%		08/01/43		4,787		4,785,151
Federal National Mortgage Assoc.		3.500%		07/01/27		2,039		2,129,128
Federal National Mortgage Assoc.		3.500%		06/01/39		791		812,471
Federal National Mortgage Assoc.		3.500%		01/01/42		6,448		6,649,302
Federal National Mortgage Assoc.		3.500%		05/01/42		3,357		3,462,275
Federal National Mortgage Assoc.		3.500%		06/01/42		1,329		1,370,954
Federal National Mortgage Assoc.		3.500%		07/01/42		1,229		1,267,377
Federal National Mortgage Assoc.		3.500%		08/01/42		1,489		1,535,690
Federal National Mortgage Assoc.		3.500%		08/01/42		485		499,936

SEE NOTES TO FINANCIAL STATEMENTS.

A24

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.		3.500%	09/01/42		2,382	$	2,456,004
Federal National Mortgage Assoc.		3.500%	09/01/42		615		633,745
Federal National Mortgage Assoc.		3.500%	11/01/42		452		465,614
Federal National Mortgage Assoc.		3.500%	03/01/43		3,784		3,900,900
Federal National Mortgage Assoc.		3.500%	04/01/43		860		886,798
Federal National Mortgage Assoc.		3.500%	04/01/43		1,304		1,343,383
Federal National Mortgage Assoc.		3.500%	01/01/46		2,651		2,719,044
Federal National Mortgage Assoc.		4.000%	TBA		25,000		26,282,715
Federal National Mortgage Assoc.		4.000%	10/01/41		3,528		3,725,786
Federal National Mortgage Assoc.		4.000%	09/01/44		4,296		4,516,928
Federal National Mortgage Assoc.		4.500%	TBA		1,000		1,075,586
Federal National Mortgage Assoc.		4.500%	11/01/18		120		123,484
Federal National Mortgage Assoc.		4.500%	01/01/19		91		93,534
Federal National Mortgage Assoc.		4.500%	01/01/19		66		67,904
Federal National Mortgage Assoc.		4.500%	06/01/19		19		19,724
Federal National Mortgage Assoc.		4.500%	07/01/33		90		97,126
Federal National Mortgage Assoc.		4.500%	08/01/33		83		89,640
Federal National Mortgage Assoc.		4.500%	09/01/33		176		189,411
Federal National Mortgage Assoc.		4.500%	10/01/33		16		16,858
Federal National Mortgage Assoc.		4.500%	10/01/33		47		51,448
Federal National Mortgage Assoc.		4.500%	10/01/33		215		232,321
Federal National Mortgage Assoc.		4.500%	01/01/35		2		2,461
Federal National Mortgage Assoc.		4.500%	07/01/39		1,379		1,492,488
Federal National Mortgage Assoc.		4.500%	08/01/39		2,192		2,377,167
Federal National Mortgage Assoc.		4.500%	03/01/41		761		824,570
Federal National Mortgage Assoc.		5.000%	TBA		6,500		7,080,938
Federal National Mortgage Assoc.		5.000%	10/01/18		31		31,904
Federal National Mortgage Assoc.		5.000%	01/01/19		108		111,102
Federal National Mortgage Assoc.		5.000%	03/01/34		411		448,189
Federal National Mortgage Assoc.		5.000%	06/01/35		154		168,551
Federal National Mortgage Assoc.		5.000%	07/01/35		213		232,965
Federal National Mortgage Assoc.		5.000%	09/01/35		140		154,102
Federal National Mortgage Assoc.		5.000%	11/01/35		137		150,751
Federal National Mortgage Assoc.		5.000%	02/01/36		197		215,206
Federal National Mortgage Assoc.		5.000%	05/01/36		100		109,223
Federal National Mortgage Assoc.		5.500%	12/01/17		22		22,287
Federal National Mortgage Assoc.		5.500%	02/01/18		11		11,597
Federal National Mortgage Assoc.		5.500%	05/01/20		49		50,922
Federal National Mortgage Assoc.		5.500%	05/01/21		112		118,341
Federal National Mortgage Assoc.		5.500%	09/01/33		475		530,010
Federal National Mortgage Assoc.		5.500%	10/01/33		120		134,210
Federal National Mortgage Assoc.		5.500%	12/01/33		84		94,689
Federal National Mortgage Assoc.		5.500%	01/01/34		2		2,374
Federal National Mortgage Assoc.		5.500%	12/01/34		339		380,237
Federal National Mortgage Assoc.		5.500%	10/01/35		1,264		1,417,926
Federal National Mortgage Assoc.		5.500%	03/01/36		229		255,432
Federal National Mortgage Assoc.		5.500%	05/01/36		174		194,220
Federal National Mortgage Assoc.		5.500%	04/01/37		182		203,229
Federal National Mortgage Assoc.		6.000%	09/01/17		3		2,570
Federal National Mortgage Assoc.		6.000%	05/01/21		89		94,915
Federal National Mortgage Assoc.		6.000%	08/01/22		73		77,551
Federal National Mortgage Assoc.		6.000%	04/01/33		32		36,392
Federal National Mortgage Assoc.		6.000%	06/01/33		7		8,079
Federal National Mortgage Assoc.		6.000%	10/01/33		551		638,992
Federal National Mortgage Assoc.		6.000%	11/01/33		10		11,577
Federal National Mortgage Assoc.		6.000%	11/01/33		76		86,388
Federal National Mortgage Assoc.		6.000%	11/01/33		32		36,393
Federal National Mortgage Assoc.		6.000%	12/01/33		42		47,729
Federal National Mortgage Assoc.		6.000%	01/01/34		494		564,156

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.		6.000%	02/01/34		114	$	131,300
Federal National Mortgage Assoc.		6.000%	03/01/34		123		141,154
Federal National Mortgage Assoc.		6.000%	03/01/34		79		89,380
Federal National Mortgage Assoc.		6.000%	07/01/34		271		308,229
Federal National Mortgage Assoc.		6.000%	08/01/34		1		938
Federal National Mortgage Assoc.		6.000%	10/01/34		7		8,099
Federal National Mortgage Assoc.		6.000%	11/01/34		6		7,340
Federal National Mortgage Assoc.		6.000%	11/01/34		64		72,883
Federal National Mortgage Assoc.		6.000%	12/01/34		25		28,575
Federal National Mortgage Assoc.		6.000%	01/01/35		97		112,044
Federal National Mortgage Assoc.		6.000%	01/01/35		327		375,524
Federal National Mortgage Assoc.		6.000%	02/01/35		6		6,885
Federal National Mortgage Assoc.		6.000%	02/01/35		139		156,869
Federal National Mortgage Assoc.		6.000%	02/01/35		377		435,303
Federal National Mortgage Assoc.		6.000%	03/01/35		4		4,756
Federal National Mortgage Assoc.		6.000%	04/01/35		1		1,718
Federal National Mortgage Assoc.		6.000%	07/01/36		76		86,698
Federal National Mortgage Assoc.		6.000%	02/01/37		133		151,073
Federal National Mortgage Assoc.		6.000%	05/01/37		51		57,456
Federal National Mortgage Assoc.		6.000%	06/01/37		1		1,566
Federal National Mortgage Assoc.		6.000%	08/01/37		35		39,270
Federal National Mortgage Assoc.		6.000%	08/01/37		1		636
Federal National Mortgage Assoc.		6.000%	09/01/37		1		953
Federal National Mortgage Assoc.		6.000%	10/01/37		53		59,546
Federal National Mortgage Assoc.		6.000%	05/01/38		126		143,050
Federal National Mortgage Assoc.		6.000%	06/01/38		3		3,534
Federal National Mortgage Assoc.(h)		6.250%	05/15/29		1,245		1,650,261
Federal National Mortgage Assoc.		6.500%	07/01/17		1		1,350
Federal National Mortgage Assoc.		6.500%	09/01/17		10		10,119
Federal National Mortgage Assoc.		6.500%	07/01/32		62		70,385
Federal National Mortgage Assoc.		6.500%	07/01/32		2		2,794
Federal National Mortgage Assoc.		6.500%	09/01/32		92		103,708
Federal National Mortgage Assoc.		6.500%	09/01/32		15		17,334
Federal National Mortgage Assoc.		6.500%	09/01/32		103		116,576
Federal National Mortgage Assoc.		6.500%	09/01/32		85		96,063
Federal National Mortgage Assoc.		6.500%	09/01/32		11		12,869
Federal National Mortgage Assoc.		6.500%	04/01/33		161		187,664
Federal National Mortgage Assoc.		6.500%	11/01/33		98		111,142
Federal National Mortgage Assoc.		6.500%	01/01/34		82		92,248
Federal National Mortgage Assoc.		6.500%	09/01/34		98		110,834
Federal National Mortgage Assoc.		6.500%	10/01/34		217		245,859
Federal National Mortgage Assoc.		6.500%	09/01/36		104		117,314
Federal National Mortgage Assoc.		6.500%	10/01/36		54		62,334
Federal National Mortgage Assoc.		6.500%	11/01/36		46		51,564
Federal National Mortgage Assoc.		6.500%	01/01/37		43		48,325
Federal National Mortgage Assoc.		6.500%	01/01/37		121		137,158
Federal National Mortgage Assoc.(i)		6.625%	11/15/30		480		667,721
Federal National Mortgage Assoc.		7.000%	02/01/32		41		46,667
Federal National Mortgage Assoc.		7.000%	03/01/32		3		2,937
Federal National Mortgage Assoc.		7.000%	05/01/32		23		26,922
Federal National Mortgage Assoc.		7.000%	06/01/32		25		28,583
Federal National Mortgage Assoc.		7.000%	07/01/32		75		84,620
Federal National Mortgage Assoc.(h)(i)		7.125%	01/15/30		3,195		4,559,156
Federal National Mortgage Assoc.		7.500%	05/01/32		18		18,141
Government National Mortgage Assoc.		3.000%	TBA		15,500		15,694,052
Government National Mortgage Assoc.		3.000%	03/15/45		1,643		1,662,172
Government National Mortgage Assoc.		3.500%	TBA		12,500		12,993,896
Government National Mortgage Assoc.		3.500%	05/20/43		651		679,592
Government National Mortgage Assoc.		3.500%	04/20/45		3,166		3,294,462

SEE NOTES TO FINANCIAL STATEMENTS.

A26

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Government National Mortgage Assoc.		4.000%	TBA		3,000		$	3,185,918
Government National Mortgage Assoc.		4.000%	06/15/40		155			164,731
Government National Mortgage Assoc.		4.000%	05/20/41		121			128,848
Government National Mortgage Assoc.		4.500%	TBA		1,000			1,081,367
Government National Mortgage Assoc.		4.500%	04/15/40		1,179			1,279,507
Government National Mortgage Assoc.		4.500%	01/20/41		861			929,067
Government National Mortgage Assoc.		4.500%	02/20/41		1,471			1,584,368
Government National Mortgage Assoc.		4.500%	03/20/41		736			793,721
Government National Mortgage Assoc.		5.000%	10/20/37		192			212,203
Government National Mortgage Assoc.		5.000%	04/20/45		1,246			1,341,449
Government National Mortgage Assoc.		5.500%	08/15/33		274			305,952
Government National Mortgage Assoc.		5.500%	08/15/33		308			344,997
Government National Mortgage Assoc.		5.500%	09/15/33		88			98,618
Government National Mortgage Assoc.		5.500%	12/15/33		57			64,087
Government National Mortgage Assoc.		5.500%	03/15/34		206			232,218
Government National Mortgage Assoc.		5.500%	12/15/34		470			534,309
Government National Mortgage Assoc.		5.500%	07/15/35		124			139,515
Government National Mortgage Assoc.		5.500%	04/15/36		173			195,574
Government National Mortgage Assoc.		6.000%	11/15/23		1			717
Government National Mortgage Assoc.		6.000%	05/15/32		1			647
Government National Mortgage Assoc.		6.000%	04/15/33		14			16,137
Government National Mortgage Assoc.		6.000%	12/15/33		159			181,565
Government National Mortgage Assoc.		6.000%	01/15/34		65			73,336
Government National Mortgage Assoc.		6.000%	01/15/34		96			110,689
Government National Mortgage Assoc.		6.000%	01/15/34		53			63,149
Government National Mortgage Assoc.		6.000%	06/20/34		173			200,905
Government National Mortgage Assoc.		6.000%	07/15/34		125			142,563
Government National Mortgage Assoc.		6.500%	10/15/23		2			1,752
Government National Mortgage Assoc.		6.500%	12/15/23		7			8,490
Government National Mortgage Assoc.		6.500%	01/15/24		29			33,522
Government National Mortgage Assoc.		6.500%	01/15/24		84			95,676
Government National Mortgage Assoc.		6.500%	01/15/24		30			34,241
Government National Mortgage Assoc.		6.500%	01/15/24		54			61,811
Government National Mortgage Assoc.		6.500%	01/15/24		—	(j)		237
Government National Mortgage Assoc.		6.500%	01/15/24		2			2,530
Government National Mortgage Assoc.		6.500%	01/15/24		2			1,736
Government National Mortgage Assoc.		6.500%	01/15/24		5			5,276
Government National Mortgage Assoc.		6.500%	01/15/24		15			17,605
Government National Mortgage Assoc.		6.500%	01/15/24		3			2,924
Government National Mortgage Assoc.		6.500%	02/15/24		10			11,976
Government National Mortgage Assoc.		6.500%	02/15/24		33			37,870
Government National Mortgage Assoc.		6.500%	02/15/24		32			36,444
Government National Mortgage Assoc.		6.500%	02/15/24		10			11,946
Government National Mortgage Assoc.		6.500%	02/15/24		12			13,290
Government National Mortgage Assoc.		6.500%	02/15/24		4			4,750
Government National Mortgage Assoc.		6.500%	03/15/24		3			3,179
Government National Mortgage Assoc.		6.500%	03/15/24		5			5,911
Government National Mortgage Assoc.		6.500%	03/15/24		5			5,937
Government National Mortgage Assoc.		6.500%	04/15/24		2			2,188
Government National Mortgage Assoc.		6.500%	04/15/24		1			1,172
Government National Mortgage Assoc.		6.500%	04/15/24		7			7,555
Government National Mortgage Assoc.		6.500%	04/15/24		4			4,541
Government National Mortgage Assoc.		6.500%	04/15/24		9			10,658
Government National Mortgage Assoc.		6.500%	04/15/24		22			24,945
Government National Mortgage Assoc.		6.500%	04/15/24		5			5,730
Government National Mortgage Assoc.		6.500%	04/15/24		3			3,939
Government National Mortgage Assoc.		6.500%	05/15/24		5			6,158
Government National Mortgage Assoc.		6.500%	05/15/24		9			10,355
Government National Mortgage Assoc.		6.500%	05/15/24		40			45,847

SEE NOTES TO FINANCIAL STATEMENTS.

A27

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.		6.500%		10/15/24		36	$	40,539
Government National Mortgage Assoc.		6.500%		11/15/28		9		9,844
Government National Mortgage Assoc.		6.500%		08/15/31		8		9,353
Government National Mortgage Assoc.		6.500%		12/15/31		15		16,656
Government National Mortgage Assoc.		6.500%		01/15/32		29		33,332
Government National Mortgage Assoc.		6.500%		02/15/32		57		64,713
Government National Mortgage Assoc.		6.500%		06/15/32		26		29,854
Government National Mortgage Assoc.		6.500%		07/15/32		52		59,599
Government National Mortgage Assoc.		6.500%		08/15/32		9		9,713
Government National Mortgage Assoc.		6.500%		08/15/32		11		12,493
Government National Mortgage Assoc.		6.500%		08/15/32		9		10,609
Government National Mortgage Assoc.		6.500%		08/15/32		43		48,866
Government National Mortgage Assoc.		6.500%		08/15/32		285		328,790
Government National Mortgage Assoc.		6.500%		08/15/34		31		35,286
Government National Mortgage Assoc.		6.500%		06/15/35		61		71,071
Government National Mortgage Assoc.		6.500%		09/15/36		63		75,251
Government National Mortgage Assoc.		8.000%		01/15/24		13		13,035
Government National Mortgage Assoc.		8.000%		07/15/24		1		919
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		2,835		2,883,856
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		915		933,337
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%		12/04/23		190		226,030
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%		04/26/24		500		599,375
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.804%	(f)	01/15/30		870		568,667
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.962%	(f)	04/15/30		1,705		1,104,192
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30		950		1,353,311
Tunisia Government, USAID Bonds, U.S. Gov’t. Gtd. Notes		1.416%		08/05/21		600		579,985
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes		1.471%		09/29/21		800		780,995
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $252,904,818)								254,191,879
U.S. TREASURY OBLIGATIONS — 2.4%
U.S. Treasury Bonds		2.250%		08/15/46		540		454,043
U.S. Treasury Bonds		2.875%		11/15/46		1,125		1,086,153
U.S. Treasury Bonds		4.250%		11/15/40		440		534,187
U.S. Treasury Inflation Indexed Bonds, TIPS		2.375%		01/15/25		30,058		34,512,833
U.S. Treasury Notes(a)		1.750%		11/30/21		5,855		5,811,316
U.S. Treasury Notes		2.000%		11/15/26		1,320		1,270,035
U.S. Treasury Notes(a)		2.125%		11/30/23		5,030		4,996,596
U.S. Treasury Notes		2.125%		05/15/25		2,150		2,107,671
U.S. Treasury Strips Coupon		2.184%	(f)	02/15/28		2,115		1,564,628
U.S. Treasury Strips Coupon		2.241%	(f)	05/15/28		1,055		772,773
U.S. Treasury Strips Coupon		2.280%	(f)	02/15/29		1,055		753,730
U.S. Treasury Strips Coupon		2.384%	(f)	05/15/29		2,175		1,543,156
U.S. Treasury Strips Coupon		2.519%	(f)	08/15/25		1,930		1,553,478
U.S. Treasury Strips Coupon		2.783%	(f)	08/15/29		1,000		703,671
U.S. Treasury Strips Coupon		2.878%	(f)	05/15/31		1,000		662,633
U.S. Treasury Strips Coupon		3.042%	(f)	11/15/35		2,000		1,132,774
U.S. Treasury Strips Coupon		3.202%	(f)	08/15/40		2,000		944,778
TOTAL U.S. TREASURY OBLIGATIONS (cost $61,359,375)								60,404,455
TOTAL LONG-TERM INVESTMENTS (cost $1,416,212,795)								2,170,144,507

SEE NOTES TO FINANCIAL STATEMENTS.

A28

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

					Shares		Value (Note 2)
SHORT-TERM INVESTMENTS — 19.4%
AFFILIATED MUTUAL FUNDS — 19.2%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(k)						10,793,450	$	100,055,283
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(k)						288,393,616		288,393,616
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $86,646,816; includes $86,591,303 of cash collateral for securities on loan)(k)(l)						86,646,351		86,663,681
TOTAL AFFILIATED MUTUAL FUNDS (cost $478,326,417)(Note 4)								475,112,580
	Interest Rate			Maturity Date	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills(h) (cost $5,189,963)		0.480%	(m)	03/16/17		5,195,000		5,189,805
TOTAL SHORT-TERM INVESTMENTS (cost $483,516,380)								480,302,385
TOTAL INVESTMENTS — 107.2% (cost $1,899,729,175)								2,650,446,892
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (7.2)%								(177,219,891	)
NET ASSETS — 100.0%							$	2,473,227,001

See the Glossary for abbreviations used in the annual report.

* 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 $84,452,982; cash collateral of $86,591,303 (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 December 31, 2016.

(c) Indicates a security that has been deemed illiquid. (unaudited)

(d) Indicates a Level 3 security. The aggregate value of Level 3 securities is $21,006,417 and 0.8% of net assets.

(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 CAS issued by Fannie Mae or STACR securities issued by Freddie Mac.

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

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

(j) Less than $500 par.

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

(l) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A29

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Futures contracts outstanding at December 31, 2016:

Number of Contracts		Type		Expiration Date		Value at Trade Date		Value at December 31, 2016		Unrealized Appreciation (Depreciation)
	Long Positions:
	582		2 Year U.S. Treasury Notes		Mar. 2017	$	126,082,732	$	126,112,125	$	29,393
	1,039		5 Year U.S. Treasury Notes		Mar. 2017		122,578,326		122,252,961		(325,365	)
	499		10 Year U.S. Treasury Notes		Mar. 2017		62,021,376		62,016,343		(5,033	)
	321		30 Year U.S. Ultra Treasury Bonds		Mar. 2017		51,751,616		51,440,250		(311,366	)
	9		Mini MSCI EAFE Index		Mar. 2017		758,539		754,020		(4,519	)
	98		S&P 500 E-Mini Index		Mar. 2017		11,081,081		10,957,380		(123,701	)
	61		S&P 500 Index		Mar. 2017		34,395,968		34,102,050		(293,918	)
											(1,034,509	)
	Short Position:
	212		20 Year U.S. Treasury Bonds		Mar. 2017		31,997,134		31,939,125		58,009
										$	(976,500	)

A U.S. Treasury Obligation with a market value of $5,189,805 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $3,595,449 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.

Credit default swap agreements outstanding at December 31, 2016:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2016(4)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swap on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		53,000	$	(997,536	)	$	(886,257	)	$	111,279

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 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 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 credit indices, asset-backed securities and centrally cleared corporate and/or sovereign issues 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.

(5) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of OTC credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

SEE NOTES TO FINANCIAL STATEMENTS.

A30

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Interest rate swap agreements outstanding at December 31, 2016:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	115,305		09/09/17		0.539%	1 Day USOIS(1)	$	404		$	144,058		$	143,654
	94,515		10/18/17		0.607%	1 Day USOIS(1)		235			109,392			109,157
	52,530		11/09/17		0.626%	1 Day USOIS(1)		268			69,806			69,538
	2,270		07/11/18		0.947%	3 Month LIBOR(1)		155			13,085			12,930
	7,060		05/31/22		2.200%	3 Month LIBOR(1)		(14,313	)		(70,337	)		(56,024	)
	20,465		11/30/22		1.850%	3 Month LIBOR(1)		261			239,580			239,319
	6,240		11/30/22		1.982%	3 Month LIBOR(1)		184			26,396			26,212
	1,900		12/31/22		1.405%	3 Month LIBOR(1)		160			71,750			71,590
	1,500		12/31/22		1.406%	3 Month LIBOR(1)		158			56,519			56,361
	2,900		12/31/22		1.409%	3 Month LIBOR(1)		166			108,857			108,691
	700		12/31/22		1.412%	3 Month LIBOR(1)		154			26,168			26,014
	1,000		12/31/22		1.495%	3 Month LIBOR(1)		156			32,600			32,444
	2,080		05/31/23		1.203%	3 Month LIBOR(1)		161			114,318			114,157
	1,785		05/31/23		1.399%	3 Month LIBOR(1)		(32,437	)		76,817			109,254
	8,410		08/02/23		—(3)	—(3)		(2,727	)		22,891			25,618
	12,748		08/02/23		—(4)	—(4)		1,092			36,772			35,680
	3,245		08/03/23		—(5)	—(5)		(1,211	)		9,120			10,331
	6,160		08/19/23		0.898%	1 Day USOIS(1)		183			330,150			329,967
	8,025		10/27/23		1.073%	1 Day USOIS(1)		193			363,519			363,326
	5,570		09/04/25		2.214%	3 Month LIBOR(1)		190			21,803			21,613
	22,150		01/08/26		2.210%	3 Month LIBOR(1)		238			136,895			136,657
	140		05/15/26		1.652%	3 Month LIBOR(1)		6			7,814			7,808
	1,670		05/15/37		2.726%	3 Month LIBOR(2)		177			38,069			37,892
	2,190		11/15/41		1.869%	3 Month LIBOR(1)		8,538			301,372			292,834
							$	(37,609	)	$	2,287,414		$	2,325,023

U.S. Government Agency Obligations with a combined market value of $4,149,973 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared credit default and interest rate swap contracts at December 31, 2016.

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

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

(3) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps.

(4) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps.

(5) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps.

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.

A31

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	1,225,848,357		$	23,891,315	$	—
Preferred Stocks		1,267,000			270,985		—
Unaffiliated Exchange Traded Fund		186,237			—		—
Asset-Backed Securities
Collateralized Loan Obligations		—			41,166,738		—
Non-Residential Mortgage-Backed Securities		—			68,211,753		—
Residential Mortgage-Backed Securities		—			16,175,064		2,820,000
Bank Loans		—			6,723,740		—
Commercial Mortgage-Backed Securities		—			114,907,756		—
Corporate Bonds		—			264,012,034		—
Municipal Bonds		—			14,421,970		—
Non-Corporate Foreign Agencies		—			19,255,078		—
Residential Mortgage-Backed Securities		—			23,937,946		18,186,417
Sovereign Bonds		—			14,265,783		—
U.S. Government Agency Obligations		—			254,191,879		—
U.S. Treasury Obligations		—			65,594,260		—
Affiliated Mutual Funds		475,112,580			—		—
Other Financial Instruments*
Futures Contracts		(976,500	)		—		—
Centrally Cleared Credit Default Swap Agreement		—			111,279		—
Centrally Cleared Interest Rate Swap Agreements		—			2,325,023		—
Total	$	1,701,437,674		$	929,462,603	$	21,006,417

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1 and Level 2 to report.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):

Affiliated Mutual Funds (including 3.5% of collateral for securities on loan)	19.2	%
U.S. Government Agency Obligations	10.3
Banks	6.4
Commercial Mortgage-Backed Securities	4.6
Oil, Gas & Consumable Fuels	3.2
Pharmaceuticals	3.0
Non-Residential Mortgage-Backed Securities	2.7
U.S. Treasury Obligations	2.6
Residential Mortgage-Backed Securities	2.5
Software	2.4
Internet Software & Services	2.1
Media	2.1
Insurance	2.0
Technology Hardware, Storage & Peripherals	1.9
IT Services	1.9
Collateralized Loan Obligations	1.7
Semiconductors & Semiconductor Equipment	1.7
Capital Markets	1.6
Biotechnology	1.5
Equity Real Estate Investment Trusts (REITs)	1.4
Diversified Telecommunication Services	1.3
Health Care Providers & Services	1.3
Chemicals	1.3
Industrial Conglomerates	1.3

Specialty Retail	1.3	%
Health Care Equipment & Supplies	1.2
Diversified Financial Services	1.1
Internet & Direct Marketing Retail	1.1
Beverages	1.1
Aerospace & Defense	1.1
Food & Staples Retailing	1.0
Electric Utilities	1.0
Household Products	0.9
Tobacco	0.8
Food Products	0.8
Hotels, Restaurants & Leisure	0.8
Non-Corporate Foreign Agencies	0.8
Machinery	0.8
Telecommunications	0.6
Municipal Bonds	0.6
Electric	0.6
Sovereign Bonds	0.6
Energy Equipment & Services	0.6
Oil & Gas	0.6
Airlines	0.5
Multi-Utilities	0.5
Communications Equipment	0.5
Road & Rail	0.5
Consumer Finance	0.4

SEE NOTES TO FINANCIAL STATEMENTS.

A32

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Industry table (cont.)
Air Freight & Logistics	0.4	%
Healthcare-Services	0.4
Textiles, Apparel & Luxury Goods	0.4
Healthcare-Products	0.3
Automobiles	0.3
Retail	0.3
Life Sciences Tools & Services	0.3
Electrical Equipment	0.3
Auto Manufacturers	0.3
Multiline Retail	0.3
Household Durables	0.2
Pipelines	0.2
Computers	0.2
Lodging	0.2
Electronic Equipment, Instruments & Components	0.2
Agriculture	0.2
Building Products	0.2
Metals & Mining	0.2
Commercial Services & Supplies	0.2
Technology	0.2
Containers & Packaging	0.2
Professional Services	0.1

Transportation	0.1	%
Trading Companies & Distributors	0.1
Food	0.1
Multi-National	0.1
Auto Components	0.1
Mining	0.1
Housewares	0.1
Machinery-Diversified	0.1
Oil & Gas Services	0.1
Commercial Services	0.1
Miscellaneous Manufacturing	0.1
Forest Products & Paper	0.1
Construction Materials	0.1
Personal Products	0.1
Construction & Engineering	0.1
Distributors	0.1
Semiconductors	0.1
Packaging & Containers	0.1
	107.2
Liabilities in excess of other assets	(7.2	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2016 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	$	111,279	*	—	$	—
Equity contracts	—		—		Due from/to broker — variation margin futures		422,138	*
Interest rate contracts	Due from/to broker — variation margin futures		87,402	*	Due from/to broker — variation margin futures		641,764	*
Interest rate contracts	Due from/to broker — variation margin swaps		2,381,047	*	Due from/to broker — variation margin swaps		56,024	*
Total		$	2,579,728			$	1,119,926

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared 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 year ended December 31, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written			Futures			Forward Rate Agreements		Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—		$	—	$	(631,785	)	$	(631,785	)
Equity contracts		22		—			—			7,279,186			—		—			7,279,208
Interest rate contracts		—		(745,107	)		(403,265	)		(4,915,630	)		17,708		(1,501,249	)		(7,547,543	)
Total	$	22	$	(745,107	)	$	(403,265	)	$	2,363,556		$	17,708	$	(2,133,034	)	$	(900,120	)
*     Included in net realized gain (loss) on investment transactions in the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A33

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Change in Unrealized Appreciation (Depreciation) 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	$	—		$	—	$	—		$	—		$	(457,392	)	$	(457,392	)
Equity contracts		(34	)		—		—			(687,841	)		—			(687,875	)
Interest rate contracts		—			300,971		(177,697	)		(846,024	)		3,558,589			2,835,839
Total	$	(34	)	$	300,971	$	(177,697	)	$	(1,533,865	)	$	3,101,197		$	1,690,572

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

For the year ended December 31, 2016, 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)
$87,742	$192,260,000	$338,657,642	$71,509,435
Interest Rate Swap Agreements(2)	Credit Default Swap Agreements—Buy Protection(2)	Credit Default Swap Agreements—Sell Protection(2)	Total Return Swap Agreements(2)
$221,572,800	$53,000,000	$2,554,000	$3,600,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Trade Date.

The Portfolio entered into financial transactions 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 financial transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial transactions assets and liabilities:

Description	Gross Amounts of Recognized  Assets(1)		Collateral Received			Net Amount
Securities on Loan	$	84,452,982	$	(84,452,982	)	$	—

(1) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

A34

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2016

ASSETS
Investments at value, including securities on loan of $84,452,982:
Unaffiliated investments (cost $1,421,402,758)	$	2,175,334,312
Affiliated investments (cost $478,326,417)		475,112,580
Cash		12,645
Foreign currency, at value (cost $63,940)		62,765
Receivable for investments sold		20,829,142
Dividends and interest receivable		7,438,828
Tax reclaim receivable		527,213
Due from broker—variation margin futures		522,380
Receivable for Series shares sold		109,157
Prepaid expenses		19,144
Receivable from affiliate		2,300
Total Assets		2,679,970,466
LIABILITIES
Payable for investments purchased		118,254,831
Payable to broker for collateral for securities on loan		86,591,303
Management fee payable		1,154,093
Accrued expenses and other liabilities		273,082
Due to broker—variation margin futures		176,950
Payable for Series shares repurchased		148,408
Due to broker—variation margin swaps		143,818
Affiliated transfer agent fee payable		980
Total Liabilities		206,743,465
NET ASSETS	$	2,473,227,001
Net assets were comprised of:
Paid-in capital	$	1,153,785,703
Retained earnings		1,319,441,298
Net assets, December 31, 2016	$	2,473,227,001
Net asset value and redemption price per share $2,473,227,001 / 102,270,972 outstanding shares of beneficial interest	$	24.18

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax of $291,761, of which $24,389 is reimbursable by an affiliate)	$	27,766,840
Interest income		27,279,906
Affiliated dividend income		3,662,538
Income from securities lending, net (including affiliated income of $319,996)		346,200
Total income		59,055,484
EXPENSES
Management fee		13,680,400
Custodian and accounting fees (net of $17,100 fee credit)		383,000
Shareholders’ reports		254,000
Audit fee		53,000
Trustees’ fees		33,000
Insurance expenses		30,000
Legal fees and expenses		15,000
Transfer agent’s fees and expenses (including affiliated expense of $5,900)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		46,221
Total expenses		14,511,621
NET INVESTMENT INCOME (LOSS)		44,543,863
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $2,284)		28,856,570
Futures transactions		2,363,556
Options written transactions		(403,265	)
Swap agreement transactions		(2,133,034	)
Forward rate agreement transactions		17,708
Foreign currency transactions		(43,231	)
		28,658,304
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $13,988)		97,179,829
Futures		(1,533,865	)
Options written		(177,697	)
Swap agreements		3,101,197
Foreign currencies		(5,477	)
		98,563,987
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		127,222,291
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	171,766,154

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	44,543,863		$	42,958,646
Net realized gain (loss) on investment and foreign currency transactions		28,658,304			125,966,448
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		98,563,987			(158,615,573	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		171,766,154			10,309,521
SERIES SHARE TRANSACTIONS
Series shares sold [338,782 and 6,321,083 shares, respectively]		7,843,814			143,898,043
Series shares repurchased [11,378,786 and 7,700,902 shares, respectively]		(262,953,434	)		(174,291,543	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(255,109,620	)		(30,393,500	)
CAPITAL CONTRIBUTIONS (Note 4)		2,299,220			—
TOTAL INCREASE (DECREASE)		(81,044,246	)		(20,083,979	)
NET ASSETS:
Beginning of year		2,554,271,247			2,574,355,226
End of year	$	2,473,227,001		$	2,554,271,247

SEE NOTES TO FINANCIAL STATEMENTS.

A35

	DIVERSIFIED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		as of December 31, 2016

LONG-TERM INVESTMENTS — 89.3% ASSET-BACKED SECURITIES — 13.9%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 4.7%
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		2.330%	(a)	07/15/26		500	$	498,930
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.061%	(a)	04/20/25		3,300		3,296,274
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.480%	(a)	10/15/26		1,750		1,754,443
Avery Point V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.340%	(a)	07/17/26		1,000		1,001,649
Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		2.282%	(a)	10/22/25		1,300		1,305,265
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		2.480%	(a)	10/17/26		2,750		2,753,886
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		2.080%	(a)	07/15/24		900		896,647
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A		3.132%	(a)	10/15/25		1,000		1,004,015
Benefit Street Partners CLO V Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A		2.481%	(a)	10/20/26		1,250		1,255,938
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.360%	(a)	01/15/26		700		701,123
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.030%	(a)	04/17/25		2,600		2,596,508
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A		2.346%	(a)	07/27/26		250		250,428
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A		2.330%	(a)	07/15/26		1,500		1,497,755
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		2.351%	(a)	01/20/26		2,500		2,504,840
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.280%	(a)	01/17/26		1,250		1,249,586
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.420%	(a)	04/15/27		2,250		2,251,500
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		2.430%	(a)	07/15/26		250		250,012
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A		2.381%	(a)	07/20/27		1,000		1,001,794
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		2.442%	(a)	10/25/26		4,375		4,386,720
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A		3.440%		04/15/25		700		699,499
Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.381%	(a)	05/07/26		1,250		1,254,145
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.930%	(a)	04/15/25		7,300		7,287,160
Sound Point CLO VI Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		2.241%	(a)	10/20/26		750		748,767
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A		2.332%	(a)	01/18/26		3,300		3,305,675
Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A		2.434%	(a)	10/25/28		3,250		3,249,268
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.000%	(a)	07/15/25		300		300,128
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.020%	(a)	04/15/24		4,200		4,201,663
								51,503,618
Non-Residential Mortgage-Backed Securities — 3.1%
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 144A		2.990%		06/20/22		2,500		2,494,619
Earnest Student Loan Program LLC, Series 2016-D, Class A1, 144A		2.156%	(a)	01/25/41		689		690,637
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A		2.730%		03/25/21		3,200		3,176,951
Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A		2.950%		03/25/22		1,600		1,581,454
Lendmark Funding Trust, Series 2016-2A, Class A, 144A		3.260%		04/21/25		700		695,488
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A		3.540%		10/20/32		1,155		1,166,859

SEE NOTES TO FINANCIAL STATEMENTS.

A36

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class C, 144A		4.580%		09/15/21		1,600	$	1,609,740
OneMain Financial Issuance Trust, Series 2015-1A, Class A, 144A		3.190%		03/18/26		1,000		1,007,097
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		4,100		4,100,144
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 144A		4.320%		07/18/25		1,100		1,084,873
OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A		3.660%		02/20/29		2,500		2,527,491
OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A		4.100%		03/20/28		2,600		2,650,690
Oportun Funding IV LLC, Series 2016-C, Class A, 144A		3.280%		11/08/21		2,300		2,284,218
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A		3.050%		04/25/29		4,048		4,067,741
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		5,200		5,241,081
								34,379,083
Residential Mortgage-Backed Securities — 6.1%
ABFC Trust, Series 2004-OPT1, Class M1		1.806%	(a)	08/25/33		1,054		1,008,219
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1		1.656%	(a)	09/25/33		1,081		1,013,397
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3		5.092%	(a)	01/25/33		1,892		1,863,484
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1		1.716%	(a)	09/25/34		595		592,576
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3		3.681%	(a)	10/25/31		329		328,367
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-W2, Class M4		3.878%	(a)	09/25/33		2,400		2,241,970
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2		1.364%	(a)	10/25/34		1,589		1,551,477
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1		1.581%	(a)	05/25/34		856		821,539
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1		1.949%	(a)	06/15/33		948		912,475
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1		1.754%	(a)	01/15/34		981		951,553
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1		1.484%	(a)	08/25/34		1,336		1,282,367
Bayview Opportunity Master Fund IIIa Trust, Series 2016-RN3, Class A1, 144A		3.598%		09/29/31		1,003		998,969
Bayview Opportunity Master Fund lIIb NPL Trust, Series 2015-NPLA, Class A, 144A		3.721%		07/28/35		3,125		3,124,726
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1		1.484%	(a)	03/25/34		2,993		2,879,517
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2		2.309%	(a)	04/25/34		1,935		1,810,422
Centex Home Equity Loan Trust, Series 2004-B, Class AF6		4.686%		03/25/34		747		766,740
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2		3.006%	(a)	08/25/32		37		33,880
Credit Suisse Mortgage Trust, Series 16-RPL1, Class A1, 144A		3.767%	(a)	12/26/46		5,051		5,032,684
Credit Suisse Mortgage Trust, Series 2016-12R, Class 1A1, 144A(b)		3.239%		02/28/47		3,440		3,440,000
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.792%		07/25/34		438		415,540
FBR Securitization Trust, Series 2005-2, Class M1		1.304%	(a)	09/25/35		1,762		1,748,580
Fremont Home Loan Trust, Series 2003-B, Class M1		1.806%	(a)	12/25/33		157		148,976
GSAMP Trust, Series 2004-FM1, Class M1		1.731%	(a)	11/25/33		1,408		1,330,903
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1		1.506%	(a)	02/25/34		2,774		2,676,289
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1		1.536%	(a)	02/25/34		1,556		1,495,857
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1		1.956%	(a)	08/25/35		439		419,443
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A		1.276%	(a)	06/25/35		1,242		1,199,060
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.956%	(a)	05/25/33		839		816,719

SEE NOTES TO FINANCIAL STATEMENTS.

A37

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1		1.776%	(a)		10/25/33			631	$	595,407
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.806%	(a)		12/27/33			548		533,448
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1		1.626%	(a)		11/25/34			3,688		3,431,654
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1		1.686%	(a)		06/25/34			1,510		1,469,215
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1		1.671%	(a)		07/25/34			1,236		1,181,640
New Century Home Equity Loan Trust, Series 2003-4, Class M1		1.881%	(a)		10/25/33			2,245		2,166,044
New Century Home Equity Loan Trust, Series 2004-4, Class M1		1.521%	(a)		02/25/35			2,540		2,363,623
Residential Asset Securities Corp., Series 2004-KS1, Class AI5		5.721%			02/25/34			882		906,329
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1		1.536%	(a)		02/25/34			2,448		2,302,385
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1		1.521%	(a)		02/25/35			1,038		969,807
Structured Asset Investment Loan Trust, Series 2004-2, Class A4		1.461%	(a)		03/25/34			2,020		1,862,064
Structured Asset Investment Loan Trust, Series 2004-7, Class A8		1.956%	(a)		08/25/34			1,400		1,259,116
VOLT LI LLC, Series 2016-NP11, Class A1, 144A		3.500%			10/25/46			1,504		1,500,332
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A		4.250%			04/25/46			2,290		2,306,037
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A		3.625%			07/25/45			3,862		3,858,752
										67,611,582
TOTAL ASSET-BACKED SECURITIES (cost $147,406,576)										153,494,283
BANK LOANS(a) — 2.9%
Aerospace & Defense — 0.2%
TransDigm, Inc.		3.845%			05/14/22			1,967		1,978,052
Automotive — 0.1%
Chrysler Group LLC		3.270%			12/31/18			406		407,183
Chrysler Group LLC		3.500%			05/24/17			778		779,657
										1,186,840
Chemicals — 0.1%
Axalta Coating Systems US Holding		3.453%			02/01/23			509		513,982
MacDermid, Inc.		4.500%			06/07/20			611		617,959
										1,131,941
Consumer — 0.1%
Generac Power Systems, Inc.		3.748%			05/31/23			876		882,258
Diversified Manufacturing — 0.1%
CeramTec GmbH (Germany)		3.750%			08/30/20		EUR	900		953,310
Gaming — 0.1%
CCM Merger, Inc.(b)		4.020%			08/06/21			1,494		1,509,078
Health Care & Pharmaceutical — 0.1%
RPI Finance Trust		3.498%			10/14/22			1,010		1,021,041
Healthcare & Pharmaceutical — 0.3%
Mallinckrodt International Finance (Luxembourg)		3.748%			03/19/21			993		994,651
Select Med Corp.		6.000%			03/03/21			941		956,680
Valeant Pharmaceuticals International, Inc.		5.500%			04/01/22			1,078		1,078,349
										3,029,680
IT Services — 0.1%
Vantiv LLC		2.704%			10/14/21			1,331		1,324,261
Retailers — 0.2%
Euro Garages (United Kingdom)		5.761%			01/30/23		GBP	1,000		1,199,177
Rite Aid Corp.		4.875%			06/21/21			1,375		1,377,864
										2,577,041

SEE NOTES TO FINANCIAL STATEMENTS.

A38

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

BANK LOANS(a) (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value (Note 2)
Supermarkets — 0.1%
Albertsons LLC		4.000%			08/25/21			856	$	864,567
Technology — 1.0%
Action Nederland BV(c)		4.250%			02/25/22	EUR		1,100		1,169,981
Avago Technologies Cayman Finance Ltd. (Singapore)		3.881%			02/01/23			1,170		1,186,090
BMC Software Finance, Inc.		5.000%			09/10/20			487		485,225
Dell International LLC		2.998%			12/31/18			2,800		2,795,626
Dell International LLC		4.020%			09/07/23			800		813,000
First Data Corp.		3.998%			03/24/21			2,328		2,349,521
ON Semiconductor Corp.		4.248%			03/31/23			574		579,935
TransUnion LLC		3.520%			04/09/21			442		444,721
Western Digital Corp.		4.000%			04/28/23	EUR		821		875,389
Western Digital Corp.		4.748%			04/29/23			776		785,940
										11,485,428
Telecommunications — 0.2%
LTS Buyer LLC		4.207%			04/13/20			814		819,835
SBA Senior Finance II LLC		3.270%			03/24/21			1,121		1,123,878
							��
										1,943,713
Transportation Services — 0.2%
Scandlines GmbH (Germany)		4.250%			12/03/20	EUR		1,675		1,782,255
TOTAL BANK LOANS (cost $32,274,293)										31,669,465
COMMERCIAL MORTGAGE-BACKED SECURITIES — 12.9%
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.650%	(a)		04/10/49			993		998,111
Banc of America Commercial Mortgage Trust, Series 2016-UB10, Class A3		2.903%			07/15/49			2,300		2,236,886
BBCMS Mortgage Trust, Series 2016-ETC, Class A, 144A		2.937%			08/14/36			1,170		1,131,356
BBCMS Mortgage Trust, Series 2016-ETC, Class B, 144A		3.189%			08/14/36			510		495,953
BBCMS Mortgage Trust, Series 2016-ETC, Class C, 144A		3.391%			08/14/36			430		422,138
BBCMS Mortgage Trust, Series 2016-ETC, Class D, 144A		3.609%	(a)		08/14/36			1,560		1,510,456
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A		2.389%	(a)		12/15/27			5,000		5,006,276
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%			05/10/47			3,200		3,314,328
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4		3.209%			05/10/49			3,500		3,487,139
Citigroup Commercial Mortgage Trust, Series 2016-C2, Class A4		2.832%			08/10/49			2,500		2,406,691
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4		3.314%			04/10/49			100		100,171
Cityline Commercial Mortgage Trust, Series 2016-CLNE, Class B, 144A		2.778%	(a)		11/10/31			2,400		2,331,615
Cityline Commercial Mortgage Trust, Series 2016-CLNE, Class C, 144A		2.778%	(a)		11/10/31			900		853,706
COMM Mortgage Trust, Series 2012-CR5, Class A3		2.540%			12/10/45			2,000		1,989,920
COMM Mortgage Trust, Series 2013-CR7, Class A3		2.929%			03/10/46			3,900		3,941,881
COMM Mortgage Trust, Series 2014-UBS4, Class A4		3.420%			08/10/47			3,200		3,258,035
COMM Mortgage Trust, Series 2014-UBS5, Class A4		3.838%			09/10/47			3,600		3,759,994
COMM Mortgage Trust, Series 2015-CR26, Class A4		3.630%			10/10/48			1,700		1,749,788
COMM Mortgage Trust, Series 2015-DC1, Class A4		3.078%			02/10/48			5,000		4,964,032
COMM Mortgage Trust, Series 2015-LC21, Class A4		3.708%			07/10/48			2,600		2,699,422
COMM Mortgage Trust, Series 2015-PC1, Class A5		3.902%			07/10/50			2,100		2,194,452
COMM Mortgage Trust, Series 2016-COR1, Class A3		2.826%			10/10/49			2,500		2,416,514
COMM Mortgage Trust, Series 2016-DC2, Class A5		3.765%			02/10/49			600		622,571
DBWF Mortgage Trust, Series 2016-85T, Class D, 144A (original cost $1,317,944; purchased 12/09/16)(c)(d)		3.808%	(a)		12/10/36			1,400		1,334,142
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A		3.555%	(a)		09/10/35			3,000		2,964,363

SEE NOTES TO FINANCIAL STATEMENTS.

A39

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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, IO		1.621%	(a)	06/25/20		8,902	$	362,707
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.442%	(a)	05/25/22		27,797		1,749,164
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.481%	(a)	06/25/22		15,860		1,043,257
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO		0.883%	(a)	10/25/22		10,914		450,646
FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO		0.819%	(a)	01/25/23		136,713		5,352,500
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO		0.755%	(a)	01/25/25		83,596		4,073,037
FHLMC Multifamily Structured Pass-Through Certificates, Series K053, Class X1, IO		0.893%	(a)	12/25/25		89,764		5,769,357
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO		1.369%	(a)	03/25/26		27,993		2,750,854
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.759%	(a)	05/25/19		21,843		728,408
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.692%	(a)	07/25/19		26,586		900,004
GS Mortgage Securities Trust, Series 2013-GC12, Class A3		2.860%		06/10/46		1,430		1,438,017
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4		3.493%		08/15/47		3,200		3,297,657
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4		2.611%		12/15/47		2,000		2,002,974
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		4,600		4,651,152
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		4,600		4,650,199
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3		2.559%		08/15/49		2,900		2,761,907
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A		1.718%	(a)	08/15/45		49,340		2,650,339
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3		3.969%	(a)	07/15/46		4,800		5,096,163
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3		3.766%		11/15/46		4,000		4,176,582
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,700		1,715,313
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3		2.834%		05/15/46		2,300		2,306,204
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A5		2.860%		09/15/49		3,100		2,969,375
Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A		3.126%		07/05/36		2,900		2,831,281
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		4,600		4,626,682
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		3,800		3,833,110
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4		5.509%		04/15/47		3,480		3,486,986
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A		5.707%	(a)	06/15/49		1,844		1,858,289
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4		3.548%		08/15/50		4,300		4,432,308
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A3		2.674%		07/15/48		4,600		4,383,291
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $145,419,549)								142,537,703
CORPORATE BONDS — 42.7%
Aerospace & Defense — 0.1%
United Technologies Corp., Sr. Unsec’d. Notes		1.125%		12/15/21	EUR	700		762,738

SEE NOTES TO FINANCIAL STATEMENTS.

A40

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value (Note 2)
Agriculture — 0.3%
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%			02/11/18			2,375	$	2,377,204
Reynolds American, Inc., Gtd. Notes		8.125%			06/23/19			895		1,021,048
										3,398,252
Airlines — 0.6%
American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA		3.575%			07/15/29			1,831		1,830,504
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%			12/15/22			1		596
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		5.983%			10/19/23			1,396		1,542,282
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%			07/12/22			388		409,367
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%			02/10/24			978		1,125,080
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%			11/23/20			360		376,914
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%			10/15/20			442		466,524
United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A		6.636%			01/02/24			736		792,977
										6,544,244
Apparel — 0.1%
Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A		3.500%			06/15/24		EUR	575		631,303
Auto Manufacturers — 0.8%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%			01/15/43			1,755		1,666,209
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		2.375%			01/16/18			2,225		2,234,935
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN(e)		4.389%			01/08/26			1,095		1,109,755
General Motors Co., Sr. Unsec’d. Notes		4.875%			10/02/23			1,350		1,415,167
General Motors Co., Sr. Unsec’d. Notes		6.250%			10/02/43			1,885		2,083,828
General Motors Co., Sr. Unsec’d. Notes		6.600%			04/01/36			210		240,032
										8,749,926
Auto Parts & Equipment — 0.4%
Adient Global Holdings Ltd., Gtd. Notes, 144A		3.500%			08/15/24		EUR	701		748,610
IHO Verwaltungs GmbH (Germany), 1st Lien, 144A		3.750%			09/15/26		EUR	1,050		1,104,623
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A		3.250%			09/15/23		EUR	1,075		1,165,551
LKQ Italia Bondco SpA, Gtd. Notes, 144A		3.875%			04/01/24		EUR	1,275		1,426,688
										4,445,472
Banks — 10.2%
Bank of America Corp., Jr. Sub. Notes, Series K		8.000%	(a)		07/29/49			3,500		3,596,250
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%			01/11/23			4,275		4,289,278
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%			04/01/24			1,150		1,186,040
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%			01/22/24			3,750		3,897,191
Bank of America Corp., Sr. Unsec’d. Notes		5.700%			01/24/22			1,775		1,993,747
Bank of America Corp., Sr. Unsec’d. Notes		6.000%			09/01/17			4,590		4,723,014
Bank of America Corp., Sub. Notes, MTN		4.450%			03/03/26			1,735		1,787,983
Bank of America NA, Sub. Notes		5.300%			03/15/17			790		796,119
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%			01/12/26			1,290		1,306,540
Branch Banking & Trust Co., Sr. Unsec’d. Notes		2.850%			04/01/21			3,700		3,756,647
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%			04/24/24			2,400		2,431,248
Citigroup, Inc., Jr. Sub. Notes, Series Q		5.950%	(a)		12/29/49			1,355		1,375,257
Citigroup, Inc., Jr. Sub. Notes, Series R(e)		6.125%	(a)		12/29/49			1,085		1,122,975
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%			07/15/39			2,995		4,450,372
Citigroup, Inc., Sub. Notes		4.450%			09/29/27			2,630		2,671,675
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN		3.625%			09/09/24			1,050		1,057,015
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%			05/12/21			900		890,899

SEE NOTES TO FINANCIAL STATEMENTS.

A41

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banks (continued)
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, MTN		3.700%		05/30/24		159	$	154,617
Discover Bank, Sr. Unsec’d. Notes		3.450%		07/27/26		280		270,371
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		1,150		1,171,533
Discover Bank, Sub. Notes		7.000%		04/15/20		2,005		2,226,308
Fifth Third Bank, Sr. Unsec’d. Notes		2.375%		04/25/19		425		428,195
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M		5.375%	(a)	12/29/49		1,950		1,969,500
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%		02/25/26		125		125,367
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		4,200		4,721,703
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.150%		04/01/18		1,355		1,425,345
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		2,195		2,720,850
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D, MTN		6.000%		06/15/20		2,420		2,683,637
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		440		543,333
HSBC Holdings PLC (United Kingdom), Sub. Notes		4.375%		11/23/26		270		272,004
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1		7.900%	(a)	12/29/49		6,130		6,347,615
JPMorgan Chase & Co., Jr. Sub. Notes, Series X		6.100%	(a)	10/29/49		1,450		1,467,219
JPMorgan Chase & Co., Sr. Unsec’d. Notes		2.750%		06/23/20		5,400		5,448,838
JPMorgan Chase & Co., Sr. Unsec’d. Notes		2.950%		10/01/26		1,740		1,660,809
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.200%		06/15/26		3,020		2,955,834
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.250%		09/23/22		500		505,645
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		600		634,942
JPMorgan Chase & Co., Sub. Notes		4.250%		10/01/27		420		431,520
JPMorgan Chase & Co., Sub. Notes		4.950%		06/01/45		715		762,411
KeyCorp, Sr. Unsec’d. Notes, MTN		5.100%		03/24/21		1,155		1,263,032
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN		5.800%		01/13/20		2,650		2,889,772
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A		1.850%		03/21/18		1,125		1,123,040
Morgan Stanley, Jr. Sub. Notes, Series H		5.450%	(a)	07/29/49		975		965,250
Morgan Stanley, Sr. Unsec’d. Notes, MTN		3.125%		07/27/26		2,725		2,603,400
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%		02/25/23		1,535		1,576,666
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		4,035		4,036,985
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		2,080		2,304,925
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%		09/23/19		2,635		2,856,235
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,920		2,130,386
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		750		768,561
Northern Trust Corp., Sub. Notes		3.950%		10/30/25		2,725		2,857,691
People’s United Bank, Sub. Notes		4.000%		07/15/24		550		541,779
PNC Financial Services Group, Inc. (The), Sub. Notes		3.900%		04/29/24		975		999,474
Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		2.875%		10/16/20		1,550		1,536,036
State Street Corp., Jr. Sub. Notes		4.956%		03/15/18		3,025		3,125,191
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		625		628,421
								112,466,690
Beverages — 0.1%
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A		4.750%		10/01/18		375		385,929
Cott Beverages, Inc. (Canada), Gtd. Notes		6.750%		01/01/20		1,250		1,295,312
								1,681,241
Biotechnology — 0.3%
Amgen, Inc., Sr. Unsec’d. Notes, 144A		4.663%		06/15/51		2,948		2,833,346
Building Materials — 0.5%
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.375%		10/12/22		1,200		1,308,000
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		4.750%		01/11/22	EUR	900		981,968
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(c)		5.375%		11/15/24		3,000		3,082,500
US Concrete, Inc., Gtd. Notes		6.375%		06/01/24		600		634,500
								6,006,968
Chemicals — 1.5%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		4.900%		06/01/43		870		866,718
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		5.250%		01/15/45		420		437,378

SEE NOTES TO FINANCIAL STATEMENTS.

A42

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Chemicals (continued)
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		6.125%		01/15/41		450	$	511,278
Ashland, Inc., Gtd. Notes		6.875%		05/15/43		3,000		3,097,500
CF Industries, Inc., Gtd. Notes		4.950%		06/01/43		675		551,812
CF Industries, Inc., Gtd. Notes		5.375%		03/15/44		700		577,717
CF Industries, Inc., Gtd. Notes		6.875%		05/01/18		380		400,003
CF Industries, Inc., Gtd. Notes(e)		7.125%		05/01/20		300		327,000
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%		10/01/44		125		125,429
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		1,002		1,554,614
LyondellBasell Industries NV, Sr. Unsec’d. Notes		6.000%		11/15/21		3,550		4,025,945
Mosaic Co. (The), Sr. Unsec’d. Notes(e)		5.450%		11/15/33		465		461,190
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		155		149,373
Union Carbide Corp., Sr. Unsec’d. Notes		7.875%		04/01/23		3,058		3,686,817
								16,772,774
Commercial Services — 0.8%
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%		07/15/22		1,375		1,440,312
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A		6.375%		04/01/24		650		649,188
ERAC USA Finance LLC, Gtd. Notes, 144A(c)		6.700%		06/01/34		920		1,115,746
ERAC USA Finance LLC, Gtd. Notes, 144A(c)		7.000%		10/15/37		770		975,633
Hertz Corp. (The), Gtd. Notes(e)		6.750%		04/15/19		632		632,000
Service Corp. International, Sr. Unsec’d. Notes		7.625%		10/01/18		2,000		2,185,000
United Rentals North America, Inc., Gtd. Notes		5.500%		07/15/25		650		663,000
United Rentals North America, Inc., Gtd. Notes		5.500%		05/15/27		450		446,625
United Rentals North America, Inc., Gtd. Notes		7.625%		04/15/22		920		968,300
								9,075,804
Computers — 0.5%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		3.480%		06/01/19		905		923,829
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		4.420%		06/15/21		770		796,754
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.450%		10/05/17		3,360		3,378,681
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.850%		10/05/18		630		636,093
								5,735,357
Diversified Financial Services — 1.1%
Ally Financial, Inc., Sr. Unsec’d. Notes		4.125%	(a)	02/13/22		3,000		2,973,750
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		08/15/22		1,350		1,407,375
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19		4,000		4,220,000
GE Capital International Funding Co. Unlimited Co., Gtd. Notes		4.418%		11/15/35		354		370,959
HSBC Finance Corp., Sub. Notes		6.676%		01/15/21		295		331,592
International Lease Finance Corp., Sr. Unsec’d. Notes		6.250%		05/15/19		1,400		1,505,000
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		650		668,843
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)		6.875%		05/02/18		2,740		161,934
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(c)		1.717%	(a)	07/03/33		373		320,723
								11,960,176
Electric — 3.5%
AES Corp., Sr. Unsec’d. Notes		5.500%		04/15/25		5,000		5,000,000
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		3.350%		07/01/23		550		563,011
Calpine Corp., Sr. Unsec’d. Notes		5.500%		02/01/24		1,500		1,447,500
Calpine Corp., Sr. Unsec’d. Notes(e)		5.375%		01/15/23		800		782,000
Calpine Corp., Sr. Unsec’d. Notes(e)		5.750%		01/15/25		1,350		1,302,750
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes(e)		4.300%		12/01/56		235		234,677
ContourGlobal Power Holdings SA (France), Sr. Sec’d. Notes, 144A(c)		5.125%		06/15/21	EUR	1,350		1,487,873
Dominion Resources Inc., Jr. Sub. Notes		4.104%		04/01/21		2,710		2,822,920

SEE NOTES TO FINANCIAL STATEMENTS.

A43

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Electric (continued)
Dynegy, Inc., Gtd. Notes		5.875%		06/01/23			2,400	$	2,082,000
Dynegy, Inc., Gtd. Notes		7.375%		11/01/22			2,500		2,387,500
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35			2,325		2,680,848
Emera US Finance LP (Canada), Gtd. Notes, 144A		3.550%		06/15/26			820		806,085
Enel Finance International NV (Italy), Gtd. Notes, 144A		6.000%		10/07/39			1,450		1,619,911
Enersis Americas SA (Chile), Sr. Unsec’d. Notes		4.000%		10/25/26			235		224,350
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.200%		10/01/17			1,930		1,994,813
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39			1,900		1,913,045
FirstEnergy Corp., Sr. Unsec’d. Notes, Series A		2.750%		03/15/18			1,800		1,816,351
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44			400		424,627
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33			1,150		1,317,650
NRG Energy, Inc., Gtd. Notes		6.625%		03/15/23			3,263		3,271,158
Pacific Gas & Electric Co., Sr. Unsec’d. Notes		4.600%		06/15/43			1,950		2,056,874
South Carolina Electric & Gas Co., First Mortgage		4.600%		06/15/43			2,025		2,128,393
									38,364,336
Electronics — 0.1%
Honeywell International, Inc., Sr. Unsec’d. Notes		0.650%		02/21/20		EUR	900		962,348
Entertainment — 0.3%
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes		5.375%		06/01/24			425		437,750
Cinemark USA, Inc., Gtd. Notes		4.875%		06/01/23			1,508		1,526,850
CPUK Finance Ltd. (United Kingdom), Sr. Sec’d. Notes, RegS		7.000%		02/28/42		GBP	1,100		1,431,772
									3,396,372
Food — 1.1%
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, Sr. Unsec’d. Notes, 144A		5.750%	(a)	03/15/25			225		222,750
B&G Foods, Inc., Gtd. Notes		4.625%		06/01/21			2,000		2,040,000
Ingles Markets, Inc., Sr. Unsec’d. Notes		5.750%		06/15/23			1,925		1,977,938
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(c)		5.750%		06/15/25			2,025		2,050,312
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(c)		7.250%		06/01/21			1,330		1,376,563
Kraft Heinz Foods Co., Gtd. Notes		3.000%		06/01/26			1,360		1,276,818
Kraft Heinz Foods Co., Gtd. Notes		4.375%		06/01/46			400		376,392
Kraft Heinz Foods Co., Gtd. Notes		5.000%		07/15/35			725		760,597
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A		12.250%		02/10/22			725		779,375
Post Holdings, Inc., Gtd. Notes, 144A		6.000%		12/15/22			1,500		1,565,625
									12,426,370
Forest Products & Paper — 0.3%
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41			675		758,033
International Paper Co., Sr. Unsec’d. Notes		7.300%		11/15/39			1,000		1,274,218
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18			922		1,000,810
									3,033,061
Gas — 0.2%
NiSource Finance Corp., Gtd. Notes		4.800%		02/15/44			300		315,838
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20			1,345		1,468,724
Southern Co. Gas Capital Corp., Gtd. Notes		4.400%		06/01/43			1,050		1,038,259
									2,822,821
Healthcare-Products — 0.7%
Abbott Laboratories, Sr. Unsec’d. Notes		2.900%		11/30/21			2,780		2,772,077
Medtronic, Inc., Gtd. Notes		3.500%		03/15/25			3,435		3,537,068
Medtronic, Inc., Gtd. Notes		4.375%		03/15/35			1,358		1,436,666
									7,745,811
Healthcare-Services — 2.5%
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37			1,900		2,469,261
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43			385		386,499

SEE NOTES TO FINANCIAL STATEMENTS.

A44

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value (Note 2)
Healthcare-Services (continued)
CHS/Community Health Systems, Inc., Gtd. Notes(e)		7.125%			07/15/20			750	$	570,225
CHS/Community Health Systems, Inc., Gtd. Notes(e)		8.000%			11/15/19			3,400		2,822,000
Cigna Corp., Sr. Unsec’d. Notes		4.375%			12/15/20			745		791,977
Cigna Corp., Sr. Unsec’d. Notes		5.375%			03/15/17			2,125		2,141,203
Cigna Corp., Sr. Unsec’d. Notes		5.875%			03/15/41			750		862,120
DaVita, Inc., Gtd. Notes		5.000%			05/01/25			500		491,875
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%			10/15/20			2,705		2,799,675
HCA, Inc., Gtd. Notes		5.375%			02/01/25			5,025		5,037,562
HCA, Inc., Gtd. Notes		5.875%			02/15/26			725		746,750
HealthSouth Corp., Gtd. Notes		5.125%			03/15/23			300		297,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%			02/01/22			240		241,994
Select Medical Corp., Gtd. Notes		6.375%			06/01/21			2,600		2,600,000
Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes, RegS		6.250%			07/01/22		EUR	1,100		1,262,132
Tenet Healthcare Corp., Sr. Unsec’d. Notes		6.750%			02/01/20			500		481,250
Tenet Healthcare Corp., Sr. Unsec’d. Notes		8.000%			08/01/20			1,570		1,550,532
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%			10/15/42			1,260		1,227,064
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%			06/15/37			760		976,731
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%			11/15/37			195		255,072
										28,010,922
Home Builders — 1.0%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125%			07/01/22			2,000		2,010,000
CalAtlantic Group, Inc., Gtd. Notes		6.250%			12/15/21			3,500		3,771,250
PulteGroup, Inc., Gtd. Notes		5.000%			01/15/27			975		926,250
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A		5.250%			04/15/21			2,175		2,229,375
William Lyon Homes, Inc., Gtd. Notes		8.500%			11/15/20			2,000		2,090,000
										11,026,875
Home Furnishings — 0.1%
Tempur Sealy International, Inc., Gtd. Notes		5.500%			06/15/26			650		653,250
Housewares — 0.1%
Newell Brands, Inc., Sr. Unsec’d. Notes		4.200%			04/01/26			670		699,333
Insurance — 2.1%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%	(a)		11/15/20			430		463,853
American International Group, Inc., Sr. Unsec’d. Notes		3.900%			04/01/26			2,120		2,157,274
American International Group, Inc., Sr. Unsec’d. Notes		4.500%			07/16/44			1,075		1,060,031
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		2.750%			03/15/23			4,760		4,742,131
Chubb Corp. (The), Gtd. Notes		6.375%	(a)		04/15/37			1,775		1,668,500
Chubb INA Holdings, Inc., Gtd. Notes		4.350%			11/03/45			115		121,475
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes		7.000%			07/15/34			1,350		1,630,857
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%			04/15/22			500		554,592
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%			03/15/35			1,030		1,230,677
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%			06/15/40			405		511,334
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%			07/01/19			388		446,426
Markel Corp., Sr. Unsec’d. Notes		5.000%			03/30/43			350		354,989
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(a)		10/16/44			565		582,656
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%			03/30/40			500		615,693
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%			04/30/20			850		934,587
Principal Financial Group, Inc., Gtd. Notes		4.625%			09/15/42			150		155,356
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(a)		06/15/37			1,015		992,162
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%			12/16/39			2,310		2,997,742
Unum Group, Sr. Unsec’d. Notes		5.625%			09/15/20			500		544,503
XLIT Ltd. (Ireland), Gtd. Notes, Series E		6.500%	(a)		10/29/49			1,880		1,466,400
										23,231,238

SEE NOTES TO FINANCIAL STATEMENTS.

A45

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Iron/Steel — 0.1%
Vale Overseas Ltd. (Brazil), Gtd. Notes(e)		6.250%		08/10/26			580	$	603,200
Leisure Time — 0.1%
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A(c)		8.500%		10/15/22			1,225		1,270,937
Lodging — 0.4%
Boyd Gaming Corp., Gtd. Notes, 144A		6.375%		04/01/26			575		619,275
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22			1,325		1,336,094
MGM Resorts International, Gtd. Notes		6.625%		12/15/21			2,525		2,821,688
									4,777,057
Machinery-Diversified — 0.4%
CNH Industrial Capital LLC, Gtd. Notes		4.875%		04/01/21			1,050		1,092,000
Rockwell Automation, Inc., Sr. Unsec’d. Notes		5.200%		01/15/98			1,100		1,091,231
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21			1,960		2,115,961
									4,299,192
Media — 3.5%
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39			65		81,624
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28			1,415		1,813,897
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17			2,000		2,080,000
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.500%		05/01/26			3,300		3,366,000
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A(e)		5.875%		04/01/24			800		854,000
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.875%		05/01/27			1,000		1,037,500
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Sec’d. Notes, 144A		7.750%	(a)	07/15/25			1,500		1,650,000
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		5.125%		12/15/21			1,425		1,449,937
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		6.375%		09/15/20			950		978,500
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.384%		10/23/35			710		810,701
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.484%		10/23/45			855		988,448
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.834%		10/23/55			225		263,772
Comcast Corp., Gtd. Notes		3.150%		03/01/26			1,190		1,174,141
DISH DBS Corp., Gtd. Notes		4.250%		04/01/18			2,850		2,922,304
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes		6.125%		01/31/46			495		491,231
Historic TW, Inc., Gtd. Notes		6.625%		05/15/29			690		843,866
Liberty Interactive LLC, Sr. Unsec’d. Notes(e)		8.250%		02/01/30			2,250		2,396,250
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A		6.375%		07/28/17			1,035		1,055,452
NBCUniversal Media LLC, Gtd. Notes		4.450%		01/15/43			290		296,341
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A		5.000%		04/15/22			1,500		1,528,125
Sinclair Television Group, Inc., Gtd. Notes, 144A		5.875%		03/15/26			775		776,938
Sky PLC (United Kingdom), Gtd. Notes, 144A		6.100%		02/15/18			210		219,110
TCI Communications, Inc., Sr. Unsec’d. Notes		7.875%		02/15/26			750		1,006,701
TEGNA, Inc., Gtd. Notes, 144A		4.875%		09/15/21			475		483,313
Time Warner Cable, Inc., Sr. Sec’d. Notes		6.750%		07/01/18			2,620		2,797,164
Time Warner Cos., Inc., Gtd. Notes		7.250%		10/15/17			1,440		1,504,557
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes, RegS		4.000%		01/15/25		EUR	1,100		1,204,236
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(c)		5.125%		02/15/25			1,175		1,123,594
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		5.375%		01/15/25			1,140		1,148,550
Viacom, Inc., Sr. Unsec’d. Notes		4.875%		06/15/43			475		411,785
Viacom, Inc., Sr. Unsec’d. Notes		4.500%		02/27/42			95		78,753

SEE NOTES TO FINANCIAL STATEMENTS.

A46

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Media (continued)
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A		6.000%		04/15/21		GBP	611	$	783,004
Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes, RegS		3.750%		01/15/25		EUR	1,000		1,065,180
									38,684,974
Mining — 0.4%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A		6.750%	(a)	10/19/75			1,730		1,941,925
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes		3.625%		06/09/21			825		838,123
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%		04/23/45			820		805,015
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		6.750%		04/16/40			990		1,068,118
									4,653,181
Miscellaneous Manufacturing — 0.4%
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42			500		504,425
General Electric Co., Sub. Notes, MTN		5.300%		02/11/21			340		377,080
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes		5.750%		06/15/43			425		502,895
Pentair Finance SA (United Kingdom), Gtd. Notes		1.875%		09/15/17			625		625,932
Textron, Inc., Sr. Unsec’d. Notes		7.250%		10/01/19			2,350		2,641,196
									4,651,528
Multi-National — 0.2%
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%		05/10/19			1,180		1,172,310
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.125%		09/27/21			1,060		1,026,260
									2,198,570
Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp., Gtd. Notes		5.000%		09/01/23			1,150		1,151,437
Oil & Gas — 1.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(g)	10/10/36			2,000		808,624
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36			945		1,124,707
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%		03/15/46			165		203,504
Apache Corp., Sr. Unsec’d. Notes		5.100%		09/01/40			650		680,018
Devon Energy Corp., Sr. Unsec’d. Notes		5.600%		07/15/41			1,650		1,699,493
Lukoil International Finance BV (Russia), Gtd. Notes, 144A		6.125%		11/09/20			600		650,100
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21			1,650		1,677,258
Noble Energy, Inc., Sr. Unsec’d. Notes		6.000%		03/01/41			1,530		1,698,788
Occidental Petroleum Corp., Sr. Unsec’d. Notes		3.000%		02/15/27			470		454,760
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18			1,750		1,857,856
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22			510		551,362
Sasol Financing International PLC (South Africa), Gtd. Notes		4.500%		11/14/22			1,525		1,513,563
Sunoco LP/Sunoco Finance Corp., Gtd. Notes		6.250%		04/15/21			2,100		2,139,375
									15,059,408
Oil & Gas Services — 0.1%
Cameron International Corp., Gtd. Notes		7.000%		07/15/38			450		561,928
Packaging & Containers — 0.6%
Ball Corp., Gtd. Notes		4.375%		12/15/23		EUR	1,125		1,308,012
Greif Nevada Holdings, Sr. Unsec’d. Notes, 144A, MTN		7.375%		07/15/21		EUR	1,470		1,875,481
Greif, Inc., Sr. Unsec’d. Notes		7.750%		08/01/19			1,815		2,014,650
WestRock RKT Co., Gtd. Notes		4.450%		03/01/19			1,165		1,215,646
									6,413,789
Pharmaceuticals — 1.0%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25			1,020		1,010,298
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35			1,715		1,685,034
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25			875		876,031
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35			1,850		1,831,115
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45			250		245,434
Endo Ltd./Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A		6.000%		07/15/23			625		547,656

SEE NOTES TO FINANCIAL STATEMENTS.

A47

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Pharmaceuticals (continued)
Merck & Co, Inc., Sr. Unsec’d. Notes		4.150%	05/18/43			2,075	$	2,131,390
Pfizer, Inc., Sr. Unsec’d. Notes		4.125%	12/15/46			1,690		1,719,173
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(e)		3.150%	10/01/26			505		465,573
Teva Pharmaceutical Finance Netherlands Ill BV (Israel), Gtd. Notes		4.100%	10/01/46			160		137,098
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A		6.125%	04/15/25			450		338,062
								10,986,864
Pipelines — 0.3%
Enterprise Products Operating LLC, Gtd. Notes		4.900%	05/15/46			2,110		2,165,917
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A(c)		6.375%	03/30/38			415		408,642
ONEOK Partners LP, Gtd. Notes		2.000%	10/01/17			750		752,072
Western Gas Partners LP, Sr. Unsec’d. Notes		5.450%	04/01/44			575		592,229
								3,918,860
Real Estate
ProLogis LP, Gtd. Notes		6.875%	03/15/20			8		8,974
Real Estate Investment Trusts (REITs) — 0.3%
DuPont Fabros Technology LP, Gtd. Notes		5.875%	09/15/21			2,000		2,092,500
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22			325		336,006
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A		5.250%	12/15/24			1,235		1,208,756
								3,637,262
Retail — 0.7%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%	07/20/45			765		852,552
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A		4.500%	08/01/23		EUR	1,425		1,605,034
Limited Brands, Inc., Gtd. Notes		5.625%	02/15/22			2,200		2,348,500
PVH Corp., Sr. Unsec’d. Notes, 144A		3.625%	07/15/24		EUR	1,250		1,388,107
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A(c)		8.000%	06/15/22			1,350		1,161,000
								7,355,193
Savings & Loans — 0.1%
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%	12/06/22			1,675		1,684,417
Semiconductors — 0.6%
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		3.750%	06/01/18			1,925		1,953,875
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		4.625%	06/01/23			2,975		3,123,750
Sensata Technologies BV, Gtd. Notes, 144A		5.000%	10/01/25			1,750		1,715,000
								6,792,625
Software — 0.9%
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		3.000%	08/15/26			1,050		985,878
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		4.500%	10/15/22			2,355		2,505,152
First Data Corp., Gtd. Notes, 144A		7.000%	12/01/23			2,225		2,369,625
Infor US, Inc., Gtd. Notes(c)		6.500%	05/15/22			950		990,375
Infor US, Inc., Sr. Sec’d. Notes, 144A(c)		5.750%	08/15/20			1,350		1,414,125
Microsoft Corp., Sr. Unsec’d. Notes		4.000%	02/12/55			435		411,415
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34			1,070		1,106,363
								9,782,933
Telecommunications — 1.7%
AT&T Corp., Gtd. Notes		8.250%	11/15/31			55		76,457
AT&T, Inc., Sr. Unsec’d. Notes		3.400%	05/15/25			2,320		2,236,069
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	05/15/35			300		289,850
AT&T, Inc., Sr. Unsec’d. Notes		4.500%	03/09/48			74		66,494
AT&T, Inc., Sr. Unsec’d. Notes		4.550%	03/09/49			499		450,730
AT&T, Inc., Sr. Unsec’d. Notes		4.750%	05/15/46			850		805,306
AT&T, Inc., Sr. Unsec’d. Notes		4.800%	06/15/44			1,515		1,431,545
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40			49		50,323

SEE NOTES TO FINANCIAL STATEMENTS.

A48

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Telecommunications (continued)
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.125%	03/11/23			1,305	$	1,360,128
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.350%	05/20/24			690		722,730
Sprint Capital Corp., Gtd. Notes		6.900%	05/01/19			1,300		1,376,375
Sprint Corp., Gtd. Notes(c)(e)		7.625%	02/15/25			500		525,625
T-Mobile USA, Inc., Gtd. Notes		6.500%	01/15/26			1,675		1,811,094
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN		6.375%	06/24/19		GBP	950		1,280,230
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%	03/15/55			2,796		2,625,752
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.750%	11/01/41			745		735,646
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%	08/21/54			2,517		2,503,816
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		9.125%	04/30/18			200		215,248
								18,563,418
Textiles
Mohawk Industries, Inc., Sr. Unsec’d. Notes		3.850%	02/01/23			294		300,412
Transportation — 0.1%
Silk Bidco AS (Norway), Sr. Sec’d. Notes, RegS		7.500%	02/01/22		EUR	1,300		1,446,862
TOTAL CORPORATE BONDS (cost $460,425,565)								472,240,049
NON-CORPORATE FOREIGN AGENCIES — 1.7%
CITIC Ltd. (China), Sr. Unsec’d. Notes, RegS, EMTN		6.875%	01/21/18			1,100		1,149,986
CNOOC Finance 2013 Ltd. (China), Gtd. Notes		3.000%	05/09/23			750		723,900
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%	03/07/22			1,665		1,836,695
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS		4.950%	07/19/22			390		401,298
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A, MTN		9.125%	07/02/18			1,610		1,749,426
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes		4.625%	11/16/21			600		649,945
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS		4.250%	11/02/20			1,750		1,856,409
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A		4.750%	07/13/21			250		270,103
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	01/20/20			1,500		1,683,750
Petrobras Global Finance BV (Brazil), Gtd. Notes		8.375%	05/23/21			2,475		2,666,812
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/24/22			1,100		1,103,300
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A		5.375%	03/13/22			405		414,712
Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A		9.950%	06/09/21			440		496,100
Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A		9.950%	06/09/21			1,500		1,691,250
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%	04/28/20			1,250		1,241,714
YPF SA (Argentina), Sr. Unsec’d. Notes, 144A		8.500%	03/23/21			1,000		1,072,600
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $18,601,593)								19,008,000
MUNICIPAL BONDS — 1.8%
California — 0.7%
Bay Area Toll Authority, Revenue Bonds, BABs		6.907%	10/01/50			1,125		1,579,163
State of California, General Obligation Unlimited, BABs		7.300%	10/01/39			2,280		3,220,249
State of California, General Obligation Unlimited, BABs		7.625%	03/01/40			725		1,065,257
University of California, Revenue Bonds, BABs		5.770%	05/15/43			1,400		1,711,724
								7,576,393
Colorado — 0.1%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50			770		998,051
Illinois — 0.2%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40			1,380		1,801,245

SEE NOTES TO FINANCIAL STATEMENTS.

A49

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
New Jersey — 0.4%
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs		7.102%			01/01/41		1,175	$	1,641,499
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%			01/01/40		2,050		2,953,086
									4,594,585
Ohio — 0.1%
Ohio State University (The), Revenue Bonds, BABs		4.910%			06/01/40		695		795,149
Ohio State Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, BABs		4.879%			12/01/34		450		506,417
									1,301,566
Oregon — 0.1%
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs		5.834%			11/15/34		615		774,352
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%			12/01/45		800		961,000
Tennessee — 0.1%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%			07/01/43		1,375		1,778,274
TOTAL MUNICIPAL BONDS (cost $14,872,896)									19,785,466
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 6.4%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%			09/25/19		201		202,179
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A		0.739%	(a)		08/26/36		2,765		2,607,100
Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A		2.511%	(a)		10/27/27		579		578,272
Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A		3.130%	(a)		09/25/47		1,152		1,041,481
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1(h)		2.206%	(a)		01/25/29		1,435		1,444,027
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M3(h)		5.306%	(a)		10/25/24		660		706,185
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(h)		2.756%	(a)		12/25/28		1,550		1,564,428
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(h)		3.006%	(a)		11/25/28		1,450		1,479,779
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2(h)		2.106%	(a)		03/25/29		760		758,044
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2(h)		2.056%	(a)		04/25/29		1,740		1,727,485
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A		0.732%	(a)		01/26/37		3,264		3,142,113
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A		0.732%	(a)		01/26/37		1,400		1,154,169
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A		0.730%	(a)		03/26/37		2,701		2,573,767
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A		0.730%	(a)		03/26/37		700		550,570
Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1		0.956%	(a)		07/19/47		2,306		1,927,827
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-6, Class A, 144A(b)		2.530%	(a)		05/01/20		5,675		5,596,929
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-7, Class A, 144A(b)		2.530%	(a)		07/01/20		3,892		3,867,545
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-8, Class A1, 144A		2.620%	(a)		08/01/20		2,724		2,720,303
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-9, Class A1, 144A(b)		2.620%	(a)		10/01/20		4,243		4,226,425
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-10, Class A2, 144A(b)		4.120%	(a)		11/01/20		1,500		1,488,750

SEE NOTES TO FINANCIAL STATEMENTS.

A50

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-1, Class A1, 144A		2.620%	(a)	01/01/21			3,776	$	3,710,090
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-2, Class A, 144A		2.620%	(a)	03/01/21			2,129		2,117,357
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A(b)		2.620%	(a)	09/01/21			2,031		2,005,793
LSTAR Securities Investment Trust (Cayman Islands), Series 2016-5, Class A1, 144A		2.620%	(a)	11/01/21			2,103		2,079,840
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-6, Class A, 144A		2.630%	(a)	11/01/21			3,820		3,766,226
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19			32		32,464
Mortgage Repurchase Agreement Financing Trust, Series 2016-3, Class A1, 144A(b)		1.664%	(a)	11/10/18			1,510		1,510,000
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A(b)		1.737%	(a)	05/10/19			6,310		6,296,288
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A(b)		1.872%	(a)	06/10/19			1,100		1,100,000
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.093%	(a)	02/25/34			912		913,988
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1		3.258%	(a)	12/25/34			4,911		4,756,202
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3		3.756%	(a)	07/25/32			537		521,483
Towd Point Mortgage Funding PLC (United Kingdom), Series 2016-V1A, Class A1, 144A		1.538%	(a)	02/20/54		GBP	2,200		2,687,797
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20			174		174,279
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $70,619,842)									71,029,185
SOVEREIGN BONDS — 3.7%
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes, 144A		6.875%		04/22/21			1,175		1,251,375
Brazilian Government International Bond (Brazil), Unsec’d. Notes		11.000%		06/26/17		EUR	2,200		2,427,411
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24			250		252,500
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		6.850%		01/27/45			600		566,832
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		7.450%		04/30/44			290		292,900
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		7.500%		05/06/21			600		651,204
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, RegS		7.500%		05/06/21			2,250		2,442,015
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes(c)		3.800%		08/08/17		JPY	680,000		5,658,182
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21			2,776		3,108,454
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.125%		02/19/18			2,020		2,066,504
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		02/21/23			436		472,559
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		03/25/24			290		316,100
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.750%		11/22/23			2,300		2,550,125
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes, RegS		6.000%		01/11/19		EUR	715		842,953

SEE NOTES TO FINANCIAL STATEMENTS.

A51

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

SOVEREIGN BONDS (Continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN		2.875%		07/08/21		EUR	825	$	905,891
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		3.375%		07/30/25		EUR	1,625		1,751,544
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		5.250%		01/08/47			1,280		1,276,316
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS, EMTN, RegS		3.750%		06/14/28		EUR	500		535,107
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		3.450%		03/24/17		JPY	170,000		1,468,131
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		4.600%		01/23/46			700		628,250
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44			462		420,097
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25			450		446,625
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A		3.974%	(g)	05/31/18			296		288,325
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		9.500%		02/02/30			450		709,065
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, RegS, RegS, MTN		5.125%		10/15/24			2,100		2,031,750
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A, MTN		3.875%		10/29/35		EUR	945		1,045,739
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS, MTN		3.875%		10/29/35		EUR	1,000		1,106,602
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A		3.250%		10/26/26			1,450		1,374,635
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.250%		02/18/24			600		657,300
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.500%		10/26/22			1,300		1,436,469
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS		5.850%		05/10/23			200		225,285
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		5.625%		03/30/21			500		512,700
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20			1,510		1,621,320
TOTAL SOVEREIGN BONDS (cost $44,204,128)									41,340,265
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.5%
Federal Home Loan Mortgage Corp.		5.500%		10/01/33			854		976,144
Federal Home Loan Mortgage Corp.		5.500%		06/01/34			14		16,147
Federal Home Loan Mortgage Corp.		6.000%		11/01/33			297		342,699
Federal Home Loan Mortgage Corp.		6.000%		05/01/34			145		163,986
Federal Home Loan Mortgage Corp.		6.000%		06/01/34			165		186,926
Federal Home Loan Mortgage Corp.(i)		6.250%		07/15/32			830		1,142,196
Federal Home Loan Mortgage Corp.		6.500%		07/01/32			33		37,256
Federal Home Loan Mortgage Corp.		6.500%		07/01/32			35		38,967
Federal Home Loan Mortgage Corp.		6.500%		08/01/32			79		89,708
Federal Home Loan Mortgage Corp.		6.500%		08/01/32			80		90,094
Federal Home Loan Mortgage Corp.		6.500%		08/01/32			67		77,620
Federal Home Loan Mortgage Corp.		6.500%		09/01/32			184		207,706
Federal Home Loan Mortgage Corp.		6.500%		09/01/32			66		74,453
Federal Home Loan Mortgage Corp.(i)		6.750%		03/15/31			600		845,633
Federal National Mortgage Assoc.		5.500%		02/01/33			33		37,468
Federal National Mortgage Assoc.		5.500%		02/01/33			27		29,722
Federal National Mortgage Assoc.		5.500%		03/01/33			95		107,008
Federal National Mortgage Assoc.		5.500%		03/01/33			84		93,756
Federal National Mortgage Assoc.		5.500%		03/01/33			40		45,044
Federal National Mortgage Assoc.		5.500%		04/01/33			54		60,248
Federal National Mortgage Assoc.		5.500%		04/01/33			59		66,412

SEE NOTES TO FINANCIAL STATEMENTS.

A52

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (Continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.		5.500%		04/01/33		12	$	13,632
Federal National Mortgage Assoc.		5.500%		04/01/33		43		47,472
Federal National Mortgage Assoc.		5.500%		07/01/33		63		70,833
Federal National Mortgage Assoc.		5.500%		07/01/33		64		71,795
Federal National Mortgage Assoc.		5.500%		08/01/33		20		22,752
Federal National Mortgage Assoc.		5.500%		02/01/34		49		55,382
Federal National Mortgage Assoc.		5.500%		04/01/34		61		68,921
Federal National Mortgage Assoc.		5.500%		06/01/34		44		49,159
Federal National Mortgage Assoc.		6.000%		10/01/33		393		456,184
Federal National Mortgage Assoc.		6.000%		10/01/33		4		4,442
Federal National Mortgage Assoc.		6.000%		03/01/34		165		188,205
Federal National Mortgage Assoc.		6.000%		02/01/35		310		357,792
Federal National Mortgage Assoc.		6.000%		11/01/36		99		112,602
Federal National Mortgage Assoc.(i)		6.250%		05/15/29		1,090		1,444,807
Federal National Mortgage Assoc.		6.500%		08/01/32		184		209,059
Federal National Mortgage Assoc.		6.500%		09/01/32		153		172,846
Federal National Mortgage Assoc.		6.500%		09/01/32		286		332,290
Federal National Mortgage Assoc.		6.500%		10/01/32		125		141,882
Federal National Mortgage Assoc.		6.500%		04/01/33		273		317,399
Federal National Mortgage Assoc.		6.500%		11/01/33		8		9,138
Federal National Mortgage Assoc.(i)		6.625%		11/15/30		530		737,276
Federal National Mortgage Assoc.		7.000%		05/01/32		125		135,297
Federal National Mortgage Assoc.		7.000%		06/01/32		10		11,502
Federal National Mortgage Assoc.(i)		7.125%		01/15/30		785		1,120,168
Government National Mortgage Assoc.		5.500%		01/15/33		110		124,110
Government National Mortgage Assoc.		5.500%		02/15/33		87		98,584
Government National Mortgage Assoc.		5.500%		05/15/33		206		230,139
Government National Mortgage Assoc.		5.500%		05/15/33		151		167,891
Government National Mortgage Assoc.		5.500%		06/15/33		236		268,507
Government National Mortgage Assoc.		5.500%		09/15/33		159		179,673
Government National Mortgage Assoc.		5.500%		07/15/35		124		139,515
Government National Mortgage Assoc.		6.000%		12/15/32		190		225,511
Government National Mortgage Assoc.		6.000%		11/15/33		92		106,842
Government National Mortgage Assoc.		6.000%		01/15/34		17		19,843
Government National Mortgage Assoc.		6.000%		06/20/34		518		602,715
Government National Mortgage Assoc.		6.000%		11/15/34		851		1,002,213
Government National Mortgage Assoc.		6.500%		09/15/32		246		281,318
Government National Mortgage Assoc.		6.500%		09/15/32		270		308,222
Government National Mortgage Assoc.		6.500%		09/15/32		128		145,853
Government National Mortgage Assoc.		6.500%		11/15/33		223		254,226
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30		950		1,353,311
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $15,842,436)								16,388,501
U.S. TREASURY OBLIGATIONS — 1.6%
U.S. Treasury Bonds(j)		2.250%		08/15/46		1,680		1,412,578
U.S. Treasury Bonds(i)(j)		2.500%		05/15/46		2,105		1,870,654
U.S. Treasury Bonds(i)(j)		2.875%		05/15/43		3,955		3,820,126
U.S. Treasury Bonds(j)		4.250%		11/15/40		2,350		2,853,046
U.S. Treasury Notes(i)		1.375%		04/30/21		285		279,578
U.S. Treasury Notes		2.000%		11/15/26		2,120		2,039,754
U.S. Treasury Notes(i)		2.250%		07/31/21		805		817,609
U.S. Treasury Strips Coupon, IO(j)		2.783%	(g)	08/15/29		1,200		844,405
U.S. Treasury Strips Coupon, IO(j)		2.878%	(g)	05/15/31		1,200		795,160
U.S. Treasury Strips Coupon, IO(i)(j)		3.042%	(g)	11/15/35		2,400		1,359,329
U.S. Treasury Strips Coupon, IO(i)		3.202%	(g)	08/15/40		2,400		1,133,734
TOTAL U.S. TREASURY OBLIGATIONS (cost $17,909,144)								17,225,973

SEE NOTES TO FINANCIAL STATEMENTS.

A53

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

PREFERRED STOCKS — 0.2%	Principal Amount (000)#		Value (Note 2)
Banking
Citigroup Capital XIII, 7.257%, (Capital Security, fixed to floating preferred)(a)		45,000	$	1,161,900
State Street Corp., 5.35%(a)		35,000		875,700
TOTAL PREFERRED STOCKS (cost $2,000,000)				2,037,600
TOTAL LONG-TERM INVESTMENTS (cost $969,576,022)				986,756,490
	Shares
SHORT-TERM INVESTMENTS — 9.1%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(k)		8,928,002		82,762,575
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(k)		7,204,262		7,204,262
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $10,072,615; includes $10,066,753 of cash collateral for securities on loan)(k)(l)		10,071,571		10,073,585
TOTAL SHORT-TERM INVESTMENTS (cost $103,890,836) (Note 4)				100,040,422
TOTAL INVESTMENTS — 98.4% (cost $1,073,466,858)				1,086,796,912
OTHER ASSETS IN EXCESS OF LIABILITIES(m) — 1.6%				17,781,706
NET ASSETS — 100.0%			$	1,104,578,618

See the Glossary for abbreviations used in the annual report.

# 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 December 31, 2016.

(b) Indicates a Level 3 security. The aggregate value of Level 3 securities is $31,059,799 and 2.8% of net assets.

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

(d) Indicates a restricted security; the aggregate original cost of such securities is $1,317,944. The aggregate value, $1,334,142, is approximately 0.1% of net assets.

(e) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $9,861,400; cash collateral of $10,066,753 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

(h) Represents CAS issued by Fannie Mae or a STACR securities issued by Freddie Mac.

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

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

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

(l) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A54

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Futures contracts outstanding at December 31, 2016:

Number of Contracts		Type		Expiration Date		Value at Trade Date		Value at December 31, 2016		Unrealized Appreciation (Depreciation)
	Long Positions:
	4,694		5 Year U.S. Treasury Notes	Mar.	2017	$	555,006,605	$	552,315,109	$	(2,691,496	)
	2,272		10 Year U.S. Treasury Notes	Mar.	2017		283,201,306		282,367,000		(834,306	)
	81		20 Year U.S. Treasury Bonds	Mar.	2017		12,056,975		12,203,156		146,181
	487		30 Year U.S. Ultra Treasury Bonds	Mar.	2017		78,712,591		78,041,750		(670,841	)
											(4,050,462	)
	Short Position:
	342		2 Year U.S. Treasury Notes	Mar.	2017		74,027,194		74,107,125		(79,931	)
										$	(4,130,393	)

Cash of $3,010,000 and U.S. Treasury Obligations with a combined market value of $7,967,406 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.

Forward foreign currency exchange contracts outstanding at December 31, 2016:

Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Mexican Peso,
Expiring 01/24/17	Goldman Sachs & Co.	MXN	24,824	$	1,211,100	$	1,192,981	$	(18,119	)
Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Australian Dollar,
Expiring 01/13/17	BNP Paribas	AUD	559	$	421,860	$	403,519	$	18,341
British Pound,
Expiring 01/27/17	Goldman Sachs & Co.	GBP	2,078		2,640,357		2,562,526		77,831
Expiring 01/27/17	UBS AG	GBP	3,839		4,666,257		4,734,507		(68,250	)
Euro,
Expiring 01/27/17	Goldman Sachs & Co.	EUR	16,967		18,548,092		17,887,230		660,862
Expiring 01/27/17	JPMorgan Chase	EUR	419		458,859		442,089		16,770
Hungarian Forint,
Expiring 01/25/17	Citigroup Global Markets	HUF	219,665		786,908		748,329		38,579
Israeli Shekel,
Expiring 01/19/17	Citigroup Global Markets	ILS	400		104,693		104,008		685
Japanese Yen,
Expiring 01/27/17	UBS AG	JPY	45,193		435,024		387,300		47,724
Mexican Peso,
Expiring 01/24/17	Goldman Sachs & Co.	MXN	16,772		892,322		805,993		86,329
Polish Zloty,
Expiring 01/25/17	Goldman Sachs & Co.	PLN	2,314		587,203		552,682		34,521
South African Rand,
Expiring 01/13/17	Toronto Dominion	ZAR	9,060		618,700		657,916		(39,216	)
				$	30,160,275	$	29,286,099		874,176
								$	856,057

SEE NOTES TO FINANCIAL STATEMENTS.

A55

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Credit default swap agreements outstanding at December 31, 2016:
Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2016(4)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swap on credit indices—Buy Protection(1):
CDX.NA.HY.27.V1		12/20/21		5.000%		13,900	$	(484,261	)	$	(860,521	)	$	(376,260	)
Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2016(4)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swaps on corporate and/or sovereign issues—Sell Protection(2):
CIT Group, Inc.		06/20/18		5.000%		5,350	$	341,964		$	347,123		$	5,159
General Motors Co.		06/20/19		5.000%		1,925		216,698			197,218			(19,480	)
							$	558,662		$	544,341		$	(14,321	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b):
Ameriquest Home Equity		01/30/17		1.500%		261	$	380	$	—	$	380	Goldman Sachs & Co.
Ameriquest Home Equity		01/30/17		1.500%		110		160		—		160	Goldman Sachs & Co.
Ameriquest Home Equity		01/30/17		1.500%		172		251		—		251	Goldman Sachs & Co.
Ameriquest Home Equity		01/30/17		1.500%		178		259		—		259	Goldman Sachs & Co.
Ameriquest Home Equity		01/30/17		1.500%		137		199		—		199	Goldman Sachs & Co.
Ameriquest Home Equity		01/30/17		1.500%		220		320		—		320	Goldman Sachs & Co.
Ameriquest Home Equity		01/30/17		1.500%		273		398		—		398	Goldman Sachs & Co.
Bank of America Prime Mortgage		01/30/17		1.500%		595		867		—		867	Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		01/30/17		1.500%		422		53		—		53	Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		01/30/17		1.500%		116		170		—		170	Goldman Sachs & Co.
Chase Mortgage		01/30/17		1.500%		161		234		—		234	Goldman Sachs & Co.
Chase Mortgage		01/30/17		1.500%		414		604		—		604	Goldman Sachs & Co.
Chase Mortgage		01/30/17		1.500%		414		603		—		603	Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		01/23/17		1.500%		92		134		—		134	Goldman Sachs & Co.
Citigroup Mortgage Loan Trust		01/30/17		1.500%		143		208		—		208	Goldman Sachs & Co.
Citigroup Mortgage Loan Trust		01/30/17		1.500%		170		248		—		248	Goldman Sachs & Co.
COMM Mortgage Trust		01/23/17		1.500%		61		89		—		89	Goldman Sachs & Co.
COMM Mortgage Trust		01/23/17		1.500%		380		554		—		554	Goldman Sachs & Co.
COMM Mortgage Trust		01/23/17		1.500%		411		599		—		599	Goldman Sachs & Co.
COMM Mortgage Trust		01/23/17		1.500%		205		299		—		299	Goldman Sachs & Co.
COMM Mortgage Trust		01/23/17		1.500%		49		71		—		71	Goldman Sachs & Co.
COMM Mortgage Trust		01/23/17		1.500%		45		66		—		66	Goldman Sachs & Co.
COMM Mortgage Trust		01/23/17		1.500%		104		152		—		152	Goldman Sachs & Co.
Commercial Mortgage Pass Through Certificate		01/23/17		1.500%		88		128		—		128	Goldman Sachs & Co.
Countrywide Home Equity		01/30/17		1.500%		154		225		—		225	Goldman Sachs & Co.
Countrywide Home Equity		01/30/17		1.500%		217		316		—		316	Goldman Sachs & Co.
Countrywide Home Equity		01/30/17		1.500%		173		252		—		252	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		01/03/17		1.500%		79		16		—		16	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		01/03/17		1.500%		920		190		—		190	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		01/03/17		1.500%		314		62		—		62	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		100		146		—		146	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		380		554		—		554	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		143		208		—		208	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		80		117		—		117	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		84		122		—		122	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		162		236		—		236	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		139		203		—		203	Goldman Sachs & Co.
GS Mortgage Securities Trust		01/23/17		1.500%		53		77		—		77	Goldman Sachs & Co.

SEE NOTES TO FINANCIAL STATEMENTS.

A56

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Credit default swap agreements outstanding at December 31, 2016 (continued):

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b) (continued):
GS Mortgage Securities Trust		01/23/17		1.500%		150	$	219		$	—	$	219		Goldman Sachs & Co.
GSAMP Home Equity		01/30/17		1.500%		175		254			—		254		Goldman Sachs & Co.
GSAMP Home Equity		01/30/17		1.500%		265		386			—		386		Goldman Sachs & Co.
Indymac Subprime Mortgage		01/30/17		1.500%		144		187			—		187		Goldman Sachs & Co.
Indymac Subprime Mortgage		01/30/17		1.500%		389		(193	)		—		(193	)	Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		01/23/17		1.500%		193		281			—		281		Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		01/23/17		1.500%		57		83			—		83		Goldman Sachs & Co.
JPMorgan Chase Commercial Mortgage		01/23/17		1.500%		53		77			—		77		Goldman Sachs & Co.
Lehman Home Equity		01/30/17		1.500%		330		481			—		481		Goldman Sachs & Co.
LNR CDO Ltd.		01/11/17		1.500%		1,560		2,143			—		2,143		Goldman Sachs & Co.
Long Beach Home Equity		01/30/17		1.500%		310		452			—		452		Goldman Sachs & Co.
Morgan Stanley BAML Trust		01/23/17		1.500%		395		576			—		576		Goldman Sachs & Co.
Morgan Stanley BAML Trust		01/23/17		1.500%		57		83			—		83		Goldman Sachs & Co.
Morgan Stanley BAML Trust		01/23/17		1.500%		73		106			—		106		Goldman Sachs & Co.
Morgan Stanley BAML Trust		01/23/17		1.500%		88		128			—		128		Goldman Sachs & Co.
Morgan Stanley Home Equity		01/30/17		1.500%		134		195			—		195		Goldman Sachs & Co.
New Century Home Equity		01/30/17		1.500%		339		493			—		493		Goldman Sachs & Co.
New Century Home Equity		01/30/17		1.500%		300		438			—		438		Goldman Sachs & Co.
New Century Home Equity		01/30/17		1.500%		153		223			—		223		Goldman Sachs & Co.
New Century Home Equity		01/30/17		1.500%		179		260			—		260		Goldman Sachs & Co.
New Century Home Equity		01/30/17		1.500%		184		268			—		268		Goldman Sachs & Co.
Option One Home Equity		01/30/17		1.500%		564		822			—		822		Goldman Sachs & Co.
Option One Home Equity		01/30/17		1.500%		318		463			—		463		Goldman Sachs & Co.
UBS-Barclays Commercial Mortgage Trust		01/23/17		1.500%		42		61			—		61		Goldman Sachs & Co.
Wells Fargo Home Equity		01/30/17		1.500%		116		169			—		169		Goldman Sachs & Co.
WF-RBS Commercial Mortgage Trust		01/23/17		1.500%		49		71			—		71		Goldman Sachs & Co.
WF-RBS Commercial Mortgage Trust		01/23/17		1.500%		57		83			—		83		Goldman Sachs & Co.
WFCG Chase Commercial Mortgage		01/23/17		1.500%		283		412			—		412		Goldman Sachs & Co.
							$	18,991		$	—	$	18,991

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2016(5)			Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)	Counterparty
OTC credit default swaps on corporate and/or sovereign Issues — Sell Protection(2):
Petroleo Brasileriro SA		06/20/18		1.000%		2,250		2.166	%	$	(37,270	)	$	(172,518	)	$           135,248	Morgan Stanley
Republic of Italy		09/20/20		1.000%		9,680		1.421	%		(140,432	)		44,911		(185,343)	JPMorgan Chase
Republic of Italy		09/20/20		1.000%		2,000		1.421	%		(29,014	)		5,762		(34,776)	JPMorgan Chase
										$	(206,716	)	$	(121,845	)	$          (84,871)

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 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A57

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

(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 credit indices, asset-backed securities and centrally cleared corporate and/or sovereign issues 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.

(5) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of OTC credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency swap agreements outstanding at December 31, 2016:

Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
	OTC currency swap agreements:
	278		3 Month LIBOR		EUR	240	3 Month EURIBOR minus 24.50 bps	Citigroup Global Markets	01/16/17	$	26,630	$	—	$	26,630
	1,541		3 Month LIBOR plus 432 bps		JPY	120,000	3.450%	Citigroup Global Markets	03/24/17		492,834		37,018		455,816
	5,882		3 Month LIBOR		JPY	600,000	3 Month JPY LIBOR minus 31.25 bps	Deutsche Bank AG	05/14/17		741,412		—		741,412
	1,157		3 Month LIBOR		EUR	900	3 Month EURIBOR minus 31.75 bps	Hong Kong & Shanghai Bank	09/28/17		209,463		—		209,463
	13,099		3 Month LIBOR		EUR	11,400	3 Month EURIBOR minus 26.95 bps	JPMorgan Chase	02/17/17		1,117,404		—		1,117,404
	1,003		3 Month LIBOR		EUR	900	(0.613)%	JPMorgan Chase	02/22/20		60,611		—		60,611
	719		3 Month LIBOR		EUR	640	(0.443)%	JPMorgan Chase	08/22/21		44,423		—		44,423
										$	2,692,777	$	37,018	$	2,655,759

Interest rate swap agreements outstanding at December 31, 2016:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
AUD	2,490		10/26/18		1.765%	3 Month BBSW(1)	$	119		$	6,967		$	6,848
AUD	3,630		10/27/18		1.793%	3 Month BBSW(1)		120			8,992			8,872
AUD	15,895		11/29/18		1.900%	3 Month BBSW(1)		138			20,336			20,198
AUD	2,020		10/26/21		2.115%	6 Month BBSW(2)		121			(32,819	)		(32,940	)
AUD	2,990		10/27/21		2.125%	6 Month BBSW(2)		123			(47,742	)		(47,865	)
AUD	9,570		10/27/21		2.173%	6 Month BBSW(2)		(1,730	)		(137,754	)		(136,024	)
AUD	19,585		11/29/21		2.458%	6 Month BBSW(2)		(284	)		(105,810	)		(105,526	)
AUD	790		10/27/26		2.355%	6 Month BBSW(1)		119			31,338			31,219
AUD	3,490		11/29/26		2.823%	6 Month BBSW(1)		131			36,893			36,762
CAD	15,470		10/26/18		0.904%	3 Month Canadian Banker’s Acceptance(2)		104			(34,962	)		(35,066	)
EUR	8,000		08/01/19		0.346%	1 Day EUROIS(1)		(131,181	)		(171,557	)		(40,376	)
EUR	1,255		10/06/21		(0.385%)	1 Day EONIA(1)		173			13,017			12,844
EUR	1,150		06/20/24		(0.050%)	1 Day EUROIS(1)		99			15,413			15,314
EUR	1,380		09/13/24		(0.104%)	1 Day EUROIS(1)		180			29,845			29,665

SEE NOTES TO FINANCIAL STATEMENTS.

A58

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements (continued):
EUR	2,000		07/28/25		0.780%	1 Day EUROIS(1)	$	180		$	(102,007	)	$	(102,187	)
EUR	3,900		02/23/26		0.324%	1 Day EUROIS(1)		(2,798	)		(13,412	)		(10,614	)
EUR	705		03/04/36		0.865%	1 Day EUROIS(1)		(798	)		12,772			13,570
EUR	550		04/11/36		0.962%	6 Month EURIBOR(1)		179			21,519			21,340
GBP	1,950		02/23/21		0.639%	1 Day GBP OIS(1)		222			(25,222	)		(25,444	)
MXN	48,200		05/25/22		6.370%	28 Day Mexican Interbank Rate(2)		29			(135,629	)		(135,658	)
MXN	38,000		08/13/24		6.120%	28 Day Mexican Interbank Rate(2)		25			(185,054	)		(185,079	)
MXN	38,100		12/27/24		5.795%	28 Day Mexican Interbank Rate(2)		26			(231,827	)		(231,853	)
MXN	69,000		10/15/26		6.445%	28 Day Mexican Interbank Rate(2)		38			(352,890	)		(352,928	)
MXN	37,560		12/09/26		7.780%	28 Day Mexican Interbank Rate(2)		(148	)		(19,665	)		(19,517	)
MXN	13,900		07/27/34		6.720%	28 Day Mexican Interbank Rate(2)		18			(105,582	)		(105,600	)
NOK	28,010		11/01/26		1.650%	6 Month NIBOR(2)		43			(83,274	)		(83,317	)
NZD	21,750		12/15/17		2.125%	3 Month New Zealand Bank Bill(2)		122			(8,021	)		(8,143	)
NZD	6,340		11/01/26		2.835%	3 Month New Zealand Bank Bill(2)		(16,628	)		(243,737	)		(227,109	)
	118,285		02/18/17		0.466%	1 Day USOIS(1)		256			17,094			16,838
	57,350		08/19/17		0.524%	1 Day USOIS(1)		202			62,731			62,529
	231,530		09/09/17		0.539%	1 Day USOIS(1)		31,678			289,266			257,588
	56,750		10/21/17		0.590%	1 Day USOIS(1)		202			79,334			79,132
	55,860		11/01/17		0.639%	1 Day USOIS(1)		276			59,554			59,278
	110,140		11/14/17		0.675%	1 Day USOIS(1)		(9,329	)		102,156			111,485
	54,980		11/22/17		0.716%	1 Day USOIS(1)		274			36,311			36,037
	45,150		09/30/18		0.655%	1 Day USOIS(1)		252			315,200			314,948
	22,510		09/30/18		0.747%	1 Day USOIS(1)		200			121,102			120,902
	55,120		11/17/18		1.080%	1 Day USOIS(1)		274			144,915			144,641
	82,865		11/18/18		0.911%	1 Day USOIS(1)		(4,269	)		242,942			247,211
	35,980		11/22/18		1.297%	3 Month LIBOR(1)		232			85,503			85,271
	1,575		03/11/20		1.824%	3 Month LIBOR(1)		28			(5,006	)		(5,034	)
	107,735		12/31/21		1.787%	3 Month LIBOR(1)		(140,427	)		923,418			1,063,845
	17,000		12/31/21		1.850%	3 Month LIBOR(1)		242			93,717			93,475
	51,250		05/31/22		1.741%	3 Month LIBOR(1)		375,423			711,374			335,951
	29,120		05/31/22		2.237%	3 Month LIBOR(1)		(77,973	)		(345,497	)		(267,524	)
	22,700		08/31/22		1.788%	3 Month LIBOR(1)		273			298,045			297,772
	87,900		08/31/22		2.013%	3 Month LIBOR(1)		(161,643	)		80,676			242,319
	12,360		11/30/22		1.982%	3 Month LIBOR(1)		217			52,284			52,067
	5,800		12/31/22		1.405%	3 Month LIBOR(1)		181			219,026			218,845
	4,400		12/31/22		1.406%	3 Month LIBOR(1)		174			165,788			165,614
	8,700		12/31/22		1.409%	3 Month LIBOR(1)		197			326,572			326,375
	2,400		12/31/22		1.412%	3 Month LIBOR(1)		163			89,718			89,555
	12,100		12/31/22		1.416%	3 Month LIBOR(1)		216			449,280			449,064
	4,850		12/31/22		1.495%	3 Month LIBOR(1)		177			158,106			157,929
	10,495		05/31/23		1.394%	3 Month LIBOR(1)		207			454,777			454,570
	10,495		05/31/23		1.395%	3 Month LIBOR(1)		208			454,081			453,873
	10,290		05/31/23		1.513%	3 Month LIBOR(1)		206			371,269			371,063
	8,910		05/31/23		1.578%	3 Month LIBOR(1)		(16,958	)		285,974			302,932
	3,950		05/31/23		1.584%	3 Month LIBOR(1)		172			125,448			125,276
	38,325		08/02/23		—(3)	—(3)		(14,022	)		104,320			118,342
	58,445		08/02/23		—(4)	—(4)		2,858			168,597			165,739
	18,580		08/03/23		—(5)	—(5)		(13,138	)		52,220			65,358
	10,920		08/15/23		1.459%	3 Month LIBOR(2)		130			(454,659	)		(454,789	)
	7,400		05/15/37		2.726%	3 Month LIBOR(2)		271			168,688			168,417
	14,685		11/15/41		1.869%	3 Month LIBOR(1)		46,940			2,020,844			1,973,904
	2,905		02/15/42		1.369%	1 Day USOIS(1)		202			466,733			466,531
	1,835		09/27/46		1.380%	1 Day USOIS(1)		183			323,497			323,314
							$	(126,503	)	$	7,475,526		$	7,602,029

Cash of $8,748,000, U.S. Government Agency Obligations, and U.S. Treasury Obligations with a combined market value of $12,484,612 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared credit default and interest rate swap contracts at December 31, 2016.

SEE NOTES TO FINANCIAL STATEMENTS.

A59

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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

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

(3) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps.

(4) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps.

(5) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps.

Total return swap agreements outstanding at December 31, 2016:

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)(1)
OTC total return swap agreements:
Credit Suisse First Boston Corp.		01/12/41		5,231	Pay variable payments based on 1 Month LIBOR and receive fixed payments based on the IOS.FN30.450.10 Index	$	(4,157	)	$	(15,649	)	$	11,492

(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation).

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 December 31, 2016 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	51,503,618		$	—
Non-Residential Mortgage-Backed Securities		—			34,379,083			—
Residential Mortgage-Backed Securities		—			64,171,582			3,440,000
Bank Loans		—			30,160,387			1,509,078
Commercial Mortgage-Backed Securities		—			142,537,703			—
Corporate Bonds		—			472,240,049			—
Non-Corporate Foreign Agencies		—			19,008,000			—
Municipal Bonds		—			19,785,466			—
Residential Mortgage-Backed Securities		—			44,937,455			26,091,730
Sovereign Bonds		—			41,340,265			—
U.S. Government Agency Obligations		—			16,388,501			—
U.S. Treasury Obligations		—			17,225,973			—
Preferred Stocks		2,037,600			—			—
Affiliated Mutual Funds		100,040,422			—			—
Other Financial Instruments*
Futures Contracts		(4,130,393	)		—			—
OTC Forward Foreign Currency Exchange Contracts		—			856,057			—
Centrally Cleared Credit Default Swap Agreements		—			(390,581	)		—
OTC Credit Default Swap Agreements		—			(206,716	)		18,991
OTC Currency Swap Agreements		—			2,692,777			—
Centrally Cleared Interest Rate Swap Agreements		—			7,602,029			—
OTC Total Return Swap Agreement		—			(4,157	)		—
Total	$	97,947,629		$	964,227,491		$	31,059,799

SEE NOTES TO FINANCIAL STATEMENTS.

A60

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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

	Bank Loans			Residential Mortgage-Backed Securities***			Credit Default Swaps
Balance as of 12/31/15	$	—		$	18,076,943		$	2,839
Realized gain (loss)		5,824			75,982			—
Change in unrealized appreciation (depreciation)**		20,740			112,441			16,152
Purchases / Exchanges / Issuances		—			16,094,369			—
Sales/Paydowns		(669,422	)		(9,505,952	)		—
Accrued discount/premium		—			51,082			—
Transfers into Level 3		2,151,936			4,626,865			—
Transfers out of Level 3		—			—			—
Balance as of 12/31/16	$	1,509,078		$	29,531,730		$	18,991

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

** Of which, $152,709 was relating to securities held at the reporting period end.

*** Residential Mortgage-Backed and Asset-Backed Residential Mortgage-Backed Level 3 securities rollforward.

During the period, there were no transfers between Level 1 and Level 2 to report.

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 December 31, 2016		Valuation Methodology		Unobservable Inputs
Bank Loans	$	1,509,078		Market Approach	Single Broker Indicative Quote
Residential Mortgage-Backed Securities		29,531,730		Market Approach	Single Broker Indicative Quote
Credit Default Swap Agreements		18,991		Market Approach	Single Broker Indicative Quote
	$	31,059,799

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

Investments in Securities	Amount Transferred		Level Transfer		Logic
Bank Loans	$	2,151,936		L2 to L3	Multiple Broker Quotes to Single Broker Indicative Quote
Residential Mortgage-Backed Securities	$	4,626,865		L2 to L3	Evaluated Bid to Single Broker Indicative Quote

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):

Commercial Mortgage-Backed Securities	12.9	%
Residential Mortgage-Backed Securities	12.5
Banks	10.2
Affiliated Mutual Funds (including 0.9% of collateral for securities on loan)	9.1
Collateralized Loan Obligations	4.7
Sovereign Bonds	3.7
Media	3.5
Electric	3.5
Non-Residential Mortgage-Backed Securities	3.1
Healthcare-Services	2.5
Insurance	2.1
Telecommunications	1.9
Municipal Bonds	1.8
Non-Corporate Foreign Agencies	1.7
Chemicals	1.6
U.S. Treasury Obligations	1.6

U.S. Government Agency Obligations	1.5	%
Oil & Gas	1.4
Food	1.1
Diversified Financial Services	1.1
Technology	1.0
Home Builders	1.0
Pharmaceuticals	1.0
Software	0.9
Commercial Services	0.8
Auto Manufacturers	0.8
Healthcare-Products	0.7
Retail	0.7
Semiconductors	0.6
Airlines	0.6
Packaging & Containers	0.6
Building Materials	0.5
Computers	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A61

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Industry table (cont.)
Lodging	0.4	%
Mining	0.4
Miscellaneous Manufacturing	0.4
Auto Parts & Equipment	0.4
Machinery-Diversified	0.4
Pipelines	0.3
Real Estate Investment Trusts (REITs)	0.3
Agriculture	0.3
Entertainment	0.3
Forest Products & Paper	0.3
Healthcare & Pharmaceutical	0.3
Biotechnology	0.3
Aerospace & Defense	0.3
Gas	0.2
Retailers	0.2
Multi-National	0.2
Banking	0.2
Transportation Services	0.2
Savings & Loans	0.1
Beverages	0.1

Gaming	0.1	%
Transportation	0.1
IT Services	0.1
Leisure Time	0.1
Automotive	0.1
Office/Business Equipment	0.1
Health Care & Pharmaceutical	0.1
Electronics	0.1
Diversified Manufacturing	0.1
Consumer	0.1
Supermarkets	0.1
Housewares	0.1
Home Furnishings	0.1
Apparel	0.1
Iron/Steel	0.1
Oil & Gas Services	0.1
	98.4
Other assets in excess of liabilities	1.6
	100.0	%

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

Fair values of derivative instruments as of December 31, 2016 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	Due from/to broker—variation margin swaps	$	5,159	*	Due from/to broker—variation margin swaps	$	395,740	*
Credit contracts	Premiums paid for OTC swap agreements		50,673		Premiums received for OTC swap agreements		172,518
Credit contracts	Unrealized appreciation on OTC swap agreements		154,432		Unrealized depreciation on OTC swap agreements		220,312
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		981,642		Unrealized depreciation on OTC forward foreign currency exchange contracts		125,585
Interest rate contracts	Due from/to broker—variation margin futures		146,181	*	Due from/to broker—variation margin futures		4,276,574	*
Interest rate contracts	Due from/to broker—variation margin swaps		10,214,622	*	Due from/to broker—variation margin swaps		2,612,593	*
Interest rate contracts	Premiums paid for OTC swap agreements		37,018		Premiums received for OTC swap agreements		15,649
Interest rate contracts	Unrealized appreciation on OTC swap agreements		2,667,251		—		—
Total		$	14,256,978			$	7,818,971

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

SEE NOTES TO FINANCIAL STATEMENTS.

A62

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair  value	Options Purchased*			Options Written			Futures		Forward Rate Agreements		Forward Contracts**		Swaps			Total
Credit contracts	$	(518,630	)	$	265,120		$	—	$	—	$	—	$	(1,631,610	)	$	(1,885,120	)
Foreign exchange contracts		—			—			—		—		1,522,976		—			1,522,976
Interest rate contracts		(434,072	)		(134,313	)		3,369,998		128,858		—		(6,278,412	)		(3,347,941	)
Total	$	(952,702	)	$	130,807		$	3,369,998	$	128,858	$	1,522,976	$	(7,910,022	)	$	(3,710,085	)

* 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.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair  value	Options Purchased*		Options Written			Futures			Forward Contracts**		Swaps		Total
Credit contracts	$	357,855	$	(209,859	)	$	—		$	—	$	944,847	$	1,092,843
Foreign exchange contracts		—		—			—			493,771		—		493,771
Interest rate contracts		428,204		(284,376	)		(3,552,236	)		—		9,331,414		5,923,006
Total	$	786,059	$	(494,235	)	$	(3,552,236	)	$	493,771	$	10,276,261	$	7,509,620

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

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

For the year ended December 31, 2016, 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)
$527,430	$148,946,000	$823,350,509	$103,673,248	$4,509,743
Forward Foreign Currency Exchange Contracts—Sold(3)	Interest Rate Swap Agreements(4)	Credit Default Swap Agreements Buy Protection(4)	Credit Default Swap Agreements Sell Protection(4)	Currency Swap Agreements(4)
$26,204,359	$978,491,000	$18,970,000	$52,294,000	$45,268,000
		Total Return Swap Agreements(4)
		$17,779,000

(1) Cost.

(2) Value at Trade Date.

(3) Value at Settlement Date.

(4) Notional Amount in USD.

The Portfolio invested in OTC derivatives and entered into other financial transactions 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 and other financial transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial transactions assets and liabilities:

Description	Gross Amounts of Recognized Assets(3)		Collateral Received			Net Amount
Securities on Loan	$	9,861,400	$	(9,861,400	)	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A63

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset			Collateral Received			Net Amount
BNP Paribas	$	18,341	$	—		$	—		$	18,341
Citigroup Global Markets		558,728		—			(424,000	)		134,728
Credit Suisse First Boston Corp.		11,492		(11,492	)		—			—
Deutsche Bank AG		741,412		—			(700,918	)		40,494
Goldman Sachs & Co.		878,727		(18,312	)		—			860,415
Hong Kong & Shanghai Bank		209,463		—			—			209,463
JPMorgan Chase		1,289,881		(220,119	)		(1,042,052	)		27,710
Morgan Stanley		135,248		(135,248	)		—			—
Toronto Dominion		—		—			—			—
UBS AG		47,724		(47,724	)		—			—
	$	3,891,016

Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged		Net Amount
BNP Paribas	$	—		$	—	$	—	$	—
Citigroup Global Markets		—			—		—		—
Credit Suisse First Boston Corp.		(15,649	)		11,492		—		(4,157	)
Deutsche Bank AG		—			—		—		—
Goldman Sachs & Co.		(18,312	)		18,312		—		—
Hong Kong & Shanghai Bank		—			—		—		—
JPMorgan Chase		(220,119	)		220,119		—		—
Morgan Stanley		(172,518	)		135,248		—		(37,270	)
Toronto Dominion		(39,216	)		—		—		(39,216	)
UBS AG		(68,250	)		47,724		—		(20,526	)
	$	(534,064	)

(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) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

A64

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2016

ASSETS
Investments at value, including securities on loan of $9,861,400:
Unaffiliated investments (cost $969,576,022)	$	986,756,490
Affiliated investments (cost $103,890,836)		100,040,422
Cash		1,815,642
Foreign currency, at value (cost $181,085)		182,192
Dividends and interest receivable		9,032,117
Deposit with broker for centrally cleared swaps		8,748,000
Deposit with broker for futures		3,010,000
Unrealized appreciation on OTC swap agreements		2,821,683
Due from broker—variation margin futures		2,053,122
Unrealized appreciation on OTC forward foreign currency exchange contracts		981,642
Receivable for investments sold		487,002
Premiums paid for OTC swap agreements		87,691
Tax reclaim receivable		51,758
Receivable for Series shares sold		48,410
Prepaid expenses		8,794
Total Assets		1,116,124,965
LIABILITIES
Payable to broker for collateral for securities on loan		10,066,753
Management fee payable		372,267
Due to broker—variation margin swaps		289,026
Unrealized depreciation on OTC swap agreements		220,312
Premium received for OTC swap agreements		188,167
Unrealized depreciation on OTC forward foreign currency exchange contracts		125,585
Accrued expenses and other liabilities		121,294
Payable for investments purchased		120,961
Payable for Series shares repurchased		39,804
Deferred trustees’ fees		1,047
Affiliated transfer agent fee payable		980
Loan interest payable		151
Total Liabilities		11,546,347
NET ASSETS	$	1,104,578,618
Net assets were comprised of:
Paid-in capital	$	946,610,460
Retained earnings		157,968,158
Net assets, December 31, 2016	$	1,104,578,618
Net asset value and redemption price per share $1,104,578,618 / 89,941,589 outstanding shares of beneficial interest	$	12.28

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income (net of foreign withholding taxes of $4,383)	$	42,468,723
Affiliated dividend income		1,683,782
Unaffiliated dividend income		111,476
Income from securities lending, net (including affiliated of $93,198)		99,115
Total income		44,363,096
EXPENSES
Management fee		4,482,241
Custodian and accounting fees (net of $8,800 fee credit)		184,000
Shareholders’ reports		106,000
Audit fee		58,000
Trustees’ fees		21,000
Insurance expenses		13,000
Transfer agent’s fees and expenses (including affiliated expense of $5,900)		12,000
Legal fees and expenses		10,000
Loan interest expense		160
Miscellaneous		10,997
Total expenses		4,897,398
NET INVESTMENT INCOME (LOSS)		39,465,698
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(394,871))		(817,002	)
Futures transactions		3,369,998
Options written transactions		130,807
Forward rate agreement transactions		128,858
Swap agreement transactions		(7,910,022	)
Foreign currency transactions		1,749,403
		(3,347,958	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $393,515)		16,997,966
Futures		(3,552,236	)
Options written		(494,235	)
Swap agreements		10,276,261
Foreign currencies		366,248
		23,594,004
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		20,246,046
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	59,711,744

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	39,465,698		$	37,422,495
Net realized gain (loss) on investment and foreign currency transactions		(3,347,958	)		6,161,154
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		23,594,004			(45,769,143	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		59,711,744			(2,185,494	)
SERIES SHARE TRANSACTIONS
Series shares sold [2,764,375 and 8,670,539 shares, respectively]		34,011,481			101,626,083
Series shares repurchased [6,055,908 and 7,014,473 shares, respectively]		(74,059,176	)		(82,418,630	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(40,047,695	)		19,207,453
CAPITAL CONTRIBUTIONS (Note 4)		20,597			—
TOTAL INCREASE (DECREASE)		19,684,646			17,021,959
NET ASSETS:
Beginning of year		1,084,893,972			1,067,872,013
End of year	$	1,104,578,618		$	1,084,893,972

SEE NOTES TO FINANCIAL STATEMENTS.

A65

	EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS		as of December 31, 2016

LONG-TERM INVESTMENTS — 98.1%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.0%
Boeing Co. (The)		223,500	$	34,794,480
United Technologies Corp.		353,316		38,730,500
				73,524,980
Air Freight & Logistics — 0.7%
FedEx Corp.		137,552		25,612,182
Automobiles — 0.5%
Tesla Motors, Inc.*(a)		88,564		18,925,241
Banks — 9.3%
Bank of America Corp.		2,675,677		59,132,462
BB&T Corp.		783,808		36,854,652
Citigroup, Inc.		920,153		54,684,693
JPMorgan Chase & Co.		1,348,342		116,348,431
PNC Financial Services Group, Inc. (The)		396,938		46,425,868
Wells Fargo & Co.		628,123		34,615,859
				348,061,965
Beverages — 0.6%
Monster Beverage Corp.*		503,201		22,311,932
Biotechnology — 5.6%
Alexion Pharmaceuticals, Inc.*		252,458		30,888,236
BioMarin Pharmaceutical, Inc.*		247,779		20,526,012
Celgene Corp.*		523,807		60,630,660
Regeneron Pharmaceuticals, Inc.*		85,688		31,455,208
Shire PLC, ADR		394,262		67,174,360
				210,674,476
Capital Markets — 2.8%
Goldman Sachs Group, Inc. (The)		432,367		103,530,278
Chemicals — 1.5%
Dow Chemical Co. (The)		450,936		25,802,558
FMC Corp.		553,391		31,299,795
				57,102,353
Communications Equipment — 0.5%
Palo Alto Networks, Inc.*(a)		155,722		19,473,036
Consumer Finance — 2.0%
Capital One Financial Corp.		441,465		38,513,407
SLM Corp.*		3,430,362		37,802,589
				76,315,996
Diversified Financial Services — 0.5%
Voya Financial, Inc.		492,407		19,312,203
Electric Utilities — 1.8%
Exelon Corp.		408,139		14,484,853
PG&E Corp.		855,791		52,006,419
				66,491,272
Electrical Equipment — 0.8%
Eaton Corp. PLC		450,412		30,218,141
Electronic Equipment, Instruments & Components — 1.0%
Flex Ltd.*		2,489,691		35,776,860
Energy Equipment & Services — 2.3%
Halliburton Co.(a)		1,602,068		86,655,858
Equity Real Estate Investment Trusts (REITs) — 0.6%
American Tower Corp.		220,753		23,329,177

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing — 1.6%
Costco Wholesale Corp.		200,370	$	32,081,241
Wal-Mart Stores, Inc.		395,129		27,311,316
				59,392,557
Food Products — 1.6%
ConAgra Foods, Inc.		813,870		32,188,559
Mondelez International, Inc. (Class A Stock)		645,395		28,610,360
				60,798,919
Health Care Equipment & Supplies — 0.7%
Zimmer Biomet Holdings, Inc.		245,413		25,326,622
Health Care Providers & Services — 1.5%
Cigna Corp.		215,116		28,694,323
Laboratory Corp. of America Holdings*		219,616		28,194,302
				56,888,625
Hotels, Restaurants & Leisure — 4.0%
Carnival Corp.		706,022		36,755,505
Marriott International, Inc. (Class A Stock)		644,583		53,294,122
McDonald’s Corp.		215,586		26,241,128
Starbucks Corp.		619,749		34,408,465
				150,699,220
Household Products — 1.2%
Procter & Gamble Co. (The)		531,330		44,674,226
Industrial Conglomerates — 1.1%
General Electric Co.		1,349,085		42,631,086
Insurance — 2.1%
Chubb Ltd.		371,411		49,070,821
MetLife, Inc.		545,414		29,392,361
				78,463,182
Internet & Direct Marketing Retail — 4.9%
Amazon.com, Inc.*		145,893		109,400,784
Netflix, Inc.*		317,159		39,264,284
Priceline Group, Inc. (The)*		24,342		35,686,833
				184,351,901
Internet Software & Services — 9.9%
Alibaba Group Holding Ltd. (China), ADR*(a)		630,950		55,403,720
Alphabet, Inc. (Class A Stock)*		102,514		81,237,219
Alphabet, Inc. (Class C Stock)*		74,674		57,634,887
eBay, Inc.*		1,105,186		32,812,972
Facebook, Inc. (Class A Stock)*		716,002		82,376,030
Tencent Holdings Ltd. (China)		2,467,503		59,829,827
				369,294,655
IT Services — 2.9%
MasterCard, Inc. (Class A Stock)		529,693		54,690,802
Visa, Inc. (Class A Stock)(a)		688,476		53,714,898
				108,405,700
Machinery — 0.3%
Parker-Hannifin Corp.		78,533		10,994,620

SEE NOTES TO FINANCIAL STATEMENTS.

A66

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media — 2.0%
Charter Communications, Inc. (Class A Stock)*		74,965	$	21,583,923
Comcast Corp. (Class A Stock)		567,743		39,202,654
Twenty-First Century Fox, Inc. (Class A Stock)		508,040		14,245,442
				75,032,019
Oil, Gas & Consumable Fuels — 6.5%
Anadarko Petroleum Corp.		277,508		19,350,633
Chevron Corp.		571,052		67,212,820
Concho Resources, Inc.*		265,393		35,191,112
EOG Resources, Inc.		170,952		17,283,247
Noble Energy, Inc.		679,410		25,858,345
Occidental Petroleum Corp.		566,880		40,378,862
Suncor Energy, Inc. (Canada)		1,158,063		37,864,645
				243,139,664
Pharmaceuticals — 4.5%
Allergan PLC*(a)		134,022		28,145,960
Bristol-Myers Squibb Co.		639,148		37,351,809
Eli Lilly & Co.		206,804		15,210,434
Merck & Co., Inc.		758,760		44,668,201
Pfizer, Inc.		1,316,280		42,752,775
				168,129,179
Road & Rail — 0.5%
Ryder System, Inc.		237,420		17,673,545
Semiconductors & Semiconductor Equipment — 5.0%
Analog Devices, Inc.		249,110		18,090,368
NVIDIA Corp.(a)		596,128		63,630,703
QUALCOMM, Inc.		1,092,542		71,233,738
Texas Instruments, Inc.		481,631		35,144,614
				188,099,423
Software — 8.0%
Adobe Systems, Inc.*		519,900		53,523,705
Microsoft Corp.		1,921,311		119,390,266
PTC, Inc.*		740,007		34,240,124
salesforce.com, Inc.*		640,315		43,835,965
Splunk, Inc.*(a)		449,988		23,016,886
Workday, Inc. (Class A Stock)*(a)		362,801		23,977,518
				297,984,464
Specialty Retail — 2.1%
Industria de Diseno Textil SA (Spain), ADR		2,693,274		45,704,860
O’Reilly Automotive, Inc.*(a)		116,650		32,476,526
				78,181,386
Technology Hardware, Storage & Peripherals — 2.4%
Apple, Inc.		781,905		90,560,237
Textiles, Apparel & Luxury Goods — 2.0%
adidas AG (Germany), ADR(a)		534,382		41,975,706
Coach, Inc.		888,793		31,125,531
				73,101,237

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 0.8%
Vodafone Group PLC (United Kingdom), ADR		1,172,370	$	28,640,999
TOTAL LONG-TERM INVESTMENTS (cost $2,709,437,236)				3,669,779,416
SHORT-TERM INVESTMENTS — 11.3%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(b)		83,702,783		83,702,783
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $340,087,956; includes $339,889,748 of cash collateral for securities on loan)(b)(c)		340,076,342		340,144,358
TOTAL SHORT-TERM INVESTMENTS (cost $423,790,739)(Note 4)				423,847,141
TOTAL INVESTMENTS — 109.4% (cost $3,133,227,975)				4,093,626,557
LIABILITIES IN EXCESS OF OTHER ASSETS — (9.4)%				(350,235,586	)
NET ASSETS — 100.0%			$	3,743,390,971

See the Glossary for abbreviations used in the annual report.

* 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 $329,720,861; cash collateral of $339,889,748 (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 Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund.

(c) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

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.

A67

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	73,524,980	$	—	$	—
Air Freight & Logistics		25,612,182		—		—
Automobiles		18,925,241		—		—
Banks		348,061,965		—		—
Beverages		22,311,932		—		—
Biotechnology		210,674,476		—		—
Capital Markets		103,530,278		—		—
Chemicals		57,102,353		—		—
Communications Equipment		19,473,036		—		—
Consumer Finance		76,315,996		—		—
Diversified Financial Services		19,312,203		—		—
Electric Utilities		66,491,272		—		—
Electrical Equipment		30,218,141		—		—
Electronic Equipment, Instruments & Components		35,776,860		—		—
Energy Equipment & Services		86,655,858		—		—
Equity Real Estate Investment Trusts (REITs)		23,329,177		—		—
Food & Staples Retailing		59,392,557		—		—
Food Products		60,798,919		—		—
Health Care Equipment & Supplies		25,326,622		—		—
Health Care Providers & Services		56,888,625		—		—
Hotels, Restaurants & Leisure		150,699,220		—		—
Household Products		44,674,226		—		—
Industrial Conglomerates		42,631,086		—		—
Insurance		78,463,182		—		—
Internet & Direct Marketing Retail		184,351,901		—		—
Internet Software & Services		309,464,828		59,829,827		—
IT Services		108,405,700		—		—
Machinery		10,994,620		—		—
Media		75,032,019		—		—
Oil, Gas & Consumable Fuels		243,139,664		—		—
Pharmaceuticals		168,129,179		—		—
Road & Rail		17,673,545		—		—
Semiconductors & Semiconductor Equipment		188,099,423		—		—
Software		297,984,464		—		—
Specialty Retail		78,181,386		—		—
Technology Hardware, Storage & Peripherals		90,560,237		—		—
Textiles, Apparel & Luxury Goods		73,101,237		—		—
Wireless Telecommunication Services		28,640,999		—		—
Affiliated Mutual Funds		423,847,141		—		—
Total	$	4,033,796,730	$	59,829,827	$	—

During the period, there were no transfers between Level 1 and Level 2 to report.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):

Affiliated Mutual Funds (including 9.1% of collateral for securities on loan)	11.3	%
Internet Software & Services	9.9
Banks	9.3
Software	8.0
Oil, Gas & Consumable Fuels	6.5
Biotechnology	5.6
Semiconductors & Semiconductor Equipment	5.0
Internet & Direct Marketing Retail	4.9
Pharmaceuticals	4.5
Hotels, Restaurants & Leisure	4.0
IT Services	2.9

Capital Markets	2.8	%
Technology Hardware, Storage & Peripherals	2.4
Energy Equipment & Services	2.3
Insurance	2.1
Specialty Retail	2.1
Consumer Finance	2.0
Media	2.0
Aerospace & Defense	2.0
Textiles, Apparel & Luxury Goods	2.0
Electric Utilities	1.8
Food Products	1.6
Food & Staples Retailing	1.6

SEE NOTES TO FINANCIAL STATEMENTS.

A68

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Industry table (cont.)
Chemicals	1.5	%
Health Care Providers & Services	1.5
Household Products	1.2
Industrial Conglomerates	1.1
Electronic Equipment, Instruments & Components	1.0
Electrical Equipment	0.8
Wireless Telecommunication Services	0.8
Air Freight & Logistics	0.7
Health Care Equipment & Supplies	0.7
Equity Real Estate Investment Trusts (REITs)	0.6

Beverages	0.6	%
Communications Equipment	0.5
Diversified Financial Services	0.5
Automobiles	0.5
Road & Rail	0.5
Machinery	0.3
	109.4
Liabilities in excess of other assets	(9.4	)
	100.0	%

The Portfolio entered into financial transactions 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 financial transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial transactions assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received			Net Amount
Securities on Loan	$	329,720,861	$	(329,720,861	)	$	—

(1) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

A69

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2016

ASSETS
Investments at value, including securities on loan of $329,720,861:
Unaffiliated investments (cost $2,709,437,236)	$	3,669,779,416
Affiliated investments (cost $423,790,739)		423,847,141
Dividends receivable		3,624,376
Tax reclaim receivable		1,551,067
Receivable for Series shares sold		11,787
Prepaid expenses		27,382
Total assets		4,098,841,169
LIABILITIES
Payable to broker for collateral for securities on loan		339,889,748
Payable for investments purchased		13,180,477
Management fee payable		1,435,010
Payable for Series shares repurchased		595,536
Accrued expenses and other liabilities		347,514
Affiliated transfer agent fee payable		980
Distribution fee payable		391
Administration fee payable		311
Deferred trustees’ fees		231
Total liabilities		355,450,198
NET ASSETS	$	3,743,390,971
Net assets were comprised of:
Paid-in capital	$	1,656,568,389
Retained earnings		2,086,822,582
Net assets, December 31, 2016	$	3,743,390,971
Class I:
Net asset value and redemption price per share $3,741,686,294 / 91,346,503 outstanding shares of beneficial interest	$	40.96
Class II:
Net asset value and redemption price per share $1,704,677 / 41,838 outstanding shares of beneficial interest	$	40.74

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $696,529)	$	50,864,127
Income from securities lending, net (including affiliated: $1,491,131)		2,172,835
Affiliated dividend income		444,656
Total income		53,481,618
EXPENSES
Management fee		16,276,223
Distribution fee—Class II		4,541
Administration fee—Class II		2,710
Custodian and accounting fees		426,000
Shareholders’ reports		263,000
Insurance expenses		46,000
Trustees’ fees		42,000
Audit fee		27,000
Legal fees and expenses		15,000
Transfer agent’s fees and expenses (including affiliated expense of $5,900)		12,000
Commitment fee on syndicated credit agreement		6,000
Miscellaneous		17,761
Total expenses		17,138,235
NET INVESTMENT INCOME (LOSS)		36,343,383
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $14,839)		217,865,740
Foreign currency transactions		10,656
		217,876,396
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $56,402)		(128,105,402	)
Foreign currencies		7,087
		(128,098,315	)
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		89,778,081
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	126,121,464

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	36,343,383		$	34,018,287
Net realized gain (loss) on investment and foreign currency transactions		217,876,396			164,739,137
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(128,098,315	)		(104,802,733	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		126,121,464			93,954,691
SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		9,112,648			11,599,955
Series shares repurchased		(243,276,531	)		(277,235,158	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(234,163,883	)		(265,635,203	)
CAPITAL CONTRIBUTIONS (Note 4)		3,315,979			—
TOTAL INCREASE (DECREASE)		(104,726,440	)		(171,680,512	)
NET ASSETS:
Beginning of year		3,848,117,411			4,019,797,923
End of year	$	3,743,390,971		$	3,848,117,411

SEE NOTES TO FINANCIAL STATEMENTS.

A70

	FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS		as of December 31, 2016

LONG-TERM INVESTMENTS — 93.9%			Value (Note 2)
COMMON STOCKS — 62.2%	Shares
Aerospace & Defense — 1.9%
BAE Systems PLC (United Kingdom)		9,581	$	69,688
Boeing Co. (The)		78,800		12,267,584
BWX Technologies, Inc.		87,200		3,461,840
General Dynamics Corp.		56,500		9,755,290
Huntington Ingalls Industries, Inc.		68,300		12,580,177
Lockheed Martin Corp.		59,200		14,796,448
Northrop Grumman Corp.		42,500		9,884,650
Spirit AeroSystems Holdings, Inc. (Class A Stock)		129,300		7,544,655
Textron, Inc.		4,900		237,944
Thales SA (France)		2,763		267,683
United Technologies Corp.		15,700		1,721,034
				72,586,993
Air Freight & Logistics — 0.5%
Deutsche Post AG (Germany)		6,890		225,959
FedEx Corp.		97,600		18,173,120
				18,399,079
Airlines — 0.5%
Deutsche Lufthansa AG (Germany)		17,155		221,141
International Consolidated Airlines Group SA (United Kingdom)		2,273		12,245
Singapore Airlines Ltd. (Singapore)		2,100		13,990
Southwest Airlines Co.		390,800		19,477,472
United Continental Holdings, Inc.*		21,200		1,545,056
				21,269,904
Auto Components — 0.4%
Aisin Seiki Co. Ltd. (Japan)		1,300		56,250
Cie Generale des Etablissements Michelin (France)		2,598		288,792
Continental AG (Germany)		330		63,577
Cooper-Standard Holding, Inc.*		29,400		3,039,372
Dana Holding Corp.		81,400		1,544,972
GKN PLC (United Kingdom)		8,424		34,335
Koito Manufacturing Co. Ltd. (Japan)		300		15,843
Lear Corp.		78,300		10,364,571
Valeo SA (France)		715		41,047
				15,448,759
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		1,277		118,935
Ferrari NV (Italy)		347		20,203
Fiat Chrysler Automobiles NV (United Kingdom)		2,674		24,325
Ford Motor Co.		919,300		11,151,109
Fuji Heavy Industries Ltd. (Japan)		1,900		77,414
Honda Motor Co. Ltd. (Japan)		5,000		145,977
Mazda Motor Corp. (Japan)		1,600		26,054
Mitsubishi Motors Corp. (Japan)		5,300		30,128
Nissan Motor Co. Ltd. (Japan)		7,600		76,237
Peugeot SA (France)*		13,902		226,425
Suzuki Motor Corp. (Japan)		7,700		270,338
Thor Industries, Inc.		10,000		1,000,500
Toyota Motor Corp. (Japan)		7,000		410,399
Volkswagen AG (Germany)		91		13,061
				13,591,105

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks — 4.8%
Abn Amro Group NV (Netherlands), 144A		850	$	18,821
Aozora Bank Ltd. (Japan)		4,000		14,133
Bank Hapoalim BM (Israel)		34,253		203,309
Bank of America Corp.		2,072,500		45,802,250
Bendigo & Adelaide Bank Ltd. (Australia)		27,922		255,424
BNP Paribas SA (France)		7,735		492,241
BOC Hong Kong Holdings Ltd. (Hong Kong)		76,500		272,459
Chiba Bank Ltd. (The) (Japan)		2,000		12,260
Citigroup, Inc.		616,100		36,614,823
Commonwealth Bank of Australia (Australia)		1,398		82,935
Concordia Financial Group Ltd. (Japan)		3,400		16,361
Credit Agricole SA (France)		28,051		347,236
DBS Group Holdings Ltd. (Singapore)		5,400		64,427
DNB ASA (Norway)		3,003		44,581
Erste Group Bank AG (Austria)		928		27,132
Fukuoka Financial Group, Inc. (Japan)		22,000		97,570
Hiroshima Bank Ltd. (The) (Japan)		2,000		9,320
HSBC Holdings PLC (United Kingdom)		90,563		730,722
ING Groep NV , CVA (Netherlands)		32,794		461,700
Intesa Sanpaolo SpA (Italy)		36,407		92,224
Intesa Sanpaolo SpA, RSP (Italy)		2,701		6,326
JPMorgan Chase & Co.		619,894		53,490,653
KBC Groep NV (Belgium)		202		12,481
Kyushu Financial Group, Inc. (Japan)		1,100		7,453
Lloyds Banking Group PLC (United Kingdom)		195,417		150,057
Mebuki Financial Group, Inc. (Japan)		2,850		10,533
Mediobanca SpA (Italy)		24,619		200,500
Mitsubishi UFJ Financial Group, Inc. (Japan)		2,800		17,269
Mizuho Financial Group, Inc. (Japan)		71,600		128,489
National Australia Bank Ltd. (Australia)		1,107		24,452
PNC Financial Services Group, Inc. (The)		181,800		21,263,328
Resona Holdings, Inc. (Japan)		6,800		34,850
Societe Generale SA (France)		8,701		427,976
Sumitomo Mitsui Financial Group, Inc. (Japan)		4,000		152,332
SunTrust Banks, Inc.		71,200		3,905,320
Svenska Handelsbanken AB (Sweden) (Class A Stock)		4,656		64,488
Swedbank AB (Sweden) (Class A Stock)		2,767		66,670
UniCredit SpA (Italy)		15,629		44,883
Wells Fargo & Co.		346,112		19,074,232
Westpac Banking Corp. (Australia)		650		15,258
				184,757,478

SEE NOTES TO FINANCIAL STATEMENTS.

A71

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages — 1.3%
Anheuser-Busch InBev SA/NV (Belgium)		390	$	41,279
Asahi Group Holdings Ltd. (Japan)		1,100		34,634
Coca-Cola Amatil Ltd. (Australia)		32,744		238,801
Coca-Cola European Partners PLC (United Kingdom)		644		20,326
Diageo PLC (United Kingdom)		16,817		436,401
Dr. Pepper Snapple Group, Inc.		162,900		14,770,143
PepsiCo, Inc.		320,120		33,494,156
				49,035,740
Biotechnology — 2.0%
Actelion Ltd. (Switzerland)		299		64,616
Amgen, Inc.		153,408		22,429,784
Biogen Idec, Inc.*		49,000		13,895,420
Celgene Corp.*		201,200		23,288,900
Gilead Sciences, Inc.		267,700		19,169,997
				78,848,717
Building Products — 0.1%
Asahi Glass Co. Ltd. (Japan)		43,000		291,740
Continental Building Products, Inc.*		54,600		1,261,260
Daikin Industries Ltd. (Japan)		700		64,126
Universal Forest Products, Inc.		24,800		2,534,064
				4,151,190
Capital Markets — 1.5%
3i Group PLC (United Kingdom)		35,139		303,968
Aberdeen Asset Management PLC (United Kingdom)		2,747		8,685
Ameriprise Financial, Inc.		45,100		5,003,394
ASX Ltd. (Australia)		600		21,495
BlackRock, Inc.		9,100		3,462,914
Goldman Sachs Group, Inc. (The)		121,100		28,997,395
Invesco Ltd.		66,500		2,017,610
Macquarie Group Ltd. (Australia)		5,349		335,073
Morgan Stanley		139,400		5,889,650
Partners Group Holding AG (Switzerland)		106		49,623
Raymond James Financial, Inc.		116,400		8,063,028
Schroders PLC (United Kingdom)		406		14,912
State Street Corp.		47,200		3,668,384
UBS Group AG (Switzerland)		11,166		174,586
				58,010,717
Chemicals — 0.9%
AdvanSix, Inc.*		7,116		157,548
Arkema SA (France)		201		19,648
Asahi Kasei Corp. (Japan)		3,000		26,104
BASF SE (Germany)		2,815		260,885
Celanese Corp. Series A		64,100		5,047,234
Chemours Co. (The)		163,400		3,609,506
Covestro AG (Germany), 144A		551		37,715
Croda International PLC (United Kingdom)		401		15,771
Daicel Corp. (Japan)		17,900		196,794
Evonik Industries AG (Germany)		625		18,631
GCP Applied Technologies, Inc.*		26,600		711,550
Givaudan SA (Switzerland)		35		64,056

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Hitachi Chemical Co. Ltd. (Japan)		300	$	7,484
Johnson Matthey PLC (United Kingdom)		594		23,242
K+S AG (Germany)		585		13,935
Kuraray Co. Ltd. (Japan)		1,000		14,996
LyondellBasell Industries NV (Class A Stock)		200,100		17,164,578
Mitsubishi Chemical Holdings Corp. (Japan)		3,600		23,276
Mitsubishi Gas Chemical Co., Inc. (Japan)		11,700		199,361
Mitsui Chemicals, Inc. (Japan)		2,000		8,961
PPG Industries, Inc.		53,000		5,022,280
Shin-Etsu Chemical Co. Ltd. (Japan)		1,200		92,867
Sika AG (Switzerland)		5		23,989
Solvay SA (Belgium)		214		25,018
Teijin Ltd. (Japan)		400		8,082
Toray Industries, Inc. (Japan)		4,000		32,302
Trinseo SA		5,000		296,500
Westlake Chemical Corp.		45,700		2,558,743
Yara International ASA (Norway)		5,105		200,826
				35,881,882
Commercial Services & Supplies — 0.1%
Brink’s Co. (The)		20,400		841,500
Herman Miller, Inc.		25,900		885,780
Steelcase, Inc. (Class A Stock)		169,600		3,035,840
				4,763,120
Communications Equipment — 0.6%
Cisco Systems, Inc.		609,800		18,428,156
F5 Networks, Inc.*		38,400		5,557,248
				23,985,404
Construction & Engineering — 0.2%
Argan, Inc.		27,200		1,918,960
Eiffage SA (France)		182		12,677
EMCOR Group, Inc.		53,100		3,757,356
Kajima Corp. (Japan)		35,000		241,749
MasTec, Inc.*		40,300		1,541,475
Obayashi Corp. (Japan)		26,200		250,140
Shimizu Corp. (Japan)		6,000		54,768
Skanska AB (Sweden) (Class B Stock)		1,065		25,075
Taisei Corp. (Japan)		11,000		76,813
				7,879,013
Construction Materials
Fletcher Building Ltd. (New Zealand)		1,986		14,593
HeidelbergCement AG (Germany)		406		37,790
				52,383
Consumer Finance — 0.6%
Capital One Financial Corp.		56,200		4,902,888
Discover Financial Services		42,100		3,034,989
Synchrony Financial		446,600		16,198,182
				24,136,059

SEE NOTES TO FINANCIAL STATEMENTS.

A72

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Containers & Packaging — 0.2%
Amcor Ltd. (Australia)		3,536	$	38,057
Greif, Inc. (Class A Stock)		37,400		1,918,994
Owens-Illinois, Inc.*		232,900		4,054,789
				6,011,840
Distributors
Jardine Cycle & Carriage Ltd. (Singapore)		4,100		116,440
Diversified Financial Services — 0.7%
Berkshire Hathaway, Inc. (Class B Stock)*		160,900		26,223,482
Challenger Ltd. (Australia)		8,862		71,604
Investor AB (Sweden) (Class B Stock)		4,787		178,364
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		1,400		7,221
ORIX Corp. (Japan)		17,300		269,262
				26,749,933
Diversified Telecommunication Services — 2.1%
AT&T, Inc.		1,014,520		43,147,536
Deutsche Telekom AG (Germany)		10,156		174,249
Nippon Telegraph & Telephone Corp. (Japan)		7,700		324,133
Orange SA (France)		5,798		87,921
Telecom Italia SpA (Italy)*		65,746		58,050
Telecom Italia SpA (Italy)		353,674		256,695
Telefonica SA (Spain)		13,765		127,084
Verizon Communications, Inc.		731,488		39,046,829
				83,222,497
Electric Utilities — 1.6%
American Electric Power Co., Inc.		254,400		16,017,024
AusNet Services (Australia)		5,286		6,018
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		1,000		7,942
Chubu Electric Power Co., Inc. (Japan)		1,900		26,439
Chugoku Electric Power Co., Inc. (The) (Japan)		800		9,364
CLP Holdings Ltd. (Hong Kong)		8,000		73,367
Duke Energy Corp.		196,900		15,283,378
EDP-Energias de Portugal SA (Portugal)		46,235		140,719
Electricite de France (France)		763		7,763
Enel SpA (Italy)		81,879		359,917
Exelon Corp.		289,100		10,260,159
FirstEnergy Corp.		215,700		6,680,229
Hokuriku Electric Power Co. (Japan)		400		4,474
Iberdrola SA (Spain)		16,274		106,561
Kansai Electric Power Co., Inc. (The) (Japan)*		2,000		21,803
Kyushu Electric Power Co., Inc. (Japan)		1,200		13,000
PPL Corp.		394,300		13,425,915
Red Electrica Corp. SA (Spain)		1,262		23,776
Shikoku Electric Power Co., Inc. (Japan)		1,200		12,127

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
SSE PLC (United Kingdom)		2,935	$	56,041
Terna Rete Elettrica Nazionale SpA (Italy)		4,613		21,097
Tohoku Electric Power Co., Inc. (Japan)		1,300		16,388
Tokyo Electric Power Co., Inc. (Japan)*		4,200		16,904
				62,590,405
Electrical Equipment — 0.3%
Emerson Electric Co.		140,600		7,838,450
EnerSys		22,600		1,765,060
Nidec Corp. (Japan)		700		60,263
Regal Beloit Corp.		500		34,625
Vestas Wind Systems A/S (Denmark)		3,917		253,683
				9,952,081
Electronic Equipment, Instruments & Components
Hitachi High-Technologies Corp. (Japan)		5,700		229,256
Hitachi Ltd. (Japan)		15,000		80,882
TDK Corp. (Japan)		3,500		239,989
				550,127
Energy Equipment & Services — 0.3%
Ensco PLC (Class A Stock)		810,700		7,880,004
McDermott International, Inc.*		144,800		1,070,072
Unit Corp.*		67,300		1,808,351
				10,758,427
Equity Real Estate Investment Trusts (REITs) — 1.3%
Apple Hospitality REIT, Inc.		24,100		481,518
CoreCivic, Inc.		55,200		1,350,192
Crown Castle International Corp.		109,800		9,527,346
Dexus Property Group (Australia)		4,998		34,672
Forest City Realty Trust, Inc. (Class A Stock)		161,000		3,355,240
Franklin Street Properties Corp.		82,100		1,064,016
GEO Group, Inc. (The)(a)		168,900		6,068,577
HCP, Inc.(a)		95,900		2,850,148
Land Securities Group PLC (United Kingdom)		2,407		31,621
Link REIT (The) (Hong Kong)		7,000		45,382
Mirvac Group (Australia)		154,867		237,829
Prologis, Inc.		196,600		10,378,514
Ryman Hospitality Properties, Inc.		44,800		2,822,848
Simon Property Group, Inc.		34,700		6,165,149
Unibail-Rodamco SE (France)		309		73,636
VEREIT, Inc.		451,100		3,816,306
WP Carey, Inc.		20,000		1,181,800
				49,484,794
Food & Staples Retailing — 1.2%
Carrefour SA (France)		1,445		34,790
Distribuidora Internacional de Alimentacion SA (Spain)		1,871		9,176
ICA Gruppen AB (Sweden)		8,166		248,556
J. Sainsbury PLC (United Kingdom)		92,828		285,304
Kroger Co. (The)		338,900		11,695,439

SEE NOTES TO FINANCIAL STATEMENTS.

A73

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing (continued)
METRO AG (Germany)		7,879	$	261,876
Wal-Mart Stores, Inc.		362,600		25,062,912
Walgreens Boots Alliance, Inc.		97,400		8,060,824
Wesfarmers Ltd. (Australia)		408		12,384
				45,671,261
Food Products — 1.4%
Archer-Daniels-Midland Co.		46,000		2,099,900
Bunge Ltd.		108,800		7,859,712
ConAgra Foods, Inc.		256,000		10,124,800
Fresh Del Monte Produce, Inc.		5,300		321,339
General Mills, Inc.		189,900		11,730,123
J.M. Smucker Co. (The)		16,600		2,125,796
Marine Harvest ASA (Norway)		16,965		306,736
MEIJI Holdings Co. Ltd. (Japan)		300		23,468
Nestle SA (Switzerland)		7,545		540,506
Sanderson Farms, Inc.(a)		56,100		5,286,864
Tate & Lyle PLC (United Kingdom)		1,387		12,071
Tyson Foods, Inc. (Class A Stock)		246,300		15,191,784
WH Group Ltd. (Hong Kong), 144A		334,000		269,236
Wilmar International Ltd. (Singapore)		17,300		42,739
				55,935,074
Gas Utilities — 0.1%
Enagas SA (Spain)		691		17,512
Gas Natural SDG SA (Spain)		1,223		23,009
Tokyo Gas Co. Ltd. (Japan)		2,000		9,028
UGI Corp.		117,000		5,391,360
				5,440,909
Health Care Equipment & Supplies — 2.0%
Abbott Laboratories		414,800		15,932,468
Baxter International, Inc.		310,900		13,785,306
Becton Dickinson and Co.		38,200		6,324,010
Boston Scientific Corp.*		340,100		7,356,363
C.R. Bard, Inc.		38,300		8,604,478
Cochlear Ltd. (Australia)		175		15,446
Danaher Corp.		159,200		12,392,128
Hologic, Inc.*		297,000		11,915,640
				76,325,839
Health Care Providers & Services — 1.7%
Alfresa Holdings Corp. (Japan)		12,800		211,417
Anthem, Inc.		87,200		12,536,744
Express Scripts Holding Co.*		248,500		17,094,315
Fresenius SE & Co. KGaA (Germany)		244		19,035
McKesson Corp.		39,300		5,519,685
Medipal Holdings Corp. (Japan)		16,700		263,060
Ramsay Health Care Ltd. (Australia)		417		20,503
Ryman Healthcare Ltd. (New Zealand)		1,106		6,228
Sonic Healthcare Ltd. (Australia)		4,962		76,365
UnitedHealth Group, Inc.		199,400		31,911,976
				67,659,328
Health Care Technology — 0.1%
Cerner Corp.*		56,500		2,676,405

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure — 0.7%
Aristocrat Leisure Ltd. (Australia)		24,712	$	275,702
Compass Group PLC (United Kingdom)		5,038		93,110
Domino’s Pizza Enterprises Ltd. (Australia)		1,113		52,048
Extended Stay America, Inc.		147,300		2,378,895
Galaxy Entertainment Group Ltd. (Hong Kong)		7,000		30,318
McDonald’s Corp.		203,400		24,757,848
Paddy Power Betfair PLC (Ireland)		2,421		257,612
Tui AG (Germany)		1,434		20,531
				27,866,064
Household Durables — 0.4%
D.R. Horton, Inc.		457,600		12,506,208
Electrolux AB (Sweden) (Class B Stock)		714		17,679
Iida Group Holdings Co. Ltd. (Japan)		4,100		77,725
Lennar Corp. (Class A Stock)		22,800		978,804
Nikon Corp. (Japan)		1,000		15,530
Panasonic Corp. (Japan)		6,400		64,910
Persimmon PLC (United Kingdom)		951		20,749
Sekisui House Ltd. (Japan)		1,700		28,244
Sony Corp. (Japan)		3,900		108,974
Taylor Wimpey PLC (United Kingdom)		9,768		18,423
TRI Pointe Group, Inc.*		210,200		2,413,096
				16,250,342
Household Products — 0.9%
Colgate-Palmolive Co.		266,400		17,433,216
Henkel AG & Co. KGaA (Germany)		304		31,639
Kimberly-Clark Corp.		84,800		9,677,376
Procter & Gamble Co. (The)		70,905		5,961,692
Reckitt Benckiser Group PLC (United Kingdom)		2,034		172,297
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		1,865		52,493
				33,328,713
Independent Power & Renewable Electricity Producers — 0.3%
AES Corp.		900,000		10,458,000
Electric Power Development Co. Ltd. (Japan)		400		9,181
				10,467,181
Industrial Conglomerates — 1.2%
3M Co.		89,800		16,035,586
Carlisle Cos., Inc.		35,700		3,937,353
CK Hutchison Holdings Ltd. (Hong Kong)		8,000		90,308
DCC PLC (United Kingdom)		259		19,252
General Electric Co.		387,592		12,247,907
Honeywell International, Inc.		136,700		15,836,695
Jardine Matheson Holdings Ltd. (Hong Kong)		800		44,200
NWS Holdings Ltd. (Hong Kong)		5,000		8,128

SEE NOTES TO FINANCIAL STATEMENTS.

A74

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates (continued)
Siemens AG (Germany)		2,411	$	295,204
Toshiba Corp. (Japan)*		12,000		28,986
				48,543,619
Insurance — 1.3%
Aflac, Inc.		154,600		10,760,160
AIA Group Ltd. (Hong Kong)		36,400		203,907
Alleghany Corp.*		2,300		1,398,676
Allianz SE (Germany)		456		75,258
Allstate Corp. (The)		213,400		15,817,208
Aon PLC		14,100		1,572,573
Assicurazioni Generali SpA (Italy)		3,595		53,287
AXA SA (France)		5,568		140,363
Hannover Rueck SE (Germany)		183		19,769
Hanover Insurance Group, Inc. (The)		13,500		1,228,635
Legal & General Group PLC (United Kingdom)		109,099		332,359
Mapfre SA (Spain)		3,284		10,003
MetLife, Inc.		66,900		3,605,241
MS&AD Insurance Group Holdings, Inc. (Japan)		3,100		95,999
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		184		34,754
NN Group NV (Netherlands)		4,426		149,832
QBE Insurance Group Ltd. (Australia)		4,283		38,268
RSA Insurance Group PLC (United Kingdom)		3,056		22,038
St. James’s Place PLC (United Kingdom)		9,947		124,077
Suncorp Group Ltd. (Australia)		3,650		35,541
Swiss Life Holding AG (Switzerland)		971		274,287
Swiss Re AG (Switzerland)		1,017		96,221
Tokio Marine Holdings, Inc. (Japan)		2,100		85,980
Unum Group		122,500		5,381,425
XL Group Ltd. (Ireland)		265,900		9,907,434
				51,463,295
Internet & Direct Marketing Retail — 1.0%
Amazon.com, Inc.*		17,800		13,347,686
HSN, Inc.		67,000		2,298,100
Liberty TripAdvisor Holdings, Inc. (Class A Stock)*		94,500		1,422,225
Netflix, Inc.*		156,000		19,312,800
Shutterfly, Inc.*		22,500		1,129,050
				37,509,861
Internet Software & Services — 3.0%
Alphabet, Inc. (Class A Stock)*		35,800		28,369,710
Alphabet, Inc. (Class C Stock)*		51,682		39,889,201
eBay, Inc.*		169,400		5,029,486
Facebook, Inc. (Class A Stock)*		388,300		44,673,915
				117,962,312
IT Services — 1.8%
Accenture PLC (Class A Stock)		177,100		20,743,723
Amadeus IT Holding SA (Spain) (Class A Stock)		5,242		237,747

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Atos SE (France)		1,132	$	119,311
Booz Allen Hamilton Holding Corp.		103,400		3,729,638
Cardtronics PLC (Class A Stock)*(a)		60,700		3,312,399
Cognizant Technology Solutions Corp. (Class A Stock)*		300,800		16,853,824
CoreLogic, Inc.*		26,600		979,678
Fujitsu Ltd. (Japan)		38,000		210,427
MasterCard, Inc. (Class A Stock)		218,600		22,570,450
Travelport Worldwide Ltd. (United Kingdom)		58,000		817,800
Worldpay Group PLC (United Kingdom), 144A		7,202		23,911
				69,598,908
Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		8,000		220,200
Sega Sammy Holdings, Inc. (Japan)		1,100		16,346
Smith & Wesson Holding Corp.*(a)		229,800		4,844,184
				5,080,730
Life Sciences Tools & Services — 0.3%
Lonza Group AG (Switzerland)		161		27,826
QIAGEN NV*		644		18,047
Thermo Fisher Scientific, Inc.		90,100		12,713,110
VWR Corp.*		25,900		648,277
				13,407,260
Machinery — 1.2%
Atlas Copco AB (Sweden) (Class A Stock)		9,901		300,362
Atlas Copco AB (Sweden) (Class B Stock)		1,137		30,912
Fortive Corp.		169,000		9,063,470
Illinois Tool Works, Inc.		50,300		6,159,738
Ingersoll-Rand PLC(a)		190,500		14,295,120
JTEKT Corp. (Japan)		700		11,162
Kone OYJ (Finland) (Class B Stock)		1,037		46,337
Minebea Co. Ltd. (Japan)		1,000		9,331
Sandvik AB (Sweden)		3,138		38,711
Schindler Holding AG (Switzerland)		539		94,082
Schindler Holding AG (Switzerland) (Part. Cert.)		136		23,951
SKF AB (Sweden) (Class B Stock)		754		13,826
Stanley Black & Decker, Inc.		112,400		12,891,156
Sumitomo Heavy Industries Ltd. (Japan)		2,000		12,842
Wabash National Corp.*(a)		160,300		2,535,946
				45,526,946
Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		10		15,091
Media — 1.4%
Altice NV (Netherlands), (Class A Stock)*		1,125		22,264
CBS Corp. (Class B Stock)		172,300		10,961,726
Cinemark Holdings, Inc.		75,000		2,877,000
Comcast Corp. (Class A Stock)		283,273		19,560,000

SEE NOTES TO FINANCIAL STATEMENTS.

A75

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Discovery Communications, Inc. (Class C Stock)*		79,500	$	2,129,010
RTL Group SA (Luxembourg)		111		8,132
TEGNA, Inc.		232,600		4,975,314
Toho Co. Ltd. (Japan)		300		8,463
Twenty-First Century Fox, Inc. (Class A Stock)		131,600		3,690,064
Twenty-First Century Fox, Inc. (Class B Stock)		219,700		5,986,825
Walt Disney Co. (The)		52,700		5,492,394
WPP PLC (United Kingdom)		15,653		348,335
				56,059,527
Metals & Mining — 0.7%
Anglo American PLC (United Kingdom)*		4,642		65,586
BHP Billiton Ltd. (Australia)		9,166		164,208
Boliden AB (Sweden)		11,368		295,284
Fortescue Metals Group Ltd. (Australia)		63,457		265,188
Mitsubishi Materials Corp. (Japan)		300		9,176
Newmont Mining Corp.		435,600		14,840,892
Norsk Hydro ASA (Norway)		4,020		19,186
Rio Tinto PLC (United Kingdom)		2,275		86,855
Steel Dynamics, Inc.		279,100		9,930,378
Voestalpine AG (Austria)		4,296		167,988
				25,844,741
Mortgage Real Estate Investment Trusts (REITs) — 0.1%
Chimera Investment Corp.		229,400		3,904,388
Multi-Utilities — 0.4%
National Grid PLC (United Kingdom)		13,495		157,673
Public Service Enterprise Group, Inc.		355,600		15,603,728
				15,761,401
Multiline Retail — 0.8%
Harvey Norman Holdings Ltd. (Australia)		1,628		6,032
Kohl’s Corp.(a)		136,200		6,725,556
Macy’s, Inc.		387,600		13,879,956
Target Corp.(a)		120,900		8,732,607
				29,344,151
Multi-Utilities
DUET Group (Australia)		7,448		14,709
Engie SA (France)		817		10,400
Innogy SE (Germany), 144A*		431		14,976
				40,085
Oil, Gas & Consumable Fuels — 4.4%
Anadarko Petroleum Corp.		218,200		15,215,086
BP PLC (United Kingdom)		72,956		456,957
Chevron Corp.		110,100		12,958,770
ConocoPhillips		419,900		21,053,786
Devon Energy Corp.		149,500		6,827,665
Energen Corp.*		31,300		1,805,071
EOG Resources, Inc.		135,800		13,729,380
Exxon Mobil Corp.		351,116		31,691,730

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Galp Energia SGPS SA (Portugal)		20,128	$	300,074
Kinder Morgan, Inc.		693,500		14,362,385
Neste OYJ (Finland)		6,813		260,718
Newfield Exploration Co.*		303,200		12,279,600
Phillips 66		209,000		18,059,690
Rice Energy, Inc.*		98,400		2,100,840
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		13,069		360,753
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		11,445		328,839
Statoil ASA (Norway)		3,433		62,658
Tesoro Corp.(a)		59,700		5,220,765
Total SA (France)		6,482		332,476
Valero Energy Corp.		104,300		7,125,776
Williams Cos., Inc. (The)		162,100		5,047,794
				169,580,813
Paper & Forest Products
Mondi PLC (South Africa)		4,276		87,326
Stora Enso OYJ (Finland) (Class R Stock)		1,619		17,319
UPM-Kymmene OYJ (Finland)		10,502		256,833
				361,478
Personal Products
Avon Products, Inc.*		257,500		1,297,800
Kao Corp. (Japan)		1,500		71,002
Unilever NV (United Kingdom)		5,045		207,244
Unilever PLC (United Kingdom)		2,617		105,832
				1,681,878
Pharmaceuticals — 2.8%
Allergan PLC*(a)		107,900		22,660,079
Astellas Pharma, Inc. (Japan)		20,200		280,242
AstraZeneca PLC (United Kingdom)		3,648		199,210
Bayer AG (Germany)		4,923		512,897
Bristol-Myers Squibb Co.		36,300		2,121,372
Daiichi Sankyo Co. Ltd. (Japan)		1,800		36,755
GlaxoSmithKline PLC (United Kingdom)		14,610		280,638
Jazz Pharmaceuticals PLC*		41,700		4,546,551
Johnson & Johnson		369,398		42,558,344
Mallinckrodt PLC*		199,200		9,924,144
Merck & Co., Inc.		43,000		2,531,410
Mitsubishi Tanabe Pharma Corp. (Japan)		4,100		80,278
Novartis AG (Switzerland)		6,701		487,320
Novo Nordisk A/S (Denmark) (Class B Stock)		4,357		156,295
Otsuka Holdings Co. Ltd. (Japan)		500		21,780
Pfizer, Inc.		624,497		20,283,663
Roche Holding AG (Switzerland)		3,009		685,909
Sanofi (France)		3,424		276,883
Shionogi & Co. Ltd. (Japan)		800		38,234
Taro Pharmaceutical Industries Ltd.*		100		10,527
Teva Pharmaceutical Industries Ltd. (Israel)		6,209		223,569
				107,916,100

SEE NOTES TO FINANCIAL STATEMENTS.

A76

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Professional Services — 0.1%
Adecco Group AG (Switzerland)		3,495	$	228,142
Insperity, Inc.		20,700		1,468,665
Intertek Group PLC (United Kingdom)		493		21,129
Randstad Holding NV (Netherlands)		4,182		226,530
RELX PLC (United Kingdom)		15,162		270,196
Wolters Kluwer NV (Netherlands)		913		33,023
				2,247,685
Real Estate Management & Development — 0.2%
Daito Trust Construction Co. Ltd. (Japan)		1,600		240,540
Daiwa House Industry Co. Ltd. (Japan)		1,600		43,633
Hulic Co. Ltd. (Japan)		1,800		15,970
Jones Lang LaSalle, Inc.		64,800		6,547,392
Kerry Properties Ltd. (Hong Kong)		7,000		18,930
Mitsubishi Estate Co. Ltd. (Japan)		4,000		79,459
Sun Hung Kai Properties Ltd. (Hong Kong)		21,000		264,442
Wharf Holdings Ltd. (The) (Hong Kong)		4,000		26,496
Wheelock & Co. Ltd. (Hong Kong)		6,000		33,673
				7,270,535
Real Estate Management & Development
Cheung Kong Property Holdings Ltd. (Hong Kong)		8,000		48,856
LendLease Group (Australia)		1,738		18,264
Mitsui Fudosan Co. Ltd. (Japan)		3,000		69,451
				136,571
Road & Rail — 0.1%
CSX Corp.		33,300		1,196,469
East Japan Railway Co. (Japan)		1,000		86,219
Landstar System, Inc.		12,500		1,066,250
MTR Corp. Ltd. (Hong Kong)		4,500		21,817
Nippon Express Co. Ltd. (Japan)		3,000		16,108
Tokyu Corp. (Japan)		3,000		22,014
Union Pacific Corp.		13,500		1,399,680
				3,808,557
Semiconductors & Semiconductor Equipment — 2.4%
Applied Materials, Inc.		525,200		16,948,204
Infineon Technologies AG (Germany)		1,733		29,976
Intel Corp.		886,800		32,164,236
QUALCOMM, Inc.		363,100		23,674,120
Texas Instruments, Inc.		284,900		20,789,153
Tokyo Electron Ltd. (Japan)		400		37,620
				93,643,309
Software — 3.0%
Adobe Systems, Inc.*		151,300		15,576,335
Check Point Software Technologies Ltd. (Israel)*		1,900		160,474
Citrix Systems, Inc.*		131,100		11,708,541
Electronic Arts, Inc.*		71,800		5,654,968
Intuit, Inc.		137,300		15,735,953
Konami Holdings Corp. (Japan)		5,900		238,114

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Microsoft Corp.		649,800	$	40,378,572
Oracle Corp.		666,300		25,619,235
Sage Group PLC (The) (United Kingdom)		8,348		67,294
SAP SE (Germany)		664		57,439
				115,196,925
Specialty Retail — 1.8%
Bed Bath & Beyond, Inc.(a)		61,600		2,503,424
Best Buy Co., Inc.(a)		336,200		14,345,654
Express, Inc.*		326,300		3,510,988
Francesca’s Holdings Corp.*(a)		173,100		3,120,993
GameStop Corp. (Class A Stock)(a)		129,000		3,258,540
GNC Holdings, Inc. (Class A Stock)		800		8,832
Home Depot, Inc. (The)		216,200		28,988,096
Industria de Diseno Textil SA (Spain)		8,614		293,445
Kingfisher PLC (United Kingdom)		6,911		29,776
Penske Automotive Group, Inc.(a)		13,400		694,656
Ross Stores, Inc.		231,400		15,179,840
				71,934,244
Technology Hardware, Storage & Peripherals — 2.3%
Apple, Inc.		552,300		63,967,386
Brother Industries Ltd. (Japan)		14,100		253,482
FUJIFILM Holdings Corp. (Japan)		1,300		49,226
Hewlett Packard Enterprise Co.		728,300		16,852,862
HP, Inc.		639,900		9,496,116
NEC Corp. (Japan)		8,000		21,159
				90,640,231
Textiles, Apparel & Luxury Goods
adidas AG (Germany)		569		89,742
Hermes International (France)		80		32,818
LVMH Moet Hennessy Louis Vuitton SE (France)		853		162,643
PVH Corp.		400		36,096
Swatch Group AG (The) (Switzerland)		140		8,544
				329,843
Tobacco — 0.8%
Altria Group, Inc.		436,300		29,502,606
British American Tobacco PLC (United Kingdom)		9,597		543,917
Japan Tobacco, Inc. (Japan)		6,500		213,354
				30,259,877
Trading Companies & Distributors
Ashtead Group PLC (United Kingdom)		1,439		27,975
ITOCHU Corp. (Japan)		22,600		299,241
Mitsubishi Corp. (Japan)		6,700		142,299
Mitsui & Co. Ltd. (Japan)		21,600		295,970
Sumitomo Corp. (Japan)		3,700		43,436
				808,921
Transportation Infrastructure
Abertis Infraestructuras SA (Spain)		1,866		26,071
Aena SA (Spain), 144A		196		26,703

SEE NOTES TO FINANCIAL STATEMENTS.

A77

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Transportation Infrastructure (continued)
Atlantia SpA (Italy)		1,200	$	28,076
Auckland International Airport Ltd. (New Zealand)		2,752		11,937
Sydney Airport (Australia)		3,216		13,881
				106,668
Wireless Telecommunication Services
KDDI Corp. (Japan)		8,300		209,600
NTT DOCOMO, Inc. (Japan)		4,200		95,530
SoftBank Corp. (Japan)		4,100		271,313
Vodafone Group PLC (United Kingdom)		82,153		202,170
				778,613
TOTAL COMMON STOCKS (cost $1,915,035,972)				2,420,619,766
UNAFFILIATED EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund(a) (cost $208,821)		3,850		222,260

PREFERRED STOCKS	Shares		Value (Note 2)
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		155	$	11,837
Volkswagen AG (Germany) (PRFC)		2,408		336,922
				348,759
Banks
Citigroup Capital XIII, 7.1215%, (Capital Security, fixed to floating preferred)(b)		22,000		568,040
Household Products
Henkel AG & Co. KGaA (Germany) (PRFC)		541		64,401
TOTAL PREFERRED STOCKS (cost $908,689)				981,200

ASSET-BACKED SECURITIES — 4.1%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 1.4%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.061%	(b)		04/20/25		2,550		2,547,120
AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A		2.580%	(b)		01/15/28		2,500		2,493,804
Anchorage Capital CLO 3 Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A		2.288%	(b)		04/28/26		1,500		1,503,147
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.480%	(b)		10/15/26		2,500		2,506,347
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		2.432%	(b)		04/18/27		1,000		1,001,456
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		2.420%	(b)		10/15/26		750		750,791
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		2.480%	(b)		10/17/26		250		250,353
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		2.412%	(b)		04/18/27		1,250		1,250,456
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		2.080%	(b)		07/15/24		1,200		1,195,530
Benefit Street Partners CLO VII Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A		2.412%	(b)		07/18/27		750		752,240
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.030%	(b)		04/17/25		2,100		2,097,180
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.431%	(b)		04/20/26		2,200		2,202,937
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A		2.681%	(b)		04/20/26		450		441,760
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2, Class A1R, 144A		2.108%	(b)		10/18/26		500		499,616
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		2.351%	(b)		01/20/26		2,300		2,304,453
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.280%	(b)		01/17/26		500		499,834
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		2.350%	(b)		10/15/26		1,250		1,252,471
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A		2.331%	(b)		05/05/27		250		249,807
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A(c)		3.280%			01/25/27		1,000		987,346
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.420%	(b)		04/15/27		500		500,333
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.496%	(b)		05/15/26		300		300,375
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		2.382%	(b)		04/18/26		750		750,815
Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A(c)		2.302%	(b)		07/25/26		3,000		3,004,957
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A(c)		2.332%	(b)		01/18/27		500		500,992
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		2.032%	(b)		07/22/25		1,200		1,200,506
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A		2.263%	(b)		12/15/22		201		201,327
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A		2.161%	(b)		02/20/25		250		250,103

SEE NOTES TO FINANCIAL STATEMENTS.

A78

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date			Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.292%	(b)		07/25/26			1,000	$	1,000,614
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		2.360%	(b)		07/17/26			800		801,241
Shackleton CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.381%	(b)		05/07/26			1,250		1,254,145
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.930%	(b)		04/15/25			3,200		3,194,371
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		3.556%	(b)		08/17/22			500		499,007
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		3.581%	(b)		10/20/23			1,100		1,101,754
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		2.502%	(b)		01/22/27			2,250		2,249,608
Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A		2.434%	(b)		10/25/28			3,250		3,249,268
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.000%	(b)		07/15/25			2,700		2,701,148
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.020%	(b)		04/15/24			1,850		1,850,733
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.381%	(b)		04/20/26			1,850		1,848,397
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%			04/20/26			500		504,026
										51,750,368
Non-Residential Mortgage-Backed Securities — 2.2%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		1.504%	(b)		05/15/20	��		3,900		3,897,615
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B		1.399%	(b)		04/08/19			1,843		1,845,604
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B		1.349%	(b)		10/08/19			3,243		3,249,465
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B		1.209%	(b)		11/08/19			1,000		1,001,079
Americredit Automobile Receivables Trust, Series 2016-4, Class C		2.410%			07/08/22			1,000		990,900
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%			09/20/19			1,700		1,691,452
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%			07/20/21			6,000		5,954,352
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%			12/20/21			4,700		4,642,511
Chase Issuance Trust, Series 2007-C1, Class C1		1.164%	(b)		04/15/19			8,300		8,299,314
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A		1.740%			02/22/22			2,700		2,692,357
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%			11/15/25			2,000		2,017,072
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%			04/15/26			3,200		3,226,763
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A		2.310%			08/15/27			5,400		5,389,515
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A		2.030%			12/15/27			3,300		3,245,485
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c)		1.038%	(b)		05/15/20			1,800		1,800,784
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A(c)		1.554%	(b)		05/17/21			2,300		2,312,114
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A		2.730%			03/25/21			4,300		4,269,028
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A		2.670%			09/25/21			3,400		3,345,802
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A		2.320%			03/25/20			3,000		2,980,208
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A		2.040%			01/15/21			1,182		1,184,458
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%			07/18/25			4,700		4,700,165
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B		1.404%	(b)		12/17/18			153		153,317
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B		1.454%	(b)		12/17/18			452		452,057
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A		2.580%			09/20/32			1,522		1,514,010
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A		3.080%			03/21/33			2,647		2,672,782
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%			10/20/30			1,423		1,422,994
SpringCastle America Funding LLC, Series 2016-AA. Class A, 144A		3.050%			04/25/29			2,918		2,932,557
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%			11/15/24			5,795		5,840,781
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%			09/20/29			638		626,999
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A		1.740%			09/15/21			1,700		1,700,903
										86,052,443

SEE NOTES TO FINANCIAL STATEMENTS.

A79

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities — 0.5%
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A		0.739%	(b)		08/26/36		1,185	$	1,117,329
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		2.406%	(b)		03/25/33		165		158,682
Credit Suisse Mortgage Trust, Series 16-RPL1, Class A1, 144A		3.767%	(b)		12/26/46		5,595		5,574,362
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.765%	(b)		07/25/35		296		282,803
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.792%	(b)		07/25/34		267		253,281
GSAMP Trust, Series 2004-HE2, Class A3C		1.916%	(b)		09/25/34		389		386,071
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		1.379%	(b)		06/25/34		424		411,392
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.956%	(b)		05/25/33		282		274,067
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1		1.701%	(b)		06/25/34		659		626,890
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.806%	(b)		12/27/33		548		533,448
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.656%	(b)		07/25/32		225		218,270
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		2.031%	(b)		09/25/32		3,375		3,245,223
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		1.521%	(b)		02/25/34		616		576,245
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A		4.250%			04/25/46		2,059		2,073,774
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A		3.375%			02/25/55		1,041		1,043,418
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A		3.625%			07/25/45		3,149		3,146,367
									19,921,622
TOTAL ASSET-BACKED SECURITIES (cost $157,336,121)									157,724,433
BANK LOANS(b) — 0.2%
Food
ARAMARK Corp.		3.430%			02/24/21		466		469,619
Health Care & Pharmaceutical — 0.1%
RPI Finance Trust		3.498%			10/14/22		1,325		1,338,972
Media & Entertainment
Nielsen Finance LLC		3.442%			10/04/23		751		757,144
Technology — 0.1%
Avago Technologies Cayman Finance Ltd. (Singapore)		3.881%			02/01/23		905		917,387
Dell International LLC		2.998%			12/31/18		600		599,063
Dell International LLC		4.020%			09/07/23		815		828,244
First Data Corp.		3.998%			03/24/21		1,020		1,029,108
TransUnion LLC		3.520%			04/09/21		486		489,295
Western Digital Corp.		4.748%			04/29/23		872		882,671
									4,745,768
Telecommunications
T-Mobile USA, Inc.		3.707%			11/09/22		1,025		1,035,262
TOTAL BANK LOANS (cost $8,188,699)									8,346,765
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.0%
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A		3.172%			05/15/49		4,000		3,938,576
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.587%	(b)		04/10/49		3,857		3,875,019
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.711%	(b)		12/10/49		1,000		1,008,670
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%			04/10/46		1,100		1,106,451
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%			05/10/47		2,750		2,848,250
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3		3.356%			07/10/47		2,800		2,857,492
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3		2.944%			05/10/49		5,000		4,890,348
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3		3.050%			04/10/49		6,500		6,391,947
Citigroup Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class AMFX		5.366%	(b)		12/11/49		6,000		6,006,033
Commercial Mortgage Trust, Series 2015-CR27, Class A3		3.349%			10/10/48		6,100		6,180,028

SEE NOTES TO FINANCIAL STATEMENTS.

A80

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000	$	994,960
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%		03/10/46		1,700		1,718,256
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%		02/10/47		2,700		2,756,857
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,800		2,891,933
Commercial Mortgage Trust, Series 2014-CR20, Class A3		3.326%		11/10/47		5,000		5,090,328
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		2,300		2,344,913
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3		3.544%		11/15/48		3,000		3,069,902
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A		3.555%	(b)	09/10/35		1,100		1,131,841
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(b)	12/25/23		2,515		2,619,825
Fannie Mae-Aces, Series 2015-M17, Class A2		2.940%	(b)	11/25/25		3,900		3,918,050
Fannie Mae-Aces, Series 2016-M7, Class AB2		2.385%		09/25/26		2,400		2,225,619
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500		3,590,313
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		2,000		2,003,526
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.442%	(b)	05/25/22		24,499		1,541,636
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.481%	(b)	06/25/22		6,933		456,034
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%	(b)	02/25/23		5,800		6,072,692
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		2,400		2,542,343
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO		1.369%	(b)	03/25/26		27,988		2,750,364
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.759%	(b)	05/25/19		18,590		619,922
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.692%	(b)	07/25/19		19,940		675,003
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(b)	05/25/25		2,500		2,527,706
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		4,000		4,002,704
GS Mortgage Securities Trust, Series 2015-GC32, Class A3		3.498%		07/10/48		5,800		5,955,613
GS Mortgage Securities Trust, Series GS4, Class A3		3.178%		11/10/49		5,500		5,490,891
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,400		1,435,067
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		6,000		5,919,262
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		924		940,069
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,700		1,702,528
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,900		3,943,368
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,936		1,975,376
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,400		1,415,278
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,500		1,513,512
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3		2.531%		08/15/49		10,400		9,837,691
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,700		1,713,392
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,900		3,922,622
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,800		1,815,684
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4		5.509%		04/15/47		3,041		3,046,881
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		1,204		1,222,707
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3		2.642%		11/15/49		8,000		7,584,119
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $156,544,305)								154,081,601

SEE NOTES TO FINANCIAL STATEMENTS.

A81

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS — 9.4%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Agriculture — 0.1%
Altria Group, Inc., Gtd. Notes		4.000%			01/31/24		1,500	$	1,584,926
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%			06/15/19		930		1,065,458
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%			02/11/18		2,050		2,051,902
Reynolds American, Inc., Gtd. Notes		8.125%			06/23/19		325		370,772
									5,073,058
Airlines — 0.2%
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A		3.375%			11/01/28		3,029		2,983,840
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%			03/15/19		37		37,917
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%			05/10/21		531		592,924
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%			07/12/22		592		625,016
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%			04/29/26		597		610,715
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%			02/10/24		274		315,386
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%			11/23/20		342		358,185
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%			10/15/20		773		815,046
									6,339,029
Auto Manufacturers — 0.3%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%			01/15/43		1,430		1,357,652
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(a)		4.134%			08/04/25		390		390,469
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN		4.389%			01/08/26		1,255		1,271,911
General Motors Co., Sr. Unsec’d. Notes		6.250%			10/02/43		1,395		1,542,143
General Motors Co., Sr. Unsec’d. Notes		6.600%			04/01/36		760		868,686
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN		2.700%			03/15/17		450		451,051
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN		2.850%			01/15/21		4,705		4,724,949
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250%			11/15/19		715		739,131
									11,345,992
Banks — 2.6%
Bank of America Corp., Jr. Sub. Notes		6.300%	(b)		12/29/49		445		465,025
Bank of America Corp., Sr. Unsec’d. Notes		5.700%			01/24/22		2,330		2,617,145
Bank of America Corp., Sr. Unsec’d. Notes		6.000%			09/01/17		1,075		1,106,152
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%			01/11/23		780		782,605
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%			04/01/24		975		1,005,556
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%			01/22/24		3,820		3,969,939
Bank of America Corp., Sub. Notes, MTN		4.450%			03/03/26		3,880		3,998,487
Bank of America Corp., Sub. Notes, MTN		4.000%			01/22/25		2,000		2,002,512
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)		07/29/49		2,200		2,260,500
Bank of America NA, Sub. Notes		5.300%			03/15/17		930		937,203
Bank of America NA, Sub. Notes		6.000%			10/15/36		410		494,654
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%			01/12/26		1,590		1,610,387
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%			04/24/24		4,560		4,619,371
Citigroup, Inc., Jr. Sub. Notes(a)		6.125%	(b)		12/29/49		1,375		1,423,125
Citigroup, Inc., Jr. Sub. Notes		6.250%	(b)		12/29/49		625		643,125
Citigroup, Inc., Jr. Sub. Notes		5.950%	(b)		12/29/49		2,205		2,237,965
Citigroup, Inc., Sr. Unsec’d. Notes		3.700%			01/12/26		2,440		2,427,439
Citigroup, Inc., Sr. Unsec’d. Notes(a)		4.500%			01/14/22		2,450		2,612,131
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%			07/15/39		710		1,055,013
Citigroup, Inc., Sub. Notes(a)		4.450%			09/29/27		1,965		1,996,137
Compass Bank, Sr. Unsec’d. Notes		1.850%			09/29/17		1,270		1,267,117
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%			05/12/21		1,640		1,623,416

SEE NOTES TO FINANCIAL STATEMENTS.

A82

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Banks (continued)
Dexia Credit Local SA (France), Govt. Liquid Gtd. Notes, 144A		1.875%			09/15/21		1,250	$	1,206,266
Discover Bank, Sr. Unsec’d. Notes		4.250%			03/13/26		970		988,162
Discover Bank, Sub. Notes		7.000%			04/15/20		570		632,916
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.300%	(b)		12/29/49		740		709,475
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(b)		12/29/49		2,215		2,237,150
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.500%			01/23/25		4,100		4,045,466
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%			02/25/26		1,010		1,012,967
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%			07/27/21		2,055		2,252,260
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%			01/24/22		3,620		4,069,658
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%			02/01/41		270		334,683
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%			10/01/37		104		128,424
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%			01/14/22		1,910		2,061,918
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%			04/05/21		1,025		1,107,724
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)		10/29/49		1,275		1,290,141
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)		12/29/49		2,000		2,071,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%			10/15/20		2,930		3,100,632
JPMorgan Chase & Co., Sub. Notes		4.950%			06/01/45		515		549,149
JPMorgan Chase & Co., Sub. Notes		3.875%			09/10/24		3,775		3,819,685
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN		5.800%			01/13/20		1,870		2,039,198
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%			02/06/25		3,080		3,000,819
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, GMTN		6.400%			08/28/17		20		20,613
Morgan Stanley, Jr. Sub. Notes(a)		5.450%	(b)		07/29/49		840		831,600
Morgan Stanley, Sr. Unsec’d. Notes		5.750%			01/25/21		1,400		1,553,406
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%			02/25/23		940		965,515
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%			01/09/17		1,345		1,345,662
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%			07/28/21		1,290		1,429,497
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		6.625%			04/01/18		105		111,040
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%			09/23/19		1,415		1,533,803
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.375%			07/24/42		780		1,002,430
Morgan Stanley, Sub. Notes, GMTN		4.350%			09/08/26		3,825		3,919,661
National City Corp., Sub. Notes		6.875%			05/15/19		3,370		3,709,309
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN		1.875%			09/17/18		2,110		2,108,960
People’s United Bank, Sub. Notes		4.000%			07/15/24		465		458,049
PNC Bank NA, Sr. Unsec’d. Notes		1.950%			03/04/19		515		515,543
PNC Bank NA, Sub. Notes		3.800%			07/25/23		270		278,386
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%			01/10/19		1,210		1,216,624
US Bancorp, Sub. Notes, MTN		2.950%			07/15/22		1,120		1,126,638
									99,939,433
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.700%			02/01/36		855		899,347
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.900%			02/01/46		225		243,196
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%			11/15/39		1,285		1,889,753
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.200%			01/15/39		250		375,973
Constellation Brands, Inc., Gtd. Notes		4.250%			05/01/23		1,400		1,451,646
									4,859,915
Biotechnology — 0.1%
Amgen, Inc., Sr. Unsec’d. Notes, 144A		4.663%			06/15/51		1,834		1,762,672
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%			02/01/25		1,460		1,476,146
Gilead Sciences, Inc., Sr. Unsec’d. Notes		4.150%			03/01/47		40		37,992
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%			12/01/41		145		167,596
									3,444,406
Building Materials — 0.1%
Owens Corning, Inc., Gtd. Notes		4.200%			12/15/22		775		804,865
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(c)		5.375%			11/15/24		1,400		1,438,500
									2,243,365

SEE NOTES TO FINANCIAL STATEMENTS.

A83

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		3.150%			10/01/22		780	$	775,467
Celanese US Holdings LLC, Gtd. Notes(a)		5.875%			06/15/21		1,500		1,665,767
CF Industries, Inc., Gtd. Notes		5.375%			03/15/44		585		482,806
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%			10/01/44		45		45,154
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%			05/15/39		347		538,374
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%			02/26/55		1,185		1,101,154
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%			04/15/19		1,000		1,056,652
Mosaic Co. (The), Sr. Unsec’d. Notes(a)		5.450%			11/15/33		345		342,173
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%			11/15/43		1,135		1,093,794
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%			06/01/25		460		553,789
Westlake Chemical Corp., Gtd. Notes, 144A		4.625%			02/15/21		950		983,250
									8,638,380
Commercial Services — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A(c)		6.375%			10/15/17		1,302		1,349,061
ERAC USA Finance LLC, Gtd. Notes, 144A(c)		6.700%			06/01/34		420		509,362
ERAC USA Finance LLC, Gtd. Notes, 144A(c)		7.000%			10/15/37		380		481,481
United Rentals North America, Inc., Gtd. Notes		5.875%			09/15/26		485		498,944
									2,838,848
Computers — 0.2%
Apple, Inc., Sr. Unsec’d. Notes		3.450%			02/09/45		890		785,557
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		3.480%			06/01/19		1,085		1,107,575
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		4.420%			06/15/21		920		951,965
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.450%	(b)		10/05/17		3,925		3,946,823
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.850%	(b)		10/05/18		735		742,108
Seagate HDD Cayman, Gtd. Notes		3.750%			11/15/18		605		619,898
									8,153,926
Diversified Financial Services — 0.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		3.750%			05/15/19		775		789,531
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		6.400%			10/02/17		330		341,862
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		7.250%			02/01/18		1,175		1,243,430
Capital One Bank USA NA, Sub. Notes		3.375%			02/15/23		1,560		1,545,355
Discover Financial Services, Sr. Unsec’d. Notes		3.850%			11/21/22		900		913,710
GE Capital International Funding Co., Gtd. Notes		2.342%			11/15/20		766		765,635
GE Capital International Funding Co., Gtd. Notes		4.418%			11/15/35		760		796,409
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%			01/20/43		560		576,234
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes		6.875%	(f)		02/06/12		1,715		98,613
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes		6.875%	(f)		05/02/18		700		41,370
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%			06/15/18		240		258,600
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		2.450%			07/15/24		475		462,709
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		3.250%			06/15/25		1,155		1,193,084
Synchrony Financial, Sr. Unsec’d. Notes		2.700%			02/03/20		2,700		2,691,994
									11,718,536
Electric — 0.5%
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%			10/01/36		550		698,221
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%			04/01/36		310		387,153
Black Hills Corp., Sr. Unsec’d. Notes		2.500%			01/11/19		1,245		1,249,964
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%			03/15/33		590		785,649
Comision Federal De Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.750%			02/23/27		480		460,800
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes		5.500%			12/01/39		220		259,041
Dominion Resources, Inc., Jr. Sub. Notes		4.104%			04/01/21		3,210		3,343,754
Duke Energy Carolinas LLC, First Mortgage		6.050%			04/15/38		550		693,742
Duke Energy Carolinas LLC, First Ref. Mortgage		4.000%			09/30/42		570		566,066

SEE NOTES TO FINANCIAL STATEMENTS.

A84

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Electric (continued)
Dynegy, Inc., Gtd. Notes		6.750%		11/01/19		455	$	462,963
Dynegy, Inc., Gtd. Notes		7.375%		11/01/22		345		329,475
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		670		772,546
Emera US Finance LP (Canada), Gtd. Notes, 144A		3.550%		06/15/26		990		973,200
Eversource Energy, Sr. Unsec’d. Notes		4.500%		11/15/19		615		652,778
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,425		1,434,784
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		355		376,856
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		295		367,883
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		145		166,139
Nevada Power Co., Gen. Ref. Mtge.		6.500%		05/15/18		1,260		1,343,965
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		610		650,962
NRG Energy, Inc., Gtd. Notes, 144A		7.250%		05/15/26		895		890,525
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		140		151,137
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%		05/01/37		535		662,884
Southern California Edison Co., First Mortgage		3.600%		02/01/45		860		813,474
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		511,441
								19,005,402
Entertainment
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.375%		11/01/18		1,000		1,034,690
Food — 0.1%
Kraft Heinz Foods Co., Gtd. Notes		3.000%		06/01/26		1,630		1,530,304
Kraft Heinz Foods Co., Gtd. Notes		4.375%		06/01/46		475		446,965
Kraft Heinz Foods Co., Gtd. Notes		5.000%		07/15/35		815		855,016
Lamb Weston Holdings, Inc., Gtd. Notes, 144A		4.875%		11/01/26		980		969,587
Smithfield Foods, Inc., Sr. Unsec’d. Notes		6.625%		08/15/22		1,600		1,686,000
								5,487,872
Forest & Paper Products — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A(c)		5.400%		11/01/20		290		318,820
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		1,595		1,791,204
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		286		310,446
								2,420,470
Gas
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%		11/01/43		65		67,352
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20		350		382,196
								449,548
Healthcare-Products — 0.3%
Becton Dickinson and Co., Sr. Unsec’d. Notes		3.734%		12/15/24		474		484,723
Medtronic, Inc., Gtd. Notes		3.500%		03/15/25		3,205		3,300,233
Medtronic, Inc., Gtd. Notes		4.375%		03/15/35		1,269		1,342,511
St Jude Medical, Inc., Sr. Unsec’d. Notes		2.000%		09/15/18		4,910		4,916,928
								10,044,395
Healthcare-Services — 0.4%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		515		655,176
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,380		1,793,463
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		390		391,860
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		360		361,402
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)		5.125%		08/15/18		221		216,580
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		650		747,170
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		670		776,899
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		1,665		1,723,275
HCA, Inc., Sr. Sec’d. Notes		4.250%		10/15/19		555		577,200
HCA, Inc., Sr. Sec’d. Notes		5.000%		03/15/24		1,100		1,131,625
HCA, Inc., Sr. Sec’d. Notes		5.250%		04/15/25		400		417,500
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%		02/01/22		190		191,578

SEE NOTES TO FINANCIAL STATEMENTS.

A85

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Healthcare-Services (continued)
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%			08/01/45		445	$	431,904
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%			09/29/21		5,305		5,396,151
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%			10/15/42		720		701,179
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%			06/15/17		195		199,016
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%			11/15/37		420		549,387
									16,261,365
Home Builders
D.R. Horton, Inc., Gtd. Notes		3.625%			02/15/18		450		454,500
Housewares — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		4.200%			04/01/26		795		829,805
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%			04/15/18		1,700		1,789,082
									2,618,887
Insurance — 0.6%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%			11/15/20		525		566,332
American International Group, Inc., Sr. Unsec’d. Notes		4.500%			07/16/44		1,980		1,952,428
Axis Specialty Finance LLC, Gtd. Notes		5.875%			06/01/20		1,030		1,129,010
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.125%			03/15/26		2,455		2,439,055
Chubb Corp. (The), Gtd. Notes		6.375%	(b)		03/29/67		1,300		1,222,000
Chubb INA Holdings, Inc., Gtd. Notes		3.350%			05/03/26		945		957,201
Chubb INA Holdings, Inc., Gtd. Notes		4.350%			11/03/45		130		137,319
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%			04/15/22		755		837,435
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%			05/01/42		365		432,756
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%			03/15/34		850		1,009,251
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%			10/09/37		772		909,262
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%			07/01/19		186		214,008
Markel Corp., Sr. Unsec’d. Notes		5.000%			03/30/43		200		202,851
New York Life Global Funding, Sec’d. Notes, 144A		1.950%			02/11/20		3,030		3,008,108
New York Life Insurance Co., Sub. Notes, 144A		6.750%			11/15/39		660		868,101
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%			03/30/40		370		455,613
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%			04/30/20		680		747,670
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%			06/15/39		910		1,344,183
Principal Financial Group, Inc., Gtd. Notes		4.625%			09/15/42		130		134,642
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)		06/15/67		735		718,462
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%			01/26/45		710		662,636
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%			12/16/39		1,450		1,881,700
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes		4.300%			08/25/45		885		916,733
Unum Group, Sr. Unsec’d. Notes		5.625%			09/15/20		350		381,152
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%			08/15/19		460		501,082
									23,628,990
Lodging — 0.1%
Choice Hotels International, Inc., Gtd. Notes		5.750%			07/01/22		450		480,375
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%			03/01/19		580		590,148
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%			09/15/22		980		988,206
Marriott International, Inc., Sr. Unsec’d. Notes		6.750%			05/15/18		2,800		2,984,842
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%			03/01/18		490		494,125
									5,537,696
Machinery-Diversified — 0.1%
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes		7.875%			12/01/17		1,255		1,319,319
Xylem, Inc., Sr. Unsec’d. Notes		4.875%			10/01/21		1,260		1,360,260
									2,679,579
Media — 0.4%
21st Century Fox America, Inc., Gtd. Notes		6.150%			03/01/37		515		602,686
21st Century Fox America, Inc., Gtd. Notes		6.900%			08/15/39		90		113,018
AMC Networks, Inc., Gtd. Notes		5.000%			04/01/24		1,520		1,527,600

SEE NOTES TO FINANCIAL STATEMENTS.

A86

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Media (continued)
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%			09/15/17		1,000	$	1,040,000
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.375%			05/01/25		880		906,400
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.384%			10/23/35		875		999,103
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.484%			10/23/45		1,386		1,602,326
Comcast Cable Communications Holdings, Inc., Gtd. Notes		9.455%			11/15/22		255		345,143
Comcast Corp., Gtd. Notes		6.400%			05/15/38		530		678,665
Historic TW, Inc., Gtd. Notes		9.150%			02/01/23		505		647,636
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%			07/28/17		1,300		1,325,688
Time Warner Cable, Inc., Sr. Sec’d. Notes		5.850%			05/01/17		1,710		1,734,267
Time Warner, Inc., Gtd. Notes		3.800%			02/15/27		385		382,814
Time Warner, Inc., Gtd. Notes		6.200%			03/15/40		210		242,411
Time Warner, Inc., Gtd. Notes		6.250%			03/29/41		1,465		1,709,334
Viacom, Inc., Sr. Unsec’d. Notes		4.875%			06/15/43		200		173,383
Viacom, Inc., Sr. Unsec’d. Notes		4.500%			02/27/42		50		41,449
Viacom, Inc., Sr. Unsec’d. Notes		5.250%			04/01/44		450		409,383
Videotron Ltd. (Canada), Gtd. Notes		5.000%			07/15/22		1,040		1,066,000
									15,547,306
Mining — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A(a)		6.250%	(b)		10/19/75		1,135		1,228,865
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%			09/30/43		920		1,027,603
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%			04/23/45		530		520,315
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		6.750%			04/16/40		425		458,535
									3,235,318
Miscellaneous Manufacturing — 0.1%
Actuant Corp., Gtd. Notes		5.625%			06/15/22		1,205		1,235,125
General Electric Co., Sr. Unsec’d. Notes		4.125%			10/09/42		190		191,682
General Electric Co., Sr. Unsec’d. Notes, GMTN		6.000%			08/07/19		264		291,684
Koppers, Inc., Gtd. Notes		7.875%			12/01/19		1,300		1,317,875
									3,036,366
Multi-National — 0.1%							��
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%			05/10/19		1,410		1,400,811
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.125%			09/27/21		1,260		1,219,894
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		2.400%			10/26/22		1,095		1,062,984
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		4.375%			02/11/20		1,000		1,063,945
									4,747,634
Oil & Gas — 0.5%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%			03/15/46		225		277,506
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(g)		10/10/36		2,000		808,624
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%			09/15/36		1,155		1,374,642
Apache Corp., Sr. Unsec’d. Notes		5.100%			09/01/40		325		340,009
ConocoPhillips Co., Gtd. Notes		4.950%			03/15/26		2,250		2,484,004
Devon Energy Corp., Sr. Unsec’d. Notes		5.600%			07/15/41		300		308,999
Devon Energy Corp., Sr. Unsec’d. Notes		5.000%			06/15/45		110		108,057
Devon Financing Corp. LLC, Gtd. Notes		7.875%			09/30/31		1,700		2,157,035
EOG Resources, Inc., Sr. Unsec’d. Notes		3.900%			04/01/35		1,020		965,972
Helmerich & Payne International Drilling Co., Gtd. Notes		4.650%			03/15/25		1,995		2,061,378
Hess Corp., Sr. Unsec’d. Notes		4.300%			04/01/27		1,055		1,050,170
Nabors Industries, Inc., Gtd. Notes		4.625%			09/15/21		1,070		1,087,676
Noble Energy, Inc., Sr. Unsec’d. Notes		5.050%			11/15/44		1,200		1,203,537
Occidental Petroleum Corp., Sr. Unsec’d. Notes		3.000%			02/15/27		555		537,004
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%			06/02/41		1,255		1,175,370

SEE NOTES TO FINANCIAL STATEMENTS.

A87

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
Oil & Gas (continued)
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A		5.375%		03/13/22		450	$	460,791
Phillips 66, Gtd. Notes		2.950%		05/01/17		490		492,733
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,500		1,592,448
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		550		594,606
								19,080,561
Oil & Gas Services — 0.1%
Cameron International Corp., Sr. Unsec’d. Notes		4.500%		06/01/21		2,200		2,274,505
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A		4.000%		12/21/25		2,845		2,981,532
								5,256,037
Packaging & Containers
Ball Corp., Gtd. Notes		4.375%		12/15/20		630		658,350
WestRock RKT Co., Gtd. Notes		4.900%		03/01/22		800		868,430
								1,526,780
Pharmaceuticals — 0.3%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		1,175		1,163,823
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,910		1,876,627
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25		1,000		1,001,178
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35		2,010		1,989,482
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45		285		279,794
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		445		486,175
Merck & Co., Inc., Sr. Unsec’d. Notes(a)		2.750%		02/10/25		420		412,382
Merck & Co., Inc., Sr. Unsec’d. Notes		3.700%		02/10/45		1,380		1,315,888
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		1,325		1,428,933
Teva Pharmaceutical Finance Netherlands III BV (Netherlands), Gtd. Notes(a)		3.150%		10/01/26		610		562,376
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a)		4.100%		10/01/46		195		167,088
Wyeth LLC, Gtd. Notes		6.450%		02/01/24		60		73,058
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		120		116,805
								10,873,609
Pipelines — 0.2%
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A		5.350%		03/15/20		717		743,887
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a)		4.650%		06/01/21		675		700,831
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.900%		03/15/35		250		233,633
Enterprise Products Operating LLC, Gtd. Notes(a)		3.950%		02/15/27		1,080		1,106,344
Enterprise Products Operating LLC, Gtd. Notes(a)		3.700%		02/15/26		690		692,502
Enterprise Products Operating LLC, Gtd. Notes(a)		3.750%		02/15/25		1,345		1,366,603
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%		02/15/18		510		531,992
MPLX LP, Sr. Unsec’d. Notes		4.000%		02/15/25		1,430		1,389,967
ONEOK Partners LP, Gtd. Notes		6.650%		10/01/36		145		164,490
								6,930,249
Real Estate
ProLogis LP, Gtd. Notes		6.875%		03/15/20		72		80,766
Real Estate Investment Trusts (REITs)
Select Income REIT, Sr. Unsec’d. Notes		2.850%		02/01/18		715		718,055
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22		230		237,789
								955,844
Retail — 0.2%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%		07/20/45		820		913,847
CVS Health Corp., Sr. Unsec’d. Notes		5.300%		12/05/43		225		254,944
Home Depot, Inc. (The), Sr. Unsec’d. Notes		3.000%		04/01/26		730		728,599
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%		03/15/45		755		804,601
L Brands, Inc., Gtd. Notes		5.625%		02/15/22		1,450		1,547,875
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%		03/15/29		385		497,319
Macy’s Retail Holdings, Inc., Gtd. Notes		3.875%		01/15/22		360		368,721

SEE NOTES TO FINANCIAL STATEMENTS.

A88

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Retail (continued)
McDonald’s Corp., Sr. Unsec’d. Notes, MTN		3.700%			01/30/26		2,620	$	2,667,414
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes		5.625%			12/01/25		1,375		1,430,000
Target Corp., Sr. Unsec’d. Notes		3.500%			07/01/24		345		358,365
									9,571,685
Savings & Loans
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%			12/06/22		1,455		1,463,180
Semiconductors
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%			03/15/23		1,500		1,582,500
Software — 0.2%
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		2.850%			10/15/18		1,650		1,678,699
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		3.625%			10/15/20		2,210		2,287,942
Microsoft Corp., Sr. Unsec’d. Notes		2.375%			02/12/22		3,085		3,072,583
Microsoft Corp., Sr. Unsec’d. Notes(a)		3.125%			11/03/25		1,380		1,395,413
Oracle Corp., Sr. Unsec’d. Notes		4.300%			07/08/34		920		951,265
									9,385,902
Telecommunications — 0.5%
AT&T Corp., Gtd. Notes		8.250%	(b)		11/15/31		4		5,561
AT&T, Inc., Sr. Unsec’d. Notes		3.400%			05/15/25		3,460		3,334,828
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			05/15/35		430		415,451
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			03/09/48		4		3,594
AT&T, Inc., Sr. Unsec’d. Notes		4.550%			03/09/49		844		762,356
AT&T, Inc., Sr. Unsec’d. Notes		4.750%			05/15/46		875		828,992
AT&T, Inc., Sr. Unsec’d. Notes		4.800%			06/15/44		1,000		944,914
AT&T, Inc., Sr. Unsec’d. Notes		5.150%			03/15/42		860		856,708
AT&T, Inc., Sr. Unsec’d. Notes		5.350%			09/01/40		82		84,214
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.125%	(b)		12/15/30		400		610,272
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Sec’d. Notes, 144A		3.360%			03/20/23		2,000		2,003,740
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.522%			09/15/48		2,025		1,941,797
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%			03/15/55		2,056		1,930,810
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.862%			08/21/46		1,256		1,272,697
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.012%			08/21/54		3,127		3,110,621
									18,106,555
Transportation — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%			08/01/28		670		853,398
CSX Corp., Sr. Unsec’d. Notes		6.150%			05/01/37		715		878,346
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%			05/17/25		100		114,387
									1,846,131
TOTAL CORPORATE BONDS (cost $358,101,890)									367,444,705
MUNICIPAL BONDS — 0.4%
Alabama
Alabama Economic Settlement Authority		4.263%			09/15/32		240		246,667
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%			04/01/49		1,325		1,800,039
California Educational Facilities Authority		5.000%			06/01/46		750		960,480
State of California, GO, BABs		7.300%			10/01/39		1,270		1,793,735
State of California, GO, BABs		7.500%			04/01/34		475		668,164
State of California, GO, BABs		7.550%			04/01/39		245		363,827
State of California, GO, BABs		7.625%			03/01/40		215		315,904
									5,902,149
Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%			11/01/50		680		881,396

SEE NOTES TO FINANCIAL STATEMENTS.

A89

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Illinois
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%			01/01/40		1,030	$	1,344,407
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%			01/01/40		1,070		1,541,367
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%			08/01/36		1,130		1,398,013
Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%			06/01/40		455		520,566
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%			12/01/34		300		337,611
									858,177
Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%			11/15/34		445		560,304
Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%			12/01/45		550		660,688
Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%			07/01/43		1,000		1,293,290
Washington
Central Puget Sound Regional Transit Authority		5.000%			11/01/46		950		1,206,291
TOTAL MUNICIPAL BONDS (cost $12,722,447)									15,892,749
NON-CORPORATE FOREIGN AGENCIES — 0.5%
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.625%			04/28/21		2,570		2,609,121
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%			07/24/24		800		811,352
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%			01/15/24		645		640,969
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%			06/29/20		400		432,960
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN		2.375%			06/04/25		400		382,736
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		4.950%			07/19/22		350		360,139
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%			03/07/22		580		639,810
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		1.500%			07/21/21		600		575,267
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%			04/13/21		800		782,486
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%			10/25/23		1,400		1,331,798
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%			05/23/18		3,158		3,145,551
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%	(b)		12/01/23		350		379,750
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%			01/21/21		1,110		1,141,912
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%			05/15/17		1,030		1,042,376
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%			04/10/17		1,620		1,619,469
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%			04/28/20		1,250		1,241,714
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%			05/07/19		665		673,667
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN		1.750%			03/10/21		3,100		3,042,238
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $21,063,796)									20,853,315
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.7%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%			09/25/19		129		129,050
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%			01/25/36		1,231		1,046,413
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A		3.500%	(b)		07/26/36		1,755		1,755,711
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.961%	(b)		02/25/35		638		636,412
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		3.063%	(b)		03/25/35		221		199,507
Bayview Opportunity Master Fund Trust, Series 2016-CRT1, Class M1, 144A		2.511%	(b)		10/27/27		697		695,887

SEE NOTES TO FINANCIAL STATEMENTS.

A90

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		3.167%	(b)	02/25/37		518	$	496,551
Credit Suisse Mortgage Trust, Series 2016-12R, Class 1A1, 144A(d)		3.239%		02/28/47		3,820		3,820,000
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1(h)		2.706%	(b)	11/25/24		779		780,527
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(h)		1.906%	(b)	05/25/25		302		302,214
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(h)		2.906%	(b)	09/25/28		1,402		1,416,305
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(h)		2.956%	(b)	10/25/28		1,854		1,873,174
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1(h)		2.206%	(b)	01/25/29		1,718		1,728,904
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(h)		1.656%	(b)	10/25/27		5,241		5,244,556
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(h)		2.106%	(b)	04/25/28		382		381,990
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(h)		2.206%	(b)	07/25/28		2,589		2,598,463
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(h)		2.756%	(b)	12/25/28		1,725		1,741,057
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4 M2(h)		2.056%	(b)	03/25/29		1,430		1,427,281
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(h)		3.006%	(b)	11/25/28		1,600		1,632,860
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2(h)		2.056%	(b)	04/25/29		2,050		2,035,255
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		3.182%	(b)	07/25/35		279		278,611
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A		2.617%	(b)	03/01/20		2,695		2,691,795
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A(d)		2.617%	(b)	04/01/20		619		618,102
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d)		2.771%	(b)	05/01/20		4,876		4,808,629
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A(d)		2.771%	(b)	07/01/20		1,557		1,547,018
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A		2.771%	(b)	08/01/20		1,577		1,574,912
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A(d)		2.771%	(b)	10/01/20		1,748		1,741,287
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d)		2.771%	(b)	11/01/20		584		579,580
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A		2.771%	(b)	01/01/21		2,375		2,334,163
LSTAR Securities Investment Ltd., Series 2016-3, Class A, 144A(d)		2.771%	(b)	09/01/21		2,321		2,292,335
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-6, Class A, 144A		2.630%	(b)	11/01/21		1,687		1,663,009
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		32		32,464
Mortgage Repurchase Agreement Financing Trust 2016-3, 3, Class A1, 144A(d)		1.664%	(b)	11/10/18		2,390		2,390,000
Mortgage Repurchase Agreement Financing Trust 2016-4, 4, Class A1, 144A(d)		1.737%	(b)	05/10/19		9,990		9,968,292
Mortgage Repurchase Agreement Financing Trust 2016-5, 5, Class A, 144A(d)		1.872%	(b)	06/10/19		1,700		1,700,000
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.093%	(b)	02/25/34		261		261,139
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		58		58,093
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $64,486,569)								64,481,546
SOVEREIGN BONDS — 0.5%
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, RegS, EMTN		1.125%		08/03/19		1,600		1,575,021
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		175		176,750
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.375%		07/12/21		500		523,750
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%		03/25/19		580		600,300

SEE NOTES TO FINANCIAL STATEMENTS.

A91

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		2,280	$	2,553,053
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%		03/29/41		880		1,229,580
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes,		4.875%		05/05/21		1,120		1,185,644
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		5.875%		03/13/20		1,135		1,238,731
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN		5.875%		01/15/24		950		1,048,139
Indonesia Government International Bond (Indonesia), Series 20470108, Sr. Unsec’d. Notes, 144A		5.250%		01/08/47		570		568,360
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		4.000%		10/02/23		566		567,358
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		1,006		914,756
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		600		595,500
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		515		524,012
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		5.200%		01/30/20		620		665,880
Province Of Alberta Canada (Canada), Sr. Unsec’d. Notes		1.900%		12/06/19		1,000		1,001,531
Province of Manitoba (Canada), Sr. Unsec’d. Notes		2.125%		06/22/26		200		186,570
Republic Of Indonesia		4.750%		01/08/26		700		722,599
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS, EMTN		6.125%		01/22/44		400		466,900
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN		2.375%		10/26/21		1,325		1,286,490
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,710		1,836,065
TOTAL SOVEREIGN BONDS (cost $19,564,944)								19,466,989
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.7%
Federal Home Loan Banks(i)		5.500%		07/15/36		1,080		1,416,672
Federal Home Loan Mortgage Corp.		3.000%		TBA		1,000		1,026,099
Federal Home Loan Mortgage Corp.		3.000%		06/01/45		1,352		1,347,410
Federal Home Loan Mortgage Corp.		3.000%		06/01/45		5,524		5,496,087
Federal Home Loan Mortgage Corp.		4.000%		10/01/41		799		839,389
Federal Home Loan Mortgage Corp.		4.000%		01/01/42		251		263,910
Federal Home Loan Mortgage Corp.		3.000%		07/01/43		2,847		2,841,618
Federal Home Loan Mortgage Corp.		2.500%		01/20/30		7,500		7,513,477
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		804		806,911
Federal Home Loan Mortgage Corp.		2.665%	(b)	12/01/35		275		290,003
Federal Home Loan Mortgage Corp.		2.875%	(b)	06/01/36		418		441,733
Federal Home Loan Mortgage Corp.		3.000%		10/01/28		700		719,846
Federal Home Loan Mortgage Corp.		3.000%		06/01/29		1,664		1,711,071
Federal Home Loan Mortgage Corp.		3.000%		01/01/43		1,451		1,450,000
Federal Home Loan Mortgage Corp.		3.500%		12/01/25		686		719,624
Federal Home Loan Mortgage Corp.		3.500%		08/01/26		1,247		1,308,358
Federal Home Loan Mortgage Corp.		3.500%		06/01/42		530		545,465
Federal Home Loan Mortgage Corp.		3.500%		TBA		21,000		21,502,801
Federal Home Loan Mortgage Corp.		4.000%		06/01/26		1,077		1,133,545
Federal Home Loan Mortgage Corp.		4.000%		09/01/26		574		603,536
Federal Home Loan Mortgage Corp.		4.000%		10/01/39		1,192		1,258,045
Federal Home Loan Mortgage Corp.		4.000%		12/01/40		626		661,004
Federal Home Loan Mortgage Corp.		4.000%		TBA		11,000		11,553,652
Federal Home Loan Mortgage Corp.		4.000%		10/01/45		1,633		1,715,533
Federal Home Loan Mortgage Corp.		4.500%		02/01/19		4		4,502
Federal Home Loan Mortgage Corp.		4.500%		07/01/19		158		162,478
Federal Home Loan Mortgage Corp.		4.500%		07/01/20		95		98,252
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		488		526,602
Federal Home Loan Mortgage Corp.		4.500%		10/01/39		2,830		3,046,440
Federal Home Loan Mortgage Corp.		4.500%		12/01/39		880		947,035
Federal Home Loan Mortgage Corp.		4.500%		07/01/41		341		367,922
Federal Home Loan Mortgage Corp.		4.500%		07/01/41		2,567		2,771,858
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		844		906,455

SEE NOTES TO FINANCIAL STATEMENTS.

A92

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		255	$	274,208
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		184		197,308
Federal Home Loan Mortgage Corp.		4.500%		10/01/41		674		727,706
Federal Home Loan Mortgage Corp.		5.000%		07/01/18		82		83,570
Federal Home Loan Mortgage Corp.		5.000%		12/01/18		44		44,815
Federal Home Loan Mortgage Corp.		5.000%		07/01/19		66		68,307
Federal Home Loan Mortgage Corp.		5.000%		07/01/19		130		134,041
Federal Home Loan Mortgage Corp.		5.000%		12/01/19		24		24,884
Federal Home Loan Mortgage Corp.		5.000%		05/01/34		40		44,340
Federal Home Loan Mortgage Corp.		5.000%		05/01/34		401		439,124
Federal Home Loan Mortgage Corp.		5.000%		08/01/35		44		47,822
Federal Home Loan Mortgage Corp.		5.000%		09/01/35		63		68,603
Federal Home Loan Mortgage Corp.		5.000%		10/01/36		65		70,569
Federal Home Loan Mortgage Corp.		5.000%		05/01/37		43		47,277
Federal Home Loan Mortgage Corp.		5.000%		07/01/37		871		951,816
Federal Home Loan Mortgage Corp.		5.000%		09/01/38		120		130,602
Federal Home Loan Mortgage Corp.		5.000%		09/01/38		101		109,572
Federal Home Loan Mortgage Corp.		5.000%		09/01/38		105		114,234
Federal Home Loan Mortgage Corp.		5.000%		02/01/39		41		44,722
Federal Home Loan Mortgage Corp.		5.000%		06/01/39		108		117,532
Federal Home Loan Mortgage Corp.		5.500%		02/01/34		38		42,405
Federal Home Loan Mortgage Corp.		5.500%		04/01/34		347		385,876
Federal Home Loan Mortgage Corp.		5.500%		06/01/34		218		245,022
Federal Home Loan Mortgage Corp.		5.500%		06/01/34		236		265,609
Federal Home Loan Mortgage Corp.		5.500%		05/01/37		97		107,987
Federal Home Loan Mortgage Corp.		5.500%		02/01/38		783		873,204
Federal Home Loan Mortgage Corp.		5.500%		05/01/38		137		153,105
Federal Home Loan Mortgage Corp.		5.500%		07/01/38		670		744,961
Federal Home Loan Mortgage Corp.		6.000%		03/01/32		336		386,900
Federal Home Loan Mortgage Corp.		6.000%		12/01/33		110		123,832
Federal Home Loan Mortgage Corp.		6.000%		07/01/36		7		7,613
Federal Home Loan Mortgage Corp.		6.000%		12/01/36		16		18,345
Federal Home Loan Mortgage Corp.		6.000%		05/01/37		25		28,585
Federal Home Loan Mortgage Corp.		6.000%		12/01/37		66		74,607
Federal Home Loan Mortgage Corp.		6.000%		01/01/38		15		17,254
Federal Home Loan Mortgage Corp.		6.000%		01/01/38		533		603,506
Federal Home Loan Mortgage Corp.		6.000%		01/01/38		27		30,987
Federal Home Loan Mortgage Corp.		6.000%		10/01/38		115		131,823
Federal Home Loan Mortgage Corp.		6.000%		08/01/39		78		89,313
Federal Home Loan Mortgage Corp.		6.750%		03/15/31		700		986,572
Federal Home Loan Mortgage Corp.		7.000%		01/01/31		37		41,816
Federal Home Loan Mortgage Corp.		7.000%		06/01/31		34		38,128
Federal Home Loan Mortgage Corp.		7.000%		09/01/31		5		6,261
Federal Home Loan Mortgage Corp.		7.000%		10/01/31		70		78,346
Federal Home Loan Mortgage Corp.		7.000%		10/01/32		34		35,911
Federal National Mortgage Assoc.		2.000%		08/01/31		1,966		1,916,397
Federal National Mortgage Assoc.		3.000%		08/01/30		1,721		1,767,998
Federal National Mortgage Assoc.		3.000%		02/01/31		5,125		5,264,163
Federal National Mortgage Assoc.		3.000%		05/01/31		3,379		3,470,895
Federal National Mortgage Assoc.		3.000%		04/01/43		9,600		9,597,488
Federal National Mortgage Assoc.		3.000%		07/01/43		4,452		4,450,804
Federal National Mortgage Assoc.		3.500%		04/01/43		860		886,798
Federal National Mortgage Assoc.		3.500%		04/01/43		2,173		2,238,972
Federal National Mortgage Assoc.		1.875%		09/24/26		300		275,618
Federal National Mortgage Assoc.		2.432%	(b)	07/01/33		258		270,438
Federal National Mortgage Assoc.		2.500%		01/01/28		1,846		1,851,199
Federal National Mortgage Assoc.		2.500%		10/01/43		1,313		1,256,027
Federal National Mortgage Assoc.		2.500%		TBA		2,500		2,378,376
Federal National Mortgage Assoc.		2.560%	(b)	06/01/37		138		138,399

SEE NOTES TO FINANCIAL STATEMENTS.

A93

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.		3.000%	02/01/27		3,133	$	3,222,836
Federal National Mortgage Assoc.		3.000%	11/01/36		3,970		4,021,632
Federal National Mortgage Assoc.		3.000%	12/01/42		1,757		1,756,411
Federal National Mortgage Assoc.		3.000%	12/01/42		2,948		2,947,240
Federal National Mortgage Assoc.		3.000%	08/01/43		5,744		5,742,111
Federal National Mortgage Assoc.		3.500%	07/01/27		2,379		2,483,983
Federal National Mortgage Assoc.		3.500%	06/01/39		989		1,015,589
Federal National Mortgage Assoc.		3.500%	01/01/42		9,482		9,778,385
Federal National Mortgage Assoc.		3.500%	05/01/42		4,699		4,846,797
Federal National Mortgage Assoc.		3.500%	06/01/42		1,329		1,370,954
Federal National Mortgage Assoc.		3.500%	07/01/42		1,229		1,267,377
Federal National Mortgage Assoc.		3.500%	08/01/42		1,489		1,535,690
Federal National Mortgage Assoc.		3.500%	08/01/42		485		499,936
Federal National Mortgage Assoc.		3.500%	09/01/42		1,230		1,267,489
Federal National Mortgage Assoc.		3.500%	09/01/42		2,281		2,351,774
Federal National Mortgage Assoc.		3.500%	11/01/42		903		931,229
Federal National Mortgage Assoc.		3.500%	03/01/43		4,816		4,964,783
Federal National Mortgage Assoc.		3.500%	07/01/43		423		436,528
Federal National Mortgage Assoc.		4.000%	TBA		34,500		36,270,147
Federal National Mortgage Assoc.		4.000%	10/01/41		4,410		4,657,232
Federal National Mortgage Assoc.		4.000%	09/01/44		4,909		5,162,203
Federal National Mortgage Assoc.		4.500%	11/01/18		88		90,025
Federal National Mortgage Assoc.		4.500%	01/01/19		105		108,229
Federal National Mortgage Assoc.		4.500%	01/01/19		31		32,195
Federal National Mortgage Assoc.		4.500%	02/01/19		63		64,956
Federal National Mortgage Assoc.		4.500%	05/01/19		51		52,724
Federal National Mortgage Assoc.		4.500%	07/01/33		90		97,126
Federal National Mortgage Assoc.		4.500%	08/01/33		25		27,318
Federal National Mortgage Assoc.		4.500%	09/01/33		76		81,688
Federal National Mortgage Assoc.		4.500%	10/01/33		215		232,321
Federal National Mortgage Assoc.		4.500%	03/01/34		61		65,686
Federal National Mortgage Assoc.		4.500%	01/01/35		4		4,397
Federal National Mortgage Assoc.		4.500%	TBA		5,500		5,915,722
Federal National Mortgage Assoc.		4.500%	07/01/39		1,379		1,492,488
Federal National Mortgage Assoc.		4.500%	08/01/39		1,096		1,188,584
Federal National Mortgage Assoc.		4.500%	09/01/39		827		890,735
Federal National Mortgage Assoc.		4.500%	12/01/39		9		9,487
Federal National Mortgage Assoc.		4.500%	03/01/41		2,664		2,885,995
Federal National Mortgage Assoc.		4.500%	07/01/42		228		246,011
Federal National Mortgage Assoc.		5.000%	10/01/18		31		31,904
Federal National Mortgage Assoc.		5.000%	01/01/19		72		74,068
Federal National Mortgage Assoc.		5.000%	03/01/34		411		448,189
Federal National Mortgage Assoc.		5.000%	01/01/35		7,000		7,625,625
Federal National Mortgage Assoc.		5.000%	04/01/35		986		1,082,325
Federal National Mortgage Assoc.		5.000%	06/01/35		244		267,744
Federal National Mortgage Assoc.		5.000%	07/01/35		256		279,558
Federal National Mortgage Assoc.		5.000%	07/01/35		176		191,940
Federal National Mortgage Assoc.		5.000%	09/01/35		154		169,513
Federal National Mortgage Assoc.		5.000%	11/01/35		151		165,826
Federal National Mortgage Assoc.		5.000%	02/01/36		141		154,421
Federal National Mortgage Assoc.		5.500%	12/01/17		22		22,287
Federal National Mortgage Assoc.		5.500%	02/01/18		11		11,597
Federal National Mortgage Assoc.		5.500%	05/01/20		49		50,922
Federal National Mortgage Assoc.		5.500%	01/01/21		169		178,334
Federal National Mortgage Assoc.		5.500%	02/01/33		278		311,180
Federal National Mortgage Assoc.		5.500%	08/01/33		312		354,169
Federal National Mortgage Assoc.		5.500%	10/01/33		80		89,473
Federal National Mortgage Assoc.		5.500%	12/01/33		84		94,689
Federal National Mortgage Assoc.		5.500%	12/01/34		271		304,189

SEE NOTES TO FINANCIAL STATEMENTS.

A94

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.		5.500%	10/01/35		1,138	$	1,276,134
Federal National Mortgage Assoc.		5.500%	03/01/36		161		178,357
Federal National Mortgage Assoc.		5.500%	04/01/36		196		219,871
Federal National Mortgage Assoc.		5.500%	01/01/37		122		136,086
Federal National Mortgage Assoc.		5.500%	04/01/37		69		77,328
Federal National Mortgage Assoc.		5.500%	05/01/37		407		457,719
Federal National Mortgage Assoc.		5.500%	08/01/37		485		544,598
Federal National Mortgage Assoc.		6.000%	09/01/17		3		2,570
Federal National Mortgage Assoc.		6.000%	05/01/21		145		155,272
Federal National Mortgage Assoc.		6.000%	10/01/33		472		547,707
Federal National Mortgage Assoc.		6.000%	11/01/33		48		54,758
Federal National Mortgage Assoc.		6.000%	11/01/33		51		58,530
Federal National Mortgage Assoc.		6.000%	12/01/33		21		23,865
Federal National Mortgage Assoc.		6.000%	01/01/34		432		493,637
Federal National Mortgage Assoc.		6.000%	02/01/34		183		210,443
Federal National Mortgage Assoc.		6.000%	03/01/34		4		4,041
Federal National Mortgage Assoc.		6.000%	03/01/34		82		94,102
Federal National Mortgage Assoc.		6.000%	03/01/34		34		37,950
Federal National Mortgage Assoc.		6.000%	11/01/34		88		99,411
Federal National Mortgage Assoc.		6.000%	01/01/35		245		281,643
Federal National Mortgage Assoc.		6.000%	01/01/35		98		113,419
Federal National Mortgage Assoc.		6.000%	02/01/35		5		5,497
Federal National Mortgage Assoc.		6.000%	02/01/35		326		376,383
Federal National Mortgage Assoc.		6.000%	02/01/35		249		282,418
Federal National Mortgage Assoc.		6.000%	04/01/35		31		35,461
Federal National Mortgage Assoc.		6.000%	12/01/35		317		359,280
Federal National Mortgage Assoc.		6.000%	05/01/36		72		82,010
Federal National Mortgage Assoc.		6.000%	06/01/36		37		41,732
Federal National Mortgage Assoc.		6.000%	02/01/37		133		151,073
Federal National Mortgage Assoc.		6.000%	06/01/37		89		101,320
Federal National Mortgage Assoc.		6.000%	05/01/38		366		415,162
Federal National Mortgage Assoc.(i)(j)		6.250%	05/15/29		1,935		2,564,864
Federal National Mortgage Assoc.		6.500%	07/01/17		1		1,012
Federal National Mortgage Assoc.		6.500%	09/01/17		8		7,589
Federal National Mortgage Assoc.		6.500%	09/01/32		61		69,139
Federal National Mortgage Assoc.		6.500%	09/01/32		15		17,081
Federal National Mortgage Assoc.		6.500%	09/01/32		10		11,556
Federal National Mortgage Assoc.		6.500%	09/01/32		52		58,582
Federal National Mortgage Assoc.		6.500%	09/01/32		8		8,579
Federal National Mortgage Assoc.		6.500%	10/01/32		73		82,680
Federal National Mortgage Assoc.		6.500%	04/01/33		106		123,415
Federal National Mortgage Assoc.		6.500%	11/01/33		98		111,142
Federal National Mortgage Assoc.		6.500%	01/01/34		82		92,248
Federal National Mortgage Assoc.		6.500%	09/01/34		81		91,895
Federal National Mortgage Assoc.		6.500%	10/01/34		145		163,906
Federal National Mortgage Assoc.		6.500%	09/01/36		229		259,030
Federal National Mortgage Assoc.		6.500%	10/01/36		78		89,451
Federal National Mortgage Assoc.		6.500%	11/01/36		81		91,495
Federal National Mortgage Assoc.		6.500%	01/01/37		43		48,325
Federal National Mortgage Assoc.		6.500%	01/01/37		121		137,158
Federal National Mortgage Assoc.		6.500%	09/01/37		33		37,748
Federal National Mortgage Assoc.(j)		6.625%	11/15/30		630		876,384
Federal National Mortgage Assoc.		7.000%	02/01/32		41		46,667
Federal National Mortgage Assoc.		7.000%	03/01/32		2		2,098
Federal National Mortgage Assoc.		7.000%	05/01/32		23		26,922
Federal National Mortgage Assoc.		7.000%	06/01/32		18		20,417
Federal National Mortgage Assoc.		7.000%	07/01/32		75		84,620
Federal National Mortgage Assoc.(i)(j)		7.125%	01/15/30		4,210		6,007,527
Federal National Mortgage Assoc.		7.500%	05/01/32		18		18,141

SEE NOTES TO FINANCIAL STATEMENTS.

A95

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.		3.000%	TBA		20,500	$	20,756,650
Government National Mortgage Assoc.		3.000%	03/15/45		2,053		2,077,714
Government National Mortgage Assoc.		3.500%	TBA		13,500		14,033,408
Government National Mortgage Assoc.		3.500%	05/20/43		651		679,592
Government National Mortgage Assoc.		3.500%	03/20/45		3,188		3,317,160
Government National Mortgage Assoc.		3.500%	04/20/45		4,523		4,706,374
Government National Mortgage Assoc.		4.000%	06/15/40		315		335,792
Government National Mortgage Assoc.		4.000%	TBA		4,000		4,247,890
Government National Mortgage Assoc.		4.000%	05/20/41		541		577,901
Government National Mortgage Assoc.		4.500%	TBA		2,000		2,162,734
Government National Mortgage Assoc.		4.500%	04/15/40		1,474		1,599,383
Government National Mortgage Assoc.		4.500%	01/20/41		2,344		2,528,442
Government National Mortgage Assoc.		4.500%	02/20/41		1,527		1,644,501
Government National Mortgage Assoc.		5.000%	10/20/37		253		279,601
Government National Mortgage Assoc.		5.000%	04/20/45		1,647		1,772,179
Government National Mortgage Assoc.		5.500%	11/15/32		121		137,002
Government National Mortgage Assoc.		5.500%	02/15/33		104		117,208
Government National Mortgage Assoc.		5.500%	08/15/33		181		201,729
Government National Mortgage Assoc.		5.500%	08/15/33		175		198,590
Government National Mortgage Assoc.		5.500%	09/15/33		112		124,415
Government National Mortgage Assoc.		5.500%	09/15/33		86		95,543
Government National Mortgage Assoc.		5.500%	10/15/33		141		161,451
Government National Mortgage Assoc.		5.500%	12/15/33		28		32,044
Government National Mortgage Assoc.		5.500%	02/15/34		48		53,142
Government National Mortgage Assoc.		5.500%	04/15/34		528		602,117
Government National Mortgage Assoc.		5.500%	07/15/35		124		139,515
Government National Mortgage Assoc.		5.500%	02/15/36		165		187,404
Government National Mortgage Assoc.		6.000%	02/15/33		4		4,635
Government National Mortgage Assoc.		6.000%	04/15/33		25		28,764
Government National Mortgage Assoc.		6.000%	09/15/33		34		38,936
Government National Mortgage Assoc.		6.000%	12/15/33		159		181,565
Government National Mortgage Assoc.		6.000%	12/15/33		53		61,619
Government National Mortgage Assoc.		6.000%	01/15/34		30		35,176
Government National Mortgage Assoc.		6.000%	01/15/34		53		63,149
Government National Mortgage Assoc.		6.000%	06/20/34		115		133,937
Government National Mortgage Assoc.		6.000%	07/15/34		249		285,126
Government National Mortgage Assoc.		6.000%	10/15/34		218		250,850
Government National Mortgage Assoc.		6.500%	10/15/23		2		1,752
Government National Mortgage Assoc.		6.500%	12/15/23		7		8,490
Government National Mortgage Assoc.		6.500%	01/15/24		29		33,522
Government National Mortgage Assoc.		6.500%	01/15/24		84		95,676
Government National Mortgage Assoc.		6.500%	01/15/24		8		9,385
Government National Mortgage Assoc.		6.500%	01/15/24		30		34,402
Government National Mortgage Assoc.		6.500%	01/15/24		2		2,633
Government National Mortgage Assoc.		6.500%	01/15/24		3		3,508
Government National Mortgage Assoc.		6.500%	01/15/24		2		2,823
Government National Mortgage Assoc.		6.500%	01/15/24		7		7,920
Government National Mortgage Assoc.		6.500%	02/15/24		7		7,619
Government National Mortgage Assoc.		6.500%	02/15/24		33		37,870
Government National Mortgage Assoc.		6.500%	02/15/24		40		46,168
Government National Mortgage Assoc.		6.500%	02/15/24		32		36,444
Government National Mortgage Assoc.		6.500%	02/15/24		6		6,649
Government National Mortgage Assoc.		6.500%	02/15/24		6		6,428
Government National Mortgage Assoc.		6.500%	02/15/24		1		964
Government National Mortgage Assoc.		6.500%	02/15/24		1		772
Government National Mortgage Assoc.		6.500%	02/15/24		19		21,375
Government National Mortgage Assoc.		6.500%	02/15/24		27		30,320
Government National Mortgage Assoc.		6.500%	02/15/24		8		9,035
Government National Mortgage Assoc.		6.500%	03/15/24		11		12,946

SEE NOTES TO FINANCIAL STATEMENTS.

A96

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Government National Mortgage Assoc.		6.500%		04/15/24		3		$	3,815
Government National Mortgage Assoc.		6.500%		04/15/24		8			9,562
Government National Mortgage Assoc.		6.500%		04/15/24		13			14,737
Government National Mortgage Assoc.		6.500%		04/15/24		1			1,655
Government National Mortgage Assoc.		6.500%		04/15/24		7			7,704
Government National Mortgage Assoc.		6.500%		04/15/24		22			24,945
Government National Mortgage Assoc.		6.500%		04/15/24		3			3,939
Government National Mortgage Assoc.		6.500%		04/15/24		4			4,261
Government National Mortgage Assoc.		6.500%		05/15/24		—	(k)		566
Government National Mortgage Assoc.		6.500%		05/15/24		21			23,919
Government National Mortgage Assoc.		6.500%		05/15/24		23			26,004
Government National Mortgage Assoc.		6.500%		10/15/24		36			40,539
Government National Mortgage Assoc.		6.500%		12/15/30		12			13,821
Government National Mortgage Assoc.		6.500%		01/15/32		27			30,746
Government National Mortgage Assoc.		6.500%		02/15/32		26			29,606
Government National Mortgage Assoc.		6.500%		07/15/32		56			63,725
Government National Mortgage Assoc.		6.500%		08/15/32		9			10,263
Government National Mortgage Assoc.		6.500%		08/15/32		12			13,268
Government National Mortgage Assoc.		6.500%		08/15/32		45			51,893
Government National Mortgage Assoc.		6.500%		08/15/32		303			349,222
Government National Mortgage Assoc.		6.500%		06/15/35		60			69,614
Government National Mortgage Assoc.		6.500%		06/15/35		6			6,535
Government National Mortgage Assoc.		6.500%		07/15/35		8			8,797
Government National Mortgage Assoc.		8.000%		01/15/24		13			13,035
Government National Mortgage Assoc.		8.000%		04/15/25		11			12,609
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		3,948			4,016,036
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%		12/04/23		250			297,409
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%		04/26/24		1,090			1,306,636
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.804%	(g)	01/15/30		950			620,958
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.967%	(g)	04/15/30		2,100			1,360,002
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30		1,310			1,866,145
Tunisia Government AID Bonds, U.S. Gov’t. Gtd. Notes		1.416%		08/05/21		1,000			966,642
Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes		1.471%		09/29/21		1,200			1,171,493
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $336,284,090)									337,721,379
U.S. TREASURY OBLIGATIONS — 2.2%
U.S. Treasury Bonds		2.250%		08/15/46		720			605,390
U.S. Treasury Bonds		2.875%		11/15/46		1,520			1,467,513
U.S. Treasury Inflation Indexed Bonds, TIPS		2.375%		01/15/25		22,672			26,031,864
U.S. Treasury Notes		1.375%		12/15/19		145			144,655
U.S. Treasury Notes		1.625%		04/30/23		3,955			3,825,229
U.S. Treasury Notes(a)		1.750%		11/30/21		8,915			8,848,485
U.S. Treasury Notes(a)		2.000%		11/15/26		2,081			2,002,230
U.S. Treasury Notes(a)		2.125%		11/30/23		9,380			9,317,707
U.S. Treasury Notes		2.125%		05/15/25		12,560			12,312,719
U.S. Treasury Notes		2.250%		12/31/23		3,390			3,391,590
U.S. Treasury Strips Coupon		2.184%	(g)	02/15/28		5,465			4,042,881
U.S. Treasury Strips Coupon(i)		2.241%	(g)	05/15/28		2,735			2,003,349
U.S. Treasury Strips Coupon		2.280%	(g)	02/15/29		2,735			1,953,983
U.S. Treasury Strips Coupon		2.384%	(g)	05/15/29		5,640			4,001,563
U.S. Treasury Strips Coupon		2.783%	(g)	08/15/29		1,400			985,139
U.S. Treasury Strips Coupon		2.878%	(g)	05/15/31		1,400			927,686
U.S. Treasury Strips Coupon		3.042%	(g)	11/15/35		2,800			1,585,884
U.S. Treasury Strips Coupon		3.202%	(g)	08/15/40		2,800			1,322,689
TOTAL U.S. TREASURY OBLIGATIONS (cost $86,102,462)									84,770,556
TOTAL LONG-TERM INVESTMENTS (cost $3,136,548,806)									3,652,607,264

SEE NOTES TO FINANCIAL STATEMENTS.

A97

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

SHORT-TERM INVESTMENTS — 12.3%
AFFILIATED MUTUAL FUNDS — 12.2%						Shares		Value (Note 2)
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(l)							14,048,305	$	130,227,786
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(l)							232,009,632		232,009,632
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $113,103,987; includes $113,030,605 of cash collateral for securities on loan)(l)(m)							113,089,176		113,111,794
TOTAL AFFILIATED MUTUAL FUNDS (cost $483,006,410)(Note 4)									475,349,212
	Interest Rate			Maturity Date		Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills (cost $4,146,241)(i)		0.448%	(e)		03/16/17		4,150		4,145,850
TOTAL SHORT-TERM INVESTMENTS (cost $487,152,651)									479,495,062
TOTAL INVESTMENTS — 106.2% (cost $3,623,701,457)									4,132,102,326
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (6.2)%									(242,269,102	)
NET ASSETS — 100.0%								$	3,889,833,224

See Glossary for abbreviations used in the annual report.

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $110,460,076; cash collateral of $113,030,605 (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 December 31, 2016.

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

(d) Indicates a Level 3 security. The aggregate value of Level 3 securities is $29,465,243 and 0.8% of net assets.

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

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

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

(h) Represents CAS issued by Fannie Mae or STACR security issued by Freddie Mac.

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

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

(k) Principal amount is less than $500 par.

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

(m) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A98

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Futures contracts outstanding at December 31, 2016:

Number of Contracts		Type		Expiration Date		Value at Trade Date		Value at December 31, 2016		Unrealized Appreciation (Depreciation)
	Long Positions:
	972		2 Year U.S. Treasury Notes		Mar. 2017	$	210,591,224	$	210,620,250	$	29,026
	1,366		5 Year U.S. Treasury Notes		Mar. 2017		161,126,649		160,729,109		(397,540	)
	375		10 Year U.S. Treasury Notes		Mar. 2017		46,501,197		46,605,469		104,272
	474		30 Year U.S. Ultra Treasury Bonds		Mar. 2017		76,454,617		75,958,500		(496,117	)
	12		Mini MSCI EAFE Index		Mar. 2017		1,011,385		1,005,360		(6,025	)
											(766,384	)
	Short Position:
	247		20 Year U.S. Treasury Bonds		Mar. 2017		37,259,984		37,212,094		47,890
										$	(718,494	)

A U.S. Treasury Obligation with a market value of $4,145,850 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations and a U.S. Treasury Obligation with a combined market value of $4,834,200 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.

Credit default swap agreements outstanding at December 31, 2016:
Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2016(4)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swap on credit indices—Buy Protection(1):
CDX.NA.IG.24.V1		06/20/20		1.000%		51,500	$	(969,274	)	$	(861,175	)	$	108,099

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 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 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 credit indices, asset-backed securities and centrally cleared corporate and/or sovereign issues 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.

(5) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of OTC credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

SEE NOTES TO FINANCIAL STATEMENTS.

A99

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Interest rate swap agreements outstanding at December 31, 2016:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	152,125		09/09/17		0.539%	1 Day USOIS(1)	$	437		$	190,060		$	189,623
	127,920		10/18/17		0.607%	1 Day USOIS(1)		265			148,055			147,790
	71,095		11/09/17		0.626%	1 Day USOIS(1)		310			94,476			94,166
	2,720		07/11/18		0.947%	3 Month LIBOR(1)		156			15,679			15,523
	11,300		05/31/22		2.200%	3 Month LIBOR(1)		(22,921	)		(112,579	)		(89,658	)
	26,415		11/30/22		1.850%	3 Month LIBOR(1)		293			309,236			308,943
	8,160		11/30/22		1.982%	3 Month LIBOR(1)		195			34,518			34,323
	2,300		12/31/22		1.405%	3 Month LIBOR(1)		162			86,854			86,692
	1,600		12/31/22		1.406%	3 Month LIBOR(1)		159			60,286			60,127
	3,400		12/31/22		1.409%	3 Month LIBOR(1)		169			127,626			127,457
	900		12/31/22		1.412%	3 Month LIBOR(1)		155			33,644			33,489
	1,350		12/31/22		1.495%	3 Month LIBOR(1)		157			44,009			43,852
	2,730		05/31/23		1.203%	3 Month LIBOR(2)		165			150,043			149,878
	2,470		05/31/23		1.399%	3 Month LIBOR(1)		(44,914	)		106,296			151,210
	11,115		08/02/23		—(3)	—(3)		(3,748	)		30,255			34,003
	4,285		08/03/23		—(4)	—(4)		(1,695	)		12,043			13,738
	16,870		08/02/23		—(5)	—(5)		1,251			48,664			47,413
	8,140		08/19/23		0.898%	1 Day USOIS(1)		194			436,270			436,076
	10,850		10/27/23		1.073%	1 Day USOIS(1)		209			491,486			491,277
	7,420		09/04/25		2.214%	3 Month LIBOR(1)		203			29,044			28,841
	28,775		01/08/26		2.210%	3 Month LIBOR(1)		292			177,840			177,548
	330		05/15/26		1.652%	3 Month LIBOR(1)		11			18,420			18,409
	2,150		05/15/37		2.726%	3 Month LIBOR(2)		185			49,011			48,826
	2,970		11/15/41		1.869%	3 Month LIBOR(1)		11,525			408,710			397,185
							$	(56,785	)	$	2,989,946		$	3,046,731

U.S. Government Agency Obligations with a combined market value of $5,474,675 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared credit default and interest rate swap contracts at December 31, 2016.

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

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

(3) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps.

(4) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps.

(5) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps.

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 ratesand other observable inputs.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A100

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	2,384,111,305		$	36,508,461	$	—
Unaffiliated Exchange Traded Fund		222,260			—		—
Preferred Stocks		568,040			413,160		—
Asset-Backed Securities
Collateralized Loan Obligations		—			51,750,368		—
Non-Residential Mortgage-Backed Securities		—			86,052,443		—
Residential Mortgage-Backed Securities		—			19,921,622		—
Bank Loans		—			8,346,765		—
Commercial Mortgage-Backed Securities		—			154,081,601		—
Corporate Bonds		—			367,444,705		—
Municipal Bonds		—			15,892,749		—
Non-Corporate Foreign Agencies		—			20,853,315		—
Residential Mortgage-Backed Securities		—			35,016,303		29,465,243
Sovereign Bonds		—			19,466,989		—
U.S. Government Agency Obligations		—			337,721,379		—
U.S. Treasury Obligations		—			88,916,406		—
Affiliated Mutual Funds		475,349,212			—		—
Other Financial Instruments*
Futures Contracts		(718,494	)		—		—
Centrally Cleared Credit Default Swap Agreement		—			108,099		—
Centrally Cleared Interest Rate Swap Agreements		—			3,046,731		—
Total	$	2,859,532,323		$	1,245,541,096	$	29,465,243

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1 and Level 2 to report.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):

Affiliated Mutual Funds (including 2.9% of collateral for securities on loan)	12.2	%
U.S. Government Agency Obligations	8.7
Banks	7.4
Oil, Gas & Consumable Fuels	4.4
Commercial Mortgage-Backed Securities	4.0
Software	3.2
Pharmaceuticals	3.1
Internet Software & Services	3.0
Semiconductors & Semiconductor Equipment	2.4
Technology Hardware, Storage & Peripherals	2.3
U.S. Treasury Obligations	2.3
Non-Residential Mortgage-Backed Securities	2.2
Residential Mortgage-Backed Securities	2.2
Diversified Telecommunication Services	2.1
Biotechnology	2.1
Health Care Equipment & Supplies	2.0
Insurance	1.9
Aerospace & Defense	1.9
Specialty Retail	1.8
Media	1.8
IT Services	1.8
Health Care Providers & Services	1.7
Electric Utilities	1.6

Capital Markets	1.5	%
Food Products	1.4
Beverages	1.4
Collateralized Loan Obligations	1.4
Equity Real Estate Investment Trusts (REITs)	1.3
Industrial Conglomerates	1.2
Food & Staples Retailing	1.2
Machinery	1.2
Chemicals	1.1
Diversified Financial Services	1.0
Internet & Direct Marketing Retail	1.0
Household Products	0.9
Tobacco	0.8
Multiline Retail	0.8
Hotels, Restaurants & Leisure	0.7
Airlines	0.7
Metals & Mining	0.7
Consumer Finance	0.6
Communications Equipment	0.6
Non-Corporate Foreign Agencies	0.5
Sovereign Bonds	0.5
Telecommunications	0.5	��
Oil & Gas	0.5
Electric	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A101

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Industry table (cont.)
Air Freight & Logistics	0.5	%
Healthcare-Services	0.4
Household Durables	0.4
Municipal Bonds	0.4
Multi-Utilities	0.4
Auto Components	0.4
Automobiles	0.3
Life Sciences Tools & Services	0.3
Auto Manufacturers	0.3
Energy Equipment & Services	0.3
Independent Power & Renewable Electricity Producers	0.3
Healthcare-Products	0.3
Electrical Equipment	0.3
Retail	0.2
Computers	0.2
Construction & Engineering	0.2
Real Estate Management & Development	0.2
Pipelines	0.2
Containers & Packaging	0.2
Food	0.1
Lodging	0.1
Gas Utilities	0.1
Oil & Gas Services	0.1

Leisure Products	0.1	%
Agriculture	0.1
Commercial Services & Supplies	0.1
Multi-National	0.1
Technology	0.1
Building Products	0.1
Mortgage Real Estate Investment Trusts (REITs)	0.1
Road & Rail	0.1
Mining	0.1
Miscellaneous Manufacturing	0.1
Commercial Services	0.1
Machinery-Diversified	0.1
Health Care Technology	0.1
Housewares	0.1
Forest & Paper Products	0.1
Professional Services	0.1
Building Materials	0.1
Transportation	0.1
Health Care & Pharmaceutical	0.1
	106.2
Liabilities in excess of other assets	(6.2	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:

	Asset Derivatives				Liability Derivatives
Derivatives not designated as hedging instruments, carried at fair value	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Due from/to broker — variation margin swaps	$	108,099	*	—	$	—
Equity contracts	—		—		Due from/to broker — variation margin futures		6,025	*
Interest rate contracts	Due from/to broker — variation margin futures		181,188	*	Due from/to broker — variation margin futures		893,657	*
Interest rate contracts	Due from/to broker — variation margin swaps		3,136,389	*	Due from/to broker — variation margin swaps		89,658	*
Total		$	3,425,676			$	989,340

* Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared 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 year ended December 31, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written			Futures			Forward Rate Agreements		Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—		$	—	$	(637,192	)	$	(637,192	)
Equity contracts		51		—			—			2,921,649			—		—			2,921,700
Interest rate contracts		—		(999,424	)		(515,972	)		(4,431,718	)		23,986		(2,067,055	)		(7,990,183	)
Total	$	51	$	(999,424	)	$	(515,972	)	$	(1,510,069	)	$	23,986	$	(2,704,247	)	$	(5,705,675	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A102

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Change in Unrealized Appreciation (Depreciation) 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	$	—		$	—	$	—		$	—		$	(419,113	)	$	(419,113	)
Equity contracts		(32	)		—		—			(41,298	)		—			(41,330	)
Interest rate contracts		—			409,545		(241,909	)		(1,180,112	)		4,756,378			3,743,902
Total	$	(32	)	$	409,545	$	(241,909	)	$	(1,221,410	)	$	4,337,265		$	3,283,459

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

For the year ended December 31, 2016, 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)
$119,463	$259,640,000	$394,987,234	$89,008,014
Interest Rate Swap Agreements(2)	Credit Default Swap Agreements—Buy Protection(2)	Credit Default Swap Agreements—Sell Protection(2)	Total Return Swap Agreements(2)
$296,221,000	$51,500,000	$3,210,000	$5,040,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Trade Date.

The Portfolio entered into financial transactions 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 financial transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial transactions assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received			Net Amount
Securities on Loan	$	110,460,076	$	(110,460,076	)	$	—

(1) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

A103

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2016

ASSETS
Investments at value, including securities on loan of $110,460,076:
Unaffiliated investments (cost $3,140,695,047)	$	3,656,753,114
Affiliated investments (cost $483,006,410)		475,349,212
Cash		15,775
Foreign currency, at value (cost $89,390)		88,260
Receivable for investments sold		29,199,700
Dividends and interest receivable		10,065,318
Due from broker—variation margin futures		681,988
Tax reclaim receivable		589,907
Receivable for Series shares sold		31,875
Prepaid expenses		29,451
Receivable from affiliate		2,990
Total Assets		4,172,807,590
LIABILITIES
Payable for investments purchased		167,331,586
Payable to broker for collateral for securities on loan		113,030,605
Management fee payable		1,982,403
Accrued expenses and other liabilities		330,165
Due to broker—variation margin swaps		186,376
Payable for Series shares repurchased		112,251
Affiliated transfer agent fee payable		980
Total Liabilities		282,974,366
NET ASSETS	$	3,889,833,224
Net assets were comprised of:
Paid-in capital	$	2,048,324,617
Retained earnings		1,841,508,607
Net assets, December 31, 2016	$	3,889,833,224
Net asset value and redemption price per share $3,889,833,224 / 149,668,676 outstanding shares of beneficial interest	$	25.99

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $449,375, of which $35,507 is reimbursable by an affiliate)	$	51,876,687
Interest income (net) (foreign withholding tax $6,552)		35,374,745
Affiliated dividend income		3,891,974
Income from securities lending, net (including affiliated income of $358,638)		394,648
Total income		91,538,054
EXPENSES
Management fee		22,795,712
Custodian and accounting fees (net of $25,300 fee credit)		552,000
Shareholders’ reports		248,000
Audit fee		50,000
Insurance expenses		47,000
Trustees’ fees		43,000
Legal fees and expenses		18,000
Transfer agent’s fees and expenses (including affiliated expense of $5,900)		12,000
Commitment fee on syndicated credit agreement		7,000
Miscellaneous		53,612
Total expenses		23,826,324
NET INVESTMENT INCOME (LOSS)		67,711,730
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $6,390)		134,161,861
Futures transactions		(1,510,069	)
Forward rate agreement transactions		23,986
Options written transactions		(515,972	)
Short sales transactions		(22,015	)
Swap agreement transactions		(2,704,247	)
Foreign currency transactions		(6,249	)
		129,427,295
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $4,062)		108,639,367
Futures		(1,221,410	)
Options written		(241,909	)
Swap agreements		4,337,265
Foreign currencies		(15,803	)
		111,497,510
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		240,924,805
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	308,636,535

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	67,711,730		$	67,622,207
Net realized gain (loss) on investment and foreign currency transactions		129,427,295			227,213,152
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		111,497,510			(255,176,199	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		308,636,535			39,659,160
SERIES SHARE TRANSACTIONS
Series shares sold [950,649 and 441,580 shares, respectively]		23,434,776			10,576,788
Series shares repurchased [8,662,738 and 9,397,959 shares, respectively]		(214,255,950	)		(225,231,619	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(190,821,174	)		(214,654,831	)
CAPITAL CONTRIBUTIONS (Note 4)		3,201,924			—
TOTAL INCREASE (DECREASE)		121,017,285			(174,995,671	)
NET ASSETS:
Beginning of year		3,768,815,939			3,943,811,610
End of year	$	3,889,833,224		$	3,768,815,939

SEE NOTES TO FINANCIAL STATEMENTS.

A104

	GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS		as of December 31, 2016

LONG-TERM INVESTMENTS — 97.1%
COMMON STOCKS — 96.9%	Shares		Value (Note 2)
Australia — 1.5%
Arrium Ltd.*(a)		894,400	$	14,105
Asaleo Care Ltd.		733,400		781,852
Ausdrill Ltd.*		123,200		111,754
Bendigo & Adelaide Bank Ltd.		158,500		1,449,923
Bradken Ltd.*		98,900		229,355
Caltex Australia Ltd.		26,000		570,068
Challenger Ltd.		8,400		67,871
CSR Ltd.		452,900		1,505,744
Downer EDI Ltd.		182,200		797,801
Fortescue Metals Group Ltd.		129,900		542,854
Harvey Norman Holdings Ltd.		168,800		625,447
LendLease Group		124,300		1,306,216
Macquarie Group Ltd.		48,800		3,056,939
Metcash Ltd.*		412,500		678,387
Mineral Resources Ltd.		49,900		434,342
Myer Holdings Ltd.		567,600		564,261
National Australia Bank Ltd.		33,588		741,910
Primary Health Care Ltd.		139,400		409,486
Qantas Airways Ltd.		387,619		928,556
				14,816,871
Austria — 0.3%
OMV AG		36,200		1,276,187
Voestalpine AG		28,800		1,126,176
				2,402,363
Belgium — 0.1%
AGFA-Gevaert NV*		86,100		332,288
Bekaert NV		13,500		545,665
				877,953
Brazil — 0.2%
Cielo SA		209,800		1,797,807
Canada — 2.3%
Alimentation Couche-Tard, Inc. (Class B Stock)		55,431		2,513,417
Brookfield Asset Management, Inc. (Class A Stock)		115,957		3,827,740
Canadian Natural Resources Ltd.		75,750		2,414,910
Canadian Pacific Railway Ltd.		18,400		2,626,968
Constellation Software, Inc.		6,507		2,956,877
Suncor Energy, Inc.		99,479		3,252,618
Toronto-Dominion Bank (The)		69,858		3,445,423
TransCanada Corp.(b)		24,252		1,094,978
				22,132,931
China — 1.0%
Alibaba Group Holding Ltd., ADR*(b)		40,468		3,553,495
China Overseas Land & Investment Ltd.		486,000		1,278,739
NetEase, Inc., ADR		12,081		2,601,522
Tencent Holdings Ltd.		91,600		2,221,036
Universal Health International Group Holding Ltd.*		2,473,000		113,012
				9,767,804
Denmark — 0.2%
Danske Bank A/S		61,200		1,851,530

COMMON STOCKS (continued)	Shares		Value (Note 2)
Finland — 0.7%
Kone OYJ (Class B Stock)		48,286	$	2,157,599
Sampo OYJ (Class A Stock)		62,726		2,804,028
Tieto OYJ		18,100		492,499
UPM-Kymmene OYJ		57,300		1,401,308
				6,855,434
France — 4.4%
Arkema SA		34,521		3,374,464
Atos SE		15,600		1,644,208
AXA SA		46,300		1,167,171
BNP Paribas SA		82,959		5,279,355
Carrefour SA		47,800		1,150,835
Cie Generale des Etablissements Michelin		12,000		1,333,910
CNP Assurances		46,700		864,388
Credit Agricole SA		78,500		971,730
Electricite de France SA(b)		61,800		628,809
Engie SA		35,200		448,061
Orange SA		79,700		1,208,573
Renault SA		12,300		1,092,450
Sanofi		44,400		3,590,426
SCOR SE		22,000		759,239
Societe Generale SA		28,600		1,406,748
Total SA		110,316		5,658,358
Total SA, ADR		118,650		6,047,591
Valeo SA		85,854		4,928,707
Vinci SA		12,619		858,406
				42,413,429
Germany — 2.6%
Allianz SE		9,800		1,617,377
Aurubis AG		14,200		817,248
BASF SE		18,900		1,751,590
Bayer AG		19,100		1,989,911
Bayerische Motoren Werke AG		12,200		1,136,263
Daimler AG		27,600		2,048,358
Deutsche Bank AG*		27,100		491,578
Deutsche Lufthansa AG		54,200		698,680
Deutsche Post AG		45,000		1,475,782
E.ON SE		46,000		323,609
Evonik Industries AG		36,500		1,088,025
Hannover Rueck SE		4,500		486,125
Metro AG		46,000		1,528,913
Muenchener Rueckversicherungs AG		6,800		1,284,374
Rational AG		2,354		1,049,870
Rheinmetall AG		13,300		892,576
Siemens AG		40,611		4,972,426
STADA Arzneimittel AG		8,800		454,626
Uniper SE*		4,600		63,317
Volkswagen AG		7,400		1,062,088
				25,232,736
Hong Kong — 1.2%
AIA Group Ltd.		609,400		3,413,762
China Resources Cement Holdings Ltd.		886,000		342,582
Huabao International Holdings Ltd.*		1,045,000		442,122
Kingboard Chemical Holdings Ltd.		216,000		652,337

SEE NOTES TO FINANCIAL STATEMENTS.

A105

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hong Kong (continued)
Lee & Man Paper Manufacturing Ltd.		1,244,000	$	959,232
PCCW Ltd.		870,000		470,307
Sands China Ltd.		316,400		1,365,005
Singamas Container Holdings Ltd.*		2,676,000		288,800
Skyworth Digital Holdings Ltd.		1,072,000		608,172
WH Group Ltd.		1,914,500		1,543,273
Wheelock & Co. Ltd.		97,000		544,388
Yue Yuen Industrial Holdings Ltd.		220,500		799,248
				11,429,228
India — 0.8%
HDFC Bank Ltd., ADR		76,217		4,624,847
Tata Motors Ltd., ADR		74,679		2,568,211
				7,193,058
Ireland — 2.1%
Experian PLC		179,529		3,475,996
Johnson Controls International PLC		113,948		4,693,518
Kingspan Group PLC		98,407		2,660,190
Paddy Power Betfair PLC		17,203		1,830,523
Ryanair Holdings PLC, ADR*		38,703		3,222,412
Smurfit Kappa Group PLC		35,200		806,161
XL Group Ltd.		97,502		3,632,924
				20,321,724
Israel — 0.3%
Bank Hapoalim BM		200,200		1,188,290
Elbit Systems Ltd.		6,400		646,522
Teva Pharmaceutical Industries Ltd.		16,300		586,918
				2,421,730
Italy — 0.7%
A2A SpA		420,800		543,457
Astaldi SpA(b)		62,200		353,478
Enel SpA		348,600		1,532,346
Luxottica Group SpA		63,307		3,402,538
Mediobanca SpA		87,600		713,425
				6,545,244
Japan — 8.4%
Aisan Industry Co. Ltd.		68,400		584,225
Aoyama Trading Co. Ltd.		9,900		344,022
Aozora Bank Ltd.		156,000		551,188
Asahi Kasei Corp.		103,000		896,231
Astellas Pharma, Inc.		75,600		1,048,826
Calsonic Kansei Corp.		105,000		1,609,375
Concordia Financial Group Ltd.		121,000		582,267
Daikin Industries Ltd.		39,300		3,600,230
Daito Trust Construction Co. Ltd.		14,400		2,164,865
Dowa Holdings Co. Ltd.		75,000		570,334
Enplas Corp.		18,500		544,566
FANUC Corp.		19,000		3,178,595
Fuji Electric Co. Ltd.		131,000		676,445
Fuji Heavy Industries Ltd.		85,274		3,474,439
Fujikura Ltd.		254,000		1,375,500
Fujitec Co. Ltd.		77,100		901,854
Heiwa Corp.		34,800		795,053
Hoya Corp.		44,300		1,857,473
Isuzu Motors Ltd.		78,200		988,802

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
ITOCHU Corp.		37,100	$	491,232
Japan Airlines Co. Ltd.		28,000		817,062
Kaneka Corp.		74,000		601,910
KDDI Corp.		44,800		1,131,333
Keihin Corp.		54,300		949,023
Keyence Corp.		4,700		3,215,973
Komori Corp.		40,000		522,580
Konica Minolta, Inc.		129,600		1,284,427
Kureha Corp.		25,500		957,097
KYORIN Holdings, Inc.		37,400		800,332
Kyowa Exeo Corp.		66,900		960,990
Lintec Corp.		30,000		652,763
Makita Corp.		38,100		2,545,800
Marubeni Corp.		109,700		620,472
Matsumotokiyoshi Holdings Co. Ltd.		15,400		757,618
Mitsubishi Gas Chemical Co., Inc.		117,000		1,993,613
Mitsubishi UFJ Financial Group, Inc.		755,200		4,657,563
Mizuho Financial Group, Inc.		597,700		1,072,594
NEC Corp.		213,000		563,369
Nippon Prologis REIT, Inc.		903		1,846,519
Nippon Telegraph & Telephone Corp.		62,800		2,643,576
Nishi-Nippon Financial Holdings, Inc.*		48,600		508,559
Nissan Motor Co. Ltd.		161,600		1,621,033
Nisshinbo Holdings, Inc.		81,000		779,937
Nitori Holdings Co. Ltd.		22,600		2,576,739
NTT DOCOMO, Inc.		39,300		893,889
ORIX Corp.		213,400		3,321,412
Park24 Co. Ltd.		30,300		820,505
Resona Holdings, Inc.		416,800		2,136,108
Sankyu, Inc.		126,000		760,291
Sawai Pharmaceutical Co. Ltd.		9,200		493,159
Seino Holdings Co. Ltd.		52,600		582,832
Shimachu Co. Ltd.		30,700		816,894
SKY Perfect JSAT Holdings, Inc.		151,000		693,741
Sumitomo Heavy Industries Ltd.		116,000		744,854
Sumitomo Mitsui Financial Group, Inc.		33,900		1,291,013
Sumitomo Osaka Cement Co. Ltd.		184,500		695,167
T-Gaia Corp.		39,000		633,657
Toagosei Co. Ltd.		73,500		721,427
Toho Holdings Co. Ltd.		36,900		735,423
Towa Pharmaceutical Co. Ltd.		9,400		367,900
Toyo Tire & Rubber Co. Ltd.		35,200		437,206
Toyoda Gosei Co. Ltd.		33,200		774,861
Toyota Motor Corp.		15,730		922,225
Tsubakimoto Chain Co.		85,000		689,215
Tsumura & Co.		15,700		432,120
Ube Industries Ltd.		301,000		628,971
Yokohama Rubber Co. Ltd. (The)		45,000		804,387
				80,713,661
Liechtenstein
VP Bank AG		1,765		187,093
Mexico — 0.1%
Wal-Mart de Mexico SAB de CV		419,400		750,603
Netherlands — 3.0%
ABN AMRO Group NV		28,800		637,685
Aegon NV		95,000		521,898

SEE NOTES TO FINANCIAL STATEMENTS.

A106

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Netherlands (continued)
ING Groep NV , CVA		75,400	$	1,061,542
Koninklijke Ahold Delhaize NV		70,500		1,484,946
Koninklijke Philips NV		89,883		2,747,905
NN Group NV		46,800		1,584,304
NXP Semiconductors NV*		118,962		11,659,466
Royal Dutch Shell PLC (Class A Stock)		137,501		3,750,434
Royal Dutch Shell PLC (Class A Stock), ADR		79,650		4,331,367
Royal Dutch Shell PLC (Class B Stock)		36,900		1,060,214
				28,839,761
New Zealand — 0.2%
Air New Zealand Ltd.		606,600		923,800
Fletcher Building Ltd.		88,500		650,276
				1,574,076
Norway — 0.3%
DNB ASA		68,200		1,012,450
Salmar ASA		18,100		540,482
Statoil ASA		37,300		680,788
Yara International ASA		23,200		912,666
				3,146,386
Singapore — 0.2%
DBS Group Holdings Ltd.		81,200		968,784
Wilmar International Ltd.		302,500		747,314
				1,716,098
South Africa — 0.3%
Bid Corp. Ltd.		89,464		1,585,665
Mondi PLC		52,500		1,072,174
				2,657,839
Spain — 1.1%
Amadeus IT Holding SA (Class A Stock)		49,623		2,250,616
Banco Santander SA		137,900		717,396
Distribuidora Internacional de Alimentacion SA		175,100		858,795
Gas Natural SDG SA		47,300		889,872
Iberdrola SA		150,200		983,495
Industria de Diseno Textil SA		90,645		3,087,920
Mapfre SA		219,300		668,012
Repsol SA		73,100		1,027,288
				10,483,394
Sweden — 0.8%
Atlas Copco AB (Class A Stock)		76,482		2,320,201
Boliden AB		36,700		953,283
Hexagon AB (Class B Stock)		60,971		2,171,540
Nordea Bank AB		83,600		926,340
Swedbank AB (Class A Stock)		29,700		715,606
Telia Co. AB		196,000		787,370
				7,874,340
Switzerland — 3.5%
Actelion Ltd.*		17,841		3,855,593
Aryzta AG		18,700		822,357

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland (continued)
Baloise Holding AG		10,300	$	1,296,100
Bucher Industries AG		2,800		688,783
Cembra Money Bank AG		12,000		872,914
Credit Suisse Group AG		113,100		1,616,316
Geberit AG		6,944		2,780,077
Georg Fischer AG		1,100		899,608
Helvetia Holding AG		1,800		968,492
Lonza Group AG		11,540		1,994,449
Partners Group Holding AG		5,036		2,357,543
Roche Holding AG		6,300		1,436,101
Swiss Life Holding AG*		7,200		2,033,848
Swiss Re AG		25,500		2,412,629
TE Connectivity Ltd.		38,350		2,656,888
UBS Group AG		66,800		1,044,449
Wolseley PLC		52,266		3,190,659
Zurich Insurance Group AG		8,400		2,308,486
				33,235,292
Taiwan — 0.5%
Taiwan Semiconductor Manufacturing Co. Ltd.		788,000		4,413,790
United Kingdom — 5.7%
3i Group PLC		120,600		1,043,244
Ashtead Group PLC		35,000		680,417
AstraZeneca PLC		11,300		617,071
Aviva PLC		129,800		773,175
BAE Systems PLC		709,374		5,159,697
Barclays PLC		266,300		730,824
Barratt Developments PLC		109,300		621,387
Beazley PLC		129,500		618,982
Bellway PLC		25,400		774,266
Berkeley Group Holdings PLC		25,300		874,597
Bovis Homes Group PLC		66,300		669,176
BP PLC		385,500		2,414,566
BT Group PLC		100,400		453,239
Carillion PLC(b)		145,900		423,336
Centrica PLC		289,000		832,338
Compass Group PLC		214,216		3,959,069
Crest Nicholson Holdings PLC		143,814		800,727
Debenhams PLC		301,400		212,721
easyJet PLC		25,500		315,422
GKN PLC		188,200		767,088
GlaxoSmithKline PLC		130,000		2,497,121
Go-Ahead Group PLC		15,200		418,506
HSBC Holdings PLC		196,000		1,581,458
IG Group Holdings PLC		176,211		1,070,917
Imperial Brands PLC		10,600		461,956
Intermediate Capital Group		53,155		457,644
Interserve PLC		82,200		346,128
J. Sainsbury PLC		536,900		1,650,145
Johnson Matthey PLC		68,451		2,678,316
Keller Group PLC		48,200		503,254
Kingfisher PLC		160,800		692,793
Lloyds Banking Group PLC		1,133,000		870,011
Man Group PLC		308,300		448,578
Meggitt PLC		115,600		652,819
Micro Focus International PLC		63,295		1,699,864
Mitie Group PLC		247,100		682,305

SEE NOTES TO FINANCIAL STATEMENTS.

A107

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
National Express Group PLC		197,400	$	860,217
Old Mutual PLC		274,800		700,736
Paragon Group Cos. PLC (The)		105,900		539,649
Premier Foods PLC*		357,756		206,525
QinetiQ Group PLC		214,000		692,775
Relx PLC		158,509		2,824,728
Rio Tinto PLC		81,768		3,121,758
Royal Mail PLC		120,900		687,247
St. James’s Place PLC		153,379		1,913,228
Vesuvius PLC		81,100		394,332
WM Morrison Supermarkets PLC		30,600		86,913
WPP PLC		139,811		3,111,292
				54,592,557
United States — 54.4%
A.O. Smith Corp.		70,704		3,347,834
Adient PLC*		25,694		1,505,668
Adobe Systems, Inc.*		88,012		9,060,835
AES Corp.		252,470		2,933,701
Aetna, Inc.		36,550		4,532,565
Akamai Technologies, Inc.*		107,134		7,143,695
Alexion Pharmaceuticals, Inc.*(b)		70,735		8,654,427
Alphabet, Inc. (Class A Stock)*		4,892		3,876,665
Alphabet, Inc. (Class C Stock)*		11,088		8,557,940
Amazon.com, Inc.*		16,097		12,070,657
American Express Co.		55,500		4,111,440
Ameriprise Financial, Inc.		37,900		4,204,626
Amgen, Inc.		4,900		716,429
Amphenol Corp. (Class A Stock)		154,610		10,389,792
ANSYS, Inc.*		54,232		5,015,918
Apache Corp.		49,400		3,135,418
Apple, Inc.		29,250		3,387,735
Applied Materials, Inc.		73,150		2,360,551
Bank of America Corp.		142,550		3,150,355
Bank of New York Mellon Corp. (The)		122,050		5,782,729
Boeing Co. (The)		28,600		4,452,448
Bunge Ltd.		37,400		2,701,776
Carnival Corp.		52,450		2,730,547
Cisco Systems, Inc.		171,350		5,178,197
Citigroup, Inc.		83,450		4,959,433
Cognizant Technology Solutions Corp. (Class A Stock)*		135,691		7,602,767
Comcast Corp. (Class A Stock)		74,400		5,137,320
Costco Wholesale Corp.(b)		67,261		10,769,159
Coty, Inc. (Class A Stock)		67,830		1,241,967
Cummins, Inc.		16,100		2,200,387
Danaher Corp.		133,195		10,367,899
DaVita, Inc.*		97,801		6,278,824
DexCom, Inc.*(b)		104,745		6,253,276
E.I. du Pont de Nemours & Co.		49,300		3,618,620
Ecolab, Inc.		86,209		10,105,419
Entergy Corp.		19,950		1,465,727
EQT Corp.		24,100		1,576,140
Estee Lauder Cos., Inc. (The) (Class A Stock)		115,801		8,857,618
Exelon Corp.		127,200		4,514,328
Exxon Mobil Corp.		72,000		6,498,720
Facebook, Inc. (Class A Stock)*		100,963		11,615,793

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Fifth Third Bancorp		193,900	$	5,229,483
FirstEnergy Corp.		59,821		1,852,656
FleetCor Technologies, Inc.*		45,553		6,446,661
Fortive Corp.		142,873		7,662,279
General Electric Co.		213,600		6,749,760
General Motors Co.		41,850		1,458,054
Genpact Ltd.*		258,037		6,280,621
Gilead Sciences, Inc.		22,650		1,621,967
Hess Corp.		45,700		2,846,653
Hologic, Inc.*		64,750		2,597,770
Illinois Tool Works, Inc.		27,350		3,349,281
International Paper Co.		42,800		2,270,968
Intuitive Surgical, Inc.*		15,069		9,556,308
Invesco Ltd.		67,050		2,034,297
Johnson & Johnson		49,200		5,668,332
JPMorgan Chase & Co.		130,200		11,234,958
Kohl’s Corp.(b)		39,850		1,967,793
Las Vegas Sands Corp.		40,000		2,136,400
Loews Corp.		72,150		3,378,785
Lowe’s Cos., Inc.		45,850		3,260,852
Marsh & McLennan Cos., Inc.		55,430		3,746,514
Mattel, Inc.(b)		86,900		2,394,095
Mead Johnson Nutrition Co.		103,981		7,357,696
Medtronic PLC		71,571		5,098,002
Merck & Co., Inc.		77,350		4,553,594
MetLife, Inc.		114,900		6,191,961
Microsoft Corp.		127,200		7,904,208
Morgan Stanley		180,800		7,638,800
News Corp. (Class A Stock)		148,200		1,698,372
Occidental Petroleum Corp.		53,400		3,803,682
PayPal Holdings, Inc.		200,276		7,904,894
PepsiCo, Inc.		42,250		4,420,617
Pfizer, Inc.		249,250		8,095,640
PG&E Corp.		136,650		8,304,220
Philip Morris International, Inc.		57,650		5,274,398
Procter & Gamble Co. (The)		41,446		3,484,780
QUALCOMM, Inc.		59,300		3,866,360
Raytheon Co.		13,850		1,966,700
Roper Technologies, Inc.		48,621		8,901,533
salesforce.com, inc.*		111,469		7,631,168
SBA Communications Corp. (Class A Stock)*		75,230		7,768,250
Shire PLC		51,554		2,943,712
Southwest Airlines Co.		61,250		3,052,700
Starbucks Corp.		209,837		11,650,150
Stericycle, Inc.*		18,370		1,415,225
T-Mobile U.S., Inc.*		21,850		1,256,594
Texas Instruments, Inc.		34,750		2,535,708
Thermo Fisher Scientific, Inc.		25,650		3,619,215
TripAdvisor, Inc.*(b)		145,673		6,754,857
Twenty-First Century Fox (Class B Stock)		163,550		4,456,737
Tyson Foods, Inc. (Class A Stock)		53,900		3,324,552
U.S. Bancorp		47,300		2,429,801
Under Armour, Inc. (Class A Stock)*(b)		70,259		2,041,024
Under Armour, Inc. (Class C Stock)*(b)		145,504		3,662,336

SEE NOTES TO FINANCIAL STATEMENTS.

A108

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
United Technologies Corp.		32,650	$	3,579,093
VEREIT, Inc.		207,745		1,757,523
Verizon Communications, Inc.		55,450		2,959,921
Visa, Inc. (Class A Stock)(b)		157,627		12,298,059
Vulcan Materials Co.		19,650		2,459,198
Wabtec Corp.(b)		87,757		7,285,586
Wal-Mart Stores, Inc.		40,050		2,768,256
Wells Fargo & Co.		113,500		6,254,985
Weyerhaeuser Co.		59,150		1,779,824
Yum China Holdings, Inc.*		64,995		1,697,669
				519,657,432
TOTAL COMMON STOCKS (cost $779,396,328)				925,902,164
PREFERRED STOCKS — 0.2%
Electric Utilities
NextEra Energy, Inc. (cost $2,218,570)(b)		45,298		2,218,696
	Units
RIGHTS*
Spain
Repsol SA, expiring 01/06/17(b) (cost $25,470)		73,100		27,086
TOTAL LONG-TERM INVESTMENTS (cost $781,640,368)				928,147,946
SHORT-TERM INVESTMENTS — 7.0%
	Shares
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(c)		23,423,919		23,423,919
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $43,410,440; includes $43,374,675 of cash collateral for securities on loan)(c)(d)		43,410,036		43,418,718
TOTAL SHORT-TERM INVESTMENTS (cost $66,834,359)(Note 4)				66,842,637
TOTAL INVESTMENTS — 104.1% (cost $848,474,727)				994,990,583
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.1)%				(39,628,975	)
NET ASSETS — 100.0%			$	955,361,608

See Glossary for abbreviations used in the annual report.

* Non-income producing security.

(a) Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,105 and 0.0% of net assets.

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $42,176,630; cash collateral of $43,374,675 (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) Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund.

(d) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

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.

A109

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	14,802,766	$	14,105
Austria		—		2,402,363		—
Belgium		—		877,953		—
Brazil		1,797,807		—		—
Canada		22,132,931		—		—
China		6,155,017		3,612,787		—
Denmark		—		1,851,530		—
Finland		—		6,855,434		—
France		6,047,591		36,365,838		—
Germany		—		25,232,736		—
Hong Kong		—		11,429,228		—
India		7,193,058		—		—
Ireland		11,548,854		8,772,870		—
Israel		—		2,421,730		—
Italy		—		6,545,244		—
Japan		508,559		80,205,102		—
Liechtenstein		—		187,093		—
Mexico		750,603		—		—
Netherlands		15,990,833		12,848,928		—
New Zealand		—		1,574,076		—
Norway		—		3,146,386		—
Singapore		—		1,716,098		—
South Africa		—		2,657,839		—
Spain		—		10,483,394		—
Sweden		—		7,874,340		—
Switzerland		2,656,888		30,578,404		—
Taiwan		—		4,413,790		—
United Kingdom		—		54,592,557		—
United States		516,713,720		2,943,712		—
Preferred Stocks		2,218,696		—		—
Rights – Spain		27,086		—		—
Affiliated Mutual Funds		66,842,637		—		—
Total	$	660,584,280	$	334,392,198	$	14,105

During the period, there were no transfers between Level 1 and Level 2 to report.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):

Banks	8.0	%
Affiliated Mutual Funds (including 4.5% of collateral for securities on loan)	7.0
Oil, Gas & Consumable Fuels	5.3
IT Services	5.0
Insurance	5.0
Internet Software & Services	4.1
Health Care Equipment & Supplies	3.8
Machinery	3.7
Capital Markets	3.5
Software	3.5
Pharmaceuticals	3.4
Chemicals	3.4
Food & Staples Retailing	2.9
Hotels, Restaurants & Leisure	2.6
Industrial Conglomerates	2.6
Semiconductors & Semiconductor Equipment	2.6

Electric Utilities	2.4	%
Electronic Equipment, Instruments & Components	2.1
Internet & Direct Marketing Retail	2.0
Biotechnology	1.9
Aerospace & Defense	1.9
Food Products	1.8
Building Products	1.7
Automobiles	1.6
Media	1.6
Diversified Telecommunication Services	1.5
Auto Components	1.4
Health Care Providers & Services	1.3
Specialty Retail	1.1
Personal Products	1.1
Airlines	1.0
Textiles, Apparel & Luxury Goods	1.0
Metals & Mining	0.9

SEE NOTES TO FINANCIAL STATEMENTS.

A110

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Industry table (cont.)
Professional Services	0.6	%
Construction Materials	0.6
Life Sciences Tools & Services	0.6
Equity Real Estate Investment Trusts (REITs)	0.6
Road & Rail	0.6
Technology Hardware, Storage & Peripherals	0.6
Trading Companies & Distributors	0.6
Household Durables	0.6
Tobacco	0.5
Real Estate Management & Development	0.5
Communications Equipment	0.5
Consumer Finance	0.5
Beverages	0.5
Commercial Services & Supplies	0.4
Household Products	0.4
Multiline Retail	0.4

Construction & Engineering	0.3	%
Paper & Forest Products	0.3
Diversified Financial Services	0.3
Wireless Telecommunication Services	0.3
Leisure Products	0.3
Containers & Packaging	0.3
Independent Power & Renewable Electricity Producers	0.3
Air Freight & Logistics	0.2
Multi-Utilities	0.2
Electrical Equipment	0.2
Gas Utilities	0.1
Thrifts & Mortgage Finance	0.1
	104.1
Liabilities in excess of other assets	(4.1	)
	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 December 31, 2016 as presented in the Statement of Assets and Liabilities:

Derivatives not designated 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	$	27,086	—	$	—

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:

For the year ended December 31, 2016, the Portfolio did not have any realized gain (loss) on derivatives recognized in income.

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*
Equity contracts	$	2,193

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

The Portfolio entered into financial transactions 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 financial transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial transactions assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received			Net Amount
Securities on Loan	$	42,176,630	$	(42,176,630	)	$	—

(1) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

A111

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2016

ASSETS
Investments at value, including securities on loan of $42,176,630:
Unaffiliated investments (cost $781,640,368)	$	928,147,946
Affiliated investments (cost $66,834,359)		66,842,637
Foreign currency, at value (cost $2,905,990)		2,893,109
Receivable for investments sold		1,896,524
Tax reclaim receivable		1,451,095
Dividends and interest receivable		1,089,961
Receivable from affiliate		23,845
Receivable for Series shares sold		3,620
Prepaid expenses		7,229
Total Assets		1,002,355,966
LIABILITIES
Payable to broker for collateral for securities on loan		43,374,675
Payable for investments purchased		2,808,029
Management fee payable		592,220
Accrued expenses and other liabilities		181,287
Payable for Series shares repurchased		37,167
Affiliated transfer agent fee payable		980
Total Liabilities		46,994,358
NET ASSETS	$	955,361,608
Net assets were comprised of:
Paid-in capital	$	706,818,283
Retained earnings		248,543,325
Net assets, December 31, 2016	$	955,361,608
Net asset value and redemption price per share $955,361,608 / 34,741,496 outstanding shares of beneficial interest	$	27.50

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) ( foreign withholding tax $1,509,894, of which $99,518 is reimbursable by an affiliate)	$	19,041,634
Income from securities lending, net (including affiliated income of $326,597)		424,539
Affiliated dividend income		175,000
Total income		19,641,173
EXPENSES
Management fee		7,065,842
Custodian and accounting fees (net of $41,400 fee credit)		337,000
Shareholders’ reports		102,000
Audit fee		33,000
Trustees’ fees		18,000
Transfer agent’s fees and expenses (including affiliated expense of $5,900)		12,000
Legal fees and expenses		12,000
Insurance expenses		10,000
Miscellaneous		48,786
Total expenses		7,638,628
Less: Management fee waiver		(126,009	)
Net expenses		7,512,619
NET INVESTMENT INCOME (LOSS)		12,128,554
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $5,373)		7,321,891
Foreign currency transactions		(353,587	)
		6,968,304
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $8,278)		20,940,203
Foreign currencies		12,039
		20,952,242
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		27,920,546
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	40,049,100

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	12,128,554		$	10,401,170
Net realized gain (loss) on investment and foreign currency transactions		6,968,304			30,378,029
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		20,952,242			(12,947,986	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		40,049,100			27,831,213
SERIES SHARE TRANSACTIONS
Series shares sold [177,123 and 10,575,719 shares, respectively]		4,692,671			267,851,761
Series shares repurchased [2,096,896 and 1,878,916 shares, respectively]		(55,475,254	)		(49,569,010	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(50,782,583	)		218,282,751
CAPITAL CONTRIBUTIONS (Note 4)		808,056			—
TOTAL INCREASE (DECREASE)		(9,925,427	)		246,113,964
NET ASSETS:
Beginning of year		965,287,035			719,173,071
End of year	$	955,361,608		$	965,287,035

SEE NOTES TO FINANCIAL STATEMENTS.

A112

	GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS		as of December 31, 2016

LONG-TERM INVESTMENTS — 98.7%
ASSET-BACKED SECURITIES — 5.4%	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 5.3%
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.480%	(a)		10/15/26		750	$	751,904
Battalion CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		2.480%	(a)		10/17/26		750		751,060
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A		2.412%	(a)		04/18/27		500		500,182
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.360%	(a)		01/15/26		600		600,963
BlueMountain CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A		2.065%	(a)		04/13/27		1,750		1,750,000
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.280%	(a)		01/17/26		250		249,917
Galaxy CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		2.350%	(a)		10/15/26		3,250		3,256,424
OZLM Funding Ltd. (Cayman Islands), Series 2012-1A, Class A1R, 144A		2.402%	(a)		07/22/27		500		500,081
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.292%	(a)		07/25/26		250		250,154
Shackleton CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.381%	(a)		05/07/26		750		752,487
Silver Spring CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		2.330%	(a)		10/15/26		1,489		1,481,770
Sound Point CLO Ltd. (Cayman Islands), Series 2015-2A, Class A, 144A		2.401%	(a)		07/20/27		750		750,760
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A		2.434%	(a)		10/25/28		500		499,887
									12,095,589
Non-Residential Mortgage-Backed Securities — 0.1%
Small Business Administration Participation Certificates, Series 1997-20A, Class 1		7.150%			01/01/17		31		30,749
Small Business Administration Participation Certificates, Series 1997-20G, Class 1		6.850%			07/01/17		25		25,066
Small Business Administration Participation Certificates, Series 1998-20I, Class 1		6.000%			09/01/18		118		120,162
									175,977
TOTAL ASSET-BACKED SECURITIES (cost $12,232,857)									12,271,566
COMMERCIAL MORTGAGE-BACKED SECURITIES — 27.2%
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3		3.515%			09/10/58		700		716,626
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%			12/10/45		1,000		994,960
Commercial Mortgage Trust, Series 2015-CR24, Class A3		3.214%			08/10/48		1,600		1,620,352
Commercial Mortgage Trust, Series 2015-CR25, Class A3		3.505%			08/10/48		1,000		1,026,280
Fannie Mae-Aces, Series 2012-M2, Class A2		2.717%			02/25/22		200		201,623
Fannie Mae-Aces, Series 2012-M13, Class A2		2.377%			05/25/22		1,850		1,837,631
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(a)		12/25/23		2,650		2,760,452
Fannie Mae-Aces, Series 2015-M1, Class AB2		2.465%			09/25/24		550		533,869
Fannie Mae-Aces, Series 2015-M3, Class AB2		2.625%			10/25/24		2,730		2,682,857
Fannie Mae-Aces, Series 2015-M8, Class AB2		2.829%	(a)		01/25/25		1,600		1,587,088
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(a)		04/25/27		1,600		1,603,547
Fannie Mae-Aces, Series 2015-M17, Class A2		2.940%	(a)		11/25/25		1,500		1,506,942
Fannie Mae-Aces, Series 2016-M11, Class A2		2.369%	(a)		07/25/26		1,200		1,138,492
Fannie Mae-Aces, Series 2016-M13, Class A2		2.477%	(a)		09/25/26		2,100		1,983,371
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5		5.085%			03/25/19		250		265,312
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO		1.621%	(a)		06/25/20		17,805		725,414
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO		1.693%	(a)		03/25/22		17,556		1,256,054
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.442%	(a)		05/25/22		8,952		563,290
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.480%	(a)		06/25/22		9,497		624,705
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2		2.573%			09/25/22		2,000		2,016,457
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO		0.883%	(a)		10/25/22		26,946		1,112,657
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2		3.310%	(a)		05/25/23		2,730		2,858,878

SEE NOTES TO FINANCIAL STATEMENTS.

A113

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2		3.060%	(a)		07/25/23		3,600	$	3,715,499
FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2		3.389%			03/25/24		3,200		3,352,491
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2		3.171%			10/25/24		4,000		4,117,131
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2		2.811%			01/25/25		3,200		3,208,472
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2		3.023%			01/25/25		4,000		4,064,681
FHLMC Multifamily Structured Pass-Through Certificates, Series K060, Class AM		3.300%			10/25/26		1,930		1,967,786
FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3		3.511%			04/25/30		400		410,651
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.759%	(a)		05/25/19		7,901		263,467
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.692%	(a)		07/25/19		7,596		257,144
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(a)		05/25/25		2,600		2,628,814
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2		3.003%			01/15/47		1,700		1,734,134
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3		3.322%			07/15/48		1,600		1,625,715
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%			04/15/46		1,700		1,718,552
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%			07/15/50		1,600		1,635,450
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class AM		5.795%	(a)		07/15/45		155		154,442
Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class A4		3.525%			12/15/49		1,100		1,115,880
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $61,544,163)									61,587,166
CORPORATE BOND — 1.1%
Diversified Financial Services
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes (cost $2,414,101)		4.300%			12/15/21		2,160		2,377,158
MUNICIPAL BONDS — 0.4%
California — 0.2%
California Educational Facilities Authority, Revenue Bonds, BABs		5.000%			06/01/46		125		160,080
Central Puget Sound Regional Transit Authority, Revenue Bonds, BABs		5.000%			11/01/46		180		228,560
									388,640
Pennsylvania — 0.2%
Pennsylvania Turnpike Commission, Revenue Bonds, BABs		5.000%			12/01/46		500		550,450
TOTAL MUNICIPAL BONDS (cost $921,886)									939,090
NON-CORPORATE FOREIGN AGENCY — 0.4%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A (cost $816,933)		3.150%			07/24/24		820		831,636
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM		5.500%			09/15/17		40		40,734
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC		5.500%			09/15/17		2		1,925
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC		5.000%			10/15/17		95		95,887
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND		5.500%			09/25/17		3		2,692
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1		1.376%	(a)		10/25/28		31		29,467
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.093%	(a)		02/25/34		150		150,155
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $320,050)									320,860

SEE NOTES TO FINANCIAL STATEMENTS.

A114

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS — 43.4%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		2.500%		TBA		500	$	500,898
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		804		806,911
Federal Home Loan Mortgage Corp.		2.745%	(a)	05/01/34		242		253,484
Federal Home Loan Mortgage Corp.		3.000%		TBA		3,500		3,475,410
Federal Home Loan Mortgage Corp.		3.000%		06/01/29		666		684,428
Federal Home Loan Mortgage Corp.		3.000%		06/01/45		858		853,725
Federal Home Loan Mortgage Corp.		3.500%		TBA		4,500		4,607,743
Federal Home Loan Mortgage Corp.		3.500%		08/01/26		312		327,090
Federal Home Loan Mortgage Corp.		3.500%		01/01/27		328		344,029
Federal Home Loan Mortgage Corp.		3.500%		07/01/42		874		900,130
Federal Home Loan Mortgage Corp.		3.500%		10/01/42		1,438		1,480,891
Federal Home Loan Mortgage Corp.		3.500%		08/01/43		1,163		1,197,242
Federal Home Loan Mortgage Corp.		4.000%		TBA		2,250		2,363,247
Federal Home Loan Mortgage Corp.		4.000%		06/01/26		113		118,645
Federal Home Loan Mortgage Corp.		4.000%		09/01/26		382		402,357
Federal Home Loan Mortgage Corp.		4.000%		09/01/40		572		604,154
Federal Home Loan Mortgage Corp.		4.000%		12/01/40		584		614,953
Federal Home Loan Mortgage Corp.		4.000%		12/01/40		626		661,004
Federal Home Loan Mortgage Corp.		4.000%		10/01/45		408		428,883
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		2,196		2,369,710
Federal Home Loan Mortgage Corp.		5.000%		06/01/33		483		531,739
Federal Home Loan Mortgage Corp.		5.000%		05/01/34		487		533,825
Federal Home Loan Mortgage Corp.		5.500%		05/01/37		97		107,987
Federal Home Loan Mortgage Corp.		5.500%		02/01/38		335		374,230
Federal Home Loan Mortgage Corp.		5.500%		05/01/38		137		153,105
Federal Home Loan Mortgage Corp.		6.000%		09/01/34		78		87,767
Federal Home Loan Mortgage Corp.		6.000%		01/01/37		158		179,724
Federal Home Loan Mortgage Corp.		6.000%		09/01/38		93		105,604
Federal Home Loan Mortgage Corp.		6.000%		08/01/39		112		128,228
Federal Home Loan Mortgage Corp.		6.500%		09/01/32		58		65,899
Federal National Mortgage Assoc.		1.000%		10/24/19		2,300		2,268,205
Federal National Mortgage Assoc.		2.000%		08/01/31		393		383,279
Federal National Mortgage Assoc.		2.500%		TBA		1,000		951,350
Federal National Mortgage Assoc.		2.500%		06/01/28		2,829		2,838,696
Federal National Mortgage Assoc.		2.539%	(a)	07/01/33		715		756,345
Federal National Mortgage Assoc.		2.617%	(a)	04/01/34		125		131,258
Federal National Mortgage Assoc.		2.636%	(a)	06/01/34		259		274,915
Federal National Mortgage Assoc.		2.755%	(a)	04/01/34		214		226,100
Federal National Mortgage Assoc.		2.893%	(a)	08/01/33		524		551,554
Federal National Mortgage Assoc.		3.000%		08/01/28		1,465		1,504,767
Federal National Mortgage Assoc.		3.000%		02/01/31		1,864		1,914,241
Federal National Mortgage Assoc.		3.000%		11/01/36		992		1,005,408
Federal National Mortgage Assoc.		3.500%		TBA		8,750		8,968,067
Federal National Mortgage Assoc.		3.500%		03/01/27		660		689,546
Federal National Mortgage Assoc.		3.500%		06/01/39		396		406,236
Federal National Mortgage Assoc.		4.000%		TBA		10,500		11,038,740
Federal National Mortgage Assoc.		4.000%		09/01/40		2,128		2,236,383
Federal National Mortgage Assoc.		4.000%		09/01/44		1,227		1,290,551
Federal National Mortgage Assoc.		4.500%		05/01/40		2,926		3,173,811
Federal National Mortgage Assoc.		5.000%		07/01/18		8		8,525
Federal National Mortgage Assoc.		5.000%		08/01/18		36		36,929
Federal National Mortgage Assoc.		5.000%		01/01/19		126		129,619
Federal National Mortgage Assoc.		5.000%		02/01/19		90		92,045
Federal National Mortgage Assoc.		5.000%		11/01/19		63		64,991
Federal National Mortgage Assoc.		5.000%		12/01/31		30		32,813
Federal National Mortgage Assoc.		5.000%		03/01/34		548		597,586
Federal National Mortgage Assoc.		5.000%		06/01/35		244		267,744
Federal National Mortgage Assoc.		5.000%		07/01/35		128		139,779

SEE NOTES TO FINANCIAL STATEMENTS.

A115

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Federal National Mortgage Assoc.		5.000%	05/01/36		172		$	187,739
Federal National Mortgage Assoc.		5.500%	02/01/17		—	(b)		15
Federal National Mortgage Assoc.		5.500%	04/01/17		—	(b)		394
Federal National Mortgage Assoc.		5.500%	10/01/18		22			22,223
Federal National Mortgage Assoc.		5.500%	10/01/18		23			23,775
Federal National Mortgage Assoc.		5.500%	11/01/18		23			23,521
Federal National Mortgage Assoc.		5.500%	02/01/34		319			358,355
Federal National Mortgage Assoc.		5.500%	09/01/34		349			394,570
Federal National Mortgage Assoc.		5.500%	02/01/35		400			452,620
Federal National Mortgage Assoc.		5.500%	06/01/35		220			246,272
Federal National Mortgage Assoc.		5.500%	06/01/35		172			191,787
Federal National Mortgage Assoc.		5.500%	09/01/35		285			318,544
Federal National Mortgage Assoc.		5.500%	09/01/35		95			105,659
Federal National Mortgage Assoc.		5.500%	10/01/35		376			420,042
Federal National Mortgage Assoc.		5.500%	11/01/35		678			764,265
Federal National Mortgage Assoc.		5.500%	11/01/35		526			587,548
Federal National Mortgage Assoc.		5.500%	11/01/35		615			690,997
Federal National Mortgage Assoc.		6.000%	05/01/21		48			51,757
Federal National Mortgage Assoc.		6.000%	12/01/33		12			13,339
Federal National Mortgage Assoc.		6.000%	02/01/34		183			210,446
Federal National Mortgage Assoc.		6.000%	08/01/34		1			1,073
Federal National Mortgage Assoc.		6.000%	10/01/34		56			63,285
Federal National Mortgage Assoc.		6.000%	11/01/34		1			1,235
Federal National Mortgage Assoc.		6.000%	11/01/34		1			1,124
Federal National Mortgage Assoc.		6.000%	12/01/34		1			1,164
Federal National Mortgage Assoc.		6.000%	01/01/35		38			43,175
Federal National Mortgage Assoc.		6.000%	01/01/36		214			241,632
Federal National Mortgage Assoc.		6.000%	05/01/38		80			90,704
Federal National Mortgage Assoc.		6.500%	07/01/32		336			380,631
Federal National Mortgage Assoc.		6.500%	08/01/32		131			148,681
Federal National Mortgage Assoc.		6.500%	10/01/32		360			406,914
Federal National Mortgage Assoc.		6.500%	10/01/37		241			272,628
Federal National Mortgage Assoc.		7.000%	12/01/31		100			114,635
Federal National Mortgage Assoc.		7.000%	12/01/31		1			616
Federal National Mortgage Assoc.		7.000%	11/01/33		11			11,912
Federal National Mortgage Assoc.		7.000%	01/01/36		34			38,338
Federal National Mortgage Assoc.		8.000%	10/01/23		—	(b)		343
Federal National Mortgage Assoc.		8.000%	09/01/24		1			1,331
Federal National Mortgage Assoc.		8.000%	11/01/24		1			1,460
Federal National Mortgage Assoc.		8.000%	01/01/26		1			678
Federal National Mortgage Assoc.		8.000%	02/01/26		2			2,249
Federal National Mortgage Assoc.		9.000%	02/01/25		15			16,779
Federal National Mortgage Assoc.		9.000%	04/01/25		8			8,906
Government National Mortgage Assoc.		3.000%	TBA		4,000			4,050,078
Government National Mortgage Assoc.		3.000%	03/15/45		2,464			2,493,257
Government National Mortgage Assoc.		3.500%	TBA		500			519,756
Government National Mortgage Assoc.		3.500%	03/20/45		1,594			1,658,580
Government National Mortgage Assoc.		3.500%	04/20/45		1,355			1,410,029
Government National Mortgage Assoc.		4.000%	06/15/40		321			342,121
Government National Mortgage Assoc.		4.500%	02/20/41		882			950,621
Government National Mortgage Assoc.		4.500%	03/20/41		748			806,347
Government National Mortgage Assoc.		5.000%	07/15/33		229			255,133
Government National Mortgage Assoc.		5.000%	09/15/33		302			333,999
Government National Mortgage Assoc.		5.000%	04/15/34		89			96,897
Government National Mortgage Assoc.		5.500%	03/15/34		439			494,634
Government National Mortgage Assoc.		5.500%	03/15/36		97			109,690
Government National Mortgage Assoc.		6.500%	07/15/32		23			26,132
Government National Mortgage Assoc.		6.500%	08/15/32		4			4,215

SEE NOTES TO FINANCIAL STATEMENTS.

A116

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value (Note 2)
Government National Mortgage Assoc.		6.500%		08/15/32		5		$	5,472
Government National Mortgage Assoc.		6.500%		08/15/32		19			21,622
Government National Mortgage Assoc.		6.500%		08/15/32		125			143,649
Government National Mortgage Assoc.		7.000%		03/15/23		2			2,037
Government National Mortgage Assoc.		7.000%		05/15/23		8			8,984
Government National Mortgage Assoc.		7.000%		06/15/23		2			1,674
Government National Mortgage Assoc.		7.000%		06/15/23		6			5,780
Government National Mortgage Assoc.		7.000%		06/15/23		2			1,528
Government National Mortgage Assoc.		7.000%		06/15/23		22			24,057
Government National Mortgage Assoc.		7.000%		07/15/23		16			16,159
Government National Mortgage Assoc.		7.000%		07/15/23		—	(b)		1
Government National Mortgage Assoc.		7.000%		07/15/23		1			1,075
Government National Mortgage Assoc.		7.000%		08/15/23		12			12,408
Government National Mortgage Assoc.		7.000%		08/15/23		8			8,725
Government National Mortgage Assoc.		7.000%		08/15/23		2			1,518
Government National Mortgage Assoc.		7.000%		09/15/23		2			1,665
Government National Mortgage Assoc.		7.000%		10/15/23		6			5,986
Government National Mortgage Assoc.		7.000%		10/15/23		—	(b)		112
Government National Mortgage Assoc.		7.000%		10/15/23		6			6,635
Government National Mortgage Assoc.		7.000%		11/15/23		6			6,423
Government National Mortgage Assoc.		7.000%		11/15/23		12			12,780
Government National Mortgage Assoc.		7.000%		11/15/23		1			803
Government National Mortgage Assoc.		7.000%		01/15/24		82			88,579
Government National Mortgage Assoc.		7.000%		05/15/24		80			85,828
Government National Mortgage Assoc.		7.000%		08/15/28		63			72,148
Government National Mortgage Assoc.		7.500%		12/15/25		40			44,543
Government National Mortgage Assoc.		7.500%		12/15/25		9			10,034
Government National Mortgage Assoc.		7.500%		02/15/26		10			10,856
Government National Mortgage Assoc.		8.500%		09/15/24		102			112,573
Government National Mortgage Assoc.		8.500%		04/15/25		10			11,380
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		1,520			1,546,194
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		1,380			1,407,655
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%		09/18/23		1,300			1,538,648
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.194%	(c)	01/15/21		643			591,177
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		3.001%	(c)	04/15/30		635			411,239
Tennessee Valley Authority, Sr. Unsec’d. Notes		6.750%		11/01/25		510			667,665
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30		980			1,396,047
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes		1.471%		09/29/21		2,200			2,147,737
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $97,037,859)									98,138,771
U.S. TREASURY OBLIGATIONS — 20.7%
U.S. Treasury Bonds		2.500%		02/15/45		195			173,695
U.S. Treasury Bonds		2.500%		05/15/46		570			506,543
U.S. Treasury Bonds		2.875%		11/15/46		570			550,317
U.S. Treasury Bonds		3.000%		05/15/45		950			937,160
U.S. Treasury Bonds		4.250%		11/15/40		3,995			4,850,178
U.S. Treasury Bonds		4.750%		02/15/41		1,710			2,229,412
U.S. Treasury Bonds		8.125%		08/15/21		455			579,467
U.S. Treasury Notes		0.750%		02/28/18		570			568,664
U.S. Treasury Notes(d)		1.000%		03/15/18		100			100,047
U.S. Treasury Notes		1.375%		12/15/19		1,065			1,062,462
U.S. Treasury Notes		1.375%		04/30/21		10,200			10,005,965
U.S. Treasury Notes		1.625%		04/30/23		860			831,782
U.S. Treasury Notes		1.750%		11/30/21		515			511,158
U.S. Treasury Notes		2.125%		09/30/21		9,850			9,937,340
U.S. Treasury Notes		2.125%		12/31/21		425			428,636
U.S. Treasury Notes		2.125%		06/30/22		380			381,336
U.S. Treasury Notes(d)		2.125%		12/31/22		505			504,724

SEE NOTES TO FINANCIAL STATEMENTS.

A117

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

U.S. TREASURY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
U.S. Treasury Notes(e)		2.125%		11/30/23		2,630	$	2,612,534
U.S. Treasury Notes		2.250%		12/31/23		850		850,399
U.S. Treasury Strips Coupon		2.037%	(c)	02/15/22		1,690		1,519,212
U.S. Treasury Strips Coupon		2.184%	(c)	02/15/28		550		406,877
U.S. Treasury Strips Coupon		2.384%	(c)	05/15/29		565		400,866
U.S. Treasury Strips Coupon(d)(f)		2.404%	(c)	08/15/21		2,525		2,302,560
U.S. Treasury Strips Coupon		2.783%	(c)	08/15/29		500		351,835
U.S. Treasury Strips Coupon		2.878%	(c)	05/15/31		500		331,316
U.S. Treasury Strips Coupon		3.042%	(c)	11/15/35		1,000		566,387
U.S. Treasury Strips Coupon		3.202%	(c)	08/15/40		1,000		472,389
U.S. Treasury Strips Coupon		4.138%	(c)	02/15/42		3,725		1,662,605
U.S. Treasury Strips Principal, PO		2.351%	(c)	05/15/43		595		259,982
U.S. Treasury Strips Principal, PO		2.543%	(c)	02/15/45		515		212,647
U.S. Treasury Strips Principal, PO		2.952%	(c)	05/15/45		800		327,513
U.S. Treasury Strips Principal, PO		3.005%	(c)	11/15/44		715		297,573
TOTAL U.S. TREASURY OBLIGATIONS (cost $48,066,122)								46,733,581
TOTAL LONG-TERM INVESTMENTS (cost $223,353,971)								223,199,828
SHORT-TERM INVESTMENTS — 18.6%					Shares
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(g)						4,100,294		38,009,726
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(g)						1,765,750		1,765,750
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $2,424,821; includes $2,424,720 of cash collateral for securities on loan)(g)(h)						2,424,336		2,424,821
TOTAL SHORT-TERM INVESTMENTS (cost $44,186,145)(Note 4)								42,200,297
TOTAL INVESTMENTS — 117.3% (cost $267,540,116)								265,400,125
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (17.3)%								(39,082,060	)
NET ASSETS — 100.0%							$	226,318,065

See the Glossary for abbreviations used in the annual report.

# 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 December 31, 2016.

(b) Less than $500 par.

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

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

(e) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $2,384,062; cash collateral of $2,424,720 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(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 Short-Term Bond Fund, the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund.

(h) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A118

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

Futures contracts outstanding at December 31, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at December 31, 2016		Unrealized Appreciation (Depreciation)
Long Positions:
311		2 Year U.S. Treasury Notes		Mar. 2017	$	67,376,004	$	67,389,813	$	13,809
213		5 Year U.S. Treasury Notes		Mar. 2017		25,041,238		25,062,445		21,207
69		10 Year U.S. Treasury Notes		Mar. 2017		8,506,499		8,575,407		68,908
49		30 Year U.S. Ultra Treasury Bonds		Mar. 2017		7,873,712		7,852,250		(21,462	)
										82,462
Short Position:
51		20 Year U.S. Treasury Bonds		Mar. 2017		7,668,519		7,683,469		(14,950	)
									$	67,512

A U.S. Treasury Obligation with a market value of $897,314 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.

Interest rate swap agreements outstanding at December 31, 2016:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2016			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	52,560		09/09/17		0.539%	1 Day USOIS(1)	$	348		$	65,668		$	65,320
	45,065		10/18/17		0.607%	1 Day USOIS(1)		191			52,159			51,968
	24,905		11/09/17		0.626%	1 Day USOIS(1)		206			33,096			32,890
	4,250		01/13/22		2.351%	3 Month LIBOR(1)		151			(75,922	)		(76,073	)
	1,710		01/22/22		2.467%	3 Month LIBOR(1)		160			(40,143	)		(40,303	)
	8,330		11/30/22		1.850%	3 Month LIBOR(1)		151			97,518			97,367
	3,445		08/02/23		—(3)	—(3)		(858	)		9,377			10,235
	5,183		08/02/23		—(4)	—(4)		800			14,950			14,150
	1,335		08/03/23		—(5)	—(5)		(322	)		3,752			4,074
	2,805		08/19/23		0.898%	1 Day USOIS(1)		165			150,336			150,171
	3,805		10/27/23		1.073%	1 Day USOIS(1)		171			172,360			172,189
	8,720		12/20/23		2.932%	3 Month LIBOR(1)		220			(439,537	)		(439,757	)
	5,290		09/17/24		2.732%	3 Month LIBOR(1)		111			(194,698	)		(194,809	)
	1,860		09/04/25		2.214%	3 Month LIBOR(1)		164			7,282			7,118
	130		01/08/26		2.210%	3 Month LIBOR(1)		2			803			801
	715		05/15/37		2.726%	3 Month LIBOR(2)		162			16,299			16,137
	1,405		11/15/41		1.869%	3 Month LIBOR(1)		5,531			193,346			187,815
							$	7,353		$	66,646		$	59,293

U.S. Treasury Obligations with a combined market value of $1,732,140 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at December 31, 2016.

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

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

(3) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps.

(4) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps.

(5) The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps.

SEE NOTES TO FINANCIAL STATEMENTS.

A119

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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 ratesand 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 December 31, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	12,095,589	$	—
Non-Residential Mortgage-Backed Securities		—		175,977		—
Commercial Mortgage-Backed Securities		—		61,587,166		—
Corporate Bond		—		2,377,158		—
Municipal Bonds		—		939,090		—
Non-Corporate Foreign Agency		—		831,636		—
Residential Mortgage-Backed Securities		—		320,860		—
U.S. Government Agency Obligations		—		98,138,771		—
U.S. Treasury Obligations		—		46,733,581		—
Affiliated Mutual Funds		42,200,297		—		—
Other Financial Instruments*
Futures Contracts		67,512		—		—
Centrally Cleared Interest Rate Swap Agreements		—		59,293		—
Total	$	42,267,809	$	223,259,121	$	—

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1 and Level 2 to report.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):

U.S. Government Agency Obligations	43.4	%
Commercial Mortgage-Backed Securities	27.2
U.S. Treasury Obligations	20.7
Affiliated Mutual Funds (including 1.1% of collateral for securities on loan)	18.6
Collateralized Loan Obligations	5.3
Diversified Financial Services	1.1
Municipal Bonds	0.4

Non-Corporate Foreign Agency	0.4	%
Residential Mortgage-Backed Securities	0.1
Non-Residential Mortgage-Backed Securities	0.1
	117.3
Liabilities in excess of other assets	(17.3	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2016 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/to broker — variation margin futures	$	103,924	*	Due from/to broker — variation margin futures	$	36,412	*
Interest rate contracts	Due from/to broker — variation margin swaps		810,235	*	Due from/to broker — variation margin swaps		750,942	*
Total		$	914,159			$	787,354

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

SEE NOTES TO FINANCIAL STATEMENTS.

A120

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:

Amount of Realized Gain (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		Swaps			Total
Interest rate contracts	$	(443,759	)	$	(134,785	)	$	615,042	$	8,789	$	(369,488	)	$	(324,201	)

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

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*		Options Written			Futures			Swaps		Total
Interest rate contracts	$	214,775	$	(127,080	)	$	(101,531	)	$	892,061	$	878,225

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

For the year ended December 31, 2016, 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)	Interest Rate Swap Agreements(2)
$62,788	$132,192,000	$92,034,345	$28,397,987	$120,316,200

Total Return

Swap Agreements(2)

$1,800,000

(1) Cost.

(2) Notional Amount in USD.

(3) Value at Trade Date.

The Portfolio entered into financial transactions 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 financial transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial transactions assets and liabilities:

Description	Gross Amounts of Recognized  Assets(1)		Collateral Received			Net Amount
Securities on Loan	$	2,384,062	$	(2,384,062	)	$	—

(1) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

A121

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2016

ASSETS
Investments at value, including securities on loan of $2,384,062:
Unaffiliated investments (cost $223,353,971)	$	223,199,828
Affiliated investments (cost $44,186,145)		42,200,297
Receivable for investments sold		20,295,599
Dividends and interest receivable		833,956
Due from broker—variation margin futures		88,009
Receivable for Series shares sold		5,741
Prepaid expenses		1,853
Total Assets		286,625,283
LIABILITIES
Payable for investments purchased		57,645,317
Payable to broker for collateral for securities on loan		2,424,720
Management fee payable		76,814
Accrued expenses and other liabilities		70,652
Due to broker—variation margin swaps		56,546
Payable for Series shares repurchased		31,817
Affiliated transfer agent fee payable		980
Deferred trustees’ fees		372
Total Liabilities		60,307,218
NET ASSETS	$	226,318,065
Net assets were comprised of:
Paid-in capital	$	205,832,135
Retained earnings		20,485,930
Net assets, December 31, 2016	$	226,318,065
Net asset value and redemption price per share $226,318,065 / 18,465,529 outstanding shares of beneficial interest	$	12.26

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	4,199,903
Affiliated dividend income		789,114
Income from securities lending, net (including affiliated income of $2,048)		2,306
Total income		4,991,323
EXPENSES
Management fee		943,112
Shareholders’ reports		99,000
Custodian and accounting fees (net of $4,500 fee credit)		76,000
Audit fee		40,000
Transfer agent’s fees and expenses (including affiliated expense of $5,900)		12,000
Trustees’ fees		11,000
Legal fees and expenses		9,000
Commitment fee on syndicated credit agreement		7,000
Insurance expenses		4,000
Loan interest expense		38
Miscellaneous		7,776
Total expenses		1,208,926
NET INVESTMENT INCOME (LOSS)		3,782,397
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		2,109,254
Futures transactions		615,042
Options written transactions		(134,785	)
Forward rate agreement transactions		8,789
Swap agreement transactions		(369,488	)
		2,228,812
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(1,093))		(1,672,056	)
Futures		(101,531	)
Options written		(127,080	)
Swap agreements		892,061
		(1,008,606	)
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		1,220,206
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	5,002,603

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	3,782,397		$	4,806,869
Net realized gain (loss) on investment transactions		2,228,812			1,519,137
Net change in unrealized appreciation (depreciation) on investments		(1,008,606	)		(3,732,049	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		5,002,603			2,593,957
SERIES SHARE TRANSACTIONS
Series shares sold [942,340 and 446,808 shares, respectively]		11,729,036			5,381,539
Series shares repurchased [1,792,349 and 9,585,972 shares, respectively]		(22,240,242	)		(115,358,336	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(10,511,206	)		(109,976,797	)
CAPITAL CONTRIBUTIONS (Note 4)		28,977			—
TOTAL INCREASE (DECREASE)		(5,479,626	)		(107,382,840	)
NET ASSETS:
Beginning of year		231,797,691			339,180,531
End of year	$	226,318,065		$	231,797,691

SEE NOTES TO FINANCIAL STATEMENTS.

A122

	STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS		as of December 31, 2016

LONG-TERM INVESTMENTS — 97.4%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.2%
Arconic, Inc.		73,192	$	1,356,980
Boeing Co. (The)		96,436		15,013,156
General Dynamics Corp.		48,200		8,322,212
Lockheed Martin Corp.		42,298		10,571,962
L-3 Communications Holdings, Inc.		13,000		1,977,430
Northrop Grumman Corp.		30,126		7,006,705
Raytheon Co.		49,718		7,059,956
Rockwell Collins, Inc.		22,100		2,049,996
Textron, Inc.		45,400		2,204,624
TransDigm Group, Inc.(a)		8,500		2,116,160
United Technologies Corp.		129,100		14,151,942
				71,831,123
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.(a)		24,100		1,765,566
Expeditors International of Washington, Inc.		30,300		1,604,688
FedEx Corp.		41,240		7,678,888
United Parcel Service, Inc. (Class B Stock)		115,600		13,252,384
				24,301,526
Airlines — 0.6%
Alaska Air Group, Inc.		20,600		1,827,838
American Airlines Group, Inc.(a)		87,400		4,080,706
Delta Air Lines, Inc.		125,300		6,163,507
Southwest Airlines Co.		104,537		5,210,124
United Continental Holdings, Inc.*		49,600		3,614,848
				20,897,023
Auto Components — 0.2%
BorgWarner, Inc.		34,800		1,372,512
Delphi Automotive PLC		45,500		3,064,425
Goodyear Tire & Rubber Co. (The)		44,300		1,367,541
				5,804,478
Automobiles — 0.5%
Ford Motor Co.		649,559		7,879,151
General Motors Co.		234,400		8,166,496
Harley-Davidson, Inc.(a)		30,800		1,796,872
				17,842,519
Banks — 6.6%
Bank of America Corp.		1,693,982		37,437,002
BB&T Corp.		136,100		6,399,422
Citigroup, Inc.		479,122		28,474,220
Citizens Financial Group, Inc.		88,500		3,153,255
Comerica, Inc.		29,150		1,985,407
Fifth Third Bancorp		130,749		3,526,301
Huntington Bancshares, Inc.		171,075		2,261,612
JPMorgan Chase & Co.		599,645		51,743,367
KeyCorp		172,500		3,151,575
M&T Bank Corp.(a)		26,400		4,129,752
People’s United Financial, Inc.(a)		50,700		981,552

COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
PNC Financial Services Group, Inc. (The)		82,393	$	9,636,685
Regions Financial Corp.		214,512		3,080,392
SunTrust Banks, Inc.		84,600		4,640,310
U.S. Bancorp		269,681		13,853,513
Wells Fargo & Co.		757,336		41,736,787
Zions Bancorporation(a)		33,800		1,454,752
				217,645,904
Beverages — 2.0%
Brown-Forman Corp. (Class B Stock)		30,500		1,370,060
Coca-Cola Co. (The)		648,450		26,884,737
Constellation Brands, Inc. (Class A Stock)		29,100		4,461,321
Dr. Pepper Snapple Group, Inc.		31,800		2,883,306
Molson Coors Brewing Co. (Class B Stock)		30,500		2,967,955
Monster Beverage Corp.*		67,800		3,006,252
PepsiCo, Inc.		240,364		25,149,285
				66,722,916
Biotechnology — 2.7%
AbbVie, Inc.		270,700		16,951,234
Alexion Pharmaceuticals, Inc.*		37,100		4,539,185
Amgen, Inc.		125,494		18,348,478
Biogen, Inc.*		36,775		10,428,654
Celgene Corp.*		130,000		15,047,500
Gilead Sciences, Inc.		221,100		15,832,971
Regeneron Pharmaceuticals, Inc.*		12,710		4,665,714
Vertex Pharmaceuticals, Inc.*		41,200		3,035,204
				88,848,940
Building Products — 0.3%
Allegion PLC		15,833		1,013,312
Fortune Brands Home & Security, Inc.		23,800		1,272,348
Johnson Controls International PLC		158,215		6,516,876
Masco Corp.		55,400		1,751,748
				10,554,284
Capital Markets — 2.8%
Affiliated Managers Group, Inc.*		9,300		1,351,290
Ameriprise Financial, Inc.		27,400		3,039,756
Bank of New York Mellon Corp. (The)		179,089		8,485,237
BlackRock, Inc.		20,530		7,812,486
Charles Schwab Corp. (The)		200,900		7,929,523
CME Group, Inc.		56,500		6,517,275
E*TRADE Financial Corp.*		47,310		1,639,292
Franklin Resources, Inc.		60,300		2,386,674
Goldman Sachs Group, Inc. (The)		62,400		14,941,680
Intercontinental Exchange, Inc.		99,990		5,641,436
Invesco Ltd.		70,600		2,142,004
Moody’s Corp.		28,420		2,679,153
Morgan Stanley		243,910		10,305,197

SEE NOTES TO FINANCIAL STATEMENTS.

A123

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets (continued)
Nasdaq, Inc.		19,600	$	1,315,552
Northern Trust Corp.		36,100		3,214,705
S&P Global, Inc.		44,000		4,731,760
State Street Corp.		61,925		4,812,811
T. Rowe Price Group, Inc.		41,500		3,123,290
				92,069,121
Chemicals — 2.0%
Air Products & Chemicals, Inc.		36,300		5,220,666
Albemarle Corp.		17,600		1,515,008
CF Industries Holdings, Inc.		39,100		1,230,868
Dow Chemical Co. (The)		187,011		10,700,770
E.I. du Pont de Nemours & Co.		145,991		10,715,739
Eastman Chemical Co.		24,700		1,857,687
Ecolab, Inc.		43,800		5,134,236
FMC Corp.		22,500		1,272,600
International Flavors & Fragrances, Inc.(a)		13,300		1,567,139
LyondellBasell Industries NV (Class A Stock)		57,000		4,889,460
Monsanto Co.		72,496		7,627,304
Mosaic Co. (The)(a)		56,200		1,648,346
PPG Industries, Inc.		44,700		4,235,772
Praxair, Inc.		47,800		5,601,682
Sherwin-Williams Co. (The)		13,300		3,574,242
				66,791,519
Commercial Services & Supplies — 0.3%
Cintas Corp.		14,500		1,675,620
Pitney Bowes, Inc.		32,200		489,118
Republic Services, Inc.		39,635		2,261,177
Stericycle, Inc.*		14,500		1,117,080
Waste Management, Inc.		68,930		4,887,826
				10,430,821
Communications Equipment — 1.0%
Cisco Systems, Inc.		840,575		25,402,177
F5 Networks, Inc.*		11,700		1,693,224
Harris Corp.		20,900		2,141,623
Juniper Networks, Inc.		60,000		1,695,600
Motorola Solutions, Inc.		26,527		2,198,823
				33,131,447
Construction & Engineering — 0.1%
Fluor Corp.		23,700		1,244,724
Jacobs Engineering Group, Inc.*		20,900		1,191,300
Quanta Services, Inc.*		26,200		913,070
				3,349,094
Construction Materials — 0.2%
Martin Marietta Materials, Inc.		10,800		2,392,524
Vulcan Materials Co.		22,400		2,803,360
				5,195,884
Consumer Finance — 0.8%
American Express Co.		129,800		9,615,584
Capital One Financial Corp.		81,969		7,150,976
Discover Financial Services		68,205		4,916,898

COMMON STOCKS (continued)	Shares		Value (Note 2)
Consumer Finance (continued)
Navient Corp.		56,600	$	929,938
Synchrony Financial		134,630		4,883,030
				27,496,426
Containers & Packaging — 0.3%
Avery Dennison Corp.		15,000		1,053,300
Ball Corp.		27,300		2,049,411
International Paper Co.		69,167		3,670,001
Sealed Air Corp.		33,420		1,515,263
WestRock Co.		42,761		2,170,976
				10,458,951
Distributors — 0.1%
Genuine Parts Co.		25,025		2,390,889
LKQ Corp.*		49,300		1,511,045
				3,901,934
Diversified Consumer Services
H&R Block, Inc.(a)		37,500		862,125
Diversified Financial Services — 1.6%
Berkshire Hathaway, Inc. (Class B Stock)*		316,600		51,599,468
Leucadia National Corp.		54,500		1,267,125
				52,866,593
Diversified Telecommunication Services — 2.6%
AT&T, Inc.		1,026,335		43,650,028
CenturyLink, Inc.		90,985		2,163,623
Frontier Communications Corp.(a)		191,916		648,676
Level 3 Communications, Inc.*		48,400		2,727,824
Verizon Communications, Inc.		680,038		36,300,428
				85,490,579
Electric Utilities — 1.9%
Alliant Energy Corp.		34,000		1,288,260
American Electric Power Co., Inc.		82,340		5,184,126
Duke Energy Corp.		115,048		8,930,026
Edison International		54,700		3,937,853
Entergy Corp.		30,200		2,218,794
Eversource Energy		53,200		2,938,236
Exelon Corp.		154,173		5,471,600
FirstEnergy Corp.		70,980		2,198,251
NextEra Energy, Inc.		77,075		9,207,379
PG&E Corp.		82,300		5,001,371
Pinnacle West Capital Corp.		19,000		1,482,570
PPL Corp.		112,600		3,834,030
Southern Co. (The)		162,800		8,008,132
Xcel Energy, Inc.		85,095		3,463,367
				63,163,995
Electrical Equipment — 0.5%
Acuity Brands, Inc.(a)		7,000		1,616,020
AMETEK, Inc.		39,500		1,919,700
Eaton Corp. PLC		76,861		5,156,605
Emerson Electric Co.		107,700		6,004,275
Rockwell Automation, Inc.		22,100		2,970,240
				17,666,840

SEE NOTES TO FINANCIAL STATEMENTS.

A124

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		51,800	$	3,480,960
Corning, Inc.		161,700		3,924,459
FLIR Systems, Inc.		23,000		832,370
TE Connectivity Ltd.		59,600		4,129,088
				12,366,877
Energy Equipment & Services — 1.1%
Baker Hughes, Inc.		72,548		4,713,444
FMC Technologies, Inc.*		37,900		1,346,587
Halliburton Co.		142,500		7,707,825
Helmerich & Payne, Inc.		18,100		1,400,940
National Oilwell Varco, Inc.(a)		63,100		2,362,464
Schlumberger Ltd.		232,098		19,484,627
Transocean Ltd.*(a)		56,000		825,440
				37,841,327
Equity Real Estate Investment Trusts (REITs) — 2.7%
American Tower Corp.		71,000		7,503,280
Apartment Investment & Management Co. (Class A Stock)		26,274		1,194,153
AvalonBay Communities, Inc.		23,018		4,077,639
Boston Properties, Inc.(a)		25,800		3,245,124
Crown Castle International Corp.		58,500		5,076,045
Digital Realty Trust, Inc.(a)		25,000		2,456,500
Equinix, Inc.		11,755		4,201,355
Equity Residential(a)		61,100		3,932,396
Essex Property Trust, Inc.(a)		11,100		2,580,750
Extra Space Storage, Inc.(a)		20,700		1,598,868
Federal Realty Investment Trust(a)		11,100		1,577,421
General Growth Properties, Inc.(a)		97,600		2,438,048
HCP, Inc.(a)		78,000		2,318,160
Host Hotels & Resorts, Inc.(a)		124,626		2,347,954
Iron Mountain, Inc.		39,930		1,296,926
Kimco Realty Corp.		69,600		1,751,136
Macerich Co. (The)(a)		20,800		1,473,472
Mid-America Apartment Communities, Inc.		17,800		1,742,976
Prologis, Inc.		87,928		4,641,719
Public Storage		24,700		5,520,450
Realty Income Corp.		41,900		2,408,412
Simon Property Group, Inc.		51,761		9,196,377
SL Green Realty Corp.(a)		17,100		1,839,105
UDR, Inc.(a)		42,900		1,564,992
Ventas, Inc.(a)		57,704		3,607,654
Vornado Realty Trust		28,957		3,022,242
Welltower, Inc.		59,400		3,975,642
Weyerhaeuser Co.		123,830		3,726,045
				90,314,841
Food & Staples Retailing — 2.0%
Costco Wholesale Corp.		73,322		11,739,585
CVS Health Corp.		178,338		14,072,652
Kroger Co. (The)		159,500		5,504,345
Sysco Corp.		85,600		4,739,672

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing (continued)
Wal-Mart Stores, Inc.		253,200	$	17,501,184
Walgreens Boots Alliance, Inc.		142,800		11,818,128
Whole Foods Market, Inc.		54,400		1,673,344
				67,048,910
Food Products — 1.6%
Archer-Daniels-Midland Co.		98,338		4,489,130
Campbell Soup Co.		30,100		1,820,147
Conagra Foods, Inc.		71,300		2,819,915
General Mills, Inc.		99,400		6,139,938
Hershey Co. (The)		24,100		2,492,663
Hormel Foods Corp.		45,400		1,580,374
J.M. Smucker Co. (The)		20,100		2,574,006
Kellogg Co.		42,300		3,117,933
Kraft Heinz Co. (The)		99,337		8,674,107
McCormick & Co., Inc. (Non-Voting Shares)(a)		19,500		1,819,935
Mead Johnson Nutrition Co.		31,193		2,207,217
Mondelez International, Inc. (Class A Stock)		259,911		11,521,854
Tyson Foods, Inc. (Class A Stock)		49,600		3,059,328
				52,316,547
Health Care Equipment & Supplies — 2.4%
Abbott Laboratories		246,950		9,485,350
Baxter International, Inc.		83,600		3,706,824
Becton, Dickinson & Co.		35,354		5,852,855
Boston Scientific Corp.*		225,499		4,877,543
C.R. Bard, Inc.		12,500		2,808,250
Cooper Cos., Inc. (The)		7,800		1,364,454
Danaher Corp.		100,000		7,784,000
DENTSPLY SIRONA, Inc.		38,500		2,222,605
Edwards Lifesciences Corp.*		35,800		3,354,460
Hologic, Inc.*		43,500		1,745,220
Intuitive Surgical, Inc.*		6,340		4,020,638
Medtronic PLC		231,528		16,491,739
St. Jude Medical, Inc.		47,400		3,801,006
Stryker Corp.		52,500		6,290,025
Varian Medical Systems, Inc.*		15,800		1,418,524
Zimmer Biomet Holdings, Inc.		32,586		3,362,875
				78,586,368
Health Care Providers & Services — 2.6%
Aetna, Inc.		58,457		7,249,253
AmerisourceBergen Corp.(a)		28,600		2,236,234
Anthem, Inc.		43,800		6,297,126
Cardinal Health, Inc.		53,875		3,877,384
Centene Corp.*		28,600		1,616,186
Cigna Corp.		42,800		5,709,092
DaVita, Inc.*		27,500		1,765,500
Envision Healthcare Corp*		17,700		1,120,233
Express Scripts Holding Co.*		105,126		7,231,617
HCA Holdings, Inc.*		50,100		3,708,402
Henry Schein, Inc.*		13,800		2,093,598
Humana, Inc.		24,900		5,080,347
Laboratory Corp. of America Holdings*		17,000		2,182,460
McKesson Corp.		38,107		5,352,128

SEE NOTES TO FINANCIAL STATEMENTS.

A125

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
Patterson Cos., Inc.(a)		14,200	$	582,626
Quest Diagnostics, Inc.		23,800		2,187,220
UnitedHealth Group, Inc.		159,300		25,494,372
Universal Health Services, Inc. (Class B Stock)		15,100		1,606,338
				85,390,116
Health Care Technology — 0.1%
Cerner Corp.*		51,200		2,425,344
Hotels, Restaurants & Leisure — 1.5%
Carnival Corp.		71,500		3,722,290
Chipotle Mexican Grill, Inc.*(a)		4,920		1,856,414
Darden Restaurants, Inc.(a)		19,250		1,399,860
Marriott International, Inc. (Class A Stock)		52,923		4,375,674
McDonald’s Corp.		139,700		17,004,284
Royal Caribbean Cruises Ltd.		28,800		2,362,752
Starbucks Corp.		244,700		13,585,744
Wyndham Worldwide Corp.		18,563		1,417,656
Wynn Resorts Ltd.(a)		12,900		1,115,979
Yum! Brands, Inc.		58,900		3,730,137
				50,570,790
Household Durables — 0.5%
D.R. Horton, Inc.		55,000		1,503,150
Garmin Ltd.(a)		19,300		935,857
Harman International Industries, Inc.		11,700		1,300,572
Leggett & Platt, Inc.		22,700		1,109,576
Lennar Corp. (Class A Stock)		30,100		1,292,193
Mohawk Industries, Inc.*		10,700		2,136,576
Newell Brands, Inc.		77,549		3,462,563
PulteGroup, Inc.		52,585		966,512
Whirlpool Corp.(a)		12,807		2,327,929
				15,034,928
Household Products — 1.8%
Church & Dwight Co., Inc.		44,000		1,944,360
Clorox Co. (The)		21,700		2,604,434
Colgate-Palmolive Co.		149,500		9,783,280
Kimberly-Clark Corp.		60,488		6,902,891
Procter & Gamble Co. (The)		445,406		37,449,736
				58,684,701
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		110,400		1,282,848
NRG Energy, Inc.		51,300		628,938
				1,911,786
Industrial Conglomerates — 2.5%
3M Co.		100,700		17,981,999
General Electric Co.		1,480,847		46,794,765
Honeywell International, Inc.		127,350		14,753,498
Roper Technologies, Inc.		16,900		3,094,052
				82,624,314
Insurance — 2.5%
Aflac, Inc.		69,400		4,830,240
Allstate Corp. (The)		62,988		4,668,670

COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
American International Group, Inc.		164,829	$	10,764,982
Aon PLC		44,325		4,943,567
Arthur J. Gallagher & Co.		26,900		1,397,724
Assurant, Inc.		10,000		928,600
Chubb Ltd.		77,090		10,185,131
Cincinnati Financial Corp.(a)		25,228		1,911,021
Hartford Financial Services Group, Inc. (The)		65,400		3,116,310
Lincoln National Corp.		39,863		2,641,721
Loews Corp.		44,626		2,089,836
Marsh & McLennan Cos., Inc.		87,100		5,887,089
MetLife, Inc.		183,600		9,894,204
Principal Financial Group, Inc.		45,700		2,644,202
Progressive Corp. (The)		98,000		3,479,000
Torchmark Corp.		18,875		1,392,220
Travelers Cos., Inc. (The)		48,498		5,937,125
Unum Group		40,956		1,799,197
Willis Towers Watson PLC		22,000		2,690,160
XL Group Ltd. (Ireland)		47,400		1,766,124
				82,967,123
Internet & Direct Marketing Retail — 2.2%
Amazon.com, Inc.*		65,710		49,273,958
Expedia, Inc.		19,500		2,208,960
Netflix, Inc.*		71,690		8,875,222
Priceline Group, Inc. (The)*		8,320		12,197,619
TripAdvisor, Inc.*		19,400		899,578
				73,455,337
Internet Software & Services — 4.1%
Akamai Technologies, Inc.*		29,400		1,960,392
Alphabet, Inc. (Class A Stock)*		49,335		39,095,521
Alphabet, Inc. (Class C Stock)*		49,530		38,228,244
eBay, Inc.*		177,600		5,272,944
Facebook, Inc. (Class A Stock)*		390,200		44,892,510
VeriSign, Inc.*(a)		15,700		1,194,299
Yahoo!, Inc.*		145,700		5,634,219
				136,278,129
IT Services — 3.6%
Accenture PLC (Class A Stock)		104,200		12,204,946
Alliance Data Systems Corp.		9,900		2,262,150
Automatic Data Processing, Inc.		76,000		7,811,280
Cognizant Technology Solutions Corp. (Class A Stock)*		102,000		5,715,060
CSRA, Inc.		22,600		719,584
Fidelity National Information Services, Inc.		52,900		4,001,356
Fiserv, Inc.*		36,900		3,921,732
Global Payments, Inc.		23,700		1,645,017
International Business Machines Corp.		144,925		24,056,100
Mastercard, Inc. (Class A Stock)		159,800		16,499,350
Paychex, Inc.(a)		53,850		3,278,388
PayPal Holdings, Inc.*		184,600		7,286,162
Teradata Corp.*(a)		23,000		624,910
Total System Services, Inc.		28,293		1,387,206

SEE NOTES TO FINANCIAL STATEMENTS.

A126

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Visa, Inc. (Class A Stock)(a)		312,600	$	24,389,052
Western Union Co. (The)(a)		81,104		1,761,579
Xerox Corp.		146,011		1,274,676
				118,838,548
Leisure Products — 0.1%
Hasbro, Inc.		19,150		1,489,678
Mattel, Inc.(a)		57,181		1,575,337
				3,065,015
Life Sciences Tools & Services — 0.6%
Agilent Technologies, Inc.		54,782		2,495,868
Illumina, Inc.*		24,000		3,072,960
Mettler-Toledo International, Inc.*		4,150		1,737,024
PerkinElmer, Inc.		18,600		969,990
Thermo Fisher Scientific, Inc.		66,200		9,340,820
Waters Corp.*		13,700		1,841,143
				19,457,805
Machinery — 1.4%
Caterpillar, Inc.(a)		97,200		9,014,328
Cummins, Inc.		26,100		3,567,087
Deere & Co.(a)		48,450		4,992,288
Dover Corp.		26,400		1,978,152
Flowserve Corp.(a)		21,800		1,047,490
Fortive Corp.		50,000		2,681,500
Illinois Tool Works, Inc.		53,675		6,573,041
Ingersoll-Rand PLC		43,100		3,234,224
PACCAR, Inc.		59,328		3,791,059
Parker-Hannifin Corp.		22,787		3,190,180
Pentair PLC (United Kingdom)		28,807		1,615,208
Snap-on, Inc.		10,000		1,712,700
Stanley Black & Decker, Inc.		25,135		2,882,733
Xylem, Inc.		30,400		1,505,408
				47,785,398
Media — 3.0%
CBS Corp. (Class B Non-Voting Stock)		67,968		4,324,124
Charter Communications, Inc. (Class A Stock)*		36,000		10,365,120
Comcast Corp. (Class A Stock)		399,246		27,567,936
Discovery Communications, Inc. (Class A Stock)*(a)		24,500		671,545
Discovery Communications, Inc. (Class C Stock)*(a)		39,900		1,068,522
Interpublic Group of Cos., Inc. (The)		67,762		1,586,308
News Corp. (Class A Stock)		63,025		722,267
News Corp. (Class B Stock)		18,100		213,580
Omnicom Group, Inc.	��	40,100		3,412,911
Scripps Networks Interactive, Inc. (Class A Stock)(a)		16,400		1,170,468
TEGNA, Inc.		37,000		791,430
Time Warner, Inc.		129,315		12,482,777
Twenty-First Century Fox, Inc. (Class A Stock)		178,600		5,007,944
Twenty-First Century Fox, Inc. (Class B Stock)		77,100		2,100,975

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Viacom, Inc. (Class B Stock)		57,843	$	2,030,289
Walt Disney Co. (The)		245,276		25,562,665
				99,078,861
Metals & Mining — 0.3%
Freeport-McMoRan, Inc.*		209,812		2,767,421
Newmont Mining Corp.		88,803		3,025,518
Nucor Corp.		53,600		3,190,272
				8,983,211
Multi-Utilities — 1.0%
Ameren Corp.		40,900		2,145,614
CenterPoint Energy, Inc.		70,910		1,747,222
CMS Energy Corp.		46,600		1,939,492
Consolidated Edison, Inc.(a)		49,200		3,625,056
Dominion Resources, Inc.		102,684		7,864,568
DTE Energy Co.		30,100		2,965,151
NiSource, Inc.		52,900		1,171,206
Public Service Enterprise Group, Inc.		84,900		3,725,412
SCANA Corp.		24,300		1,780,704
Sempra Energy		40,454		4,071,291
WEC Energy Group, Inc.		52,976		3,107,042
				34,142,758
Multiline Retail — 0.5%
Dollar General Corp.		43,500		3,222,045
Dollar Tree, Inc.*		39,447		3,044,519
Kohl’s Corp.(a)		31,200		1,540,656
Macy’s, Inc.		52,920		1,895,065
Nordstrom, Inc.(a)		20,100		963,393
Target Corp.(a)		96,168		6,946,215
				17,611,893
Oil, Gas & Consumable Fuels — 6.2%
Anadarko Petroleum Corp.		91,426		6,375,135
Apache Corp.		63,350		4,020,825
Cabot Oil & Gas Corp.		76,700		1,791,712
Chesapeake Energy Corp.*		106,600		748,332
Chevron Corp.		314,142		36,974,513
Cimarex Energy Co.		16,000		2,174,400
Concho Resources, Inc.*		23,200		3,076,320
ConocoPhillips		207,029		10,380,434
Devon Energy Corp.		84,600		3,863,682
EOG Resources, Inc.		95,100		9,614,610
EQT Corp.		28,400		1,857,360
Exxon Mobil Corp.		691,404		62,406,125
Hess Corp.(a)		43,875		2,732,974
Kinder Morgan, Inc.		314,543		6,514,186
Marathon Oil Corp.		134,694		2,331,553
Marathon Petroleum Corp.		89,394		4,500,988
Murphy Oil Corp.(a)		27,700		862,301
Newfield Exploration Co.*		32,900		1,332,450
Noble Energy, Inc.		71,400		2,717,484
Occidental Petroleum Corp.		127,700		9,096,071
ONEOK, Inc.(a)		35,340		2,028,869
Phillips 66		75,064		6,486,280
Pioneer Natural Resources Co.		27,800		5,005,946
Range Resources Corp.		27,300		938,028

SEE NOTES TO FINANCIAL STATEMENTS.

A127

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Southwestern Energy Co.*		72,400	$	783,368
Spectra Energy Corp.		114,442		4,702,422
Tesoro Corp.		20,000		1,749,000
Valero Energy Corp.		78,100		5,335,792
Williams Cos., Inc. (The)		114,400		3,562,416
				203,963,576
Personal Products — 0.1%
Coty, Inc. (Class A Stock)		72,800		1,332,968
Estee Lauder Cos., Inc. (The) (Class A Stock)		37,400		2,860,726
				4,193,694
Pharmaceuticals — 5.0%
Allergan PLC*(a)		62,906		13,210,889
Bristol-Myers Squibb Co.		278,540		16,277,877
Eli Lilly & Co.		163,000		11,988,650
Endo International PLC*		34,900		574,803
Johnson & Johnson		455,796		52,512,257
Mallinckrodt PLC*		19,200		956,544
Merck & Co., Inc.		462,103		27,204,004
Mylan NV*		73,200		2,792,580
Perrigo Co. PLC(a)		24,300		2,022,489
Pfizer, Inc.		1,011,423		32,851,019
Zoetis, Inc.		82,900		4,437,637
				164,828,749
Professional Services — 0.3%
Dun & Bradstreet Corp. (The)		6,200		752,184
Equifax, Inc.		20,200		2,388,246
Nielsen Holdings PLC		57,100		2,395,345
Robert Half International, Inc.		22,000		1,073,160
Verisk Analytics, Inc.*		25,100		2,037,367
				8,646,302
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		48,800		1,536,712
Road & Rail — 0.9%
CSX Corp.		159,672		5,737,015
J.B. Hunt Transport Services, Inc.		14,900		1,446,343
Kansas City Southern		18,500		1,569,725
Norfolk Southern Corp.		49,200		5,317,044
Ryder System, Inc.		9,100		677,404
Union Pacific Corp.		138,600		14,370,048
				29,117,579
Semiconductors & Semiconductor Equipment — 3.3%
Analog Devices, Inc.		51,500		3,739,930
Applied Materials, Inc.		182,900		5,902,183
Broadcom Ltd. (Singapore)		65,860		11,642,072
First Solar, Inc.*(a)		13,200		423,588
Intel Corp.		790,200		28,660,554
KLA-Tencor Corp.		26,300		2,069,284
Lam Research Corp.(a)		26,750		2,828,277
Linear Technology Corp.		40,600		2,531,410
Microchip Technology, Inc.(a)		34,300		2,200,345
Micron Technology, Inc.*		169,300		3,711,056

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
NVIDIA Corp.(a)		88,850	$	9,483,849
Qorvo, Inc.*(a)		21,886		1,154,049
QUALCOMM, Inc.		245,350		15,996,820
Skyworks Solutions, Inc.		32,000		2,389,120
Texas Instruments, Inc.		168,600		12,302,742
Xilinx, Inc.		42,300		2,553,651
				107,588,930
Software — 4.2%
Activision Blizzard, Inc.		110,900		4,004,599
Adobe Systems, Inc.*		83,675		8,614,341
Autodesk, Inc.*		33,400		2,471,934
CA, Inc.		49,273		1,565,403
Citrix Systems, Inc.*		26,300		2,348,853
Electronic Arts, Inc.*		50,300		3,961,628
Intuit, Inc.		41,600		4,767,776
Microsoft Corp.		1,299,100		80,726,074
Oracle Corp.		503,295		19,351,693
Red Hat, Inc.*		30,900		2,153,730
salesforce.com, Inc.*		105,300		7,208,838
Symantec Corp.		103,711		2,477,656
				139,652,525
Specialty Retail — 2.4%
Advance Auto Parts, Inc.(a)		12,400		2,097,088
AutoNation, Inc.*		12,589		612,455
AutoZone, Inc.*		4,940		3,901,563
Bed Bath & Beyond, Inc.(a)		25,800		1,048,512
Best Buy Co., Inc.(a)		47,225		2,015,091
CarMax, Inc.*(a)		32,800		2,111,992
Foot Locker, Inc.		21,100		1,495,779
Gap, Inc. (The)(a)		37,187		834,476
Home Depot, Inc. (The)		204,069		27,361,571
L. Brands, Inc.		40,196		2,646,505
Lowe’s Cos., Inc.		146,325		10,406,634
O’Reilly Automotive, Inc.*(a)		16,100		4,482,401
Ross Stores, Inc.		67,400		4,421,440
Signet Jewelers Ltd.(a)		12,100		1,140,546
Staples, Inc.		105,000		950,250
Tiffany & Co.		17,900		1,385,997
TJX Cos., Inc. (The)		110,400		8,294,352
Tractor Supply Co.		22,700		1,720,887
Ulta Salon Cosmetics & Fragrance, Inc.*		9,800		2,498,412
Urban Outfitters, Inc.*		15,600		444,288
				79,870,239
Technology Hardware, Storage & Peripherals — 3.7%
Apple, Inc.		891,605		103,265,691
Hewlett Packard Enterprise Co.		278,466		6,443,703
HP, Inc.		289,966		4,303,095
NetApp, Inc.		49,000		1,728,230
Seagate Technology PLC(a)		50,400		1,923,768
Western Digital Corp.		46,968		3,191,476
				120,855,963
Textiles, Apparel & Luxury Goods — 0.7%
Coach, Inc.		46,800		1,638,936
Hanesbrands, Inc.		62,700		1,352,439

SEE NOTES TO FINANCIAL STATEMENTS.

A128

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
Michael Kors Holdings Ltd.*		29,500	$	1,267,910
NIKE, Inc. (Class B Stock)		222,800		11,324,924
PVH Corp.		13,900		1,254,336
Ralph Lauren Corp.(a)		9,800		885,136
Under Armour, Inc. (Class A Stock)*(a)		28,800		836,640
Under Armour, Inc. (Class C Stock)*(a)		29,003		730,006
VF Corp.		55,744		2,973,942
				22,264,269
Tobacco — 1.6%
Altria Group, Inc.		325,500		22,010,310
Philip Morris International, Inc.		258,600		23,659,314
Reynolds American, Inc.		138,984		7,788,663
				53,458,287
Trading Companies & Distributors — 0.2%
Fastenal Co.		48,600		2,283,228
United Rentals, Inc.*		15,100		1,594,258
W.W. Grainger, Inc.(a)		9,400		2,183,150
				6,060,636
Water Utilities — 0.1%
American Water Works Co., Inc.		28,900		2,091,204
TOTAL LONG-TERM INVESTMENTS (cost $1,119,677,815)				3,218,233,634

SHORT-TERM INVESTMENTS — 7.4%
	Shares		Value (Note 2)
AFFILIATED MUTUAL FUNDS — 7.3%
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(b)		79,402,987	$	79,402,987
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $161,274,644; includes $161,168,710 of cash collateral for securities on loan)(b)(c)		161,271,929		161,304,184
TOTAL AFFILIATED MUTUAL FUNDS (cost $240,677,631) (Note 4)				240,707,171
	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills, 0.529%, 03/16/17 (cost $3,995,724)(d)(e)		4,000		3,996,000
TOTAL SHORT-TERM INVESTMENTS (cost $244,673,355)				244,703,171
TOTAL INVESTMENTS — 104.8% (cost $1,364,351,170)				3,462,936,805
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (4.8)%				(157,811,531	)
NET ASSETS — 100.0%			$	3,305,125,274

See the Glossary for abbreviations used in the annual report.

# 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 $157,096,727; cash collateral of $161,168,710 (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 Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund.

(c) Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(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 December 31, 2016:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at December 31, 2016		Unrealized Appreciation (Depreciation)
Long Positions:
40		S&P 500 E-Mini		Mar. 2017	$	4,536,910	$	4,472,400	$	(64,510	)
148		S&P 500 Index		Mar. 2017		83,470,440		82,739,400		(731,040	)
									$	(795,550	)

A U.S. Treasury Obligation with a market value of $3,996,000 has been segregated with UBS AG to cover requirements for open future contracts at December 31, 2016.

SEE NOTES TO FINANCIAL STATEMENTS.

A129

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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 December 31, 2016 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	71,831,123	$	—	$	—
Air Freight & Logistics		24,301,526		—		—
Airlines		20,897,023		—		—
Auto Components		5,804,478		—		—
Automobiles		17,842,519		—		—
Banks		217,645,904		—		—
Beverages		66,722,916		—		—
Biotechnology		88,848,940		—		—
Building Products		10,554,284		—		—
Capital Markets		92,069,121		—		—
Chemicals		66,791,519		—		—
Commercial Services & Supplies		10,430,821		—		—
Communications Equipment		33,131,447		—		—
Construction & Engineering		3,349,094		—		—
Construction Materials		5,195,884		—		—
Consumer Finance		27,496,426		—		—
Containers & Packaging		10,458,951		—		—
Distributors		3,901,934		—		—
Diversified Consumer Services		862,125		—		—
Diversified Financial Services		52,866,593		—		—
Diversified Telecommunication Services		85,490,579		—		—
Electric Utilities		63,163,995		—		—
Electrical Equipment		17,666,840		—		—
Electronic Equipment, Instruments & Components		12,366,877		—		—
Energy Equipment & Services		37,841,327		—		—
Equity Real Estate Investment Trusts (REITs)		90,314,841		—		—
Food & Staples Retailing		67,048,910		—		—
Food Products		52,316,547		—		—
Health Care Equipment & Supplies		78,586,368		—		—
Health Care Providers & Services		85,390,116		—		—
Health Care Technology		2,425,344		—		—
Hotels, Restaurants & Leisure		50,570,790		—		—
Household Durables		15,034,928		—		—
Household Products		58,684,701		—		—
Independent Power & Renewable Electricity Producers		1,911,786		—		—
Industrial Conglomerates		82,624,314		—		—
Insurance		82,967,123		—		—
Internet & Direct Marketing Retail		73,455,337		—		—
Internet Software & Services		136,278,129		—		—
IT Services		118,838,548		—		—
Leisure Products		3,065,015		—		—
Life Sciences Tools & Services		19,457,805		—		—
Machinery		47,785,398		—		—
Media		99,078,861		—		—
Metals & Mining		8,983,211		—		—
Multi-Utilities		34,142,758		—		—
Multiline Retail		17,611,893		—		—
Oil, Gas & Consumable Fuels		203,963,576		—		—
Personal Products		4,193,694		—		—
Pharmaceuticals		164,828,749		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A130

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Professional Services	$	8,646,302		$	—	$	—
Real Estate Management & Development		1,536,712			—		—
Road & Rail		29,117,579			—		—
Semiconductors & Semiconductor Equipment		107,588,930			—		—
Software		139,652,525			—		—
Specialty Retail		79,870,239			—		—
Technology Hardware, Storage & Peripherals		120,855,963			—		—
Textiles, Apparel & Luxury Goods		22,264,269			—		—
Tobacco		53,458,287			—		—
Trading Companies & Distributors		6,060,636			—		—
Water Utilities		2,091,204			—		—
Affiliated Mutual Funds		240,707,171			—		—
U.S. Treasury Obligation		—			3,996,000		—
Other Financial Instruments*
Futures Contracts		(795,550	)		—		—
Total	$	3,458,145,255		$	3,996,000	$	—

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1 and Level 2 to report.

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):

Affiliated Mutual Funds (including 4.9% of collateral for securities on loan)	7.3	%
Banks	6.6
Oil, Gas & Consumable Fuels	6.2
Pharmaceuticals	5.0
Software	4.2
Internet Software & Services	4.1
Technology Hardware, Storage & Peripherals	3.7
IT Services	3.6
Semiconductors & Semiconductor Equipment	3.3
Media	3.0
Capital Markets	2.8
Equity Real Estate Investment Trusts (REITs)	2.7
Biotechnology	2.7
Diversified Telecommunication Services	2.6
Health Care Providers & Services	2.6
Insurance	2.5
Industrial Conglomerates	2.5
Specialty Retail	2.4
Health Care Equipment & Supplies	2.4
Internet & Direct Marketing Retail	2.2
Aerospace & Defense	2.2
Food & Staples Retailing	2.0
Chemicals	2.0
Beverages	2.0
Electric Utilities	1.9
Household Products	1.8
Tobacco	1.6
Diversified Financial Services	1.6
Food Products	1.6
Hotels, Restaurants & Leisure	1.5
Machinery	1.4
Energy Equipment & Services	1.1
Multi-Utilities	1.0

Communications Equipment	1.0	%
Road & Rail	0.9
Consumer Finance	0.8
Air Freight & Logistics	0.7
Textiles, Apparel & Luxury Goods	0.7
Airlines	0.6
Life Sciences Tools & Services	0.6
Automobiles	0.5
Electrical Equipment	0.5
Multiline Retail	0.5
Household Durables	0.5
Electronic Equipment, Instruments & Components	0.4
Building Products	0.3
Containers & Packaging	0.3
Commercial Services & Supplies	0.3
Metals & Mining	0.3
Professional Services	0.3
Trading Companies & Distributors	0.2
Auto Components	0.2
Construction Materials	0.2
Personal Products	0.1
U.S. Treasury Obligation	0.1
Distributors	0.1
Construction & Engineering	0.1
Leisure Products	0.1
Health Care Technology	0.1
Water Utilities	0.1
Independent Power & Renewable Electricity Producers	0.1
Real Estate Management & Development	0.1
	104.8
Liabilities in excess of other assets	(4.8	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A131

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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 December 31, 2016 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	$	795,550	*

* Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared 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 year ended December 31, 2016 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	12,284,561
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(1,191,963	)

For the year ended December 31, 2016, the Portfolio’s average value at trade date for futures long positions was $90,251,210.

The Portfolio entered into financial transactions 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 financial transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial transactions assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received			Net Amount
Securities on Loan	$	157,096,727	$	(157,096,727	)	$	—

(1) Amount represents market value.

SEE NOTES TO FINANCIAL STATEMENTS.

A132

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

as of December 31, 2016

ASSETS
Investments at value, including securities on loan of $157,096,727:
Unaffiliated investments (cost $1,123,673,539)	$	3,222,229,634
Affiliated investments (cost $240,677,631)		240,707,171
Dividends and interest receivable		4,175,404
Receivable for investments sold		1,621,489
Receivable for Series shares sold		75,653
Tax reclaim receivable		494
Prepaid expenses		24,314
Total Assets		3,468,834,159
LIABILITIES
Payable to broker for collateral for securities on loan		161,168,710
Payable for Series shares repurchased		1,003,204
Management fee payable		843,309
Due to broker—variation margin futures		347,100
Accrued expenses and other liabilities		202,730
Payable for investments purchased		142,852
Affiliated transfer agent fee payable		980
Total Liabilities		163,708,885
NET ASSETS	$	3,305,125,274
Net assets were comprised of:
Paid-in capital	$	1,127,461,833
Retained earnings		2,177,663,441
Net assets, December 31, 2016	$	3,305,125,274
Net asset value and redemption price per share $3,305,125,274 / 65,187,820 outstanding shares of beneficial interest	$	50.70

STATEMENT OF OPERATIONS

Year Ended December 31, 2016

NET INVESTMENT INCOME (LOSS)
Income
Unaffiliated dividend income (net of foreign withholding taxes of $1,872)	$	66,397,111
Income from securities lending, net (including affiliated income of $505,664)		564,159
Affiliated dividend income		502,761
Interest income		14,714
Total income		67,478,745
EXPENSES
Management fee		10,114,576
Custodian and accounting fees (net of $18,400 fee credit)		288,000
Shareholders’ reports		107,000
Insurance expenses		41,000
Trustees’ fees		37,000
Audit fee		30,000
Legal fees and expenses		14,000
Transfer agent’s fees and expenses (including affiliated expense of $5,900)		12,000
Miscellaneous		13,533
Total expenses		10,657,109
Less: Management fee waiver		(748,698	)
Net expenses		9,908,411
NET INVESTMENT INCOME (LOSS)		57,570,334
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions (including affiliated of $2,236)		59,761,702
Futures transactions		12,284,561
		72,046,263
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $29,540)		230,179,800
Futures		(1,191,963	)
		228,987,837
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		301,034,100
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	358,604,434

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2016			2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	57,570,334		$	57,514,806
Net realized gain (loss) on investment transactions		72,046,263			152,884,259
Net change in unrealized appreciation (depreciation) on investments		228,987,837			(187,558,369	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		358,604,434			22,840,696
DISTRIBUTIONS		(210,338,581	)		(93,414,310	)
SERIES SHARE TRANSACTIONS
Series shares sold [2,976,732 and 4,544,250 shares, respectively]		136,335,898			225,562,519
Series shares issued in reinvestment of distributions [4,481,009 and 1,896,737 shares, respectively]		210,338,581			93,414,310
Series shares repurchased [4,217,650 and 11,644,330 shares, respectively]		(204,352,773	)		(550,998,022	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		142,321,706			(232,021,193	)
CAPITAL CONTRIBUTIONS (Note 4)		4,458,724			—
TOTAL INCREASE (DECREASE)		295,046,283			(302,594,807	)
NET ASSETS:
Beginning of year		3,010,078,991			3,312,673,798
End of year	$	3,305,125,274		$	3,010,078,991

SEE NOTES TO FINANCIAL STATEMENTS.

A133

	GLOSSARY
SCHEDULE OF INVESTMENTS		as of December 31, 2016

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

Currency

AUD	Australian Dollar
CAD	Canadian Dollar
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
ILS	Israeli Shekel
JPY	Japanese Yen
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar
PLN	Polish Zloty
SEK	Swedish Krona
ZAR	South African Rand

Index

CDX Credit Derivative Index

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
Aces	Alternative Credit Enhancements Securities
ADR	American Depositary Receipt
BABs	Build America Bonds
BBSW	Australian Bank Bill Swap Reference Rate
bps	Basis Points
CAS	Connecticut Avenue Securities
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
CMBS	Collateralized Mortgage-Backed Security
CVA	Certificate Van Aandelen (Bearer)
EAFE	Europe, Australasia and Far East
ETF	Exchange Traded Fund
EMTN	Euro Medium Term Note
EONIA	Euro Overnight Index Average
EURIBOR	Euro Interbank Offered Rate
EUROIS	Euro Overnight Index Swap
FHLMC	Federal Home Loan Mortgage Corp.
GMTN	Global Medium Term Note
GO	General Obligation
IO	Interest Only (Principal amount represents notional)
LIBOR	London Interbank Offered Rate
MSCI	Morgan Stanley Capital International
MTN	Medium Term Note
NIBOR	Norwegian Interbank Offered Rate
OTC	Over-the-counter
PIK	Payment-in-Kind
PO	Principal Only
PRFC	Preference Shares
REIT	Real Estate Investment Trust
REMICS	Real Estate Mortgage Investment Conduit Security
RSP	Risparimo (Savings Shares)
STACR	Structured Agency Credit Risk

SEE NOTES TO FINANCIAL STATEMENTS.

A134

	GLOSSARY (continued)
SCHEDULE OF INVESTMENTS		as of December 31, 2016

STRIPS	Separate Trading of Registered Interest and Principle of Securities
TBA	To Be Announced
TIPS	Treasury Inflation-Protected Securities
USAID	United States Agency for International Development
USOIS	United States Overnight Index Swap

SEE NOTES TO FINANCIAL STATEMENTS.

A135

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of 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 (generally, 4:00 PM Eastern time) 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. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory notes (“P-notes”) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

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 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.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally 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.

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, a 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 a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

B2

CAS and STACR:    The Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

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

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.

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 generally 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currency transactions.

P-notes:    The Series Fund may gain exposure to securities in certain foreign markets through investments in P-notes. The Series Fund may purchase P-notes due to restrictions applicable to foreign investors when investing directly in a foreign market. P-notes are generally issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying security. P-notes involve transaction costs, which may be higher than those applicable to the equity securities. An investment in a P-note may involve risks, including counterparty risk, beyond those normally associated with a direct investment in the underlying security. The Series Fund must rely on the creditworthiness of the counterparty and would have no rights against the issuer of the underlying security. Furthermore, the P-note’s performance may differ from that of the underlying security. The holder of the P-note is entitled to receive from the bank or broker-dealer, an amount equal to dividends paid by the issuer of the underlying security; however, the holder is not entitled to the same rights (e.g., dividends, voting rights) as an owner of the underlying security. There is also no assurance that there will be a secondary trading market for a P-note or that the trading price of a P-note will equal the value of the underlying security.

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, as defined in the prospectus, entered into forward currency contracts in order to hedge their exposure to changes in foreign currency

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exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. 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 the 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 return any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and the 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.

Loan Participations:    Certain Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower, the Selling Participant and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.

Financial Futures Contracts:    A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates. Portfolios may also use futures to gain additional market exposure. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Options:    Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a

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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 (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments 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 or financial instrument underlying the written option. OTC options also involve 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.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

Forward Rate Agreements:    Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolio entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.

Swap Agreements:    Certain Portfolios may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange. 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. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on the daily changes in valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains (losses) upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statement 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 are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. 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. 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 (“CDS”):    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 investment objectives. Certain Portfolios entered into CDS contracts to provide a measure of protection against defaults or 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.

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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 Portfolio’s 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 based on 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. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Portfolio’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 agreements 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. 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. In addition to master netting arrangements, 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 was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern OTC 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

B6

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 OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of December 31, 2016, 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, forward rate agreements, 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 may 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. The Portfolio holds such warrants and rights 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.

PIK Securities:    Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay in kind the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Delayed-Delivery Transactions:    Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a capital gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

Securities Lending:    The Portfolios may lend their 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

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borrower is invested in an affiliated money market fund 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. Pursuant to the repositioning of the money market fund as an ultra-short bond fund, for the period March 31, 2016 through July 18, 2016 the collateral was invested in an ultra-short bond fund. 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 Portfolios 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 Portfolios recognize income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolios also continue to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested that may occur during the term of the loan.

Dollar Rolls:    Certain Portfolios may enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are 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 sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

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 and economic instability or the level of the governmental supervision and regulation of foreign securities markets.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-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 directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

REITs:    Certain Portfolios invest in REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. These estimates are adjusted periodically when the actual source of distributions is disclosed by the REITs.

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 foreign capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded.

Each Portfolio generally attempts to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

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Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the 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 those estimates.

Note 3: Agreements

The Series Fund has a management agreement with PI on behalf of the Portfolios. 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 PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income (“PFI”) unit, 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.

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 through June 30, 2016	Management Fee effective July 1, 2016	Effective Management Fee
Conservative Balanced Portfolio	0.55%	0.55%		0.55	%
Diversified Bond Portfolio	0.40	0.40		0.40
Equity Portfolio	0.45	0.45		0.45
Flexible Managed Portfolio	0.60	0.60		0.60
Global Portfolio	0.75	0.75		0.74	*
Government Income Portfolio	0.40	0.40		0.40
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion	0.30% up to $4 billion 0.25% over $4 billion		0.30	%**

* Effective October 17, 2016, PI has contractually agreed, through June 30, 2017, to waive a portion of its management fee equal to an annual rate of 0.022% of the average daily net assets of the Portfolio. Prior to October 17, 2016, PI had contractually agreed 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 had 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 December 31, 2016, 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	PFI, QMA
Diversified Bond Portfolio	PFI
Equity Portfolio	Jennison
Flexible Managed Portfolio	PFI, QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PFI
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

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

The Series Fund has entered into a brokerage commission recapture agreement with certain registered broker-dealers with respect to certain Portfolios. 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 (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2016, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio	$	229,241
Global Portfolio		40,187

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. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

Prior to July 7, 2016, PGIM, Inc. was the Series Fund’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”. For the period January 1, 2016 through February 4, 2016, PGIM, Inc. had been compensated as follows for these services (PGIM, Inc. had not received any compensation for the period February 5, 2016 through July 6, 2016):

Portfolio	Amount
Conservative Balanced Portfolio	$	1,586
Diversified Bond Portfolio		974
Equity Portfolio		19,858
Flexible Managed Portfolio		3,536
Global Portfolio		2,073

In February 2016, Prudential, the parent company of the Investment Manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolios’ “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.

In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.

The SEC Staff and other regulators are currently reviewing the matter.

Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent (Goldman Sachs Agency Lending).

The Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale

B10

transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.

Certain Portfolios invest their overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the ”Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Certain Portfolios also invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the SEC, a series of Prudential Investment Portfolios 2 (together with Prudential Core Ultra Short Bond Fund, the “Core Funds”), registered under the 1940 Act and managed by PI. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

The following Portfolios are reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolios’ status as partnerships for tax purposes.

Portfolio	2015 Withholding Tax			2016 Withholding Tax
Conservative Balanced Portfolio	$	44,001	*	$	24,389
Flexible Managed Portfolio		53,512	*		35,507
Global Portfolio		118,399	*		99,518

* Includes amounts from December 2015 reimbursed in 2016.

Note 5: Portfolio Securities

The cost of purchases and the proceeds from sales of portfolio securities (excluding U.S. Treasury securities and short-term issues) for the year ended December 31, 2016 were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	3,744,867,249	$	3,800,701,759
Diversified Bond Portfolio		334,420,542		284,706,899
Equity Portfolio		1,399,988,400		1,543,945,875
Flexible Managed Portfolio		6,890,727,464		6,910,310,794
Global Portfolio		364,879,525		398,140,778
Government Income Portfolio		1,663,564,752		1,663,132,464
Stock Index Portfolio		158,983,199		141,372,856

Options written transactions, during the year ended December 31, 2016, were as follows:

Conservative Balanced Portfolio	Notional Amount (000)			Premiums
Balance at beginning of year		736,300		$	178,078
Written options		363,400			323,993
Expired options		(943,800	)		(352,033	)
Closed options		(155,900	)		(150,038	)
Balance at end of year		—		$	—

Diversified Bond Portfolio	Notional Amount (000)			Premiums
Balance at beginning of year		362,120		$	818,728
Written options		1,055,190			1,142,289
Expired options		(608,295	)		(1,154,594	)
Closed options		(809,015	)		(806,423	)
Balance at end of year		—		$	—

B11

Flexible Managed Portfolio	Notional Amount (000)			Premiums
Balance at beginning of year		994,900		$	242,423
Written options		479,380			425,892
Expired options		(1,270,280	)		(472,028	)
Closed options		(204,000	)		(196,287	)
Balance at end of year		—		$	—

Government Income Portfolio	Notional Amount (000)			Premiums
Balance at beginning of year		507,660		$	127,340
Written options		170,720			150,093
Expired options		(607,380	)		(209,100	)
Closed options		(71,000	)		(68,333	)
Balance at end of year		—		$	—

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record 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 fair market value.

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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2016, the Equity Portfolio has Class II shares outstanding.

B12

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

Equity Portfolio:

Class I	Shares			Amount
Year ended December 31, 2016:
Series shares sold		239,387		$	9,099,174
Series shares repurchased		(6,334,813	)		(242,961,824	)
Capital contributions		—			3,314,283
Net increase (decrease) in shares outstanding		(6,095,426	)	$	(230,548,367	)
Year ended December 31, 2015:
Series shares sold		293,271		$	11,456,660
Series shares repurchased		(7,053,688	)		(276,805,403	)
Net increase (decrease) in shares outstanding		(6,760,417	)	$	(265,348,743	)
Class II
Year ended December 31, 2016:
Series shares sold		398		$	13,474
Series shares repurchased		(8,058	)		(314,707	)
Capital contributions		—			1,696
Net increase (decrease) in shares outstanding		(7,660	)	$	(299,537	)
Year ended December 31, 2015:
Series shares sold		3,613		$	143,295
Series shares repurchased		(11,130	)		(429,755	)
Net increase (decrease) in shares outstanding		(7,517	)	$	(286,460	)

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 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The interest rate on borrowings under the SCA is paid monthly and at a per annum rate based upon the higher of 0%, the effective federal funds rate, or the One-Month LIBOR rate, plus a contractual spread. Prior to October 6, 2016, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .11% of the unused portion of the SCA. The interest rate on borrowings was substantially the same. Each Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the year ended December 31, 2016. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Maximum Balance Outstanding		Balance Outstanding at December 31, 2016
Diversified Bond Portfolio	$	596,800		5		1.93	%	$	1,602,000		—
Government Income Portfolio		275,000		3		1.67	%		275,000		—

Note 9: Ownership and Affiliates

As of December 31, 2016, 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.

B13

Note 10: Recent Accounting Pronouncements and Reporting Updates

In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.

On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.

B14

Financial Highlights

	Conservative Balanced Portfolio
	Year Ended December 31,
	2016(a)			2015(a)			2014(a)			2013(a)			2012
Per Share Operating Performance:
Net Asset Value, beginning of year	$	22.54		$	22.45		$	20.63		$	17.77		$	16.32
Income (Loss) From Investment Operations:
Net investment income (loss)		.42			.39			.36			.35			.38
Net realized and unrealized gain (loss) on investments		1.20			(.30	)		1.46			2.51			1.43
Total from investment operations		1.62			.09			1.82			2.86			1.81
Less Distributions		—			—			—			—			(.36	)
Capital Contributions(f)(Note 4)		.02			—			—			—			—
Net Asset Value, end of year	$	24.18		$	22.54		$	22.45		$	20.63		$	17.77
Total Return(b)		7.28	%(g)		.40	%		8.82	%		16.09	%		11.23	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,473.2		$	2,554.3		$	2,574.4		$	2,504.4		$	2,287.0
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.58	%		.58	%		.58	%		.58	%		.58	%
Expenses before waivers and/or expense reimbursement		.58	%		.58	%		.58	%		.58	%		.58	%
Net investment income (loss)		1.79	%		1.70	%		1.66	%		1.84	%		2.11	%
Portfolio turnover rate(d)		185	%		208	%		134	%		196	%		188	%
	Diversified Bond Portfolio
	Year Ended December 31,
	2016(a)			2015(a)			2014(a)			2013			2012(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.64		$	11.66		$	11.01		$	11.88		$	11.74
Income (Loss) From Investment Operations:
Net investment income (loss)		.43			.41			.43			.48			.54
Net realized and unrealized gain (loss) on investments		.21			(.43	)		.34			(.56	)		.66
Total from investment operations		.64			(.02	)		.77			(.08	)		1.20
Less Distributions		—			—			(.12	)		(.79	)		(1.06	)
Capital Contributions(f)(Note 4)		—	(e)		—			—			—			—
Net Asset Value, end of year	$	12.28		$	11.64		$	11.66		$	11.01		$	11.88
Total Return(b)		5.50	%(h)		(.17	)%		7.09	%		(.71	)%		10.68	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,104.6		$	1,084.9		$	1,067.9		$	1,197.5		$	1,305.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.44	%		.46	%		.44	%		.44	%		.44	%
Expenses before waivers and/or expense reimbursement		.44	%		.46	%		.44	%		.44	%		.44	%
Net investment income (loss)		3.52	%		3.48	%		3.73	%		4.10	%		4.57	%
Portfolio turnover rate		49	%		81	%		50	%		111	%		144	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect 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.

(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) Less than $.005 per share.

(f) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%.

(h) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	Equity Portfolio
	Class I
	Year Ended December 31,
	2016(c)			2015(c)			2014(c)			2013			2012(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	39.47		$	38.56		$	35.81		$	26.81		$	23.73
Income (Loss) From Investment Operations:
Net investment income (loss)		.38			.34			.19			.27			.27
Net realized and unrealized gain (loss) on investments		1.07			.57			2.56			8.73			2.96
Total from investment operations		1.45			.91			2.75			9.00			3.23
Less Distributions:		—			—			—			—			(.15	)
Capital Contributions(d)(Note 4)		.04			—			—			—			—
Net Asset Value, end of year	$	40.96		$	39.47		$	38.56		$	35.81		$	26.81
Total Return(a)		3.78	%(e)		2.36	%		7.68	%		33.57	%		13.69	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,741.7		$	3,846.2		$	4,017.6		$	3,970.9		$	3,167.0
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.47	%		.47	%		.47	%		.47	%		.47	%
Expenses before waivers and/or expense reimbursement		.47	%		.47	%		.47	%		.47	%		.47	%
Net investment income (loss)		1.01	%		.86	%		.52	%		.86	%		1.04	%
Portfolio turnover rate		39	%		37	%		51	%		45	%		48	%
	Equity Portfolio
	Class II
	Year Ended December 31,
	2016(c)			2015(c)			2014(c)			2013			2012(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	39.42		$	38.66		$	36.05		$	27.10		$	23.99
Income (Loss) From Investment Operations:
Net investment income (loss)		.23			.18			.04			.13			.17
Net realized and unrealized gain (loss) on investments		1.05			.58			2.57			8.82			3.00
Total from investment operations		1.28			.76			2.61			8.95			3.17
Less Distributions:		—			—			—			—			(.06	)
Capital Contributions(d)(Note 4)		.04			—			—			—			—
Net Asset Value, end of year	$	40.74		$	39.42		$	38.66		$	36.05		$	27.10
Total Return(a)		3.35	%(e)		1.97	%		7.24	%		33.03	%		13.23	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1.7		$	2.0		$	2.2		$	2.3		$	1.8
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.87	%		.87	%		.87	%		.87	%		.87	%
Expenses before waivers and/or expense reimbursement		.87	%		.87	%		.87	%		.87	%		.87	%
Net investment income (loss)		.61	%		.46	%		.11	%		.47	%		.63	%
Portfolio turnover rate		39	%		37	%		51	%		45	%		48	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, 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 years 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.

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

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

(d) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 3.68% and 3.25%, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	Flexible Managed Portfolio
	Year Ended December 31,
	2016(a)			2015(a)			2014(a)			2013(a)			2012
Per Share Operating Performance:
Net Asset Value, beginning of year	$	23.95		$	23.71		$	21.35		$	17.77		$	15.99
Income (Loss) From Investment Operations:
Net investment income (loss)		.44			.42			.37			.36			.37
Net realized and unrealized gain (loss) on investments		1.58			(.18	)		1.99			3.22			1.74
Total from investment operations		2.02			.24			2.36			3.58			2.11
Less Distributions		—			—			—			—			(.33	)
Capital Contributions(e)(Note 4)		.02			—			—			—			—
Net Asset Value, end of year	$	25.99		$	23.95		$	23.71		$	21.35		$	17.77
Total Return(b)		8.52	%(f)		1.01	%		11.05	%		20.15	%		13.37	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,889.8		$	3,768.8		$	3,943.8		$	3,730.6		$	3,265.8
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.63	%		.63	%
Expenses before waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.63	%		.63	%
Net investment income (loss)		1.78	%		1.74	%		1.66	%		1.86	%		2.05	%
Portfolio turnover rate(d)		203	%		213	%		161	%		210	%		214	%
	Global Portfolio
	Year Ended December 31,
	2016(a)			2015(a)			2014(a)			2013			2012
Per Share Operating Performance:
Net Asset Value, beginning of year	$	26.33		$	25.72		$	24.91		$	19.57		$	16.94
Income (Loss) From Investment Operations:
Net investment income (loss)		.34			.34			.37			.31			.36
Net realized and unrealized gain (loss) on investments		.81			.27			.44			5.03			2.57
Total from investment operations		1.15			.61			.81			5.34			2.93
Less Distributions		—			—			—			—			(.30	)
Capital Contributions(e)(Note 4)		.02			—			—			—			—
Net Asset Value, end of year	$	27.50		$	26.33		$	25.72		$	24.91		$	19.57
Total Return(b)		4.44	%(g)		2.37	%		3.25	%		27.29	%		17.52	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	955.4		$	965.3		$	719.2		$	744.5		$	611.2
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursements		.80	%		.81	%		.81	%		.84	%		.84	%
Expenses before waivers and/or expense reimbursements		.81	%		.82	%		.82	%		.84	%		.84	%
Net investment income (loss)		1.29	%		1.28	%		1.45	%		1.29	%		1.82	%
Portfolio turnover rate		40	%		33	%		37	%		70	%		57	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect 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.

(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) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(f) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

(g) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	Government Income Portfolio
	Year Ended December 31,
	2016(d)			2015(d)			2014			2013			2012
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.00		$	11.92		$	11.30		$	12.15		$	12.37
Income (Loss) From Investment Operations:
Net investment income (loss)		.20			.18			.21			.21			.25
Net realized and unrealized gain (loss) on investments		.06			(.10	)		.45			(.49	)		.19
Total from investment operations		.26			.08			.66			(.28	)		.44
Less Distributions		—			—			(.04	)		(.57	)		(.66	)
Capital Contributions(e)(Note 4)		—	(f)		—			—			—			—
Net Asset Value, end of year	$	12.26		$	12.00		$	11.92		$	11.30		$	12.15
Total Return(a)		2.17	%(g)		.67	%		5.86	%		(2.34	)%		3.63	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	226.3		$	231.8		$	339.2		$	341.1		$	382.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.51	%		.48	%		.47	%		.49	%		.48	%
Expenses before waivers and/or expense reimbursement		.51	%		.48	%		.47	%		.49	%		.48	%
Net investment income (loss)		1.60	%		1.48	%		1.73	%		1.78	%		1.96	%
Portfolio turnover rate(c)		705	%		746	%		830	%		1135	%		1154	%
	Stock Index Portfolio
	Year Ended December 31,
	2016(d)			2015(d)			2014(d)			2013(d)			2012
Per Share Operating Performance:
Net Asset Value, beginning of year	$	48.59		$	49.33		$	47.02		$	35.65		$	31.47
Income (Loss) From Investment Operations:
Net investment income (loss)		.89			.86			.79			.73			.68
Net realized and unrealized gain (loss) on investments		4.52			(.26	)		5.20			10.64			4.19
Total from investment operations		5.41			.60			5.99			11.37			4.87
Less Distributions		(3.37	)		(1.34	)		(3.68	)		—			(.69	)
Capital Contributions(e)(Note 4)		.07			—			—			—			—
Net Asset Value, end of year	$	50.70		$	48.59		$	49.33		$	47.02		$	35.65
Total Return(a)		11.83	%(h)		1.18	%		13.31	%		31.89	%		15.68	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,305.1		$	3,010.1		$	3,312.7		$	2,890.5		$	2,340.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.32	%		.32	%		.32	%		.32	%		.32	%
Expenses before waivers and/or expense reimbursement		.34	%		.37	%		.37	%		.37	%		.37	%
Net investment income (loss)		1.84	%		1.74	%		1.67	%		1.77	%		1.97	%
Portfolio turnover rate		5	%		9	%		5	%		3	%		2	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect 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.

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

(e) Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(f) Less than $0.005 per share.

(g) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(h) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, and Stock Index Portfolio (the “Portfolios”), each a portfolio of The Prudential Series Fund, including their respective schedules of investments, as of December 31, 2016, and their respective related statements of operations for the year then ended, statements of changes in net assets for each of the years in the two-year period then ended, and financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2016, and the results of their operations, the changes in their net assets and their financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

New York, New York

February 14, 2017

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees
Name, Age Position with the Fund Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**
Susan Davenport Austin* (Age: 49) Trustee Since 2011 Overseen by Trustee: 112	Senior Managing Director of Brock Capital (since 2014); Vice Chairman of Sheridan Broadcasting Corporation (since 2013); Formerly Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Formerly Chairman of the Board of Directors, Broadcast Music, Inc. (2011-2014); Presiding Director of the Board of Directors, Broadcast Music, Inc. (since 2014); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	Director of NextEra Energy Partners, LP (NYSE:NEP) (February 2015-Present).
Sherry S. Barrat* (Age: 67) Trustee Since 2013 Overseen by Trustee: 112	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).
Jessica M. Bibliowicz* (Age: 57) Trustee Since 2014 Overseen by Trustee: 112	Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products.	Director (since 2006) The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance).
Kay Ryan Booth* (Age: 66) Trustee Since 2013 Overseen by Trustee: 112	Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold* (Age: 78) Trustee Since 2003 Overseen by Trustee: 112	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
Robert F. Gunia* (Age: 70) Trustee Since 2003 Overseen by Trustee: 112	Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (Since May 1989) of The Asia-Pacific Fund, Inc.
Thomas T. Mooney* (Age: 75) Trustee Since 2003 Independent Chair Since 2003 Overseen by Trustee: 112	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.

E1

Independent Trustees
Name, Age Position with the Fund Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**
Thomas M. O’Brien* (Age: 66) Trustee Since 2003 Overseen by Trustee: 112	Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006- January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.
Interested Trustee
Timothy S. Cronin* (Age: 51) Trustee Since 2009 Overseen by Trustee: 113	President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005).	None.

* The address of each Trustee is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.

† The Fund Complex consists of all investment companies managed by Prudential Investments LLC. The Funds for which Prudential Investments LLC serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.

Trust Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During Past 5 Years
Raymond A. O’Hara* (61) Chief Legal Officer Since 2012	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Chad A. Earnst* (41) Chief Compliance Officer Since 2014	Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission.
Deborah A. Docs* (58) Secretary Since 2005	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain* (58) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo* (42) Assistant Secretary Since 2005	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).
Andrew R. French* (53) Assistant Secretary Since 2006	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.
Kathleen DeNicholas* (42) Assistant Secretary Since 2013	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).

E2

Trust Officers(1)
Name, Age Position with the Fund	Principal Occupation(s) During Past 5 Years
M. Sadiq Peshimam* (53) Treasurer and Principal Financial & Accounting Officer Since 2014	Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella* (58) Assistant Treasurer Since 2007	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Lana Lomuti* (49) Assistant Treasurer Since 2014	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.
Linda McMullin* (55) Assistant Treasurer Since 2014	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.
Theresa C. Thompson* (54) Deputy Chief Compliance Officer Since 2008	Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).
Charles H. Smith* (44) Anti-Money Laundering Compliance Officer Since 2016	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).

* The address for each officer is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

⁽¹⁾ Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.

E3

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 VCA-10’s and VCA-11’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 VCA-10’s and VCA-11’s proxy voting policies and procedures. Information regarding how the VCA-10 and VCA-11 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 VCA-10’s and VCA-11’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and VCA-11 and is available without charge upon request by calling 800-458-6333.

VCA-10 and VCA-11 file 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

^©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, 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.

MD.RS.011

Item 2 – Code of Ethics — See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. Kevin J. Bannon, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 – Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal years ended December 31, 2016 and December 31, 2015, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $19,961 and $19,570, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

For the fiscal years ended December 31, 2016 and December 31, 2015: none.

(c) Tax Fees

For the fiscal years ended December 31, 2016 and December 31, 2015: none.

(d) All Other Fees

For the fiscal years ended December 31, 2016 and December 31, 2015: none.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

on

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve the independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

• a review of the nature of the professional services expected to be provided,

• a review of the safeguards put into place by the accounting firm to safeguard independence, and

• periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed non-audit services will not adversely affect the independence of the independent accountants. Such proposed non-audit services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

• Annual Fund financial statement audits

• Seed audits (related to new product filings, as required)

• SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

• Accounting consultations

• Fund merger support services

• Agreed Upon Procedure Reports

• Attestation Reports

• Other Internal Control Reports

Individual audit-related services that fall within one of these categories (except for fund merger support services) and are not presented to the Audit Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated). Fees related to fund merger support services are subject to a separate authorized pre-approval by the Audit Committee with fees determined on a per occurrence and merger complexity basis.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

• Tax compliance services related to the filing or amendment of the following:

• Federal, state and local income tax compliance; and,

• Sales and use tax compliance

• Timely RIC qualification reviews

• Tax distribution analysis and planning

• Tax authority examination services

• Tax appeals support services

• Accounting methods studies

• Fund merger support services

• Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit

Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated).

Other Non-Audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

• Bookkeeping or other services related to the accounting records or financial statements of the Fund

• Financial information systems design and implementation

• Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

• Actuarial services

• Internal audit outsourcing services

• Management functions or human resources

• Broker or dealer, investment adviser, or investment banking services

• Legal services and expert services unrelated to the audit

• Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $30,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –

For the fiscal years ended December 31, 2016 and December 31, 2015: none.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2016 and December 31, 2015 was $0 and $0, respectively.

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5 – Audit Committee of Listed Registrants – Not applicable.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.

Item 11 – Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

(a) (1)    Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

(3) Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:         The Prudential Variable Contract Account-10

By:	/s/ Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	February 17, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
Date:	February 17, 2017
By:	/s/ M. Sadiq Peshimam
	M. Sadiq Peshimam
	Treasurer and Principal Financial and Accounting Officer

Date: February 17, 2017