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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number:	811-03421
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:	12/31/2017
Date of reporting period:	6/30/2017

Item 1 – Reports to Stockholders –

The MEDLEY Program

SEMIANNUAL REPORT June 30, 2017

The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable Contract Account-11 (VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, 655 Broad Street, 19th Floor, Newark, NJ 07102. Both are Prudential Financial companies.

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

The accompanying financial statements as of June 30, 2017, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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

The Prudential MEDLEY Program   Table of Contents Semiannual Report June 30, 2017

∎ LETTER TO PARTICIPANTS

∎ VCA-10

Financial Statements

∎ VCA-11 AND VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

Stock Index Portfolio

∎ APPROVAL OF ADVISORY AGREEMENTS

The Prudential MEDLEY Program Letter to Participants June 30, 2017

∎ DEAR PARTICIPANT:

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

Prudential has been building on a heritage of success for more than 135 years. 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 Account 10	Timothy S. Cronin President, The Prudential Series Fund

July 31, 2017

Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24)   Presentation of Portfolio Holdings — unaudited June 30, 2017

Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	1.7%
U.S. Treasury Inflation Indexed Bonds	1.4%
Microsoft Corp.	1.2%
U.S. Treasury Notes, 2.125%, 09/30/21	1.0%
Amazon.com, Inc.	0.9%

Diversified Bond
Issuer	(% of Net Assets	)
Corporate Bonds	41.9%
Commercial Mortgage-Backed Securities	13.2%
Asset-Backed Securities	12.2%
Residential Mortgage-Backed Securities	6.0%
U.S. Treasury Obligations	5.0%

Equity
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.9%
JPMorgan Chase & Co.	3.8%
Microsoft Corp.	3.2%
Amazon.com, Inc.	2.7%
Facebook, Inc.	2.6%

Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	1.7%
JPMorgan Chase & Co.	1.3%
Facebook, Inc.	1.2%
Alphabet, Inc.	1.1%
Johnson & Johnson	1.1%

Global
Top Five Countries	(% of Net Assets	)
United States	62.1%
Japan	7.6%
United Kingdom	6.4%
France	4.8%
Germany	3.1%

Government Income
Allocation	(% of Net Assets	)
U.S. Government Agency Obligations	42.5%
U.S. Treasury Obligations	28.6%
Commercial Mortgage-Backed Securities	20.9%
Collateralized Loan Obligations	6.3%
Corporate Bonds	1.3%

Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.6%
Microsoft Corp.	2.5%
Amazon.com, Inc.	1.8%
Johnson & Johnson	1.7%
Facebook, Inc. (Class A Stock)	1.7%

VCA-10
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	3.20%
Apple, Inc.	2.80%
Goldman Sachs Group, Inc. (The)	2.70%
Microsoft Corp.	2.50%
Bank of America Corp.	2.10%

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

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (unaudited)

June 30, 2017

LONG-TERM INVESTMENTS — 98.0%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 2.7%
Boeing Co. (The)		9,148	$	1,809,017
United Technologies Corp.		19,469		2,377,360
				4,186,377
Automobiles — 1.0%
Tesla, Inc.*		4,168		1,507,190
Banks — 10.7%
Bank of America Corp.		133,250		3,232,645
BB&T Corp.		43,954		1,995,951
Citigroup, Inc.		40,292		2,694,729
JPMorgan Chase & Co.		54,388		4,971,063
PNC Financial Services Group, Inc. (The)		17,436		2,177,233
Wells Fargo & Co.		26,801		1,485,043
				16,556,664
Biotechnology — 3.0%
BioMarin Pharmaceutical, Inc.*		7,614		691,503
Celgene Corp.*		20,246		2,629,348
Shire PLC, ADR		8,111		1,340,505
				4,661,356
Capital Markets — 2.7%
Goldman Sachs Group, Inc. (The)		19,197		4,259,814
Chemicals — 2.1%
Dow Chemicals Co. (The)		26,534		1,673,499
FMC Corp.		21,332		1,558,303
				3,231,802
Communications Equipment — 1.0%
Cisco Systems, Inc.		48,356		1,513,543
Consumer Finance — 2.4%
Capital One Financial Corp.		23,662		1,954,954
SLM Corp.*		153,732		1,767,918
				3,722,872
Containers & Packaging — 0.6%
Sealed Air Corp.		21,620		967,711
Electric Utilities — 2.6%
Exelon Corp.		43,457		1,567,494
PG&E Corp.		37,635		2,497,835
				4,065,329
Electrical Equipment — 1.0%
Eaton Corp. PLC		20,570		1,600,963
Electronic Equipment, Instruments & Components — 1.2%
Flex Ltd.*		110,278		1,798,634
Energy Equipment & Services — 1.1%
Halliburton Co.		40,649		1,736,119
Equity Real Estate Investment Trust (REITs) — 1.0%
American Tower Corp.		12,091		1,599,881
Food & Staples Retailing — 1.1%
Wal-Mart Stores, Inc.		23,202		1,755,927

COMMON STOCKS (continued)	Shares		Value
Food Products — 1.8%
Conagra Foods, Inc.		43,747	$	1,564,393
Mondelez International, Inc. (Class A Stock)		26,896		1,161,638
				2,726,031
Health Care Equipment & Supplies — 1.2%
Zimmer Biomet Holdings, Inc.		14,737		1,892,231
Health Care Providers & Services — 2.3%
Cigna Corp.		11,605		1,942,561
Laboratory Corp. of America Holdings*		10,991		1,694,153
				3,636,714
Hotels, Restaurants & Leisure — 2.8%
Carnival Corp.		21,503		1,409,952
Hyatt Hotels Corp. (Class A Stock)*		27,804		1,562,863
McDonald’s Corp.		8,465		1,296,499
				4,269,314
Household Durables — 0.7%
Newell Brands, Inc.		19,534		1,047,413
Household Products — 1.6%
Procter & Gamble Co. (The)		27,678		2,412,138
Industrial Conglomerates — 0.7%
General Electric Co.		38,461		1,038,832
Insurance — 2.8%
Chubb Ltd. (Switzerland)		15,543		2,259,641
MetLife, Inc.		36,995		2,032,505
				4,292,146
Internet & Direct Marketing Retail — 2.8%
Amazon.com, Inc.*		2,614		2,530,352
Netflix, Inc.*		12,168		1,818,021
				4,348,373
Internet Software & Services — 8.9%
Alibaba Group Holding Ltd. (China), ADR*		22,784		3,210,266
Alphabet, Inc. (Class A Stock)*		2,901		2,697,002
Alphabet, Inc. (Class C Stock)*		1,216		1,105,016
eBay, Inc.*		44,789		1,564,032
Facebook, Inc. (Class A Stock)*		17,040		2,572,699
Tencent Holdings Ltd. (China), ADR		75,476		2,714,117
				13,863,132
IT Services — 2.2%
DXC Technology Co.		14,057		1,078,453
Mastercard, Inc. (Class A Stock)		18,655		2,265,650
				3,344,103
Machinery — 1.0%
Parker-Hannifin Corp.		10,107		1,615,301
Media — 4.8%
Charter Communications, Inc. (Class A Stock)*		6,471		2,179,756
Comcast Corp. (Class A Stock)		62,762		2,442,697

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (unaudited)

June 30, 2017

COMMON STOCKS (continued)	Shares		Value
Media (continued)
Liberty Global PLC (Series C) (United Kingdom)*		24,155	$	753,153
Twenty-First Century Fox, Inc. (Class A Stock)		37,869		1,073,207
Viacom, Inc. (Class B Stock)		28,547		958,323
				7,407,136
Oil, Gas & Consumable Fuels — 5.4%
Anadarko Petroleum Corp.		16,452		745,934
Chevron Corp.		23,476		2,449,251
Hess Corp.		16,129		707,579
Noble Energy, Inc.		29,340		830,322
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		42,758		2,274,288
Suncor Energy, Inc. (Canada)		48,738		1,423,150
				8,430,524
Pharmaceuticals — 4.9%
Allergan PLC		6,708		1,630,648
Eli Lilly & Co.		19,553		1,609,213
Merck & Co., Inc.		31,978		2,049,470
Pfizer, Inc.		68,681		2,306,995
				7,596,326
Road & Rail — 1.7%
Ryder Systems, Inc.		12,690		913,426
Union Pacific Corp.		15,252		1,661,095
				2,574,521
Semiconductors & Semiconductor Equipment — 4.1%
Broadcom Ltd.		10,181		2,372,682
NVIDIA Corp.		16,503		2,385,674
Texas Instruments, Inc.		20,441		1,572,526
				6,330,882
Software — 8.0%
Activision Blizzard, Inc.		39,309		2,263,019
Adobe Systems, Inc.*		16,495		2,333,053
Microsoft Corp.		56,760		3,912,467
PTC, Inc.*		28,413		1,566,124
salesforce.com, Inc.*		26,816		2,322,266
				12,396,929
Technology Hardware, Storage & Peripherals — 2.8%
Apple, Inc.		30,611		4,408,596
Textiles, Apparel & Luxury Goods — 2.3%
adidas AG (Germany), ADR		18,069		1,734,082
Coach, Inc.		37,389		1,769,995
				3,504,077
Wireless Telecommunication Services — 1.0%
Vodafone Group PLC (United Kingdom), ADR		53,422		1,534,814
TOTAL COMMON STOCKS (cost $106,720,705)				151,833,715

SHORT-TERM INVESTMENT — 1.7%	Shares		Value
AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund (cost $2,710,744)(a)		2,710,744	$	2,710,744
TOTAL INVESTMENTS — 99.7% (cost $109,431,449)				154,544,459
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%
Receivable for Securities Sold				958,866
Cash				658,974
Interest and Dividends Receivable				173,568
Tax Reclaim Receivable				27,657
Payable Pending Capital Transactions				(122,291	)
Payable for Securities Purchased				(1,270,687	)
OTHER ASSETS IN EXCESS OF LIABILITIES				426,087
NET ASSETS — 100%			$	154,970,546
NET ASSETS, representing:
Equity of Participants —			$	154,998,216
Equity of The Prudential Insurance Company of America				(27,670	)
			$	154,970,546

The following abbreviations are used in the semiannual report:

ADR American Depositary Receipt

* Non-income producing security.

(a) PGIM 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 (unaudited)

June 30, 2017

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	4,186,377	$	—	$	—
Automobiles		1,507,190		—		—
Banks		16,556,664		—		—
Biotechnology		4,661,356		—		—
Capital Markets		4,259,814		—		—
Chemicals		3,231,802		—		—
Communications Equipment		1,513,543		—		—
Consumer Finance		3,722,872		—		—
Containers & Packaging		967,711		—		—
Electric Utilities		4,065,329		—		—
Electrical Equipment		1,600,963		—		—
Electronic Equipment, Instruments & Components		1,798,634		—		—
Energy Equipment & Services		1,736,119		—		—
Equity Real Estate Investment Trust (REITs)		1,599,881		—		—
Food & Staples Retailing		1,755,927		—		—
Food Products		2,726,031		—		—
Health Care Equipment & Supplies		1,892,231		—		—
Health Care Providers & Services		3,636,714		—		—
Hotels, Restaurants & Leisure		4,269,314		—		—
Household Durables		1,047,413		—		—
Household Products		2,412,138		—		—
Industrial Conglomerates		1,038,832		—		—
Insurance		4,292,146		—		—
Internet & Direct Marketing Retail		4,348,373		—		—
Internet Software & Services		13,863,132		—		—
IT Services		3,344,103		—		—
Machinery		1,615,301		—		—
Media		7,407,136		—		—
Oil, Gas & Consumable Fuels		8,430,524		—		—
Pharmaceuticals		7,596,326		—		—
Road & Rail		2,574,521		—		—
Semiconductors & Semiconductor Equipment		6,330,882		—		—
Software		12,396,929		—		—
Technology Hardware, Storage & Peripherals		4,408,596		—		—
Textiles, Apparel & Luxury Goods		3,504,077		—		—
Wireless Telecommunication Services		1,534,814		—		—
Affiliated Mutual Fund		2,710,744		—		—
Total	$	154,544,459	$	—	$	—

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF NET ASSETS (unaudited)

June 30, 2017

Industry classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2017 were as follows:

Banks	10.7	%
Internet Software & Services	8.9
Software	8.0
Oil, Gas & Consumable Fuels	5.4
Pharmaceuticals	4.9
Media	4.8
Semiconductors & Semiconductor Equipment	4.1
Biotechnology	3.0
Hotels, Restaurants & Leisure	2.8
Insurance	2.8
Internet & Direct Marketing Retail	2.8
Technology Hardware, Storage & Peripherals	2.8
Aerospace & Defense	2.7
Capital Markets	2.7
Electric Utilities	2.6
Consumer Finance	2.4
Health Care Providers & Services	2.3
Textiles, Apparel & Luxury Goods	2.3
IT Services	2.2
Chemicals	2.1
Food Products	1.8

Affiliated Mutual Fund	1.7	%
Road & Rail	1.7
Household Products	1.6
Electronic Equipment, Instruments & Components	1.2
Health Care Equipment & Supplies	1.2
Energy Equipment & Services	1.1
Food & Staples Retailing	1.1
Automobiles	1.0
Communications Equipment	1.0
Electrical Equipment	1.0
Equity Real Estate Investment Trust (REITs)	1.0
Machinery	1.0
Wireless Telecommunications Services	1.0
Household Durables	0.7
Industrial Conglomerates	0.7
Containers & Packaging	0.6
	99.7
Other assets in excess of liabilities	0.3
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2017

INVESTMENT INCOME
Unaffiliated Dividend Income (net of $13,512 foreign withholding tax)	$	1,274,719
Affiliated Dividend Income		11,074
Total Income		1,285,793
EXPENSES
Fees Charged to Participants for Investment Management Services		(192,801	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(519,731	)
0.50% Contract		(4,759	)
0.45% Contract		(9,456	)
Total Expenses		(726,747	)
NET INVESTMENT INCOME		559,046
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) on:
Investment Transactions		5,165,954
Foreign Currency Transactions		1,276
		5,167,230
Net Change in Unrealized Appreciation (Depreciation) on Investments		8,050,604
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		13,217,834
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	13,776,880

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
OPERATIONS
Net Investment Income	$	559,046		$	1,321,716
Net Realized Gain on Investment and Foreign Currency Transactions		5,167,230			4,632,303
Net Change In Unrealized Appreciation (Depreciation) on Investments		8,050,604			2,703,381
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		13,776,880			8,657,400
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		707,269			1,076,649
Withdrawals and Transfers Out		(9,533,529	)		(17,277,918	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(8,826,260	)		(16,201,269	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(7,707	)		4,298
TOTAL INCREASE (DECREASE) IN NET ASSETS		4,942,913			(7,539,571	)
NET ASSETS
Beginning of period		150,027,633			157,567,204
End of period	$	154,970,546		$	150,027,633

Accumulation Unit Values and Equity of Participants as of June 30, 2017

Standard Contract:
Accumulation Unit Value and Equity of Participants, $141,736,519 / 8,134,649 Accumulation Units	$	17.4238
0.50% Contract:
Accumulation Unit Value and Equity of Participants, $3,743,773 / 193,487 Accumulation Units	$	19.3490
0.45% Contract:
Accumulation Unit Value and Equity of Participants, $9,517,924 / 490,338 Accumulation Units	$	19.4109

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (unaudited)

(For an Accumulation Unit outstanding throughout the period)

	Six Months Ended June 30, 2017									Year Ended December 31, 2016
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.1413		$	.1567		$	.1571		$	.2736		$	.3019		$	.3027
Expenses
Investment management fee		(.0209	)		(.0231	)		(.0232	)		(.0369	)		(.0407	)		(.0408	)
Administrative expenses		(.0624	)		(.0231	)		(.0185	)		(.1103	)		(.0407	)		(.0327	)
Net Investment Income		.0580			.1105			.1154			.1264			.2205			.2292
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		1.4380			1.5943			1.5992			.8068			.8955			.8983
Net Increase (Decrease) in Accumulation Unit Value		1.4960			1.7048			1.7146			.9332			1.1160			1.1275
Accumulation Unit Value
Beginning of period		15.9278			17.6442			17.6963			14.9946			16.5282			16.5688
End of period	$	17.4238		$	19.3490		$	19.4109		$	15.9278		$	17.6442		$	17.6963
Total Return**		9.39	%		9.66	%		9.69	%		6.22	%		6.75	%		6.80	%
Ratio of Expenses To Average Net Assets***		1.00	%††		.50	%††		.45	%††		1.00	%		.50	%		.45	%
Ratio of Net Investment Income To Average Net Assets***		.70	%††		1.20	%††		1.25	%††		.85	%		1.34	%		1.39	%
Portfolio Turnover Rate		23	%†††		23	%†††		23	%†††		42	%		42	%		42	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		8,135			193			490			8,606			212			522

* Calculated by accumulating the actual per unit amounts daily.

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

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

†† Annualized

††† Not Annualized

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (unaudited)

(For an Accumulation Unit outstanding throughout the year)

	Year Ended December 31, 2015									Year Ended December 31, 2014
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.2397		$	.2631		$	.2637		$	.1871		$	.2046		$	.2049
Expenses
Investment management fee		(.0384	)		(.0422	)		(.0423	)		(.0362	)		(.0397	)		(.0398	)
Administrative expenses		(.1149	)		(.0422	)		(.0339	)		(.1086	)		(.0397	)		(.0318	)
Net Investment Income		.0864			.1787			.1875			.0423			.1252			.1333
Capital Changes
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(.3479	)		(.3837	)		(.3847	)		1.4515			1.5879			1.5907
Net Increase (Decrease) in Accumulation Unit Value		(.2615	)		(.2050	)		(.1972	)		1.4938			1.7131			1.7240
Accumulation Unit Value
Beginning of year		15.2561			16.7332			16.7660			13.7623			15.0201			15.0420
End of year	$	14.9946		$	16.5282		$	16.5688		$	15.2561		$	16.7332		$	16.7660
Total Return**		(1.71	%)		(1.23	%)		(1.18	%)		10.85	%		11.41	%		11.46	%
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%
Ratio of Net Investment Income To Average Net Assets***		.57	%		1.06	%		1.11	%		.29	%		.78	%		.83	%
Portfolio Turnover Rate		47	%		47	%		47	%		70	%		70	%		70	%
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		9,595			219			609			10,646			242			657

* Calculated by accumulating the actual per unit amounts daily.

** Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10

INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (unaudited)

(For an Accumulation Unit outstanding throughout the period)

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

* Calculated by accumulating the actual per unit amounts daily.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-10 (unaudited)

Note 1: General

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

PICA issues standard VCA-10 contracts with annual expenses of 1.00%, as a percentage of net assets, (the “Standard Contracts”), contracts with annual expenses of 0.50%, as a percentage of net assets, (the “0.50% contracts”), and contracts with annual expenses of 0.45%, as a percentage of net asset, (the “0.45% contracts”). The financial statements 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 PGIM Investments LLC (“PGIM Investments” or “the Manager”) (formerly known as Prudential Investments LLC). Under the current Valuation Procedures, the 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 asked prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

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 stock valuation policies 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 significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

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

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

Restricted and Illiquid Securities:    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.

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 identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income and realized and unrealized gain (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 PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments 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. PGIM Investments 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 PGIM Investments, 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 PGIM Investments, 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 PGIM Investments, for investment management services.

PICA, PGIM Investments 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 Committee 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 Committee. For the period ended June 30, 2017 no such transactions were entered into by the Account.

During the six months ended June 30, 2017, 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 PGIM Investments. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated dividend income”.

Note 5: Purchases and Sales of Portfolio Securities

For the six months ended June 30, 2017, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $34,083,168 and $42,959,470, respectively.

Note 6: Unit Transactions

The number of Accumulation Units issued and redeemed for the six months ended June 30, 2017 and the year ended December 31, 2016, respectively, are as follows:

Standard Contracts	Units			Amount
Six months ended June 30, 2017:
Account units issued		42,035		$	707,269
Account units redeemed		(512,953	)		(8,590,515	)
Net increase (decrease) in units outstanding		(470,918	)	$	(7,883,246	)
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	)
0.50 % Contracts	Units			Amount
Six months ended June 30, 2017:
Account units issued		—		$	—
Account units redeemed		(18,951	)		(353,107	)
Net increase (decrease) in units outstanding		(18,951	)	$	(353,107	)
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	)
0.45 % Contracts	Units			Amount
Six months ended June 30, 2017:
Account units issued		—		$	—
Account units redeemed		(31,233	)		(589,907	)
Net increase (decrease) in units outstanding		(31,233	)	$	(589,907	)
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	)

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

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

Note 8: Participant Loans

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

For the six months ended June 30, 2017, $42,602 in participant loans were withdrawn from VCA-10 and $31,346 of principal and interest was repaid to VCA-10. 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. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2017, PICA has advised the Account that it received $216 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

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 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.

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-11 and VCA-24 will invest in the corresponding Portfolio of the Prudential Series Fund (the “Fund”). Of the Portfolios comprising the Fund, eight Portfolios are presently available to The MEDLEY Program. The Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Equity Subaccount invests in the Equity Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Global Subaccount in the Global Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Government Money Market Subaccount in the Government Money Market Portfolio, and the Stock Index Subaccount in the Stock Index 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 eight portfolios of the Fund which are available through the Prudential Variable Contract Accounts 11 and 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 Fees and Expenses — unaudited June 30, 2017

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2017 through June 30, 2017.

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 January 1, 2017		Ending Account Value June 30, 2017		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,058.30		0.58	%	$	2.96
	Hypothetical	$	1,000.00	$	1,021.92		0.58	%	$	2.91
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,044.00		0.44	%	$	2.23
	Hypothetical	$	1,000.00	$	1,022.61		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,114.30		0.47	%	$	2.46
	Hypothetical	$	1,000.00	$	1,022.46		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	1,112.20		0.87	%	$	4.56
	Hypothetical	$	1,000.00	$	1,020.48		0.87	%	$	4.36
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,059.30		0.62	%	$	3.17
	Hypothetical	$	1,000.00	$	1,021.72		0.62	%	$	3.11
Global (Class I)	Actual	$	1,000.00	$	1,125.10		0.79	%	$	4.16
	Hypothetical	$	1,000.00	$	1,020.88		0.79	%	$	3.96
Government Income (Class I)	Actual	$	1,000.00	$	1,021.20		0.51	%	$	2.56
	Hypothetical	$	1,000.00	$	1,022.27		0.51	%	$	2.56
Government Money Market (Class I)	Actual	$	1,000.00	$	1,001.80		0.34	%	$	1.69
	Hypothetical	$	1,000.00	$	1,023.11		0.34	%	$	1.71
Stock Index (Class I)	Actual	$	1,000.00	$	1,091.90		0.32	%	$	1.66
	Hypothetical	$	1,000.00	$	1,023.21		0.32	%	$	1.61

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2017, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2017 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

LONG-TERM INVESTMENTS — 89.2%
COMMON STOCKS — 49.0%	Shares		Value
Aerospace & Defense — 1.1%
Arconic, Inc.		25,080	$	568,062
Boeing Co. (The)		32,550		6,436,762
General Dynamics Corp.		16,300		3,229,030
L3 Technologies, Inc.		4,500		751,860
Lockheed Martin Corp.		14,300		3,969,823
Northrop Grumman Corp.		10,162		2,608,687
Raytheon Co.		16,700		2,696,716
Rockwell Collins, Inc.		9,400		987,752
Singapore Technologies Engineering Ltd. (Singapore)		21,800		58,240
Textron, Inc.		14,900		701,790
Thales SA (France)		379		40,790
TransDigm Group, Inc.(a)		3,000		806,610
United Technologies Corp.		42,800		5,226,308
				28,082,430
Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.(a)		8,500		583,780
Deutsche Post AG (Germany)		3,617		135,776
Expeditors International of Washington, Inc.(a)		10,100		570,448
FedEx Corp.		14,150		3,075,220
United Parcel Service, Inc. (Class B Stock)		39,800		4,401,482
				8,766,706
Airlines — 0.3%
Alaska Air Group, Inc.		7,400		664,224
American Airlines Group, Inc.(a)		28,200		1,419,024
Delta Air Lines, Inc.		41,400		2,224,836
Deutsche Lufthansa AG (Germany)		17,892		407,751
International Consolidated Airlines Group SA (United Kingdom)		3,186		25,314
Southwest Airlines Co.		35,700		2,218,398
United Continental Holdings, Inc.*		16,700		1,256,675
				8,216,222
Auto Components — 0.1%
Aisin Seiki Co. Ltd. (Japan)		6,300		323,862
BorgWarner, Inc.		11,800		499,848
Bridgestone Corp. (Japan)		2,300		99,433
Cie Generale des Etablissements Michelin (France)		543		72,270
Continental AG (Germany)		162		35,046
Delphi Automotive PLC		15,700		1,376,105
GKN PLC (United Kingdom)		32,966		140,026
Goodyear Tire & Rubber Co. (The)		13,400		468,464
Koito Manufacturing Co. Ltd. (Japan)		400		20,684
Sumitomo Electric Industries Ltd. (Japan)		2,700		41,770
Valeo SA (France)		495		33,303
				3,110,811
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		1,186		110,307
Daimler AG (Germany)		3,463		251,167
Ferrari NV (Italy)		218		18,759

COMMON STOCKS (continued)	Shares		Value
Automobiles (continued)
Fiat Chrysler Automobiles NV (United Kingdom)*		3,504	$	37,018
Ford Motor Co.		222,585		2,490,726
General Motors Co.		77,700		2,714,061
Harley-Davidson, Inc.(a)		10,100		545,602
Honda Motor Co. Ltd. (Japan)		5,800		158,909
Mitsubishi Motors Corp. (Japan)		28,100		185,830
Nissan Motor Co. Ltd. (Japan)		8,600		85,870
Peugeot SA (France)		974		19,411
Suzuki Motor Corp. (Japan)		8,100		385,868
Toyota Motor Corp. (Japan)		3,900		204,998
Volkswagen AG (Germany)		123		19,104
				7,227,630
Banks — 3.3%
Aozora Bank Ltd. (Japan)		2,000		7,636
Banco Santander SA (Spain)		3,911		25,969
Bank Leumi Le-Israel BM (Israel)		5,033		24,453
Bank of America Corp.		574,621		13,940,305
BB&T Corp.		45,900		2,084,319
Bendigo & Adelaide Bank Ltd. (Australia)		24,362		207,383
BNP Paribas SA (France)		3,813		274,509
Citigroup, Inc.		158,885		10,626,229
Citizens Financial Group, Inc.		29,500		1,052,560
Comerica, Inc.		10,200		747,048
Commonwealth Bank of Australia (Australia)		6,277		399,318
Credit Agricole SA (France)		25,515		411,006
Danske Bank A/S (Denmark)		10,319		397,004
DBS Group Holdings Ltd. (Singapore)		3,600		54,183
DNB ASA (Norway)		3,528		60,063
Fifth Third Bancorp		40,921		1,062,309
HSBC Holdings PLC (United Kingdom)		71,230		661,158
Huntington Bancshares, Inc.		61,236		827,911
ING Groep NV (Netherlands)		32,581		562,439
Intesa Sanpaolo SpA, RSP (Italy)		1,867		5,554
JPMorgan Chase & Co.		204,245		18,667,993
KBC Groep NV (Belgium)		4,931		373,864
KeyCorp.		59,500		1,115,030
Lloyds Banking Group PLC (United Kingdom)		470,437		405,414
M&T Bank Corp.		9,000		1,457,550
Mitsubishi UFJ Financial Group, Inc. (Japan)		15,600		105,223
Mizuho Financial Group, Inc. (Japan)		85,500		156,762
National Australia Bank Ltd. (Australia)		5,302		120,612
Natixis SA (France)		52,765		354,197
Nordea Bank AB (Sweden)		6,069		77,297
Oversea-Chinese Banking Corp. Ltd. (Singapore)		11,300		88,517
People’s United Financial, Inc.		16,500		291,390
PNC Financial Services Group, Inc. (The)		27,733		3,463,020

SEE NOTES TO FINANCIAL STATEMENTS.

A1

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Regions Financial Corp.		67,703	$	991,172
Resona Holdings, Inc. (Japan)		7,900		43,638
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		8,194		99,202
Societe Generale SA (France)		1,923		103,699
Sumitomo Mitsui Financial Group, Inc. (Japan)		2,700		105,420
SunTrust Banks, Inc.		28,500		1,616,520
Swedbank AB (Sweden) (Class A Stock)		15,471		377,583
U.S. Bancorp		90,785		4,713,557
United Overseas Bank Ltd. (Singapore)		4,700		78,907
Wells Fargo & Co.		257,864		14,288,244
Westpac Banking Corp. (Australia)		12,307		288,155
Zions Bancorporation		11,550		507,160
				83,321,482
Beverages — 1.0%
Anheuser-Busch InBev SA/NV (Belgium)		255		28,164
Asahi Group Holdings Ltd. (Japan)		600		22,596
Brown-Forman Corp. (Class B Stock)(a)		10,200		495,720
Coca-Cola Co. (The)		220,401		9,884,985
Coca-Cola European Partners PLC (United Kingdom)		850		34,440
Coca-Cola HBC AG (Switzerland)*		1,368		40,232
Constellation Brands, Inc. (Class A Stock)		10,100		1,956,673
Diageo PLC (United Kingdom)		10,771		318,304
Dr. Pepper Snapple Group, Inc.		10,700		974,877
Kirin Holdings Co. Ltd. (Japan)		2,900		59,156
Molson Coors Brewing Co. (Class B Stock)		10,800		932,472
Monster Beverage Corp.*		23,400		1,162,512
PepsiCo, Inc.		81,607		9,424,792
Pernod Ricard SA (France)		753		100,832
Treasury Wine Estates Ltd. (Australia)		2,592		26,210
				25,461,965
Biotechnology — 1.4%
AbbVie, Inc.		90,900		6,591,159
Alexion Pharmaceuticals, Inc.*		13,100		1,593,877
Amgen, Inc.		42,437		7,308,924
Biogen, Inc.*		12,360		3,354,009
Celgene Corp.*		44,400		5,766,228
CSL Ltd. (Australia)		1,573		166,942
Gilead Sciences, Inc.		74,600		5,280,188
Incyte Corp.*		10,300		1,296,873
Regeneron Pharmaceuticals, Inc.*		4,440		2,180,662
Vertex Pharmaceuticals, Inc.*		14,500		1,868,615
				35,407,477
Building Products — 0.2%
Allegion PLC		5,733		465,061
Asahi Glass Co. Ltd. (Japan)		800		33,786
Cie de Saint-Gobain (France)		865		46,195

COMMON STOCKS (continued)	Shares		Value
Building Products (continued)
Daikin Industries Ltd. (Japan)		800	$	82,074
Fortune Brands Home & Security, Inc.(a)		8,800		574,112
Johnson Controls International PLC		53,322		2,312,042
Masco Corp.		18,400		703,064
				4,216,334
Capital Markets — 1.4%
3i Group PLC (United Kingdom)		1,967		23,127
Affiliated Managers Group, Inc.		3,500		580,510
Ameriprise Financial, Inc.		9,020		1,148,156
Bank of New York Mellon Corp. (The)		59,158		3,018,241
BlackRock, Inc.		7,100		2,999,111
CBOE Holdings, Inc.		4,900		447,860
Charles Schwab Corp. (The)		69,250		2,974,980
CME Group, Inc.		19,600		2,454,704
E*TRADE Financial Corp.*		14,620		555,999
Franklin Resources, Inc.		20,100		900,279
Goldman Sachs Group, Inc. (The)		21,200		4,704,280
Hargreaves Lansdown PLC (United Kingdom)		9,833		166,742
Intercontinental Exchange, Inc.		33,755		2,225,130
Invesco Ltd.		22,500		791,775
Macquarie Group Ltd. (Australia)		5,696		387,349
Moody’s Corp.		9,700		1,180,296
Morgan Stanley		81,980		3,653,029
Nasdaq, Inc.		6,900		493,281
Nomura Holdings, Inc. (Japan)		61,000		367,857
Northern Trust Corp.		12,400		1,205,404
Partners Group Holding AG (Switzerland)		557		345,847
Raymond James Financial, Inc.		7,200		577,584
S&P Global, Inc.		15,100		2,204,449
Schroders PLC (United Kingdom)		595		24,059
State Street Corp.		20,900		1,875,357
T. Rowe Price Group, Inc.(a)		14,200		1,053,782
				36,359,188
Chemicals — 1.1%
Air Products & Chemicals, Inc.		12,700		1,816,862
Albemarle Corp.		6,800		717,672
Asahi Kasei Corp. (Japan)		4,000		43,153
BASF SE (Germany)		3,747		347,756
CF Industries Holdings, Inc.		13,400		374,664
Covestro AG (Germany), 144A		3,885		281,640
Dow Chemical Co. (The)		63,631		4,013,207
E.I. du Pont de Nemours & Co.		49,320		3,980,617
Eastman Chemical Co.		8,600		722,314
Ecolab, Inc.		14,900		1,977,975
EMS-Chemie Holding AG (Switzerland)		506		373,635
FMC Corp.		7,500		547,875
Hitachi Chemical Co. Ltd. (Japan)		400		11,992
International Flavors & Fragrances, Inc.		4,600		621,000
JSR Corp. (Japan)		400		6,924
Kuraray Co. Ltd. (Japan)		1,300		23,672

SEE NOTES TO FINANCIAL STATEMENTS.

A2

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Chemicals (continued)
LyondellBasell Industries NV (Class A Stock)		19,200	$	1,620,288
Mitsubishi Chemical Holdings Corp. (Japan)		41,600		346,601
Mitsubishi Gas Chemical Co., Inc. (Japan)		700		14,868
Mitsui Chemicals, Inc. (Japan)		50,000		266,269
Monsanto Co.		24,994		2,958,290
Mosaic Co. (The)		18,700		426,921
PPG Industries, Inc.		15,000		1,649,400
Praxair, Inc.		16,600		2,200,330
Sherwin-Williams Co. (The)		4,750		1,667,060
Shin-Etsu Chemical Co. Ltd. (Japan)		1,400		127,418
Sika AG (Switzerland)		6		38,521
Sumitomo Chemical Co. Ltd. (Japan)		6,000		34,679
Teijin Ltd. (Japan)		14,900		287,527
				27,499,130
Commercial Services & Supplies — 0.2%
Cintas Corp.		4,800		604,992
ISS A/S (Denmark)		7,536		296,023
Republic Services, Inc.		13,465		858,124
Stericycle, Inc.*		4,900		373,968
Waste Management, Inc.		23,542		1,726,806
				3,859,913
Communications Equipment — 0.5%
Cisco Systems, Inc.		285,600		8,939,280
F5 Networks, Inc.*(a)		3,900		495,534
Harris Corp.		7,300		796,284
Juniper Networks, Inc.		20,500		571,540
Motorola Solutions, Inc.		9,589		831,750
				11,634,388
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		685		26,485
Fluor Corp.		7,800		357,084
Hochtief AG (Germany)		916		168,158
Jacobs Engineering Group, Inc.		6,700		364,413
Kajima Corp. (Japan)		13,000		109,871
Obayashi Corp. (Japan)		31,200		367,602
Quanta Services, Inc.*		8,400		276,528
Skanska AB (Sweden) (Class B Stock)		1,229		29,184
Taisei Corp. (Japan)		16,000		146,345
Vinci SA (France)		1,813		154,652
				2,000,322
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		3,700		823,546
Vulcan Materials Co.		7,600		962,768
				1,786,314
Consumer Finance — 0.3%
American Express Co.		43,200		3,639,168
Capital One Financial Corp.		27,361		2,260,566
Discover Financial Services		22,440		1,395,543

COMMON STOCKS (continued)	Shares		Value
Consumer Finance (continued)
Navient Corp.		15,300	$	254,745
Synchrony Financial		43,272		1,290,371
				8,840,393
Containers & Packaging — 0.2%
Avery Dennison Corp.		5,400		477,198
Ball Corp.		19,600		827,316
International Paper Co.		22,973		1,300,502
Sealed Air Corp.		10,800		483,408
WestRock Co.		14,544		824,063
				3,912,487
Distributors — 0.1%
Genuine Parts Co.		8,400		779,184
LKQ Corp.*		16,500		543,675
				1,322,859
Diversified Consumer Services — 0.0%
H&R Block, Inc.		11,600		358,556
Diversified Financial Services — 0.8%
Berkshire Hathaway, Inc. (Class B Stock)*		108,700		18,410,519
Investor AB (Sweden) (Class B Stock)		1,403		67,690
Leucadia National Corp.		18,600		486,576
ORIX Corp. (Japan)		22,400		348,541
				19,313,326
Diversified Telecommunication Services — 1.1%
AT&T, Inc.		351,638		13,267,302
CenturyLink, Inc.(a)		31,036		741,139
Deutsche Telekom AG (Germany)		593		10,689
HKT Trust & HKT Ltd. (Hong Kong)		4,000		5,246
Level 3 Communications, Inc.*		16,900		1,002,170
Nippon Telegraph & Telephone Corp. (Japan)		9,000		424,837
Orange SA (France)		25,668		408,505
Telecom Italia SpA (Italy)*		345,641		319,778
Telecom Italia SpA, RSP (Italy)		22,010		16,288
Telefonica SA (Spain)		8,048		83,310
Verizon Communications, Inc.		232,476		10,382,378
				26,661,642
Electric Utilities — 1.0%
Alliant Energy Corp.		12,400		498,108
American Electric Power Co., Inc.		27,860		1,935,434
Chubu Electric Power Co., Inc. (Japan)		2,400		31,917
CK Infrastructure Holdings Ltd. (Hong Kong)		2,000		16,801
CLP Holdings Ltd. (Hong Kong)		7,000		74,020
Duke Energy Corp.		39,961		3,340,340
Edison International		19,000		1,485,610
EDP-Energias de Portugal SA (Portugal)		30,232		98,896
Endesa SA (Spain)		6,480		149,485
Enel SpA (Italy)		90,399		484,856
Entergy Corp.		10,500		806,085
Eversource Energy		18,500		1,123,135

SEE NOTES TO FINANCIAL STATEMENTS.

A3

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Electric Utilities (continued)
Exelon Corp.		52,513	$	1,894,144
FirstEnergy Corp.		24,206		705,847
Iberdrola SA (Spain)		36,403		288,473
Kansai Electric Power Co., Inc. (The) (Japan)		2,700		37,231
Kyushu Electric Power Co., Inc. (Japan)		1,500		18,231
NextEra Energy, Inc.		26,700		3,741,471
PG&E Corp.		28,700		1,904,819
Pinnacle West Capital Corp.		6,700		570,572
PPL Corp.		37,900		1,465,214
Red Electrica Corp. SA (Spain)		1,526		31,925
Southern Co. (The)		56,500		2,705,220
SSE PLC (United Kingdom)		3,600		68,117
Terna Rete Elettrica Nazionale SpA (Italy)		5,273		28,480
Tohoku Electric Power Co., Inc. (Japan)		1,700		23,560
Xcel Energy, Inc.		28,310		1,298,863
				24,826,854
Electrical Equipment — 0.3%
Acuity Brands, Inc.(a)		2,600		528,528
AMETEK, Inc.		12,900		781,353
Eaton Corp. PLC		25,537		1,987,545
Emerson Electric Co.		36,700		2,188,054
Nidec Corp. (Japan)		500		51,370
Rockwell Automation, Inc.		7,500		1,214,700
Vestas Wind Systems A/S (Denmark)		4,449		410,942
				7,162,492
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		17,900		1,321,378
Corning, Inc.		52,100		1,565,605
FLIR Systems, Inc.		8,100		280,746
Hexagon AB (Sweden) (Class B Stock)		918		43,614
Hitachi High-Technologies Corp. (Japan)		200		7,789
Hitachi Ltd. (Japan)		65,000		400,770
Keyence Corp. (Japan)		200		88,045
Kyocera Corp. (Japan)		6,300		366,161
TDK Corp. (Japan)		1,000		66,102
TE Connectivity Ltd.		20,700		1,628,676
				5,768,886
Energy Equipment & Services — 0.4%
Baker Hughes, a GE Co., LLC		24,798		1,351,739
Halliburton Co.		49,400		2,109,874
Helmerich & Payne, Inc.(a)		6,700		364,078
National Oilwell Varco, Inc.(a)		21,500		708,210
Schlumberger Ltd.		79,524		5,235,860
TechnipFMC PLC (United Kingdom)*		26,700		726,240
Transocean Ltd.*(a)		20,500		168,715
				10,664,716

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) — 1.4%
Alexandria Real Estate Equities, Inc.		4,700	$	566,209
American Tower Corp.		24,400		3,228,608
Apartment Investment & Management Co. (Class A Stock)		8,333		358,069
AvalonBay Communities, Inc.		8,075		1,551,773
Boston Properties, Inc.		9,000		1,107,180
Crown Castle International Corp.		21,000		2,103,780
Digital Realty Trust, Inc.(a)		9,200		1,039,140
Equinix, Inc.		4,554		1,954,395
Equity Residential(a)		21,400		1,408,762
Essex Property Trust, Inc.		3,850		990,489
Extra Space Storage, Inc.(a)		7,300		569,400
Federal Realty Investment Trust		4,100		518,199
GGP, Inc.(a)		31,300		737,428
Goodman Group (Australia)		6,830		41,279
GPT Group (The) (Australia)		7,268		26,732
Hammerson PLC (United Kingdom)		2,760		20,650
HCP, Inc.		25,500		814,980
Host Hotels & Resorts, Inc.(a)		40,182		734,125
Iron Mountain, Inc.		14,402		494,853
Kimco Realty Corp.		23,300		427,555
Land Securities Group PLC (United Kingdom)		21,263		280,729
Macerich Co. (The)(a)		7,300		423,838
Mid-America Apartment Communities, Inc.		6,600		695,508
Mirvac Group (Australia)		7,627		12,472
Nippon Building Fund, Inc. (Japan)		5		25,512
Prologis, Inc.		30,477		1,787,171
Public Storage		8,700		1,814,211
Realty Income Corp.(a)		15,200		838,736
Regency Centers Corp.		8,000		501,120
Simon Property Group, Inc.		18,293		2,959,076
SL Green Realty Corp.		5,900		624,220
Stockland (Australia)		69,507		233,745
UDR, Inc.		14,500		565,065
Ventas, Inc.		20,618		1,432,539
Vornado Realty Trust		10,025		941,347
Welltower, Inc.		21,100		1,579,335
Weyerhaeuser Co.		42,118		1,410,953
				34,819,183
Food & Staples Retailing — 0.9%
Casino Guichard Perrachon SA (France)		3,784		224,105
Costco Wholesale Corp.		25,100		4,014,243
CVS Health Corp.		58,548		4,710,772
ICA Gruppen AB (Sweden)(a)		8,644		322,006
J. Sainsbury PLC (United Kingdom)		87,624		287,414
Koninklijke Ahold Delhaize NV (Netherlands)		4,699		89,691
Kroger Co. (The)		52,092		1,214,785
Sysco Corp.		28,000		1,409,240
Wal-Mart Stores, Inc.		86,300		6,531,184
Walgreens Boots Alliance, Inc.		48,700		3,813,697
Wesfarmers Ltd. (Australia)		3,288		101,385
Whole Foods Market, Inc.		17,500		736,925

SEE NOTES TO FINANCIAL STATEMENTS.

A4

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing (continued)
WM Morrison Supermarkets PLC (United Kingdom)		22,843	$	71,747
				23,527,194
Food Products — 0.7%
Archer-Daniels-Midland Co.		32,026		1,325,236
Campbell Soup Co.		10,800		563,220
Conagra Brands, Inc.		24,100		861,816
General Mills, Inc.		32,900		1,822,660
Golden Agri-Resources Ltd. (Singapore)		382,900		104,293
Hershey Co. (The)		8,200		880,434
Hormel Foods Corp.(a)		15,300		521,883
J.M. Smucker Co. (The)		6,700		792,811
Kellogg Co.(a)		14,700		1,021,062
Kraft Heinz Co. (The)		34,017		2,913,216
Marine Harvest ASA (Norway)*		18,519		316,845
McCormick & Co., Inc.		6,900		672,819
Mondelez International, Inc. (Class A Stock)		87,053		3,759,819
Nestle SA (Switzerland)		6,830		595,697
NH Foods Ltd. (Japan)		5,000		152,101
Orkla ASA (Norway)		1,982		20,145
Tate & Lyle PLC (United Kingdom)		31,639		272,678
Tyson Foods, Inc. (Class A Stock)		16,700		1,045,921
WH Group Ltd. (Hong Kong), 144A		384,500		388,257
Wilmar International Ltd. (Singapore)		55,200		134,266
				18,165,179
Gas Utilities — 0.0%
Gas Natural SDG SA (Spain)		2,481		58,077
Health Care Equipment & Supplies — 1.4%
Abbott Laboratories		98,500		4,788,085
Align Technology, Inc.*		3,800		570,456
Baxter International, Inc.		27,600		1,670,904
Becton, Dickinson & Co.		12,978		2,532,137
Boston Scientific Corp.*		77,267		2,141,841
C.R. Bard, Inc.		4,200		1,327,662
Cochlear Ltd. (Australia)		196		23,410
Cooper Cos., Inc. (The)		2,940		703,895
Danaher Corp.		34,800		2,936,772
DENTSPLY SIRONA, Inc.		13,400		868,856
Edwards Lifesciences Corp.*		12,400		1,466,176
Hologic, Inc.*		16,300		739,694
Hoya Corp. (Japan)		1,400		72,886
IDEXX Laboratories, Inc.*		5,300		855,526
Intuitive Surgical, Inc.*		2,100		1,964,277
Medtronic PLC		78,690		6,983,737
Smith & Nephew PLC (United Kingdom)		10,993		189,834
Stryker Corp.(a)		17,700		2,456,406
Varian Medical Systems, Inc.*		5,700		588,183
Zimmer Biomet Holdings, Inc.		11,700		1,502,280
				34,383,017
Health Care Providers & Services — 1.4%
Aetna, Inc.		19,569		2,971,161
Alfresa Holdings Corp. (Japan)		2,300		44,466

COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
AmerisourceBergen Corp.(a)		9,600	$	907,488
Anthem, Inc.		15,100		2,840,763
Cardinal Health, Inc.		18,350		1,429,832
Centene Corp.*		10,200		814,776
Cigna Corp.		14,700		2,460,633
DaVita, Inc.*		9,000		582,840
Envision Healthcare Corp.*(a)		7,000		438,690
Express Scripts Holding Co.*		34,449		2,199,224
Fresenius Medical Care AG & Co. KGaA (Germany)		536		51,722
Fresenius SE & Co. KGaA (Germany)		2,957		253,868
HCA Healthcare, Inc.*		16,800		1,464,960
Henry Schein, Inc.*(a)		4,700		860,194
Humana, Inc.		8,600		2,069,332
Laboratory Corp. of America Holdings*		5,900		909,426
McKesson Corp.		12,130		1,995,870
Medipal Holdings Corp. (Japan)		6,300		116,815
Patterson Cos., Inc.(a)		4,500		211,275
Quest Diagnostics, Inc.		8,000		889,280
Ramsay Health Care Ltd. (Australia)		540		30,554
Sonic Healthcare Ltd. (Australia)		6,302		117,336
UnitedHealth Group, Inc.		55,200		10,235,184
Universal Health Services, Inc. (Class B Stock)		5,200		634,816
				34,530,505
Health Care Technology — 0.0%
Cerner Corp.*		17,100		1,136,637
Hotels, Restaurants & Leisure — 0.9%
Aristocrat Leisure Ltd. (Australia)		24,521		425,118
Carnival Corp.		23,900		1,567,123
Carnival PLC		679		44,898
Chipotle Mexican Grill, Inc.*(a)		1,750		728,175
Darden Restaurants, Inc.		6,950		628,558
Galaxy Entertainment Group Ltd. (Hong Kong)		25,000		151,733
Hilton Worldwide Holdings, Inc.(a)		11,100		686,535
InterContinental Hotels Group PLC (United Kingdom)		671		37,263
Marriott International, Inc. (Class A Stock)		18,368		1,842,494
McDonald’s Corp.		46,900		7,183,204
Royal Caribbean Cruises Ltd.		9,600		1,048,608
Sodexo SA (France)		328		42,392
Starbucks Corp.		83,100		4,845,561
TUI AG (Germany)		1,957		28,529
Wyndham Worldwide Corp.		6,020		604,468
Wynn Resorts Ltd.		4,800		643,776
Yum! Brands, Inc.		19,600		1,445,696
				21,954,131
Household Durables — 0.3%
Barratt Developments PLC (United Kingdom)		3,601		26,447
D.R. Horton, Inc.		18,700		646,459

SEE NOTES TO FINANCIAL STATEMENTS.

A5

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Household Durables (continued)
Garmin Ltd.(a)		7,000	$	357,210
Leggett & Platt, Inc.		7,400		388,722
Lennar Corp. (Class A Stock)		11,700		623,844
Mohawk Industries, Inc.*		3,640		879,752
Newell Brands, Inc.		27,014		1,448,491
Panasonic Corp. (Japan)		7,800		106,277
Persimmon PLC (United Kingdom)		11,972		349,662
PulteGroup, Inc.		14,622		358,678
Sekisui House Ltd. (Japan)		2,300		40,649
Sony Corp. (Japan)		5,700		217,419
Taylor Wimpey PLC (United Kingdom)		135,285		310,676
Whirlpool Corp.		4,326		828,948
				6,583,234
Household Products — 0.8%
Church & Dwight Co., Inc.		14,600		757,448
Clorox Co. (The)		7,500		999,300
Colgate-Palmolive Co.		50,400		3,736,152
Henkel AG & Co. KGaA (Germany)		372		45,062
Kimberly-Clark Corp.		20,300		2,620,933
Procter & Gamble Co. (The)		145,825		12,708,649
				20,867,544
Independent Power & Renewable Electricity Producers — 0.0%
AES Corp.		36,500		405,515
NRG Energy, Inc.		17,500		301,350
				706,865
Industrial Conglomerates — 1.1%
3M Co.		34,100		7,099,279
CK Hutchison Holdings Ltd. (Hong Kong)		32,416		406,806
General Electric Co.		497,530		13,438,285
Honeywell International, Inc.		43,612		5,813,044
Jardine Matheson Holdings Ltd. (Hong Kong)		900		57,780
Jardine Strategic Holdings Ltd. (Hong Kong)		800		33,352
Roper Technologies, Inc.		6,000		1,389,180
Siemens AG (Germany)		4,833		664,800
				28,902,526
Insurance — 1.3%
Aflac, Inc.		23,400		1,817,712
AIA Group Ltd. (Hong Kong)		16,600		121,452
Allianz SE (Germany)		1,629		321,471
Allstate Corp. (The)		21,300		1,883,772
American International Group, Inc.		51,739		3,234,722
Aon PLC		15,300		2,034,135
Arthur J. Gallagher & Co.		9,800		561,050
Assurant, Inc.		3,600		373,284
Aviva PLC (United Kingdom)		14,421		98,920
AXA SA (France)		6,965		190,725
Baloise Holding AG (Switzerland)		181		28,037
Chubb Ltd.		26,586		3,865,073
Cincinnati Financial Corp.		8,437		611,261
Direct Line Insurance Group PLC (United Kingdom)		4,875		22,574

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Everest Re Group Ltd.		2,000	$	509,180
Gjensidige Forsikring ASA (Norway)		14,142		241,403
Hannover Rueck SE (Germany)		213		25,584
Hartford Financial Services Group, Inc. (The)		21,800		1,146,026
Legal & General Group PLC (United Kingdom)		92,653		311,779
Lincoln National Corp.		13,118		886,514
Loews Corp.		15,975		747,790
Marsh & McLennan Cos., Inc.		29,300		2,284,228
MetLife, Inc.		62,000		3,406,280
MS&AD Insurance Group Holdings, Inc. (Japan)		9,700		327,168
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		572		115,746
NN Group NV (Netherlands)		1,140		40,451
Principal Financial Group, Inc.		15,300		980,271
Progressive Corp. (The)		32,400		1,428,516
Prudential PLC (United Kingdom)		9,381		215,330
QBE Insurance Group Ltd. (Australia)		9,392		85,246
Sampo OYJ (Finland) (Class A Stock)		5,026		257,863
SCOR SE (France)		620		24,631
Swiss Life Holding AG (Switzerland)*		982		332,183
Swiss Re AG (Switzerland)		1,143		104,748
Torchmark Corp.		6,225		476,212
Travelers Cos., Inc. (The)		16,335		2,066,868
Unum Group		13,110		611,319
Willis Towers Watson PLC		7,400		1,076,404
XL Group Ltd. (Bermuda)		15,400		674,520
				33,540,448
Internet & Direct Marketing Retail — 1.3%
Amazon.com, Inc.*		22,730		22,002,640
Expedia, Inc.		7,050		1,050,098
Netflix, Inc.*		24,550		3,668,015
Priceline Group, Inc. (The)*		2,880		5,387,098
TripAdvisor, Inc.*(a)		6,150		234,930
				32,342,781
Internet Software & Services — 2.2%
Akamai Technologies, Inc.*		10,400		518,024
Alphabet, Inc. (Class A Stock)*		17,090		15,888,231
Alphabet, Inc. (Class C Stock)*		17,043		15,487,486
eBay, Inc.*		57,400		2,004,408
Facebook, Inc. (Class A Stock)*		135,050		20,389,849
VeriSign, Inc.*(a)		5,100		474,096
				54,762,094
IT Services — 1.8%
Accenture PLC (Class A Stock)		35,900		4,440,112
Alliance Data Systems Corp.		3,240		831,676
Amadeus IT Group SA (Spain)		5,517		329,783
Atos SE (France)		2,440		342,359
Automatic Data Processing, Inc.		25,600		2,622,976

SEE NOTES TO FINANCIAL STATEMENTS.

A6

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
IT Services (continued)
Cognizant Technology Solutions Corp. (Class A Stock)		34,600	$	2,297,440
CSRA, Inc.		8,200		260,350
DXC Technology Co.		16,228		1,245,012
Fidelity National Information Services, Inc.		19,200		1,639,680
Fiserv, Inc.*		12,500		1,529,250
Fujitsu Ltd. (Japan)		26,000		192,303
Gartner, Inc.*		4,800		592,848
Global Payments, Inc.		8,900		803,848
International Business Machines Corp.		49,000		7,537,670
Mastercard, Inc. (Class A Stock)		53,800		6,534,010
Paychex, Inc.		18,500		1,053,390
PayPal Holdings, Inc.*		64,000		3,434,880
Total System Services, Inc.		9,096		529,842
Visa, Inc. (Class A Stock)(a)		106,000		9,940,680
Western Union Co. (The)(a)		25,210		480,250
				46,638,359
Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		400		13,667
Hasbro, Inc.		6,300		702,513
Mattel, Inc.(a)		19,351		416,627
				1,132,807
Life Sciences Tools & Services — 0.3%
Agilent Technologies, Inc.		18,714		1,109,927
Illumina, Inc.*		8,600		1,492,272
Lonza Group AG (Switzerland)*		204		44,190
Mettler-Toledo International, Inc.*		1,550		912,237
PerkinElmer, Inc.		6,600		449,724
QIAGEN NV*		390		12,977
Thermo Fisher Scientific, Inc.		22,300		3,890,681
Waters Corp.*		4,700		864,048
				8,776,056
Machinery — 0.8%
Amada Holdings Co. Ltd. (Japan)		600		6,960
Atlas Copco AB (Sweden) (Class A Stock)		6,761		259,973
Atlas Copco AB (Sweden) (Class B Stock)		1,000		34,565
Caterpillar, Inc.		33,500		3,599,910
Cummins, Inc.		9,000		1,459,980
Deere & Co.		17,100		2,113,389
Dover Corp.		9,300		746,046
Flowserve Corp.(a)		7,200		334,296
Fortive Corp.		17,550		1,111,792
Illinois Tool Works, Inc.		17,800		2,549,850
IMI PLC (United Kingdom)		6,448		100,429
Ingersoll-Rand PLC		15,000		1,370,850
JTEKT Corp. (Japan)		6,900		101,536
PACCAR, Inc.		20,443		1,350,056
Parker-Hannifin Corp.		7,765		1,241,002
Pentair PLC (United Kingdom)		9,577		637,254
Sandvik AB (Sweden)		6,826		107,470
Schindler Holding AG (Switzerland)		71		14,758

COMMON STOCKS (continued)	Shares		Value
Machinery (continued)
SKF AB (Sweden) (Class B Stock)		1,454	$	29,525
Snap-on, Inc.		3,600		568,800
Stanley Black & Decker, Inc.		8,897		1,252,075
Volvo AB (Sweden) (Class B Stock)		25,755		439,217
Wartsila OYJ Abp (Finland)		525		31,047
Xylem, Inc.		10,500		582,015
				20,042,795
Marine — 0.0%
A.P. Moeller-Maersk A/S (Denmark) (Class A Stock)		6		11,449
Media — 1.4%
CBS Corp. (Class B Stock)		21,634		1,379,817
Charter Communications, Inc. (Class A Stock)*		12,280		4,136,518
Comcast Corp. (Class A Stock)		270,380		10,523,190
Dentsu, Inc. (Japan)		800		38,378
Discovery Communications, Inc. (Class A Stock)*(a)		8,500		219,555
Discovery Communications, Inc. (Class C Stock)*(a)		12,300		310,083
DISH Network Corp. (Class A Stock)*		12,600		790,776
Eutelsat Communications SA (France)		4,820		122,982
Interpublic Group of Cos., Inc. (The)		21,031		517,363
News Corp. (Class A Stock)		21,475		294,207
News Corp. (Class B Stock)		4,800		67,920
Omnicom Group, Inc.(a)		13,700		1,135,730
Publicis Groupe SA (France)		696		51,875
RTL Group SA (Luxembourg)		287		21,683
Scripps Networks Interactive, Inc. (Class A Stock)(a)		5,400		368,874
Time Warner, Inc.		44,166		4,434,708
Twenty-First Century Fox, Inc. (Class A Stock)		59,600		1,689,064
Twenty-First Century Fox, Inc. (Class B Stock)		27,800		774,786
Viacom, Inc. (Class B Stock)		20,134		675,898
Walt Disney Co. (The)		83,000		8,818,750
				36,372,157
Metals & Mining — 0.1%
Anglo American PLC (United Kingdom)*		2,378		31,770
ArcelorMittal (Luxembourg)*		6,919		156,945
Fortescue Metals Group Ltd. (Australia)		46,449		185,939
Freeport-McMoRan, Inc.*		74,688		897,003
Mitsubishi Materials Corp. (Japan)		200		6,069
Newmont Mining Corp.		29,400		952,266
Nippon Steel & Sumitomo Metal Corp. (Japan)		2,900		65,716
Norsk Hydro ASA (Norway)		28,375		157,028
Nucor Corp.		18,600		1,076,382
Rio Tinto Ltd. (United Kingdom)		1,549		75,279
Rio Tinto PLC (United Kingdom)		2,906		123,075
South32 Ltd. (Australia)		18,712		38,537

SEE NOTES TO FINANCIAL STATEMENTS.

A7

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Metals & Mining (continued)
voestalpine AG (Austria)		423	$	19,716
				3,785,725
Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		2,131		41,760
Ameren Corp.		14,100		770,847
CenterPoint Energy, Inc.		23,600		646,168
CMS Energy Corp.		16,000		740,000
Consolidated Edison, Inc.		17,800		1,438,596
Dominion Energy, Inc.		35,832		2,745,806
DTE Energy Co.		10,500		1,110,795
National Grid PLC (United Kingdom)		8,177		101,318
NiSource, Inc.		16,400		415,904
Public Service Enterprise Group, Inc.		29,200		1,255,892
SCANA Corp.		8,300		556,183
Sempra Energy		14,619		1,648,292
WEC Energy Group, Inc.(a)		18,013		1,105,638
				12,577,199
Multiline Retail — 0.2%
Dollar General Corp.		14,800		1,066,932
Dollar Tree, Inc.*		13,765		962,449
Kohl’s Corp.(a)		11,100		429,237
Macy’s, Inc.(a)		16,174		375,884
Nordstrom, Inc.(a)		6,100		291,763
Target Corp.		31,400		1,641,906
				4,768,171
Oil, Gas & Consumable Fuels — 2.5%
Anadarko Petroleum Corp.		31,754		1,439,726
Apache Corp.(a)		21,814		1,045,545
BP PLC (United Kingdom)		88,923		513,281
Cabot Oil & Gas Corp.		25,600		642,048
Chesapeake Energy Corp.*(a)		40,100		199,297
Chevron Corp.		108,522		11,322,100
Cimarex Energy Co.		5,800		545,258
Concho Resources, Inc.*		8,600		1,045,158
ConocoPhillips		70,477		3,098,169
Devon Energy Corp.		29,300		936,721
EOG Resources, Inc.		32,900		2,978,108
EQT Corp.(a)		10,300		603,477
Exxon Mobil Corp.		241,899		19,528,506
Galp Energia SGPS SA (Portugal)		1,779		26,959
Hess Corp.(a)		15,100		662,437
JXTG Holdings, Inc. (Japan)		11,200		49,006
Kinder Morgan, Inc.		109,398		2,096,066
Marathon Oil Corp.		45,682		541,332
Marathon Petroleum Corp.		29,782		1,558,492
Murphy Oil Corp.(a)		9,200		235,796
Newfield Exploration Co.*		11,700		332,982
Noble Energy, Inc.		24,700		699,010
Occidental Petroleum Corp.		43,600		2,610,332
OMV AG (Austria)		6,056		314,565
ONEOK, Inc.(a)		12,900		672,864
Phillips 66		25,038		2,070,392
Pioneer Natural Resources Co.		9,650		1,539,947
Range Resources Corp.		10,300		238,651

COMMON STOCKS (continued)	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Repsol SA (Spain)		22,046	$	337,990
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		15,815		420,186
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		13,687		367,449
Tesoro Corp.		8,500		795,600
TOTAL SA (France)		8,459		419,965
Valero Energy Corp.		25,500		1,720,230
Williams Cos., Inc. (The)		47,400		1,435,272
				63,042,917
Paper & Forest Products — 0.0%
Mondi PLC (South Africa)		8,423		220,867
UPM-Kymmene OYJ (Finland)		12,072		344,230
				565,097
Personal Products — 0.1%
Coty, Inc. (Class A Stock)(a)		26,800		502,768
Estee Lauder Cos., Inc. (The) (Class A Stock)		13,000		1,247,740
Kao Corp. (Japan)		1,800		107,025
L’Oreal SA (France)		340		70,895
Unilever NV (United Kingdom), CVA		5,747		317,246
Unilever PLC (United Kingdom)		11,072		599,196
				2,844,870
Pharmaceuticals — 2.6%
Allergan PLC		19,275		4,685,560
Astellas Pharma, Inc. (Japan)		7,500		91,925
AstraZeneca PLC (United Kingdom)		3,927		263,046
Bayer AG (Germany)		5,357		694,323
Bristol-Myers Squibb Co.		95,370		5,314,016
Daiichi Sankyo Co. Ltd. (Japan)		2,100		49,566
Eli Lilly & Co.		55,400		4,559,420
GlaxoSmithKline PLC (United Kingdom)		17,546		373,508
Johnson & Johnson		155,148		20,524,529
Mallinckrodt PLC*		6,500		291,265
Merck & Co., Inc.		157,433		10,089,881
Merck KGaA (Germany)		454		54,934
Mitsubishi Tanabe Pharma Corp. (Japan)		5,200		120,287
Mylan NV*		26,900		1,044,258
Novartis AG (Switzerland)		6,777		566,060
Novo Nordisk A/S (Denmark) (Class B Stock)		4,119		176,982
Orion OYJ (Finland) (Class B Stock)		5,797		370,318
Perrigo Co. PLC(a)		8,600		649,472
Pfizer, Inc.		339,470		11,402,797
Roche Holding AG (Switzerland)		3,425		875,139
Sanofi (France)		7,238		693,546
Shionogi & Co. Ltd. (Japan)		1,100		61,334
Zoetis, Inc.		28,500		1,777,830
				64,729,996
Professional Services — 0.2%
Adecco Group AG (Switzerland)		4,402		335,354
Equifax, Inc.		7,000		961,940

SEE NOTES TO FINANCIAL STATEMENTS.

A8

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Professional Services (continued)
IHS Markit Ltd.*		16,100	$	709,044
Nielsen Holdings PLC(a)		18,700		722,942
Randstad Holding NV (Netherlands)		4,962		289,291
RELX PLC (United Kingdom)		5,807		125,530
Robert Half International, Inc.		7,500		359,475
Verisk Analytics, Inc.*		8,700		734,019
				4,237,595
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		18,200		662,480
Cheung Kong Property Holdings Ltd. (Hong Kong)		10,000		78,253
Daiwa House Industry Co. Ltd. (Japan)		2,000		68,451
Henderson Land Development Co. Ltd. (Hong Kong)		4,400		24,534
Kerry Properties Ltd. (Hong Kong)		29,000		98,466
Mitsubishi Estate Co. Ltd. (Japan)		17,000		317,778
Sun Hung Kai Properties Ltd. (Hong Kong)		17,000		249,733
Swiss Prime Site AG (Switzerland)*		254		23,094
Wharf Holdings Ltd. (The) (Hong Kong)		5,000		41,373
Wheelock & Co. Ltd. (Hong Kong)		46,000		346,960
				1,911,122
Road & Rail — 0.5%
CSX Corp.		52,800		2,880,768
JB Hunt Transport Services, Inc.		4,800		438,624
Kansas City Southern		6,200		648,830
Nippon Express Co. Ltd. (Japan)		33,000		207,081
Norfolk Southern Corp.		17,000		2,068,900
Tokyu Corp. (Japan)		4,000		30,566
Union Pacific Corp.		46,900		5,107,879
West Japan Railway Co. (Japan)		600		42,453
				11,425,101
Semiconductors & Semiconductor Equipment — 1.6%
Advanced Micro Devices, Inc.*(a)		40,300		502,944
Analog Devices, Inc.		21,058		1,638,312
Applied Materials, Inc.		62,500		2,581,875
ASM Pacific Technology Ltd. (Hong Kong)		9,200		124,133
Broadcom Ltd.		22,980		5,355,489
Intel Corp.		269,600		9,096,304
KLA-Tencor Corp.		9,200		841,892
Lam Research Corp.		9,550		1,350,657
Microchip Technology, Inc.(a)		12,400		957,032
Micron Technology, Inc.*		58,200		1,737,852
NVIDIA Corp.		33,650		4,864,444
Qorvo, Inc.*		7,707		488,007
QUALCOMM, Inc.		84,200		4,649,524
Rohm Co. Ltd. (Japan)		300		23,130
Skyworks Solutions, Inc.		10,800		1,036,260
STMicroelectronics NV (Switzerland)		3,545		50,976
Texas Instruments, Inc.		57,000		4,385,010
Tokyo Electron Ltd. (Japan)		600		81,116
Xilinx, Inc.		14,400		926,208
				40,691,165

COMMON STOCKS (continued)	Shares		Value
Software — 2.3%
Activision Blizzard, Inc.		39,200	$	2,256,744
Adobe Systems, Inc.*		28,300		4,002,752
ANSYS, Inc.*		4,300		523,224
Autodesk, Inc.*		11,400		1,149,348
CA, Inc.		17,264		595,090
Check Point Software Technologies Ltd. (Israel)*		1,700		185,436
Citrix Systems, Inc.*		9,100		724,178
Electronic Arts, Inc.*		18,000		1,902,960
Intuit, Inc.		14,200		1,885,902
Konami Holdings Corp. (Japan)		200		11,133
Microsoft Corp.		441,700		30,446,381
Nexon Co. Ltd. (Japan)*		2,400		47,606
Oracle Corp.		171,300		8,588,982
Red Hat, Inc.*		10,400		995,800
salesforce.com, inc.*		37,400		3,238,840
SAP SE (Germany)		276		28,889
Symantec Corp.		34,278		968,354
Synopsys, Inc.*		8,700		634,491
				58,186,110
Specialty Retail — 1.1%
Advance Auto Parts, Inc.		4,300		501,337
AutoNation, Inc.*(a)		3,574		150,680
AutoZone, Inc.*(a)		1,650		941,259
Bed Bath & Beyond, Inc.(a)		8,500		258,400
Best Buy Co., Inc.(a)		15,825		907,247
CarMax, Inc.*(a)		10,500		662,130
Dixons Carphone PLC (United Kingdom)		46,253		170,983
Foot Locker, Inc.		7,500		369,600
Gap, Inc. (The)(a)		12,200		268,278
Home Depot, Inc. (The)		69,450		10,653,630
Industria de Diseno Textil SA (Spain)		2,233		85,759
L Brands, Inc.		13,806		744,005
Lowe’s Cos., Inc.		49,400		3,829,982
Nitori Holdings Co. Ltd. (Japan)		300		40,159
O’Reilly Automotive, Inc.*		5,400		1,181,196
Ross Stores, Inc.		22,200		1,281,606
Signet Jewelers Ltd.(a)		4,300		271,932
Staples, Inc.		37,049		373,083
Tiffany & Co.		6,100		572,607
TJX Cos., Inc. (The)		37,200		2,684,724
Tractor Supply Co.		7,300		395,733
Ulta Beauty, Inc.*		3,400		976,956
				27,321,286
Technology Hardware, Storage & Peripherals — 2.0%
Apple, Inc.		299,690		43,161,354
Brother Industries Ltd. (Japan)		1,100		25,479
Canon, Inc. (Japan)		10,200		346,956
FUJIFILM Holdings Corp. (Japan)		900		32,452
Hewlett Packard Enterprise Co.		94,748		1,571,869
HP, Inc.		97,648		1,706,887
NetApp, Inc.		15,200		608,760
Seagate Technology PLC(a)		16,600		643,250
Western Digital Corp.		16,803		1,488,746
Xerox Corp.		12,090		347,346
				49,933,099

SEE NOTES TO FINANCIAL STATEMENTS.

A9

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		667	$	127,897
Cie Financiere Richemont SA (Switzerland)		962		79,604
Coach, Inc.		16,000		757,440
Hanesbrands, Inc.(a)		21,200		490,992
Hermes International (France)		699		345,290
LVMH Moet Hennessy Louis Vuitton SE (France)		988		247,055
Michael Kors Holdings Ltd.*		9,300		337,125
NIKE, Inc. (Class B Stock)		75,600		4,460,400
PVH Corp.		4,700		538,150
Ralph Lauren Corp.		3,400		250,920
Swatch Group AG (The) (Switzerland)		363		26,518
Under Armour, Inc. (Class A Stock)*(a)		9,600		208,896
Under Armour, Inc. (Class C Stock)*(a)		9,474		190,996
VF Corp.(a)		19,300		1,111,680
				9,172,963
Tobacco — 0.9%
Altria Group, Inc.		111,300		8,288,511
British American Tobacco PLC (United Kingdom)		6,650		453,153
Japan Tobacco, Inc. (Japan)		5,200		182,770
Philip Morris International, Inc.		88,500		10,394,325
Reynolds American, Inc.		47,138		3,065,855
Swedish Match AB (Sweden)		3,109		109,533
				22,494,147
Trading Companies & Distributors — 0.1%
Fastenal Co.(a)		16,900		735,657
ITOCHU Corp. (Japan)		24,400		363,290
Marubeni Corp. (Japan)		25,800		167,149
Mitsubishi Corp. (Japan)		5,300		111,411
Mitsui & Co. Ltd. (Japan)		14,700		210,443
Sumitomo Corp. (Japan)		23,600		307,748
Toyota Tsusho Corp. (Japan)		700		21,046
United Rentals, Inc.*		4,900		552,279
W.W. Grainger, Inc.(a)		3,200		577,696
				3,046,719
Transportation Infrastructure — 0.0%
Abertis Infraestructuras SA (Spain)		2,121		39,316
Aena SA (Spain), 144A		241		47,061
Atlantia SpA (Italy)		757		21,294
Auckland International Airport Ltd. (New Zealand)		3,721		19,443
				127,114

COMMON STOCKS (continued)	Shares		Value
Water Utilities — 0.0%
American Water Works Co., Inc.		10,400	$	810,680
Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		6,600		174,554
SoftBank Group Corp. (Japan)		6,200		503,999
Vodafone Group PLC (United Kingdom)		94,634		268,758
				947,311
TOTAL COMMON STOCKS (cost $452,214,017)				1,237,653,948
PREFERRED STOCKS — 0.1%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		212		17,495
Volkswagen AG (Germany) (PRFC)		2,621		400,374
				417,869
Banks — 0.0%
Citigroup Capital XIII 7.542%, (Capital Security, fixed to floating preferred)		20,000		519,600
Capital Markets — 0.1%
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)		30,000		822,900
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		355		48,952
TOTAL PREFERRED STOCKS (cost $1,653,774)				1,809,321
	Units
RIGHTS* — 0.0%
Construction & Engineering
ACS Actividades de Construccion y Servicios SA (Spain), expiring 07/13/17 (cost $584)		685		548
	Shares
UNAFFILIATED EXCHANGE TRADED FUNDS — 0.0%
iShares MSCI EAFE ETF (cost $439,837)		7,534		491,217

SEE NOTES TO FINANCIAL STATEMENTS.

A10

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

ASSET-BACKED SECURITIES — 5.0%	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Automobiles — 1.6%
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B		1.839%	(c)	04/08/19		289	$	288,653
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B		1.789%	(c)	10/08/19		1,266		1,267,115
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B		1.649%	(c)	11/08/19		506		506,666
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C		2.410%		07/08/22		800		797,352
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%		09/20/19		1,475		1,474,300
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%		07/20/21		2,800		2,787,430
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%		12/20/21		3,200		3,181,949
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A		1.740%		02/22/22		1,964		1,961,978
Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 144A		2.130%		07/20/22		2,600		2,604,319
Enterprise Fleet Financing LLC, Series 2017-2, Class A2, 144A^		1.970%		01/20/23		1,700		1,699,912
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A		2.310%		08/15/27		4,200		4,222,355
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A		2.030%		12/15/27		2,600		2,581,010
Ford Credit Auto Owner Trust, Series 2017-1, Class A, 144A		2.620%		08/15/28		4,400		4,452,683
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A		1.659%	(c)	05/15/20		1,600		1,604,166
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A		2.009%	(c)	05/17/21		1,700		1,715,130
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A		2.320%		03/25/20		2,400		2,391,677
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A		2.040%		01/15/21		468		468,558
OneMain Direct Auto Receivables Trust, Series 2017-1A, Class A, 144A		2.160%		10/15/20		5,700		5,698,460
								39,703,713
Collateralized Loan Obligations — 1.7%
ALM Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A		2.208%	(c)	04/16/27		1,000		999,500
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A		2.602%	(c)	04/28/26		400		400,903
Apidos CLO (Cayman Islands), Series 2014-17A, Class A1R, 144A		2.468%	(c)	04/17/26		420		420,991
ArrowMark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A		—%	(c)(p)	07/15/29		500		500,000
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A		2.293%	(c)	10/22/25		250		250,077
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1R, 144A		2.551%	(c)	07/18/30		1,000		1,000,000
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1R, 144A		2.450%	(c)	07/15/29		1,000		1,000,000
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.308%	(c)	04/17/25		2,200		2,202,314
Canyon Capital CLO Ltd. (Cayman Islands), Series 2015-1A, Class AS, 144A		2.408%	(c)	04/15/29		2,500		2,499,981
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A		2.320%	(c)	07/27/26		750		750,775
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.706%	(c)	04/20/26		1,650		1,652,110
Elevation CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		2.708%	(c)	04/18/27		1,000		1,001,931
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A		2.621%	(c)	05/05/27		250		250,388
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.698%	(c)	04/15/27		250		250,288
KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A		2.358%	(c)	10/15/26		2,500		2,500,699
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A		2.278%	(c)	01/18/27		2,000		2,003,107
Mill Creek CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A		2.906%	(c)	04/20/28		1,250		1,257,350
MP CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.336%	(c)	04/20/25		2,100		2,100,295
OZLM Funding Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		2.303%	(c)	07/22/25		1,000		1,000,507
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A		2.472%	(c)	05/21/29		2,000		1,999,997
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.566%	(c)	07/25/26		1,250		1,250,012
Shackleton CLO Ltd. (Cayman Islands), Series 2014-5A, Class AR, 144A		2.319%	(c)	05/07/26		2,500		2,501,220
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		3.856%	(c)	10/20/23		900		900,605
TIAA CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A		2.856%	(c)	07/20/28		1,750		1,757,046
TICP CLO Ltd. (Cayman Islands), Series 2017-7A, Class AS, 144A		—%	(c)(p)	07/15/29		1,000		998,500
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A		2.856%	(c)	10/25/28		2,500		2,510,468
Trinitas CLO Ltd. (Cayman Islands), Series 2017-6A, Class A, 144A		2.655%	(c)	07/25/29		1,000		998,502
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.278%	(c)	07/15/25		2,200		2,201,733
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.298%	(c)	04/15/24		1,500		1,500,563

SEE NOTES TO FINANCIAL STATEMENTS.

A11

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

ASSET-BACKED SECURITIES — 5.0%	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Collateralized Loan Obligations (continued)
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A		2.431%	(c)		04/20/29		1,500	$	1,500,046
West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A		2.339%	(c)		11/07/25		1,500		1,500,531
Zais CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A		2.572%	(c)		07/15/29		1,250		1,250,313
									42,910,752
Consumer Loans — 0.4%
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%			07/18/25		3,334		3,338,042
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A		3.050%			04/25/29		2,071		2,083,244
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%			11/15/24		4,665		4,707,193
									10,128,479
Credit Cards — 0.6%
American Express Credit Account Master Trust, Series 2017-2, Class A		1.439%	(c)		09/16/24		5,100		5,132,624
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		1.959%	(c)		05/15/20		2,700		2,703,212
Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5		1.836%	(c)		04/22/26		2,700		2,714,025
Discover Card Execution Note Trust, Series 2017-A4, Class A4		2.530%			10/15/26		2,800		2,791,270
Discover Card Execution Note Trust, Series 2017-A5, Class A5		1.816%	(c)		12/15/26		1,900		1,910,099
									15,251,230
Equipment — 0.1%
MMAF Equipment Finance LLC, Series 2017-AA, Class A4, 144A		2.410%			08/16/24		2,500		2,505,525
Home Equity Loans — 0.1%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		2.866%	(c)		03/25/33		181		180,461
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		2.416%	(c)		05/25/33		103		102,287
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		2.266%	(c)		12/27/33		633		617,199
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		2.116%	(c)		07/25/32		208		208,018
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		2.491%	(c)		09/25/32		2,383		2,370,247
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		1.981%	(c)		02/25/34		708		680,663
									4,158,875
Other — 0.1%
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%			10/20/30		902		901,334
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%			09/20/29		448		443,822
									1,345,156
Residential Mortgage-Backed Securities — 0.4%
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A		4.145%	(c)		12/26/46		3,750		3,765,301
Credit Suisse Mortgage Trust, Series 2017-6R, Class A1, 144A^		2.722%	(c)		03/06/47		2,125		2,125,000
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.721%	(c)		07/25/35		352		350,003
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1		1.966%	(c)		03/25/34		1,382		1,378,844
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.678%	(c)		07/25/34		324		321,737
Fremont Home Loan Trust, Series 2004-2, Class M1		2.071%	(c)		07/25/34		506		475,497
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		2.011%	(c)		06/25/34		366		355,837
VOLT LVII LLC, Series 2017-NPL4, Class A1, 144A		3.375%			04/25/47		486		486,073
VOLT LX LLC, Series 2017-NPL7, Class A1, 144A		3.250%			04/25/59		570		569,491
									9,827,783
TOTAL ASSET-BACKED SECURITIES (cost $124,997,281)									125,831,513
BANK LOANS(c) — 0.1%
Technology
Dell International LLC		3.299%			12/31/18		500		500,382
First Data Corp.		3.656%			04/26/24		940		939,579
TOTAL BANK LOANS (cost $1,399,500)									1,439,961

SEE NOTES TO FINANCIAL STATEMENTS.

A12

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.5%	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A		3.172%		05/15/49		3,100	$	3,081,434
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3		3.014%		05/10/58		2,500		2,465,537
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		900		906,803
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,090		2,171,173
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3		2.944%		05/10/49		2,700		2,673,626
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3		3.442%		04/14/50		4,000		4,088,230
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		994,920
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%		03/10/46		1,324		1,339,937
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%		02/10/47		2,000		2,028,088
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,100		2,169,676
Commercial Mortgage Trust, Series 2014-LC17, Class A4		3.648%		10/10/47		5,000		5,203,485
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		1,700		1,729,928
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3		3.544%		11/15/48		2,500		2,567,599
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3		3.127%		06/15/50		3,800		3,790,664
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(c)	12/25/23		1,925		2,035,521
Fannie Mae-Aces, Series 2015-M8, Class AB2		2.829%	(c)	01/25/25		4,100		4,157,179
Fannie Mae-Aces, Series 2015-M17, Class A2		3.038%	(c)	11/25/25		3,000		3,050,782
Fannie Mae-Aces, Series 2016-M7, Class AB2		2.385%		09/25/26		1,800		1,734,118
Fannie Mae-Aces, Series 2017-M1, Class A2		2.497%	(c)	10/25/26		1,600		1,543,619
Fannie Mae-Aces, Series 2017-M4, Class A2		2.684%	(c)	12/25/26		8,600		8,399,341
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.570%	(c)	05/25/22		20,046		1,153,801
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.606%	(c)	06/25/22		5,544		334,699
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2		3.023%		01/25/25		4,965		5,095,573
FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2		3.284%	(c)	06/25/25		3,650		3,808,954
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,IO		1.502%	(c)	03/25/26		4,655		451,654
FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM		3.327%	(c)	03/25/27		4,200		4,322,949
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.872%	(c)	05/25/19		15,496		395,605
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.810%	(c)	07/25/19		16,424		428,487
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(c)	05/25/25		1,900		1,963,805
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		3,000		3,015,916
GS Mortgage Securities Trust, Series 2015-GC34, Class A3		3.244%		10/10/48		4,800		4,842,107
GS Mortgage Securities Trust, Series 2016-GS4, Class A3		3.178%		11/10/49		4,000		4,015,054
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,100		1,129,513
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		5,000		4,965,644
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3		3.109%		07/15/50		5,581		5,612,239
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A		2.881%		06/15/49		2,500		2,466,813
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		728		736,189
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,500		1,502,792
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,200		3,238,703
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,165		1,181,902
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,100		1,110,424
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM		6.114%	(c)	07/15/40		1,990		1,992,595

SEE NOTES TO FINANCIAL STATEMENTS.

A13

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%			12/15/48		1,200	$	1,212,867
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3		3.540%			12/15/48		5,000		5,150,954
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3		2.531%			08/15/49		6,300		6,003,395
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%			12/10/45		1,400		1,410,388
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%			03/10/46		3,200		3,233,481
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%			04/10/46		1,500		1,518,707
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(c)		05/15/46		2,527		2,526,999
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XB, IO		1.484%	(c)		08/15/49		9,000		940,388
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3		2.642%			11/15/49		4,500		4,335,742
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4		3.190%			07/15/50		3,300		3,310,956
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $140,729,857)									139,540,955
CORPORATE BONDS — 11.2%
Agriculture — 0.2%
Altria Group, Inc., Gtd. Notes		4.000%			01/31/24		1,585		1,691,033
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%			06/15/19		690		771,713
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%			02/11/18		1,680		1,681,663
Reynolds American, Inc., Gtd. Notes		8.125%			06/23/19		290		323,441
									4,467,850
Airlines — 0.2%
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A		3.375%			11/01/28		2,382		2,393,751
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A(g)		6.648%			03/15/19		9		8,712
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1(g)		6.703%			12/15/22		22		24,062
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%			05/10/21		472		522,601
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%			07/12/22		478		505,755
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%			04/29/26		333		350,939
Delta Air Lines, Inc., Sr. Unsec’d. Notes		2.875%			03/13/20		1,300		1,316,998
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		6.821%			02/10/24		251		288,488
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%			11/23/20		283		294,258
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%			10/15/20		550		577,749
									6,283,313
Auto Manufacturers — 0.4%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%			01/15/43		1,090		1,052,144
Ford Motor Co., Sr. Unsec’d. Notes(a)		5.291%			12/08/46		1,825		1,873,034
General Motors Co., Sr. Unsec’d. Notes		6.250%			10/02/43		1,065		1,182,948
General Motors Co., Sr. Unsec’d. Notes		6.600%			04/01/36		585		677,793
General Motors Financial Co., Inc., Gtd. Notes		3.950%			04/13/24		1,700		1,724,143
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN		2.850%			01/15/21		2,300		2,326,984
									8,837,046
Auto Parts & Equipment — 0.1%
Magna International, Inc. (Canada), Sr. Unsec’d. Notes		3.625%			06/15/24		1,690		1,735,246
Banks — 3.0%
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.625%			04/28/21		2,086		2,132,153
Bank of America Corp., Jr. Sub. Notes		6.300%	(c)		12/31/49		275		308,344
Bank of America Corp., Jr. Sub. Notes		8.000%	(c)		12/29/49		2,100		2,157,750
Bank of America Corp., Sr. Unsec’d. Notes		6.000%			09/01/17		1,330		1,339,149

SEE NOTES TO FINANCIAL STATEMENTS.

A14

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Banks (continued)
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%			01/11/23		1,520	$	1,549,941
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.500%			04/19/26		4,770		4,786,247
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%			04/01/24		745		780,662
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.443%	(c)		01/20/48		270		285,574
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.650%			05/01/18		105		108,297
Bank of America Corp., Sub. Notes, MTN		4.000%			01/22/25		1,700		1,729,605
Bank of America NA, Sub. Notes		6.000%			10/15/36		805		1,016,195
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		3.684%			01/10/23		320		328,339
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.337%			01/10/28		450		462,606
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%			01/12/26		1,205		1,252,135
Citigroup, Inc., Jr. Sub. Notes		5.950%	(c)		12/31/49		1,590		1,673,030
Citigroup, Inc., Jr. Sub. Notes(a)		6.125%	(c)		12/31/49		945		1,015,875
Citigroup, Inc., Jr. Sub. Notes		6.250%	(c)		12/31/49		640		710,000
Citigroup, Inc., Sr. Unsec’d. Notes		2.750%			04/25/22		1,120		1,118,227
Citigroup, Inc., Sr. Unsec’d. Notes		3.700%			01/12/26		1,610		1,628,336
Citigroup, Inc., Sr. Unsec’d. Notes		4.281%	(c)		04/24/48		630		644,569
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%			07/15/39		850		1,305,035
Citigroup, Inc., Sub. Notes		4.450%			09/29/27		1,485		1,544,427
Citigroup, Inc., Sub. Notes		4.750%			05/18/46		440		461,866
Compass Bank, Sr. Unsec’d. Notes		1.850%			09/29/17		1,050		1,050,254
Credit Suisse Group AG (Switzerland), Sr. Unsec’d. Notes, 144A		4.282%			01/09/28		980		1,013,007
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%			05/12/21		1,240		1,255,903
Dexia Credit Local SA (France), Gov’t. Liq. Gtd. Notes, 144A		1.875%			09/15/21		1,000		975,832
Discover Bank, Sr. Unsec’d. Notes		4.250%			03/13/26		595		611,142
Discover Bank, Sub. Notes		7.000%			04/15/20		485		538,324
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.300%	(c)		12/31/49		560		588,000
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(c)		12/31/49		1,800		1,891,440
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%			02/25/26		1,165		1,186,264
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.850%			01/26/27		2,625		2,670,433
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%			07/27/21		2,305		2,526,395
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%			01/24/22		1,250		1,407,342
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%			02/01/41		220		287,384
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%			10/01/37		1,100		1,427,845
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%			01/14/22		1,230		1,339,573
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%			04/05/21		920		1,000,227
JPMorgan Chase & Co., Jr. Sub. Notes		6.100%	(c)		12/31/49		1,175		1,274,875
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(c)		04/29/49		2,000		2,079,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%			10/15/20		1,660		1,762,726
JPMorgan Chase & Co., Sub. Notes		3.875%			09/10/24		3,525		3,636,894
JPMorgan Chase & Co., Sub. Notes		4.950%			06/01/45		195		217,535
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN		5.800%			01/13/20		1,770		1,925,594
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%			02/06/25		2,385		2,363,430
Morgan Stanley, Jr. Sub. Notes		5.450%	(c)		12/31/49		640		662,720
Morgan Stanley, Sr. Unsec’d. Notes		4.375%			01/22/47		1,800		1,877,767
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%			02/25/23		605		629,087
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%			07/28/21		840		931,438
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		6.625%			04/01/18		100		103,551
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.375%			07/24/42		640		850,753
Morgan Stanley, Sub. Notes, GMTN		4.350%			09/08/26		3,050		3,170,896
National City Corp., Sub. Notes		6.875%			05/15/19		2,687		2,923,733
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN (original cost $1,585,580; purchased 09/09/15)(f)(g)		1.875%			09/17/18		1,590		1,592,372
PNC Bank NA, Sr. Unsec’d. Notes		1.950%			03/04/19		455		455,826
PNC Bank NA, Sub. Notes		3.800%			07/25/23		480		504,188
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%			01/10/19		925		932,982
									76,003,094

SEE NOTES TO FINANCIAL STATEMENTS.

A15

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.700%			02/01/36		2,005	$	2,206,789
Biotechnology — 0.1%
Amgen, Inc., Sr. Unsec’d. Notes		4.663%			06/15/51		1,527		1,617,326
Gilead Sciences, Inc., Sr. Unsec’d. Notes		4.150%			03/01/47		30		30,140
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%			12/01/41		110		133,341
									1,780,807
Building Materials — 0.0%
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g)		5.375%			11/15/24		1,135		1,196,006
Chemicals — 0.2%
Celanese US Holdings LLC, Gtd. Notes		5.875%			06/15/21		1,160		1,301,227
CF Industries, Inc., Gtd. Notes		5.375%			03/15/44		445		397,163
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%			10/01/44		5		5,322
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%			05/15/39		30		50,422
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%			02/26/55		955		935,477
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%			04/15/19		201		210,134
Mosaic Co. (The), Sr. Unsec’d. Notes(a)		5.450%			11/15/33		265		279,582
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%			11/15/43		295		301,181
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%			06/01/25		500		611,725
Westlake Chemical Corp., Gtd. Notes		4.625%			02/15/21		750		776,250
									4,868,483
Commercial Services — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A		4.200%			11/01/46		875		823,637
ERAC USA Finance LLC, Gtd. Notes, 144A(g)		6.375%			10/15/17		1,198		1,213,497
ERAC USA Finance LLC, Gtd. Notes, 144A(g)		7.000%			10/15/37		390		506,261
United Rentals North America, Inc., Gtd. Notes		5.875%			09/15/26		400		426,000
									2,969,395
Computers — 0.4%
Apple, Inc., Sr. Unsec’d. Notes		2.850%			05/11/24		4,410		4,431,367
Apple, Inc., Sr. Unsec’d. Notes		3.200%			05/13/25		2,400		2,451,137
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A		3.480%			06/01/19		825		844,285
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A		4.420%			06/15/21		700		737,953
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.450%	(c)		10/05/17		1,039		1,041,595
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.850%	(c)		10/05/18		545		549,663
Seagate HDD Cayman, Gtd. Notes		3.750%			11/15/18		455		465,920
									10,521,920
Diversified Financial Services — 0.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		3.750%			05/15/19		600		616,279
Bear Stearns Cos. LLC (The), Gtd. Notes		6.400%			10/02/17		270		273,112
Bear Stearns Cos. LLC (The), Gtd. Notes		7.250%			02/01/18		1,135		1,170,600
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%			07/24/24		1,300		1,331,963
Discover Financial Services, Sr. Unsec’d. Notes		3.850%			11/21/22		900		921,703
GE Capital International Funding Co. Unlimited Co., Gtd. Notes		4.418%			11/15/35		922		1,003,494
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%			01/20/43		465		525,497
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(i)		5.250%			02/06/12		1,850		115,625
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(i)		6.875%			05/02/18		700		44,520
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%			06/15/18		295		310,635
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		1.875%			07/15/18		55		55,252
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		2.450%			07/15/24		285		285,992
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		3.250%			06/15/25		540		562,414
Synchrony Financial, Sr. Unsec’d. Notes		2.700%			02/03/20		2,175		2,186,029
									9,403,115

SEE NOTES TO FINANCIAL STATEMENTS.

A16

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value
Electric — 0.8%
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%			10/01/36		530		$	692,472
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%			04/01/36		340			436,802
Black Hills Corp., Sr. Unsec’d. Notes		2.500%			01/11/19		950			955,080
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%			03/15/33		300			413,438
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.750%			02/23/27		355			365,206
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%			01/15/24		490			517,563
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes		5.500%			12/01/39		145			177,891
Dominion Energy, Inc., Jr. Sub. Notes		4.104%			04/01/21		2,470			2,592,463
Duke Energy Carolinas LLC, First Mortgage		6.050%			04/15/38		530			694,197
Dynegy, Inc., Gtd. Notes		6.750%			11/01/19		345			355,781
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%			05/15/35		845			1,001,893
Eversource Energy, Sr. Unsec’d. Notes		4.500%			11/15/19		605			638,121
Exelon Corp., Jr. Sub. Notes		3.497%	(c)		06/01/22		2,397			2,448,873
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%			10/01/39		1,375			1,500,330
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%			07/15/44		265			302,697
Florida Power & Light Co., First Mortgage		5.950%			10/01/33		380			481,918
Iberdrola International BV (Spain), Gtd. Notes		6.750%			09/15/33		140			169,550
Monongahela Power Co., First Mortgage, 144A		4.100%			04/15/24		1,560			1,657,333
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%			08/15/19		545			576,718
NRG Energy, Inc., Gtd. Notes		7.250%			05/15/26		685			708,975
PSEG Power LLC, Gtd. Notes		3.000%			06/15/21		1,260			1,279,362
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%			05/15/18		135			142,056
Public Service Electric & Gas Co., Sec’d. Notes, MTN		3.000%			05/15/27		675			676,364
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%			05/01/37		515			657,850
Southern California Edison Co., First Mortgage		3.600%			02/01/45		690			671,189
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%			05/07/19		500			504,601
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%			09/15/41		480			512,551
										21,131,274
Entertainment — 0.0%
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		4.875%			11/01/20		800			853,000
Food — 0.1%
Kraft Heinz Foods Co., Gtd. Notes		3.000%			06/01/26		1,510			1,445,147
Kraft Heinz Foods Co., Gtd. Notes		4.375%			06/01/46		360			352,560
Kroger Co. (The), Sr. Unsec’d. Notes		4.450%			02/01/47		240			231,338
										2,029,045
Forest Products & Paper — 0.1%								��
Georgia-Pacific LLC, Gtd. Notes, 144A(g)		5.400%			11/01/20		275			300,842
International Paper Co., Sr. Unsec’d. Notes		6.000%			11/15/41		1,270			1,548,761
International Paper Co., Sr. Unsec’d. Notes		7.950%			06/15/18		304			321,416
										2,171,019
Gas — 0.1%
Dominion Energy Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%			11/01/43		45			47,547
NiSource Finance Corp., Gtd. Notes		3.490%			05/15/27		2,355			2,371,205
										2,418,752
Healthcare-Products — 0.4%
Abbott Laboratories, Sr. Unsec’d. Notes		2.000%			09/15/18		3,700			3,707,237
Becton Dickinson & Co., Sr. Unsec’d. Notes		3.700%			06/06/27		3,370			3,380,653
Becton Dickinson & Co., Sr. Unsec’d. Notes		3.734%			12/15/24		372			378,096
Medtronic, Inc., Gtd. Notes		3.500%			03/15/25		1,425			1,482,373
Medtronic, Inc., Gtd. Notes		4.375%			03/15/35		997			1,088,989
										10,037,348

SEE NOTES TO FINANCIAL STATEMENTS.

A17

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Healthcare-Services — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%			06/15/36		480	$	647,601
Aetna, Inc., Sr. Unsec’d. Notes		6.750%			12/15/37		1,050		1,452,360
Anthem, Inc., Sr. Unsec’d. Notes		4.625%			05/15/42		330		356,262
Anthem, Inc., Sr. Unsec’d. Notes		4.650%			01/15/43		260		280,210
Cigna Corp., Sr. Unsec’d. Notes		5.875%			03/15/41		540		678,898
Cigna Corp., Sr. Unsec’d. Notes		6.150%			11/15/36		640		811,010
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%			10/15/20		435		451,313
HCA, Inc., Sr. Sec’d. Notes		5.250%			04/15/25		350		376,250
HCA, Inc., Sr. Sec’d. Notes		5.250%			06/15/26		700		754,950
Kaiser Foundation Hospitals, Gtd. Notes		4.150%			05/01/47		670		694,219
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%			02/01/22		160		163,290
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%			08/01/45		340		346,346
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%			10/15/42		440		445,944
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%			11/15/37		410		565,075
									8,023,728
Home Builders — 0.0%
D.R. Horton, Inc., Gtd. Notes		3.625%			02/15/18		375		377,330
Housewares — 0.1%
Newell Brands, Inc., Sr. Unsec’d. Notes		4.200%			04/01/26		2,010		2,134,192
Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%			11/15/20		480		520,037
American International Group, Inc., Sr. Unsec’d. Notes		4.500%			07/16/44		1,910		1,942,239
AXIS Specialty Finance LLC, Gtd. Notes		5.875%			06/01/20		990		1,080,601
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.125%			03/15/26		1,350		1,365,187
Chubb Corp. (The), Gtd. Notes		3.408%	(c)		03/29/67		1,260		1,250,550
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes		5.125%			04/15/22		635		704,886
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%			05/01/42		215		278,358
Liberty Mutual Group, Inc., Gtd. Notes, 144A		7.000%			03/15/34		910		1,161,532
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%			10/09/37		701		860,955
Markel Corp., Sr. Unsec’d. Notes		5.000%			03/30/43		165		177,185
New York Life Insurance Co., Sub. Notes, 144A		6.750%			11/15/39		650		913,008
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%			03/30/40		350		455,280
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%			04/30/20		640		700,131
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%			06/15/39		695		1,132,869
Principal Financial Group, Inc., Gtd. Notes		4.625%			09/15/42		105		114,402
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%			01/26/45		570		554,454
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		4.270%			05/15/47		1,430		1,463,904
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%			12/16/39		122		167,055
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes		4.000%			05/30/47		660		675,162
Unum Group, Sr. Unsec’d. Notes		5.625%			09/15/20		315		344,635
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%			08/15/19		575		620,551
									16,482,981
Lodging — 0.2%
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%			03/01/19		490		497,492
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%			09/15/22		805		823,169
Marriott International, Inc., Sr. Unsec’d. Notes		6.750%			05/15/18		2,700		2,813,808
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%			03/01/18		405		406,773
									4,541,242
Machinery-Diversified — 0.0%
Xylem, Inc., Sr. Unsec’d. Notes		4.875%			10/01/21		1,060		1,146,674
Media — 0.5%
21st Century Fox America, Inc., Gtd. Notes		6.150%			03/01/37		250		312,338
21st Century Fox America, Inc., Gtd. Notes		6.900%			08/15/39		35		46,203
21st Century Fox America, Inc., Gtd. Notes		7.625%			11/30/28		1,265		1,656,101
AMC Networks, Inc., Gtd. Notes		5.000%			04/01/24		1,225		1,254,094

SEE NOTES TO FINANCIAL STATEMENTS.

A18

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Media (continued)
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%			09/15/17		374	$	378,675
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.375%			05/01/25		720		766,800
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.384%			10/23/35		630		746,772
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.484%			10/23/45		1,000		1,200,213
Comcast Cable Holdings LLC, Gtd. Notes		9.875%			06/15/22		1,440		1,819,620
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes		5.000%			05/13/45		500		480,989
Historic TW, Inc., Gtd. Notes		9.150%			02/01/23		625		801,699
Myriad International Holdings BV (South Africa), Gtd. Notes		6.375%			07/28/17		750		750,372
Time Warner Cable LLC, Sr. Sec’d. Notes		5.500%			09/01/41		270		290,160
Time Warner, Inc., Gtd. Notes		3.800%			02/15/27		585		588,955
Time Warner, Inc., Gtd. Notes		6.200%			03/15/40		175		209,010
Time Warner, Inc., Gtd. Notes		6.250%			03/29/41		495		604,728
Viacom, Inc., Sr. Unsec’d. Notes		5.250%			04/01/44		340		340,483
Videotron Ltd. (Canada), Gtd. Notes		5.000%			07/15/22		850		898,875
									13,146,087
Mining — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%			09/30/43		180		208,294
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A		6.250%	(c)		10/19/75		315		343,350
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%			04/23/45		400		427,636
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		6.750%			04/16/40		300		345,536
									1,324,816
Miscellaneous Manufacturing — 0.0%
Actuant Corp., Gtd. Notes		5.625%			06/15/22		1,040		1,073,800
Multi-National — 0.2%
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%			05/10/19		1,065		1,067,980
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.125%			09/27/21		1,195		1,188,045
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		2.400%			10/26/22		855		836,341
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		4.375%			02/11/20		800		845,563
									3,937,929
Oil & Gas — 0.7%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(s)		10/10/36		1,000		412,285
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%			09/15/36		1,040		1,224,176
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%			03/15/46		195		240,831
ConocoPhillips Co., Gtd. Notes		4.950%			03/15/26		1,280		1,425,560
Devon Energy Corp., Sr. Unsec’d. Notes		5.000%			06/15/45		85		85,870
Devon Energy Corp., Sr. Unsec’d. Notes		5.600%			07/15/41		225		233,680
Devon Financing Co. LLC, Gtd. Notes		7.875%			09/30/31		1,350		1,751,856
EOG Resources, Inc., Sr. Unsec’d. Notes		3.900%			04/01/35		830		804,946
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		4.950%			07/19/22		255		263,770
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%			03/07/22		440		485,387
Helmerich & Payne International Drilling Co., Gtd. Notes		4.650%			03/15/25		1,555		1,630,631
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		3.875%			04/19/22		400		395,840
Nabors Industries, Inc., Gtd. Notes		4.625%			09/15/21		890		845,322
Noble Energy, Inc., Sr. Unsec’d. Notes		5.050%			11/15/44		925		949,993
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%			01/21/21		795		833,955
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%			06/02/41		955		948,315
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%	(c)		12/01/23		350		411,250
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A		5.375%			03/13/22		330		347,407
Petroleos Mexicanos (Mexico), Gtd. Notes, MTN		6.875%			08/04/26		1,000		1,108,000
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%			05/01/18		1,450		1,508,078
Raizen Fuels Finance SA (Brazil), Gtd. Notes, 144A		5.300%			01/20/27		240		243,300
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%			04/28/20		1,000		1,004,709
									17,155,161

SEE NOTES TO FINANCIAL STATEMENTS.

A19

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value
Oil & Gas Services — 0.1%
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A		4.000%		12/21/25		2,170	$	2,274,796
Packaging & Containers — 0.0%
Ball Corp., Gtd. Notes		4.375%		12/15/20		465		488,250
WestRock RKT Co., Gtd. Notes		4.900%		03/01/22		675		735,631
								1,223,881
Pharmaceuticals — 0.3%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		950		969,061
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,595		1,682,143
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		440		475,152
Allergan Funding SCS, Gtd. Notes		3.800%		03/15/25		380		393,053
Allergan Funding SCS, Gtd. Notes		4.550%		03/15/35		1,625		1,734,408
Allergan Funding SCS, Gtd. Notes		4.750%		03/15/45		144		155,443
Eli Lilly & Co., Sr. Unsec’d. Notes		3.100%		05/15/27		815		823,011
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes		3.150%		10/01/26		460		436,852
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes		4.100%		10/01/46		145		133,557
								6,802,680
Pipelines — 0.2%
DCP Midstream Operating LP, Gtd. Notes, 144A		5.350%		03/15/20		473		491,920
Energy Transfer LP, Sr. Unsec’d. Notes		4.650%		06/01/21		610		643,474
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.900%		03/15/35		200		194,480
Enterprise Products Operating LLC, Gtd. Notes		3.700%		02/15/26		215		218,978
Enterprise Products Operating LLC, Gtd. Notes		3.750%		02/15/25		1,055		1,086,441
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%		02/15/18		530		543,094
MPLX LP, Sr. Unsec’d. Notes		4.000%		02/15/25		1,140		1,147,759
MPLX LP, Sr. Unsec’d. Notes		5.200%		03/01/47		25		25,747
ONEOK Partners LP, Gtd. Notes		6.650%		10/01/36		130		156,453
Williams Partners LP, Sr. Unsec’d. Notes		4.900%		01/15/45		1,100		1,101,444
								5,609,790
Real Estate — 0.0%
Prologis LP, Gtd. Notes		6.875%		03/15/20		68		75,440
Real Estate Investment Trusts (REITs) — 0.0%
Select Income REIT, Sr. Unsec’d. Notes		2.850%		02/01/18		550		552,285
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22		190		196,338
								748,623
Retail — 0.3%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%		07/20/45		590		676,373
CVS Health Corp., Sr. Unsec’d. Notes		5.300%		12/05/43		170		195,912
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%		03/15/45		565		618,799
L Brands, Inc., Gtd. Notes		5.625%		02/15/22		1,000		1,070,000
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%		03/15/29		116		151,232
Macy’s Retail Holdings, Inc., Gtd. Notes(a)		3.875%		01/15/22		300		297,557
McDonald’s Corp., Sr. Unsec’d. Notes, MTN		3.700%		01/30/26		1,925		1,993,570
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)		5.625%		12/01/25		1,020		1,044,225
Target Corp., Sr. Unsec’d. Notes		3.500%		07/01/24		265		274,480
								6,322,148
Savings & Loans — 0.0%
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,195		1,220,128
Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A		3.875%		01/15/27		1,555		1,596,830
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%		03/15/23		1,200		1,263,000
								2,859,830

SEE NOTES TO FINANCIAL STATEMENTS.

A20

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Software — 0.2%
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		2.850%			10/15/18		1,225	$	1,239,452
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		3.625%			10/15/20		1,640		1,717,971
Microsoft Corp., Sr. Unsec’d. Notes		4.000%			02/12/55		360		364,548
Oracle Corp., Sr. Unsec’d. Notes		4.300%			07/08/34		700		759,508
									4,081,479
Telecommunications — 0.4%
AT&T Corp., Gtd. Notes		8.250%	(c)		11/15/31		10		13,890
AT&T, Inc., Sr. Unsec’d. Notes		3.400%			05/15/25		3,130		3,077,072
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			05/15/35		350		344,327
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			03/09/48		12		11,228
AT&T, Inc., Sr. Unsec’d. Notes		4.550%			03/09/49		1,174		1,109,402
AT&T, Inc., Sr. Unsec’d. Notes		4.750%			05/15/46		560		549,138
AT&T, Inc., Sr. Unsec’d. Notes		4.800%			06/15/44		305		302,269
AT&T, Inc., Sr. Unsec’d. Notes		5.150%			03/15/42		520		531,020
AT&T, Inc., Sr. Unsec’d. Notes		5.350%			09/01/40		113		119,653
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.125%	(c)		12/15/30		350		532,168
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Sec’d. Notes, 144A		3.360%	(c)		03/20/23		1,400		1,412,250
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.522%			09/15/48		947		895,949
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%			03/15/55		2,238		2,095,189
									10,993,555
Transportation — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		3.450%			09/15/21		1,180		1,230,108
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%			08/01/28		735		961,804
CSX Corp., Sr. Unsec’d. Notes		6.150%			05/01/37		690		886,956
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%			05/17/25		120		136,619
									3,215,487
TOTAL CORPORATE BONDS (cost $272,742,110)									283,685,279
MUNICIPAL BONDS — 0.7%
Alabama — 0.0%
Alabama Economic Settlement Authority, Revenue Bonds, BABs		4.263%			09/15/32		180		189,265
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%			04/01/49		1,305		1,865,654
California Educational Facilities Authority, Revenue Bonds, BABs		5.000%			06/01/46		550		734,575
Central Puget Sound Regional Transit Authority, Revenue Bonds, BABs		5.000%			11/01/46		700		917,791
State of California, GO, BABs		7.300%			10/01/39		1,250		1,827,887
State of California, GO, BABs		7.500%			04/01/34		350		508,270
State of California, GO, BABs		7.550%			04/01/39		245		373,865
State of California, GO, BABs		7.625%			03/01/40		205		312,330
									6,540,372
Colorado — 0.0%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%			11/01/50		565		760,512
Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%			01/01/40		970		1,310,518
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%			01/01/40		1,000		1,502,010
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%			08/01/36		1,100		1,359,853
Ohio — 0.0%
Ohio State University (The), Revenue Bonds, BABs		4.910%			06/01/40		415		499,340
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%			12/01/34		275		313,294
									812,634

SEE NOTES TO FINANCIAL STATEMENTS.

A21

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Oregon — 0.0%
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%		11/15/34		425	$	547,362
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%		12/01/45		505		629,599
Tennessee — 0.1%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		945		1,265,289
Texas — 0.1%
University of Texas System (The), Revenue Bonds, Ser. F, Rfdg.		5.000%		08/15/47		1,100		1,443,068
TOTAL MUNICIPAL BONDS (cost $12,868,329)								16,360,482
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 2.3%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		133		133,344
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		907		844,640
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A		3.500%	(c)	07/26/36		1,224		1,222,130
Banc of America Mortgage Trust, Series 2005-A, Class 2A1		3.475%	(c)	02/25/35		199		198,581
Banc of America Mortgage Trust, Series 2005-B, Class 2A1		3.601%	(c)	03/25/35		224		217,973
Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A		2.972%	(c)	10/27/27		468		468,329
Bayview Opportunity Master Fund IVb Trust, Series 2017-CRT1, Class M, 144A		3.372%	(c)	10/25/28		1,017		1,018,055
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		3.445%	(c)	02/25/37		447		449,359
CIM Trust, Series 2017-2, Class A1, 144A		3.051%	(c)	12/25/57		1,692		1,690,931
CIM Trust, Series 2017-3, Class A3, 144A		3.051%	(c)	01/25/57		3,604		3,656,812
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1		3.174%	(c)	09/25/28		791		802,305
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1		3.416%	(c)	10/25/28		1,087		1,102,373
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1		2.666%	(c)	01/25/29		1,269		1,284,705
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2		4.766%	(c)	07/25/29		570		601,948
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2		4.216%	(c)	10/25/29		870		893,443
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1		2.116%	(c)	10/25/27		2,429		2,432,012
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1		2.666%	(c)	07/25/28		1,229		1,234,790
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2		2.516%	(c)	03/25/29		1,040		1,051,735
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2		3.466%	(c)	11/25/28		1,200		1,233,136
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1		2.416%	(c)	07/25/29		2,247		2,276,616
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		3.454%	(c)	07/25/35		222		222,414
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A		3.051%	(c)	09/01/21		1,281		1,281,195
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-1, Class A, 144A^		2.995%	(c)	01/01/22		2,220		2,214,782
LSTAR Securities Investment Ltd., Series 2017-3, Class A1, 144A		2.995%	(c)	04/01/22		2,288		2,311,479
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, Class A, 144A		3.017%	(c)	05/01/22		10,542		10,440,636
LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A		3.017%	(c)	05/01/22		7,457		7,379,590
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		21		21,219
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A^		2.317%	(c)	05/10/19		7,380		7,380,000
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A		2.287%	(c)	06/10/19		1,300		1,297,826
Mortgage Repurchase Agreement Financing Trust, Series 2017-1, Class A2, 144A		1.967%	(c)	07/10/19		1,950		1,950,819

SEE NOTES TO FINANCIAL STATEMENTS.

A22

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.396%	(c)	02/25/34		290	$	291,604
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		74		74,420
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $57,473,011)								57,679,201
SOVEREIGN BONDS — 1.1%
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, EMTN		1.125%		08/03/19		1,200		1,186,944
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		220		228,360
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.375%		07/12/21		400		425,600
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%		06/29/20		265		285,218
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN		2.375%		06/04/25		400		388,728
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%		03/25/19		392		404,690
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		1,760		1,979,120
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%		03/29/41		688		1,025,120
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN		5.875%		01/15/24		750		854,874
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN		5.875%		01/15/24		750		805,506
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		1.500%		07/21/21		600		580,177
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		2.125%		06/01/20		1,000		999,886
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		2.250%		02/24/20		600		602,594
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%		04/13/21		600		591,137
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%		10/25/23		1,000		967,920
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.625%		04/20/22		1,400		1,401,889
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%		05/23/18		2,634		2,626,111
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		4.000%		10/02/23		438		458,104
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		766		766,766
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		490		504,700
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		395		414,750
Province of Ontario (Canada), Sr. Unsec’d. Notes		2.250%		05/18/22		575		574,677
Province of Ontario (Canada), Sr. Unsec’d. Notes		2.400%		02/08/22		285		287,199
Province of Ontario (Canada), Sr. Unsec’d. Notes		4.400%		04/14/20		280		298,621
Province of Quebec (Canada), Sr. Unsec’d. Notes		2.750%		04/12/27		2,110		2,100,706
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN		2.375%		10/26/21		980		964,320
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN		1.750%		03/10/21		2,385		2,370,933
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A		2.500%		06/08/22		1,200		1,202,363
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,260		1,377,722
Uruguay Government International Bond (Uruguay), Sr. Unsec’d. Notes		5.100%		06/18/50		490		498,820
TOTAL SOVEREIGN BONDS (cost $26,972,103)								27,173,555
U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.0%
Federal Home Loan Banks(k)		5.500%		07/15/36		850		1,150,474
Federal Home Loan Mortgage Corp.		1.500%		01/17/20		1,260		1,258,942
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		744		749,469
Federal Home Loan Mortgage Corp.		3.000%		TBA		1,500		1,496,719
Federal Home Loan Mortgage Corp.		3.000%		10/01/28		646		665,219
Federal Home Loan Mortgage Corp.		3.000%		06/01/29		1,190		1,224,190
Federal Home Loan Mortgage Corp.		3.000%		06/01/42		492		493,517
Federal Home Loan Mortgage Corp.		3.000%		10/01/42		1,142		1,146,183
Federal Home Loan Mortgage Corp.		3.000%		01/01/43		1,033		1,036,635
Federal Home Loan Mortgage Corp.		3.000%		07/01/43		2,710		2,715,991
Federal Home Loan Mortgage Corp.		3.000%		12/01/44		1,216		1,219,060

SEE NOTES TO FINANCIAL STATEMENTS.

A23

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value
Federal Home Loan Mortgage Corp.		3.000%	03/01/45		944	$	947,403
Federal Home Loan Mortgage Corp.		3.000%	03/01/45		1,141		1,142,993
Federal Home Loan Mortgage Corp.		3.000%	04/01/45		928		932,011
Federal Home Loan Mortgage Corp.		3.500%	TBA		9,500		9,759,511
Federal Home Loan Mortgage Corp.		3.500%	08/01/26		849		888,806
Federal Home Loan Mortgage Corp.		3.500%	06/01/42		497		513,264
Federal Home Loan Mortgage Corp.		4.000%	TBA		8,000		8,413,530
Federal Home Loan Mortgage Corp.		4.000%	06/01/26		819		860,463
Federal Home Loan Mortgage Corp.		4.000%	09/01/26		298		313,041
Federal Home Loan Mortgage Corp.		4.000%	10/01/39		828		873,811
Federal Home Loan Mortgage Corp.		4.000%	12/01/40		572		604,256
Federal Home Loan Mortgage Corp.		4.000%	10/01/41		697		739,249
Federal Home Loan Mortgage Corp.		4.000%	01/01/42		214		226,056
Federal Home Loan Mortgage Corp.		4.500%	02/01/19		15		15,430
Federal Home Loan Mortgage Corp.		4.500%	07/01/19		119		121,386
Federal Home Loan Mortgage Corp.		4.500%	07/01/20		75		76,942
Federal Home Loan Mortgage Corp.		4.500%	02/01/39		134		144,348
Federal Home Loan Mortgage Corp.		4.500%	09/01/39		220		236,572
Federal Home Loan Mortgage Corp.		4.500%	10/01/39		1,997		2,147,666
Federal Home Loan Mortgage Corp.		4.500%	12/01/39		194		208,331
Federal Home Loan Mortgage Corp.		4.500%	07/01/41		319		343,336
Federal Home Loan Mortgage Corp.		4.500%	07/01/41		2,416		2,598,083
Federal Home Loan Mortgage Corp.		4.500%	08/01/41		793		852,894
Federal Home Loan Mortgage Corp.		4.500%	08/01/41		241		258,118
Federal Home Loan Mortgage Corp.		4.500%	08/01/41		172		184,399
Federal Home Loan Mortgage Corp.		4.500%	10/01/41		303		324,797
Federal Home Loan Mortgage Corp.		5.000%	07/01/18		55		56,548
Federal Home Loan Mortgage Corp.		5.000%	12/01/18		32		33,057
Federal Home Loan Mortgage Corp.		5.000%	07/01/19		82		84,558
Federal Home Loan Mortgage Corp.		5.000%	07/01/19		88		90,504
Federal Home Loan Mortgage Corp.		5.000%	12/01/19		17		17,664
Federal Home Loan Mortgage Corp.		5.000%	05/01/34		24		25,682
Federal Home Loan Mortgage Corp.		5.000%	05/01/34		446		487,251
Federal Home Loan Mortgage Corp.		5.000%	10/01/35		10		11,473
Federal Home Loan Mortgage Corp.		5.000%	07/01/37		726		794,510
Federal Home Loan Mortgage Corp.		5.000%	05/01/39		99		109,024
Federal Home Loan Mortgage Corp.		5.500%	12/01/33		56		62,080
Federal Home Loan Mortgage Corp.		5.500%	01/01/34		58		64,617
Federal Home Loan Mortgage Corp.		5.500%	06/01/34		104		115,965
Federal Home Loan Mortgage Corp.		5.500%	07/01/34		282		313,389
Federal Home Loan Mortgage Corp.		5.500%	05/01/37		84		94,238
Federal Home Loan Mortgage Corp.		5.500%	02/01/38		649		719,733
Federal Home Loan Mortgage Corp.		5.500%	05/01/38		71		79,017
Federal Home Loan Mortgage Corp.		5.500%	07/01/38		171		190,388
Federal Home Loan Mortgage Corp.		6.000%	03/01/32		326		373,107
Federal Home Loan Mortgage Corp.		6.000%	12/01/33		108		120,941
Federal Home Loan Mortgage Corp.		6.000%	11/01/36		83		93,164
Federal Home Loan Mortgage Corp.		6.000%	01/01/37		70		79,316
Federal Home Loan Mortgage Corp.		6.000%	05/01/37		40		45,281
Federal Home Loan Mortgage Corp.		6.000%	02/01/38		7		7,674
Federal Home Loan Mortgage Corp.		6.000%	08/01/39		85		95,120
Federal Home Loan Mortgage Corp.(hh)		6.750%	03/15/31		550		795,745
Federal Home Loan Mortgage Corp.		7.000%	05/01/31		17		17,989
Federal Home Loan Mortgage Corp.		7.000%	06/01/31		15		15,818
Federal Home Loan Mortgage Corp.		7.000%	06/01/31		11		11,803
Federal Home Loan Mortgage Corp.		7.000%	08/01/31		159		177,570
Federal Home Loan Mortgage Corp.		7.000%	10/01/31		7		7,662
Federal National Mortgage Assoc.		1.875%	09/24/26		150		142,222
Federal National Mortgage Assoc.		2.000%	08/01/31		1,126		1,102,150

SEE NOTES TO FINANCIAL STATEMENTS.

A24

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value
Federal National Mortgage Assoc.		2.500%	TBA		2,000	$	2,007,700
Federal National Mortgage Assoc.		2.500%	01/01/28		1,141		1,154,605
Federal National Mortgage Assoc.		2.500%	10/01/43		836		809,961
Federal National Mortgage Assoc.		3.000%	TBA		500		512,617
Federal National Mortgage Assoc.		3.000%	02/01/27		2,543		2,617,361
Federal National Mortgage Assoc.		3.000%	08/01/30		1,618		1,661,286
Federal National Mortgage Assoc.		3.000%	02/01/31		3,424		3,517,075
Federal National Mortgage Assoc.		3.000%	05/01/31		2,119		2,176,757
Federal National Mortgage Assoc.		3.000%	11/01/36		2,855		2,899,273
Federal National Mortgage Assoc.		3.000%	12/01/42		2,266		2,275,145
Federal National Mortgage Assoc.		3.000%	04/01/43		7,008		7,037,217
Federal National Mortgage Assoc.		3.000%	07/01/43		1,679		1,685,462
Federal National Mortgage Assoc.		3.000%	08/01/43		4,548		4,566,446
Federal National Mortgage Assoc.		3.500%	TBA		8,500		8,730,098
Federal National Mortgage Assoc.		3.500%	TBA		4,000		4,101,371
Federal National Mortgage Assoc.		3.500%	07/01/27		1,869		1,948,451
Federal National Mortgage Assoc.		3.500%	06/01/39		731		755,296
Federal National Mortgage Assoc.		3.500%	01/01/42		5,839		6,024,508
Federal National Mortgage Assoc.		3.500%	05/01/42		3,164		3,264,627
Federal National Mortgage Assoc.		3.500%	07/01/42		1,161		1,198,401
Federal National Mortgage Assoc.		3.500%	08/01/42		473		487,356
Federal National Mortgage Assoc.		3.500%	08/01/42		1,433		1,477,908
Federal National Mortgage Assoc.		3.500%	09/01/42		2,249		2,319,579
Federal National Mortgage Assoc.		3.500%	09/01/42		583		601,367
Federal National Mortgage Assoc.		3.500%	11/01/42		426		439,495
Federal National Mortgage Assoc.		3.500%	03/01/43		3,501		3,615,866
Federal National Mortgage Assoc.		3.500%	04/01/43		813		838,685
Federal National Mortgage Assoc.		3.500%	04/01/43		1,244		1,282,122
Federal National Mortgage Assoc.		3.500%	01/01/46		2,500		2,569,363
Federal National Mortgage Assoc.		4.000%	TBA		9,750		10,249,306
Federal National Mortgage Assoc.		4.000%	TBA		14,500		15,217,353
Federal National Mortgage Assoc.		4.000%	10/01/41		3,342		3,526,108
Federal National Mortgage Assoc.		4.000%	09/01/44		3,785		3,981,152
Federal National Mortgage Assoc.		4.500%	TBA		2,500		2,681,738
Federal National Mortgage Assoc.		4.500%	11/01/18		74		75,449
Federal National Mortgage Assoc.		4.500%	01/01/19		45		46,385
Federal National Mortgage Assoc.		4.500%	01/01/19		56		57,653
Federal National Mortgage Assoc.		4.500%	06/01/19		15		15,743
Federal National Mortgage Assoc.		4.500%	07/01/33		78		84,276
Federal National Mortgage Assoc.		4.500%	08/01/33		70		75,348
Federal National Mortgage Assoc.		4.500%	09/01/33		162		174,319
Federal National Mortgage Assoc.		4.500%	10/01/33		185		198,788
Federal National Mortgage Assoc.		4.500%	10/01/33		15		15,820
Federal National Mortgage Assoc.		4.500%	10/01/33		43		47,243
Federal National Mortgage Assoc.		4.500%	01/01/35		2		2,158
Federal National Mortgage Assoc.		4.500%	07/01/39		1,262		1,369,635
Federal National Mortgage Assoc.		4.500%	08/01/39		1,980		2,148,668
Federal National Mortgage Assoc.		4.500%	03/01/41		696		755,186
Federal National Mortgage Assoc.		5.000%	TBA		6,500		7,100,235
Federal National Mortgage Assoc.		5.000%	10/01/18		19		19,837
Federal National Mortgage Assoc.		5.000%	01/01/19		68		69,818
Federal National Mortgage Assoc.		5.000%	03/01/34		365		399,213
Federal National Mortgage Assoc.		5.000%	06/01/35		136		149,199
Federal National Mortgage Assoc.		5.000%	07/01/35		183		200,051
Federal National Mortgage Assoc.		5.000%	09/01/35		123		136,143
Federal National Mortgage Assoc.		5.000%	11/01/35		120		132,218
Federal National Mortgage Assoc.		5.000%	02/01/36		173		189,700
Federal National Mortgage Assoc.		5.000%	05/01/36		88		96,188
Federal National Mortgage Assoc.		5.500%	12/01/17		6		5,891

SEE NOTES TO FINANCIAL STATEMENTS.

A25

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value
Federal National Mortgage Assoc.		5.500%	02/01/18		4		$	3,932
Federal National Mortgage Assoc.		5.500%	05/01/20		36			37,485
Federal National Mortgage Assoc.		5.500%	05/01/21		92			96,505
Federal National Mortgage Assoc.		5.500%	09/01/33		415			464,992
Federal National Mortgage Assoc.		5.500%	10/01/33		117			131,754
Federal National Mortgage Assoc.		5.500%	12/01/33		71			79,984
Federal National Mortgage Assoc.		5.500%	01/01/34		2			2,123
Federal National Mortgage Assoc.		5.500%	12/01/34		275			306,663
Federal National Mortgage Assoc.		5.500%	10/01/35		1,031			1,147,442
Federal National Mortgage Assoc.		5.500%	03/01/36		175			194,309
Federal National Mortgage Assoc.		5.500%	05/01/36		171			191,469
Federal National Mortgage Assoc.		5.500%	04/01/37		158			175,924
Federal National Mortgage Assoc.		6.000%	09/01/17		—	(r)		302
Federal National Mortgage Assoc.		6.000%	05/01/21		71			74,504
Federal National Mortgage Assoc.		6.000%	08/01/22		64			67,686
Federal National Mortgage Assoc.		6.000%	04/01/33		27			30,433
Federal National Mortgage Assoc.		6.000%	06/01/33		7			7,798
Federal National Mortgage Assoc.		6.000%	10/01/33		507			585,530
Federal National Mortgage Assoc.		6.000%	11/01/33		8			9,461
Federal National Mortgage Assoc.		6.000%	11/01/33		75			84,351
Federal National Mortgage Assoc.		6.000%	11/01/33		28			31,982
Federal National Mortgage Assoc.		6.000%	01/01/34		481			548,850
Federal National Mortgage Assoc.		6.000%	02/01/34		101			115,704
Federal National Mortgage Assoc.		6.000%	03/01/34		96			107,920
Federal National Mortgage Assoc.		6.000%	03/01/34		43			47,916
Federal National Mortgage Assoc.		6.000%	07/01/34		247			281,284
Federal National Mortgage Assoc.		6.000%	08/01/34		1			880
Federal National Mortgage Assoc.		6.000%	10/01/34		5			5,563
Federal National Mortgage Assoc.		6.000%	11/01/34		6			7,177
Federal National Mortgage Assoc.		6.000%	11/01/34		57			64,532
Federal National Mortgage Assoc.		6.000%	12/01/34		25			27,957
Federal National Mortgage Assoc.		6.000%	01/01/35		95			108,580
Federal National Mortgage Assoc.		6.000%	01/01/35		320			366,060
Federal National Mortgage Assoc.		6.000%	02/01/35		6			6,620
Federal National Mortgage Assoc.		6.000%	02/01/35		83			93,290
Federal National Mortgage Assoc.		6.000%	02/01/35		347			400,685
Federal National Mortgage Assoc.		6.000%	03/01/35		4			4,366
Federal National Mortgage Assoc.		6.000%	04/01/35		1			1,522
Federal National Mortgage Assoc.		6.000%	07/01/36		65			74,223
Federal National Mortgage Assoc.		6.000%	02/01/37		117			133,641
Federal National Mortgage Assoc.		6.000%	05/01/37		44			49,945
Federal National Mortgage Assoc.		6.000%	06/01/37		1			1,356
Federal National Mortgage Assoc.		6.000%	08/01/37		28			31,314
Federal National Mortgage Assoc.		6.000%	08/01/37		—	(r)		342
Federal National Mortgage Assoc.		6.000%	09/01/37		1			942
Federal National Mortgage Assoc.		6.000%	10/01/37		48			54,079
Federal National Mortgage Assoc.		6.000%	05/01/38		109			123,697
Federal National Mortgage Assoc.		6.000%	06/01/38		3			3,474
Federal National Mortgage Assoc.(k)		6.250%	05/15/29		1,245			1,689,416
Federal National Mortgage Assoc.		6.500%	07/01/17		—	(r)		82
Federal National Mortgage Assoc.		6.500%	09/01/17		1			1,016
Federal National Mortgage Assoc.		6.500%	07/01/32		61			67,673
Federal National Mortgage Assoc.		6.500%	07/01/32		2			2,674
Federal National Mortgage Assoc.		6.500%	09/01/32		11			12,356
Federal National Mortgage Assoc.		6.500%	09/01/32		77			84,751
Federal National Mortgage Assoc.		6.500%	09/01/32		15			16,634
Federal National Mortgage Assoc.		6.500%	09/01/32		101			112,865
Federal National Mortgage Assoc.		6.500%	09/01/32		72			80,290
Federal National Mortgage Assoc.		6.500%	04/01/33		137			153,935

SEE NOTES TO FINANCIAL STATEMENTS.

A26

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value
Federal National Mortgage Assoc.		6.500%	11/01/33		74	$	81,895
Federal National Mortgage Assoc.		6.500%	01/01/34		61		68,491
Federal National Mortgage Assoc.		6.500%	09/01/34		95		105,469
Federal National Mortgage Assoc.		6.500%	10/01/34		214		239,701
Federal National Mortgage Assoc.		6.500%	09/01/36		102		117,397
Federal National Mortgage Assoc.		6.500%	10/01/36		35		39,641
Federal National Mortgage Assoc.		6.500%	11/01/36		45		49,453
Federal National Mortgage Assoc.		6.500%	01/01/37		119		132,794
Federal National Mortgage Assoc.		6.500%	01/01/37		42		46,693
Federal National Mortgage Assoc.(hh)		6.625%	11/15/30		480		686,238
Federal National Mortgage Assoc.		7.000%	02/01/32		40		45,307
Federal National Mortgage Assoc.		7.000%	03/01/32		3		2,838
Federal National Mortgage Assoc.		7.000%	05/01/32		21		24,760
Federal National Mortgage Assoc.		7.000%	06/01/32		23		25,763
Federal National Mortgage Assoc.		7.000%	07/01/32		64		71,720
Federal National Mortgage Assoc.(hh)(k)		7.125%	01/15/30		3,195		4,663,780
Federal National Mortgage Assoc.		7.500%	05/01/32		18		17,787
Government National Mortgage Assoc.		3.000%	12/20/44		472		477,739
Government National Mortgage Assoc.		3.000%	03/15/45		1,477		1,494,278
Government National Mortgage Assoc.		3.000%	03/20/46		2,966		2,999,387
Government National Mortgage Assoc.		3.000%	07/20/46		992		1,002,867
Government National Mortgage Assoc.		3.000%	08/20/46		1,983		2,005,202
Government National Mortgage Assoc.		3.000%	11/20/46		992		1,003,321
Government National Mortgage Assoc.		3.000%	01/20/47		498		503,092
Government National Mortgage Assoc.		3.000%	04/20/47		4,984		5,039,269
Government National Mortgage Assoc.		3.500%	TBA		11,500		11,911,484
Government National Mortgage Assoc.		3.500%	12/20/42		1,911		1,987,743
Government National Mortgage Assoc.		3.500%	05/20/43		591		615,237
Government National Mortgage Assoc.		3.500%	04/20/45		2,829		2,933,152
Government National Mortgage Assoc.		4.000%	TBA		6,000		6,313,594
Government National Mortgage Assoc.		4.000%	06/15/40		133		140,100
Government National Mortgage Assoc.		4.000%	05/20/41		107		113,920
Government National Mortgage Assoc.		4.000%	12/20/42		951		1,005,725
Government National Mortgage Assoc.		4.000%	12/20/45		3,025		3,185,618
Government National Mortgage Assoc.		4.500%	TBA		1,000		1,071,445
Government National Mortgage Assoc.		4.500%	04/15/40		1,015		1,091,712
Government National Mortgage Assoc.		4.500%	01/20/41		766		822,969
Government National Mortgage Assoc.		4.500%	02/20/41		1,293		1,389,469
Government National Mortgage Assoc.		4.500%	03/20/41		652		701,047
Government National Mortgage Assoc.		4.500%	06/20/44		999		1,062,250
Government National Mortgage Assoc.		5.000%	10/20/37		182		200,420
Government National Mortgage Assoc.		5.000%	04/20/45		1,058		1,137,230
Government National Mortgage Assoc.		5.500%	08/15/33		269		299,305
Government National Mortgage Assoc.		5.500%	08/15/33		302		337,092
Government National Mortgage Assoc.		5.500%	09/15/33		87		96,474
Government National Mortgage Assoc.		5.500%	12/15/33		47		52,641
Government National Mortgage Assoc.		5.500%	03/15/34		202		226,247
Government National Mortgage Assoc.		5.500%	12/15/34		443		504,554
Government National Mortgage Assoc.		5.500%	07/15/35		102		115,365
Government National Mortgage Assoc.		5.500%	04/15/36		170		191,721
Government National Mortgage Assoc.		6.000%	11/15/23		1		649
Government National Mortgage Assoc.		6.000%	05/15/32		1		626
Government National Mortgage Assoc.		6.000%	04/15/33		13		15,314
Government National Mortgage Assoc.		6.000%	12/15/33		156		177,244
Government National Mortgage Assoc.		6.000%	01/15/34		64		71,727
Government National Mortgage Assoc.		6.000%	01/15/34		86		98,163
Government National Mortgage Assoc.		6.000%	01/15/34		42		47,042
Government National Mortgage Assoc.		6.000%	06/20/34		161		182,555
Government National Mortgage Assoc.		6.000%	07/15/34		116		132,319

SEE NOTES TO FINANCIAL STATEMENTS.

A27

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value
Government National Mortgage Assoc.		6.500%		10/15/23		1		$	1,466
Government National Mortgage Assoc.		6.500%		12/15/23		7			7,245
Government National Mortgage Assoc.		6.500%		01/15/24		24			25,786
Government National Mortgage Assoc.		6.500%		01/15/24		78			85,449
Government National Mortgage Assoc.		6.500%		01/15/24		22			23,541
Government National Mortgage Assoc.		6.500%		01/15/24		50			54,210
Government National Mortgage Assoc.		6.500%		01/15/24		—	(r)		188
Government National Mortgage Assoc.		6.500%		01/15/24		2			2,196
Government National Mortgage Assoc.		6.500%		01/15/24		1			1,143
Government National Mortgage Assoc.		6.500%		01/15/24		4			4,764
Government National Mortgage Assoc.		6.500%		01/15/24		15			15,874
Government National Mortgage Assoc.		6.500%		01/15/24		2			2,229
Government National Mortgage Assoc.		6.500%		02/15/24		10			10,700
Government National Mortgage Assoc.		6.500%		02/15/24		23			25,654
Government National Mortgage Assoc.		6.500%		02/15/24		28			31,026
Government National Mortgage Assoc.		6.500%		02/15/24		7			8,154
Government National Mortgage Assoc.		6.500%		02/15/24		7			7,434
Government National Mortgage Assoc.		6.500%		02/15/24		4			4,222
Government National Mortgage Assoc.		6.500%		03/15/24		3			2,852
Government National Mortgage Assoc.		6.500%		03/15/24		5			5,334
Government National Mortgage Assoc.		6.500%		03/15/24		5			5,116
Government National Mortgage Assoc.		6.500%		04/15/24		2			1,979
Government National Mortgage Assoc.		6.500%		04/15/24		1			1,062
Government National Mortgage Assoc.		6.500%		04/15/24		6			6,492
Government National Mortgage Assoc.		6.500%		04/15/24		4			3,890
Government National Mortgage Assoc.		6.500%		04/15/24		9			9,651
Government National Mortgage Assoc.		6.500%		04/15/24		20			21,655
Government National Mortgage Assoc.		6.500%		04/15/24		5			4,989
Government National Mortgage Assoc.		6.500%		04/15/24		3			3,488
Government National Mortgage Assoc.		6.500%		05/15/24		5			5,573
Government National Mortgage Assoc.		6.500%		05/15/24		8			8,682
Government National Mortgage Assoc.		6.500%		05/15/24		35			38,167
Government National Mortgage Assoc.		6.500%		10/15/24		31			34,914
Government National Mortgage Assoc.		6.500%		11/15/28		7			8,388
Government National Mortgage Assoc.		6.500%		08/15/31		8			8,833
Government National Mortgage Assoc.		6.500%		12/15/31		14			15,919
Government National Mortgage Assoc.		6.500%		01/15/32		29			31,275
Government National Mortgage Assoc.		6.500%		02/15/32		55			62,291
Government National Mortgage Assoc.		6.500%		06/15/32		26			28,060
Government National Mortgage Assoc.		6.500%		07/15/32		51			56,300
Government National Mortgage Assoc.		6.500%		08/15/32		8			9,124
Government National Mortgage Assoc.		6.500%		08/15/32		10			10,758
Government National Mortgage Assoc.		6.500%		08/15/32		8			9,590
Government National Mortgage Assoc.		6.500%		08/15/32		36			39,268
Government National Mortgage Assoc.		6.500%		08/15/32		253			297,571
Government National Mortgage Assoc.		6.500%		08/15/34		28			31,705
Government National Mortgage Assoc.		6.500%		06/15/35		53			61,675
Government National Mortgage Assoc.		6.500%		09/15/36		63			73,926
Government National Mortgage Assoc.		8.000%		01/15/24		11			11,568
Government National Mortgage Assoc.		8.000%		07/15/24		1			840
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		2,835		��	2,903,545
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		915			956,916
Iraq Government, USAID Bond, U.S. Gov’t. Gtd. Notes		2.149%		01/18/22		1,000			999,148
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%		04/26/24		500			596,893
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.804%	(s)	01/15/30		870			598,732
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.962%	(s)	04/15/30		1,705			1,163,468
Tennessee Valley Authority, Sr. Unsec’d. Notes		2.875%		02/01/27		300			307,033
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30		510			738,835
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes		1.471%		09/29/21		600			586,646
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $251,854,351)									252,973,281

SEE NOTES TO FINANCIAL STATEMENTS.

A28

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. TREASURY OBLIGATIONS — 4.2%	Interest Rate			Maturity Date		Principal Amount (000)#		Value
U.S. Treasury Bonds		3.000%			11/15/44		190	$	196,056
U.S. Treasury Bonds		3.000%			02/15/47		4,295		4,430,559
U.S. Treasury Bonds		4.250%			11/15/40		9,110		11,448,000
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%			04/15/22		2,679		2,666,499
U.S. Treasury Inflation Indexed Bonds, TIPS		0.250%			01/15/25		35,500		34,869,627
U.S. Treasury Notes		2.125%			06/30/21		10,510		10,661,081
U.S. Treasury Notes		2.125%			09/30/21		24,530		24,864,418
U.S. Treasury Notes		2.125%			05/15/25		7,665		7,616,795
U.S. Treasury Strips Coupon		2.184%	(s)		02/15/28		2,115		1,625,843
U.S. Treasury Strips Coupon		2.241%	(s)		05/15/28		1,055		804,894
U.S. Treasury Strips Coupon		2.280%	(s)		02/15/29		1,055		787,007
U.S. Treasury Strips Coupon		2.384%	(s)		05/15/29		2,175		1,610,013
U.S. Treasury Strips Coupon		2.519%	(s)		08/15/25		1,930		1,602,824
U.S. Treasury Strips Coupon		2.783%	(s)		08/15/29		1,000		734,692
U.S. Treasury Strips Coupon		2.878%	(s)		05/15/31		1,000		694,299
U.S. Treasury Strips Coupon		3.042%	(s)		11/15/35		2,000		1,207,112
U.S. Treasury Strips Coupon		3.202%	(s)		08/15/40		2,000		1,023,614
TOTAL U.S. TREASURY OBLIGATIONS (cost $107,129,582)									106,843,333
TOTAL LONG-TERM INVESTMENTS (cost $1,450,474,336)									2,251,482,594
						Shares
SHORT-TERM INVESTMENTS — 16.5%
AFFILIATED MUTUAL FUNDS — 16.4%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)							10,890,115		101,169,171
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)							261,257,676		261,257,676
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $51,946,540; includes $51,896,201 of cash collateral for securities on loan)(b)(w)							51,946,289		51,951,483
TOTAL AFFILIATED MUTUAL FUNDS (cost $417,387,443)									414,378,330
						Notional Amount (000)#
OPTIONS PURCHASED* — 0.0%
Call Options
10 Year U.S. Treasury Notes Futures
expiring 07/21/17, Strike Price $127.00							294		22,969
expiring 07/21/17, Strike Price $130.00							294		—
TOTAL OPTIONS PURCHASED (cost $115,973)									22,969
						Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills(k) (cost $1,591,511)		0.979%	(n)		09/21/17		1,595		1,591,550
TOTAL SHORT-TERM INVESTMENTS (cost $419,094,927)									415,992,849
TOTAL INVESTMENTS, BEFORE OPTION WRITTEN — 105.7% (cost $1,869,569,263)									2,667,475,443

SEE NOTES TO FINANCIAL STATEMENTS.

A29

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

OPTION WRITTEN* — (0.0%)	Notional Amount (000)#		Value
Call Option
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $128.50 (premiums received $44,809)		588	$	(9,188	)
TOTAL INVESTMENTS, NET OF OPTION WRITTEN — 105.7% (cost $1,869,524,454)				2,667,466,255
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (5.7)%				(143,678,856	)
NET ASSETS — 100.0%			$	2,523,787,399

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

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

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $13,419,694 and 0.5% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $50,814,596; cash collateral of $51,896,201 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

(f) Indicates a restricted security; the aggregate original cost of such securities is $1,585,580. The aggregate value, $1,592,372, is 0.1% of net assets.

(g) Indicates a security that has been deemed illiquid; the aggregate value of $4,841,752 is 0.2% of net assets.

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

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

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

(n) Rate shown reflects yield to maturity at purchase date.

(p) Interest rate not available as of June 30, 2017.

(r) Less than $500 par.

(s) Represents zero coupon or step bond. Rate quoted represents yield to maturity at purchase date.

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

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

Futures contracts outstanding at June 30, 2017:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2017		Unrealized Appreciation (Depreciation)
Long Positions:
153		2 Year U.S. Treasury Notes		Sep. 2017	$	33,088,342	$	33,064,734	$	(23,608	)
1,007		5 Year U.S. Treasury Notes		Sep. 2017		118,981,816		118,660,789		(321,027	)
128		10 Year U.S. Treasury Notes		Sep. 2017		16,155,201		16,068,000		(87,201	)
35		10 Year U.S. Ultra Treasury Bonds		Sep. 2017		4,744,163		4,718,438		(25,725	)
399		30 Year U.S. Ultra Treasury Bonds		Sep. 2017		64,963,737		66,184,125		1,220,388
14		Mini MSCI EAFE Index		Sep. 2017		1,318,520		1,322,720		4,200
119		S&P 500 E-Mini Index		Sep. 2017		14,442,668		14,404,355		(38,313	)
25		S&P 500 Index		Sep. 2017		15,163,599		15,130,625		(32,974	)
										695,740
Short Position:
372		20 Year U.S. Treasury Bonds		Sep. 2017		56,884,776		57,171,750		(286,974	)
									$	408,766

Securities with a combined market value of $1,930,358 and $1,591,550 have been segregated with Citigroup Global Markets and Goldman Sachs & Co., respectively, to cover requirements for open futures contracts at June 30, 2017.

SEE NOTES TO FINANCIAL STATEMENTS.

A30

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Interest rate swap agreements outstanding at June 30, 2017:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2017			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	115,305		09/09/17		0.539%	1 Day USOIS(1)	$	404		$	274,937		$	274,533
	94,515		10/18/17		0.607%	1 Day USOIS(1)		235			237,432			237,197
	52,530		11/09/17		0.626%	1 Day USOIS(1)		268			147,403			147,135
	5,720		11/30/21		1.762%	3 Month LIBOR(2)		—			(37,613	)		(37,613	)
	2,080		05/31/23		1.203%	3 Month LIBOR(1)		162			95,710			95,548
	1,785		05/31/23		1.399%	3 Month LIBOR(1)		(32,437	)		62,215			94,652
	5,865		08/15/23		1.459%	3 Month LIBOR(1)		278,383			173,816			(104,567	)
	5,592		11/15/23		2.209%	3 Month LIBOR(1)		134			(58,145	)		(58,279	)
	3,280		02/15/24		2.115%	3 Month LIBOR(1)		8,180			(7,467	)		(15,647	)
	6,597		02/15/24		2.151%	3 Month LIBOR(1)		(6,804	)		(29,810	)		(23,006	)
	3,525		02/15/24		2.183%	3 Month LIBOR(1)		(7,019	)		(23,099	)		(16,080	)
	5,570		09/04/25		2.214%	3 Month LIBOR(1)		190			(51,097	)		(51,287	)
	22,150		01/08/26		2.210%	3 Month LIBOR(1)		238			(200,466	)		(200,704	)
	140		05/15/26		1.652%	3 Month LIBOR(1)		6			6,345			6,339
	4,623		02/15/27		1.824%	1 Day USOIS(1)		42,083			64,946			22,863
	5,885		02/15/36		2.338%	3 Month LIBOR(2)		(36,570	)		(149,235	)		(112,665	)
							$	247,453		$	505,872		$	258,419

Securities with a combined market value of $1,874,606 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

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

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

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,189,352,783	$	48,301,165	$	—
Preferred Stocks		1,342,500		466,821		—
Rights		548		—		—
Unaffiliated Exchange Traded Funds		491,217		—		—
Asset-Backed Securities
Automobiles		—		38,003,801		1,699,912
Collateralized Loan Obligations		—		42,910,752		—
Consumer Loans		—		10,128,479		—
Credit Cards		—		15,251,230		—
Equipment		—		2,505,525		—
Home Equity Loans		—		4,158,875		—
Other		—		1,345,156		—
Residential Mortgage-Backed Securities		—		7,702,783		2,125,000
Bank Loans		—		1,439,961		—
Commercial Mortgage-Backed Securities		—		139,540,955		—
Corporate Bonds		—		283,685,279		—
Municipal Bonds		—		16,360,482		—

SEE NOTES TO FINANCIAL STATEMENTS.

A31

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

	Level 1			Level 2		Level 3
Investments in Securities (continued)
Residential Mortgage-Backed Securities	$	—		$	48,084,419	$	9,594,782
Sovereign Bonds		—			27,173,555		—
U.S. Government Agency Obligations		—			252,973,281		—
U.S. Treasury Obligations		—			108,434,883		—
Affiliated Mutual Funds		414,378,330			—		—
Options Purchased		22,969			—		—
Option Written		(9,188	)		—		—
Other Financial Instruments*
Futures Contracts		408,766			—		—
Centrally Cleared Interest Rate Swap Agreements		—			258,419		—
Total	$	1,605,987,925		$	1,048,725,821	$	13,419,694

* 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, Level 2 and Level 3 to report.

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

Affiliated Mutual Funds (including 2.1% of collateral for securities on load)	16.4	%
U.S. Government Agency Obligations	10.0
Banks	6.3
Commercial Mortgage-Backed Securities	5.5
U.S. Treasury Obligations	4.3
Pharmaceuticals	2.9
Residential Mortgage-Backed Securities	2.7
Oil, Gas & Consumable Fuels	2.5
Software	2.5
Internet Software & Services	2.2
Insurance	2.0
Technology Hardware, Storage & Peripherals	2.0
Media	1.9
Automobiles	1.9
IT Services	1.8
Collateralized Loan Obligations	1.7
Semiconductors & Semiconductor Equipment	1.6
Biotechnology	1.5
Capital Markets	1.5
Equity Real Estate Investment Trusts (REITs)	1.4
Health Care Providers & Services	1.4
Health Care Equipment & Supplies	1.4
Chemicals	1.3
Internet & Direct Marketing Retail	1.3
Diversified Financial Services	1.2
Industrial Conglomerates	1.1
Aerospace & Defense	1.1
Beverages	1.1
Specialty Retail	1.1
Sovereign Bonds	1.1
Diversified Telecommunication Services	1.1
Electric Utilities	1.0
Food & Staples Retailing	0.9
Tobacco	0.9
Hotels, Restaurants & Leisure	0.9
Electric	0.8

Household Products	0.8	%
Machinery	0.8
Food Products	0.7
Oil & Gas	0.7
Municipal Bonds	0.7
Credit Cards	0.6
Airlines	0.5
Multi-Utilities	0.5
Communications Equipment	0.5
Road & Rail	0.5
Telecommunications	0.4
Energy Equipment & Services	0.4
Computers	0.4
Consumer Loans	0.4
Healthcare-Products	0.4
Textiles, Apparel & Luxury Goods	0.4
Auto Manufacturers	0.4
Consumer Finance	0.3
Life Sciences Tools & Services	0.3
Air Freight & Logistics	0.3
Healthcare-Services	0.3
Electrical Equipment	0.3
Household Durables	0.3
Retail	0.3
Electronic Equipment, Instruments & Components	0.2
Pipelines	0.2
Multiline Retail	0.2
Lodging	0.2
Agriculture	0.2
Professional Services	0.2
Building Products	0.2
Multi-National	0.2
Containers & Packaging	0.2
Commercial Services & Supplies	0.2
Home Equity Loans	0.1
Metals & Mining	0.1
Transportation	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A32

CONSERVATIVE BALANCED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Industry classification (cont.)
Auto Components	0.1	%
Trading Companies & Distributors	0.1
Commercial Services	0.1
Semiconductors	0.1
Personal Products	0.1
Equipment	0.1
Gas	0.1
Oil & Gas Services	0.1
Forest Products & Paper	0.1
Housewares	0.1
Food	0.1
Construction & Engineering	0.1
Real Estate Management & Development	0.1
Construction Materials	0.1
Auto Parts & Equipment	0.1
Technology	0.1
Other	0.1
Mining	0.1
Distributors	0.1
Packaging & Containers	0.0	*
Savings & Loans	0.0	*
Building Materials	0.0	*
Machinery-Diversified	0.0	*

Health Care Technology	0.0	*%
Leisure Products	0.0	*
Miscellaneous Manufacturing	0.0	*
Wireless Telecommunication Services	0.0	*
Entertainment	0.0	*
Water Utilities	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*
Paper & Forest Products	0.0	*
Unaffiliated Exchange Traded Funds	0.0	*
Home Builders	0.0	*
Diversified Consumer Services	0.0	*
Transportation Infrastructure	0.0	*
Real Estate	0.0	*
Gas Utilities	0.0	*
Options Purchased	0.0	*
Marine	0.0	*
	105.7
Option Written	(0.0	)*
Liabilities in excess of other assets	(5.7	)
	100.0	%

* Less than +/- 0.05%

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

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

Fair values of derivative instruments as of June 30, 2017 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	$	4,200	*	Due from/to broker — variation margin futures	$	71,287	*
Equity contracts	Unaffiliated investments		548		—		—
Interest rate contracts	Due from/to broker — variation margin futures		1,220,388	*	Due from/to broker — variation margin futures		744,535	*
Interest rate contracts	Due from/to broker — variation margin swaps		878,267	*	Due from/to broker — variation margin swaps		619,848	*
Interest rate contracts	Unaffiliated investments		22,969		Options written outstanding, at value		9,188
Total		$	2,126,372			$	1,444,858

* 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 six months ended June 30, 2017 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(1)		Options Purchased(1)			Options Written		Futures		Forward Rate Agreements		Swaps			Total
Credit contracts	$	—	$	—		$	—	$	—	$	—	$	(275,876	)	$	(275,876	)
Equity contracts		2,350		—			—		2,861,679		—		—			2,864,029
Interest rate contracts		—		(343,639	)		88,102		3,333,740		23,492		1,245,821			4,347,516
Total	$	2,350	$	(343,639	)	$	88,102	$	6,195,419	$	23,492	$	969,945		$	6,935,669

(1) 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 June 30, 2017 (unaudited)

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)			Options Written		Futures		Swaps			Total
Credit contracts	$	—		$	—		$	—	$	—	$	(111,279	)	$	(111,279	)
Equity contracts		(36	)		—			—		355,051		—			355,015
Interest rate contracts		—			(93,004	)		35,621		1,030,215		(2,066,604	)		(1,093,772	)
Total	$	(36	)	$	(93,004	)	$	35,621	$	1,385,266	$	(2,177,883	)	$	(850,036	)

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

For the six months ended June 30, 2017, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(3)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)
$119,832	$308,333	$338,481,517	$40,642,507

Credit Default Swap Agreements— Buy Protection(3)	Interest Rate Swap Agreements(3)
$35,333,333	$346,655,667

(1) Cost.

(2) Value at Trade Date.

(3) Notional Amount in USD.

Financial instruments/transactions — summary of offsetting and netting arrangements:

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received(2)			Net Amount
Securities on Loan	$	50,814,596	$	(50,814,596	)	$	—

(1) Amount represents market value.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A34

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

ASSETS
Investments at value, including securities on loan of $50,814,596:
Unaffiliated investments (cost $1,452,181,820)	$	2,253,097,113
Affiliated investments (cost $417,387,443)		414,378,330
Foreign currency, at value (cost $471,746)		476,489
Receivable for investments sold		27,346,344
Dividends and interest receivable		6,639,070
Tax reclaim receivable		595,233
Due from broker—variation margin swaps		160,187
Due from broker—variation margin futures		12,374
Receivable from affiliate		6,407
Prepaid expenses		2,799
Total Assets		2,702,714,346
LIABILITIES
Payable for investments purchased		124,600,968
Payable to broker for collateral for securities on loan		51,896,201
Management fee payable		1,147,723
Payable for Series shares repurchased		499,079
Accrued expenses		356,623
Due to broker—variation margin futures		297,315
Payable to custodian		118,870
Options written outstanding, at value (premiums received $44,809)		9,188
Affiliated transfer agent fee payable		980
Total Liabilities		178,926,947
NET ASSETS	$	2,523,787,399
Net assets were comprised of:
Paid-in capital	$	1,062,719,365
Retained earnings		1,461,068,034
Net assets, June 30, 2017	$	2,523,787,399
Net asset value and redemption price per share $2,523,787,399 / 98,625,125 outstanding shares of beneficial interest	$	25.59

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income (net of foreign withholding taxes of $43)	$	13,515,971
Unaffiliated dividend income (net) (foreign withholding tax of $122,373, of which $21,176 is reimbursable by an affiliate)		13,119,386
Affiliated dividend income		2,279,731
Income from securities lending, net (including affiliated income of $43,467)		57,777
Total income		28,972,865
EXPENSES
Management fee		6,850,421
Custodian and accounting fees		180,000
Shareholders’ reports		121,000
Audit fee		24,000
Trustees’ fees		16,000
Legal fees and expenses		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		39,597
Total expenses		7,245,018
NET INVESTMENT INCOME (LOSS)		21,727,847
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $8,885)		66,148,128
Futures transactions		6,195,419
Options written transactions		88,102
Swap agreement transactions		969,945
Forward rate agreement transactions		23,492
Foreign currency transactions		(12,643	)
		73,412,443
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $204,724)		47,188,463
Futures		1,385,266
Options written		35,621
Swap agreements		(2,177,883	)
Foreign currencies		54,979
		46,486,446
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		119,898,889
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	141,626,736

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	21,727,847		$	44,543,863
Net realized gain (loss) on investment and foreign currency transactions		73,412,443			28,658,304
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		46,486,446			98,563,987
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		141,626,736			171,766,154
SERIES SHARE TRANSACTIONS
Series shares sold [112,203 and 338,782 shares, respectively]		2,819,355			7,843,814
Series shares repurchased [3,758,050 and 11,378,786 shares, respectively]		(93,885,693	)		(262,953,434	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(91,066,338	)		(255,109,620	)
CAPITAL CONTRIBUTIONS		—			2,299,220
TOTAL INCREASE (DECREASE)		50,560,398			(81,044,246	)
NET ASSETS:
Beginning of period		2,473,227,001			2,554,271,247
End of period	$	2,523,787,399		$	2,473,227,001

SEE NOTES TO FINANCIAL STATEMENTS.

A35

DIVERSIFIED BOND PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

LONG-TERM INVESTMENTS — 87.4% ASSET-BACKED SECURITIES — 12.2%	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Automobiles — 0.4%
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A		2.730%			03/25/21		2,700	$	2,684,689
Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A		2.950%			03/25/22		700		691,730
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class C, 144A		4.580%			09/15/21		1,600		1,624,877
									5,001,296
Collateralized Loan Obligations — 4.4%
Arrowmark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A		—%	(c)(p)		07/15/29		250		250,000
Avery Point V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		2.618%	(c)		07/17/26		1,000		1,001,357
Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A		2.293%	(c)		10/22/25		1,000		1,000,307
Battalion CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A1R, 144A		2.328%	(c)		04/17/26		1,100		1,100,116
Benefit Street Partners CLO I Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A		3.408%	(c)		10/15/25		1,000		1,006,043
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.308%	(c)		04/17/25		2,600		2,602,735
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A		2.608%	(c)		07/15/26		1,500		1,501,186
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A		2.656%	(c)		01/25/27		8,250		8,252,926
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.698%	(c)		04/15/27		2,250		2,252,595
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class AR, 144A		2.338%	(c)		07/15/26		250		250,328
KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A		2.358%	(c)		10/15/26		1,000		1,000,280
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A		2.278%	(c)		01/18/27		7,300		7,311,340
MP CLO III Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.336%	(c)		04/20/25		3,300		3,300,464
OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A		2.560%	(c)		07/15/30		750		748,970
Palmer Square CLO (Cayman Islands), Series 2015-2A, Class A1AR, 144A		2.580%	(c)		07/20/30		1,000		1,000,000
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A		2.656%	(c)		07/20/27		1,000		1,000,048
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A		3.440%			04/15/25		700		702,090
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A		2.608%	(c)		01/18/26		3,300		3,300,780
Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A		2.856%	(c)		10/25/28		3,250		3,263,609
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.278%	(c)		07/15/25		300		300,236
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.298%	(c)		04/15/24		4,200		4,201,575
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A		2.431%	(c)		04/20/29		1,750		1,750,053
West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A		2.339%	(c)		11/07/25		2,500		2,500,885
Zais CLO 6 Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A		2.572%	(c)		07/15/29		1,000		1,000,250
									50,598,173

SEE NOTES TO FINANCIAL STATEMENTS.

A36

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Consumer Loans — 2.2%
Lendmark Funding Trust, Series 2016-2A, Class A, 144A		3.260%		04/20/25		700	$	706,019
Lendmark Funding Trust, Series 2017-1A, Class A, 144A^		2.830%		01/22/24		1,000		999,795
OneMain Financial Issuance Trust, Series 2015-1A, Class A, 144A		3.190%		03/18/26		1,000		1,009,968
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%		07/18/25		3,598		3,601,572
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 144A		4.320%		07/18/25		1,100		1,099,799
OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A		3.660%		02/18/29		2,500		2,558,489
OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A		4.100%		03/18/28		2,600		2,652,256
Oportun Funding IV LLC, Series 2016-C, Class A, 144A		3.280%		11/08/21		2,300		2,312,276
Oportun Funding VI LLC, Series 2017-A, Class A, 144A		3.230%		06/08/23		750		753,970
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A		3.050%		04/25/29		3,664		3,685,739
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%		11/15/24		5,200		5,247,032
								24,626,915
Home Equity Loans — 2.9%
ABFC Trust, Series 2004-OPT1, Class M1		2.266%	(c)	08/25/33		994		979,771
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1		2.116%	(c)	09/25/33		1,003		982,946
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3		4.967%	(c)	01/25/33		1,863		1,841,652
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3		4.141%	(c)	10/25/31		312		320,037
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-W2, Class M4		3.856%	(c)	09/25/33		2,400		2,246,156
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1		2.041%	(c)	05/25/34		771		748,493
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1		2.404%	(c)	06/15/33		867		855,904
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1		2.209%	(c)	01/15/34		880		860,955
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1		2.116%	(c)	08/25/34		1,221		1,181,311
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1		2.116%	(c)	03/25/34		2,899		2,797,235
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2		2.941%	(c)	04/25/34		1,935		1,930,102
Centex Home Equity Loan Trust, Series 2004-B, Class AF6		4.686%		03/25/34		661		677,463
CIM Trust, Series 2017-3, Class A3, 144A		3.051%	(c)	01/25/57		2,307		2,341,134
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2		3.466%	(c)	08/25/32		37		34,291
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1		1.996%	(c)	02/25/34		1,372		1,335,176
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1		2.416%	(c)	08/25/35		367		365,179
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		2.416%	(c)	05/25/33		769		762,035
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1		2.236%	(c)	10/25/33		545		539,154
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		2.266%	(c)	12/25/33		514		501,474
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1		2.086%	(c)	11/25/34		3,688		3,470,238

SEE NOTES TO FINANCIAL STATEMENTS.

A37

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value
Home Equity Loans (continued)
New Century Home Equity Loan Trust, Series 2003-4, Class M1		2.341%	(c)		10/25/33			2,099	$	2,052,624
New Century Home Equity Loan Trust, Series 2004-4, Class M1		1.981%	(c)		02/25/35			2,361		2,234,233
Residential Asset Securities Corp., Series 2004-KS1, Class AI5		5.500%			02/25/34			788		806,309
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1		1.996%	(c)		02/25/34			2,212		2,172,991
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1		1.981%	(c)		02/25/35			1,038		995,497
										33,032,360
Other — 0.1%
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A		3.540%			10/20/32			925		930,157
Residential Mortgage-Backed Securities — 2.1%
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1		2.176%	(c)		09/25/34			492		492,852
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2		1.996%	(c)		10/25/34			1,448		1,417,448
Bayview Opportunity Master Fund IIIa Trust, Series 2016-RN3, Class A1, 144A		3.598%			09/28/31			594		596,972
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A		4.145%	(c)		12/25/46			4,584		4,603,035
CSMC Trust, Series 2017-6R, 144A^		—%	(c)(p)		03/06/47			2,400		2,400,000
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.678%			07/25/34			410		407,016
FBR Securitization Trust, Series 2005-2, Class M1		1.936%	(c)		09/25/35			1,261		1,260,211
Fremont Home Loan Trust, Series 2003-B, Class M1		2.266%	(c)		12/25/33			149		146,062
GSAMP Trust, Series 2004-FM1, Class M1		2.191%	(c)		11/25/33			1,294		1,277,765
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1		1.966%	(c)		02/25/34			2,459		2,450,139
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A		1.736%	(c)		06/25/35			1,132		1,097,278
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1		2.146%	(c)		06/25/34			1,409		1,374,260
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1		2.131%	(c)		07/25/34			1,170		1,144,228
Structured Asset Investment Loan Trust, Series 2004-2, Class A4		1.921%	(c)		03/25/34			1,892		1,829,783
Structured Asset Investment Loan Trust, Series 2004-7, Class A8		2.416%	(c)		08/25/34			1,400		1,320,658
VOLT LI LLC, Series 2016-NP11, Class A1, 144A		3.500%			10/25/46			1,236		1,236,957
VOLT LX LLC, Series 2017-NPL7, Class A1, 144A		3.250%			04/25/59			370		369,670
VOLT VII LLC, Series 2017-NPL4, Class A1, 144A		3.375%			04/25/47			556		555,511
										23,979,845
Student Loans — 0.1%
Earnest Student Loan Program LLC, Series 2016-D, Class A1, 144A		2.616%	(c)		01/25/41			562		571,362
TOTAL ASSET-BACKED SECURITIES (cost $132,187,382)										138,740,108
BANK LOANS(c) — 1.2%
Diversified Manufacturing — 0.1%
CeramTec GmbH (Germany)^		3.750%			08/30/20		EUR	900		1,036,932
Electric — 0.1%
Lightstone Holdco LLC		5.672%			01/30/24			1,097		1,068,749

SEE NOTES TO FINANCIAL STATEMENTS.

A38

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

BANK LOANS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value
Health Care & Pharmaceutical — 0.1%
Valeant Pharmaceuticals International, Inc.		5.830%			04/01/22			1,030	$	1,044,003
Retailers — 0.2%
Euro Garages Ltd. (United Kingdom)		5.325%			01/30/23		GBP	1,000		1,312,428
Rite Aid Corp.		5.105%			06/21/21			1,375		1,378,152
										2,690,580
Supermarkets — 0.1%
Albertsons LLC		4.200%			08/25/21			788		788,740
Technology — 0.4%
Action Nederland BV		3.500%			02/25/22		EUR	1,100		1,272,229
BMC Software Finance, Inc.		1.150%			09/12/22			423		423,330
Dell International LLC		3.299%			12/31/18			2,800		2,802,139
Dell International LLC		3.799%			09/07/23			796		798,706
										5,296,404
Transportation Services — 0.2%
Scandlines GmbH (Germany)		4.250%			12/03/20		EUR	1,675		1,934,981
TOTAL BANK LOANS (cost $14,321,130)										13,860,389
COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.2%
245 Park Avenue Trust, Series 2017-245P, Class A, 144A		3.508%			06/05/37			2,575		2,643,462
Banc of America Commercial Mortgage Trust, Series 2016-UB10, Class A3		2.903%			07/15/49			2,300		2,267,407
BANK, Series 2017-BNK5, Class A4		3.131%			06/15/60			4,400		4,391,363
BBCMS Mortgage Trust, Series 2016-ETC, Class A, 144A		2.937%			08/14/36			1,170		1,143,757
BBCMS Mortgage Trust, Series 2016-ETC, Class B, 144A		3.189%			08/14/36			510		497,701
BBCMS Mortgage Trust, Series 2016-ETC, Class C, 144A		3.391%			08/14/36			430		419,213
BBCMS Mortgage Trust, Series 2016-ETC, Class D, 144A		3.729%	(c)		08/14/36			1,560		1,501,141
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A		3.009%	(c)		12/15/27			5,000		5,003,113
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%			05/10/47			3,200		3,324,284
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4		3.209%			05/10/49			3,500		3,527,636
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class B, 144A		2.871%	(c)		11/10/31			2,400		2,355,060
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class C, 144A		2.871%	(c)		11/10/31			900		867,596
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4		3.314%			04/10/49			5,100		5,158,067
COMM Mortgage Trust, Series 2012-CR5, Class A3		2.540%			12/10/45			2,000		1,989,840
COMM Mortgage Trust, Series 2013-CR7, Class A3		2.929%			03/10/46			3,687		3,732,682
COMM Mortgage Trust, Series 2014-UBS4, Class A4		3.420%			08/10/47			3,200		3,270,465
COMM Mortgage Trust, Series 2014-UBS5, Class A4		3.838%			09/10/47			3,600		3,778,780
COMM Mortgage Trust, Series 2015-DC1, Class A4		3.078%			02/10/48			5,000		5,002,573
COMM Mortgage Trust, Series 2015-LC21, Class A4		3.708%			07/10/48			2,600		2,710,831
COMM Mortgage Trust, Series 2015-PC1, Class A5		3.902%			07/10/50			2,100		2,207,267
COMM Mortgage Trust, Series 2016-COR1, Class A3		2.826%			10/10/49			2,500		2,442,091
COMM Mortgage Trust, Series 2016-DC2, Class A5		3.765%			02/10/49			300		313,704
DBJPM Mortgage Trust, Series 2017-C6, Class A4		3.071%			06/10/50			2,800		2,795,505
DBWF Mortgage Trust, Series 2016-85T, Class D, 144A (original cost $1,317,944; purchased 12/09/16)(f)(g)		3.935%	(c)		12/10/36			1,400		1,387,469
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A		3.673%	(c)		09/10/35			3,000		3,025,160
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO		1.718%	(c)		06/25/20			7,815		300,349
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.570%	(c)		05/25/22			27,505		1,583,122

SEE NOTES TO FINANCIAL STATEMENTS.

A39

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.606%	(c)		06/25/22		15,693	$	947,369
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO		1.001%	(c)		10/25/22		10,812		413,002
FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO		0.932%	(c)		01/25/23		135,328		4,969,073
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO		0.879%	(c)		01/25/25		83,387		3,902,257
FHLMC Multifamily Structured Pass-Through Certificates, Series K053, Class X1, IO		1.030%	(c)		12/25/25		89,570		5,598,051
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO		1.502%	(c)		03/25/26		13,964		1,354,962
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.872%	(c)		05/25/19		21,421		546,866
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.810%	(c)		07/25/19		26,279		685,580
GS Mortgage Securities Trust, Series 2013-GC12, Class A3		2.860%			06/10/46		1,430		1,442,178
GS Mortgage Securities Trust, Series 2017-GS6, Class A2		3.164%			05/10/50		3,400		3,409,503
IMT Trust, Series 2017-APTS, Class AFX, 144A ^		3.478%	(c)		06/15/34		1,050		1,081,440
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4		3.493%			08/15/47		3,200		3,310,822
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4		3.414%			03/15/50		2,300		2,358,442
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4		2.611%			12/15/47		2,000		2,003,722
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%			12/15/47		4,600		4,655,635
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3		2.559%			08/15/49		2,900		2,787,021
LCCM, Series 2017-LC26, Class A4, 144A		3.551%			07/12/50		4,300		4,370,772
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A		1.673%	(c)		08/15/45		40,733		2,375,609
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%			12/15/48		1,700		1,718,229
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3		2.834%			05/15/46		2,300		2,316,451
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3		4.104%	(c)		07/15/46		4,800		5,130,655
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3		3.766%			11/15/46		4,000		4,210,891
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A5		2.860%			09/15/49		2,000		1,951,422
Morgan Stanley Capital I Trust, Series 2017-H1, Class A4		3.259%			06/15/50		2,750		2,766,539
Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A		3.126%			07/05/36		400		395,791
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%			03/10/46		4,600		4,648,129
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%			04/10/46		3,800		3,847,390
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4		3.548%			08/15/50		4,300		4,457,303
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A3		2.674%			07/15/48		4,600		4,441,081
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $150,563,064)									149,735,823
CORPORATE BONDS — 41.9%
Agriculture — 0.3%
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%			02/11/18		2,375		2,377,351
Reynolds American, Inc., Gtd. Notes		8.125%			06/23/19		895		998,207
									3,375,558

SEE NOTES TO FINANCIAL STATEMENTS.

A40

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#				Value
Airlines — 0.7%
American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA		3.575%		07/15/29			1,789		$	1,829,728
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1(g)		6.703%		12/15/22			—	(r)		454
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		5.983%		10/19/23			1,363			1,499,069
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%		07/12/22			364			385,337
Delta Air Lines, Inc., Sr. Unsec’d. Notes		2.875%		03/13/20			1,180			1,195,429
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		02/10/24			933			1,070,290
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		11/23/20			328			340,831
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		10/15/20			410			430,778
United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A		6.636%		01/02/24			701			760,687
										7,512,603
Apparel — 0.1%
Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A		3.500%		06/15/24		EUR	575			687,933
Auto Manufacturers — 0.8%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%		01/15/43			1,755			1,694,049
Ford Motor Co., Sr. Unsec’d. Notes(a)		5.291%		12/08/46			525			538,818
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		2.375%		01/16/18			2,225			2,232,011
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23			1,350			1,446,760
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43			1,885			2,093,762
General Motors Co., Sr. Unsec’d. Notes		6.600%		04/01/36			210			243,310
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		2.200%		01/15/24		EUR	350			403,751
										8,652,461
Auto Parts & Equipment — 0.4%
Adient Global Holdings Ltd., Gtd. Notes, 144A		3.500%		08/15/24		EUR	701			811,978
IHO Verwaltungs GmbH (Germany), 1st Lien, 144A		3.750%		09/15/26		EUR	1,050			1,250,228
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A		3.250%		09/15/23		EUR	1,075			1,258,509
LKQ Italia Bondco SpA, Gtd. Notes, 144A		3.875%		04/01/24		EUR	1,275			1,573,472
										4,894,187
Banks — 10.4%
Bank of America Corp., Jr. Sub. Notes, Series K		8.000%	(c)	12/29/49			3,500			3,596,250
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%		01/11/23			5,870			5,985,627
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24			1,150			1,205,048
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%		01/22/24			3,750			3,957,214
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.443%	(c)	01/20/48			1,200			1,269,217
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17			4,590			4,621,575
Bank of America Corp., Sub. Notes, MTN		4.450%		03/03/26			1,735			1,805,691
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		3.684%		01/10/23			480			492,508
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.337%		01/10/28			520			534,567
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%		01/12/26			1,290			1,340,460
BNP Paribas SA (France), Sr. Unsec’d. Notes, 144A, MTN		2.950%		05/23/22			1,435			1,449,288
BNP Paribas SA (France), Sub. Notes, 144A		4.625%		03/13/27			230			242,538
BPCE SA (France), Gtd. Notes, 144A, MTN		3.000%		05/22/22			595			600,175
Branch Banking & Trust Co., Sr. Unsec’d. Notes		2.850%		04/01/21			3,700			3,779,487
CITIC Ltd. (China), Sr. Unsec’d. Notes, EMTN		6.875%		01/21/18			1,100			1,128,546
Citigroup, Inc., Jr. Sub. Notes, Series Q		5.950%	(c)	12/31/49			1,355			1,425,758
Citigroup, Inc., Jr. Sub. Notes, Series R		6.125%	(c)	12/31/49			1,085			1,166,375
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39			2,995			4,598,328
Citigroup, Inc., Sub. Notes		4.450%		09/29/27			2,630			2,735,247

SEE NOTES TO FINANCIAL STATEMENTS.

A41

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value
Banks (continued)
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN		3.625%			09/09/24			1,050	$	1,084,652
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%			05/12/21			900		911,542
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, MTN		3.700%			05/30/24			159		158,969
Dexia Credit Local SA (France), Gov’t. Liquid Gtd. Notes		1.875%			01/29/20			2,500		2,480,670
Discover Bank, Sr. Unsec’d. Notes		3.450%			07/27/26			280		270,814
Discover Bank, Sr. Unsec’d. Notes		4.250%			03/13/26			1,150		1,181,199
Discover Bank, Sub. Notes		7.000%			04/15/20			2,005		2,225,442
Fifth Third Bank, Sr. Unsec’d. Notes		2.375%			04/25/19			425		427,831
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M		5.375%	(c)		12/31/49			1,950		2,049,060
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%			02/25/26			125		127,282
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.850%			01/26/27			1,775		1,805,722
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%			01/24/22			4,200		4,728,671
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.150%			04/01/18			1,355		1,398,482
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%			02/01/41			2,195		2,867,309
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D, MTN		6.000%			06/15/20			2,420		2,669,800
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%			10/01/37			440		571,138
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1		7.900%	(c)		04/29/49			6,130		6,372,135
JPMorgan Chase & Co., Jr. Sub. Notes, Series X		6.100%	(c)		12/31/49			1,450		1,573,250
JPMorgan Chase & Co., Sr. Unsec’d. Notes		2.750%			06/23/20			5,400		5,490,229
JPMorgan Chase & Co., Sr. Unsec’d. Notes		2.950%			10/01/26			1,740		1,679,276
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.200%			06/15/26			3,020		2,984,557
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.250%			09/23/22			500		512,412
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.540%	(c)		05/01/28			1,520		1,524,603
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%			10/15/20			600		637,130
JPMorgan Chase & Co., Sub. Notes		4.250%			10/01/27			420		438,102
JPMorgan Chase & Co., Sub. Notes		4.950%			06/01/45			715		797,628
KeyCorp, Sr. Unsec’d. Notes, MTN		5.100%			03/24/21			1,155		1,263,729
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN		5.800%			01/13/20			2,650		2,882,951
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A		1.850%			03/21/18			1,125		1,126,504
Morgan Stanley, Jr. Sub. Notes, Series H		5.450%	(c)		12/31/49			975		1,009,612
Morgan Stanley, Sr. Unsec’d. Notes		4.375%			01/22/47			1,730		1,804,743
Morgan Stanley, Sr. Unsec’d. Notes		5.750%			01/25/21			1,920		2,124,353
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%			02/25/23			1,535		1,596,113
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%			07/28/21			2,080		2,306,418
Morgan Stanley, Sr. Unsec’d. Notes, MTN		3.125%			07/27/26			2,725		2,649,373
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%			09/23/19			2,635		2,830,823
Morgan Stanley, Sub. Notes, GMTN		4.350%			09/08/26			750		779,729
People’s United Bank, Sub. Notes		4.000%			07/15/24			550		554,866
PNC Financial Services Group, Inc. (The), Sub. Notes		3.900%			04/29/24			975		1,018,273
Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		2.875%			10/16/20			1,550		1,572,137
State Street Corp., Jr. Sub. Notes		4.956%	(c)		03/15/18			3,025		3,091,831
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%			01/10/19			625		630,393
UBS Group Funding Switzerland AG (Switzerland), Gtd. Notes, 144A		4.253%			03/23/28			1,485		1,551,424
										117,695,076
Beverages — 0.0%
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A		4.750%			10/01/18			375		383,375
Biotechnology — 0.3%
Amgen, Inc., Sr. Unsec’d. Notes		4.663%			06/15/51			2,948		3,122,383
Building Materials — 0.5%
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.375%			10/12/22			1,200		1,275,000
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		4.750%			01/11/22		EUR	900		1,071,624
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g)		5.375%			11/15/24			3,000		3,161,250
US Concrete, Inc., Gtd. Notes		6.375%			06/01/24			600		633,000
										6,140,874

SEE NOTES TO FINANCIAL STATEMENTS.

A42

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value
Chemicals — 1.6%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		4.900%		06/01/43			870	$	939,034
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		5.250%		01/15/45			420		476,807
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		6.125%		01/15/41			450		546,093
Ashland, Inc., Gtd. Notes		6.875%		05/15/43			3,000		3,255,000
CF Industries, Inc., Gtd. Notes		4.950%		06/01/43			675		578,812
CF Industries, Inc., Gtd. Notes		5.375%		03/15/44			700		624,750
CF Industries, Inc., Gtd. Notes		6.875%		05/01/18			380		394,725
CF Industries, Inc., Gtd. Notes		7.125%		05/01/20			300		331,500
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%		10/01/44			125		133,046
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39			1,002		1,684,105
LyondellBasell Industries NV, Sr. Unsec’d. Notes		6.000%		11/15/21			3,550		4,010,424
Mosaic Co. (The), Sr. Unsec’d. Notes(a)		5.450%		11/15/33			465		490,588
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43			155		158,248
Sherwin-Williams Co. (The), Sr. Unsec’d. Notes		3.450%		06/01/27			445		447,939
Union Carbide Corp., Sr. Unsec’d. Notes		7.875%		04/01/23			3,058		3,764,502
									17,835,573
Commercial Services — 0.5%
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%		07/15/22			1,375		1,424,844
ERAC USA Finance LLC, Gtd. Notes, 144A(g)		6.700%		06/01/34			920		1,142,558
ERAC USA Finance LLC, Gtd. Notes, 144A(g)		7.000%		10/15/37			770		999,542
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A		5.000%		04/15/22			1,500		1,556,250
United Rentals North America, Inc., Gtd. Notes		5.500%		07/15/25			650		680,875
United Rentals North America, Inc., Gtd. Notes		5.500%		05/15/27			450		463,500
									6,267,569
Computers — 0.3%
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A		3.480%		06/01/19			905		926,155
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A		4.420%		06/15/21			770		811,748
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.450%	(c)	10/05/17			1,094		1,096,733
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.850%	(c)	10/05/18			630		635,390
									3,470,026
Diversified Financial Services — 0.8%
Ally Financial, Inc., Sr. Unsec’d. Notes		4.125%		02/13/22			3,000		3,075,000
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19			1,337		1,403,850
GE Capital International Funding Co. Unlimited Co., Gtd. Notes		4.418%		11/15/35			354		385,289
HSBC Finance Corp., Sub. Notes		6.676%		01/15/21			295		332,454
International Lease Finance Corp., Sr. Unsec’d. Notes		6.250%		05/15/19			1,400		1,501,618
Intrum Justitia AB (Sweden), Sr. Unsec’d. Notes, 144A		3.125%		07/15/24		EUR	750		852,921
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43			650		734,566
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d)		6.875%		05/02/18			2,740		174,264
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(g)		1.886%	(c)	07/03/33			342		327,917
									8,787,879
Electric — 3.4%
AES Corp., Sr. Unsec’d. Notes		5.500%		04/15/25			5,000		5,231,250
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		3.350%		07/01/23			550		566,080
Calpine Corp., Sr. Unsec’d. Notes(a)		5.375%		01/15/23			396		386,100
Calpine Corp., Sr. Unsec’d. Notes		5.750%		01/15/25			1,350		1,265,625
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes		4.300%		12/01/56			235		244,957
ContourGlobal Power Holdings SA, Sr. Sec’d. Notes, 144A		5.125%		06/15/21		EUR	1,350		1,622,393
Dominion Resources Inc., Jr. Sub. Notes		4.104%		04/01/21			2,710		2,844,362
Dynegy, Inc., Gtd. Notes(a)		5.875%		06/01/23			2,400		2,244,000
Dynegy, Inc., Gtd. Notes(a)		7.375%		11/01/22			1,000		987,500
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35			2,325		2,756,687
Emera US Finance LP (Canada), Gtd. Notes		3.550%		06/15/26			820		821,898
Enel Finance International NV (Italy), Gtd. Notes, 144A		6.000%		10/07/39			1,450		1,724,394

SEE NOTES TO FINANCIAL STATEMENTS.

A43

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#			Value
Electric (continued)
Enersis Americas SA (Chile), Sr. Unsec’d. Notes		4.000%		10/25/26			235	$	237,585
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.200%		10/01/17			1,930		1,949,974
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39			1,900		2,073,183
FirstEnergy Corp., Sr. Unsec’d. Notes, Series A		2.750%		03/15/18			1,800		1,811,475
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44			400		456,900
Great Plains Energy, Inc., Sr. Unsec’d. Notes		3.900%		04/01/27			625		632,266
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33			1,150		1,392,728
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A		4.750%		07/13/21			250		269,554
Majapahit Holding BV (Indonesia), Gtd. Notes		7.750%		01/20/20			1,500		1,676,250
NRG Energy, Inc., Gtd. Notes		6.625%		03/15/23			3,263		3,352,733
Pacific Gas & Electric Co., Sr. Unsec’d. Notes		4.600%		06/15/43			1,950		2,172,347
South Carolina Electric & Gas Co., First Mortgage		4.600%		06/15/43			2,025		2,100,891
									38,821,132
Electronics — 0.1%
Honeywell International, Inc., Sr. Unsec’d. Notes		0.650%		02/21/20		EUR	900		1,040,093
Entertainment — 0.2%
Cinemark USA, Inc., Gtd. Notes		4.875%		06/01/23			1,508		1,540,512
CPUK Finance Ltd. (United Kingdom), Sec’d. Notes, 144A		4.875%		02/28/47		GBP	125		165,096
CPUK Finance Ltd. (United Kingdom), Sr. Sec’d. Notes, 144A		4.250%		02/28/47		GBP	250		327,515
									2,033,123
Food — 0.8%
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, Gtd. Notes, 144A		5.750%		03/15/25			225		209,250
Ingles Markets, Inc., Sr. Unsec’d. Notes		5.750%		06/15/23			1,925		1,893,719
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g)		5.750%		06/15/25			2,025		1,903,500
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g)		7.250%		06/01/21			1,080		1,079,460
Kraft Heinz Foods Co., Gtd. Notes		3.000%		06/01/26			1,360		1,301,589
Kraft Heinz Foods Co., Gtd. Notes		4.375%		06/01/46			400		391,734
Kraft Heinz Foods Co., Gtd. Notes		5.000%		07/15/35			725		783,999
Kroger Co. (The), Sr. Unsec’d. Notes		4.450%		02/01/47			275		265,074
Post Holdings, Inc., Gtd. Notes, 144A		6.000%		12/15/22			1,500		1,590,000
									9,418,325
Forest Products & Paper — 0.3%
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41			675		823,161
International Paper Co., Sr. Unsec’d. Notes		7.300%		11/15/39			1,000		1,352,335
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18			922		974,820
									3,150,316
Gas — 0.3%
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes,		4.250%		11/02/20			1,750		1,837,150
NiSource Finance Corp., Gtd. Notes		4.800%		02/15/44			300		324,981
Southern Co. Gas Capital Corp., Gtd. Notes		4.400%		06/01/43			1,050		1,067,470
									3,229,601
Healthcare-Products — 1.0%
Abbott Laboratories, Sr. Unsec’d. Notes		2.900%		11/30/21			2,780		2,811,053
Becton Dickinson and Co., Sr. Unsec’d. Notes		3.363%		06/06/24			3,415		3,422,807
Medtronic, Inc., Gtd. Notes(h)		3.500%		03/15/25			3,435		3,573,300
Medtronic, Inc., Gtd. Notes		4.375%		03/15/35			1,358		1,483,297
									11,290,457
Healthcare-Services — 2.0%
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37			1,900		2,628,080
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43			385		414,927

SEE NOTES TO FINANCIAL STATEMENTS.

A44

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value
Healthcare-Services (continued)
CHS/Community Health Systems, Inc., Gtd. Notes(a)		7.125%			07/15/20			750	$	730,312
CHS/Community Health Systems, Inc., Gtd. Notes(a)		8.000%			11/15/19			2,600		2,613,000
Cigna Corp., Sr. Unsec’d. Notes		4.375%			12/15/20			745		792,965
Cigna Corp., Sr. Unsec’d. Notes		5.875%			03/15/41			750		942,914
DaVita, Inc., Gtd. Notes		5.000%			05/01/25			500		501,250
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%			10/15/20			330		342,375
HCA, Inc., Gtd. Notes		5.375%			02/01/25			2,325		2,452,410
HCA, Inc., Gtd. Notes		5.875%			02/15/26			725		783,000
HealthSouth Corp., Gtd. Notes		5.125%			03/15/23			300		309,000
Humana, Inc., Sr. Unsec’d. Notes		3.950%			03/15/27			1,000		1,042,156
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%			02/01/22			240		244,935
Select Medical Corp., Gtd. Notes(a)		6.375%			06/01/21			2,100		2,157,750
Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes,		6.250%			07/01/22		EUR	1,100		1,359,892
Tenet Healthcare Corp., Sr. Unsec’d. Notes		6.750%			02/01/20			500		520,000
Tenet Healthcare Corp., Sr. Unsec’d. Notes		8.000%			08/01/20			1,570		1,589,625
THC Escrow Corp. III, Sec’d. Notes, 144A(a)		5.125%			05/01/25			550		552,063
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%			10/15/42			1,260		1,277,021
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%			06/15/37			760		1,025,957
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%			11/15/37			195		268,755
										22,548,387
Home Builders — 0.7%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125%			07/01/22			1,000		1,035,000
CalAtlantic Group, Inc., Gtd. Notes		6.250%			12/15/21			3,500		3,920,000
PulteGroup, Inc., Gtd. Notes		5.000%			01/15/27			975		1,000,594
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A		5.250%			04/15/21			2,175		2,229,375
										8,184,969
Home Furnishings — 0.1%
Tempur Sealy International, Inc., Gtd. Notes		5.500%			06/15/26			650		660,563
Household Products/Wares — 0.1%
Reckitt Benckiser Treasury Services PLC (United Kingdom), Gtd. Notes, 144A		3.000%			06/26/27			1,725		1,702,187
Housewares — 0.1%
Newell Brands, Inc., Sr. Unsec’d. Notes		4.200%			04/01/26			670		711,397
Insurance — 2.0%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%			11/15/20			430		465,867
American International Group, Inc., Sr. Unsec’d. Notes		3.900%			04/01/26			2,120		2,168,813
American International Group, Inc., Sr. Unsec’d. Notes		4.500%			07/16/44			1,075		1,093,145
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		2.750%			03/15/23			4,760		4,823,070
Chubb Corp. (The), Gtd. Notes		3.408%	(c)		03/29/67			1,775		1,761,687
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes		7.000%			07/15/34			1,350		1,721,856
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%			04/15/22			500		555,028
Liberty Mutual Finance Europe DAC, Gtd. Notes, 144A		1.750%			03/27/24		EUR	800		927,786
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%			03/15/35			1,030		1,287,828
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%			06/15/40			405		543,904
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%			07/01/19			388		436,225
Markel Corp., Sr. Unsec’d. Notes		5.000%			03/30/43			350		375,846
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%			03/30/40			500		650,399
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%			04/30/20			850		929,862
Principal Financial Group, Inc., Gtd. Notes		4.625%			09/15/42			150		163,432
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		4.270%			05/15/47			2,310		2,364,768
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%			12/16/39			196		268,384

SEE NOTES TO FINANCIAL STATEMENTS.

A45

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value
Insurance (continued)
Unum Group, Sr. Unsec’d. Notes		5.625%			09/15/20			500	$	547,039
XLIT Ltd. (Bermuda), Gtd. Notes, Series E		3.616%	(c)		12/31/49			1,880		1,753,100
										22,838,039
Internet — 0.2%
Netflix, Inc., Sr. Unsec’d. Notes, 144A		3.625%			05/15/27		EUR	1,750		2,031,246
Iron/Steel — 0.0%
Vale Overseas Ltd. (Brazil), Gtd. Notes		6.250%			08/10/26			270		291,263
Leisure Time — 0.1%
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A		8.500%			10/15/22			1,150		1,207,500
Lodging — 0.3%
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%			09/15/22			1,325		1,354,905
MGM Resorts International, Gtd. Notes		6.625%			12/15/21			1,325		1,487,313
Studio City Co. Ltd. (Hong Kong), Sr. Sec’d. Notes,		7.250%			11/30/21			300		325,875
										3,168,093
Machinery-Diversified — 0.4%
CNH Industrial Capital LLC, Gtd. Notes		4.875%			04/01/21			1,050		1,115,625
Rockwell Automation, Inc., Sr. Unsec’d. Notes		5.200%			01/15/98			1,100		1,158,568
Xylem, Inc., Sr. Unsec’d. Notes		4.875%			10/01/21			1,960		2,120,265
										4,394,458
Media — 2.9%
21st Century Fox America, Inc., Gtd. Notes		6.900%			08/15/39			65		85,805
21st Century Fox America, Inc., Gtd. Notes		7.625%			11/30/28			1,415		1,852,477
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%			09/15/17			842		852,525
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.500%			05/01/26			3,300		3,502,125
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		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		1,068,750
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		5.125%			12/15/21			1,425		1,451,263
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		6.375%			09/15/20			674		687,480
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A		7.750%			07/15/25			1,500		1,657,500
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.384%			10/23/35			710		841,601
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.484%			10/23/45			855		1,026,182
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.834%			10/23/55			225		274,238
Comcast Corp., Gtd. Notes		3.150%			03/01/26			1,190		1,196,155
DISH DBS Corp., Gtd. Notes		4.250%			04/01/18			1,850		1,873,717
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes		6.125%			01/31/46			495		550,049
Liberty Interactive LLC, Sr. Unsec’d. Notes		8.250%			02/01/30			2,250		2,418,750
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A		6.375%			07/28/17			1,035		1,035,513
NBCUniversal Media LLC, Gtd. Notes		4.450%			01/15/43			290		307,883
Sky PLC (United Kingdom), Gtd. Notes, 144A		6.100%			02/15/18			210		215,436
TCI Communications, Inc., Sr. Unsec’d. Notes		7.875%			02/15/26			750		1,012,358
TEGNA, Inc., Gtd. Notes, 144A		4.875%			09/15/21			475		488,063
Time Warner Cable, Inc., Sr. Sec’d. Notes		6.750%			07/01/18			2,620		2,741,065
Time Warner Cos., Inc., Gtd. Notes		7.250%			10/15/17			1,440		1,462,298
Time Warner, Inc., Gtd. Notes		3.800%			02/15/27			690		694,664
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes,		4.000%			01/15/25		EUR	1,100		1,323,960

SEE NOTES TO FINANCIAL STATEMENTS.

A46

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#			Value
Media (continued)
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(g)		5.125%			02/15/25			1,175	$	1,164,719
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		5.375%			01/15/25			1,140		1,192,725
Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes,		3.750%			01/15/25		EUR	1,000		1,192,704
										33,024,005
Mining — 0.2%
Barrick North America Finance LLC (Canada), Gtd. Notes		5.750%			05/01/43			410		496,924
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes		3.625%			06/09/21			825		855,194
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%			04/23/45			235		251,236
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		6.750%			04/16/40			990		1,140,267
										2,743,621
Miscellaneous Manufacturing — 0.6%
General Electric Co., Sr. Unsec’d. Notes		0.875%			05/17/25		EUR	1,475		1,661,694
General Electric Co., Sr. Unsec’d. Notes		4.125%			10/09/42			500		526,200
General Electric Co., Sub. Notes, MTN		5.300%			02/11/21			340		376,004
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes		5.750%			06/15/43			425		535,428
Pentair Finance SA (United Kingdom), Gtd. Notes		1.875%			09/15/17			625		625,245
Textron, Inc., Sr. Unsec’d. Notes		7.250%			10/01/19			2,350		2,598,816
										6,323,387
Multi-National — 0.4%
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%			05/10/19			1,180		1,183,302
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.125%			09/27/21			3,095		3,076,987
										4,260,289
Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp., Gtd. Notes		5.000%			09/01/23			1,150		1,197,438
Oil & Gas — 2.7%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(s)		10/10/36			2,000		824,570
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%			09/15/36			945		1,112,352
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%			03/15/46			165		203,780
Apache Corp., Sr. Unsec’d. Notes		5.100%			09/01/40			650		664,066
CNOOC Finance 2013 Ltd. (China), Gtd. Notes		3.000%			05/09/23			750		741,872
Devon Energy Corp., Sr. Unsec’d. Notes		5.600%			07/15/41			1,650		1,713,655
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes		4.950%			07/19/22			390		403,413
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%			03/07/22			1,665		1,836,748
Helmerich & Payne International Drilling Co., Gtd. Notes		4.650%			03/15/25			1,500		1,572,955
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		3.875%			04/19/22			560		554,176
KazMunaygas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		4.750%			04/19/27			200		196,020
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A, MTN		9.125%			07/02/18			1,610		1,703,187
Lukoil International Finance BV (Russia), Gtd. Notes, 144A		6.125%			11/09/20			600		653,100
Nabors Industries, Inc., Gtd. Notes		4.625%			09/15/21			1,650		1,567,170
Noble Energy, Inc., Sr. Unsec’d. Notes		6.000%			03/01/41			1,530		1,712,053
Petrobras Global Finance BV (Brazil), Gtd. Notes		6.125%			01/17/22			165		170,198
Petrobras Global Finance BV (Brazil), Gtd. Notes		7.375%			01/17/27			405		428,490
Petrobras Global Finance BV (Brazil), Gtd. Notes		8.375%			05/23/21			2,475		2,770,465
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%			01/24/22			1,100		1,133,231
Petroleos Mexicanos (Mexico), Gtd. Notes		6.375%			01/23/45			1,015		989,625
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A		5.375%			03/13/22			405		426,364
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A		6.500%			03/13/27			370		397,473
Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN		2.750%			04/21/27		EUR	700		719,556
Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN		3.750%			02/21/24		EUR	400		472,939

SEE NOTES TO FINANCIAL STATEMENTS.

A47

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#			Value
Oil & Gas (continued)
Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN		4.875%		02/21/28		EUR	400	$	475,718
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18			1,750		1,820,094
Sasol Financing International PLC (South Africa), Gtd. Notes		4.500%		11/14/22			1,525		1,560,533
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%		04/28/20			1,250		1,255,886
Sunoco LP/Sunoco Finance Corp., Gtd. Notes		6.250%		04/15/21			1,533		1,601,985
YPF SA (Argentina), Sr. Unsec’d. Notes, 144A		8.500%		03/23/21			1,000		1,112,290
									30,793,964
Oil & Gas Services — 0.1%
Cameron International Corp., Gtd. Notes		7.000%		07/15/38			450		592,396
Packaging & Containers — 0.6%
Ball Corp., Gtd. Notes		4.375%		12/15/23		EUR	1,125		1,453,567
Greif Nevada Holdings, Gtd. Notes, 144A, MTN		7.375%		07/15/21		EUR	1,470		2,032,386
Greif, Inc., Sr. Unsec’d. Notes		7.750%		08/01/19			1,815		1,987,425
WestRock RKT Co., Gtd. Notes		4.450%		03/01/19			1,165		1,208,286
									6,681,664
Pharmaceuticals — 0.6%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25			1,020		1,040,465
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35			1,715		1,808,699
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25			415		429,255
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35			1,850		1,974,557
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45			156		168,397
Endo DAC/Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A		6.000%		07/15/23			625		525,312
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a)		3.150%		10/01/26			505		479,587
Teva Pharmaceutical Finance Netherlands Ill BV (Israel), Gtd. Notes		4.100%		10/01/46			160		147,373
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(a)		6.125%		04/15/25			450		380,813
									6,954,458
Pipelines — 0.7%
Enterprise Products Operating LLC, Gtd. Notes		4.900%		05/15/46			2,110		2,268,946
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A(g)		6.375%		03/30/38			410		436,924
Magellan Midstream Partners LP, Sr. Unsec’d. Notes		4.200%		03/15/45			1,000		928,566
MPLX LP, Sr. Unsec’d. Notes		5.200%		03/01/47			115		118,436
ONEOK Partners LP, Gtd. Notes		2.000%		10/01/17			750		750,296
Oneok Partners LP, Gtd. Notes		6.850%		10/15/37			1,250		1,527,961
Western Gas Partners LP, Sr. Unsec’d. Notes		5.450%		04/01/44			575		583,693
Williams Partners LP, Sr. Unsec’d. Notes		4.900%		01/15/45			1,200		1,201,576
									7,816,398
Real Estate — 0.0%
ProLogis LP, Gtd. Notes		6.875%		03/15/20			8		8,875
Real Estate Investment Trusts (REITs) — 0.3%
DuPont Fabros Technology LP, Gtd. Notes		5.875%		09/15/21			2,000		2,082,500
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22			325		335,841
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A		5.250%		12/15/24			1,235		1,286,253
									3,704,594
Retail — 0.6%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%		07/20/45			765		876,992
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A		4.500%		08/01/23		EUR	775		943,810
Limited Brands, Inc., Gtd. Notes		6.625%		04/01/21			551		610,233
Limited Brands, Inc., Gtd. Notes		5.625%		02/15/22			1,600		1,712,000
PVH Corp., Sr. Unsec’d. Notes, 144A		3.625%		07/15/24		EUR	1,250		1,521,117
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A(g)		8.000%		06/15/22			775		636,469
									6,300,621

SEE NOTES TO FINANCIAL STATEMENTS.

A48

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#			Value
Savings & Loans — 0.1%
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22			1,675	$	1,710,222
Semiconductors — 0.6%
Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A		3.875%		01/15/27			1,850		1,899,765
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		4.625%		06/01/23			2,975		3,209,281
Sensata Technologies BV, Gtd. Notes, 144A		5.000%		10/01/25			1,750		1,830,150
									6,939,196
Software — 1.0%
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		3.000%		08/15/26			1,050		1,016,732
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		4.500%		10/15/22			2,355		2,558,879
First Data Corp., Gtd. Notes, 144A		7.000%		12/01/23			2,225		2,375,187
Infor US, Inc., Gtd. Notes(g)		6.500%		05/15/22			950		983,250
Infor US, Inc., Sr. Sec’d. Notes, 144A(g)		5.750%		08/15/20			1,350		1,393,875
Microsoft Corp., Sr. Unsec’d. Notes		4.000%		02/12/55			435		440,496
Microsoft Corp., Sr. Unsec’d. Notes		4.500%		02/06/57			1,430		1,574,427
Oracle Corp., Sr. Unsec’d. Notes		4.300%		07/08/34			1,070		1,160,962
									11,503,808
Telecommunications — 1.5%
AT&T Corp., Gtd. Notes		8.250%		11/15/31			55		76,395
AT&T, Inc., Sr. Unsec’d. Notes		3.400%		05/15/25			2,320		2,280,769
AT&T, Inc., Sr. Unsec’d. Notes		4.500%		05/15/35			300		295,138
AT&T, Inc., Sr. Unsec’d. Notes		4.500%		03/09/48			74		69,240
AT&T, Inc., Sr. Unsec’d. Notes		4.550%		03/09/49			499		471,543
AT&T, Inc., Sr. Unsec’d. Notes		4.750%		05/15/46			850		833,513
AT&T, Inc., Sr. Unsec’d. Notes		4.800%		06/15/44			1,515		1,501,432
AT&T, Inc., Sr. Unsec’d. Notes		5.250%		03/01/37			680		724,456
AT&T, Inc., Sr. Unsec’d. Notes		5.350%		09/01/40			49		51,885
AT&T, Inc., Sr. Unsec’d. Notes		5.450%		03/01/47			315		339,105
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.125%		03/11/23			1,305		1,373,500
Sprint Capital Corp., Gtd. Notes		6.900%		05/01/19			1,300		1,387,685
Sprint Corp., Gtd. Notes(a)		7.625%		02/15/25			500		575,625
T-Mobile USA, Inc., Gtd. Notes		6.500%		01/15/26			1,675		1,848,781
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN		6.375%		06/24/19		GBP	950		1,350,859
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%		03/15/55			2,741		2,566,091
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.750%		11/01/41			745		741,001
Verizon Communications, Inc., Sr. Unsec’d. Notes		5.250%		03/16/37			775		833,118
									17,320,136
Textiles — 0.0%
Mohawk Industries, Inc., Sr. Unsec’d. Notes		3.850%		02/01/23			294		303,548
Transportation — 0.1%
Silk Bidco AS (Norway), Sr. Sec’d. Notes,		7.500%		02/01/22		EUR	1,300		1,581,310
TOTAL CORPORATE BONDS (cost $453,286,701)									475,306,576
MUNICIPAL BONDS — 1.8%
California — 0.7%
Bay Area Toll Authority, Revenue Bonds, BABs		6.907%		10/01/50			1,125		1,700,853
State of California, General Obligation Unlimited, BABs		7.300%		10/01/39			2,280		3,334,067
State of California, General Obligation Unlimited, BABs		7.625%		03/01/40			725		1,104,581
University of California, Revenue Bonds, BABs		5.770%		05/15/43			1,400		1,793,372
									7,932,873
Colorado — 0.1%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%		11/01/50			770		1,036,451

SEE NOTES TO FINANCIAL STATEMENTS.

A49

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Illinois — 0.2%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%		01/01/40		1,380	$	1,864,449
New Jersey — 0.4%
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs		7.102%		01/01/41		1,175		1,712,798
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%		01/01/40		2,050		3,079,120
								4,791,918
Ohio — 0.1%
Ohio State University (The), Revenue Bonds, BABs		4.910%		06/01/40		695		836,245
Ohio State Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, BABs		4.879%		12/01/34		450		512,662
								1,348,907
Oregon — 0.1%
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs		5.834%		11/15/34		615		792,065
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%		12/01/45		800		997,384
Tennessee — 0.1%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		1,375		1,841,029
TOTAL MUNICIPAL BONDS (cost $14,872,569)								20,605,076
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 6.0%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		164		164,925
Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A		2.972%	(c)	10/27/27		531		531,373
Bayview Opportunity Master Fund IVb Trust, Series 2017-CRT1, Class M, 144A		3.372%	(c)	10/25/28		1,241		1,242,240
Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A		3.174%	(c)	09/25/47		1,034		936,828
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1		2.666%	(c)	01/25/29		1,392		1,409,341
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2		4.766%	(c)	07/25/29		700		739,234
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2		4.216%	(c)	10/25/29		990		1,016,677
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M3		5.766%	(c)	10/25/24		654		720,585
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3		4.516%	(c)	10/25/27		3,460		3,867,886
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2		3.466%	(c)	11/25/28		1,450		1,490,040
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2		2.566%	(c)	03/25/29		760		772,267
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2		2.516%	(c)	04/25/29		1,740		1,759,483
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M2		4.466%	(c)	07/25/29		1,130		1,178,767
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A		1.164%	(c)	01/26/37		2,796		2,740,328
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A		1.164%	(c)	01/26/37		1,400		1,266,569
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A		1.164%	(c)	03/26/37		2,473		2,399,502
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A		1.164%	(c)	03/26/37		700		597,597
Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1		1.429%	(c)	07/19/47		2,126		1,811,659
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A		3.050%	(c)	09/01/21		1,345		1,345,255

SEE NOTES TO FINANCIAL STATEMENTS.

A50

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, Class A, 144A		3.050%	(c)	05/01/22			11,956	$	11,841,209
LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A		3.050%	(c)	05/01/22			8,465		8,376,567
LSTAR Securities Investment Trust (Cayman Islands), Series 2016-5, Class A1, 144A		3.050%	(c)	11/01/21			1,468		1,467,238
LSTAR Securities Investment Trust (Cayman Islands), Series 2017-1, Class A, 144A^		3.050%	(c)	01/01/22			2,713		2,706,955
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19			21		21,219
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A^		2.317%	(c)	05/10/19			6,310		6,310,000
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A		2.287%	(c)	06/10/19			1,100		1,098,161
Mortgage Repurchase Agreement Financing Trust, Series 2017-1, Class A2, 144A		1.967%	(c)	07/10/19			2,210		2,210,929
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.396%	(c)	02/25/34			812		816,493
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1		3.369%	(c)	12/25/34			4,097		3,976,368
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3		4.216%	(c)	07/25/32			462		453,380
Towd Point Mortgage Funding PLC (United Kingdom), Series 2016-V1A, Class A1, 144A		1.504%	(c)	02/20/54		GBP	2,038		2,671,074
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20			114		114,168
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $67,005,451)									68,054,317
SOVEREIGN BONDS — 4.7%
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes		6.875%		04/22/21			1,175		1,257,250
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24			250		259,500
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes		7.500%		05/06/21			2,250		2,486,250
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		6.850%		01/27/45			600		639,000
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		7.450%		04/30/44			290		330,600
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A		7.500%		05/06/21			600		663,000
Hellenic Republic Government Bond (Greece), Bonds		3.000%	(c)	02/24/31		EUR	620		560,503
Hellenic Republic Government Bond (Greece), Bonds		3.000%	(c)	02/24/34		EUR	640		554,213
Hellenic Republic Government International Bond (Greece), Bonds		3.000%	(c)	02/24/32		EUR	1,280		1,143,073
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, EMTN(g)		3.800%		08/08/17		JPY	680,000		5,976,503
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.125%		02/19/18			2,020		2,048,401
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		02/21/23			436		485,050
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		03/25/24			290		326,458
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.750%		11/22/23			2,300		2,629,921
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.000%		01/11/19		EUR	715		890,287
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21			2,776		3,121,612

SEE NOTES TO FINANCIAL STATEMENTS.

A51

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

SOVEREIGN BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value
Indonesia Government International Bond (Indonesia), Sr. Unsec.d Notes		3.375%		07/30/25		EUR	1,625	$	2,024,281
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, EMTN		2.875%		07/08/21		EUR	825		1,010,214
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN		3.750%		06/14/28		EUR	500		625,505
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		1.750%		05/29/19			600		597,365
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		1.750%		07/31/18			2,000		1,999,598
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		2.125%		06/01/20			400		399,954
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		2.250%		02/24/20			800		803,459
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes		2.500%		06/01/22			800		803,599
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, MTN		2.500%		09/12/18			3,000		3,014,970
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.625%		04/20/22			1,000		1,001,349
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		4.600%		01/23/46			700		683,270
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44			462		462,462
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25			450		463,500
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A		3.974%	(s)	05/31/18			198		193,101
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		9.500%		02/02/30			450		721,182
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, MTN		5.125%		10/15/24			2,100		2,142,000
Province of Ontario Canada (Canada), Sr. Unsec’d. Notes		2.400%		02/08/22			345		347,662
Province of Ontario Canada (Canada), Sr. Unsec’d. Notes		4.400%		04/14/20			350		373,277
Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A		9.950%		06/09/21			1,940		2,211,503
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A, MTN		3.875%		10/29/35		EUR	945		1,128,422
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN		3.875%		10/29/35		EUR	1,000		1,194,097
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN		3.250%		10/26/26			1,450		1,437,733
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes		5.250%		02/18/24			600		686,339
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes		5.500%		10/26/22			1,300		1,483,167
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes		5.850%		05/10/23			200		232,987
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes		2.125%		05/19/20			1,000		996,044
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A		2.500%		06/08/22			600		601,181
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		5.625%		03/30/21			500		530,000
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20			1,510		1,651,079
TOTAL SOVEREIGN BONDS (cost $53,090,591)									53,190,921

SEE NOTES TO FINANCIAL STATEMENTS.

A52

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.3%	Interest Rate		Maturity Date	Principal Amount (000)#		Value
Federal Home Loan Mortgage Corp.		5.500%	10/01/33		834	$	950,969
Federal Home Loan Mortgage Corp.		5.500%	06/01/34		12		13,576
Federal Home Loan Mortgage Corp.		6.000%	11/01/33		238		269,269
Federal Home Loan Mortgage Corp.		6.000%	05/01/34		142		159,358
Federal Home Loan Mortgage Corp.		6.000%	06/01/34		161		181,414
Federal Home Loan Mortgage Corp.(hh)		6.250%	07/15/32		830		1,179,880
Federal Home Loan Mortgage Corp.		6.500%	07/01/32		30		32,617
Federal Home Loan Mortgage Corp.		6.500%	07/01/32		33		36,897
Federal Home Loan Mortgage Corp.		6.500%	08/01/32		68		75,140
Federal Home Loan Mortgage Corp.		6.500%	08/01/32		58		63,845
Federal Home Loan Mortgage Corp.		6.500%	08/01/32		63		73,297
Federal Home Loan Mortgage Corp.		6.500%	09/01/32		172		193,350
Federal Home Loan Mortgage Corp.		6.500%	09/01/32		53		58,876
Federal Home Loan Mortgage Corp.(hh)		6.750%	03/15/31		600		868,085
Federal National Mortgage Assoc.		5.500%	02/01/33		29		32,559
Federal National Mortgage Assoc.		5.500%	02/01/33		24		26,709
Federal National Mortgage Assoc.		5.500%	03/01/33		78		87,380
Federal National Mortgage Assoc.		5.500%	03/01/33		74		82,729
Federal National Mortgage Assoc.		5.500%	03/01/33		35		38,688
Federal National Mortgage Assoc.		5.500%	04/01/33		48		53,373
Federal National Mortgage Assoc.		5.500%	04/01/33		53		59,816
Federal National Mortgage Assoc.		5.500%	04/01/33		11		12,026
Federal National Mortgage Assoc.		5.500%	04/01/33		40		44,758
Federal National Mortgage Assoc.		5.500%	07/01/33		56		62,466
Federal National Mortgage Assoc.		5.500%	07/01/33		52		57,821
Federal National Mortgage Assoc.		5.500%	08/01/33		18		19,643
Federal National Mortgage Assoc.		5.500%	02/01/34		47		52,480
Federal National Mortgage Assoc.		5.500%	04/01/34		48		52,852
Federal National Mortgage Assoc.		5.500%	06/01/34		42		47,156
Federal National Mortgage Assoc.		6.000%	10/01/33		329		375,733
Federal National Mortgage Assoc.		6.000%	10/01/33		4		4,361
Federal National Mortgage Assoc.		6.000%	03/01/34		128		143,894
Federal National Mortgage Assoc.		6.000%	02/01/35		285		329,338
Federal National Mortgage Assoc.		6.000%	11/01/36		83		93,686
Federal National Mortgage Assoc.(hh)		6.250%	05/15/29		1,090		1,479,087
Federal National Mortgage Assoc.		6.500%	08/01/32		181		205,858
Federal National Mortgage Assoc.		6.500%	09/01/32		128		141,251
Federal National Mortgage Assoc.		6.500%	09/01/32		256		288,695
Federal National Mortgage Assoc.		6.500%	10/01/32		122		136,820
Federal National Mortgage Assoc.		6.500%	04/01/33		231		260,352
Federal National Mortgage Assoc.		6.500%	11/01/33		8		8,841
Federal National Mortgage Assoc.(hh)		6.625%	11/15/30		530		757,721
Federal National Mortgage Assoc.		7.000%	05/01/32		93		100,878
Federal National Mortgage Assoc.		7.000%	06/01/32		9		10,367
Federal National Mortgage Assoc.(hh)		7.125%	01/15/30		785		1,145,874
Government National Mortgage Assoc.		5.500%	01/15/33		99		111,261
Government National Mortgage Assoc.		5.500%	02/15/33		73		82,317
Government National Mortgage Assoc.		5.500%	05/15/33		203		225,280
Government National Mortgage Assoc.		5.500%	05/15/33		147		163,134
Government National Mortgage Assoc.		5.500%	06/15/33		228		258,520
Government National Mortgage Assoc.		5.500%	09/15/33		125		140,503
Government National Mortgage Assoc.		5.500%	07/15/35		102		115,365
Government National Mortgage Assoc.		6.000%	12/15/32		181		213,667
Government National Mortgage Assoc.		6.000%	11/15/33		90		103,960
Government National Mortgage Assoc.		6.000%	01/15/34		15		17,598
Government National Mortgage Assoc.		6.000%	06/20/34		482		547,666
Government National Mortgage Assoc.		6.000%	11/15/34		724		827,023
Government National Mortgage Assoc.		6.500%	09/15/32		242		269,445
Government National Mortgage Assoc.		6.500%	09/15/32		262		291,104

SEE NOTES TO FINANCIAL STATEMENTS.

A53

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value
Government National Mortgage Assoc.		6.500%		09/15/32			93	$	102,048
Government National Mortgage Assoc.		6.500%		11/15/33			217		243,283
Tennessee Valley Authority, Sr. Unsec’d. Notes		2.875%		02/01/27			365		373,557
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30			510		738,835
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $14,638,903)									15,194,351
U.S. TREASURY OBLIGATIONS — 4.9%
U.S. Treasury Bonds(hh)(k)		2.500%		05/15/46			2,105		1,958,391
U.S. Treasury Bonds(k)		2.875%		05/15/43			3,955		3,993,316
U.S. Treasury Bonds		3.000%		02/15/47			3,925		4,048,881
U.S. Treasury Bonds(hh)(k)		4.250%		11/15/40			2,350		2,953,106
U.S. Treasury Notes		1.250%		07/31/23			2,500		2,386,915
U.S. Treasury Notes(hh)		1.375%		04/30/21			285		281,360
U.S. Treasury Notes(hh)(k)		1.375%		05/31/21			9,960		9,821,885
U.S. Treasury Notes		1.625%		05/31/23			6,500		6,356,799
U.S. Treasury Notes(a)		1.750%		05/31/22			1,890		1,878,926
U.S. Treasury Notes		1.750%		06/30/22			4,605		4,575,141
U.S. Treasury Notes		2.000%		05/31/24			2,930		2,906,422
U.S. Treasury Notes		2.000%		06/30/24			615		609,571
U.S. Treasury Notes		2.000%		02/15/25			3,000		2,958,867
U.S. Treasury Notes		2.250%		04/30/21			2,490		2,538,341
U.S. Treasury Notes(hh)		2.250%		07/31/21			805		820,314
U.S. Treasury Notes		2.375%		05/15/27			3,800		3,824,046
U.S. Treasury Strips Coupon, IO(k)		2.783%	(s)	08/15/29			1,200		881,630
U.S. Treasury Strips Coupon, IO(k)		2.878%	(s)	05/15/31			1,200		833,159
U.S. Treasury Strips Coupon, IO(hh)(k)		3.042%	(s)	11/15/35			2,400		1,448,534
U.S. Treasury Strips Coupon, IO(hh)		3.202%	(s)	08/15/40			2,400		1,228,337
TOTAL U.S. TREASURY OBLIGATIONS (cost $56,367,661)									56,303,941
PREFERRED STOCKS — 0.2%
Banking
Citigroup Capital XIII, 7.542%, (Capital Security, fixed to floating preferred)(c)							45,000		1,169,100
State Street Corp., 5.35%(c)							35,000		960,050
TOTAL PREFERRED STOCKS (cost $2,000,000)									2,129,150
TOTAL LONG-TERM INVESTMENTS (cost $958,333,452)									993,120,652
SHORT-TERM INVESTMENTS — 14.0%						Shares
AFFILIATED MUTUAL FUNDS — 13.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)							9,007,960		83,683,947
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)							60,139,274		60,139,274
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $12,437,257; includes $12,427,946 of cash collateral for securities on loan)(b)(w)							12,436,473		12,437,717
TOTAL AFFILIATED MUTUAL FUNDS (cost $159,932,660)									156,260,938
				Counterparty	Notional Amount (000)#
OPTIONS PURCHASED* — 0.2%
Call Options — 0.1%
Interest Rate Swaptions,
Receive fixed rate of 1.38% and pay a floating rate based on 3 Month LIBOR, expiring 10/30/17				JPMorgan Chase			133,510		61,749
Receive fixed rate of 1.45% and pay a floating rate based on 3 Month LIBOR, expiring 08/30/17				Barclays Capital Group			16,725		1,771

SEE NOTES TO FINANCIAL STATEMENTS.

A54

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

OPTIONS PURCHASED* (continued)	Counterparty	Notional Amount (000)#			Value
Call Options (continued)
Receive fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 09/29/17	JPMorgan Chase			121,290	$	11,098
Receive fixed rate of 1.95% and pay a floating rate based on 3 Month LIBOR, expiring 10/30/17	JPMorgan Chase			133,510		690,295
Receive fixed rate of 2.05% and pay a floating rate based on 3 Month LIBOR, expiring 08/30/17	Barclays Capital Group			16,725		68,052
Receive fixed rate of 2.15% and pay a floating rate based on 3 Month LIBOR, expiring 09/29/17	JPMorgan Chase			121,290		185,959
						1,018,924
Put Options — 0.1%
Interest Rate Swaptions,
Pay a fixed rate of 2.00% and receive a floating rate based on 6 Month EURIBOR, expiring 09/05/17	Goldman Sachs & Co.		EUR	2,120		13,328
Pay a fixed rate of 2.07% and receive a floating rate based on 6 Month EURIBOR, expiring 10/02/17	Goldman Sachs & Co.		EUR	2,120		12,813
Pay a fixed rate of 2.34% and receive a floating rate based on 6 Month EURIBOR, expiring 09/05/17	Goldman Sachs & Co.		EUR	3,210		4,327
Pay a fixed rate of 2.39% and receive a floating rate based on 6 Month EURIBOR, expiring 10/02/17	Goldman Sachs & Co.		EUR	3,210		6,050
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/05/18	Barclays Capital Group			8,250		261,820
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18	Citigroup Global Markets			710		23,646
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18	Barclays Capital Group			7,540		251,118
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 05/03/18	Barclays Capital Group			8,250		285,979
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/05/18	Barclays Capital Group			8,250		24,094
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18	Citigroup Global Markets			710		2,355
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18	Barclays Capital Group			7,540		25,014
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 05/03/18	Barclays Capital Group			8,250		30,339
						940,883
TOTAL OPTIONS PURCHASED (cost $2,678,554)						1,959,807
TOTAL SHORT-TERM INVESTMENTS (cost $162,611,214)						158,220,745
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 101.4% (cost $1,120,944,666)						1,151,341,397
OPTIONS WRITTEN* — (0.1)%
Call Options — (0.1)%
Interest Rate Swaptions,
Pay a fixed rate of 1.63% and receive a floating rate based on 3 Month LIBOR, expiring 10/30/17	JPMorgan Chase			133,510		(183,482	)
Pay a fixed rate of 1.70% and receive a floating rate based on 3 Month LIBOR, expiring 10/30/17	JPMorgan Chase			133,510		(253,028	)
Pay a fixed rate of 1.80% and receive a floating rate based on 3 Month LIBOR, expiring 09/29/17	JPMorgan Chase			121,290		(43,133	)
Pay a fixed rate of 1.75% and receive a floating rate based on 3 Month LIBOR, expiring 08/30/17	Barclays Capital Group			33,450		(22,378	)
Pay a fixed rate of 1.85% and receive a floating rate based on 3 Month LIBOR, expiring 09/29/17	JPMorgan Chase			121,290		(53,798	)
						(555,819	)

SEE NOTES TO FINANCIAL STATEMENTS.

A55

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

OPTIONS WRITTEN* (continued)	Counterparty	Notional Amount (000)#			Value
Put Options — (0.0)%
Interest Rate Swaptions,
Receive fixed rate of 2.14% and pay a floating rate based on 6 Month EURIBOR, expiring 09/05/17	Goldman Sachs & Co.		EUR	3,210	$	(14,960	)
Receive fixed rate of 2.19% and pay a floating rate based on 6 Month EURIBOR, expiring 10/02/17	Goldman Sachs & Co.		EUR	3,210		(16,412	)
Receive fixed rate of 2.20% and pay a floating rate based on 6 Month EURIBOR, expiring 09/05/17	Goldman Sachs & Co.		EUR	2,120		(2,967	)
Receive fixed rate of 2.27% and pay a floating rate based on 6 Month EURIBOR, expiring 10/02/17	Goldman Sachs & Co.		EUR	2,120		(3,635	)
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/05/18	Barclays Capital Group			8,250		(118,881	)
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18	Citigroup Global Markets			710		(11,045	)
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18	Barclays Capital Group			7,540		(117,293	)
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 05/03/18	Barclays Capital Group			8,250		(136,634	)
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/05/18	Barclays Capital Group			8,250		(50,261	)
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18	Citigroup Global Markets			710		(4,807	)
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18	Barclays Capital Group			7,540		(51,054	)
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 05/03/18	Barclays Capital Group			8,250		(60,864	)
						(588,813	)
TOTAL OPTIONS WRITTEN (premiums received $1,818,019)						(1,144,632	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 101.3% (cost $1,119,126,647)						1,150,196,765
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (1.3)%						(15,234,648	)
NET ASSETS — 100.0%					$	1,134,962,117

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

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

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,545,410 and 1.3% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $12,183,783; cash collateral of $12,427,946 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

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

(f) Indicates a restricted security; the aggregate original cost of such securities is $1,317,944. The aggregate value, $1,387,469, is 0.1% of net assets.

(g) Indicates a security that has been deemed illiquid; the aggregate value of $20,593,890 is 1.8% of net assets.

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

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

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

(p) Interest rate not available as of June 30, 2017.

(r) Less than $500 par.

SEE NOTES TO FINANCIAL STATEMENTS.

A56

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

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

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

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

Futures contracts outstanding at June 30, 2017:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2017		Unrealized Appreciation (Depreciation)
Long Positions:
2,765		5 Year U.S. Treasury Notes		Sep. 2017	$	326,677,915	$	325,816,367	$	(861,548	)
1,691		10 Year U.S. Treasury Notes		Sep. 2017		213,342,306		212,273,344		(1,068,962	)
80		10 Year U.S. Ultra Treasury Bonds		Sep. 2017		10,841,326		10,785,000		(56,326	)
616		30 Year U.S. Ultra Treasury Bonds		Sep. 2017		100,204,872		102,179,000		1,974,128
										(12,708	)
Short Positions:
467		2 Year U.S. Treasury Notes		Sep. 2017		101,062,868		100,923,078		139,790
23		5 Year Euro-Bobl		Sep. 2017		3,493,765		3,459,693		34,072
4		10 Year Euro-Bund		Sep. 2017		753,105		739,521		13,584
257		20 Year U.S. Treasury Bonds		Sep. 2017		39,603,947		39,497,688		106,259
										293,705
									$	280,997

Securities with a combined market value of $6,540,767 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2017.

Forward foreign currency exchange contracts outstanding at June 30, 2017:

Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Mexican Peso,
Expiring 08/08/17		Citigroup Global Markets	MXN	2,657	$	142,983	$	145,462	$	2,479
Expiring 08/08/17		Goldman Sachs & Co.	MXN	2,698		146,190		147,666		1,476
Expiring 08/08/17		UBS AG	MXN	2,698		146,156		147,666		1,510
					$	435,329	$	440,794	$	5,465
Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Australian Dollar,
Expiring 07/12/17		UBS AG	AUD	559	$	418,379	$	429,849	$	(11,470	)
British Pound,
Expiring 07/27/17		Bank of America	GBP	5,683		7,304,232		7,409,371		(105,139	)
Euro,
Expiring 07/27/17		Citigroup Global Markets	EUR	31,458		34,551,973		35,984,662		(1,432,689	)
Expiring 07/27/17		Hong Kong & Shanghai Bank	EUR	977		1,070,233		1,117,583		(47,350	)
Expiring 07/27/17		JPMorgan Chase	EUR	628		684,659		717,812		(33,153	)
Expiring 07/27/17		JPMorgan Chase	EUR	1,406		1,548,025		1,608,342		(60,317	)
Hungarian Forint,
Expiring 07/21/17		Citigroup Global Markets	HUF	219,665		754,837		813,096		(58,259	)
Israeli Shekel,
Expiring 07/21/17		Citigroup Global Markets	ILS	400		109,504		114,896		(5,392	)
Japanese Yen,
Expiring 07/27/17		Citigroup Global Markets	JPY	45,193		408,981		402,300		6,681
Expiring 07/27/17		JPMorgan Chase	JPY	533,825		4,698,506		4,752,054		(53,548	)

SEE NOTES TO FINANCIAL STATEMENTS.

A57

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Forward foreign currency exchange contracts outstanding at June 30, 2017 (continued):

Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts (continued):
Polish Zloty,
Expiring 07/21/17		UBS AG	PLN	2,314	$	585,323	$	624,364	$	(39,041	)
South African Rand,
Expiring 07/07/17		Citigroup Global Markets	ZAR	8,074		578,827		616,336		(37,509	)
					$	52,713,479	$	54,590,665		(1,877,186	)
									$	(1,871,721	)

Cross currency exchange contracts outstanding at June 30, 2017:

Settlement	Type	Notional Amount (000)	In Exchange For (000)	Unrealized Appreciation (Depreciation)			Counterparty
07/27/17	Buy	GBP   364	EUR   415	$	(626	)	JPMorgan Chase

Credit default swap agreements outstanding at June 30, 2017:

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)^:
Ameriquest Home Equity		07/28/17		1.500%		238	$	307	$	—	$	307	Goldman Sachs & Co.
Ameriquest Home Equity		07/28/17		1.500%		156		202		—		202	Goldman Sachs & Co.
Ameriquest Home Equity		07/28/17		1.500%		151		195		—		195	Goldman Sachs & Co.
Ameriquest Home Equity		07/28/17		1.500%		220		284		—		284	Goldman Sachs & Co.
Banc of America Commercial Mortgage Trust		07/31/17		1.500%		27		36		—		36	Goldman Sachs & Co.
Banc of America Commercial Mortgage Trust		07/31/17		1.500%		36		48		—		48	Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		07/28/17		1.500%		116		150		—		150	Goldman Sachs & Co.
Bear Stearns Asset Backed Securities Trust		07/28/17		1.500%		387		500		—		500	Goldman Sachs & Co.
Chase Mortgage		07/28/17		1.500%		159		206		—		206	Goldman Sachs & Co.
Chase Mortgage		07/28/17		1.500%		474		612		—		612	Goldman Sachs & Co.
Chase Mortgage		07/28/17		1.500%		435		562		—		562	Goldman Sachs & Co.
Citigroup Commercial Mortgage Trust		07/31/17		1.500%		83		110		—		110	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		73		97		—		97	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		269		358		—		358	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		29		39		—		39	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		62		82		—		82	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		37		49		—		49	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		42		56		—		56	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		249		332		—		332	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		99		132		—		132	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		47		63		—		63	Goldman Sachs & Co.
COMM Mortgage Trust		07/31/17		1.500%		278		370		—		370	Goldman Sachs & Co.
Commercial Mortgage Pass Through Certificate		07/31/17		1.500%		62		83		—		83	Goldman Sachs & Co.
Countrywide Home Equity		07/28/17		1.500%		152		197		—		197	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/03/17		1.500%		222		305		—		305	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/03/17		1.500%		218		299		—		299	Goldman Sachs & Co.
Federal Home Loan Mortgage Corp.		07/03/17		1.500%		90		124		—		124	Goldman Sachs & Co.
GS Mortgage Securities Trust		07/31/17		1.500%		38		51		—		51	Goldman Sachs & Co.

SEE NOTES TO FINANCIAL STATEMENTS.

A58

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Credit default swap agreements outstanding at June 30, 2017 (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)^ (continued):
GS Mortgage Securities Trust		07/31/17		1.500%		48	$	64	$	—		$	64		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/31/17		1.500%		211		281		—			281		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/31/17		1.500%		52		69		—			69		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/31/17		1.500%		107		142		—			142		Goldman Sachs & Co.
GS Mortgage Securities Trust		07/31/17		1.500%		255		339		—			339		Goldman Sachs & Co.
GSAMP Home Equity		07/28/17		1.500%		142		184		—			184		Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		07/31/17		1.500%		38		51		—			51	��	Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		07/31/17		1.500%		17		23		—			23		Goldman Sachs & Co.
JPMBB Commercial Mortgage Securities Trust		07/31/17		1.500%		141		188		—			188		Goldman Sachs & Co.
Lehman Home Equity		07/28/17		1.500%		375		484		—			484		Goldman Sachs & Co.
LNR CDO Ltd.		07/11/17		1.500%		1,102		1,422		(46	)		1,468		Goldman Sachs & Co.
Long Beach Home Equity		07/28/17		1.500%		290		374		—			374		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/31/17		1.500%		64		85		—			85		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/31/17		1.500%		56		75		—			75		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/31/17		1.500%		46		61		—			61		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/31/17		1.500%		314		418		—			418		Goldman Sachs & Co.
Morgan Stanley BAML Trust		07/31/17		1.500%		25		33		—			33		Goldman Sachs & Co.
UBS Barclays Commercial Mortgage Trust		07/31/17		1.500%		32		43		—			43		Goldman Sachs & Co.
WF-RBS Commercial Mortgage Trust		07/31/17		1.500%		30		40		—			40		Goldman Sachs & Co.
WF-RBS Commercial Mortgage Trust		07/31/17		1.500%		47		63		—			63		Goldman Sachs & Co.
							$	10,288	$	(46	)	$	10,334

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2017(5)			Value at Trade Date		Value at June 30, 2017		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		0.124	%	$	341,964	$	262,662	$	(79,302	)
General Motors Co.		06/20/19		5.000%		1,925		0.275	%		216,698		180,848		(35,850	)
										$	558,662	$	443,510	$	(115,152	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at June 30, 2017(4)			Unrealized Appreciation (Depreciation)
Centrally cleared credit default swaps on credit indices—Buy Protection(1):
CDX.NA.HY.28.V1		06/20/22		5.000%		13,900	$	(872,920	)	$	(979,558	)	$	(106,638	)

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at June 30, 2017(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		0.815	%	$	4,728		$	(172,518	)	$	177,246		Morgan Stanley
Republic of Italy		09/20/20		1.000%		9,680		1.154	%		(43,370	)		44,911			(88,281	)	JPMorgan Chase
Republic of Italy		09/20/20		1.000%		2,000		1.154	%		(8,961	)		5,761			(14,722	)	JPMorgan Chase
										$	(47,603	)	$	(121,846	)	$	74,243

SEE NOTES TO FINANCIAL STATEMENTS.

A59

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

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

(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the 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 and asset-backed securities 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 credit default swap agreements on corporate issues or sovereign issues of an emerging country as of reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular reference 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 reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency swap agreements outstanding at June 30, 2017:

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:
	1,157	3 Month LIBOR		EUR	900	3 Month EURIBOR minus 31.75 bps		Hong Kong & Shanghai Bank		09/28/17		$129,818			$  —		$129,818
	1,003	3 Month LIBOR		EUR	900	(0.613)%		JPMorgan Chase		02/22/20		(16,843	)		—		(16,843	)
											$	112,975		$	—	$	112,975

Forward rate agreements outstanding at June 30, 2017:

Notional     Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2017			Unrealized Appreciation (Depreciation)
	Centrally cleared forward rate agreement:
	1,176,000		12/20/17		1.568%	3 Month LIBOR(1)	$	—	$	(279,149	)	$	(279,149	)

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

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

Interest rate swap agreements outstanding at June 30, 2017:

Notional Amount (000)#		Termination Date		Fixed Rate	Floating Rate	Value at Trade Date		Value at June 30, 2017		Unrealized Appreciation (Depreciation)
Centrally cleared swap agreements:
BRL	25,346		01/04/21	0.000%	1 Day BROIS(2)	$	—	$	94,634	$	94,634
BRL	12,351		01/04/21	0.000%	1 Day BROIS(2)		—		39,850		39,850
BRL	12,798		01/04/21	0.000%	1 Day BROIS(2)		—		8,156		8,156

SEE NOTES TO FINANCIAL STATEMENTS.

A60

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Interest rate swap agreements outstanding at June 30, 2017 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate			Floating Rate	Value at Trade Date			Value at June 30, 2017			Unrealized Appreciation (Depreciation)
Centrally cleared swap agreements (continued):
BRL	8,070		01/04/21		0.000	%	1 Day BROIS(2)	$	—		$	9,264		$	9,264
EUR	8,000		08/01/19		0.346	%	1 Day EUROIS(1)		(131,181	)		(173,834	)		(42,653	)
EUR	1,255		10/06/21		(0.385	%)	1 Day EONIA(1)		174			23,786			23,612
EUR	1,150		06/20/24		(0.050	%)	1 Day EUROIS(1)		100			35,346			35,246
EUR	1,380		09/13/24		(0.104	%)	1 Day EUROIS(1)		179			50,375			50,196
EUR	2,000		07/28/25		0.780	%	1 Day EUROIS(1)		180			(80,735	)		(80,915	)
EUR	3,900		02/23/26		0.324	%	1 Day EUROIS(1)		(2,798	)		75,714			78,512
EUR	1,640		05/11/30		0.850	%	6 Month EURIBOR(1)		60,675			67,014			6,339
EUR	705		03/04/36		0.865	%	1 Day EUROIS(1)		(798	)		54,071			54,869
EUR	550		04/11/36		0.962	%	6 Month EURIBOR(1)		180			48,164			47,984
GBP	1,950		02/23/21		0.639	%	1 Day GBP OIS(1)		221			(4,260	)		(4,481	)
MXN	69,000		10/15/26		6.445	%	28 Day Mexican Interbank Rate(2)		37			(189,494	)		(189,531	)
MXN	85,925		12/09/26		7.780	%	28 Day Mexican Interbank Rate(2)		(53,845	)		215,751			269,596
NZD	21,750		12/15/17		2.125	%	3 Month New Zealand Bank Bill(2)		122			10,840			10,718
	57,350		08/19/17		0.524	%	1 Day USOIS(1)		202			119,839			119,637
	231,530		09/09/17		0.539	%	1 Day USOIS(1)		31,678			552,068			520,390
	56,750		10/21/17		0.590	%	1 Day USOIS(1)		201			158,501			158,300
	55,860		11/01/17		0.639	%	1 Day USOIS(1)		275			139,914			139,639
	110,140		11/14/17		0.675	%	1 Day USOIS(1)		(9,329	)		266,866			276,195
	54,980		11/22/17		0.716	%	1 Day USOIS(1)		274			120,339			120,065
	43,740		01/07/18		1.093	%	1 Day USOIS(1)		—			11,445			11,445
	412,875		01/31/18		1.278	%	1 Day USOIS(1)		—			3,732			3,732
	52,160		02/21/18		0.941	%	1 Day USOIS(1)		267			86,207			85,940
	45,150		09/30/18		0.655	%	1 Day USOIS(1)		252			410,302			410,050
	22,510		09/30/18		0.747	%	1 Day USOIS(1)		201			168,428			168,227
	14,465		10/07/18		1.253	%	1 Day USOIS(1)		—			1,813			1,813
	55,120		11/17/18		1.080	%	1 Day USOIS(1)		274			171,209			170,935
	82,865		11/18/18		0.911	%	1 Day USOIS(1)		(4,269	)		406,985			411,254
	14,825		03/31/19		1.431	%	1 Day USOIS(1)		—			(12,385	)		(12,385	)
	14,618		03/31/19		1.432	%	1 Day USOIS(1)		—			(12,401	)		(12,401	)
	1,575		03/11/20		1.824	%	3 Month LIBOR(1)		27			(12,644	)		(12,671	)
	13,970		04/04/20		—	(3)	—(3)		—			(3,133	)		(3,133	)
	1,960		08/31/21		2.015	%	3 Month LIBOR(1)		(5,594	)		(12,005	)		(6,411	)
	7,255		04/04/22		—	(4)	—(4)		—			(3,174	)		(3,174	)
	13,290		08/31/22		1.788	%	3 Month LIBOR(1)		159			46,647			46,488
	5,800		12/31/22		1.405	%	3 Month LIBOR(1)		182			178,132			177,950
	4,400		12/31/22		1.406	%	3 Month LIBOR(1)		174			134,795			134,621
	2,400		12/31/22		1.412	%	3 Month LIBOR(1)		163			72,872			72,709
	12,100		12/31/22		1.416	%	3 Month LIBOR(1)		216			364,601			364,385
	4,850		12/31/22		1.495	%	3 Month LIBOR(1)		176			125,991			125,815
	10,495		05/31/23		1.394	%	3 Month LIBOR(1)		207			368,512			368,305
	10,495		05/31/23		1.395	%	3 Month LIBOR(1)		207			367,860			367,653
	10,290		05/31/23		1.513	%	3 Month LIBOR(1)		206			291,464			291,258
	8,910		05/31/23		1.578	%	3 Month LIBOR(1)		(16,959	)		219,142			236,101
	3,950		05/31/23		1.584	%	3 Month LIBOR(1)		172			95,905			95,733
	30,918		11/15/23		2.209	%	3 Month LIBOR(1)		297			(321,526	)		(321,823	)
	6,920		02/15/24		2.115	%	3 Month LIBOR(1)		16,360			(15,763	)		(32,123	)
	16,137		02/15/24		2.151	%	3 Month LIBOR(1)		(17,628	)		(72,940	)		(55,312	)
	19,590		02/15/24		2.183	%	3 Month LIBOR(1)		(27,671	)		(128,395	)		(100,724	)
	4,510		09/01/24		2.117	%	3 Month LIBOR(1)		—			—			—
	10,564		02/15/27		1.824	%	1 Day USOIS(1)		98,754			148,408			49,654
	5,020		05/08/27		2.309	%	3 Month LIBOR(1)		—			(28,213	)		(28,213	)
	9,930		05/03/32		2.434	%	3 Month LIBOR(2)		—			32,671			32,671
	16,725		02/15/36		2.338	%	3 Month LIBOR(2)		(102,773	)		(424,121	)		(321,348	)
	7,865		05/03/37		2.508	%	3 Month LIBOR(1)		1			(28,682	)		(28,683	)

SEE NOTES TO FINANCIAL STATEMENTS.

A61

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Interest rate swap agreements outstanding at June 30, 2017 (continued):

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2017		Unrealized Appreciation (Depreciation)
Centrally cleared swap agreements (continued):
	2,905		02/15/42		1.369%	1 Day USOIS(1)	$	202		$	456,388	$	456,186
	1,835		09/27/46		1.380%	1 Day USOIS(1)		183			317,396		317,213
							$	(159,667	)	$	5,047,692	$	5,207,359

Securities with a combined market value of $14,043,226 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

(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 plus 12 bps and receives the floating rate of 6 Month LIBOR.

(4) The Portfolio pays the floating rate of 6 Month LIBOR and receives the floating rate of 3 Month LIBOR plus 11.75 bps.

Total return swap agreements outstanding at June 30, 2017:

Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Description	Fair Value		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)(1)
OTC total return swap agreement:
Credit Suisse First Boston Corp.		01/12/41		4,687	Pay variable payments based on 1 Month LIBOR and receive fixed payments based on IOS.FN30.450.10 Index	$	20,950	$	(14,315	)	$	35,265

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

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Automobiles	$	—	$	5,001,296	$	—
Collateralized Loan Obligations		—		50,598,173		—
Consumer Loans		—		23,627,120		999,795
Home Equity Loans		—		33,032,360		—
Other		—		930,157		—
Residential Mortgage-Backed Securities		—		21,579,845		2,400,000
Student Loans		—		571,362		—
Bank Loans		—		12,823,457		1,036,932
Commercial Mortgage-Backed Securities		—		148,654,383		1,081,440
Corporate Bonds		—		475,306,576		—
Municipal Bonds		—		20,605,076		—
Residential Mortgage-Backed Securities		—		59,037,362		9,016,955
Sovereign Bonds		—		53,190,921		—
U.S. Government Agency Obligations		—		15,194,351		—
U.S. Treasury Obligations		—		56,303,941		—
Preferred Stocks		2,129,150		—		—
Affiliated Mutual Funds		156,260,938		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A62

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

	Level 1		Level 2			Level 3
Investments in Securities (continued)
Options Purchased	$	—	$	1,959,807		$	—
Options Written		—		(1,144,632	)		—
Other Financial Instruments*
Futures Contracts		280,997		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(1,871,721	)		—
OTC Cross Currency Exchange Contract		—		(626	)		—
OTC Credit Default Swap Agreements		—		(47,603	)		10,288
Centrally Cleared Credit Default Swap Agreements		—		(221,790	)		—
OTC Currency Swap Agreements		—		112,975			—
Centrally Cleared Forward Rate Agreement		—		(279,149	)		—
Centrally Cleared Interest Rate Swap Agreements		—		5,207,359			—
OTC Total Return Swap Agreement		—		20,950			—
Total	$	158,671,085	$	980,191,950		$	14,545,410

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

	Asset-Backed Securities Consumer Loans		Asset-Backed Securities Residential Mortgage-Backed Securities			Bank Loans			Commercial Mortgage- Backed Securities		Residential Mortgage- Backed Securities			Credit Default Swaps
Balance as of 12/31/16	$	—	$	3,440,000		$	1,509,078		$	—	$	26,091,730		$	18,991
Realized gain (loss)		—		—			26,147			—		156,749			—	***
Change in unrealized appreciation (depreciation)**		—		—			57,475			—		(3,482	)		(8,703	)
Purchases / Exchanges / Issuances		999,795		2,400,000			—			1,081,440		2,936,657			—
Sales/Paydowns		—		(3,440,000	)		(1,509,078	)		—		(17,076,617	)		—
Accrued discount/premium		—		—			—			—		17,711			—
Transfers into Level 3		—		—			953,310			—		—			—
Transfers out of Level 3		—		—			—			—		(3,105,793	)		—
Balance as of 06/30/17	$	999,795	$	2,400,000		$	1,036,932		$	1,081,440	$	9,016,955		$	10,288

* 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, $129,233 was relating to securities held at the reporting period end.

*** The realized loss incurred during the period for other financial instruments was $20,054.

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

Level 3 Securities	Fair Value as of June 30, 2017		Valuation Methodology		Unobservable Inputs
Asset-Backed Securities Consumer Loans	$	999,795		Market Approach	Single Broker Indicative Quote
Asset-Backed Securities Residential Mortgage-Backed Securities		2,400,000		Market Approach	Single Broker Indicative Quote
Bank Loans		1,036,932		Market Approach	Single Broker Indicative Quote
Commercial Mortgage-Backed Securities		1,081,440		Market Approach	Single Broker Indicative Quote
Residential Mortgage-Backed Securities		9,016,955		Market Approach	Single Broker Indicative Quote
Credit Default Swap Agreements		10,288		Market Approach	Single Broker Indicative Quote
	$	14,545,410

SEE NOTES TO FINANCIAL STATEMENTS.

A63

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

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	$	953,310		L2 to L3	Multiple Broker Quotes to Single Broker Indicative Quote
Residential Mortgage-Backed Securities	$	3,105,793		L3 to L2	Single Broker Indicative Quote to Evaluated Bid

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

Affiliated Mutual Funds (including 1.1% of collateral for securities on loan)	13.8	%
Commercial Mortgage-Backed Securities	13.2
Banks	10.4
Residential Mortgage-Backed Securities	8.1
U.S. Treasury Obligations	4.9
Sovereign Bonds	4.7
Collateralized Loan Obligations	4.4
Home Equity Loans	2.9
Electric	3.5
Media	2.9
Oil & Gas	2.7
Consumer Loans	2.2
Insurance	2.0
Healthcare-Services	2.0
Municipal Bonds	1.8
Chemicals	1.6
Telecommunications	1.5
U.S. Government Agency Obligations	1.3
Software	1.0
Healthcare-Products	1.0
Food	0.8
Diversified Financial Services	0.8
Auto Manufacturers	0.8
Home Builders	0.7
Pipelines	0.7
Airlines	0.7
Pharmaceuticals	0.6
Semiconductors	0.6
Packaging & Containers	0.6
Miscellaneous Manufacturing	0.6
Retail	0.6
Commercial Services	0.5
Building Materials	0.5
Technology	0.4
Automobiles	0.4
Auto Parts & Equipment	0.4
Machinery-Diversified	0.4
Multi-National	0.4
Real Estate Investment Trusts (REITs)	0.3

Computers	0.3	%
Agriculture	0.3
Gas	0.3
Lodging	0.3
Forest Products & Paper	0.3
Biotechnology	0.3
Mining	0.2
Retailers	0.2
Banking	0.2
Entertainment	0.2
Internet	0.2
Options Purchased	0.2
Transportation Services	0.2
Savings & Loans	0.1
Household Products/Wares	0.1
Transportation	0.1
Leisure Time	0.1
Office/Business Equipment	0.1
Health Care & Pharmaceutical	0.1
Electronics	0.1
Diversified Manufacturing	0.1
Other	0.1
Supermarkets	0.1
Housewares	0.1
Apparel	0.1
Home Furnishings	0.1
Oil & Gas Services	0.1
Student Loans	0.1
Beverages	0.0	*
Textiles	0.0	*
Iron/Steel	0.0	*
Real Estate	0.0	*
	101.4
Options Written	(0.1	)
Liabilities in excess of other assets	(1.3	)
	100.0	%

* Less than +/- 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A64

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

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

Fair values of derivative instruments as of June 30, 2017 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 and centrally cleared forward rate agreements	$	221,790	*
Credit contracts	Premiums paid for OTC swap agreements		50,672		Premiums received for OTC swap agreements		172,564
Credit contracts	Unrealized appreciation on OTC swap agreements		187,580		Unrealized depreciation on OTC swap agreements		103,003
Foreign exchange contracts	—		—		Unrealized depreciation on OTC cross currency exchange contracts		626
Foreign exchange contracts	Unrealized appreciation on OTC forward foreign currency exchange contracts		12,146		Unrealized depreciation on OTC forward foreign currency exchange contracts		1,883,867
Interest rate contracts	Due from/to broker — variation margin futures		2,267,833	*	Due from/to broker — variation margin futures		1,986,836	*
Interest rate contracts	Due from/to broker — variation margin swaps and centrally cleared forward rate agreements		6,463,340	*	Due from/to broker — variation margin swaps and centrally cleared forward rate agreements		1,535,130	*
Interest rate contracts	—		—		Premiums received for OTC swap agreements		14,315
Interest rate contracts	Unaffiliated investments		1,959,807		Options written outstanding, at value		1,144,632
Interest rate contracts	Unrealized appreciation on OTC swap agreements		165,083		Unrealized depreciation on OTC swap agreements		16,843
Total		$	11,106,461			$	7,079,606

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 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(1)			Options Written		Futures		Forward & Cross Currency Contracts(2)		Forward Rate Agreements		Swaps			Total
Credit contracts	$	—		$	—	$	—	$	—	$	—	$	(377,096	)	$	(377,096	)
Foreign exchange contracts		—			—		—		400,077		—		—			400,077
Interest rate contracts		(174,848	)		76,794		10,480,355		—		69,694		556,745			11,008,740
Total	$	(174,848	)	$	76,794	$	10,480,355	$	400,077	$	69,694	$	179,649		$	11,031,721

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A65

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(3)			Options Written		Futures		Forward & Cross Currency Contracts(4)			Forward Rate Agreements			Swaps			Total
Credit contracts	$	—		$	—	$	—	$	—		$	—		$	319,248		$	319,248
Foreign exchange contracts		—			—		—		(2,728,404	)		—			—			(2,728,404	)
Interest rate contracts		(718,747	)		673,387		4,411,390		—			(279,149	)		(4,913,681	)		(826,800	)
Total	$	(718,747	)	$	673,387	$	4,411,390	$	(2,728,404	)	$	(279,149	)	$	(4,594,433	)	$	(3,235,956	)

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

(4) Included in net unrealized appreciaiton (depreciation) on foreign currencies in the Statement of Operations.

For the six months ended June 30, 2017, the 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)
$912,913	$201,607,114	$760,409,258	$73,207,483	$684,735

Forward Foreign Currency Exchange Contracts—Sold(3)	Cross Currency Exchange Contracts(2)	Credit Default Swap Agreements—Buy Protection(4)	Credit Default Swap Agreements—Sell Protection(4)	Currency Swap Agreements(4)
$41,915,705	$252,012	$13,900,000	$32,935,667	$11,293,667

Forward Rate Agreements(4)	Inflation Swap Agreements(4)	Interest Rate Swap Agreements(4)	Total Return Swap Agreements(4)
$784,000,000	$8,727,360	$1,462,922,433	$4,948,000

(1) Cost.

(2) Value at Trade Date.

(3) Value at Settlement Date.

(4) Notional Amount in USD.

Financial instruments/transactions — summary of offsetting and netting arrangements:

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Amounts of Recognized Assets(3)		Collateral Received(4)			Net Amount
Securities on Loan	$	12,183,783	$	(12,183,783	)	$	—

Offsetting of OTC derivative assets and liabilities:

Counterparty	Gross Amounts of     Recognized Assets(1)		Gross Amounts Available for Offset			Collateral Received(4)			Net Amount
Bank of America	$	—	$	—		$	—		$	—
Barclays Capital Group		948,187		(557,365	)		(340,000	)		50,822
Citigroup Global Markets		35,161		(35,161	)		—			—
Credit Suisse First Boston Corp.		35,265		(14,315	)		—			20,950
Goldman Sachs & Co.		48,328		(38,020	)		—			10,308
Hong Kong & Shanghai Bank		129,818		(47,350	)		—			82,468
JPMorgan Chase		999,773		(800,931	)		—			198,842
Morgan Stanley		177,246		(172,518	)		—			4,728
UBS AG		1,510		(1,510	)		—			—
	$	2,375,288

SEE NOTES TO FINANCIAL STATEMENTS.

A66

DIVERSIFIED BOND PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Counterparty	Gross Amounts of Recognized Liabilities(2)			Gross Amounts Available for Offset		Collateral Pledged(4)		Net Amount
Bank of America	$	(105,139	)	$	—	$	—	$	(105,139	)
Barclays Capital Group		(557,365	)		557,365		—		—
Citigroup Global Markets		(1,549,701	)		35,161		1,514,540		—
Credit Suisse First Boston Corp.		(14,315	)		14,315		—		—
Goldman Sachs & Co.		(38,020	)		38,020		—		—
Hong Kong & Shanghai Bank		(47,350	)		47,350		—		—
JPMorgan Chase		(800,931	)		800,931		—		—
Morgan Stanley		(172,518	)		172,518		—		—
UBS AG		(50,511	)		1,510		—		(49,001	)
	$	(3,335,850	)

(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.

(4) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A67

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

ASSETS
Investments at value, including securities on loan of $12,183,783:
Unaffiliated investments (cost $961,012,006)	$	995,080,459
Affiliated investments (cost $159,932,660)		156,260,938
Cash		516,930
Foreign currency, at value (cost $2,100,179)		2,172,080
Cash segregated for counterparty - OTC		1,520,000
Dividends and interest receivable		8,448,727
Receivable for investments sold		5,875,261
Due from broker—variation margin swaps and centrally cleared forward rate agreements		524,539
Unrealized appreciation on OTC swap agreements		352,663
Tax reclaim receivable		51,717
Premiums paid for OTC swap agreements		50,672
Receivable for Series shares sold		16,636
Unrealized appreciation on OTC forward foreign currency exchange contracts		12,146
Prepaid expenses		1,286
Total Assets		1,170,884,054
LIABILITIES
Payable for investments purchased		18,282,465
Payable to broker for collateral for securities on loan		12,427,946
Unrealized depreciation on OTC forward foreign currency exchange contracts		1,883,867
Due to broker—variation margin futures		1,190,743
Options written outstanding, at value (premiums received $1,818,019)		1,144,632
Management fee payable		371,361
Premiums received for OTC swap agreements		186,879
Accrued expenses and other liabilities		177,384
Payable for Series shares repurchased		134,686
Unrealized depreciation on OTC swap agreements		119,846
Affiliated transfer agent fee payable		980
Unrealized depreciation on OTC cross currency exchange contracts		626
Deferred trustees’ fees		522
Total Liabilities		35,921,937
NET ASSETS	$	1,134,962,117
Net assets were comprised of:
Paid-in capital	$	929,212,907
Retained earnings		205,749,210
Net assets, June 30, 2017	$	1,134,962,117
Net asset value and redemption price per share $1,134,962,117 / 88,529,780 outstanding shares of beneficial interest	$	12.82

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
Income
Interest income	$	19,519,470
Affiliated dividend income		1,015,422
Unaffiliated dividend income		64,414
Income from securities lending, net (including affiliated income of $23,060)		29,946
Total income		20,629,252
EXPENSES
Management fee		2,208,877
Custodian and accounting fees		96,000
Shareholders’ reports		53,000
Audit fee		27,000
Trustees’ fees		10,000
Legal fees and expenses		6,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		13,909
Total expenses		2,420,786
NET INVESTMENT INCOME (LOSS)		18,208,466
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $300)		3,496,215
Futures transactions		10,480,355
Options written transactions		76,794
Forward rate agreement transactions		69,694
Swap agreement transactions		179,649
Foreign currency transactions		390,696
		14,693,403
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $178,692)		17,066,677
Futures		4,411,390
Options written		673,387
Forward rate agreements		(279,149	)
Swap agreements		(4,594,433	)
Foreign currencies		(2,398,689	)
		14,879,183
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		29,572,586
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	47,781,052

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	18,208,466		$	39,465,698
Net realized gain (loss) on investment and foreign currency transactions		14,693,403			(3,347,958	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		14,879,183			23,594,004
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		47,781,052			59,711,744
SERIES SHARE TRANSACTIONS
Series shares sold [1,532,948 and 2,764,375 shares, respectively]		19,509,259			34,011,481
Series shares repurchased [2,944,757 and 6,055,908 shares, respectively]		(36,906,812	)		(74,059,176	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(17,397,553	)		(40,047,695	)
CAPITAL CONTRIBUTIONS		—			20,597
TOTAL INCREASE (DECREASE)		30,383,499			19,684,646
NET ASSETS:
Beginning of period		1,104,578,618			1,084,893,972
End of period	$	1,134,962,117		$	1,104,578,618

SEE NOTES TO FINANCIAL STATEMENTS.

A68

EQUITY PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

LONG-TERM INVESTMENTS — 99.3%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 1.9%
Boeing Co. (The)		167,444	$	33,112,051
United Technologies Corp.		354,691		43,311,318
				76,423,369
Automobiles — 1.1%
Tesla, Inc.*(a)		120,660		43,631,863
Banks — 9.1%
Bank of America Corp.		2,474,256		60,025,451
BB&T Corp.		806,736		36,633,882
Citigroup, Inc.		734,267		49,107,777
JPMorgan Chase & Co.		1,691,178		154,573,669
PNC Financial Services Group, Inc. (The)		314,667		39,292,468
Wells Fargo & Co.		491,747		27,247,701
				366,880,948
Beverages — 0.6%
Monster Beverage Corp.*		447,039		22,208,898
Biotechnology — 4.3%
BioMarin Pharmaceutical, Inc.*		349,226		31,716,705
Celgene Corp.*		410,912		53,365,141
Regeneron Pharmaceuticals, Inc.*		60,978		29,948,735
Shire PLC, ADR		148,952		24,617,297
Vertex Pharmaceuticals, Inc.*		264,688		34,110,343
				173,758,221
Capital Markets — 1.1%
Goldman Sachs Group, Inc. (The)		198,369		44,018,081
Chemicals — 1.5%
Dow Chemical Co. (The)		483,334		30,483,875
FMC Corp.		392,768		28,691,703
				59,175,578
Communications Equipment — 0.7%
Cisco Systems, Inc.		887,887		27,790,863
Consumer Finance — 1.7%
Capital One Financial Corp.		441,465		36,473,838
SLM Corp.*		2,815,769		32,381,344
				68,855,182
Containers & Packaging — 0.4%
Sealed Air Corp.		396,986		17,769,093
Electric Utilities — 1.8%
Exelon Corp.		792,844		28,597,883
PG&E Corp.		686,623		45,571,169
				74,169,052
Electrical Equipment — 0.9%
Eaton Corp. PLC		450,412		35,055,566
Electronic Equipment, Instruments & Components — 1.0%
Flex Ltd.*		2,489,691		40,606,860
Energy Equipment & Services — 1.3%
Halliburton Co.		1,269,809		54,233,542
Equity Real Estate Investment Trusts (REITs) — 1.5%
American Tower Corp.		220,753		29,210,037
Crown Castle International Corp.		307,094		30,764,677
				59,974,714

COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing — 0.8%
Wal-Mart Stores, Inc.		426,628	$	32,287,207
Food Products — 1.2%
Conagra Brands, Inc.		813,870		29,103,991
Mondelez International, Inc. (Class A Stock)		489,548		21,143,578
				50,247,569
Health Care Equipment & Supplies — 1.4%
Boston Scientific Corp.*		740,751		20,533,618
Zimmer Biomet Holdings, Inc.		270,361		34,714,352
				55,247,970
Health Care Providers & Services — 1.7%
Cigna Corp.		215,116		36,008,267
Laboratory Corp. of America Holdings*		219,616		33,851,610
				69,859,877
Hotels, Restaurants & Leisure — 2.9%
Carnival Corp.		516,316		33,854,840
Marriott International, Inc. (Class A Stock)		503,624		50,518,523
McDonald’s Corp.		215,586		33,019,152
				117,392,515
Household Durables — 0.5%
Newell Brands, Inc.		358,590		19,227,596
Household Products — 1.1%
Procter & Gamble Co. (The)		531,330		46,305,410
Industrial Conglomerates — 0.5%
General Electric Co.		705,847		19,064,927
Insurance — 2.0%
Chubb Ltd.		299,622		43,559,047
MetLife, Inc.		679,144		37,312,171
				80,871,218
Internet & Direct Marketing Retail — 6.1%
Amazon.com, Inc.*		114,268		110,611,424
Netflix, Inc.*		479,964		71,711,421
Priceline Group, Inc. (The)*		33,662		62,965,444
				245,288,289
Internet Software & Services — 11.8%
Alibaba Group Holding Ltd. (China), ADR*(a)		726,117		102,309,885
Alphabet, Inc. (Class A Stock)*		83,408		77,542,750
Alphabet, Inc. (Class C Stock)*		55,410		50,352,729
eBay, Inc.*		1,105,186		38,593,095
Facebook, Inc. (Class A Stock)*		682,476		103,040,227
MercadoLibre, Inc. (Argentina)		112,630		28,256,614
Tencent Holdings Ltd. (China)		2,163,894		77,629,612
				477,724,912
IT Services — 3.9%
DXC Technology Co.		258,504		19,832,427
Mastercard, Inc. (Class A Stock)		522,192		63,420,218
Visa, Inc. (Class A Stock)(a)		768,760		72,094,313
				155,346,958

SEE NOTES TO FINANCIAL STATEMENTS.

A69

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Machinery — 0.9%
Parker-Hannifin Corp.		235,169	$	37,584,710
Media — 3.7%
Charter Communications, Inc. (Class A Stock)*		156,363		52,670,877
Comcast Corp. (Class A Stock)		1,135,486		44,193,115
Liberty Global PLC (United Kingdom) (Class C Stock)*		440,280		13,727,931
Twenty-First Century Fox, Inc. (Class A Stock)		692,754		19,632,648
Viacom, Inc. (Class B Stock)		524,283		17,600,180
				147,824,751
Oil, Gas & Consumable Fuels — 3.6%
Anadarko Petroleum Corp.		277,508		12,582,213
Chevron Corp.		430,962		44,962,265
Noble Energy, Inc.		679,410		19,227,303
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		778,979		41,433,893
Suncor Energy, Inc. (Canada)		885,009		25,858,260
				144,063,934
Pharmaceuticals — 5.5%
Allergan PLC		305,758		74,326,712
Bristol-Myers Squibb Co.		673,928		37,551,268
Eli Lilly & Co.		359,028		29,548,005
Merck & Co., Inc.		586,747		37,604,615
Pfizer, Inc.		1,316,280		44,213,845
				223,244,445
Road & Rail — 2.0%
CSX Corp.		636,597		34,732,732
Ryder System, Inc.		237,420		17,089,492
Union Pacific Corp.		274,130		29,855,498
				81,677,722
Semiconductors & Semiconductor Equipment — 3.6%
Broadcom Ltd.		246,715		57,496,931
NVIDIA Corp.		417,362		60,333,851
Texas Instruments, Inc.		375,338		28,874,752
				146,705,534
Software — 9.5%
Activision Blizzard, Inc.		1,043,539		60,076,540
Adobe Systems, Inc.*		493,157		69,752,126
Microsoft Corp.		1,856,752		127,985,915
PTC, Inc.*		526,915		29,043,555
salesforce.com, Inc.*		703,243		60,900,844
Workday, Inc. (Class A Stock)*(a)		373,377		36,217,569
				383,976,549
Specialty Retail — 1.1%
Industria de Diseno Textil SA (Spain), ADR(a)		2,332,223		44,895,293
Technology Hardware, Storage & Peripherals — 3.9%
Apple, Inc.		1,089,544		156,916,127

COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods — 2.0%
adidas AG (Germany), ADR(a)		424,445	$	40,733,987
Coach, Inc.		808,644		38,281,207
				79,015,194
Wireless Telecommunication Services — 0.7%
Vodafone Group PLC (United Kingdom), ADR		980,721		28,176,114
TOTAL LONG-TERM INVESTMENTS (cost $2,767,854,165)				4,007,496,651
SHORT-TERM INVESTMENTS — 6.1%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)		58,490,313		58,490,313
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $189,066,899; includes $188,843,452 of cash collateral for securities on loan)(b)(w)		189,066,118		189,085,024
TOTAL SHORT-TERM INVESTMENTS (cost $247,557,212)				247,575,337
TOTAL INVESTMENTS — 105.4% (cost $3,015,411,377)				4,255,071,988
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.4)%				(218,014,163	)
NET ASSETS — 100.0%			$	4,037,057,825

See the Glossary for abbreviations used in the semiannual 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 $184,730,944; cash collateral of $188,843,452 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A70

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	76,423,369	$	—	$	—
Automobiles		43,631,863		—		—
Banks		366,880,948		—		—
Beverages		22,208,898		—		—
Biotechnology		173,758,221		—		—
Capital Markets		44,018,081		—		—
Chemicals		59,175,578		—		—
Communications Equipment		27,790,863		—		—
Consumer Finance		68,855,182		—		—
Containers & Packaging		17,769,093		—		—
Electric Utilities		74,169,052		—		—
Electrical Equipment		35,055,566		—		—
Electronic Equipment, Instruments & Components		40,606,860		—		—
Energy Equipment & Services		54,233,542		—		—
Equity Real Estate Investment Trusts (REITs)		59,974,714		—		—
Food & Staples Retailing		32,287,207		—		—
Food Products		50,247,569		—		—
Health Care Equipment & Supplies		55,247,970		—		—
Health Care Providers & Services		69,859,877		—		—
Hotels, Restaurants & Leisure		117,392,515		—		—
Household Durables		19,227,596		—		—
Household Products		46,305,410		—		—
Industrial Conglomerates		19,064,927		—		—
Insurance		80,871,218		—		—
Internet & Direct Marketing Retail		245,288,289		—		—
Internet Software & Services		400,095,300		77,629,612		—
IT Services		155,346,958		—		—
Machinery		37,584,710		—		—
Media		147,824,751		—		—
Oil, Gas & Consumable Fuels		144,063,934		—		—
Pharmaceuticals		223,244,445		—		—
Road & Rail		81,677,722		—		—
Semiconductors & Semiconductor Equipment		146,705,534		—		—
Software		383,976,549		—		—
Specialty Retail		44,895,293		—		—
Technology Hardware, Storage & Peripherals		156,916,127		—		—
Textiles, Apparel & Luxury Goods		79,015,194		—		—
Wireless Telecommunication Services		28,176,114		—		—
Affiliated Mutual Funds		247,575,337		—		—
Total	$	4,177,442,376	$	77,629,612	$	—

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

SEE NOTES TO FINANCIAL STATEMENTS.

A71

EQUITY PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

Internet Software & Services	11.8	%
Software	9.5
Banks	9.1
Affiliated Mutual Funds (including 4.7% of collateral for securities on loan)	6.1
Internet & Direct Marketing Retail	6.1
Pharmaceuticals	5.5
Biotechnology	4.3
Technology Hardware, Storage & Peripherals	3.9
IT Services	3.9
Media	3.7
Semiconductors & Semiconductor Equipment	3.6
Oil, Gas & Consumable Fuels	3.6
Hotels, Restaurants & Leisure	2.9
Road & Rail	2.0
Insurance	2.0
Textiles, Apparel & Luxury Goods	2.0
Aerospace & Defense	1.9
Electric Utilities	1.8
Health Care Providers & Services	1.7
Consumer Finance	1.7
Equity Real Estate Investment Trusts (REITs)	1.5

Chemicals	1.5	%
Health Care Equipment & Supplies	1.4
Energy Equipment & Services	1.3
Food Products	1.2
Household Products	1.1
Specialty Retail	1.1
Capital Markets	1.1
Automobiles	1.1
Electronic Equipment, Instruments & Components	1.0
Machinery	0.9
Electrical Equipment	0.9
Food & Staples Retailing	0.8
Wireless Telecommunication Services	0.7
Communications Equipment	0.7
Beverages	0.6
Household Durables	0.5
Industrial Conglomerates	0.5
Containers & Packaging	0.4
	105.4
Liabilities in excess of other assets	(5.4	)
	100.0	%

Financial instruments/transactions — summary of offsetting and netting arrangements:

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received(2)			Net Amount
Securities on Loan		184,730,944	$	(184,730,944	)	$	—

(1) Amount represents market value.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A72

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

ASSETS
Investments at value, including securities on loan of $184,730,944:
Unaffiliated investments (cost $2,767,854,165)	$	4,007,496,651
Affiliated investments (cost $247,557,212)		247,575,337
Receivable for investments sold		23,858,029
Dividends receivable		3,276,384
Tax reclaim receivable		1,276,223
Receivable for Series shares sold		2,892
Prepaid expenses		4,004
Total assets		4,283,489,520
LIABILITIES
Payable to broker for collateral for securities on loan		188,843,452
Payable for investments purchased		54,635,541
Management fee payable		1,506,739
Payable for Series shares repurchased		974,389
Accrued expenses and other liabilities		469,718
Affiliated transfer agent fee payable		980
Distribution fee payable		412
Administration fee payable		324
Deferred trustees’ fees		140
Total liabilities		246,431,695
NET ASSETS	$	4,037,057,825
Net assets were comprised of:
Paid-in capital	$	1,527,239,313
Retained earnings		2,509,818,512
Net assets, June 30, 2017	$	4,037,057,825
CLASS I:
Net asset value and redemption price per share $4,035,181,111 / 88,406,030 outstanding shares of beneficial interest	$	45.64
CLASS II:
Net asset value and redemption price per share $1,876,714 / 41,417 outstanding shares of beneficial interest	$	45.31

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding taxes of $676,555, of which $343,486 is reimbursable by an affiliate)	$	26,150,748
Income from securities lending, net (including affiliated income of $248,206)		353,668
Affiliated dividend income		274,026
Total income		26,778,442
EXPENSES
Management fee		8,821,071
Distribution fee—Class II		2,248
Administration fee—Class II		1,349
Custodian and accounting fees		222,000
Shareholders’ reports		120,000
Insurance expenses		23,000
Trustees’ fees		22,000
Audit fee		13,000
Legal fees and expenses		10,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		12,811
Total expenses		9,253,479
NET INVESTMENT INCOME (LOSS)		17,524,963
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $10,357)		126,185,931
Foreign currency transactions		(75,619	)
		126,110,312
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(38,277))		279,262,029
Foreign currencies		98,626
		279,360,655
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		405,470,967
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	422,995,930

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	17,524,963		$	36,343,383
Net realized gain (loss) on investment and foreign currency transactions		126,110,312			217,876,396
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		279,360,655			(128,098,315	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		422,995,930			126,121,464
SERIES SHARE TRANSACTIONS
Series shares sold		3,729,728			9,112,648
Series shares repurchased		(133,058,804	)		(243,276,531	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(129,329,076	)		(234,163,883	)
CAPITAL CONTRIBUTIONS		—			3,315,979
TOTAL INCREASE (DECREASE)		293,666,854			(104,726,440	)
NET ASSETS:
Beginning of period		3,743,390,971			3,848,117,411
End of period	$	4,037,057,825		$	3,743,390,971

SEE NOTES TO FINANCIAL STATEMENTS.

A73

FLEXIBLE MANAGED PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

LONG-TERM INVESTMENTS — 94.7%
COMMON STOCKS — 59.7%	Shares		Value
Aerospace & Defense — 1.5%
Arconic, Inc.		47,700	$	1,080,405
Boeing Co. (The)		18,300		3,618,825
Huntington Ingalls Industries, Inc.		61,200		11,392,992
Lockheed Martin Corp.		79,300		22,014,473
Northrop Grumman Corp.		49,600		12,732,816
Safran SA (France)		511		46,862
Singapore Technologies Engineering Ltd. (Singapore)		4,800		12,823
Spirit AeroSystems Holdings, Inc. (Class A Stock)		88,500		5,127,690
Thales SA (France)		326		35,086
United Technologies Corp.		15,700		1,917,127
				57,979,099
Air Freight & Logistics — 0.5%
Deutsche Post AG (Germany)		3,123		117,232
FedEx Corp.		82,700		17,973,191
				18,090,423
Airlines — 0.0%
Deutsche Lufthansa AG (Germany)		15,603		355,586
International Consolidated Airlines Group SA (United Kingdom)		2,273		18,060
				373,646
Auto Components — 0.3%
Aisin Seiki Co. Ltd. (Japan)		5,700		293,018
Bridgestone Corp. (Japan)		1,600		69,171
Cie Generale des Etablissements Michelin (France)		439		58,428
Cooper-Standard Holdings, Inc.*		18,600		1,876,182
GKN PLC (United Kingdom)		29,111		123,652
Koito Manufacturing Co. Ltd. (Japan)		300		15,513
Lear Corp.		65,200		9,263,616
Sumitomo Electric Industries Ltd. (Japan)		2,300		35,582
Toyoda Gosei Co. Ltd. (Japan)		2,200		52,715
				11,787,877
Automobiles — 0.7%
Bayerische Motoren Werke AG (Germany)		1,027		95,519
Daimler AG (Germany)		2,990		216,861
Ferrari NV (Italy)		347		29,860
Fiat Chrysler Automobiles NV (United Kingdom)*		2,674		28,250
Ford Motor Co.		828,800		9,274,272
General Motors Co.		547,200		19,113,696
Honda Motor Co. Ltd. (Japan)		5,000		136,990
Mitsubishi Motors Corp. (Japan)		25,600		169,297
Peugeot SA (France)		1,508		30,054
Suzuki Motor Corp. (Japan)		7,700		366,812
Toyota Motor Corp. (Japan)		3,300		173,459
Volkswagen AG (Germany)		91		14,134
				29,649,204

COMMON STOCKS (continued)	Shares		Value
Banks — 3.8%
ABN AMRO Group NV (Netherlands) CVA, 144A		850	$	22,518
Aozora Bank Ltd. (Japan)		4,000		15,272
Banco Santander SA (Spain)		4,418		29,335
Bank Leumi Le-Israel BM (Israel)		4,340		21,086
Bank of America Corp.		1,356,900		32,918,394
BB&T Corp.		175,500		7,969,455
Bendigo & Adelaide Bank Ltd. (Australia)		27,922		237,688
BNP Paribas SA (France)		2,760		198,700
Citigroup, Inc.		134,100		8,968,608
Commonwealth Bank of Australia (Australia)		5,419		344,736
Credit Agricole SA (France)		17,551		282,718
Danske Bank A/S (Denmark)		9,296		357,646
DBS Group Holdings Ltd. (Singapore)		5,500		82,779
DNB ASA (Norway)		3,054		51,994
HSBC Holdings PLC (United Kingdom)		69,349		643,698
ING Groep NV (Netherlands)		30,631		528,777
Intesa Sanpaolo SpA (Italy) RSP		2,701		8,036
JPMorgan Chase & Co.		559,094		51,101,192
KBC Group NV (Belgium)		4,257		322,762
Lloyds Banking Group PLC (United Kingdom)		477,136		411,187
Mebuki Financial Group, Inc. (Japan)		2,850		10,641
Mitsubishi UFJ Financial Group, Inc. (Japan)		2,800		18,886
Mizuho Financial Group, Inc. (Japan)		71,600		131,277
Natixis SA (France)		44,014		295,454
Nordea Bank AB (Sweden)		9,310		118,576
Oversea-Chinese Banking Corp. Ltd. (Singapore)		9,800		76,767
PNC Financial Services Group, Inc. (The)		164,200		20,503,654
Resona Holdings, Inc. (Japan)		6,800		37,562
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		4,690		56,780
Societe Generale SA (France)		1,141		61,529
Sumitomo Mitsui Financial Group, Inc. (Japan)		3,200		124,942
SunTrust Banks, Inc.		71,200		4,038,464
Swedbank AB (Sweden) (Class A Stock)		13,412		327,331
United Overseas Bank Ltd. (Singapore)		4,100		68,833
Wells Fargo & Co.		393,912		21,826,664
Westpac Banking Corp. (Australia)		10,625		248,773
				152,462,714
Beverages — 0.8%
Anheuser-Busch InBev SA/NV (Belgium)		189		20,875
Asahi Group Holdings Ltd. (Japan)		1,100		41,426
Coca-Cola Co. (The)		379,100		17,002,635

SEE NOTES TO FINANCIAL STATEMENTS.

A74

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Beverages (continued)
Coca-Cola European Partners PLC (United Kingdom)		644	$	26,093
Constellation Brands, Inc. (Class A Stock)		20,200		3,913,346
Diageo PLC (United Kingdom)		9,288		274,478
Heineken Holding NV (Netherlands)		175		16,041
Kirin Holdings Co. Ltd. (Japan)		2,700		55,076
PepsiCo, Inc.		105,420		12,174,956
Pernod Ricard SA (France)		658		88,111
				33,613,037
Biotechnology — 2.2%
AbbVie, Inc.		359,200		26,045,592
Amgen, Inc.		50,008		8,612,878
Biogen, Inc.*		49,000		13,296,640
Celgene Corp.*		203,500		26,428,545
CSL Ltd. (Australia)		1,418		150,491
Gilead Sciences, Inc.		175,400		12,414,812
				86,948,958
Building Products — 0.1%
Asahi Glass Co. Ltd. (Japan)		7,600		320,970
Continental Building Products, Inc.*		71,500		1,665,950
Daikin Industries Ltd. (Japan)		700		71,814
Universal Forest Products, Inc.		19,000		1,658,890
				3,717,624
Capital Markets — 1.3%
Ameriprise Financial, Inc.		6,100		776,469
BGC Partners, Inc. (Class A Stock)		99,800		1,261,472
Goldman Sachs Group, Inc. (The)		45,700		10,140,830
Hargreaves Lansdown PLC (United Kingdom)		4,965		84,194
Julius Baer Group Ltd. (Switzerland)*		299		15,798
LPL Financial Holdings, Inc.		36,000		1,528,560
Macquarie Group Ltd. (Australia)		4,917		334,374
Morgan Stanley		139,400		6,211,664
Nomura Holdings, Inc. (Japan)		33,700		203,226
Partners Group Holding AG (Switzerland)		480		298,037
Raymond James Financial, Inc.		178,000		14,279,160
S&P Global, Inc.		120,600		17,606,394
Schroders PLC (United Kingdom)		2,261		91,426
				52,831,604
Chemicals — 1.3%
AdvanSix, Inc.*		7,116		222,304
Arkema SA (France)		201		21,465
Asahi Kasei Corp. (Japan)		3,000		32,365
BASF SE (Germany)		3,896		361,585
Chemours Co. (The)		382,900		14,519,568
Covestro AG (Germany), 144A		3,542		256,774
Daicel Corp. (Japan)		900		11,249
EMS-Chemie Holding AG (Switzerland)		245		180,910
Evonik Industries AG (Germany)		625		20,004

COMMON STOCKS (continued)	Shares		Value
Chemicals (continued)
Hitachi Chemical Co. Ltd. (Japan)		300	$	8,994
JSR Corp. (Japan)		600		10,387
Kuraray Co. Ltd. (Japan)		1,000		18,209
LyondellBasell Industries NV (Class A Stock)		200,100		16,886,439
Mitsubishi Chemical Holdings Corp. (Japan)		38,200		318,273
Mitsubishi Gas Chemical Co., Inc. (Japan)		600		12,744
Mitsui Chemicals, Inc. (Japan)		42,000		223,666
Sherwin-Williams Co. (The)		46,500		16,319,640
Shin-Etsu Chemical Co. Ltd. (Japan)		1,200		109,215
Sika AG (Switzerland)		7		44,941
Sumitomo Chemical Co. Ltd. (Japan)		5,000		28,899
Teijin Ltd. (Japan)		12,700		245,073
Tosoh Corp. (Japan)		2,000		20,612
Trinseo SA		11,800		810,660
				50,683,976
Commercial Services & Supplies — 0.1%
Herman Miller, Inc.		32,800		997,120
ISS A/S (Denmark)		2,504		98,360
Steelcase, Inc. (Class A Stock)		101,600		1,422,400
Toppan Printing Co. Ltd. (Japan)		2,000		21,992
				2,539,872
Communications Equipment — 0.5%
Cisco Systems, Inc.		400,700		12,541,910
Juniper Networks, Inc.		293,700		8,188,356
				20,730,266
Construction & Engineering — 0.3%
Argan, Inc.		39,200		2,352,000
Bouygues SA (France)		648		27,300
EMCOR Group, Inc.		53,100		3,471,678
HOCHTIEF AG (Germany)		1,258		230,943
Kajima Corp. (Japan)		4,000		33,807
MasTec, Inc.*		135,000		6,095,250
Obayashi Corp. (Japan)		27,600		325,187
Skanska AB (Sweden) (Class B Stock)		725		17,216
Taisei Corp. (Japan)		21,000		192,077
Vinci SA (France)		432		36,850
				12,782,308
Consumer Finance — 0.6%
Capital One Financial Corp.		209,700		17,325,414
Navient Corp.		407,600		6,786,540
				24,111,954
Containers & Packaging — 0.3%
Owens-Illinois, Inc.*		120,400		2,879,968
WestRock Co.		187,200		10,606,752
				13,486,720
Distributors — 0.4%
Genuine Parts Co.		82,400		7,643,424
LKQ Corp.*		247,500		8,155,125
				15,798,549

SEE NOTES TO FINANCIAL STATEMENTS.

A75

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Diversified Financial Services — 0.5%
Berkshire Hathaway, Inc. (Class B Stock)*		102,100	$	17,292,677
Investor AB (Sweden) (Class B Stock)		1,419		68,462
Leucadia National Corp.		89,800		2,349,168
ORIX Corp. (Japan)		19,100		297,193
				20,007,500
Diversified Telecommunication Services — 1.6%
AT&T, Inc.		841,720		31,758,096
HKT Trust & HKT Ltd. (Hong Kong)		12,000		15,739
Nippon Telegraph & Telephone Corp. (Japan)		7,700		363,472
Orange SA (France)		18,394		292,739
Telecom Italia SpA (Italy)*		321,970		297,878
Telecom Italia SpA (Italy)		18,981		14,046
Telefonica SA (Spain)		13,765		142,490
Verizon Communications, Inc.		728,988		32,556,604
				65,441,064
Electric Utilities — 0.8%
AusNet Services (Australia)		5,286		7,048
Chubu Electric Power Co., Inc. (Japan)		1,900		25,267
CK Infrastructure Holdings Ltd. (Hong Kong)		1,000		8,400
CLP Holdings Ltd. (Hong Kong)		8,000		84,595
EDP-Energias de Portugal SA (Portugal)		46,235		151,245
Endesa SA (Spain)		7,667		176,867
Enel SpA (Italy)		81,879		439,159
Exelon Corp.		122,700		4,425,789
FirstEnergy Corp.		462,300		13,480,668
Iberdrola SA (Spain)		16,274		128,962
Kansai Electric Power Co., Inc. (The) (Japan)		2,000		27,579
PPL Corp.		326,800		12,634,088
Red Electrica Corp. SA (Spain)		331		6,925
SSE PLC (United Kingdom)		2,935		55,534
Terna Rete Elettrica Nazionale SpA (Italy)		4,613		24,916
Tohoku Electric Power Co., Inc. (Japan)		1,300		18,017
				31,695,059
Electrical Equipment — 0.5%
Emerson Electric Co.		293,900		17,522,318
Gamesa Corp. Tecnologica SA (Spain)		750		16,047
Nidec Corp. (Japan)		700		71,918
Vestas Wind Systems A/S (Denmark)		3,917		361,803
				17,972,086
Electronic Equipment, Instruments & Components — 0.0%
Hirose Electric Co. Ltd. (Japan)		100		14,310
Hitachi High-Technologies Corp. (Japan)		200		7,789

COMMON STOCKS (continued)	Shares		Value
Electronic Equipment, Instruments & Components (continued)
Hitachi Ltd. (Japan)		59,000	$	363,776
Keyence Corp. (Japan)		300		132,068
Kyocera Corp. (Japan)		2,900		168,550
TDK Corp. (Japan)		1,800		118,984
				805,477
Energy Equipment & Services — 0.1%
McDermott International, Inc.*		610,100		4,374,417
Unit Corp.*		25,100		470,123
				4,844,540
Equity Real Estate Investment Trusts (REITs) — 1.3%
American Tower Corp.		140,500		18,590,960
CoreCivic, Inc.		124,600		3,436,468
Crown Castle International Corp.		22,500		2,254,050
Franklin Street Properties Corp.		64,700		716,876
GEO Group, Inc. (The)		253,350		7,491,560
Goodman Group (Australia)		14,397		87,012
Hammerson PLC (United Kingdom)		2,446		18,301
Land Securities Group PLC (United Kingdom)		20,497		270,616
Nippon Building Fund, Inc. (Japan)		4		20,410
Outfront Media, Inc.		58,600		1,354,832
Prologis, Inc.		92,900		5,447,656
Spirit Realty Capital, Inc.(a)		632,200		4,684,602
Stockland (Australia)		80,765		271,604
VEREIT, Inc.		642,300		5,228,322
Weyerhaeuser Co.		91,800		3,075,300
				52,948,569
Food & Staples Retailing — 1.5%
Carrefour SA (France)		667		16,863
Casino Guichard Perrachon SA (France)		176		10,424
CVS Health Corp.		56,900		4,578,174
Distribuidora Internacional de Alimentacion SA (Spain)		1,879		11,726
ICA Gruppen AB (Sweden)(a)		8,166		304,199
J Sainsbury PLC (United Kingdom)		92,828		304,483
Jeronimo Martins SGPS SA (Portugal)		779		15,209
Koninklijke Ahold Delhaize NV (Netherlands)		3,962		75,624
Kroger Co. (The)		298,200		6,954,024
METRO AG (Germany)		545		18,411
Wal-Mart Stores, Inc.		356,600		26,987,488
Walgreens Boots Alliance, Inc.		262,300		20,540,713
Wesfarmers Ltd. (Australia)		1,818		56,058
WM Morrison Supermarkets PLC (United Kingdom)		31,898		100,187
				59,973,583
Food Products — 1.0%
Archer-Daniels-Midland Co.		232,100		9,604,298
Conagra Brands, Inc.		358,400		12,816,384
Golden Agri-Resources Ltd. (Singapore)		715,300		194,831
Marine Harvest ASA (Norway)		16,965		290,258
Nestle SA (Switzerland)		6,464		563,775

SEE NOTES TO FINANCIAL STATEMENTS.

A76

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Food Products (continued)
NH Foods Ltd. (Japan)		3,000	$	91,260
Orkla ASA (Norway)		2,557		25,989
Sanderson Farms, Inc.		12,500		1,445,625
Tate & Lyle PLC (United Kingdom)		10,666		91,924
Tyson Foods, Inc. (Class A Stock)		246,300		15,425,769
WH Group Ltd. (Hong Kong), 144A		334,000		337,264
Wilmar International Ltd. (Singapore)		23,700		57,647
				40,945,024
Gas Utilities — 0.2%
Atmos Energy Corp.		23,500		1,949,325
Gas Natural SDG SA (Spain)		1,102		25,796
UGI Corp.		117,000		5,663,970
				7,639,091
Health Care Equipment & Supplies — 2.1%
Abbott Laboratories		499,600		24,285,556
Baxter International, Inc.		319,800		19,360,692
Cochlear Ltd. (Australia)		175		20,902
Danaher Corp.		216,600		18,278,874
Hoya Corp. (Japan)		1,000		52,061
Medtronic PLC		163,100		14,475,125
Smith & Nephew PLC (United Kingdom)		2,714		46,867
Straumann Holding AG (Switzerland)		20		11,389
Stryker Corp.		64,900		9,006,822
				85,538,288
Health Care Providers & Services — 2.0%
Alfresa Holdings Corp. (Japan)		600		11,600
Anthem, Inc.		99,100		18,643,683
Cigna Corp.		57,500		9,624,925
Express Scripts Holding Co.*		257,400		16,432,416
Fresenius Medical Care AG & Co. KGaA (Germany)		671		64,749
Fresenius SE & Co. KGaA (Germany)		1,261		108,261
HCA Holdings, Inc.*		126,300		11,013,360
Medipal Holdings Corp. (Japan)		14,400		267,006
Ramsay Health Care Ltd. (Australia)		417		23,595
Ryman Healthcare Ltd. (New Zealand)		1,106		6,719
Sonic Healthcare Ltd. (Australia)		4,866		90,599
UnitedHealth Group, Inc.		119,500		22,157,690
				78,444,603
Health Care Technology — 0.0%
Cerner Corp.*		18,300		1,216,401
Hotels, Restaurants & Leisure — 1.5%
Aristocrat Leisure Ltd. (Australia)		22,502		390,115
Carnival Corp.		16,200		1,062,234
Carnival PLC		585		38,682
Extended Stay America, Inc.		351,400		6,803,104
Galaxy Entertainment Group Ltd. (Hong Kong)		13,000		78,901

COMMON STOCKS (continued)	Shares		Value
Hotels, Restaurants & Leisure (continued)
Genting Singapore PLC (Singapore)		18,400	$	14,497
Intercontinental Hotels Group PLC (United Kingdom)		581		32,265
McDonald’s Corp.		203,400		31,152,744
Sodexo SA (France)		287		37,093
Tui AG (Germany)		1,434		20,905
Yum China Holdings, Inc.*		211,300		8,331,559
Yum! Brands, Inc.		162,000		11,949,120
				59,911,219
Household Durables — 0.5%
Barratt Developments PLC (United Kingdom)		3,003		22,055
D.R. Horton, Inc.		457,600		15,819,232
Husqvarna AB (Sweden) (Class B Stock)		1,267		12,594
NVR, Inc.*		1,400		3,374,854
Panasonic Corp. (Japan)		6,700		91,289
Persimmon PLC (United Kingdom)		7,468		218,115
Sekisui House Ltd. (Japan)		1,700		30,045
Sharp Corp. (Japan)*		5,000		18,534
Sony Corp. (Japan)		3,900		148,761
Taylor Morrison Home Corp. (Class A Stock)*		51,400		1,234,114
Taylor Wimpey PLC (United Kingdom)		121,301		278,563
				21,248,156
Household Products — 0.8%
Essity AB (Sweden) (Class B Stock)*		123		3,365
Henkel AG & Co. KGaA (Germany)		321		38,884
Kimberly-Clark Corp.		129,800		16,758,478
Procter & Gamble Co. (The)		191,105		16,654,801
Reckitt Benckiser Group PLC (United Kingdom)		213		21,593
				33,477,121
Independent Power & Renewable Electricity Producers — 0.3%
AES Corp.		1,049,100		11,655,501
Industrial Conglomerates — 1.0%
3M Co.		86,400		17,987,616
CK Hutchison Holdings Ltd. (Hong Kong)		28,000		351,387
General Electric Co.		217,492		5,874,459
Honeywell International, Inc.		106,700		14,222,043
Jardine Matheson Holdings Ltd. (Hong Kong)		800		51,360
Siemens AG (Germany)		3,594		494,370
				38,981,235
Insurance — 2.0%
Aflac, Inc.		88,900		6,905,752
AIA Group Ltd. (Hong Kong)		17,200		125,841
Allianz SE (Germany)		1,427		281,608
Allstate Corp. (The)		213,400		18,873,096
American International Group, Inc.		286,600		17,918,232

SEE NOTES TO FINANCIAL STATEMENTS.

A77

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Assurant, Inc.		43,300	$	4,489,777
Aviva PLC (United Kingdom)		12,647		86,751
AXA SA (France)		5,157		141,216
Baloise Holding AG (Switzerland)		154		23,855
Direct Line Insurance Group PLC (United Kingdom)		4,278		19,810
Gjensidige Forsikring ASA (Norway)		16,563		282,729
Hannover Rueck SE (Germany)		1,014		121,795
Legal & General Group PLC (United Kingdom)		63,839		214,819
Medibank Pvt Ltd. (Australia)		8,453		18,200
MetLife, Inc.		331,300		18,201,622
MS&AD Insurance Group Holdings, Inc. (Japan)		8,700		293,440
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		207		41,887
NN Group NV (Netherlands)		991		35,164
Prudential PLC (United Kingdom)		8,035		184,435
QBE Insurance Group Ltd. (Australia)		4,122		37,413
Sampo OYJ (Finland) (Class A Stock)		1,855		95,172
SCOR SE (France)		535		21,254
Swiss Life Holding AG (Switzerland)		971		328,462
Swiss Re AG (Switzerland)		1,017		93,201
Unum Group		278,200		12,972,466
				81,807,997
Internet & Direct Marketing Retail — 1.2%
Amazon.com, Inc.*		34,500		33,396,000
Liberty Interactive Corp. QVC Group (Class A Stock)*		274,800		6,743,592
Liberty TripAdvisor Holdings, Inc. (Class A Stock)*		23,400		271,440
Nutrisystem, Inc.(a)		104,300		5,428,815
				45,839,847
Internet Software & Services — 3.1%
Alphabet, Inc. (Class A Stock)*		33,600		31,237,248
Alphabet, Inc. (Class C Stock)*		51,182		46,510,619
Facebook, Inc. (Class A Stock)*		314,300		47,453,014
				125,200,881
IT Services — 1.9%
Accenture PLC (Class A Stock)		168,600		20,852,448
Amadeus IT Group SA (Spain)		5,598		334,625
Atos SE (France)		2,113		296,477
Booz Allen Hamilton Holding Corp.		39,800		1,295,092
CACI International, Inc. (Class A Stock)*		25,800		3,226,290
Cognizant Technology Solutions Corp. (Class A Stock)		300,800		19,973,120
CSRA, Inc.		126,700		4,022,725
DST Systems, Inc.		17,400		1,073,580

COMMON STOCKS (continued)	Shares		Value
IT Services (continued)
Fidelity National Information Services, Inc.		19,700	$	1,682,380
First Data Corp. (Class A Stock)*		159,000		2,893,800
Fiserv, Inc.*		56,100		6,863,274
Fujitsu Ltd. (Japan)		14,000		103,548
Leidos Holdings, Inc.		45,600		2,357,064
Total System Services, Inc.		116,600		6,791,950
Travelport Worldwide Ltd.		184,100		2,533,216
Worldpay Group PLC (United Kingdom), 144A		2,690		11,030
				74,310,619
Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		600		20,500
Life Sciences Tools & Services — 0.2%
Lonza Group AG (Switzerland)		232		50,255
QIAGEN NV		620		20,630
Thermo Fisher Scientific, Inc.		38,100		6,647,307
				6,718,192
Machinery — 0.9%
Alfa Laval AB (Sweden)		914		18,707
Amada Holdings Co. Ltd. (Japan)		1,000		11,600
Atlas Copco AB (Sweden) (Class A Stock)		8,243		316,958
Atlas Copco AB (Sweden) (Class B Stock)		1,137		39,300
Crane Co.		50,000		3,969,000
Deere & Co.		9,200		1,137,028
Fortive Corp.		34,800		2,204,580
IDEX Corp.		4,400		497,244
Illinois Tool Works, Inc.		129,600		18,565,200
IMI PLC (United Kingdom)		840		13,083
JTEKT Corp. (Japan)		700		10,301
Metso OYJ (Finland)		360		12,491
Oshkosh Corp.		94,400		6,502,272
Pentair PLC (United Kingdom)		32,200		2,142,588
Sandvik AB (Sweden)		19,414		305,659
Schindler Holding AG (Switzerland)		64		13,303
Volvo AB (Sweden) (Class B Stock)		4,764		81,244
Wartsila OYJ Abp (Finland)		453		26,789
				35,867,347
Marine — 0.0%
AP Moller – Maersk A/S (Denmark) (Class A Stock)		10		19,081
Kuehne + Nagel International AG (Switzerland)		166		27,752
				46,833
Media — 1.4%
Altice NV (Netherlands) (Class A Stock)*		1,125		25,920
Comcast Corp. (Class A Stock)		837,146		32,581,722
Eutelsat Communications SA (France)		7,424		189,423

SEE NOTES TO FINANCIAL STATEMENTS.

A78

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Media (continued)
RTL Group SA (Luxembourg)		111	$	8,386
TEGNA, Inc.(a)		23,100		332,871
Twenty-First Century Fox, Inc. (Class B Stock)		30,500		850,035
Viacom, Inc. (Class B Stock)		387,000		12,991,590
Walt Disney Co. (The)		65,200		6,927,500
				53,907,447
Metals & Mining — 0.6%
Alcoa Corp.		119,900		3,914,735
Anglo American PLC (United Kingdom)*		4,642		62,016
Arcelormittal (Luxembourg)*		4,706		106,747
Boliden AB (Sweden)		847		23,153
Fortescue Metals Group Ltd. (Australia)		47,896		191,732
Mitsubishi Materials Corp. (Japan)		300		9,104
Nippon Steel & Sumitomo Metal Corp. (Japan)		2,400		54,386
Norsk Hydro ASA (Norway)		4,020		22,247
Reliance Steel & Aluminum Co.		18,300		1,332,423
Rio Tinto Ltd. (United Kingdom)		1,267		61,574
Rio Tinto PLC (United Kingdom)		3,885		164,538
South32 Ltd. (Australia)		16,257		33,481
Southern Copper Corp. (Peru)(a)		192,800		6,676,664
Steel Dynamics, Inc.		279,100		9,994,571
voestalpine AG (Austria)		365		17,012
				22,664,383
Multi-Utilities — 0.2%
CenterPoint Energy, Inc.		267,700		7,329,626
Innogy SE (Germany), 144A		431		16,963
National Grid PLC (United Kingdom)		10,263		127,164
				7,473,753
Multiline Retail — 0.4%
Macy’s, Inc.		10,900		253,316
Takashimaya Co. Ltd. (Japan)		6,000		57,240
Target Corp.(a)		290,900		15,211,161
				15,521,717
Oil, Gas & Consumable Fuels — 3.0%
Anadarko Petroleum Corp.		313,700		14,223,158
BP PLC (United Kingdom)		75,643		436,627
Chevron Corp.		136,800		14,272,344
Devon Energy Corp.		361,800		11,566,746
Exxon Mobil Corp.		560,216		45,226,238
Galp Energia SGPS SA (Portugal)		1,534		23,246
JXTG Holdings, Inc. (Japan)		9,700		42,442
Marathon Petroleum Corp.		77,900		4,076,507
Newfield Exploration Co.*		337,100		9,593,866
OMV AG (Austria)		5,361		278,465
ONEOK, Inc.(a)		68,200		3,557,312
Repsol SA (Spain)		19,011		291,460
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		13,569		360,513
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		11,445		307,259

COMMON STOCKS (continued)	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Total SA (France)		7,151	$	355,026
Valero Energy Corp.		246,100		16,601,906
				121,213,115
Paper & Forest Products — 0.0%
Mondi PLC (South Africa)		5,470		143,434
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		123		931
UPM-Kymmene OYJ (Finland)		11,159		318,196
				462,561
Personal Products — 0.1%
Avon Products, Inc.*		479,800		1,823,240
Kao Corp. (Japan)		1,500		89,188
Unilever NV (United Kingdom) CVA		7,460		411,806
Unilever PLC (United Kingdom)		5,983		323,789
				2,648,023
Pharmaceuticals — 2.6%
Allergan PLC		107,900		26,229,411
Astellas Pharma, Inc. (Japan)		12,700		155,660
AstraZeneca PLC (United Kingdom)		3,648		244,357
Bayer AG (Germany)		4,923		638,072
Bristol-Myers Squibb Co.		105,400		5,872,888
Daiichi Sankyo Co. Ltd. (Japan)		1,800		42,485
GlaxoSmithKline PLC (United Kingdom)		12,461		265,262
Johnson & Johnson		343,498		45,441,351
Mallinckrodt PLC*		32,200		1,442,882
Merck & Co., Inc.		105,800		6,780,722
Mitsubishi Tanabe Pharma Corp. (Japan)		600		13,879
Novartis AG (Switzerland)		6,906		576,835
Novo Nordisk A/S (Denmark) (Class B Stock)		4,357		187,209
Orion OYJ (Finland) (Class B Stock)		4,827		308,353
Pfizer, Inc.		49,100		1,649,269
Roche Holding AG (Switzerland)		2,783		711,098
Sanofi (France)		6,452		618,232
Shionogi & Co. Ltd. (Japan)		800		44,606
Zoetis, Inc.		223,300		13,929,454
				105,152,025
Professional Services — 0.1%
Adecco Group AG (Switzerland)		3,944		300,463
Insperity, Inc.		20,700		1,469,700
Randstad Holding NV (Netherlands)		4,182		243,816
RELX PLC (United Kingdom)		14,400		311,286
				2,325,265
Real Estate Management & Development — 0.4%
CBRE Group, Inc. (Class A Stock)*		372,200		13,548,080
Daiwa House Industry Co. Ltd. (Japan)		1,800		61,606

SEE NOTES TO FINANCIAL STATEMENTS.

A79

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Real Estate Management & Development (continued)
Henderson Land Development Co. Ltd. (Hong Kong)		3,300	$	18,400
Kerry Properties Ltd. (Hong Kong)		50,500		171,467
Mitsubishi Estate Co. Ltd. (Japan)		4,000		74,771
Sun Hung Kai Properties Ltd. (Hong Kong)		21,000		308,494
Swiss Prime Site AG (Switzerland)		219		19,912
Wharf Holdings Ltd. (The) (Hong Kong)		4,000		33,099
Wheelock & Co. Ltd. (Hong Kong)		33,000		248,906
				14,484,735
Road & Rail — 1.0%
CSX Corp.		324,200		17,688,352
Kyushu Railway Co. (Japan)		500		16,217
MTR Corp. Ltd. (Hong Kong)		500		2,813
Nippon Express Co. Ltd. (Japan)		11,000		69,027
Norfolk Southern Corp.		56,600		6,888,220
Tokyu Corp. (Japan)		3,000		22,925
Union Pacific Corp.		151,100		16,456,301
West Japan Railway Co. (Japan)		500		35,378
				41,179,233
Semiconductors & Semiconductor Equipment — 2.3%
Applied Materials, Inc.		504,300		20,832,633
ASM Pacific Technology Ltd. (Hong Kong)		4,900		66,114
Broadcom Ltd.		96,400		22,466,020
Disco Corp. (Japan)		100		16,039
Intel Corp.		659,800		22,261,652
Lam Research Corp.		31,400		4,440,902
Rohm Co. Ltd. (Japan)		300		23,130
STMicroelectronics NV (Switzerland)		2,004		28,817
Texas Instruments, Inc.		285,100		21,932,743
Tokyo Electron Ltd. (Japan)		500		67,597
				92,135,647
Software — 3.3%
Activision Blizzard, Inc.		76,000		4,375,320
Adobe Systems, Inc.*		160,800		22,743,552
Check Point Software Technologies Ltd. (Israel)*		1,100		119,988
Electronic Arts, Inc.*		156,500		16,545,180
Intuit, Inc.		116,500		15,472,365
Konami Holdings Corp. (Japan)		300		16,700
Microsoft Corp.		571,700		39,407,281
Nexon Co. Ltd. (Japan)*		800		15,869
Nice Ltd. (Israel)		321		25,290
Oracle Corp.		666,300		33,408,282
SAP SE (Germany)		423		44,276
Trend Micro, Inc. (Japan)		300		15,505
				132,189,608
Specialty Retail — 0.9%
Asbury Automotive Group, Inc.*		21,400		1,210,170
Burlington Stores, Inc.*		124,700		11,471,153
Dixons Carphone PLC (United Kingdom)		34,785		128,589

COMMON STOCKS (continued)	Shares		Value
Specialty Retail (continued)
Francesca’s Holdings Corp.*		107,200	$	1,172,768
Gap, Inc. (The)(a)		462,800		10,176,972
Industria de Diseno Textil SA (Spain)		709		27,229
Nitori Holdings Co. Ltd. (Japan)		200		26,773
Ross Stores, Inc.		116,600		6,731,318
Ulta Beauty, Inc.*		13,400		3,850,356
				34,795,328
Technology Hardware, Storage & Peripherals — 2.4%
Apple, Inc.		483,700		69,662,474
Brother Industries Ltd. (Japan)		14,100		326,599
Canon, Inc. (Japan)		3,300		112,250
FUJIFILM Holdings Corp. (Japan)		1,300		46,875
Hewlett Packard Enterprise Co.		748,100		12,410,979
HP, Inc.		858,000		14,997,840
				97,557,017
Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		564		108,147
Hermes International (France)		579		286,013
Kering (France)		57		19,409
LVMH Moet Hennessy Louis Vuitton SE (France)		1,654		413,592
PVH Corp.		109,700		12,560,650
Swatch Group AG (The) (Switzerland)		140		10,227
Wolverine World Wide, Inc.		47,100		1,319,271
				14,717,309
Tobacco — 0.7%
Altria Group, Inc.		383,500		28,559,245
British American Tobacco PLC (United Kingdom)		9,872		672,710
Japan Tobacco, Inc. (Japan)		6,500		228,463
Swedish Match AB (Sweden)		734		25,859
				29,486,277
Trading Companies & Distributors — 0.1%
Applied Industrial Technologies, Inc.		25,000		1,476,250
BMC Stock Holdings, Inc.*		38,600		843,410
ITOCHU Corp. (Japan)		22,600		336,490
Marubeni Corp. (Japan)		11,700		75,800
Mitsubishi Corp. (Japan)		6,200		130,330
Mitsui & Co. Ltd. (Japan)		20,100		287,749
Sumitomo Corp. (Japan)		13,400		174,738
Toyota Tsusho Corp. (Japan)		700		21,046
United Rentals, Inc.*		19,500		2,197,845
				5,543,658
Transportation Infrastructure — 0.0%
Abertis Infraestructuras SA (Spain)		1,866		34,589
Aena SA (Spain), 144A		196		38,274
Aeroports de Paris (France)		93		14,991
Atlantia SpA (Italy)		2,300		64,698
Auckland International Airport Ltd. (New Zealand)		2,752		14,380

SEE NOTES TO FINANCIAL STATEMENTS.

A80

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Transportation Infrastructure (continued)
Fraport AG Frankfurt Airport Services Worldwide (Germany)		130	$	11,504
Sydney Airport (Australia)		3,425		18,657
				197,093
Wireless Telecommunication Services — 0.1%
KDDI Corp. (Japan)		5,600		148,107
SoftBank Group Corp. (Japan)		4,900		398,321
T-Mobile U.S., Inc.*		60,900		3,691,758
Vodafone Group PLC (United Kingdom)		82,153		233,312
				4,471,498
TOTAL COMMON STOCKS (cost $1,856,521,578)				2,388,270,256
UNAFFILIATED EXCHANGE TRADED FUND — 0.0%
iShares MSCI EAFE Index Fund (cost $209,820)		3,552		231,591

PREFERRED STOCKS — 0.0%	Shares		Value
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		155	$	12,791
Volkswagen AG (Germany) (PRFC)		2,408		367,837
				380,628
Banks — 0.0%
Citigroup Capital XIII, 7.409%, (Capital Security, fixed to floating preferred)		22,000		571,560
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		541		74,601
TOTAL PREFERRED STOCKS (cost $908,689)				1,026,789

ASSET-BACKED SECURITIES — 4.2%	Interest Rate			Maturity Date		Principal Amount (000)#
Automobiles — 1.3%
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B		1.839%	(c)		04/08/19		385	384,871
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B		1.789%	(c)		10/08/19		1,645	1,647,250
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B		1.649%	(c)		11/08/19		632	633,333
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C		2.410%			07/08/22		1,000	996,690
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A		1.920%			09/20/19		1,700	1,699,194
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A		2.500%			07/20/21		5,000	4,977,553
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A		2.630%			12/20/21		4,000	3,977,436
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A		1.740%			02/22/22		2,525	2,522,543
Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 144A		2.130%			07/20/22		3,500	3,505,815
Enterprise Fleet Financing LLC, Series 2017-2, Class A2, 144A^		1.970%			01/20/23		2,400	2,399,875
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A		2.310%			08/15/27		5,590	5,619,753
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A		2.030%			12/15/27		3,435	3,409,911
Ford Credit Auto Owner Trust, Series 2017-1, Class A, 144A		2.620%			08/15/28		6,200	6,274,236
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A		1.659%	(c)		05/15/20		1,800	1,804,686
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A		2.009%	(c)		05/17/21		2,300	2,320,470
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A		2.320%			03/25/20		3,000	2,989,596
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A		2.040%			01/15/21		648	648,773
OneMain Direct Auto Receivables Trust, Series 2017-1A, Class A, 144A		2.160%			10/15/20		7,700	7,697,919
								53,509,904
Collateralized Loan Obligations — 1.5%
AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A		2.858%	(c)		01/15/28		2,500	2,502,182
ALM XII Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A		2.208%	(c)		04/16/27		1,500	1,499,250
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A		2.602%	(c)		04/28/26		1,500	1,503,387
ArrowMark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A		—%	(c)(p)		07/15/29		500	500,000
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A		2.293%	(c)		10/22/25		250	250,077
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1R, 144A		2.551%	(c)		07/18/30		1,500	1,500,000
Benefit Street Partners CLO (Cayman Islands), Series 2017-11A, Class X, 144A		1.883%	(c)		04/15/29		1,875	1,874,465

SEE NOTES TO FINANCIAL STATEMENTS.

A81

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Collateralized Loan Obligations (continued)
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1R, 144A		—%	(c)(p)		07/15/29		1,500	$	1,500,000
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A		2.688%	(c)		07/18/27		750		753,568
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.308%	(c)		04/17/25		2,100		2,102,209
Canyon Capital CLO Ltd. (Cayman Islands), Series 2015-1A, Class AS, 144A		2.408%	(c)		04/15/29		3,000		2,999,977
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A		2.320%	(c)		07/27/26		1,250		1,251,292
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.706%	(c)		04/20/26		2,200		2,202,813
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A		2.956%	(c)		04/20/26		450		450,310
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1R, 144A		2.558%	(c)		10/18/26		500		499,718
Eaton Vance CLO Ltd. (Cayman Islands), Series 2014-1A, Class AR, 144A		2.358%	(c)		07/15/26		1,000		999,714
Elevation CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A		2.708%	(c)		04/18/27		1,000		1,001,931
Flagship CLO Ltd. (Cayman Islands), Series 2014-8A, Class AR, 144A		2.408%	(c)		01/16/26		750		750,215
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A		2.621%	(c)		05/05/27		250		250,388
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A		2.656%	(c)		01/25/27		3,250		3,251,152
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A		2.698%	(c)		04/15/27		500		500,577
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A		2.482%	(c)		05/15/26		2,750		2,750,724
KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A		2.358%	(c)		10/15/26		3,250		3,250,909
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A		2.278%	(c)		01/18/27		2,750		2,754,272
MP CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		2.336%	(c)		04/20/25		2,550		2,550,359
OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A		—%	(c)(p)		07/15/30		1,250		1,248,283
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		2.303%	(c)		07/22/25		1,200		1,200,608
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A		2.472%	(c)		05/21/29		1,750		1,749,997
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.566%	(c)		07/25/26		1,000		1,000,009
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		3.856%	(c)		10/20/23		1,100		1,100,739
TICP CLO Ltd. (Cayman Islands), Series 2017-7A, Class AS, 144A		—%	(c)(p)		07/15/29		1,250		1,248,125
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A		2.856%	(c)		10/25/28		3,250		3,263,609
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.278%	(c)		07/15/25		2,700		2,702,127
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		2.298%	(c)		04/15/24		1,850		1,850,694
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A		2.431%	(c)		04/20/29		2,000		2,000,061
West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A		2.339%	(c)		11/07/25		2,000		2,000,708
Zais CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A		2.572%	(c)		07/15/29		1,750		1,750,438
									60,564,887
Consumer Loans — 0.3%
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A		2.570%			07/18/25		4,124		4,128,631
SpringCastle America Funding LLC, Series 2016-AA. Class A, 144A		3.050%			04/25/29		2,629		2,644,117
Springleaf Funding Trust, Series 2015-AA, Class A, 144A		3.160%			11/15/24		5,795		5,847,414
									12,620,162
Credit Cards — 0.5%
American Express Credit Account Master Trust, Series 2017-2, Class A		1.439%	(c)		09/16/24		6,900		6,944,138
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		1.959%	(c)		05/15/20		3,900		3,904,640
Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5		1.836%	(c)		04/22/26		3,800		3,819,739
Discover Card Execution Note Trust, Series 2017-A4, Class A4		2.530%			10/15/26		4,000		3,987,528
Discover Card Execution Note Trust, Series 2017-A5, Class A5		1.816%	(c)		12/15/26		2,600		2,613,820
									21,269,865
Equipment — 0.1%
MMAF Equipment Finance LLC, Series 2017-AA, Class A4, 144A		2.410%			08/16/24		3,500		3,507,735

SEE NOTES TO FINANCIAL STATEMENTS.

A82

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Home Equity Loans — 0.2%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		2.866%	(c)	03/25/33		144	$	143,241
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		3.721%	(c)	07/25/35		283		281,611
CSMC Trust, Series 2017-6R, Class A1, 144A^		2.722%	(c)	03/06/47		2,950		2,950,000
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		4.678%	(c)	07/25/34		250		248,086
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		2.011%	(c)	06/25/34		366		355,838
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		2.416%	(c)	05/25/33		258		255,716
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1		2.161%	(c)	06/25/34		604		588,952
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		2.266%	(c)	12/27/33		514		501,475
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		2.116%	(c)	07/25/32		191		191,595
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		2.491%	(c)	09/25/32		3,071		3,054,962
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		1.981%	(c)	02/25/34		565		542,979
								9,114,455
Other — 0.1%
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A		2.200%		10/20/30		1,148		1,147,153
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		542		537,258
								1,684,411
Residential Mortgage-Backed Securities — 0.2%
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A		4.145%	(c)	12/26/46		5,078		5,098,469
VOLT LVII LLC, Series 2017-NPL4, Class A1, 144A		3.375%	(c)	04/25/47		678		677,030
VOLT LX LLC, Series 2017-NPL7, Class A1, 144A		3.250%	(c)	04/25/59		800		799,286
								6,574,785
TOTAL ASSET-BACKED SECURITIES (cost $168,078,832)								168,846,204
BANK LOANS(c) — 0.1%
Technology
Dell International LLC		3.299%		12/31/18		600		600,458
Dell International LLC		3.799%		09/07/23		811		813,682
First Data Corp.		3.656%		04/26/24		1,020		1,018,913
TOTAL BANK LOANS (cost $2,397,435)								2,433,053
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3%
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A		3.172%		05/15/49		4,000		3,976,044
BANK, Series 2017-BNK4, Class A3		3.362%		05/15/50		6,500		6,608,920
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		1,100		1,108,315
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,750		2,856,807
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3		3.356%		07/10/47		2,800		2,871,338
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3		2.944%		05/10/49		5,000		4,951,159
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3		3.050%		04/10/49		6,500		6,458,380
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3		3.442%		04/14/50		5,500		5,621,317
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		994,920
Commercial Mortgage Trust, Series 2013-CR7, Class A3		2.929%		03/10/46		1,607		1,627,066
Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.928%		02/10/47		2,700		2,737,918
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,800		2,892,901
Commercial Mortgage Trust, Series 2014-CR20, Class A3		3.326%		11/10/47		5,000		5,100,942
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		2,300		2,340,491
Commercial Mortgage Trust, Series 2015-CR27, Class A3		3.349%		10/10/48		6,100		6,211,248
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3		3.544%		11/15/48		3,000		3,081,119
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3		3.127%		06/15/50		5,300		5,286,978

SEE NOTES TO FINANCIAL STATEMENTS.

A83

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(c)	12/25/23		2,515	$	2,659,395
Fannie Mae-Aces, Series 2015-M17, Class A2		3.038%	(c)	11/25/25		3,900		3,966,017
Fannie Mae-Aces, Series 2016-M7, Class AB2		2.385%		09/25/26		2,400		2,312,157
Fannie Mae-Aces, Series 2017-M1, Class A2		2.497%	(c)	10/25/26		2,200		2,122,476
Fannie Mae-Aces, Series 2017-M4, Class A2		2.684%	(c)	12/25/26		11,800		11,524,678
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.570%	(c)	05/25/22		24,242		1,395,294
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.606%	(c)	06/25/22		6,860		414,119
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO		1.502%	(c)	03/25/26		13,962		1,354,721
FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class AM		2.624%		08/25/26		7,230		7,062,092
FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM		3.327%	(c)	03/25/27		5,900		6,072,714
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.872%	(c)	05/25/19		18,231		465,418
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.810%	(c)	07/25/19		19,709		514,185
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(c)	05/25/25		2,500		2,583,954
GS Mortgage Securities Trust, Series 2015-GC28, Class A4		3.136%		02/10/48		4,000		4,021,222
GS Mortgage Securities Trust, Series 2015-GC32, Class A3		3.498%		07/10/48		5,800		5,986,753
GS Mortgage Securities Trust, Series 2016-GS4, Class A3		3.178%		11/10/49		5,500		5,520,699
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,400		1,437,563
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1		2.920%		02/15/48		6,000		5,958,773
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		849		858,887
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,700		1,703,164
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,900		3,947,169
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,851		1,877,138
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,400		1,413,267
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,500		1,516,084
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3		2.531%		08/15/49		10,400		9,910,366
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,700		1,712,614
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,900		3,940,805
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,800		1,822,448
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(c)	05/15/46		793		792,784
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3		2.642%		11/15/49		8,000		7,707,986
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4		3.190%		07/15/50		4,600		4,615,272
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $173,230,809)								171,916,077
CORPORATE BONDS — 9.9%
Aerospace/Defense — 0.0%
Embraer Netherlands Finance BV (Brazil), Gtd. Notes		5.050%		06/15/25		1,000		1,042,500
Agriculture — 0.1%
Altria Group, Inc., Gtd. Notes		4.000%		01/31/24		1,500		1,600,347
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		930		1,040,134
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%		02/11/18		2,050		2,052,030
Reynolds American, Inc., Gtd. Notes		8.125%		06/23/19		325		362,477
								5,054,988

SEE NOTES TO FINANCIAL STATEMENTS.

A84

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Airlines — 0.2%
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A		3.375%			11/01/28		2,947	$	2,961,529
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A(g)		6.648%			03/15/19		9		9,546
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%			05/10/21		514		569,455
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A		4.750%			07/12/22		556		588,327
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a)		4.000%			04/29/26		580		610,894
Delta Air Lines, Inc., Sr. Unsec’d. Notes		2.875%			03/13/20		2,000		2,026,151
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%			02/10/24		261		300,027
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%			11/23/20		312		323,896
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%			10/15/20		717		752,594
									8,142,419
Auto Manufacturers — 0.4%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%			01/15/43		1,430		1,380,336
Ford Motor Co., Sr. Unsec’d. Notes(a)		5.291%			12/08/46		2,400		2,463,168
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.134%			08/04/25		390		396,729
General Motors Co., Sr. Unsec’d. Notes		6.600%			04/01/36		760		880,552
General Motors Co., Sr. Unsec’d. Notes		6.250%			10/02/43		1,395		1,549,495
General Motors Financial Co, Inc, Gtd. Notes		3.950%			04/13/24		2,800		2,839,766
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN		2.850%			01/15/21		4,705		4,760,199
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250%			11/15/19		715		732,875
									15,003,120
Auto Parts & Equipment — 0.1%
Magna International, Inc. (Canada), Sr. Unsec’d. Notes		3.625%			06/15/24		2,350		2,412,916
Banks — 2.6%
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A		2.625%			04/28/21		2,570		2,626,861
Bank of America Corp., Jr. Sub. Notes		6.300%	(c)		12/31/49		445		498,956
Bank of America Corp., Jr. Sub. Notes		8.000%	(c)		12/29/49		2,200		2,260,500
Bank of America Corp., Sr. Unsec’d. Notes		6.000%			09/01/17		1,075		1,082,395
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		3.300%			01/11/23		2,875		2,931,632
Bank of America Corp., Sr. Unsec’d. Notes, GMTN		6.400%			08/28/17		20		20,142
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%			04/01/24		975		1,021,671
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.125%			01/22/24		3,820		4,031,082
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.443%	(c)		01/20/48		670		708,646
Bank of America Corp., Sub. Notes, MTN		4.450%			03/03/26		3,880		4,038,087
Bank of America Corp., Sub. Notes, MTN		4.000%			01/22/25		2,000		2,034,830
Bank of America NA, Sub. Notes		6.000%			10/15/36		410		517,565
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		3.684%			01/10/23		585		600,244
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.337%			01/10/28		630		647,649
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes		4.375%			01/12/26		1,590		1,652,194
Citigroup, Inc., Jr. Sub. Notes		6.125%	(c)		12/31/49		1,375		1,478,125
Citigroup, Inc., Jr. Sub. Notes		6.250%	(c)		12/31/49		625		693,359
Citigroup, Inc., Jr. Sub. Notes		5.950%	(c)		12/31/49		2,205		2,320,145
Citigroup, Inc., Sr. Unsec’d. Notes		2.750%			04/25/22		2,435		2,431,145
Citigroup, Inc., Sr. Unsec’d. Notes		3.700%			01/12/26		2,440		2,467,789
Citigroup, Inc., Sr. Unsec’d. Notes		4.281%	(c)		04/24/48		1,150		1,176,595
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%			07/15/39		710		1,090,088
Citigroup, Inc., Sub. Notes		4.450%			09/29/27		1,965		2,043,635
Citigroup, Inc., Sub. Notes		4.750%			05/18/46		820		860,751
Compass Bank, Sr. Unsec’d. Notes		1.850%			09/29/17		1,270		1,270,307

SEE NOTES TO FINANCIAL STATEMENTS.

A85

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Banks (continued)
Credit Suisse Group AG (Switzerland), Sr. Unsec’d. Notes, 144A		4.282%		01/09/28		1,370	$	1,416,143
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN		3.375%		05/12/21		1,640		1,661,033
Dexia Credit Local SA (France), Govt. Liquid Gtd. Notes, 144A		1.875%		09/15/21		1,250		1,219,790
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		970		996,316
Discover Bank, Sub. Notes		7.000%		04/15/20		570		632,669
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.750%		02/25/26		1,010		1,028,435
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes(a)		5.300%	(c)	12/31/49		740		777,000
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes		5.375%	(c)	12/31/49		2,215		2,327,522
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.500%		01/23/25		4,100		4,144,542
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		3.850%		01/26/27		2,910		2,960,366
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,055		2,252,383
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		3,620		4,075,664
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		270		352,699
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		104		134,996
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%		01/14/22		1,910		2,080,151
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		1,025		1,114,383
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(c)	12/31/49		1,275		1,383,375
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(c)	04/29/49		2,000		2,079,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		2,930		3,111,317
JPMorgan Chase & Co., Sub. Notes		4.950%		06/01/45		515		574,516
JPMorgan Chase & Co., Sub. Notes		3.875%		09/10/24		3,775		3,894,830
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN		5.800%		01/13/20		1,870		2,034,384
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes		2.900%		02/06/25		3,080		3,052,145
Morgan Stanley, Jr. Sub. Notes		5.450%	(c)	12/31/49		840		869,820
Morgan Stanley, Sr. Unsec’d. Notes		4.375%		01/22/47		2,020		2,107,272
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,400		1,549,008
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		3.750%		02/25/23		940		977,424
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		1,290		1,430,423
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		6.625%		04/01/18		105		108,729
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.625%		09/23/19		1,415		1,520,157
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.375%		07/24/42		780		1,036,855
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		3,825		3,976,615
National City Corp., Sub. Notes		6.875%		05/15/19		3,370		3,666,907
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN (original cost $2,104,134; purchased 09/17/2015)(f)(g)		1.875%		09/17/18		2,110		2,113,148
People’s United Bank NA, Sub. Notes		4.000%		07/15/24		465		469,114
PNC Bank NA, Sr. Unsec’d. Notes		1.950%		03/04/19		515		515,935
PNC Bank NA, Sub. Notes		3.800%		07/25/23		270		283,606
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		1,210		1,220,441
								105,653,506
Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.700%		02/01/36		855		941,050
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes		4.900%		02/01/46		225		253,944
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%		11/15/39		1,285		1,970,551
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.200%		01/15/39		250		387,344
Constellation Brands, Inc., Gtd. Notes		4.250%		05/01/23		1,400		1,490,433
								5,043,322
Biotechnology — 0.1%
Amgen, Inc., Sr. Unsec’d. Notes		4.663%		06/15/51		1,834		1,942,487
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%		02/01/25		1,460		1,498,315
Gilead Sciences, Inc., Sr. Unsec’d. Notes		4.150%		03/01/47		40		40,186
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		145		175,767
								3,656,755

SEE NOTES TO FINANCIAL STATEMENTS.

A86

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Building Materials — 0.1%
Owens Corning, Inc., Gtd. Notes		4.200%			12/15/22		775	$	817,686
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g)		5.375%			11/15/24		1,400		1,475,250
									2,292,936
Chemicals — 0.3%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		3.150%			10/01/22		780		795,766
Celanese US Holdings LLC, Gtd. Notes		5.875%			06/15/21		1,500		1,682,621
CF Industries, Inc., Gtd. Notes		5.375%			03/15/44		585		522,113
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%			10/01/44		45		47,897
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%			05/15/39		347		583,218
LyondellBasell Industries NV, Sr. Unsec’d. Notes		4.625%			02/26/55		1,185		1,160,775
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%			04/15/19		600		627,265
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A		4.875%			09/19/22		2,000		2,127,500
Mosaic Co. (The), Sr. Unsec’d. Notes(a)		5.450%			11/15/33		345		363,984
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%			11/15/43		430		439,010
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%			06/01/25		460		562,787
Westlake Chemical Corp., Gtd. Notes		4.625%			02/15/21		950		983,250
									9,896,186
Commercial Services — 0.1%
ERAC USA Finance LLC, Gtd. Notes, 144A		4.200%			11/01/46		975		917,766
ERAC USA Finance LLC, Gtd. Notes, 144A(g)		6.375%			10/15/17		1,302		1,318,843
ERAC USA Finance LLC, Gtd. Notes, 144A(g)		6.700%			06/01/34		420		521,603
ERAC USA Finance LLC, Gtd. Notes, 144A(g)		7.000%			10/15/37		380		493,280
United Rentals North America, Inc., Gtd. Notes		5.875%			09/15/26		485		516,525
									3,768,017
Computers — 0.3%
Apple, Inc., Sr. Unsec’d. Notes		2.850%			05/11/24		6,145		6,174,773
Apple, Inc., Sr. Unsec’d. Notes		3.200%			05/13/25		1,350		1,378,764
Apple, Inc., Sr. Unsec’d. Notes		3.450%			02/09/45		890		836,296
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		3.480%			06/01/19		1,085		1,110,363
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A		4.420%			06/15/21		920		969,881
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.450%	(c)		10/05/17		1,295		1,298,235
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes		2.850%	(c)		10/05/18		735		741,289
Seagate HDD Cayman, Gtd. Notes		3.750%			11/15/18		605		619,520
									13,129,121
Diversified Financial Services — 0.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes		3.750%			05/15/19		775		796,026
Bear Stearns Cos. LLC, Gtd. Notes		6.400%			10/02/17		330		333,804
Bear Stearns Cos. LLC, Gtd. Notes		7.250%			02/01/18		1,175		1,211,855
Capital One Bank USA NA, Sub. Notes		3.375%			02/15/23		860		867,343
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%			07/24/24		800		819,670
Discover Financial Services, Sr. Unsec’d. Notes		3.850%			11/21/22		900		921,703
GE Capital International Funding Co., Gtd. Notes		2.342%			11/15/20		766		772,124
GE Capital International Funding Co., Gtd. Notes		4.418%			11/15/35		760		827,175
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%			01/20/43		560		632,856
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes		6.875%	(d)		02/06/12		1,715		107,187
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes		6.875%	(d)		05/02/18		700		44,520
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%			06/15/18		240		252,720
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		2.450%			07/15/24		475		476,654
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		3.250%			06/15/25		700		729,055
Synchrony Financial, Sr. Unsec’d. Notes		2.700%			02/03/20		2,700		2,713,692
									11,506,384

SEE NOTES TO FINANCIAL STATEMENTS.

A87

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Electric — 0.7%
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		6.350%		10/01/36		550	$	718,603
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%		04/01/36		310		398,261
Black Hills Corp., Sr. Unsec’d. Notes		2.500%		01/11/19		1,245		1,251,657
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%		03/15/33		590		813,094
Comision Federal De Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.750%		02/23/27		480		493,800
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%		01/15/24		645		681,281
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes		5.500%		12/01/39		220		269,904
Dominion Resources, Inc., Jr. Sub. Notes		4.104%	(c)	04/01/21		3,210		3,369,152
Duke Energy Carolinas LLC, First Mortgage		6.050%		04/15/38		550		720,393
Duke Energy Carolinas LLC, First Ref. Mortgage		4.000%		09/30/42		570		588,083
Dynegy, Inc., Gtd. Notes		6.750%		11/01/19		455		469,219
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		670		794,400
Eversource Energy, Sr. Unsec’d. Notes		4.500%		11/15/19		615		648,669
Exelon Corp., Jr. Sub. Notes		3.497%	(c)	06/01/22		3,470		3,545,094
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,425		1,554,887
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		355		405,499
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		295		374,121
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		145		175,605
Monongahela Power Co., First Mortgage, 144A		4.100%		04/15/24		2,170		2,305,393
Nevada Power Co., Gen. Ref. Mtge.		6.500%		05/15/18		1,260		1,312,437
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		610		645,501
NRG Energy, Inc., Gtd. Notes		7.250%		05/15/26		895		926,325
PSEG Power LLC, Gtd. Notes		3.000%		06/15/21		1,760		1,787,046
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		140		147,318
Public Service Electric & Gas Co., Sec’d. Notes, MTN		3.000%		05/15/27		1,130		1,132,284
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%		05/01/37		535		683,397
Southern California Edison Co., First Ref. Mortgage		3.600%		02/01/45		860		836,554
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%		05/07/19		665		671,119
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		512,551
								28,231,647
Food — 0.1%
Kraft Heinz Foods Co., Gtd. Notes		3.000%		06/01/26		1,630		1,559,993
Kraft Heinz Foods Co., Gtd. Notes		4.375%		06/01/46		475		465,184
Kraft Heinz Foods Co., Gtd. Notes		5.000%		07/15/35		815		881,323
Kroger Co. (The), Sr. Unsec’d. Notes		4.450%		02/01/47		335		322,909
								3,229,409
Forest Products & Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A(g)		5.400%		11/01/20		290		317,251
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		1,595		1,945,098
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		286		302,384
								2,564,733
Gas — 0.1%
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes		4.800%		11/01/43		65		68,680
Nisource Finance Corp., Gtd. Notes		3.490%		05/15/27		3,285		3,307,604
								3,376,284
Healthcare-Products — 0.3%
Abbott Laboratories, Sr. Unsec’d. Notes		2.000%		09/15/18		4,910		4,919,604
Becton Dickinson and Co., Sr. Unsec’d. Notes		3.700%		06/06/27		4,695		4,709,841
Becton Dickinson and Co., Sr. Unsec’d. Notes		3.734%		12/15/24		474		481,767
Medtronic, Inc., Gtd. Notes		3.500%		03/15/25		1,830		1,903,679
Medtronic, Inc., Gtd. Notes		4.375%		03/15/35		1,269		1,386,086
								13,400,977
Healthcare-Services — 0.4%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		515		694,822
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,380		1,908,816

SEE NOTES TO FINANCIAL STATEMENTS.

A88

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Healthcare-Services (continued)
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		390	$	421,037
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		360		387,984
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		650		817,192
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		670		849,026
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		640		664,000
HCA, Inc., Sr. Sec’d. Notes		4.250%		10/15/19		555		575,813
HCA, Inc., Sr. Sec’d. Notes		5.250%		04/15/25		400		430,000
Kaiser Foundation Hospitals, Gtd. Notes		4.150%		05/01/47		940		973,978
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		3.200%		02/01/22		190		193,907
New York & Presbyterian Hospital (The), Unsec’d. Notes		4.024%		08/01/45		445		453,306
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%		09/29/21		5,305		5,425,312
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		720		729,727
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		420		578,857
								15,103,777
Home Builders — 0.0%
D.R. Horton, Inc., Gtd. Notes		3.625%		02/15/18		450		452,795
Housewares — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		4.200%		04/01/26		1,695		1,799,729
Reckitt Benckiser Treasury Services PLC (United Kingdom), Gtd. Notes, 144A		3.000%		06/26/27		4,045		3,991,505
								5,791,234
Insurance — 0.6%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		525		568,791
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,980		2,013,420
AXIS Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		1,030		1,124,261
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes		3.125%		03/15/26		2,455		2,482,619
Chubb Corp. (The), Gtd. Notes		3.408%	(c)	04/15/37		1,300		1,290,250
Chubb INA Holdings, Inc., Gtd. Notes		4.350%		11/03/45		130		142,546
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		755		838,093
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		365		472,561
Liberty Mutual Group, Inc., Gtd. Notes, 144A		7.000%		03/15/34		850		1,084,948
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		772		948,156
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		186		209,118
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		200		214,769
New York Life Global Funding, Sec’d. Notes, 144A		1.950%		02/11/20		3,030		3,023,622
New York Life Insurance Co., Sub. Notes, 144A		6.750%		11/15/39		660		927,054
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		370		481,296
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		680		743,889
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		910		1,483,325
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		130		141,641
Progressive Corp. (The), Sr. Unsec’d. Notes		3.700%		01/26/45		710		690,635
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		4.270%		05/15/47		1,450		1,484,378
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		124		169,794
Travelers Cos., Inc.(The), Sr. Unsec’d. Notes		4.000%		05/30/47		890		910,445
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		350		382,928
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		460		496,441
								22,324,980
Lodging — 0.1%
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		580		588,868
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		980		1,002,119
Marriott International, Inc., Sr. Unsec’d. Notes		6.750%		05/15/18		2,800		2,918,023
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		490		492,145
								5,001,155
Machinery-Diversified — 0.0%
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,260		1,363,028

SEE NOTES TO FINANCIAL STATEMENTS.

A89

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Media — 0.4%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		515	$	643,417
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		90		118,808
AMC Networks, Inc., Gtd. Notes		5.000%		04/01/24		1,520		1,556,100
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		432		437,400
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A		5.375%		05/01/25		880		937,200
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.384%		10/23/35		875		1,037,184
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes		6.484%		10/23/45		1,386		1,663,495
Comcast Cable Communications Holdings, Inc., Gtd. Notes		9.455%		11/15/22		255		341,506
Comcast Corp., Gtd. Notes		6.400%		05/15/38		530		704,851
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes		5.000%		05/13/45		600		577,187
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		505		647,773
Myriad International Holdings BV (South Africa), Gtd. Notes		6.375%		07/28/17		1,300		1,300,645
Time Warner Cable, Inc., Sr. Sec’d. Notes		5.500%		09/01/41		360		386,879
Time Warner, Inc., Gtd. Notes		3.800%		02/15/27		385		387,603
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		210		250,811
Time Warner, Inc., Gtd. Notes		6.250%		03/29/41		1,465		1,789,751
Viacom, Inc., Sr. Unsec’d. Notes		5.250%		04/01/44		450		450,639
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		1,040		1,099,800
								14,331,049
Mining — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%		09/30/43		255		295,083
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A		6.250%	(c)	10/19/75		425		463,250
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		5.875%		04/23/45		530		566,618
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes		6.750%		04/16/40		425		489,509
								1,814,460
Miscellaneous Manufacturing — 0.0%
Actuant Corp., Gtd. Notes		5.625%		06/15/22		1,205		1,244,163
General Electric Co., Sr. Unsec’d. Notes, GMTN		6.000%		08/07/19		264		286,916
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		190		199,956
								1,731,035
Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.000%		05/10/19		1,410		1,413,945
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes		2.125%		09/27/21		2,270		2,256,788
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		2.400%		10/26/22		1,095		1,071,103
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes		4.375%		02/11/20		1,000		1,056,954
								5,798,790
Oil & Gas — 0.5%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(s)	10/10/36		2,000		824,570
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.600%		03/15/46		225		277,882
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		1,155		1,359,541
Apache Corp., Sr. Unsec’d. Notes		5.100%		09/01/40		325		332,033
ConocoPhillips Co., Gtd. Notes		4.950%		03/15/26		1,700		1,893,322
Devon Energy Corp., Sr. Unsec’d. Notes		5.000%		06/15/45		110		111,127
Devon Energy Corp., Sr. Unsec’d. Notes		5.600%		07/15/41		300		311,574
Devon Financing Corp. LLC, Gtd. Notes		7.875%		09/30/31		1,700		2,206,041
EOG Resources, Inc., Sr. Unsec’d. Notes		3.900%		04/01/35		1,020		989,210
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		4.950%		07/19/22		350		362,037
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%		03/07/22		580		639,828
Helmerich & Payne International Drilling Co., Gtd. Notes		4.650%		03/15/25		1,995		2,092,031
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		3.875%		04/19/22		550		544,280
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,070		1,016,286

SEE NOTES TO FINANCIAL STATEMENTS.

A90

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Oil & Gas (continued)
Noble Energy, Inc., Sr. Unsec’d. Notes		5.050%		11/15/44		1,200	$	1,232,423
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%		01/21/21		1,110		1,164,390
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%		06/02/41		1,255		1,246,215
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%	(c)	12/01/23		350		411,250
Petroleos Mexicanos (Mexico), Gtd. Notes, MTN		6.875%		08/04/26		1,000		1,108,000
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A		5.375%		03/13/22		450		473,737
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,500		1,560,081
Raizen Fuels Finance SA (Brazil), Gtd. Notes, 144A		5.300%		01/20/27		320		324,400
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A		2.500%		04/28/20		1,250		1,255,886
								21,736,144
Oil & Gas Services — 0.1%
Cameron International Corp., Gtd. Notes		4.500%		06/01/21		2,200		2,315,315
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A		4.000%		12/21/25		2,845		2,982,394
								5,297,709
Packaging & Containers — 0.0%
Ball Corp., Gtd. Notes		4.375%		12/15/20		630		661,500
WestRock RKT Co., Gtd. Notes		4.900%		03/01/22		800		871,859
								1,533,359
Pharmaceuticals — 0.2%
AbbVie, Inc., Sr. Unsec’d. Notes		3.600%		05/14/25		1,175		1,198,575
AbbVie, Inc., Sr. Unsec’d. Notes		4.500%		05/14/35		1,910		2,014,353
Actavis Funding SCS, Gtd. Notes		3.800%		03/15/25		475		491,316
Actavis Funding SCS, Gtd. Notes		4.550%		03/15/35		2,010		2,145,329
Actavis Funding SCS, Gtd. Notes		4.750%		03/15/45		178		192,145
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		445		480,552
Eli Lilly & Co., Sr. Unsec’d. Notes		3.100%		05/15/27		1,140		1,151,206
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a)		3.150%		10/01/26		610		579,304
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes		4.100%		10/01/46		195		179,611
Wyeth LLC, Gtd. Notes		6.450%		02/01/24		60		72,928
								8,505,319
Pipelines — 0.2%
DCP Midstream LLC, Gtd. Notes, 144A		5.350%		03/15/20		717		745,680
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%		06/01/21		675		712,041
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.900%		03/15/35		250		243,100
Enterprise Products Operating LLC, Gtd. Notes		3.700%		02/15/26		270		274,996
Enterprise Products Operating LLC, Gtd. Notes		3.750%		02/15/25		1,345		1,385,084
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%		02/15/18		510		522,599
MPLX LP, Sr. Unsec’d. Notes		4.000%		02/15/25		1,430		1,439,733
MPLX LP, Sr. Unsec’d. Notes		5.200%		03/01/47		40		41,195
ONEOK Partners LP, Gtd. Notes		6.650%		10/01/36		145		174,505
Williams Partners LP, Sr. Unsec’d. Notes		4.900%		01/15/45		1,000		1,001,313
Williams Partners LP, Sr. Unsec’d. Notes		5.100%		09/15/45		500		518,001
								7,058,247
Real Estate — 0.0%
ProLogis LP, Gtd. Notes		6.875%		03/15/20		72		79,878
Real Estate Investment Trusts (REITs) — 0.0%
Select Income REIT, Sr. Unsec’d. Notes		2.850%		02/01/18		715		717,971
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%		03/15/22		230		237,672
								955,643
Retail — 0.2%
CVS Health Corp., Sr. Unsec’d. Notes		5.125%		07/20/45		820		940,044
CVS Health Corp., Sr. Unsec’d. Notes		5.300%		12/05/43		225		259,295
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%		03/15/45		755		826,890
L Brands, Inc., Gtd. Notes		5.625%		02/15/22		1,450		1,551,500

SEE NOTES TO FINANCIAL STATEMENTS.

A91

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

CORPORATE BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Retail (continued)
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%			03/15/29		129	$	168,181
Macy’s Retail Holdings, Inc., Gtd. Notes(a)		3.875%			01/15/22		360		357,068
McDonald’s Corp., Sr. Unsec’d. Notes, MTN		3.700%			01/30/26		2,620		2,713,327
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a)		5.625%			12/01/25		1,375		1,407,656
Target Corp., Sr. Unsec’d. Notes		3.500%			07/01/24		345		357,342
									8,581,303
Savings & Loans — 0.0%
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%			12/06/22		1,455		1,485,596
Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A		3.875%			01/15/27		2,125		2,182,162
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		5.750%			03/15/23		1,500		1,578,750
									3,760,912
Software — 0.3%
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		3.625%			10/15/20		2,210		2,315,070
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes		2.850%			10/15/18		1,650		1,669,465
Microsoft Corp., Sr. Unsec’d. Notes		3.125%			11/03/25		1,380		1,408,065
Microsoft Corp., Sr. Unsec’d. Notes		2.375%			02/12/22		3,085		3,107,644
Microsoft Corp., Sr. Unsec’d. Notes		4.500%			02/06/57		1,125		1,238,623
Oracle Corp., Sr. Unsec’d. Notes		4.300%			07/08/34		920		998,210
									10,737,077
Telecommunications — 0.4%
Anixter, Inc., Gtd. Notes		5.625%			05/01/19		782		823,055
AT&T Corp., Gtd. Notes		8.250%	(c)		11/15/31		4		5,556
AT&T, Inc., Sr. Unsec’d. Notes		3.400%			05/15/25		3,460		3,401,491
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			05/15/35		430		423,031
AT&T, Inc., Sr. Unsec’d. Notes		4.500%			03/09/48		4		3,743
AT&T, Inc., Sr. Unsec’d. Notes		4.550%			03/09/49		844		797,560
AT&T, Inc., Sr. Unsec’d. Notes		4.750%			05/15/46		875		858,028
AT&T, Inc., Sr. Unsec’d. Notes		4.800%			06/15/44		1,000		991,044
AT&T, Inc., Sr. Unsec’d. Notes		5.150%			03/15/42		860		878,226
AT&T, Inc., Sr. Unsec’d. Notes		5.250%			03/01/37		65		69,250
AT&T, Inc., Sr. Unsec’d. Notes		5.350%			09/01/40		82		86,828
AT&T, Inc., Sr. Unsec’d. Notes		5.450%			03/01/47		65		69,974
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.125%	(c)		12/15/30		400		608,192
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, First Lien, 144A		3.360%	(c)		03/20/23		2,000		2,017,500
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.522%			09/15/48		2,120		2,005,715
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.672%			03/15/55		1,991		1,863,950
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.862%			08/21/46		216		216,037
									15,119,180
Transportation — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%			08/01/28		670		876,747
CSX Corp., Sr. Unsec’d. Notes		6.150%			05/01/37		715		919,092
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%			05/17/25		100		113,850
									1,909,689
TOTAL CORPORATE BONDS (cost $383,195,452)									397,877,579
MUNICIPAL BONDS — 0.5%
Alabama — 0.0%
Alabama Economic Settlement Authority		4.263%			09/15/32		240		252,353
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%			04/01/49		1,325		1,894,246
California Educational Facilities Authority		5.000%			06/01/46		750		1,001,693
State of California, GO, BABs		7.300%			10/01/39		1,270		1,857,134
State of California, GO, BABs		7.500%			04/01/34		475		689,795

SEE NOTES TO FINANCIAL STATEMENTS.

A92

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
California (continued)
State of California, GO, BABs		7.550%			04/01/39		245	$	373,865
State of California, GO, BABs		7.625%			03/01/40		215		327,565
									6,144,298
Colorado — 0.0%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%			11/01/50		680		915,307
Illinois — 0.0%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%			01/01/40		1,030		1,391,581
New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%			01/01/40		1,070		1,607,151
New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%			08/01/36		1,130		1,396,940
Ohio — 0.0%
Ohio State University (The), Revenue Bonds, BABs		4.910%			06/01/40		455		547,470
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%			12/01/34		300		341,775
									889,245
Oregon — 0.0%
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%			11/15/34		445		573,120
Pennsylvania — 0.0%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%			12/01/45		550		685,702
Tennessee — 0.0%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%			07/01/43		1,000		1,338,930
Texas — 0.1%
University of Texas System (The), Revenue Bonds, BABs		5.000%			08/15/47		1,490		1,954,701
Washington — 0.0%
Central Puget Sound Regional Transit Authority, Revenue Bonds, Series S-1		5.000%			11/01/46		950		1,245,573
TOTAL MUNICIPAL BONDS (cost $14,640,391)									18,394,901
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 2.0%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%			09/25/19		105		105,271
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%			01/25/36		1,088		1,013,568
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A		3.500%	(c)		07/26/36		1,502		1,499,887
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		3.475%	(c)		02/25/35		539		537,492
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		3.601%	(c)		03/25/35		186		180,191
Bayview Opportunity Master Fund Trust, Series 2016-CRT1, Class M1, 144A		2.972%	(c)		10/27/27		640		639,449
Bayview Opportunity Master Fund Trust, Series 2017-CRT1, Class M, 144A		3.372%	(c)		10/25/28		1,377		1,378,110
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		3.445%	(c)		02/25/37		463		465,408
CIM Trust, Series 2017-2, Class A1, 144A		3.051%	(c)		12/25/57		2,294		2,292,787
CIM Trust, Series 2017-3, Class A, 144A		3.051%	(c)		01/25/57		4,872		4,943,468
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1		3.366%	(c)		09/25/28		1,027		1,041,589
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1		3.416%	(c)		10/25/28		1,461		1,482,502
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1		2.666%	(c)		01/25/29		1,667		1,687,374
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2		4.766%	(c)		07/25/29		780		823,718
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2		4.216%	(c)		10/25/29		1,220		1,252,875
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1		2.116%	(c)		10/25/27		3,363		3,367,401
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1		2.666%	(c)		07/25/28		1,618		1,624,949
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2		2.516%	(c)		03/25/29		1,430		1,446,135
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2		3.466%	(c)		11/25/28		1,600		1,644,181
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2		2.516%	(c)		04/25/29		2,050		2,072,953

SEE NOTES TO FINANCIAL STATEMENTS.

A93

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1		2.416%	(c)	07/25/29		3,048	$	3,088,279
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		3.454%	(c)	07/25/35		240		240,054
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A		3.050%	(c)	09/01/21		1,537		1,537,434
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-1, Class A, 144A^		3.000%	(c)	01/01/22		2,996		2,989,500
LSTAR Securities Investment Ltd., Series 2017-3, Class A1, 144A		3.000%	(c)	04/01/22		3,189		3,222,359
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, Class A, 144A		3.020%	(c)	05/01/22		14,696		14,554,207
LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A		3.020%	(c)	05/01/22		10,400		10,292,328
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		21		21,219
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A^		2.317%	(c)	05/10/19		9,990		9,990,000
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A		2.287%	(c)	06/10/19		1,700		1,697,158
Mortgage Repurchase Agreement Financing Trust, Series 2017-1, Class A2, 144A		1.967%	(c)	07/10/19		2,710		2,711,139
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.396%	(c)	02/25/34		232		233,284
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		38		38,056
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $79,712,023)								80,114,325
SOVEREIGN BONDS — 0.9%
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, EMTN		1.125%		08/03/19		1,600		1,582,592
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		175		181,650
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.375%		07/12/21		500		532,000
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%		06/29/20		400		430,517
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN		2.375%		06/04/25		400		388,728
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%		03/25/19		580		598,776
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		2,280		2,563,860
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		7.625%		03/29/41		880		1,311,200
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes		4.875%		05/05/21		1,120		1,202,889
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN		5.875%		01/15/24		950		1,082,840
Japan Bank For International Cooperation (Japan), Gov’t. Gtd. Notes		1.500%		07/21/21		600		580,177
Japan Bank For International Cooperation (Japan), Gov’t. Gtd. Notes		2.250%		02/24/20		800		803,459
Japan Bank For International Cooperation/japan (Japan), Gov’t. Gtd. Notes		2.125%		06/01/20		1,400		1,399,841
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%		04/13/21		800		788,183
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.125%		10/25/23		1,400		1,355,088
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN		2.625%		04/20/22		2,000		2,002,698
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%		05/23/18		3,158		3,148,542
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		4.000%		10/02/23		566		591,979
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		1,006		1,007,006
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		3.750%		03/16/25		600		618,000
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		515		540,750
Province of Manitoba (Canada), Sr. Unsec’d. Notes		2.125%		06/22/26		200		189,750
Province of Ontario (Canada), Sr. Unsec’d. Notes		2.250%		05/18/22		795		794,553
Province of Ontario (Canada), Sr. Unsec’d. Notes		2.400%		02/08/22		385		387,971
Province of Ontario (Canada), Sr. Unsec’d. Notes		4.400%		04/14/20		385		410,605
Province of Quebec (Canada), Sr. Unsec’d. Notes		2.750%		04/12/27		2,950		2,937,005
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN		2.375%		10/26/21		1,325		1,303,800
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN		1.750%		03/10/21		3,100		3,081,716

SEE NOTES TO FINANCIAL STATEMENTS.

A94

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

SOVEREIGN BONDS (continued)	Interest Rate		Maturity Date		Principal Amount (000)#		Value
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A		2.500%		06/08/22		1,800	$	1,803,544
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		1,710		1,869,765
Uruguay Government International Bond (Uruguay), Sr. Unsec’d. Notes		5.100%		06/18/50		680		692,240
TOTAL SOVEREIGN BONDS (cost $35,906,807)								36,181,724
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.7%
Federal Home Loan Banks(k)		5.500%		07/15/36		1,080		1,461,779
Federal Home Loan Mortgage Corp., MTN		1.500%		01/17/20		1,705		1,703,568
Federal Home Loan Mortgage Corp.		2.500%		03/01/30		744		749,469
Federal Home Loan Mortgage Corp.		3.000%		TBA		3,000		2,993,438
Federal Home Loan Mortgage Corp.		3.000%		10/01/28		646		665,219
Federal Home Loan Mortgage Corp.		3.000%		06/01/29		1,488		1,530,237
Federal Home Loan Mortgage Corp.		3.000%		01/01/43		1,377		1,382,180
Federal Home Loan Mortgage Corp.		3.000%		07/01/43		2,710		2,715,991
Federal Home Loan Mortgage Corp.		3.000%		06/01/45		1,337		1,342,491
Federal Home Loan Mortgage Corp.		3.000%		06/01/45		5,310		5,326,969
Federal Home Loan Mortgage Corp.		3.500%		TBA		12,500		12,841,462
Federal Home Loan Mortgage Corp.		3.500%		12/01/25		608		636,112
Federal Home Loan Mortgage Corp.		3.500%		08/01/26		1,132		1,185,074
Federal Home Loan Mortgage Corp.		3.500%		03/01/42		845		871,714
Federal Home Loan Mortgage Corp.		3.500%		06/01/42		497		513,264
Federal Home Loan Mortgage Corp.		4.000%		TBA		11,000		11,568,604
Federal Home Loan Mortgage Corp.		4.000%		06/01/26		956		1,003,873
Federal Home Loan Mortgage Corp.		4.000%		09/01/26		502		527,477
Federal Home Loan Mortgage Corp.		4.000%		10/01/39		1,104		1,165,081
Federal Home Loan Mortgage Corp.		4.000%		12/01/40		572		604,256
Federal Home Loan Mortgage Corp.		4.000%		10/01/41		697		739,249
Federal Home Loan Mortgage Corp.		4.000%		01/01/42		231		243,745
Federal Home Loan Mortgage Corp.		4.000%		10/01/45		1,017		1,070,467
Federal Home Loan Mortgage Corp.		4.500%		02/01/19		3		2,808
Federal Home Loan Mortgage Corp.		4.500%		07/01/19		108		110,175
Federal Home Loan Mortgage Corp.		4.500%		07/01/20		75		77,073
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		440		473,144
Federal Home Loan Mortgage Corp.		4.500%		10/01/39		2,542		2,733,394
Federal Home Loan Mortgage Corp.		4.500%		12/01/39		775		833,324
Federal Home Loan Mortgage Corp.		4.500%		07/01/41		335		360,223
Federal Home Loan Mortgage Corp.		4.500%		07/01/41		2,535		2,725,858
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		832		894,840
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		252		270,813
Federal Home Loan Mortgage Corp.		4.500%		08/01/41		180		193,468
Federal Home Loan Mortgage Corp.		4.500%		10/01/41		303		324,797
Federal Home Loan Mortgage Corp.		5.000%		07/01/18		47		48,636
Federal Home Loan Mortgage Corp.		5.000%		12/01/18		26		26,446
Federal Home Loan Mortgage Corp.		5.000%		07/01/19		47		48,553
Federal Home Loan Mortgage Corp.		5.000%		07/01/19		88		90,504
Federal Home Loan Mortgage Corp.		5.000%		12/01/19		17		17,943
Federal Home Loan Mortgage Corp.		5.000%		05/01/34		36		38,938
Federal Home Loan Mortgage Corp.		5.000%		05/01/34		357		389,801
Federal Home Loan Mortgage Corp.		5.000%		08/01/35		37		40,803
Federal Home Loan Mortgage Corp.		5.000%		09/01/35		62		67,286
Federal Home Loan Mortgage Corp.		5.000%		10/01/36		57		62,250
Federal Home Loan Mortgage Corp.		5.000%		05/01/37		38		41,515
Federal Home Loan Mortgage Corp.		5.000%		07/01/37		754		825,973
Federal Home Loan Mortgage Corp.		5.000%		09/01/38		105		114,753
Federal Home Loan Mortgage Corp.		5.000%		09/01/38		87		95,802
Federal Home Loan Mortgage Corp.		5.000%		09/01/38		91		100,143
Federal Home Loan Mortgage Corp.		5.000%		02/01/39		35		38,569
Federal Home Loan Mortgage Corp.		5.000%		06/01/39		92		100,175

SEE NOTES TO FINANCIAL STATEMENTS.

A95

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value
Federal Home Loan Mortgage Corp.		5.500%	02/01/34		37	$	41,308
Federal Home Loan Mortgage Corp.		5.500%	04/01/34		341		376,974
Federal Home Loan Mortgage Corp.		5.500%	06/01/34		214		239,357
Federal Home Loan Mortgage Corp.		5.500%	06/01/34		200		223,317
Federal Home Loan Mortgage Corp.		5.500%	05/01/37		84		94,238
Federal Home Loan Mortgage Corp.		5.500%	02/01/38		649		719,733
Federal Home Loan Mortgage Corp.		5.500%	05/01/38		118		131,695
Federal Home Loan Mortgage Corp.		5.500%	07/01/38		565		628,282
Federal Home Loan Mortgage Corp.		6.000%	03/01/32		326		373,107
Federal Home Loan Mortgage Corp.		6.000%	12/01/33		108		120,941
Federal Home Loan Mortgage Corp.		6.000%	07/01/36		6		6,663
Federal Home Loan Mortgage Corp.		6.000%	12/01/36		14		15,511
Federal Home Loan Mortgage Corp.		6.000%	05/01/37		22		24,343
Federal Home Loan Mortgage Corp.		6.000%	12/01/37		53		60,269
Federal Home Loan Mortgage Corp.		6.000%	01/01/38		9		10,348
Federal Home Loan Mortgage Corp.		6.000%	01/01/38		449		505,072
Federal Home Loan Mortgage Corp.		6.000%	01/01/38		24		26,449
Federal Home Loan Mortgage Corp.		6.000%	10/01/38		104		118,596
Federal Home Loan Mortgage Corp.		6.000%	08/01/39		59		66,252
Federal Home Loan Mortgage Corp.		6.750%	03/15/31		700		1,012,766
Federal Home Loan Mortgage Corp.		7.000%	01/01/31		33		37,187
Federal Home Loan Mortgage Corp.		7.000%	06/01/31		33		37,102
Federal Home Loan Mortgage Corp.		7.000%	09/01/31		5		5,812
Federal Home Loan Mortgage Corp.		7.000%	10/01/31		65		74,423
Federal Home Loan Mortgage Corp.		7.000%	10/01/32		33		35,187
Federal National Mortgage Assoc.		1.875%	09/24/26		225		213,332
Federal National Mortgage Assoc.		2.000%	08/01/31		1,876		1,836,916
Federal National Mortgage Assoc.		2.500%	TBA		3,000		3,011,550
Federal National Mortgage Assoc.		2.500%	01/01/28		1,712		1,731,907
Federal National Mortgage Assoc.		2.500%	10/01/43		1,254		1,214,941
Federal National Mortgage Assoc.		3.000%	TBA		2,500		2,563,086
Federal National Mortgage Assoc.		3.000%	02/01/27		2,814		2,895,742
Federal National Mortgage Assoc.		3.000%	08/01/30		1,618		1,661,286
Federal National Mortgage Assoc.		3.000%	02/01/31		4,709		4,835,979
Federal National Mortgage Assoc.		3.000%	05/01/31		3,287		3,376,236
Federal National Mortgage Assoc.		3.000%	11/01/36		3,806		3,865,698
Federal National Mortgage Assoc.		3.000%	12/01/42		1,654		1,661,310
Federal National Mortgage Assoc.		3.000%	12/01/42		2,719		2,730,174
Federal National Mortgage Assoc.		3.000%	04/01/43		9,069		9,106,987
Federal National Mortgage Assoc.		3.000%	07/01/43		4,197		4,213,653
Federal National Mortgage Assoc.		3.000%	08/01/43		5,458		5,479,668
Federal National Mortgage Assoc.		3.500%	TBA		6,500		6,664,727
Federal National Mortgage Assoc.		3.500%	TBA		20,000		20,541,406
Federal National Mortgage Assoc.		3.500%	07/01/27		2,181		2,273,192
Federal National Mortgage Assoc.		3.500%	06/01/39		914		944,120
Federal National Mortgage Assoc.		3.500%	01/01/42		8,586		8,859,571
Federal National Mortgage Assoc.		3.500%	05/01/42		4,429		4,570,112
Federal National Mortgage Assoc.		3.500%	07/01/42		1,161		1,198,401
Federal National Mortgage Assoc.		3.500%	08/01/42		1,433		1,477,908
Federal National Mortgage Assoc.		3.500%	08/01/42		473		487,356
Federal National Mortgage Assoc.		3.500%	09/01/42		1,167		1,202,734
Federal National Mortgage Assoc.		3.500%	09/01/42		2,154		2,221,138
Federal National Mortgage Assoc.		3.500%	11/01/42		852		878,991
Federal National Mortgage Assoc.		3.500%	03/01/43		4,456		4,602,012
Federal National Mortgage Assoc.		3.500%	04/01/43		813		838,685
Federal National Mortgage Assoc.		3.500%	04/01/43		2,074		2,136,871
Federal National Mortgage Assoc.		3.500%	07/01/43		389		401,071
Federal National Mortgage Assoc.		4.000%	TBA		13,750		14,454,150
Federal National Mortgage Assoc.		4.000%	TBA		19,500		20,464,716

SEE NOTES TO FINANCIAL STATEMENTS.

A96

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value
Federal National Mortgage Assoc.		4.000%	10/01/41		4,177		$	4,407,635
Federal National Mortgage Assoc.		4.000%	09/01/44		4,326			4,549,888
Federal National Mortgage Assoc.		4.500%	TBA		4,500			4,827,129
Federal National Mortgage Assoc.		4.500%	11/01/18		52			52,768
Federal National Mortgage Assoc.		4.500%	01/01/19		78			79,773
Federal National Mortgage Assoc.		4.500%	01/01/19		22			22,386
Federal National Mortgage Assoc.		4.500%	02/01/19		47			48,348
Federal National Mortgage Assoc.		4.500%	05/01/19		41			42,183
Federal National Mortgage Assoc.		4.500%	07/01/33		78			84,276
Federal National Mortgage Assoc.		4.500%	08/01/33		21			22,962
Federal National Mortgage Assoc.		4.500%	09/01/33		70			75,179
Federal National Mortgage Assoc.		4.500%	10/01/33		185			198,788
Federal National Mortgage Assoc.		4.500%	03/01/34		54			58,717
Federal National Mortgage Assoc.		4.500%	01/01/35		4			4,042
Federal National Mortgage Assoc.		4.500%	07/01/39		1,262			1,369,635
Federal National Mortgage Assoc.		4.500%	08/01/39		990			1,074,334
Federal National Mortgage Assoc.		4.500%	09/01/39		735			790,939
Federal National Mortgage Assoc.		4.500%	12/01/39		8			8,553
Federal National Mortgage Assoc.		4.500%	03/01/41		2,434			2,643,150
Federal National Mortgage Assoc.		4.500%	07/01/42		201			217,458
Federal National Mortgage Assoc.		5.000%	TBA		7,000			7,646,407
Federal National Mortgage Assoc.		5.000%	10/01/18		19			19,837
Federal National Mortgage Assoc.		5.000%	01/01/19		45			46,545
Federal National Mortgage Assoc.		5.000%	03/01/34		365			399,213
Federal National Mortgage Assoc.		5.000%	04/01/35		873			958,040
Federal National Mortgage Assoc.		5.000%	06/01/35		216			237,004
Federal National Mortgage Assoc.		5.000%	07/01/35		219			240,062
Federal National Mortgage Assoc.		5.000%	07/01/35		156			171,202
Federal National Mortgage Assoc.		5.000%	09/01/35		136			149,757
Federal National Mortgage Assoc.		5.000%	11/01/35		132			145,439
Federal National Mortgage Assoc.		5.000%	02/01/36		124			136,119
Federal National Mortgage Assoc.		5.500%	12/01/17		6			5,891
Federal National Mortgage Assoc.		5.500%	02/01/18		4			3,932
Federal National Mortgage Assoc.		5.500%	05/01/20		36			37,485
Federal National Mortgage Assoc.		5.500%	01/01/21		129			134,855
Federal National Mortgage Assoc.		5.500%	02/01/33		243			272,128
Federal National Mortgage Assoc.		5.500%	08/01/33		271			304,760
Federal National Mortgage Assoc.		5.500%	10/01/33		78			87,836
Federal National Mortgage Assoc.		5.500%	12/01/33		71			79,984
Federal National Mortgage Assoc.		5.500%	12/01/34		220			245,330
Federal National Mortgage Assoc.		5.500%	10/01/35		928			1,032,698
Federal National Mortgage Assoc.		5.500%	03/01/36		158			176,487
Federal National Mortgage Assoc.		5.500%	04/01/36		168			188,049
Federal National Mortgage Assoc.		5.500%	01/01/37		106			118,151
Federal National Mortgage Assoc.		5.500%	04/01/37		60			66,938
Federal National Mortgage Assoc.		5.500%	05/01/37		360			402,714
Federal National Mortgage Assoc.		5.500%	08/01/37		426			477,178
Federal National Mortgage Assoc.		6.000%	09/01/17		—	(r)		302
Federal National Mortgage Assoc.		6.000%	05/01/21		116			121,882
Federal National Mortgage Assoc.		6.000%	10/01/33		435			501,882
Federal National Mortgage Assoc.		6.000%	11/01/33		48			53,422
Federal National Mortgage Assoc.		6.000%	11/01/33		46			51,436
Federal National Mortgage Assoc.		6.000%	01/01/34		421			480,244
Federal National Mortgage Assoc.		6.000%	02/01/34		162			185,446
Federal National Mortgage Assoc.		6.000%	03/01/34		3			3,614
Federal National Mortgage Assoc.		6.000%	03/01/34		64			71,947
Federal National Mortgage Assoc.		6.000%	03/01/34		18			20,345
Federal National Mortgage Assoc.		6.000%	11/01/34		74			83,172
Federal National Mortgage Assoc.		6.000%	01/01/35		240			274,545

SEE NOTES TO FINANCIAL STATEMENTS.

A97

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value
Federal National Mortgage Assoc.		6.000%	01/01/35		88		$	101,766
Federal National Mortgage Assoc.		6.000%	02/01/35		5			5,324
Federal National Mortgage Assoc.		6.000%	02/01/35		300			346,450
Federal National Mortgage Assoc.		6.000%	02/01/35		243			273,029
Federal National Mortgage Assoc.		6.000%	04/01/35		27			31,408
Federal National Mortgage Assoc.		6.000%	12/01/35		312			352,716
Federal National Mortgage Assoc.		6.000%	05/01/36		68			77,643
Federal National Mortgage Assoc.		6.000%	06/01/36		36			41,314
Federal National Mortgage Assoc.		6.000%	02/01/37		117			133,641
Federal National Mortgage Assoc.		6.000%	06/01/37		42			47,793
Federal National Mortgage Assoc.		6.000%	05/01/38		318			358,996
Federal National Mortgage Assoc.(k)(hh)		6.250%	05/15/29		1,935			2,625,720
Federal National Mortgage Assoc.		6.500%	07/01/17		—	(r)		62
Federal National Mortgage Assoc.		6.500%	09/01/17		1			762
Federal National Mortgage Assoc.		6.500%	09/01/32		51			56,501
Federal National Mortgage Assoc.		6.500%	09/01/32		15			16,397
Federal National Mortgage Assoc.		6.500%	09/01/32		10			11,090
Federal National Mortgage Assoc.		6.500%	09/01/32		51			56,717
Federal National Mortgage Assoc.		6.500%	09/01/32		7			8,237
Federal National Mortgage Assoc.		6.500%	10/01/32		60			66,924
Federal National Mortgage Assoc.		6.500%	04/01/33		90			101,233
Federal National Mortgage Assoc.		6.500%	11/01/33		74			81,895
Federal National Mortgage Assoc.		6.500%	01/01/34		61			68,491
Federal National Mortgage Assoc.		6.500%	09/01/34		79			87,447
Federal National Mortgage Assoc.		6.500%	10/01/34		143			159,800
Federal National Mortgage Assoc.		6.500%	09/01/36		226			259,213
Federal National Mortgage Assoc.		6.500%	10/01/36		50			56,886
Federal National Mortgage Assoc.		6.500%	11/01/36		79			87,750
Federal National Mortgage Assoc.		6.500%	01/01/37		42			46,693
Federal National Mortgage Assoc.		6.500%	01/01/37		119			132,794
Federal National Mortgage Assoc.		6.500%	09/01/37		26			29,274
Federal National Mortgage Assoc.(hh)		6.625%	11/15/30		630			900,687
Federal National Mortgage Assoc.		7.000%	02/01/32		40			45,307
Federal National Mortgage Assoc.		7.000%	03/01/32		2			2,027
Federal National Mortgage Assoc.		7.000%	05/01/32		21			24,760
Federal National Mortgage Assoc.		7.000%	06/01/32		16			18,402
Federal National Mortgage Assoc.		7.000%	07/01/32		64			71,720
Federal National Mortgage Assoc.(k)(hh)		7.125%	01/15/30		4,210			6,145,388
Federal National Mortgage Assoc.		7.500%	05/01/32		18			17,787
Government National Mortgage Assoc.		3.000%	03/15/45		1,847			1,867,847
Government National Mortgage Assoc.		3.000%	03/20/46		12,854			12,997,342
Government National Mortgage Assoc.		3.000%	02/20/47		6,960			7,037,661
Government National Mortgage Assoc.		3.500%	TBA		12,000			12,429,374
Government National Mortgage Assoc.		3.500%	12/20/42		2,866			2,981,615
Government National Mortgage Assoc.		3.500%	05/20/43		591			615,237
Government National Mortgage Assoc.		3.500%	03/20/45		2,853			2,958,211
Government National Mortgage Assoc.		3.500%	04/20/45		4,041			4,190,218
Government National Mortgage Assoc.		4.000%	TBA		9,500			9,996,523
Government National Mortgage Assoc.		4.000%	06/15/40		271			285,584
Government National Mortgage Assoc.		4.000%	05/20/41		482			510,951
Government National Mortgage Assoc.		4.000%	12/20/42		951			1,005,725
Government National Mortgage Assoc.		4.000%	12/20/45		3,025			3,185,618
Government National Mortgage Assoc.		4.500%	TBA		2,000			2,142,891
Government National Mortgage Assoc.		4.500%	04/15/40		1,268			1,364,640
Government National Mortgage Assoc.		4.500%	01/20/41		2,084			2,239,696
Government National Mortgage Assoc.		4.500%	02/20/41		1,342			1,442,205
Government National Mortgage Assoc.		4.500%	06/20/44		1,500			1,595,357
Government National Mortgage Assoc.		5.000%	10/20/37		239			264,075
Government National Mortgage Assoc.		5.000%	04/20/45		1,397			1,502,387

SEE NOTES TO FINANCIAL STATEMENTS.

A98

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value
Government National Mortgage Assoc.		5.500%	11/15/32		114		$	128,781
Government National Mortgage Assoc.		5.500%	02/15/33		95			107,291
Government National Mortgage Assoc.		5.500%	08/15/33		178			197,590
Government National Mortgage Assoc.		5.500%	08/15/33		158			177,680
Government National Mortgage Assoc.		5.500%	09/15/33		109			123,580
Government National Mortgage Assoc.		5.500%	09/15/33		84			93,024
Government National Mortgage Assoc.		5.500%	10/15/33		130			148,193
Government National Mortgage Assoc.		5.500%	12/15/33		23			26,321
Government National Mortgage Assoc.		5.500%	02/15/34		47			52,085
Government National Mortgage Assoc.		5.500%	04/15/34		474			535,742
Government National Mortgage Assoc.		5.500%	07/15/35		102			115,365
Government National Mortgage Assoc.		5.500%	02/15/36		143			162,347
Government National Mortgage Assoc.		6.000%	02/15/33		3			3,855
Government National Mortgage Assoc.		6.000%	04/15/33		24			27,582
Government National Mortgage Assoc.		6.000%	09/15/33		28			31,933
Government National Mortgage Assoc.		6.000%	12/15/33		156			177,244
Government National Mortgage Assoc.		6.000%	12/15/33		52			58,856
Government National Mortgage Assoc.		6.000%	01/15/34		27			31,196
Government National Mortgage Assoc.		6.000%	01/15/34		42			47,042
Government National Mortgage Assoc.		6.000%	06/20/34		107			121,704
Government National Mortgage Assoc.		6.000%	07/15/34		233			264,637
Government National Mortgage Assoc.		6.000%	10/15/34		214			244,383
Government National Mortgage Assoc.		6.500%	10/15/23		1			1,466
Government National Mortgage Assoc.		6.500%	12/15/23		7			7,245
Government National Mortgage Assoc.		6.500%	01/15/24		24			25,786
Government National Mortgage Assoc.		6.500%	01/15/24		78			85,449
Government National Mortgage Assoc.		6.500%	01/15/24		6			6,452
Government National Mortgage Assoc.		6.500%	01/15/24		28			30,171
Government National Mortgage Assoc.		6.500%	01/15/24		2			2,335
Government National Mortgage Assoc.		6.500%	01/15/24		3			3,164
Government National Mortgage Assoc.		6.500%	01/15/24		2			2,546
Government National Mortgage Assoc.		6.500%	02/15/24		6			6,807
Government National Mortgage Assoc.		6.500%	02/15/24		23			25,654
Government National Mortgage Assoc.		6.500%	02/15/24		38			41,440
Government National Mortgage Assoc.		6.500%	02/15/24		28			31,026
Government National Mortgage Assoc.		6.500%	02/15/24		5			5,788
Government National Mortgage Assoc.		6.500%	02/15/24		5			5,521
Government National Mortgage Assoc.		6.500%	02/15/24		1			866
Government National Mortgage Assoc.		6.500%	02/15/24		—	(r)		527
Government National Mortgage Assoc.		6.500%	02/15/24		11			11,956
Government National Mortgage Assoc.		6.500%	02/15/24		25			26,947
Government National Mortgage Assoc.		6.500%	02/15/24		7			8,156
Government National Mortgage Assoc.		6.500%	03/15/24		11			11,690
Government National Mortgage Assoc.		6.500%	04/15/24		3			3,334
Government National Mortgage Assoc.		6.500%	04/15/24		6			6,992
Government National Mortgage Assoc.		6.500%	04/15/24		12			13,205
Government National Mortgage Assoc.		6.500%	04/15/24		1			1,409
Government National Mortgage Assoc.		6.500%	04/15/24		6			6,940
Government National Mortgage Assoc.		6.500%	04/15/24		20			21,655
Government National Mortgage Assoc.		6.500%	04/15/24		3			3,488
Government National Mortgage Assoc.		6.500%	04/15/24		3			3,444
Government National Mortgage Assoc.		6.500%	05/15/24		—	(r)		284
Government National Mortgage Assoc.		6.500%	05/15/24		20			21,570
Government National Mortgage Assoc.		6.500%	05/15/24		20			21,802
Government National Mortgage Assoc.		6.500%	10/15/24		31			34,914
Government National Mortgage Assoc.		6.500%	12/15/30		12			12,936
Government National Mortgage Assoc.		6.500%	01/15/32		25			28,063
Government National Mortgage Assoc.		6.500%	02/15/32		25			28,498
Government National Mortgage Assoc.		6.500%	07/15/32		55			60,198

SEE NOTES TO FINANCIAL STATEMENTS.

A99

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
Government National Mortgage Assoc.		6.500%			08/15/32		9	$	9,640
Government National Mortgage Assoc.		6.500%			08/15/32		10		11,425
Government National Mortgage Assoc.		6.500%			08/15/32		38		41,701
Government National Mortgage Assoc.		6.500%			08/15/32		269		316,063
Government National Mortgage Assoc.		6.500%			06/15/35		52		60,411
Government National Mortgage Assoc.		6.500%			06/15/35		6		6,158
Government National Mortgage Assoc.		6.500%			07/15/35		8		8,294
Government National Mortgage Assoc.		8.000%			01/15/24		11		11,568
Government National Mortgage Assoc.		8.000%			04/15/25		10		10,889
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%			06/30/22		3,948		4,043,455
Iraq Government AID Bond, U.S. Gov’t. Gtd. Notes		2.149%			01/18/22		1,400		1,398,807
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%			04/26/24		1,090		1,301,228
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.804%	(s)		01/15/30		950		653,788
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.967%	(s)		04/15/30		2,100		1,433,011
Tennessee Valley Authority, Sr. Unsec’d. Notes		2.875%			02/01/27		410		419,612
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%			05/01/30		705		1,021,331
Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes		1.471%			09/29/21		800		782,194
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $347,118,143)									348,379,636
U.S. TREASURY OBLIGATIONS — 4.4%
U.S. Treasury Bonds		2.500%			02/15/45		110		102,657
U.S. Treasury Bonds		3.000%			02/15/47		6,700		6,911,465
U.S. Treasury Bonds		4.250%			11/15/40		10,755		13,515,174
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%			04/15/22		3,735		3,717,089
U.S. Treasury Inflation Indexed Bonds, TIPS		0.250%			01/15/25		26,777		26,301,777
U.S. Treasury Notes(a)		1.750%			05/31/22		2,330		2,316,348
U.S. Treasury Notes		1.750%			06/30/22		630		625,915
U.S. Treasury Notes		1.875%			04/30/22		2,735		2,734,467
U.S. Treasury Notes		2.000%			05/31/24		3,605		3,575,990
U.S. Treasury Notes		2.000%			06/30/24		16,585		16,438,588
U.S. Treasury Notes		2.125%			06/30/21		23,810		24,152,269
U.S. Treasury Notes		2.125%			09/30/21		42,715		43,297,333
U.S. Treasury Notes		2.125%			05/15/25		15,885		15,785,099
U.S. Treasury Strips Coupon		2.184%	(s)		02/15/28		5,465		4,201,055
U.S. Treasury Strips Coupon(k)		2.241%	(s)		05/15/28		2,735		2,086,622
U.S. Treasury Strips Coupon		2.280%	(s)		02/15/29		2,735		2,040,250
U.S. Treasury Strips Coupon		2.384%	(s)		05/15/29		5,640		4,174,931
U.S. Treasury Strips Coupon		2.783%	(s)		08/15/29		1,400		1,028,569
U.S. Treasury Strips Coupon		2.878%	(s)		05/15/31		1,400		972,019
U.S. Treasury Strips Coupon		3.042%	(s)		11/15/35		2,800		1,689,957
U.S. Treasury Strips Coupon		3.202%	(s)		08/15/40		2,800		1,433,060
TOTAL U.S. TREASURY OBLIGATIONS (cost $177,385,362)									177,100,634
TOTAL LONG-TERM INVESTMENTS (cost $3,239,305,341)									3,790,772,769
SHORT-TERM INVESTMENTS — 9.8%						Shares
AFFILIATED MUTUAL FUNDS — 9.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)							14,174,120		131,677,575
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)							219,882,511		219,882,511
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $41,596,724; includes $41,566,070 of cash collateral for securities on loan)(b)(w)							41,595,327		41,599,486
TOTAL AFFILIATED MUTUAL FUNDS (cost $400,539,838)									393,159,572

SEE NOTES TO FINANCIAL STATEMENTS.

A100

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

OPTIONS PURCHASED* — 0.0%	Interest Rate			Maturity Date		Notional Amount (000)#		Value
Call Options
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $127.00							410	$	32,031
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $130.00							410		—
TOTAL OPTIONS PURCHASED (cost $161,731)									32,031
						Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bill (cost $149,672)(k)		0.979%	(n)		09/21/17		150		149,676
TOTAL SHORT-TERM INVESTMENTS (cost $400,851,241)									393,341,279
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.5% (cost $3,640,156,582)									4,184,114,048
						Notional Amount (000)#
OPTION WRITTEN* — (0.0)%
Call Option
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $128.50 (premiums received $62,488)							820		(12,813	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.5% (cost $3,640,094,094)									4,184,101,235
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (4.5)%									(180,131,808	)
NET ASSETS — 100.0%								$	4,003,969,427

See Glossary for abbreviations used in the semiannual report.

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

* Non-income producing security.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $18,329,375 and 0.5% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $40,467,970; cash collateral of $41,566,070 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

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

(f) Indicates a restricted security; the aggregate original cost of such securities is $2,104,134. The aggregate value, $2,113,148, is approximately 0.1% of net assets.

(g) Indicates a security that has been deemed illiquid; the aggregate value of $6,248,921 is 0.2% of net assets.

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

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

(p) Interest rate not available as of June 30, 2017.

(r) Less than $500 par.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A101

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

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

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

Futures contracts outstanding at June 30, 2017:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2017		Unrealized Appreciation (Depreciation)
Long Positions:
49		10 Year U.S. Ultra Treasury Bonds		Sep. 2017	$	6,640,918	$	6,605,812	$	(35,106	)
330		2 Year U.S. Treasury Notes		Sep. 2017		71,387,469		71,316,094		(71,375	)
569		30 Year U.S. Ultra Treasury Bonds		Sep. 2017		92,522,770		94,382,875		1,860,105
1,335		5 Year U.S. Treasury Notes		Sep. 2017		157,709,322		157,310,977		(398,345	)
13		Mini MSCI EAFE Index		Sep. 2017		1,224,316		1,228,240		3,924
										1,359,203
Short Positions:
85		10 Year U.S. Treasury Notes		Sep. 2017		10,685,960		10,670,156		15,804
473		20 Year U.S. Treasury Bonds		Sep. 2017		72,348,146		72,694,188		(346,042	)
										(330,238	)
									$	1,028,965

Securities with a combined market value of $2,628,137 have been segregated with Citigroup Global Markets and a security with a market value of $149,676 has been segregated with Goldman Sachs & Co. to cover requirements for open futures contracts at June 30, 2017.

Interest rate swap agreements outstanding at June 30, 2017:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2017			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	152,125		09/09/17		0.539%	1 Day USOIS(1)	$	437		$	362,732		$	362,295
	127,920		10/18/17		0.607%	1 Day USOIS(1)		265			321,349			321,084
	71,095		11/09/17		0.626%	1 Day USOIS(1)		310			199,498			199,188
	5,860		11/30/21		1.762%	3 Month LIBOR(2)		—			(38,533	)		(38,533	)
	2,730		05/31/23		1.203%	3 Month LIBOR(1)		165			125,619			125,454
	2,470		05/31/23		1.399%	3 Month LIBOR(1)		(44,913	)		86,090			131,003
	10,615		08/15/23		1.459%	3 Month LIBOR(1)		503,843			314,574			(189,269	)
	6,926		11/15/23		2.209%	3 Month LIBOR(1)		132			(72,016	)		(72,148	)
	4,500		02/15/24		2.115%	3 Month LIBOR(1)		11,293			(10,245	)		(21,538	)
	9,164		02/15/24		2.151%	3 Month LIBOR(1)		(9,366	)		(41,410	)		(32,044	)
	545		02/15/24		2.167%	3 Month LIBOR(1)		(4,994	)		(3,008	)		1,986
	4,980		02/15/24		2.183%	3 Month LIBOR(1)		(9,862	)		(32,633	)		(22,771	)
	7,420		09/04/25		2.214%	3 Month LIBOR(1)		203			(68,068	)		(68,271	)
	28,775		01/08/26		2.210%	3 Month LIBOR(1)		292			(260,424	)		(260,716	)
	330		05/15/26		1.652%	3 Month LIBOR(1)		12			14,957			14,945
	6,468		02/15/27		1.824%	1 Day USOIS(1)		59,900			90,865			30,965
	8,300		02/15/36		2.338%	3 Month LIBOR(2)		(51,426	)		(210,476	)		(159,050	)
							$	456,291		$	778,871		$	322,580

Securities with a combined market value of $2,720,021 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

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

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

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

SEE NOTES TO FINANCIAL STATEMENTS.

A102

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	2,346,306,645		$	41,963,611	$	—
Unaffiliated Exchange Traded Fund		231,591			—		—
Preferred Stocks		571,560			455,229		—
Asset-Backed Securities
Automobiles		—			51,110,029		2,399,875
Collateralized Loan Obligations		—			60,564,887		—
Consumer Loans		—			12,620,162		—
Credit Cards		—			21,269,865		—
Equipment		—			3,507,735		—
Home Equity Loans		—			6,164,455		2,950,000
Other		—			1,684,411		—
Residential Mortgage-Backed Securities		—			6,574,785		—
Bank Loans		—			2,433,053		—
Commercial Mortgage-Backed Securities		—			171,916,077		—
Corporate Bonds		—			397,877,579		—
Municipal Bonds		—			18,394,901		—
Residential Mortgage-Backed Securities		—			67,134,825		12,979,500
Sovereign Bonds		—			36,181,724		—
U.S. Government Agency Obligations		—			348,379,636		—
U.S. Treasury Obligations		—			177,250,310		—
Affiliated Mutual Funds		393,159,572			—		—
Options Purchased		32,031			—		—
Option Written		(12,813	)		—		—
Other Financial Instruments*
Futures Contracts		1,028,965			—		—
Centrally Cleared Interest Rate Swap Agreements		—			322,580		—
Total	$	2,741,317,551		$	1,425,805,854	$	18,329,375

* 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, Level 2 and Level 3 to report.

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

Affiliated Mutual Funds (including 1.0% of collateral for securities on loan)	9.8	%
U.S. Government Agency Obligations	8.7
Banks	6.4
U.S. Treasury Obligations	4.4
Commercial Mortgage-Backed Securities	4.3
Software	3.6
Internet Software & Services	3.1
Oil, Gas & Consumable Fuels	3.0
Pharmaceuticals	2.8
Insurance	2.6
Technology Hardware, Storage & Peripherals	2.4
Semiconductors & Semiconductor Equipment	2.3
Biotechnology	2.3

Residential Mortgage-Backed Securities	2.2	%
Health Care Equipment & Supplies	2.1
Health Care Providers & Services	2.0
Automobiles	2.0
IT Services	1.9
Media	1.8
Diversified Telecommunication Services	1.6
Chemicals	1.6
Collateralized Loan Obligations	1.5
Food & Staples Retailing	1.5
Hotels, Restaurants & Leisure	1.5
Aerospace & Defense	1.5
Equity Real Estate Investment Trusts (REITs)	1.3
Capital Markets	1.3

SEE NOTES TO FINANCIAL STATEMENTS.

A103

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Industry classification (cont.)

Internet & Direct Marketing Retail	1.2	%
Road & Rail	1.0
Food Products	1.0
Industrial Conglomerates	1.0
Beverages	0.9
Sovereign Bonds	0.9
Machinery	0.9
Specialty Retail	0.9
Household Products	0.8
Electric Utilities	0.8
Diversified Financial Services	0.8
Tobacco	0.7
Electric	0.7
Consumer Finance	0.6
Metals & Mining	0.6
Oil & Gas	0.5
Credit Cards	0.5
Household Durables	0.5
Communications Equipment	0.5
Municipal Bonds	0.5
Air Freight & Logistics	0.5
Electrical Equipment	0.5
Distributors	0.4
Multiline Retail	0.4
Telecommunications	0.4
Healthcare-Services	0.4
Auto Manufacturers	0.4
Textiles, Apparel & Luxury Goods	0.4
Real Estate Management & Development	0.4
Containers & Packaging	0.3
Healthcare-Products	0.3
Computers	0.3
Construction & Engineering	0.3
Consumer Loans	0.3
Auto Components	0.3
Independent Power & Renewable Electricity Producers	0.3
Home Equity Loans	0.2
Retail	0.2
Airlines	0.2
Gas Utilities	0.2
Multi-Utilities	0.2
Pipelines	0.2
Life Sciences Tools & Services	0.2
Multi-National	0.1

Housewares	0.1	%
Trading Companies & Distributors	0.1
Oil & Gas Services	0.1
Agriculture	0.1
Lodging	0.1
Energy Equipment & Services	0.1
Wireless Telecommunication Services	0.1
Commercial Services	0.1
Semiconductors	0.1
Building Products	0.1
Equipment	0.1
Gas	0.1
Food	0.1
Personal Products	0.1
Forest Products & Paper	0.1
Commercial Services & Supplies	0.1
Technology	0.1
Auto Parts & Equipment	0.1
Professional Services	0.1
Building Materials	0.1
Transportation	0.1
Mining	0.1
Other	0.1
Miscellaneous Manufacturing	0.0	*
Packaging & Containers	0.0	*
Savings & Loans	0.0	*
Machinery-Diversified	0.0	*
Health Care Technology	0.0	*
Aerospace/Defense	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Electronic Equipment, Instruments & Components	0.0	*
Paper & Forest Products	0.0	*
Home Builders	0.0	*
Unaffiliated Exchange Traded Funds	0.0	*
Transportation Infrastructure	0.0	*
Real Estate	0.0	*
Marine	0.0	*
Options Purchased	0.0	*
Leisure Products	0.0	*
	104.5
Option Written	(0.0	)*
Liabilities in excess of other assets	(4.5	)
	100.0	%

* Less than +/- 0.05%

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

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

Fair values of derivative instruments as of June 30, 2017 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	$	3,924	*	—	$	—
Interest rate contracts	Due from/to broker —variation margin futures		1,875,909	*	Due from/to broker —variation margin futures		850,868	*

SEE NOTES TO FINANCIAL STATEMENTS.

A104

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due from/to broker — variation margin swaps	$	1,186,920	*	Due from/to broker — variation margin swaps	$	864,340	*
Interest rate contracts	Unaffiliated investments		32,031		Options written outstanding, at value		12,813
Total		$	3,098,784			$	1,728,021

* 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 six months ended June 30, 2017 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(1)			Options Written		Futures		Forward Rate Agreements		Swaps			Total
Credit contracts	$	—		$	—	$	—	$	—	$	(268,098	)	$	(268,098	)
Equity contracts		—			—		129,587		—		—			129,587
Interest rate contracts		(467,779	)		119,368		4,091,918		32,034		1,570,400			5,345,941
Total	$	(467,779	)	$	119,368	$	4,221,505	$	32,034	$	1,302,302		$	5,207,430

(1) 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(2)			Options Written		Futures		Swaps			Total
Credit contracts	$	—		$	—	$	—	$	(108,099	)	$	(108,099	)
Equity contracts		—			—		9,949		—			9,949
Interest rate contracts		(129,700	)		49,675		1,737,510		(2,724,151	)		(1,066,666	)
Total	$	(129,700	)	$	49,675	$	1,747,459	$	(2,832,250	)	$	(1,164,816	)

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

For the six months ended June 30, 2017, the average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(3)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)
$163,994	$425,667	$417,712,715	$53,466,448

Credit Default Swap Agreements— Buy Protection(3)	Interest Rate Swap Agreements(3)
$34,333,333	$465,551,333

(1) Cost.

(2) Value at Trade Date.

(3) Notional Amount in USD.

SEE NOTES TO FINANCIAL STATEMENTS.

A105

FLEXIBLE MANAGED PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Financial instruments/transactions — summary of offsetting and netting arrangements:

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received(2)			Net Amount
Securities on Loan	$	40,467,970	$	(40,467,970	)	$	—

(1) Amount represents market value.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A106

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

ASSETS
Investments at value, including securities on loan of $40,467,970:
Unaffiliated investments (cost $3,239,616,744)	$	3,790,954,476
Affiliated investments (cost $400,539,838)		393,159,572
Cash		143,247
Foreign currency, at value (cost $206,662)		209,785
Receivable for investments sold		130,296,374
Dividends and interest receivable		9,544,161
Due from broker—variation margin futures		975
Tax reclaim receivable		659,862
Due from broker—variation margin swaps		223,831
Receivable for Series shares sold		902
Prepaid expenses		4,307
Receivable from affiliate		5,425
Total Assets		4,325,202,917
LIABILITIES
Payable for investments purchased		275,958,051
Payable to broker for collateral for securities on loan		41,566,070
Management fee payable		1,986,174
Payable for Series shares repurchased		933,501
Due to broker—variation margin futures		371,300
Options written outstanding, at value (premiums received $62,488)		12,813
Affiliated transfer agent fee payable		980
Accrued expenses and other liabilities		404,601
Total Liabilities		321,233,490
NET ASSETS	$	4,003,969,427
Net assets were comprised of:
Paid-in capital	$	1,933,819,763
Retained earnings		2,070,149,664
Net assets, June 30, 2017	$	4,003,969,427
Net asset value and redemption price per share $4,003,969,427 / 145,425,046 outstanding shares of beneficial interest	$	27.53

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $92,164, of which $17,954 is reimbursable by an affiliate)	$	24,506,878
Interest income (net) (foreign withholding taxes of $1,510)		17,573,197
Affiliated dividend income		2,362,068
Income from securities lending, net (including affiliated income of $55,981)		67,401
Total income		44,509,544
EXPENSES
Management fee		11,840,540
Custodian and accounting fees		257,000
Shareholders’ reports		118,000
Audit fee		22,000
Trustees’ fees		22,000
Legal fees and expenses		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		54,201
Total expenses		12,328,741
NET INVESTMENT INCOME (LOSS)		32,180,803
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of: $8,659)		156,434,790
Futures transactions		4,221,505
Forward rate agreement transactions		32,034
Options written transactions		119,368
Short sales transactions		(225,630	)
Swap agreement transactions		1,302,302
Foreign currency transactions		(4,784	)
		161,879,585
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of: $276,932)		35,556,597
Futures		1,747,459
Options written		49,675
Swap agreements		(2,832,250	)
Foreign currencies		59,188
		34,580,669
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		196,460,254
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	228,641,057

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	32,180,803		$	67,711,730
Net realized gain (loss) on investment and foreign currency transactions		161,879,585			129,427,295
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		34,580,669			111,497,510
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		228,641,057			308,636,535
SERIES SHARE TRANSACTIONS
Series shares sold [109,356 and 950,649 shares, respectively]		2,951,309			23,434,776
Series shares repurchased [4,352,986 and 8,662,738 shares, respectively]		(117,456,163	)		(214,255,950	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(114,504,854	)		(190,821,174	)
CAPITAL CONTRIBUTIONS		—			3,201,924
TOTAL INCREASE (DECREASE)		114,136,203			121,017,285
NET ASSETS:
Beginning of period		3,889,833,224			3,768,815,939
End of period	$	4,003,969,427		$	3,889,833,224

SEE NOTES TO FINANCIAL STATEMENTS.

A107

GLOBAL PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

LONG-TERM INVESTMENTS — 96.3%
COMMON STOCKS — 96.0%	Shares		Value
Australia — 2.2%
Arrium Ltd.*^(g)		894,400	$	69
Asaleo Care Ltd.		733,400		827,909
Ausdrill Ltd.		123,200		173,813
Bendigo & Adelaide Bank Ltd.		158,500		1,349,242
BHP Billiton PLC		202,794		3,106,964
Caltex Australia Ltd.		26,000		631,364
CSL Ltd.		39,297		4,170,571
CSR Ltd.		334,900		1,088,424
Downer EDI Ltd.		182,200		897,497
Fortescue Metals Group Ltd.		129,900		520,001
Harvey Norman Holdings Ltd.(a)		168,800		495,678
LendLease Group		124,300		1,590,862
Macquarie Group Ltd.		51,282		3,487,366
Metcash Ltd.*		412,500		760,960
Mineral Resources Ltd.		64,000		533,334
Myer Holdings Ltd.(a)		567,600		364,310
National Australia Bank Ltd.		33,588		764,073
Qantas Airways Ltd.		387,619		1,703,793
Wesfarmers Ltd.		32,100		989,801
				23,456,031
Austria — 0.3%
OMV AG		36,200		1,880,328
Voestalpine AG		28,800		1,342,365
				3,222,693
Belgium — 0.3%
AGFA-Gevaert NV*		86,100		418,843
Bekaert SA		13,500		686,810
KBC Group NV		21,519		1,631,554
Ontex Group NV		21,400		760,255
				3,497,462
Bermuda — 0.3%
XL Group Ltd.		78,402		3,434,008
Brazil — 0.2%
Cielo SA		263,000		1,960,850
Canada — 2.6%
Brookfield Asset Management, Inc. (Class A Stock)		112,409		4,407,557
Canadian National Railway Co.		62,507		5,071,704
Canadian Natural Resources Ltd.		79,700		2,298,548
Canadian Pacific Railway Ltd.		13,323		2,142,472
Constellation Software, Inc.		6,837		3,576,719
Suncor Energy, Inc.		105,302		3,076,722
Toronto-Dominion Bank (The)		73,986		3,728,397
TransCanada Corp.(a)		50,852		2,424,115
				26,726,234
China — 2.1%
Alibaba Group Holding Ltd., ADR*(a)		73,998		10,426,318
China Merchants Bank Co. Ltd. (Class H Stock)		1,103,000		3,323,760
China Resources Cement Holdings Ltd.		886,000		440,194
NetEase, Inc., ADR		10,421		3,132,865
Tencent Holdings Ltd.		113,600		4,075,396
				21,398,533

COMMON STOCKS (continued)	Shares		Value
Denmark — 0.6%
Danske Bank A/S		61,200	$	2,354,553
Dfds A/S		11,300		602,414
Novo Nordisk A/S (Class B Stock)		76,777		3,298,899
				6,255,866
Finland — 0.5%
Sampo OYJ (Class A Stock)		65,912		3,381,663
Tieto OYJ		18,100		559,951
UPM-Kymmene OYJ		57,300		1,633,897
				5,575,511
France — 4.8%
Arkema SA		33,507		3,578,278
Atos SE		15,600		2,188,850
AXA SA		46,300		1,267,852
BNP Paribas SA		85,753		6,173,605
Carrefour SA		47,800		1,208,479
Cie Generale des Etablissements Michelin		12,000		1,597,132
CNP Assurances		46,700		1,048,240
Credit Agricole SA		78,500		1,264,509
Electricite de France SA		61,800		669,602
Engie SA		35,200		531,301
LVMH Moet Hennessy Louis Vuitton SE		18,720		4,681,047
Orange SA		79,700		1,268,421
Renault SA		12,300		1,112,849
Sanofi		39,200		3,756,151
SCOR SE		22,000		874,013
Societe Generale SA		28,600		1,542,278
TOTAL SA		114,875		5,703,213
TOTAL SA, ADR(a)		125,450		6,221,065
Valeo SA		84,650		5,695,173
				50,382,058
Germany — 3.1%
Allianz SE		9,800		1,933,957
Aurubis AG		14,200		1,117,064
BASF SE		16,400		1,522,072
Bayer AG		14,100		1,827,508
Bayerische Motoren Werke AG		12,200		1,134,691
Daimler AG		27,600		2,001,795
Deutsche Bank AG		40,650		722,750
Deutsche Lufthansa AG		54,200		1,235,196
Deutsche Post AG		34,500		1,295,072
Evonik Industries AG		36,500		1,168,213
Hannover Rueck SE		4,500		540,512
Infineon Technologies AG		195,151		4,145,128
METRO AG		46,000		1,553,982
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		5,300		1,072,473
Rational AG		2,475		1,319,769
Rheinmetall AG		13,300		1,265,945
Siemens AG		46,353		6,376,052
STADA Arzneimittel AG		8,100		575,352
Uniper SE		38,700		727,186
Volkswagen AG		7,400		1,149,338
				32,684,055

SEE NOTES TO FINANCIAL STATEMENTS.

A108

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Hong Kong — 1.5%
AIA Group Ltd.		737,600	$	5,396,548
Kingboard Chemical Holdings Ltd.		216,000		859,842
Lee & Man Paper Manufacturing Ltd.		1,244,000		1,154,184
PCCW Ltd.		870,000		494,433
Sands China Ltd.		660,000		3,021,176
Singamas Container Holdings Ltd.*		2,676,000		414,650
Skyworth Digital Holdings Ltd.		1,072,000		665,592
WH Group Ltd., 144A		1,914,500		1,933,208
Wheelock & Co. Ltd.		97,000		731,632
Yue Yuen Industrial Holdings Ltd.		220,500		914,522
				15,585,787
India — 0.7%
HDFC Bank Ltd., ADR		67,205		5,844,819
Tata Motors Ltd., ADR(a)		31,807		1,049,949
				6,894,768
Ireland — 0.9%
Kingspan Group PLC		103,361		3,549,512
Ryanair Holdings PLC, ADR*		40,671		4,376,606
Smurfit Kappa Group PLC		35,200		1,094,482
				9,020,600
Israel — 0.1%
Bank Hapoalim BM		125,500		846,268
Teva Pharmaceutical Industries Ltd.		16,300		537,426
				1,383,694
Italy — 0.5%
A2A SpA		782,400		1,300,938
Astaldi SpA(a)		62,200		387,165
Enel SpA		483,600		2,593,792
Leonardo SpA		21,400		356,306
Mediobanca SpA		87,600		866,632
				5,504,833
Japan — 7.6%
Aisan Industry Co. Ltd.		68,400		542,402
Aoyama Trading Co. Ltd.		9,900		353,382
Asahi Kasei Corp.		103,000		1,111,196
Astellas Pharma, Inc.		75,600		926,607
cocokara fine, Inc.		17,000		840,977
Concordia Financial Group Ltd.		121,000		613,275
Daikin Industries Ltd.		41,400		4,247,311
Dowa Holdings Co. Ltd.		75,000		568,875
Enplas Corp.		18,500		570,824
FANUC Corp.		20,000		3,870,915
Fujikura Ltd.		200,200		1,684,188
Fujitec Co. Ltd.		63,600		834,089
Hazama Ando Corp.		85,900		542,138
Heiwa Corp.		34,800		776,895
Hoya Corp.		52,900		2,754,047
Isuzu Motors Ltd.		78,200		971,038
ITOCHU Corp.		37,100		552,379
Japan Airlines Co. Ltd.		28,000		867,319
Kaneka Corp.		74,000		566,355

COMMON STOCKS (continued)	Shares		Value
Japan (continued)
KDDI Corp.		88,400	$	2,337,970
Keihin Corp.		54,300		743,940
Keyence Corp.		9,800		4,314,233
Komori Corp.		40,000		515,600
Konica Minolta, Inc.		129,600		1,081,234
Kureha Corp.		25,500		1,263,918
KYORIN Holdings, Inc.		37,400		830,926
Kyowa Exeo Corp.		66,900		1,127,994
Lintec Corp.		30,000		718,850
Marubeni Corp.		109,700		710,709
Matsumotokiyoshi Holdings Co. Ltd.		15,400		877,250
Mazda Motor Corp.		56,700		796,572
Mitsubishi Gas Chemical Co., Inc.		46,900		996,128
Mitsubishi UFJ Financial Group, Inc.		783,200		5,282,722
Mixi, Inc.		17,800		990,557
Mizuho Financial Group, Inc.		597,700		1,095,867
NEC Corp.		213,000		566,240
Nippon Prologis REIT, Inc.		949		2,019,975
Nippon Telegraph & Telephone Corp.		73,700		3,478,943
Nishi-Nippon Financial Holdings, Inc.		48,600		506,713
Nissan Motor Co. Ltd.		161,600		1,613,565
Nisshinbo Holdings, Inc.		81,000		824,163
Nitori Holdings Co. Ltd.		23,800		3,185,946
NTT DOCOMO, Inc.		39,300		929,472
ORIX Corp.		194,900		3,032,617
Park24 Co. Ltd.		31,900		811,739
Resona Holdings, Inc.		355,300		1,962,610
Sankyu, Inc.		126,000		824,318
Sawai Pharmaceutical Co. Ltd.		9,200		516,693
Seino Holdings Co. Ltd.		52,600		701,234
Shimachu Co. Ltd.		30,700		732,464
SKY Perfect JSAT Holdings, Inc.		151,000		650,401
Sumitomo Heavy Industries Ltd.		84,000		557,393
Sumitomo Mitsui Financial Group, Inc.		33,900		1,323,607
Sumitomo Osaka Cement Co. Ltd.		184,500		877,439
T-Gaia Corp.		39,300		746,636
Toagosei Co. Ltd.		73,500		958,727
Toho Holdings Co. Ltd.		36,900		727,824
Towa Pharmaceutical Co. Ltd.		9,400		439,345
Toyo Tire & Rubber Co. Ltd.		35,200		721,128
Toyoda Gosei Co. Ltd.		33,200		795,520
Toyota Motor Corp.		15,730		826,824
Tsubakimoto Chain Co.		85,000		736,100
Ube Industries Ltd.		301,000		776,973
Yokohama Rubber Co. Ltd. (The)		45,000		907,163
				79,630,454
Liechtenstein — 0.0%
VP Bank AG		1,765		219,260
Luxembourg — 0.2%
Tenaris SA		114,056		1,780,844

SEE NOTES TO FINANCIAL STATEMENTS.

A109

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Netherlands — 2.5%
ABN AMRO Group NV, CVA, 144A		28,800	$	762,967
Aegon NV		95,000		486,202
ING Groep NV, CVA		75,400		1,301,616
Koninklijke Ahold Delhaize NV		41,800		797,848
Koninklijke Philips NV		151,859		5,405,992
NN Group NV		38,700		1,373,197
NXP Semiconductors NV*		89,626		9,809,566
Royal Dutch Shell PLC (Class A Stock)		145,531		3,869,665
Royal Dutch Shell PLC (Class A Stock), ADR		29,350		1,561,126
Royal Dutch Shell PLC (Class B Stock)		36,900		990,638
				26,358,817
New Zealand — 0.2%
Air New Zealand Ltd.		606,600		1,449,412
Fletcher Building Ltd.		88,500		518,248
				1,967,660
Norway — 0.3%
DNB ASA		68,200		1,161,091
Salmar ASA		31,900		790,712
Statoil ASA		37,300		618,514
Yara International ASA		23,200		872,373
				3,442,690
Portugal — 0.0%
EDP – Energias de Portugal SA		99,500		325,487
Singapore — 0.1%
DBS Group Holdings Ltd.		81,200		1,222,123
South Africa — 0.3%
Bid Corp. Ltd.		93,746		2,141,469
Mondi PLC		37,200		975,455
				3,116,924
Spain — 0.9%
Amadeus IT Group SA (Class A Stock)		47,137		2,817,654
Banco Santander SA		137,900		915,641
Distribuidora Internacional de Alimentacion SA		175,100		1,092,693
Gas Natural SDG SA		47,300		1,107,223
Iberdrola SA		150,200		1,190,251
Mapfre SA		219,300		767,598
Repsol SA		73,100		1,120,704
				9,011,764
Sweden — 1.1%
Atlas Copco AB (Class A Stock)		104,447		4,016,174
Boliden AB		21,500		587,701
Electrolux AB (Class B Stock)		22,600		741,082
Hexagon AB (Class B Stock)		64,954		3,085,942
JM AB		25,700		910,540
Nordea Bank AB		83,600		1,064,766
Swedbank AB (Class A Stock)		29,700		724,854
Telia Co. AB		138,400		637,829
				11,768,888

COMMON STOCKS (continued)	Shares		Value
Switzerland — 3.0%
ALSO Holding AG*		1,335	$	171,448
Aryzta AG		18,700		616,731
Baloise Holding AG		10,300		1,595,467
Bucher Industries AG		1,070		336,631
Cembra Money Bank AG		5,400		511,773
Credit Suisse Group AG		113,100		1,645,717
Geberit AG		7,297		3,407,409
Georg Fischer AG		1,100		1,066,977
Helvetia Holding AG		1,800		1,032,310
Lonza Group AG		18,176		3,937,216
Partners Group Holding AG		5,313		3,298,898
Roche Holding AG		10,800		2,759,561
Swiss Life Holding AG		7,200		2,435,559
Swiss Re AG		22,700		2,080,291
UBS Group AG		66,800		1,135,993
Wolseley PLC		64,939		3,985,829
Zurich Insurance Group AG		5,700		1,663,539
				31,681,349
Taiwan — 0.4%
Taiwan Semiconductor Manufacturing Co. Ltd.		648,000		4,427,274
United Kingdom — 6.4%
3i Group PLC		120,600		1,417,967
Ashtead Group PLC		35,000		724,246
AstraZeneca PLC		11,300		756,918
Aviva PLC		164,200		1,126,314
BAE Systems PLC		802,386		6,623,955
Barclays PLC		266,300		704,307
Barratt Developments PLC		109,300		802,733
Beazley PLC		129,500		823,665
Bellway PLC		25,400		985,653
Berkeley Group Holdings PLC		25,300		1,063,859
Bovis Homes Group PLC		66,300		825,499
BP PLC		355,000		2,049,132
BT Group PLC		365,300		1,404,675
Carillion PLC(a)		145,900		354,834
Centrica PLC		289,000		753,500
Compass Group PLC		218,027		4,602,040
Crest Nicholson Holdings PLC		143,814		981,482
Debenhams PLC		301,400		170,107
easyJet PLC		25,500		451,737
Experian PLC		188,665		3,871,962
GKN PLC		188,200		799,398
GlaxoSmithKline PLC		130,000		2,767,358
Go-Ahead Group PLC		34,500		790,648
Inchcape Plc		66,600		654,672
Intermediate Capital Group PLC		53,155		576,436
International Consolidated Airlines Group SA		150,000		1,192,475
J Sainsbury PLC		536,900		1,761,076
Keller Group PLC		48,200		552,450
Kingfisher PLC		160,800		629,843
Legal & General Group PLC		260,000		874,905
Lloyds Banking Group PLC		1,133,000		976,398
Man Group PLC		308,300		622,113
Marks & Spencer Group PLC		142,500		618,471

SEE NOTES TO FINANCIAL STATEMENTS.

A110

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
United Kingdom (continued)
Meggitt PLC		108,000	$	671,089
Micro Focus International PLC		66,489		1,966,035
Mitie Group PLC(a)		247,100		890,724
National Express Group PLC		154,700		738,811
Old Mutual PLC		274,800		693,291
Paragon Group of Cos. PLC (The)		105,900		589,071
Premier Foods PLC*		357,756		188,916
QinetiQ Group PLC		214,000		753,882
RELX PLC		167,753		3,626,335
Rio Tinto Ltd.		18,800		913,652
Royal Mail PLC		120,900		663,221
SSE PLC		51,500		974,451
St. James’s Place PLC		161,171		2,484,227
Unilever NV, CVA		73,062		4,033,162
Vesuvius PLC		81,100		560,445
WPP PLC		192,077		4,044,525
				67,102,665
United States — 52.2%
A.O. Smith Corp.		118,718		6,687,385
Adobe Systems, Inc.*		82,983		11,737,116
Aetna, Inc.		34,450		5,230,543
Alphabet, Inc. (Class A Stock)*		3,269		3,039,124
Alphabet, Inc. (Class C Stock)*		11,194		10,172,324
Amazon.com, Inc.*		12,914		12,500,752
American Express Co.		35,650		3,003,156
American International Group, Inc.		23,900		1,494,228
Ameriprise Financial, Inc.		26,100		3,322,269
Amphenol Corp. (Class A Stock)		145,544		10,744,058
ANSYS, Inc.*		49,921		6,074,387
Apache Corp.(a)		49,000		2,348,570
Apple, Inc.		22,050		3,175,641
Applied Materials, Inc.		67,350		2,782,229
Bank of New York Mellon Corp. (The)		106,250		5,420,875
Becton, Dickinson & Co.		8,444		1,647,509
Boeing Co. (The)		24,450		4,834,987
Bristol-Myers Squibb Co.		12,400		690,928
Bunge Ltd.		39,900		2,976,540
Carnival Corp.		36,350		2,383,470
CF Industries Holdings, Inc.(a)		76,650		2,143,134
Cisco Systems, Inc.		154,850		4,846,805
Citigroup, Inc.		89,650		5,995,792
Comcast Corp. (Class A Stock)		131,000		5,098,520
Costco Wholesale Corp.		52,854		8,452,940
Coty, Inc. (Class A Stock)(a)		54,880		1,029,549
Cummins, Inc.		11,485		1,863,097
Danaher Corp.		135,392		11,425,731
DexCom, Inc.*(a)		63,906		4,674,724
E.I. du Pont de Nemours & Co.		50,600		4,083,926
Ecolab, Inc.		81,143		10,771,733
Edwards Lifesciences Corp.*		54,283		6,418,422
EQT Corp.		27,767		1,626,869
Estee Lauder Cos., Inc. (The) (Class A Stock)		96,161		9,229,533
Exelon Corp.		119,300		4,303,151
Exxon Mobil Corp.		66,750		5,388,727

COMMON STOCKS (continued)	Shares		Value
United States (continued)
Facebook, Inc. (Class A Stock)*		88,042	$	13,292,581
Fifth Third Bancorp		216,500		5,620,340
FleetCor Technologies, Inc.*		49,333		7,114,312
Fortive Corp.		140,518		8,901,815
General Electric Co.		152,450		4,117,675
General Motors Co.		35,750		1,248,748
Genpact Ltd.		242,907		6,760,102
Gilead Sciences, Inc.		31,600		2,236,648
Hess Corp.(a)		54,650		2,397,496
Hologic, Inc.*		63,650		2,888,437
Illinois Tool Works, Inc.		25,300		3,624,225
International Paper Co.		46,950		2,657,840
Intuit, Inc.		62,847		8,346,710
Intuitive Surgical, Inc.*		11,464		10,723,082
Invesco Ltd.		50,900		1,791,171
Johnson & Johnson		47,200		6,244,088
Johnson Controls International PLC		106,798		4,630,761
JPMorgan Chase & Co.		137,350		12,553,790
Kohl’s Corp.(a)		39,550		1,529,399
Las Vegas Sands Corp.		31,900		2,038,091
Loews Corp.		73,900		3,459,259
Lowe’s Cos., Inc.		37,200		2,884,116
Marsh & McLennan Cos., Inc.		50,680		3,951,013
Mattel, Inc.(a)		88,850		1,912,941
Medtronic PLC		65,721		5,832,739
Merck & Co., Inc.		91,500		5,864,235
MetLife, Inc.		97,550		5,359,397
Microsoft Corp.		117,431		8,094,519
Morgan Stanley		161,200		7,183,072
News Corp. (Class A Stock)		142,900		1,957,730
Occidental Petroleum Corp.		58,600		3,508,382
PayPal Holdings, Inc.*		207,147		11,117,579
PepsiCo, Inc.		39,950		4,613,826
Perrigo Co. PLC(a)		31,450		2,375,104
Pfizer, Inc.		174,950		5,876,570
PG&E Corp.		125,900		8,355,983
Philip Morris International, Inc.		59,050		6,935,422
Priceline Group, Inc. (The)*		2,395		4,479,895
Procter & Gamble Co. (The)		31,896		2,779,736
QUALCOMM, Inc.		74,450		4,111,129
Raytheon Co.		12,535		2,024,152
Roper Technologies, Inc.		45,710		10,583,236
salesforce.com, Inc.*		104,784		9,074,294
SBA Communications Corp.*		70,654		9,531,225
Shire PLC		9,131		503,476
Southern Co. (The)		78,650		3,765,762
Southwest Airlines Co.		51,500		3,200,210
Starbucks Corp.		115,785		6,751,423
Stericycle, Inc.*		23,070		1,760,702
TE Connectivity Ltd.		35,750		2,812,810
Texas Instruments, Inc.		25,500		1,961,715
Thermo Fisher Scientific, Inc.		61,078		10,656,279
TJX Cos., Inc. (The)		94,177		6,796,754
TripAdvisor, Inc.*(a)		148,452		5,670,866
Twenty-First Century Fox, Inc. (Class B Stock)		172,150		4,797,821

SEE NOTES TO FINANCIAL STATEMENTS.

A111

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
United States (continued)
Tyson Foods, Inc. (Class A Stock)		81,550	$	5,107,476
U.S. Bancorp		87,950		4,566,364
United Technologies Corp.		27,500		3,358,025
VEREIT, Inc.		231,845		1,887,218
Verizon Communications, Inc.		82,300		3,675,518
Visa, Inc. (Class A Stock)(a)		142,325		13,347,238
Vulcan Materials Co.		15,350		1,944,538
Wabtec Corp.(a)		78,705		7,201,507
Wal-Mart Stores, Inc.		43,300		3,276,944
Wells Fargo & Co.		147,050		8,148,040
Westar Energy, Inc.		20,700		1,097,514
Weyerhaeuser Co.		59,250		1,984,875
Yum China Holdings, Inc.*		90,570		3,571,175
Zoetis, Inc.		179,715		11,210,622
				547,256,481
Zambia — 0.1%
First Quantum Minerals Ltd.		120,679		1,020,858
TOTAL COMMON STOCKS (cost $769,522,555)				1,007,316,521
PREFERRED STOCKS — 0.3%
United States — 0.3%
Becton, Dickinson & Co.*		11,615		636,270
NextEra Energy, Inc.*(a)		46,848		2,530,260
TOTAL PREFERRED STOCKS (cost $2,880,789)				3,166,530
	Units
RIGHTS* — 0.0%
Spain
Repsol SA, expiring 07/03/2017(a) (cost $34,891)		73,100		33,397
TOTAL LONG-TERM INVESTMENTS (cost $772,438,235)				1,010,516,448
	Shares
SHORT-TERM INVESTMENTS — 9.7%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)		41,132,252		41,132,252
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $59,916,342; includes $59,858,177 of cash collateral for securities on loan)(b)(w)		59,914,457		59,920,449
TOTAL SHORT-TERM INVESTMENTS (cost $101,048,594)				101,052,701
TOTAL INVESTMENTS — 106.0% (cost $873,486,829)				1,111,569,149
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.0)%				(62,526,584	)
NET ASSETS — 100.0%			$	1,049,042,565

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

^ Indicates a Level 3 security. The aggregate value of Level 3 securities is $69 and 0.0% of net assets.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $58,575,784; cash collateral of $59,858,177 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(g) Indicates a security that has been deemed illiquid; the aggregate value of $69 is 0.0% of net assets.

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

Fair value measurements:

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— unadjusted 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.

A112

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	23,455,962	$	69
Austria		—		3,222,693		—
Belgium		—		3,497,462		—
Bermuda		3,434,008		—		—
Brazil		1,960,850		—		—
Canada		26,726,234		—		—
China		13,559,183		7,839,350		—
Denmark		—		6,255,866		—
Finland		—		5,575,511		—
France		6,221,065		44,160,993		—
Germany		—		32,684,055		—
Hong Kong		—		15,585,787		—
India		6,894,768		—		—
Ireland		4,376,606		4,643,994		—
Israel		—		1,383,694		—
Italy		—		5,504,833		—
Japan		—		79,630,454		—
Liechtenstein		—		219,260		—
Luxembourg		—		1,780,844		—
Netherlands		11,370,692		14,988,125		—
New Zealand		—		1,967,660		—
Norway		—		3,442,690		—
Portugal		—		325,487		—
Singapore		—		1,222,123		—
South Africa		—		3,116,924		—
Spain		—		9,011,764		—
Sweden		—		11,768,888		—
Switzerland		—		31,681,349		—
Taiwan		—		4,427,274		—
United Kingdom		—		67,102,665		—
United States		546,753,005		503,476		—
Zambia		1,020,858		—		—
Preferred Stocks
United States		3,166,530		—		—
Rights
Spain		33,397		—		—
Affiliated Mutual Funds		101,052,701		—		—
Total	$	726,569,897	$	384,999,183	$	69

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

Affiliated Mutual Funds (including 5.7% of collateral for securities on loan)	9.7	%
Banks	8.2
Pharmaceuticals	4.9
Insurance	4.8
Software	4.6
Oil, Gas & Consumable Fuels	4.5
Health Care Equipment & Supplies	4.5
IT Services	4.4
Internet Software & Services	4.3

Capital Markets	3.4	%
Machinery	3.4
Chemicals	2.9
Industrial Conglomerates	2.7
Semiconductors & Semiconductor Equipment	2.6
Electric Utilities	2.4
Food & Staples Retailing	2.3
Internet & Direct Marketing Retail	2.2
Electronic Equipment, Instruments & Components	2.2
Building Products	2.1

SEE NOTES TO FINANCIAL STATEMENTS.

A113

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Industry classification (cont.)

Hotels, Restaurants & Leisure	2.1	%
Aerospace & Defense	1.8
Media	1.5
Personal Products	1.5
Equity Real Estate Investment Trusts (REITs)	1.5
Specialty Retail	1.5
Life Sciences Tools & Services	1.4
Airlines	1.4
Auto Components	1.1
Food Products	1.1
Automobiles	1.1
Metals & Mining	1.0
Road & Rail	1.0
Diversified Telecommunication Services	1.0
Professional Services	0.7
Household Durables	0.7
Tobacco	0.6
Biotechnology	0.6
Health Care Providers & Services	0.6
Trading Companies & Distributors	0.5
Construction Materials	0.5
Textiles, Apparel & Luxury Goods	0.5
Communications Equipment	0.5
Technology Hardware, Storage & Peripherals	0.5
Commercial Services & Supplies	0.4

Beverages	0.4	%
Paper & Forest Products	0.4
Containers & Packaging	0.4
Consumer Finance	0.3
Wireless Telecommunication Services	0.3
Construction & Engineering	0.3
Household Products	0.3
Leisure Products	0.3
Multi-Utilities	0.3
Multiline Retail	0.3
Diversified Financial Services	0.3
Real Estate Management & Development	0.2
Air Freight & Logistics	0.2
Energy Equipment & Services	0.2
Electrical Equipment	0.1
Gas Utilities	0.1
Independent Power & Renewable Electricity Producers	0.1
Distributors	0.1
Marine	0.1
Thrifts & Mortgage Finance	0.1
Health Care Technology	0.0	*
	106.0
Liabilities in excess of other assets	(6.0	)
	100.0	%

* Less than +/- 0.05%

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

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

Fair values of derivative instruments as of June 30, 2017 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts	Unaffiliated investments	$	33,397	—	$	—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rigts(1)
Equity contracts	$	79,032

(1) 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	Rights(2)
Equity contracts	$	(3,110	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A114

GLOBAL PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Financial instruments/transactions — summary of offsetting and netting arrangements:

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received(2)			Net Amount
Securities on Loan	$	58,575,784	$	(58,575,784	)	$	—

(1) Amount represents market value.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A115

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES (unaudited)

as of June 30, 2017

ASSETS
Investments at value, including securities on loan of $58,575,784:
Unaffiliated investments (cost $772,438,235)	$	1,010,516,448
Affiliated investments (cost $101,048,594)		101,052,701
Cash		13,168
Foreign currency, at value (cost $3,962,661)		4,046,484
Receivable for investments sold		5,340,027
Tax reclaim receivable		1,683,434
Dividends and interest receivable		1,672,117
Receivable from affiliate		44,247
Receivable for Series shares sold		1,514
Prepaid expenses		1,057
Total Assets		1,124,371,197
LIABILITIES
Payable to broker for collateral for securities on loan		59,858,177
Payable for investments purchased		14,314,230
Management fee payable		628,110
Accrued expenses and other liabilities		289,302
Payable for Series shares repurchased		237,833
Affiliated transfer agent fee payable		980
Total Liabilities		75,328,632
NET ASSETS	$	1,049,042,565
Net assets were comprised of:
Paid-in capital	$	682,123,204
Retained earnings		366,919,361
Net assets, June 30, 2017	$	1,049,042,565
Net asset value and redemption price per share $1,049,042,565 / 33,901,440 outstanding shares of beneficial interest	$	30.94

STATEMENT OF OPERATIONS (unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $921,221, of which $65,287 is reimbursable by an affiliate)	$	13,339,800
Income from securities lending, net (including affiliated income of $73,622)		256,185
Affiliated dividend income		140,085
Total income		13,736,070
EXPENSES
Management fee		3,762,379
Custodian and accounting fees		185,000
Shareholders’ reports		50,000
Audit fee		14,000
Trustees’ fees		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Legal fees and expenses		6,000
Miscellaneous		29,674
Total expenses		4,062,053
Less: Management fee waiver		(112,086	)
		3,949,967
NET INVESTMENT INCOME (LOSS)		9,786,103
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(2,954))		16,699,306
Foreign currency transactions		37,154
		16,736,460
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(4,171))		91,566,464
Foreign currencies		287,009
		91,853,473
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		108,589,933
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	118,376,036

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	9,786,103		$	12,128,554
Net realized gain (loss) on investment and foreign currency transactions		16,736,460			6,968,304
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		91,853,473			20,952,242
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		118,376,036			40,049,100
SERIES SHARE TRANSACTIONS
Series shares sold [119,909 and 177,123 shares, respectively]		3,580,092			4,692,671
Series shares repurchased [959,965 and 2,096,896 shares, respectively]		(28,275,171	)		(55,475,254	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(24,695,079	)		(50,782,583	)
CAPITAL CONTRIBUTIONS		—			808,056
TOTAL INCREASE (DECREASE)		93,680,957			(9,925,427	)
NET ASSETS:
Beginning of period		955,361,608			965,287,035
End of period	$	1,049,042,565		$	955,361,608

SEE NOTES TO FINANCIAL STATEMENTS.

A116

GOVERNMENT INCOME PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

LONG-TERM INVESTMENTS — 100.2% ASSET-BACKED SECURITIES — 6.3%	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Collateralized Loan Obligations — 6.3%
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2017-8A, Class A, 144A		2.307%	(c)	01/15/30		250	$	250,000
Battalion CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1R, 144A		2.348%	(c)	10/17/26		500		500,134
BlueMountain CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A		2.485%	(c)	04/13/27		1,750		1,750,544
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-2A, Class AR, 144A		2.432%	(c)	05/15/25		500		499,885
Eaton Vance CLO Ltd. (Cayman Islands), Series 2014-1A, Class AR, 144A		2.358%	(c)	07/15/26		2,500		2,499,284
Flagship CLO Ltd. (Cayman Islands), Series 2014-8A, Class AR, 144A		2.408%	(c)	01/16/26		2,500		2,500,715
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A		2.482%	(c)	05/15/26		2,500		2,500,658
Limerock CLO LLC (Cayman Islands), Series 2014-3A, Class A1R, 144A		2.356%	(c)	10/20/26		1,300		1,300,356
OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A		2.561%	(c)	07/15/30		250		249,656
OZLM Funding Ltd. (Cayman Islands), Series 2012-1A, Class A1R, 144A		2.673%	(c)	07/22/27		500		502,567
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A		2.472%	(c)	05/21/29		500		499,999
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		2.566%	(c)	07/25/26		250		250,002
Silver Spring CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		2.608%	(c)	10/15/26		1,489		1,488,600
Sound Point CLO Ltd. (Cayman Islands), Series 2015-2A, Class A, 144A		2.676%	(c)	07/20/27		750		752,074
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A		2.856%	(c)	10/25/28		500		502,094
								16,046,568
Small Business Loan — 0.0%
Small Business Administration Participation Certificates, Series 1997-20G, Class 1		6.850%		07/01/17		11		11,387
Small Business Administration Participation Certificates, Series 1998-20I, Class 1		6.000%		09/01/18		83		83,779
								95,166
TOTAL ASSET-BACKED SECURITIES (cost $16,119,994)								16,141,734
COMMERCIAL MORTGAGE-BACKED SECURITIES — 20.9%
Bank, Series 2017-BNK5, Class A3		3.020%		06/15/60		2,800		2,801,461
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3		3.515%		09/10/58		700		720,824
Commercial Mortgage Trust, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		994,920
Commercial Mortgage Trust, Series 2015-CR24, Class A3		3.214%		08/10/48		1,600		1,628,246
Commercial Mortgage Trust, Series 2015-CR25, Class A3		3.505%		08/10/48		1,000		1,029,833
Deutsche Bank Commercial Mortgage Trust, Series 2017-C6, Class A3		3.269%		06/10/50		2,800		2,851,961
Fannie Mae-Aces, Series 2012-M2, Class A2		2.717%		02/25/22		200		204,595
Fannie Mae-Aces, Series 2014-M2, Class A2		3.513%	(c)	12/25/23		2,650		2,802,146
Fannie Mae-Aces, Series 2015-M1, Class AB2		2.465%		09/25/24		518		505,306
Fannie Mae-Aces, Series 2015-M3, Class AB2		2.625%		10/25/24		2,457		2,431,235
Fannie Mae-Aces, Series 2015-M8, Class AB2		2.829%	(c)	01/25/25		1,600		1,622,314
Fannie Mae-Aces, Series 2015-M10, Class A2		3.092%	(c)	04/25/27		1,600		1,624,276
Fannie Mae-Aces, Series 2015-M17, Class A2		3.038%	(c)	11/25/25		1,500		1,525,391
Fannie Mae-Aces, Series 2016-M11, Class A2		2.369%	(c)	07/25/26		1,200		1,153,140
Fannie Mae-Aces, Series 2016-M13, Class A2		2.560%	(c)	09/25/26		2,100		2,039,860
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5		5.085%		03/25/19		250		261,386
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO		1.718%	(c)	06/25/20		15,629		600,697
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO		1.824%	(c)	03/25/22		17,351		1,132,729
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO		1.570%	(c)	05/25/22		8,858		509,819
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO		1.606%	(c)	06/25/22		9,397		567,287
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO		1.001%	(c)	10/25/22		26,694		1,019,712
FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2		3.389%		03/25/24		3,200		3,370,192

SEE NOTES TO FINANCIAL STATEMENTS.

A117

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2		3.171%		10/25/24		4,000		$	4,155,464
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2		2.811%		01/25/25		3,200			3,240,763
FHLMC Multifamily Structured Pass-Through Certificates, Series K060, Class AM		3.300%	(c)	10/25/26		1,930			1,978,452
FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM		3.327%	(c)	03/25/27		1,100			1,132,201
FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3		3.511%		04/25/30		400			415,433
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO		1.872%	(c)	05/25/19		7,748			197,802
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO		1.810%	(c)	07/25/19		7,508			195,880
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4		3.161%	(c)	05/25/25		2,600			2,687,312
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2		3.003%		01/15/47		1,700			1,724,637
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3		3.322%		07/15/48		1,600			1,661,582
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,700			1,716,110
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3		3.451%		07/15/50		1,600			1,646,835
Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class A4		3.525%		12/15/49		1,100			1,132,729
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $52,989,513)									53,282,530
CORPORATE BONDS — 1.3%
Diversified Financial Services
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes		4.300%		12/15/21		2,160			2,367,043
CDP Financial, Inc. (Canada),Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		820			840,161
TOTAL CORPORATE BONDS (cost $3,206,547)									3,207,204
MUNICIPAL BONDS — 0.5%
California — 0.1%
California Educational Facilities Authority, Revenue Bonds, Stanford Univ., Ser. U-7, BABs		5.000%		06/01/46		125			166,949
Pennsylvania — 0.2%
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. A-1, BABs		5.000%		12/01/46		500			559,460
Texas — 0.1%
University of Texas System (The), Revenue Bonds, Ser. F, Rfdg.		5.000%		08/15/47		275			360,767
Washington — 0.1%
Central Puget Sound Regional Transit Authority, Revenue Bonds, Green Bonds, Ser. S-1, BABs		5.000%		11/01/46		180			236,003
TOTAL MUNICIPAL BONDS (cost $1,275,891)									1,323,179
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM		5.500%		09/15/17		12			11,582
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC		5.500%		09/15/17		—	(r)		6
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC		5.000%		10/15/17		30			30,508
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND		5.500%		09/25/17		—	(r)		143
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1		1.836%	(c)	10/25/28		27			26,700
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		3.396%	(c)	02/25/34		133			134,138
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $202,901)									203,077

SEE NOTES TO FINANCIAL STATEMENTS.

A118

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS — 42.5%	Interest Rate		Maturity Date	Principal Amount (000)#		Value
Federal Home Loan Mortgage Corp.		2.500%	03/01/30		744	$	749,469
Federal Home Loan Mortgage Corp.		3.000%	TBA		3,500		3,492,344
Federal Home Loan Mortgage Corp.		3.000%	06/01/29		595		612,095
Federal Home Loan Mortgage Corp.		3.000%	06/01/45		794		795,351
Federal Home Loan Mortgage Corp.		3.500%	08/01/26		283		296,269
Federal Home Loan Mortgage Corp.		3.500%	01/01/27		300		313,919
Federal Home Loan Mortgage Corp.		3.500%	07/01/42		821		846,564
Federal Home Loan Mortgage Corp.		3.500%	10/01/42		1,419		1,463,736
Federal Home Loan Mortgage Corp.		3.500%	08/01/43		1,074		1,107,698
Federal Home Loan Mortgage Corp.		4.000%	TBA		2,750		2,892,151
Federal Home Loan Mortgage Corp.		4.000%	06/01/26		100		104,948
Federal Home Loan Mortgage Corp.		4.000%	09/01/26		335		351,652
Federal Home Loan Mortgage Corp.		4.000%	09/01/40		517		545,386
Federal Home Loan Mortgage Corp.		4.000%	12/01/40		534		564,362
Federal Home Loan Mortgage Corp.		4.000%	12/01/40		572		604,256
Federal Home Loan Mortgage Corp.		4.500%	09/01/39		1,981		2,129,148
Federal Home Loan Mortgage Corp.		5.000%	06/01/33		399		436,752
Federal Home Loan Mortgage Corp.		5.000%	05/01/34		407		443,687
Federal Home Loan Mortgage Corp.		5.500%	05/01/37		84		94,238
Federal Home Loan Mortgage Corp.		5.500%	02/01/38		278		308,457
Federal Home Loan Mortgage Corp.		5.500%	05/01/38		118		131,695
Federal Home Loan Mortgage Corp.		6.000%	09/01/34		77		86,336
Federal Home Loan Mortgage Corp.		6.000%	01/01/37		130		146,428
Federal Home Loan Mortgage Corp.		6.000%	09/01/38		81		91,569
Federal Home Loan Mortgage Corp.		6.000%	08/01/39		85		95,120
Federal Home Loan Mortgage Corp.		6.500%	09/01/32		57		62,902
Federal National Mortgage Assoc.		1.000%	10/24/19		2,300		2,274,518
Federal National Mortgage Assoc.		2.000%	08/01/31		375		367,383
Federal National Mortgage Assoc.		2.500%	06/01/28		2,585		2,615,082
Federal National Mortgage Assoc.		3.000%	TBA		1,000		998,652
Federal National Mortgage Assoc.		3.000%	TBA		1,500		1,537,852
Federal National Mortgage Assoc.		3.000%	08/01/28		1,338		1,373,913
Federal National Mortgage Assoc.		3.000%	02/01/31		1,712		1,758,538
Federal National Mortgage Assoc.		3.000%	11/01/36		952		966,424
Federal National Mortgage Assoc.		3.000%	03/01/43		1,186		1,190,551
Federal National Mortgage Assoc.		3.000%	03/01/43		913		917,082
Federal National Mortgage Assoc.		3.000%	07/01/43		1,141		1,146,680
Federal National Mortgage Assoc.		3.000%	07/01/43		1,392		1,397,683
Federal National Mortgage Assoc.		3.500%	TBA		8,000		8,216,562
Federal National Mortgage Assoc.		3.500%	03/01/27		576		600,184
Federal National Mortgage Assoc.		3.500%	06/01/39		366		377,648
Federal National Mortgage Assoc.		3.500%	04/01/42		603		622,667
Federal National Mortgage Assoc.		3.500%	06/01/42		1,041		1,074,585
Federal National Mortgage Assoc.		3.500%	07/01/42		1,161		1,198,401
Federal National Mortgage Assoc.		4.000%	TBA		6,250		6,570,068
Federal National Mortgage Assoc.		4.000%	TBA		6,000		6,296,836
Federal National Mortgage Assoc.		4.000%	09/01/40		1,985		2,096,874
Federal National Mortgage Assoc.		4.000%	06/01/42		1,494		1,575,762
Federal National Mortgage Assoc.		4.000%	09/01/44		1,082		1,137,472
Federal National Mortgage Assoc.		4.500%	05/01/40		2,743		2,978,124
Federal National Mortgage Assoc.		5.000%	TBA		500		546,172
Federal National Mortgage Assoc.		5.000%	07/01/18		4		4,291
Federal National Mortgage Assoc.		5.000%	08/01/18		22		22,313
Federal National Mortgage Assoc.		5.000%	01/01/19		80		81,454
Federal National Mortgage Assoc.		5.000%	02/01/19		66		67,257
Federal National Mortgage Assoc.		5.000%	11/01/19		49		50,107
Federal National Mortgage Assoc.		5.000%	12/01/31		29		32,179
Federal National Mortgage Assoc.		5.000%	03/01/34		486		532,285
Federal National Mortgage Assoc.		5.000%	06/01/35		216		237,004

SEE NOTES TO FINANCIAL STATEMENTS.

A119

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value
Federal National Mortgage Assoc.		5.000%	07/01/35		110		$	120,031
Federal National Mortgage Assoc.		5.000%	05/01/36		151			165,333
Federal National Mortgage Assoc.		5.500%	10/01/18		15			15,243
Federal National Mortgage Assoc.		5.500%	10/01/18		15			15,416
Federal National Mortgage Assoc.		5.500%	11/01/18		16			15,809
Federal National Mortgage Assoc.		5.500%	02/01/34		291			325,468
Federal National Mortgage Assoc.		5.500%	09/01/34		325			365,482
Federal National Mortgage Assoc.		5.500%	02/01/35		381			429,057
Federal National Mortgage Assoc.		5.500%	06/01/35		108			119,800
Federal National Mortgage Assoc.		5.500%	06/01/35		168			186,653
Federal National Mortgage Assoc.		5.500%	09/01/35		224			248,917
Federal National Mortgage Assoc.		5.500%	09/01/35		45			49,332
Federal National Mortgage Assoc.		5.500%	10/01/35		368			412,077
Federal National Mortgage Assoc.		5.500%	11/01/35		661			744,368
Federal National Mortgage Assoc.		5.500%	11/01/35		372			413,451
Federal National Mortgage Assoc.		5.500%	11/01/35		539			603,467
Federal National Mortgage Assoc.		6.000%	05/01/21		39			40,627
Federal National Mortgage Assoc.		6.000%	12/01/33		12			13,012
Federal National Mortgage Assoc.		6.000%	02/01/34		162			185,449
Federal National Mortgage Assoc.		6.000%	08/01/34		1			746
Federal National Mortgage Assoc.		6.000%	11/01/34		1			872
Federal National Mortgage Assoc.		6.000%	11/01/34		1			1,209
Federal National Mortgage Assoc.		6.000%	12/01/34		1			1,140
Federal National Mortgage Assoc.		6.000%	01/01/35		37			41,965
Federal National Mortgage Assoc.		6.000%	01/01/36		116			130,322
Federal National Mortgage Assoc.		6.000%	05/01/38		69			78,433
Federal National Mortgage Assoc.		6.500%	07/01/32		328			373,636
Federal National Mortgage Assoc.		6.500%	08/01/32		113			125,894
Federal National Mortgage Assoc.		6.500%	10/01/32		332			379,106
Federal National Mortgage Assoc.		6.500%	10/01/37		238			272,856
Federal National Mortgage Assoc.		7.000%	12/01/31		98			112,164
Federal National Mortgage Assoc.		7.000%	12/01/31		1			600
Federal National Mortgage Assoc.		7.000%	11/01/33		11			11,665
Federal National Mortgage Assoc.		7.000%	01/01/36		34			37,945
Federal National Mortgage Assoc.		8.000%	10/01/23		—	(r)		304
Federal National Mortgage Assoc.		8.000%	09/01/24		1			1,261
Federal National Mortgage Assoc.		8.000%	11/01/24		1			1,393
Federal National Mortgage Assoc.		8.000%	01/01/26		1			596
Federal National Mortgage Assoc.		8.000%	02/01/26		1			1,354
Federal National Mortgage Assoc.		9.000%	02/01/25		13			14,136
Federal National Mortgage Assoc.		9.000%	04/01/25		7			8,012
Government National Mortgage Assoc.		3.000%	03/15/45		2,216			2,241,417
Government National Mortgage Assoc.		3.000%	09/20/46		1,984			2,005,721
Government National Mortgage Assoc.		3.000%	10/20/46		496			501,034
Government National Mortgage Assoc.		3.000%	04/20/47		3,987			4,031,415
Government National Mortgage Assoc.		3.500%	01/20/43		1,495			1,554,754
Government National Mortgage Assoc.		3.500%	03/20/45		1,427			1,479,105
Government National Mortgage Assoc.		3.500%	04/20/45		1,211			1,255,389
Government National Mortgage Assoc.		4.000%	TBA		4,000			4,209,062
Government National Mortgage Assoc.		4.000%	06/15/40		276			290,967
Government National Mortgage Assoc.		4.500%	02/20/41		776			833,682
Government National Mortgage Assoc.		4.500%	03/20/41		663			712,198
Government National Mortgage Assoc.		4.500%	06/20/44		519			552,132
Government National Mortgage Assoc.		5.000%	07/15/33		207			229,511
Government National Mortgage Assoc.		5.000%	09/15/33		277			304,777
Government National Mortgage Assoc.		5.000%	04/15/34		87			94,907
Government National Mortgage Assoc.		5.500%	03/15/34		383			430,066
Government National Mortgage Assoc.		5.500%	03/15/36		83			93,352
Government National Mortgage Assoc.		6.500%	07/15/32		22			24,685

SEE NOTES TO FINANCIAL STATEMENTS.

A120

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#			Value
Government National Mortgage Assoc.		6.500%		08/15/32		4		$	3,959
Government National Mortgage Assoc.		6.500%		08/15/32		4			4,712
Government National Mortgage Assoc.		6.500%		08/15/32		16			17,375
Government National Mortgage Assoc.		6.500%		08/15/32		110			130,010
Government National Mortgage Assoc.		7.000%		03/15/23		1			1,232
Government National Mortgage Assoc.		7.000%		05/15/23		7			7,709
Government National Mortgage Assoc.		7.000%		06/15/23		1			1,443
Government National Mortgage Assoc.		7.000%		06/15/23		5			5,398
Government National Mortgage Assoc.		7.000%		06/15/23		1			1,433
Government National Mortgage Assoc.		7.000%		06/15/23		20			21,612
Government National Mortgage Assoc.		7.000%		07/15/23		15			15,119
Government National Mortgage Assoc.		7.000%		07/15/23		1			988
Government National Mortgage Assoc.		7.000%		08/15/23		11			11,192
Government National Mortgage Assoc.		7.000%		08/15/23		6			6,424
Government National Mortgage Assoc.		7.000%		08/15/23		1			1,257
Government National Mortgage Assoc.		7.000%		09/15/23		2			1,567
Government National Mortgage Assoc.		7.000%		10/15/23		5			5,605
Government National Mortgage Assoc.		7.000%		10/15/23		—	(r)		65
Government National Mortgage Assoc.		7.000%		10/15/23		5			5,665
Government National Mortgage Assoc.		7.000%		11/15/23		6			5,933
Government National Mortgage Assoc.		7.000%		11/15/23		11			11,906
Government National Mortgage Assoc.		7.000%		11/15/23		1			515
Government National Mortgage Assoc.		7.000%		01/15/24		75			80,212
Government National Mortgage Assoc.		7.000%		05/15/24		72			77,495
Government National Mortgage Assoc.		7.000%		08/15/28		58			67,568
Government National Mortgage Assoc.		7.500%		12/15/25		39			42,478
Government National Mortgage Assoc.		7.500%		12/15/25		5			5,221
Government National Mortgage Assoc.		7.500%		02/15/26		6			6,849
Government National Mortgage Assoc.		8.500%		09/15/24		79			86,518
Government National Mortgage Assoc.		8.500%		04/15/25		9			10,541
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		2.578%		06/30/22		1,520			1,556,751
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes		3.000%		06/30/25		1,380			1,443,218
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes		5.500%		09/18/23		1,300			1,547,725
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		2.194%	(s)	01/15/21		643			601,137
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO		3.184%	(s)	04/15/30		3,035			2,071,042
Tennessee Valley Authority, Sr. Unsec’d. Notes		2.875%		02/01/27		175			179,103
Tennessee Valley Authority, Sr. Unsec’d. Notes		6.750%		11/01/25		510			668,268
Tennessee Valley Authority, Sr. Unsec’d. Notes		7.125%		05/01/30		530			767,809
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes		1.471%		09/29/21		2,200			2,151,035
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $107,289,501)									108,161,999
U.S. TREASURY OBLIGATIONS — 28.6%
U.S. Treasury Bonds		2.500%		05/15/46		570			530,301
U.S. Treasury Bonds		3.000%		05/15/45		950			978,908
U.S. Treasury Bonds		3.000%		02/15/47		750			773,671
U.S. Treasury Bonds		4.250%		11/15/40		3,840			4,825,501
U.S. Treasury Bonds		4.750%		02/15/41		710			956,004
U.S. Treasury Bonds		8.125%		08/15/21		455			569,585
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/22		1,382			1,375,773
U.S. Treasury Notes		0.750%		02/28/18		570			568,263
U.S. Treasury Notes		1.000%		03/15/18		100			99,832
U.S. Treasury Notes		1.375%		04/30/21		14,100			13,919,901
U.S. Treasury Notes		1.500%		06/15/20		905			903,728
U.S. Treasury Notes		1.625%		04/30/23		3,125			3,058,350
U.S. Treasury Notes		1.750%		05/31/22		430			427,481
U.S. Treasury Notes		1.750%		06/30/22		1,175			1,167,381
U.S. Treasury Notes		1.750%		05/15/23		115			113,293
U.S. Treasury Notes		1.875%		04/30/22		765			764,851

SEE NOTES TO FINANCIAL STATEMENTS.

A121

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. TREASURY OBLIGATIONS (continued)	Interest Rate			Maturity Date		Principal Amount (000)#		Value
U.S. Treasury Notes		2.125%			06/30/21		4,170	$	4,229,944
U.S. Treasury Notes		2.125%			09/30/21		13,350		13,532,001
U.S. Treasury Notes		2.125%			06/30/22		250		252,715
U.S. Treasury Notes		2.125%			12/31/22		505		509,024
U.S. Treasury Notes		2.125%			02/29/24		9,715		9,726,765
U.S. Treasury Notes		2.125%			05/15/25		845		839,686
U.S. Treasury Notes		2.250%			02/15/27		2,410		2,398,798
U.S. Treasury Notes		2.375%			05/15/27		875		880,537
U.S. Treasury Strips Coupon		2.037%	(s)		02/15/22		1,690		1,547,246
U.S. Treasury Strips Coupon		2.184%	(s)		02/15/28		550		422,796
U.S. Treasury Strips Coupon		2.384%	(s)		05/15/29		565		418,233
U.S. Treasury Strips Coupon(k)(hh)		2.404%	(s)		08/15/21		2,525		2,343,213
U.S. Treasury Strips Coupon		2.783%	(s)		08/15/29		500		367,346
U.S. Treasury Strips Coupon		2.878%	(s)		05/15/31		500		347,149
U.S. Treasury Strips Coupon		3.042%	(s)		11/15/35		1,000		603,556
U.S. Treasury Strips Coupon		3.202%	(s)		08/15/40		1,000		511,807
U.S. Treasury Strips Coupon		4.138%	(s)		02/15/42		3,725		1,813,200
U.S. Treasury Strips Principal, PO		2.351%	(s)		05/15/43		595		281,246
U.S. Treasury Strips Principal, PO		2.543%	(s)		02/15/45		515		229,837
U.S. Treasury Strips Principal, PO		2.952%	(s)		05/15/45		800		354,667
U.S. Treasury Strips Principal, PO		3.005%	(s)		11/15/44		715		322,723
TOTAL U.S. TREASURY OBLIGATIONS (cost $73,104,683)									72,965,312
TOTAL LONG-TERM INVESTMENTS (cost $254,189,030)									255,285,035
						Shares
SHORT-TERM INVESTMENTS — 14.1%
AFFILIATED MUTUAL FUNDS — 14.1%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w)							2,833,852		26,326,484
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)							9,632,774		9,632,774
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund(w)							81		81
TOTAL AFFILIATED MUTUAL FUNDS (cost $36,961,919)									35,959,339
						Notional Amount (000)#
OPTIONS PURCHASED* — 0.0%
Call Options
10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $127.00							151		11,797
10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $130.00							151		—
TOTAL OPTIONS PURCHASED (cost $59,563)									11,797
TOTAL SHORT-TERM INVESTMENTS (cost $37,021,482)									35,971,136
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 114.3% (cost $291,210,512)									291,256,171
OPTION WRITTEN* — (0.0)%
Call Option
10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $128.50 (premiums received $23,014)							302		(4,719	)
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 114.3% (cost $291,187,498)									291,251,452
LIABILITIES IN EXCESS OF OTHER ASSETS(Z) — (14.3)%									(36,381,903	)
NET ASSETS — 100.0%								$	254,869,549

SEE NOTES TO FINANCIAL STATEMENTS.

A122

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

See the Glossary for abbreviations used in the semiannual report.

* Non-income producing security.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

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

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

(r) Less than $500 par.

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

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

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

Futures contracts outstanding at June 30, 2017:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2017		Unrealized Appreciation (Depreciation)
Long Positions:
66		2 Year U.S. Treasury Notes		Sep. 2017	$	14,271,562	$	14,263,218	$	(8,344	)
81		5 Year U.S. Treasury Notes		Sep. 2017		9,570,689		9,544,711		(25,978	)
63		10 Year U.S. Treasury Notes		Sep. 2017		7,949,865		7,908,469		(41,396	)
12		10 Year U.S. Ultra Treasury Bonds		Sep. 2017		1,621,706		1,617,750		(3,956	)
122		30 Year U.S. Ultra Treasury Bonds		Sep. 2017		19,899,829		20,236,750		336,921
										257,247
Short Position:
143		20 Year U.S. Treasury Bonds		Sep. 2017		21,898,856		21,977,312		(78,456	)
									$	178,791

A security with a market value of $551,235 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2017.

Interest rate swap agreements outstanding at June 30, 2017:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at June 30, 2017			Unrealized Appreciation (Depreciation)
	Centrally cleared swap agreements:
	52,560		09/09/17		0.539%	1 Day USOIS(1)	$	347		$	125,326		$	124,979
	45,065		10/18/17		0.607%	1 Day USOIS(1)		190			113,208			113,018
	24,905		11/09/17		0.626%	1 Day USOIS(1)		206			69,885			69,679
	3,860		08/31/21		2.015%	3 Month LIBOR(2)		31,702			23,643			(8,059	)
	760		11/30/21		1.762%	3 Month LIBOR(2)		1			(4,997	)		(4,998	)
	6,910		08/15/23		1.459%	3 Month LIBOR(1)		343,038			204,766			(138,272	)
	277		11/15/23		2.209%	3 Month LIBOR(1)		12			(2,886	)		(2,898	)
	8,720		12/20/23		2.932%	3 Month LIBOR(1)		220			(457,808	)		(458,028	)
	1,460		02/15/24		2.115%	3 Month LIBOR(1)		3,510			(3,324	)		(6,834	)
	2,935		02/15/24		2.151%	3 Month LIBOR(1)		(2,985	)		(13,262	)		(10,277	)
	1,580		02/15/24		2.183%	3 Month LIBOR(1)		(3,170	)		(10,353	)		(7,183	)
	5,290		09/17/24		2.732%	3 Month LIBOR(1)		110			(252,594	)		(252,704	)
	1,860		09/04/25		2.214%	3 Month LIBOR(1)		163			(17,063	)		(17,226	)
	130		01/08/26		2.210%	3 Month LIBOR(1)		1			(1,177	)		(1,178	)
	1,582		02/15/27		1.824%	1 Day USOIS(1)		19,425			22,225			2,800
	2,675		02/15/36		2.338%	3 Month LIBOR(2)		(16,893	)		(67,834	)		(50,941	)
							$	375,877		$	(272,245	)	$	(648,122	)

SEE NOTES TO FINANCIAL STATEMENTS.

A123

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

A security with a market value of $779,524 has been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.

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

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

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	16,046,568		$	—
Small Business Loan		—			95,166			—
Commercial Mortgage-Backed Securities		—			53,282,530			—
Corporate Bonds		—			3,207,204			—
Municipal Bonds		—			1,323,179			—
Residential Mortgage-Backed Securities		—			203,077			—
U.S. Government Agency Obligations		—			108,161,999			—
U.S. Treasury Obligations		—			72,965,312			—
Affiliated Mutual Funds		35,959,339			—			—
Options Purchased		11,797			—			—
Option Written		(4,719	)		—			—
Other Financial Instruments*
Futures Contracts		178,791			—			—
Centrally Cleared Interest Rate Swap Agreements		—			(648,122	)		—
Total	$	36,145,208		$	254,636,913		$	—

* 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, Level 2 and Level 3 to report.

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

U.S. Government Agency Obligations	42.5	%
U.S. Treasury Obligations	28.6
Commercial Mortgage-Backed Securities	20.9
Affiliated Mutual Funds	14.1
Collateralized Loan Obligations	6.3
Diversified Financial Services	1.3
Municipal Bonds	0.5
Residential Mortgage-Backed Securities	0.1

Small Business Loan	0.0	*%
Options Purchased	0.0	*
	114.3
Option Written	(0.0	)*
Liabilities in excess of other assets	(14.3	)
	100.0	%

* Less than +/- 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A124

GOVERNMENT INCOME PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Effects of derivative instruments on the financial statements and primary underlying risk exposure:

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

Fair values of derivative instruments as of June 30, 2017 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
Interest rate contracts	Due from/to broker — variation margin futures	$	336,921	*	Due from/to broker — variation margin futures	$	158,130	*
Interest rate contracts	Due from/to broker — variation margin swaps		310,476	*	Due from/to broker — variation margin swaps		958,598	*
Interest rate contracts	Unaffiliated investments		11,797		Options written outstanding, at value		4,719
Total		$	659,194			$	1,121,447

* 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 six months ended June 30, 2017 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(1)			Options Written		Futures		Forward Rate Agreements		Swaps		Total
Interest rate contracts	$	(107,883	)	$	46,915	$	1,006,633	$	4,729	$	350,512	$	1,300,906

(1) 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(2)			Options Written		Futures		Swaps			Total
Interest rate contracts	$	(47,766	)	$	18,295	$	111,279	$	(707,415	)	$	(625,607	)

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

For the six months ended June 30, 2017, the average volume of derivative activities is as follows:

Options Purchased(1)	Options Written(3)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)	Interest Rate Swap Agreements(3)
$66,102	$164,667	$83,196,598	$12,809,942	$162,859,667

(1) Cost.

(2) Value at Trade Date.

(3) Notional Amount in USD.

SEE NOTES TO FINANCIAL STATEMENTS.

A125

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

ASSETS
Investments at value:
Unaffiliated investments (cost $254,248,593)	$	255,296,832
Affiliated investments (cost $36,961,919)		35,959,339
Cash		55,687
Receivable for investments sold		14,597,957
Dividends and interest receivable		889,508
Receivable for Series shares sold		30,187
Due from broker—variation margin swaps		88,490
Prepaid expenses		271
Total Assets		306,918,271
LIABILITIES
Payable for investments purchased		51,745,394
Accrued expenses and other liabilities		98,375
Management fee payable		84,611
Payable for Series shares repurchased		68,474
Due to broker—variation margin futures		45,945
Option written outstanding, at value (premiums received $23,014)		4,719
Affiliated transfer agent fee payable		980
Deferred trustees’ fees		224
Total Liabilities		52,048,722
NET ASSETS	$	254,869,549
Net assets were comprised of:
Paid-in capital	$	229,022,931
Retained earnings		25,846,618
Net assets, June 30, 2017	$	254,869,549
Net asset value and redemption price per share $254,869,549 / 20,358,650 outstanding shares of beneficial interest	$	12.52

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	2,523,305
Affiliated dividend income		358,515
Income from securities lending, net (including affiliated income of $4,568)		4,816
Total income		2,886,636
EXPENSES
Management fee		505,351
Shareholders’ reports		50,000
Custodian and accounting fees		38,000
Audit fee		17,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Trustees’ fees		6,000
Legal fees and expenses		5,000
Miscellaneous		6,601
Total expenses		633,952
NET INVESTMENT INCOME (LOSS)		2,252,684
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(913,784))		91,406
Futures transactions		1,006,633
Options written transactions		46,915
Forward rate agreement transactions		4,729
Swap agreement transactions		350,512
		1,500,195
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $983,268)		2,185,650
Futures		111,279
Option written		18,295
Swap agreements		(707,415	)
		1,607,809
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		3,108,004
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	5,360,688

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	2,252,684		$	3,782,397
Net realized gain (loss) on investment transactions		1,500,195			2,228,812
Net change in unrealized appreciation (depreciation) on investments		1,607,809			(1,008,606	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		5,360,688			5,002,603
SERIES SHARE TRANSACTIONS
Series shares sold [3,008,248 and 942,340 shares, respectively]		37,013,160			11,729,036
Series shares repurchased [1,115,127 and 1,792,349 shares, respectively]		(13,822,364	)		(22,240,242	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		23,190,796			(10,511,206	)
CAPITAL CONTRIBUTIONS		—			28,977
TOTAL INCREASE (DECREASE)		28,551,484			(5,479,626	)
NET ASSETS:
Beginning of period		226,318,065			231,797,691
End of period	$	254,869,549		$	226,318,065

SEE NOTES TO FINANCIAL STATEMENTS.

A126

GOVERNMENT MONEY MARKET PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

U.S. GOVERNMENT AGENCY OBLIGATIONS — 94.2%	Interest Rate			Maturity Date	Principal Amount (000)#		Value
Federal Farm Credit Bank		1.009%	(n)	08/02/17		7,000	$	6,993,840
Federal Farm Credit Bank		1.186%	(c)	10/25/17		11,000		11,000,000
Federal Farm Credit Bank		1.192%	(c)	04/20/18		6,500		6,499,724
Federal Farm Credit Bank		1.230%	(c)	11/27/17		3,000		3,002,322
Federal Farm Credit Bank		1.241%	(c)	07/26/17		5,000		5,000,739
Federal Farm Credit Bank		1.264%	(c)	08/29/17		2,000		1,999,676
Federal Farm Credit Bank		1.292%	(c)	09/28/17		12,000		11,999,701
Federal Home Loan Bank		0.651%	(n)	07/21/17		11,000		10,996,095
Federal Home Loan Bank		0.662%	(n)	08/01/17		8,000		7,995,522
Federal Home Loan Bank		0.815%	(n)	07/05/17		10,000		9,999,111
Federal Home Loan Bank		0.831%	(n)	07/07/17		12,000		11,998,370
Federal Home Loan Bank		0.844%	(n)	07/12/17		43,000		42,989,120
Federal Home Loan Bank		0.881%	(c)	02/01/18		11,000		11,000,000
Federal Home Loan Bank		0.890%	(c)	01/02/18		12,000		12,000,000
Federal Home Loan Bank		0.914%	(c)	11/08/17		16,000		16,000,000
Federal Home Loan Bank		0.933%	(n)	07/26/17		37,000		36,976,484
Federal Home Loan Bank		1.020%	(n)	07/17/17		6,000		5,997,331
Federal Home Loan Bank		1.032%	(c)	02/15/18		4,000		4,000,000
Federal Home Loan Bank		1.039%	(c)	02/08/18		6,000		6,000,000
Federal Home Loan Bank		1.040%	(n)	08/03/17		11,000		10,989,715
Federal Home Loan Bank		1.040%	(n)	08/08/17		16,000		15,982,773
Federal Home Loan Bank		1.040%	(n)	08/17/17		4,000		3,994,673
Federal Home Loan Bank		1.041%	(c)	01/25/18		13,300		13,299,976
Federal Home Loan Bank		1.044%	(n)	08/23/17		20,000		19,969,864
Federal Home Loan Bank		1.045%	(n)	08/04/17		16,000		15,984,511
Federal Home Loan Bank		1.047%	(n)	08/02/17		24,000		23,978,098
Federal Home Loan Bank		1.048%	(n)	08/18/17		22,000		21,969,875
Federal Home Loan Bank		1.050%	(n)	08/07/17		15,000		14,984,121
Federal Home Loan Bank		1.051%	(n)	08/09/17		19,000		18,978,799
Federal Home Loan Bank		1.054%	(n)	08/16/17		33,000		32,956,448
Federal Home Loan Bank		1.060%	(n)	09/27/17		15,000		14,961,903
Federal Home Loan Bank		1.061%	(n)	08/10/17		10,000		9,988,445
Federal Home Loan Bank		1.061%	(n)	09/01/17		11,250		11,229,850
Federal Home Loan Bank		1.061%	(n)	08/31/17		27,000		26,952,420
Federal Home Loan Bank		1.065%	(n)	09/22/17		18,000		17,956,709
Federal Home Loan Bank		1.067%	(n)	09/20/17		15,000		14,964,731
Federal Home Loan Bank		1.072%	(n)	09/26/17		12,000		11,969,550
Federal Home Loan Bank		1.075%	(c)	03/29/18		6,000		6,000,000
Federal Home Loan Bank		1.086%	(c)	10/25/17		3,000		3,000,000
Federal Home Loan Bank		1.089%	(c)	11/06/17		1,800		1,799,847
Federal Home Loan Bank		1.104%	(c)	12/08/17		4,000		3,999,912
Federal Home Loan Bank		1.116%	(c)	12/21/18		15,000		15,000,000
Federal Home Loan Bank		1.140%	(c)	08/01/17		2,000		2,000,000
Federal Home Loan Bank		1.142%	(c)	08/21/17		1,000		999,986
Federal Home Loan Bank		1.155%	(c)	12/07/17		3,500		3,500,000
Federal Home Loan Bank		1.207%	(c)	08/28/17		3,000		3,000,000
Federal Home Loan Bank		1.213%	(c)	09/11/17		2,000		1,999,980
Federal Home Loan Bank		1.247%	(c)	12/22/17		3,500		3,500,000
Federal Home Loan Mortgage Corp.		0.776%	(c)	10/12/17		8,000		8,000,000
Federal Home Loan Mortgage Corp.		0.968%	(n)	07/03/17		11,900		11,899,372
Federal Home Loan Mortgage Corp.		0.982%	(c)	11/16/17		14,000		14,000,000
Federal Home Loan Mortgage Corp.		1.020%	(n)	08/11/17		8,000		7,990,889
Federal Home Loan Mortgage Corp.		1.041%	(n)	09/11/17		15,000		14,969,400
Federal Home Loan Mortgage Corp.		1.044%	(c)	05/18/18		11,500		11,500,000
Federal Home Loan Mortgage Corp.		1.125%	(c)	01/08/18		5,000		5,000,000
Federal National Mortgage Assoc.		0.968%	(n)	07/03/17		10,000		9,999,472
Federal National Mortgage Assoc.		1.034%	(n)	09/20/17		7,000		6,984,045
Federal National Mortgage Assoc.		1.128%	(c)	01/11/18		8,000		8,000,000
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS								666,703,399

SEE NOTES TO FINANCIAL STATEMENTS.

A127

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

REPURCHASE AGREEMENTS(m) — 5.8%	Principal Amount (000)#		Value
HSBC Securities (USA), Inc., 1.09%, dated 06/30/17, due 07/03/17 in the amount of $32,002,907		32,000	$	32,000,000
RBC Capital Markets LLC, 1.07%, dated 06/30/17, due 07/03/17 in the amount of $8,747,780		8,747		8,747,000
TOTAL REPURCHASE AGREEMENTS				40,747,000
TOTAL INVESTMENTS — 100.0% (amortized cost $707,450,399)				707,450,399
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)%				(76,372	)
NET ASSETS — 100.0%			$	707,374,027

See the Glossary for abbreviations used in the semiannual report.

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

(c) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017.

(m) Repurchase Agreements are collateralized by a FHLMC (coupon rate 3.500%, maturity date 08/01/42) and a U.S. Treasury Obligation (coupon rate 1.375%, maturity date 02/15/44), with the aggregate value, including accrued interest, of $41,562,433.

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

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
U.S. Government Agency Obligations	$	—	$	666,703,399	$	—
Repurchase Agreements		—		40,747,000		—
Total	$	—	$	707,450,399	$	—

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

U.S. Government Agency Obligations	94.2	%
Repurchase Agreements	5.8
	100.0
Liabilities in excess of other assets	(0.0	)*
	100.0	%

* Less than +/- 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A128

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Financial instruments/transactions — summary of offsetting and netting arrangements:

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received(2)			Net Amount
Repurchase Agreements	$	40,747,000	$	(40,747,000	)	$	—

(1) Amount represents market value.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A129

GOVERNMENT MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

ASSETS
Investments, at amortized cost which approximates fair value:	$	707,450,399
Cash		5,997
Receivable for Series shares sold		208,797
Interest receivable		135,785
Prepaid expenses		854
Total Assets		707,801,832
LIABILITIES
Management fee payable		177,647
Payable for Series shares repurchased		142,319
Shareholders’ reports payable		49,674
Custodian and accounting fees payable		49,295
Accrued expenses		7,890
Affiliated transfer agent fee payable		980
Total Liabilities		427,805
NET ASSETS	$	707,374,027
Net assets were comprised of:
Paid-in capital	$	707,374,027
Net assets, June 30, 2017	$	707,374,027
Net asset value and redemption price per share $707,374,027 / 70,734,419 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
Interest income	$	2,469,942
EXPENSES
Management fee		1,045,151
Shareholders’ reports		52,000
Custodian and accounting fees		49,000
Audit fee		12,000
Trustees’ fees		8,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Legal fees and expenses		5,000
Miscellaneous		9,947
Total expenses		1,187,098
NET INVESTMENT INCOME (LOSS)		1,282,844
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investment transactions		4,354
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	1,287,198

STATEMENT OF CHANGES IN NET ASSETS

(unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	1,282,844		$	657,253
Net realized gain (loss) on investment transactions		4,354			29,234
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		1,287,198			686,487
DISTRIBUTIONS		(1,287,198	)		(686,487	)
SERIES SHARE TRANSACTIONS
Series shares sold [16,327,343 and 44,748,619 shares, respectively]		163,273,433			447,486,185
Series shares issued in reinvestment of distributions [128,720 and 68,649 shares, respectively]		1,287,198			686,487
Series shares repurchased [18,143,120 and 37,473,140 shares, respectively]		(181,431,198	)		(374,731,396	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(16,870,567	)		73,441,276
TOTAL INCREASE (DECREASE)		(16,870,567	)		73,441,276
NET ASSETS:
Beginning of period		724,244,594			650,803,318
End of period	$	707,374,027		$	724,244,594

SEE NOTES TO FINANCIAL STATEMENTS.

A130

STOCK INDEX PORTFOLIO

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

LONG-TERM INVESTMENTS — 97.9%			Value
COMMON STOCKS — 97.8%	Shares
Aerospace & Defense — 2.3%
Arconic, Inc.		74,992	$	1,698,569
Boeing Co. (The)		96,936		19,169,094
General Dynamics Corp.		48,500		9,607,850
L3 Technologies, Inc.		13,300		2,222,164
Lockheed Martin Corp.		42,398		11,770,109
Northrop Grumman Corp.		29,926		7,682,303
Raytheon Co.		50,018		8,076,907
Rockwell Collins, Inc.		26,800		2,816,144
Textron, Inc.		46,500		2,190,150
TransDigm Group, Inc.(a)		8,500		2,285,395
United Technologies Corp.		127,500		15,569,025
				83,087,710
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.(a)		24,100		1,655,188
Expeditors International of Washington, Inc.		31,200		1,762,176
FedEx Corp.		41,740		9,071,354
United Parcel Service, Inc. (Class B Stock)		117,400		12,983,266
				25,471,984
Airlines — 0.6%
Alaska Air Group, Inc.		21,200		1,902,912
American Airlines Group, Inc.(a)		85,800		4,317,456
Delta Air Lines, Inc.		124,700		6,701,378
Southwest Airlines Co.		104,837		6,514,571
United Continental Holdings, Inc.*		48,900		3,679,725
				23,116,042
Auto Components — 0.2%
BorgWarner, Inc.		34,400		1,457,184
Delphi Automotive PLC		46,200		4,049,430
Goodyear Tire & Rubber Co. (The)		42,900		1,499,784
				7,006,398
Automobiles — 0.5%
Ford Motor Co.		662,559		7,414,035
General Motors Co.		231,500		8,086,295
Harley-Davidson, Inc.(a)		29,900		1,615,198
				17,115,528
Banks — 6.4%
Bank of America Corp.		1,703,082		41,316,769
BB&T Corp.		137,900		6,262,039
Citigroup, Inc.		470,922		31,495,263
Citizens Financial Group, Inc.		87,200		3,111,296
Comerica, Inc.		29,950		2,193,538
Fifth Third Bancorp		128,249		3,329,344
Huntington Bancshares, Inc.		183,075		2,475,174
JPMorgan Chase & Co.		606,745		55,456,493
KeyCorp		182,400		3,418,176
M&T Bank Corp.		26,400		4,275,480
People’s United Financial, Inc.		54,800		967,768
PNC Financial Services Group, Inc. (The)		82,493		10,300,901
Regions Financial Corp.		204,112		2,988,200
SunTrust Banks, Inc.		83,900		4,758,808
U.S. Bancorp		270,581		14,048,566

COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Wells Fargo & Co.		765,136	$	42,396,186
Zions Bancorporation		35,000		1,536,850
				230,330,851
Beverages — 2.0%
Brown-Forman Corp. (Class B Stock)(a)		30,000		1,458,000
Coca-Cola Co. (The)		655,750		29,410,388
Constellation Brands, Inc. (Class A Stock)		29,400		5,695,662
Dr. Pepper Snapple Group, Inc.		31,400		2,860,854
Molson Coors Brewing Co. (Class B Stock)		31,500		2,719,710
Monster Beverage Corp.*		68,900		3,422,952
PepsiCo, Inc.		242,364		27,990,618
				73,558,184
Biotechnology — 2.9%
AbbVie, Inc.		271,700		19,700,967
Alexion Pharmaceuticals, Inc.*		38,300		4,659,961
Amgen, Inc.		125,194		21,562,163
Biogen, Inc.*		36,775		9,979,264
Celgene Corp.*		132,600		17,220,762
Gilead Sciences, Inc.		222,800		15,769,784
Incyte Corp.*		28,800		3,626,208
Regeneron Pharmaceuticals, Inc.*		12,930		6,350,440
Vertex Pharmaceuticals, Inc.*		42,500		5,476,975
				104,346,524
Building Products — 0.3%
Allegion PLC		16,533		1,341,157
Fortune Brands Home & Security, Inc.		26,100		1,702,764
Johnson Controls International PLC		159,615		6,920,906
Masco Corp.		55,000		2,101,550
				12,066,377
Capital Markets — 2.9%
Affiliated Managers Group, Inc.		9,700		1,608,842
Ameriprise Financial, Inc.		26,500		3,373,185
Bank of New York Mellon Corp. (The)		176,389		8,999,367
BlackRock, Inc.		20,830		8,798,800
CBOE Holdings, Inc.		15,300		1,398,420
Charles Schwab Corp. (The)		206,600		8,875,536
CME Group, Inc.		57,800		7,238,872
E*TRADE Financial Corp.*		47,310		1,799,199
Franklin Resources, Inc.		59,100		2,647,089
Goldman Sachs Group, Inc. (The)		62,900		13,957,510
Intercontinental Exchange, Inc.		101,490		6,690,221
Invesco Ltd.		69,900		2,459,781
Moody’s Corp.		28,520		3,470,314
Morgan Stanley		244,510		10,895,366
Nasdaq, Inc.		19,600		1,401,204
Northern Trust Corp.		36,300		3,528,723
Raymond James Financial, Inc.		21,900		1,756,818
S&P Global, Inc.		44,100		6,438,159
State Street Corp.		61,325		5,502,692
T. Rowe Price Group, Inc.(a)		41,500		3,079,715
				103,919,813

SEE NOTES TO FINANCIAL STATEMENTS.

A131

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Chemicals — 2.1%
Air Products & Chemicals, Inc.		37,100	$	5,307,526
Albemarle Corp.		19,500		2,058,030
CF Industries Holdings, Inc.(a)		39,800		1,112,808
Dow Chemical Co. (The)		189,911		11,977,687
E.I. du Pont de Nemours & Co.		146,691		11,839,431
Eastman Chemical Co.		25,400		2,133,346
Ecolab, Inc.		44,700		5,933,925
FMC Corp.		23,150		1,691,107
International Flavors & Fragrances, Inc.		13,700		1,849,500
LyondellBasell Industries NV (Class A Stock)		56,600		4,776,474
Monsanto Co.		74,796		8,852,855
Mosaic Co. (The)		59,100		1,349,253
PPG Industries, Inc.		43,800		4,816,248
Praxair, Inc.		48,600		6,441,930
Sherwin-Williams Co. (The)		13,900		4,878,344
				75,018,464
Commercial Services & Supplies — 0.3%
Cintas Corp.		14,800		1,865,392
Republic Services, Inc.		39,635		2,525,939
Stericycle, Inc.*		14,500		1,106,640
Waste Management, Inc.		69,230		5,078,020
				10,575,991
Communications Equipment — 1.0%
Cisco Systems, Inc.		851,475		26,651,168
F5 Networks, Inc.*(a)		11,300		1,435,778
Harris Corp.		21,400		2,334,312
Juniper Networks, Inc.		66,000		1,840,080
Motorola Solutions, Inc.		28,027		2,431,062
				34,692,400
Construction & Engineering — 0.1%
Fluor Corp.		23,700		1,084,986
Jacobs Engineering Group, Inc.		20,900		1,136,751
Quanta Services, Inc.*		26,200		862,504
				3,084,241
Construction Materials — 0.1%
Martin Marietta Materials, Inc.		10,800		2,403,864
Vulcan Materials Co.		22,700		2,875,636
				5,279,500
Consumer Finance — 0.7%
American Express Co.		129,000		10,866,960
Capital One Financial Corp.		81,869		6,764,017
Discover Financial Services		65,905		4,098,632
Navient Corp.		53,000		882,450
Synchrony Financial		130,830		3,901,350
				26,513,409
Containers & Packaging — 0.3%
Avery Dennison Corp.		15,400		1,360,898
Ball Corp.		59,700		2,519,937
International Paper Co.		70,167		3,972,154
Sealed Air Corp.		33,420		1,495,879
WestRock Co.		42,761		2,422,838
				11,771,706

COMMON STOCKS (continued)	Shares		Value
Distributors — 0.1%
Genuine Parts Co.		25,625	$	2,376,975
LKQ Corp.*		51,900		1,710,105
				4,087,080
Diversified Consumer Services — 0.0%
H&R Block, Inc.		35,900		1,109,669
Diversified Financial Services — 1.6%
Berkshire Hathaway, Inc. (Class B Stock)*		322,600		54,638,762
Leucadia National Corp.		54,500		1,425,720
				56,064,482
Diversified Telecommunication Services — 2.1%
AT&T, Inc.		1,043,935		39,387,667
CenturyLink, Inc.(a)		93,185		2,225,258
Level 3 Communications, Inc.*		50,200		2,976,860
Verizon Communications, Inc.		692,638		30,933,213
				75,522,998
Electric Utilities — 1.9%
Alliant Energy Corp.		38,400		1,542,528
American Electric Power Co., Inc.		83,940		5,831,312
Duke Energy Corp.		118,048		9,867,632
Edison International		55,400		4,331,726
Entergy Corp.		30,900		2,372,193
Eversource Energy		54,100		3,284,411
Exelon Corp.		157,573		5,683,658
FirstEnergy Corp.		75,280		2,195,165
NextEra Energy, Inc.		79,575		11,150,845
PG&E Corp.		86,200		5,721,094
Pinnacle West Capital Corp.		19,000		1,618,040
PPL Corp.		116,100		4,488,426
Southern Co. (The)		167,500		8,019,900
Xcel Energy, Inc.		86,295		3,959,214
				70,066,144
Electrical Equipment — 0.6%
Acuity Brands, Inc.(a)		7,500		1,524,600
AMETEK, Inc.		39,500		2,392,515
Eaton Corp. PLC		76,761		5,974,309
Emerson Electric Co.		110,400		6,582,048
Rockwell Automation, Inc.		21,900		3,546,924
				20,020,396
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		52,600		3,882,932
Corning, Inc.		158,000		4,747,900
FLIR Systems, Inc.		23,000		797,180
TE Connectivity Ltd.		60,600		4,768,008
				14,196,020
Energy Equipment & Services — 0.9%
Baker Hughes, Inc.		72,248		3,938,239
Halliburton Co.		147,900		6,316,809
Helmerich & Payne, Inc.(a)		18,900		1,027,026
National Oilwell Varco, Inc.(a)		64,400		2,121,336
Schlumberger Ltd.		236,298		15,557,860
TechnipFMC PLC (United Kingdom)*		79,400		2,159,680
Transocean Ltd.*(a)		65,700		540,711
				31,661,661

SEE NOTES TO FINANCIAL STATEMENTS.

A132

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) — 2.8%
Alexandria Real Estate Equities, Inc.(a)		14,400	$	1,734,768
American Tower Corp.		72,900		9,646,128
Apartment Investment & Management Co. (Class A Stock)		27,374		1,176,261
AvalonBay Communities, Inc.(a)		23,318		4,481,020
Boston Properties, Inc.		26,200		3,223,124
Crown Castle International Corp.		61,500		6,161,070
Digital Realty Trust, Inc.(a)		27,400		3,094,830
Equinix, Inc.		13,055		5,602,684
Equity Residential(a)		62,500		4,114,375
Essex Property Trust, Inc.(a)		11,200		2,881,424
Extra Space Storage, Inc.(a)		21,400		1,669,200
Federal Realty Investment Trust(a)		12,400		1,567,236
GGP, Inc.(a)		99,700		2,348,932
HCP, Inc.		79,600		2,544,016
Host Hotels & Resorts, Inc.(a)		124,626		2,276,917
Iron Mountain, Inc.(a)		41,430		1,423,535
Kimco Realty Corp.		71,800		1,317,530
Macerich Co. (The)(a)		20,800		1,207,648
Mid-America Apartment Communities, Inc.		19,500		2,054,910
Prologis, Inc.		90,228		5,290,970
Public Storage		25,600		5,338,368
Realty Income Corp.(a)		44,900		2,477,582
Regency Centers Corp.(a)		24,400		1,528,416
Simon Property Group, Inc.		53,961		8,728,731
SL Green Realty Corp.		17,100		1,809,180
UDR, Inc.		45,100		1,757,547
Ventas, Inc.		60,704		4,217,714
Vornado Realty Trust		29,457		2,766,012
Welltower, Inc.		62,000		4,640,700
Weyerhaeuser Co.		127,830		4,282,305
				101,363,133
Food & Staples Retailing — 1.9%
Costco Wholesale Corp.		74,422		11,902,310
CVS Health Corp.		174,738		14,059,420
Kroger Co. (The)		157,300		3,668,236
Sysco Corp.		84,600		4,257,918
Wal-Mart Stores, Inc.		256,100		19,381,648
Walgreens Boots Alliance, Inc.		145,000		11,354,950
Whole Foods Market, Inc.		54,400		2,290,784
				66,915,266
Food Products — 1.3%
Archer-Daniels-Midland Co.		97,238		4,023,708
Campbell Soup Co.		33,200		1,731,380
Conagra Brands, Inc.		71,300		2,549,688
General Mills, Inc.		98,800		5,473,520
Hershey Co. (The)		23,900		2,566,143
Hormel Foods Corp.(a)		46,300		1,579,293
J.M. Smucker Co. (The)		19,900		2,354,767
Kellogg Co.(a)		43,000		2,986,780
Kraft Heinz Co. (The)		101,637		8,704,193
McCormick & Co., Inc. (Non-Voting Shares)		19,500		1,901,445

COMMON STOCKS (continued)	Shares		Value
Food Products (continued)
Mondelez International, Inc. (Class A Stock)		259,811	$	11,221,237
Tyson Foods, Inc. (Class A Stock)		49,600		3,106,448
				48,198,602
Health Care Equipment & Supplies — 2.8%
Abbott Laboratories		293,825		14,282,833
Baxter International, Inc.		83,200		5,036,928
Becton, Dickinson & Co.		37,754		7,366,183
Boston Scientific Corp.*		231,899		6,428,240
C.R. Bard, Inc.		12,400		3,919,764
Align Technology, Inc.*		8,900		1,336,068
Cooper Cos., Inc. (The)		8,530		2,042,253
Danaher Corp.		104,000		8,776,560
DENTSPLY SIRONA, Inc.		39,300		2,548,212
Edwards Lifesciences Corp.*		36,400		4,303,936
Hologic, Inc.*		47,400		2,151,012
IDEXX Laboratories, Inc.*		15,200		2,453,584
Intuitive Surgical, Inc.*		6,290		5,883,477
Medtronic PLC		233,128		20,690,110
Stryker Corp.(a)		52,600		7,299,828
Varian Medical Systems, Inc.*		16,100		1,661,359
Zimmer Biomet Holdings, Inc.		34,386		4,415,163
				100,595,510
Health Care Providers & Services — 2.8%
Aetna, Inc.		56,457		8,571,866
AmerisourceBergen Corp.(a)		28,500		2,694,105
Anthem, Inc.		45,200		8,503,476
Cardinal Health, Inc.		53,775		4,190,148
Centene Corp.*		29,400		2,348,472
Cigna Corp.		43,800		7,331,682
DaVita, Inc.*		27,000		1,748,520
Envision Healthcare Corp.*		20,200		1,265,934
Express Scripts Holding Co.*		103,726		6,621,868
HCA Healthcare, Inc.*		49,100		4,281,520
Henry Schein, Inc.*(a)		13,500		2,470,770
Humana, Inc.		25,500		6,135,810
Laboratory Corp. of America Holdings*		17,400		2,682,036
McKesson Corp.		36,307		5,973,954
Patterson Cos., Inc.(a)		14,200		666,690
Quest Diagnostics, Inc.		23,300		2,590,028
UnitedHealth Group, Inc.		163,300		30,279,086
Universal Health Services, Inc. (Class B Stock)		15,600		1,904,448
				100,260,413
Health Care Technology — 0.1%
Cerner Corp.*		50,400		3,350,088
Hotels, Restaurants & Leisure — 1.7%
Carnival Corp.		71,100		4,662,027
Chipotle Mexican Grill, Inc.*(a)		4,920		2,047,212
Darden Restaurants, Inc.		21,550		1,948,982
Hilton Worldwide Holdings, Inc.		24,900		1,540,065
Marriott International, Inc. (Class A Stock)		53,523		5,368,892
McDonald’s Corp.		139,320		21,338,251

SEE NOTES TO FINANCIAL STATEMENTS.

A133

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Hotels, Restaurants & Leisure (continued)
Royal Caribbean Cruises Ltd.		28,800	$	3,145,824
Starbucks Corp.		247,800		14,449,218
Wyndham Worldwide Corp.		18,063		1,813,706
Wynn Resorts Ltd.		13,600		1,824,032
Yum! Brands, Inc.		57,200		4,219,072
				62,357,281
Household Durables — 0.5%
D.R. Horton, Inc.		58,900		2,036,173
Garmin Ltd.(a)		19,800		1,010,394
Leggett & Platt, Inc.		22,700		1,192,431
Lennar Corp. (Class A Stock)		34,600		1,844,872
Mohawk Industries, Inc.*		10,900		2,634,421
Newell Brands, Inc.		82,549		4,426,278
PulteGroup, Inc.		49,185		1,206,508
Whirlpool Corp.		12,807		2,454,077
				16,805,154
Household Products — 1.7%
Church & Dwight Co., Inc.		43,700		2,267,156
Clorox Co. (The)		22,100		2,944,604
Colgate-Palmolive Co.		150,400		11,149,152
Kimberly-Clark Corp.		60,588		7,822,517
Procter & Gamble Co. (The)		434,306		37,849,768
				62,033,197
Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		110,400		1,226,544
NRG Energy, Inc.		53,700		924,714
				2,151,258
Industrial Conglomerates — 2.3%
3M Co.		101,200		21,068,828
General Electric Co.		1,480,647		39,992,275
Honeywell International, Inc.		129,450		17,254,390
Roper Technologies, Inc.		17,300		4,005,469
				82,320,962
Insurance — 2.5%
Aflac, Inc.		68,300		5,305,544
Allstate Corp. (The)		62,188		5,499,907
American International Group, Inc.		150,429		9,404,821
Aon PLC		44,825		5,959,484
Arthur J. Gallagher & Co.		30,700		1,757,575
Assurant, Inc.		9,800		1,016,162
Chubb Ltd.		79,390		11,541,718
Cincinnati Financial Corp.		25,928		1,878,484
Everest Re Group Ltd.		4,000		1,018,360
Hartford Financial Services Group, Inc. (The)		63,800		3,353,966
Lincoln National Corp.		38,363		2,592,572
Loews Corp.		47,326		2,215,330
Marsh & McLennan Cos., Inc.		87,900		6,852,684
MetLife, Inc.		185,100		10,169,394
Principal Financial Group, Inc.		45,700		2,927,999
Progressive Corp. (The)		99,300		4,378,137
Torchmark Corp.		18,875		1,443,937
Travelers Cos., Inc. (The)		47,798		6,047,881
Unum Group		39,056		1,821,181

COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Willis Towers Watson PLC		21,800	$	3,171,028
XL Group Ltd. (Bermuda)		45,600		1,997,280
				90,353,444
Internet & Direct Marketing Retail — 2.6%
Amazon.com, Inc.*		67,290		65,136,720
Expedia, Inc.		20,800		3,098,160
Netflix, Inc.*		73,290		10,950,259
Priceline Group, Inc. (The)*		8,370		15,656,252
TripAdvisor, Inc.*(a)		19,400		741,080
				95,582,471
Internet Software & Services — 4.5%
Akamai Technologies, Inc.*		29,400		1,464,414
Alphabet, Inc. (Class A Stock)*		50,515		46,962,785
Alphabet, Inc. (Class C Stock)*		50,490		45,881,778
eBay, Inc.*		172,400		6,020,208
Facebook, Inc. (Class A Stock)*		400,100		60,407,098
VeriSign, Inc.*(a)		15,500		1,440,880
				162,177,163
IT Services — 3.8%
Accenture PLC (Class A Stock)		105,900		13,097,712
Alliance Data Systems Corp.		9,600		2,464,224
Automatic Data Processing, Inc.		76,500		7,838,190
Cognizant Technology Solutions Corp. (Class A Stock)		103,800		6,892,320
CSRA, Inc.		24,600		781,050
DXC Technology Co.		47,350		3,632,692
Fidelity National Information Services, Inc.		56,100		4,790,940
Fiserv, Inc.*		36,500		4,465,410
Gartner, Inc.*		14,400		1,778,544
Global Payments, Inc.		26,000		2,348,320
International Business Machines Corp.		145,725		22,416,877
Mastercard, Inc. (Class A Stock)		159,900		19,419,855
Paychex, Inc.		54,750		3,117,465
PayPal Holdings, Inc.*		191,000		10,250,970
Total System Services, Inc.		28,293		1,648,067
Visa, Inc. (Class A Stock)(a)		315,400		29,578,212
Western Union Co. (The)(a)		81,204		1,546,936
				136,067,784
Leisure Products — 0.1%
Hasbro, Inc.		19,150		2,135,416
Mattel, Inc.(a)		57,281		1,233,260
				3,368,676
Life Sciences Tools & Services — 0.7%
Agilent Technologies, Inc.		54,782		3,249,120
Illumina, Inc.*		25,000		4,338,000
Mettler-Toledo International, Inc.*		4,450		2,619,003
PerkinElmer, Inc.		18,600		1,267,404
Thermo Fisher Scientific, Inc.		66,600		11,619,702
Waters Corp.*		13,700		2,518,608
				25,611,837

SEE NOTES TO FINANCIAL STATEMENTS.

A134

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Machinery — 1.5%
Caterpillar, Inc.		99,400	$	10,681,524
Cummins, Inc.		26,500		4,298,830
Deere & Co.		49,850		6,160,961
Dover Corp.		26,400		2,117,808
Flowserve Corp.(a)		22,500		1,044,675
Fortive Corp.		51,400		3,256,190
Illinois Tool Works, Inc.		53,175		7,617,319
Ingersoll-Rand PLC		44,500		4,066,855
PACCAR, Inc.		60,128		3,970,853
Parker-Hannifin Corp.		22,787		3,641,818
Pentair PLC (United Kingdom)		28,807		1,916,818
Snap-on, Inc.		10,000		1,580,000
Stanley Black & Decker, Inc.		25,935		3,649,833
Xylem, Inc.		30,400		1,685,072
				55,688,556
Media — 3.0%
CBS Corp. (Class B Non-Voting Stock)		63,368		4,041,611
Charter Communications, Inc. (Class A Stock)*		36,600		12,328,710
Comcast Corp. (Class A Stock)		803,692		31,279,693
Discovery Communications, Inc. (Class A Stock)*(a)		26,300		679,329
Discovery Communications, Inc. (Class C Stock)*(a)		37,500		945,375
DISH Network Corp. (Class A Stock)*		38,600		2,422,536
Interpublic Group of Cos., Inc. (The)		67,762		1,666,945
News Corp. (Class A Stock)		63,625		871,662
News Corp. (Class B Stock)		19,300		273,095
Omnicom Group, Inc.(a)		40,100		3,324,290
Scripps Networks Interactive, Inc. (Class A Stock)(a)		16,400		1,120,284
Time Warner, Inc.		131,315		13,185,339
Twenty-First Century Fox, Inc. (Class A Stock)		178,700		5,064,358
Twenty-First Century Fox, Inc. (Class B Stock)		82,200		2,290,914
Viacom, Inc. (Class B Stock)		59,043		1,982,074
Walt Disney Co. (The)		247,276		26,273,075
				107,749,290
Metals & Mining — 0.2%
Freeport-McMoRan, Inc.*		223,512		2,684,379
Newmont Mining Corp.		90,803		2,941,109
Nucor Corp.		54,600		3,159,702
				8,785,190
Multi-Utilities — 1.0%
Ameren Corp.		41,500		2,268,805
CenterPoint Energy, Inc.		72,810		1,993,538
CMS Energy Corp.		47,800		2,210,750
Consolidated Edison, Inc.		52,200		4,218,804
Dominion Energy, Inc.		106,784		8,182,858
DTE Energy Co.		30,600		3,237,174
NiSource, Inc.		55,500		1,407,480
Public Service Enterprise Group, Inc.		86,000		3,698,860

COMMON STOCKS (continued)	Shares		Value
Multi-Utilities (continued)
SCANA Corp.		24,300	$	1,628,343
Sempra Energy		42,754		4,820,513
WEC Energy Group, Inc.(a)		53,876		3,306,909
				36,974,034
Multiline Retail — 0.4%
Dollar General Corp.		43,400		3,128,706
Dollar Tree, Inc.*		40,147		2,807,078
Kohl’s Corp.(a)		30,800		1,191,036
Macy’s, Inc.		51,620		1,199,649
Nordstrom, Inc.(a)		19,800		947,034
Target Corp.		94,868		4,960,648
				14,234,151
Oil, Gas & Consumable Fuels — 5.0%
Anadarko Petroleum Corp.		95,226		4,317,547
Apache Corp.(a)		64,350		3,084,296
Cabot Oil & Gas Corp.		81,300		2,039,004
Chesapeake Energy Corp.*(a)		125,800		625,226
Chevron Corp.		321,742		33,567,343
Cimarex Energy Co.		16,500		1,551,165
Concho Resources, Inc.*		25,200		3,062,556
ConocoPhillips		210,229		9,241,667
Devon Energy Corp.		89,700		2,867,709
EOG Resources, Inc.		97,900		8,861,908
EQT Corp.		29,700		1,740,123
Exxon Mobil Corp.		715,404		57,754,565
Hess Corp.		46,175		2,025,697
Kinder Morgan, Inc.		326,443		6,254,648
Marathon Oil Corp.		142,994		1,694,479
Marathon Petroleum Corp.		89,694		4,693,687
Murphy Oil Corp.(a)		27,700		709,951
Newfield Exploration Co.*		35,000		996,100
Noble Energy, Inc.		74,400		2,105,520
Occidental Petroleum Corp.		130,200		7,795,074
ONEOK, Inc.		36,340		1,895,494
Phillips 66		74,764		6,182,235
Pioneer Natural Resources Co.		29,000		4,627,820
Range Resources Corp.(a)		31,700		734,489
Tesoro Corp.		24,100		2,255,760
Valero Energy Corp.		76,600		5,167,436
Williams Cos., Inc. (The)		140,400		4,251,312
				180,102,811
Personal Products — 0.1%
Coty, Inc. (Class A Stock)(a)		79,400		1,489,544
Estee Lauder Cos., Inc. (The) (Class A Stock)		38,100		3,656,838
				5,146,382
Pharmaceuticals — 5.0%
Allergan PLC		57,256		13,918,361
Bristol-Myers Squibb Co.		284,440		15,848,997
Eli Lilly & Co.		165,200		13,595,960
Johnson & Johnson		460,696		60,945,474
Mallinckrodt PLC*		17,200		770,732
Merck & Co., Inc.		466,803		29,917,404
Mylan NV*		78,900		3,062,898
Perrigo Co. PLC(a)		24,300		1,835,136

SEE NOTES TO FINANCIAL STATEMENTS.

A135

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (continued)
Pfizer, Inc.		1,011,223	$	33,966,981
Zoetis, Inc.		83,900		5,233,682
				179,095,625
Professional Services — 0.3%
Equifax, Inc.		20,500		2,817,110
IHS Markit Ltd.*		51,300		2,259,252
Nielsen Holdings PLC(a)		57,100		2,207,486
Robert Half International, Inc.		22,000		1,054,460
Verisk Analytics, Inc.*		26,300		2,218,931
				10,557,239
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		52,200		1,900,080
Road & Rail — 0.9%
CSX Corp.		157,672		8,602,584
J.B. Hunt Transport Services, Inc.		14,900		1,361,562
Kansas City Southern		18,500		1,936,025
Norfolk Southern Corp.		49,700		6,048,490
Union Pacific Corp.		138,500		15,084,035
				33,032,696
Semiconductors & Semiconductor Equipment — 3.3%
Advanced Micro Devices, Inc.*(a)		126,100		1,573,728
Analog Devices, Inc.		62,223		4,840,949
Applied Materials, Inc.		183,900		7,596,909
Broadcom Ltd.		68,260		15,907,993
Intel Corp.		803,900		27,123,586
KLA-Tencor Corp.		26,900		2,461,619
Lam Research Corp.		27,850		3,938,825
Microchip Technology, Inc.(a)		37,800		2,917,404
Micron Technology, Inc.*		176,200		5,261,332
NVIDIA Corp.		99,450		14,376,492
Qorvo, Inc.*		21,886		1,385,822
QUALCOMM, Inc.		251,150		13,868,503
Skyworks Solutions, Inc.		31,800		3,051,210
Texas Instruments, Inc.		170,100		13,085,793
Xilinx, Inc.		42,300		2,720,736
				120,110,901
Software — 4.8%
Activision Blizzard, Inc.		117,600		6,770,232
Adobe Systems, Inc.*		84,475		11,948,144
ANSYS, Inc.*		10,600		1,289,808
Autodesk, Inc.*		33,400		3,367,388
CA, Inc.		52,873		1,822,532
Citrix Systems, Inc.*		27,000		2,148,660
Electronic Arts, Inc.*		52,400		5,539,728
Intuit, Inc.		41,300		5,485,053
Microsoft Corp.		1,312,600		90,477,518
Oracle Corp.		509,595		25,551,093
Red Hat, Inc.*		30,600		2,929,950
salesforce.com, Inc.*		110,200		9,543,320
Symantec Corp.		105,511		2,980,686
Synopsys, Inc.*		25,600		1,867,008
				171,721,120

COMMON STOCKS (continued)	Shares		Value
Specialty Retail — 2.2%
Advance Auto Parts, Inc.		12,800	$	1,492,352
AutoNation, Inc.*(a)		11,289		475,944
AutoZone, Inc.*		4,910		2,800,959
Bed Bath & Beyond, Inc.(a)		25,800		784,320
Best Buy Co., Inc.(a)		46,025		2,638,613
CarMax, Inc.*(a)		31,900		2,011,614
Foot Locker, Inc.		22,900		1,128,512
Gap, Inc. (The)(a)		37,187		817,742
Home Depot, Inc. (The)		205,969		31,595,645
L Brands, Inc.(a)		41,196		2,220,053
Lowe’s Cos., Inc.		147,525		11,437,613
O’Reilly Automotive, Inc.*(a)		15,600		3,412,344
Ross Stores, Inc.		67,100		3,873,683
Signet Jewelers Ltd.(a)		12,100		765,204
Staples, Inc.		108,700		1,094,609
Tiffany & Co.		18,500		1,736,595
TJX Cos., Inc. (The)		111,200		8,025,304
Tractor Supply Co.		22,700		1,230,567
Ulta Beauty, Inc.*		10,000		2,873,400
				80,415,073
Technology Hardware, Storage & Peripherals — 4.1%
Apple, Inc.		889,455		128,099,309
Hewlett Packard Enterprise Co.		283,466		4,702,701
HP, Inc.		286,966		5,016,166
NetApp, Inc.		46,700		1,870,335
Seagate Technology PLC(a)		50,400		1,953,000
Western Digital Corp.		49,568		4,391,725
Xerox Corp.		36,002		1,034,337
				147,067,573
Textiles, Apparel & Luxury Goods — 0.7%
Coach, Inc.		48,200		2,281,788
Hanesbrands, Inc.(a)		63,800		1,477,608
Michael Kors Holdings Ltd.*		27,700		1,004,125
NIKE, Inc. (Class B Stock)		225,400		13,298,600
PVH Corp.		13,900		1,591,550
Ralph Lauren Corp.(a)		9,800		723,240
Under Armour, Inc. (Class A Stock)*(a)		31,200		678,912
Under Armour, Inc. (Class C Stock)*(a)		30,603		616,957
VF Corp.(a)		56,444		3,251,174
				24,923,954
Tobacco — 1.8%
Altria Group, Inc.		329,500		24,537,865
Philip Morris International, Inc.		263,300		30,924,585
Reynolds American, Inc.		140,484		9,137,079
				64,599,529
Trading Companies & Distributors — 0.1%
Fastenal Co.(a)		49,600		2,159,088
United Rentals, Inc.*		14,500		1,634,295
W.W. Grainger, Inc.(a)		9,400		1,696,982
				5,490,365

SEE NOTES TO FINANCIAL STATEMENTS.

A136

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

COMMON STOCKS (continued)	Shares		Value
Water Utilities — 0.1%
American Water Works Co., Inc.		30,800	$	2,400,860
TOTAL COMMON STOCKS (cost $1,179,109,622)				3,529,191,240
EXCHANGE TRADED FUND — 0.1%
iShares Core S&P 500 ETF (cost $3,339,972)		14,000		3,407,740
TOTAL LONG-TERM INVESTMENTS (cost $1,182,449,594)				3,532,598,980
SHORT-TERM INVESTMENTS — 5.9%
AFFILIATED MUTUAL FUNDS — 5.8%
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w)		68,780,634		68,780,634
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $139,351,441; includes $139,226,790 of cash collateral for securities on loan)(b)(w)		139,349,015		139,362,950
TOTAL AFFILIATED MUTUAL FUNDS (cost $208,132,075)				208,143,584

U.S. TREASURY OBLIGATION — 0.1%	Principal Amount (000)#		Value
U.S. Treasury Bill, 0.995%, 09/21/17 (cost $2,993,336)(k)(n)		3,000	$	2,993,511
TOTAL SHORT-TERM INVESTMENTS (cost $211,125,411)				211,137,095
TOTAL INVESTMENTS — 103.8% (cost $1,393,575,005)			$	3,743,736,075
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.8)%				(137,650,932	)
NET ASSETS — 100.0%			$	3,606,085,143

See the Glossary for abbreviations used in the semiannual 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 $136,190,555; cash collateral of $139,226,790 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

Futures contracts outstanding at June 30, 2017:

Number of Contracts	Type		Expiration Date		Value at Trade Date		Value at June 30, 2017		Unrealized Appreciation (Depreciation)
Long Positions:
40		S&P 500 E-mini		Sep. 2017	$	4,853,010	$	4,841,800	$	(11,210	)
112		S&P 500 Index		Sep. 2017		67,962,321		67,785,200		(177,121	)
									$	(188,331	)

A security with a market value of $2,993,511 has been segregated with UBS to cover requirements for open future contracts at June 30, 2017.

SEE NOTES TO FINANCIAL STATEMENTS.

A137

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Fair value measurements:

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— unadjusted quoted prices generally in active markets for identical securities.

Level 2— quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

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

The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	83,087,710	$	—	$	—
Air Freight & Logistics		25,471,984		—		—
Airlines		23,116,042		—		—
Auto Components		7,006,398		—		—
Automobiles		17,115,528		—		—
Banks		230,330,851		—		—
Beverages		73,558,184		—		—
Biotechnology		104,346,524		—		—
Building Products		12,066,377		—		—
Capital Markets		103,919,813		—		—
Chemicals		75,018,464		—		—
Commercial Services & Supplies		10,575,991		—		—
Communications Equipment		34,692,400		—		—
Construction & Engineering		3,084,241		—		—
Construction Materials		5,279,500		—		—
Consumer Finance		26,513,409		—		—
Containers & Packaging		11,771,706		—		—
Distributors		4,087,080		—		—
Diversified Consumer Services		1,109,669		—		—
Diversified Financial Services		56,064,482		—		—
Diversified Telecommunication Services		75,522,998		—		—
Electric Utilities		70,066,144		—		—
Electrical Equipment		20,020,396		—		—
Electronic Equipment, Instruments & Components		14,196,020		—		—
Energy Equipment & Services		31,661,661		—		—
Equity Real Estate Investment Trusts (REITs)		101,363,133		—		—
Food & Staples Retailing		66,915,266		—		—
Food Products		48,198,602		—		—
Health Care Equipment & Supplies		100,595,510		—		—
Health Care Providers & Services		100,260,413		—		—
Health Care Technology		3,350,088		—		—
Hotels, Restaurants & Leisure		62,357,281		—		—
Household Durables		16,805,154		—		—
Household Products		62,033,197		—		—
Independent Power & Renewable Electricity Producers		2,151,258		—		—
Industrial Conglomerates		82,320,962		—		—
Insurance		90,353,444		—		—
Internet & Direct Marketing Retail		95,582,471		—		—
Internet Software & Services		162,177,163		—		—
IT Services		136,067,784		—		—
Leisure Products		3,368,676		—		—
Life Sciences Tools & Services		25,611,837		—		—
Machinery		55,688,556		—		—
Media		107,749,290		—		—
Metals & Mining		8,785,190		—		—
Multi-Utilities		36,974,034		—		—
Multiline Retail		14,234,151		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A138

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Oil, Gas & Consumable Fuels	$	180,102,811		$	—	$	—
Personal Products		5,146,382			—		—
Pharmaceuticals		179,095,625			—		—
Professional Services		10,557,239			—		—
Real Estate Management & Development		1,900,080			—		—
Road & Rail		33,032,696			—		—
Semiconductors & Semiconductor Equipment		120,110,901			—		—
Software		171,721,120			—		—
Specialty Retail		80,415,073			—		—
Technology Hardware, Storage & Peripherals		147,067,573			—		—
Textiles, Apparel & Luxury Goods		24,923,954			—		—
Tobacco		64,599,529			—		—
Trading Companies & Distributors		5,490,365			—		—
Water Utilities		2,400,860			—		—
Exchange Traded Fund		3,407,740			—		—
Affiliated Mutual Funds		208,143,584			—		—
U.S. Treasury Obligation		—			2,993,511		—
Other Financial Instruments*
Futures Contracts		(188,331	)		—		—
Total	$	3,740,554,233		$	2,993,511	$	—

* 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, Level 2 and Level 3 to report.

Industry classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:

Banks	6.4	%
Affiliated Mutual Funds (including 3.9% of collateral for securities on loan)	5.8
Oil, Gas & Consumable Fuels	5.0
Pharmaceuticals	5.0
Software	4.8
Internet Software & Services	4.5
Technology Hardware, Storage & Peripherals	4.1
IT Services	3.8
Semiconductors & Semiconductor Equipment	3.3
Media	3.0
Biotechnology	2.9
Capital Markets	2.9
Equity Real Estate Investment Trusts (REITs)	2.8
Health Care Equipment & Supplies	2.8
Health Care Providers & Services	2.8
Internet & Direct Marketing Retail	2.6
Insurance	2.5
Aerospace & Defense	2.3
Industrial Conglomerates	2.3
Specialty Retail	2.2
Diversified Telecommunication Services	2.1
Chemicals	2.1
Beverages	2.0
Electric Utilities	1.9
Food & Staples Retailing	1.9
Tobacco	1.8

Hotels, Restaurants & Leisure	1.7	%
Household Products	1.7
Diversified Financial Services	1.6
Machinery	1.5
Food Products	1.3
Multi-Utilities	1.0
Communications Equipment	1.0
Road & Rail	0.9
Energy Equipment & Services	0.9
Consumer Finance	0.7
Life Sciences Tools & Services	0.7
Air Freight & Logistics	0.7
Textiles, Apparel & Luxury Goods	0.7
Airlines	0.6
Electrical Equipment	0.6
Automobiles	0.5
Household Durables	0.5
Multiline Retail	0.4
Electronic Equipment, Instruments & Components	0.4
Building Products	0.3
Containers & Packaging	0.3
Commercial Services & Supplies	0.3
Professional Services	0.3
Metals & Mining	0.2
Auto Components	0.2
Trading Companies & Distributors	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A139

STOCK INDEX PORTFOLIO (continued)

SCHEDULE OF INVESTMENTS as of June 30, 2017 (unaudited)

Industry classification (cont.)
Construction Materials	0.1	%
Personal Products	0.1
Distributors	0.1
Exchange Traded Fund	0.1
Leisure Products	0.1
Health Care Technology	0.1
Construction & Engineering	0.1
U.S. Treasury Obligation	0.1
Water Utilities	0.1

Independent Power & Renewable Electricity Producers	0.1	%
Real Estate Management & Development	0.1
Diversified Consumer Services	0.0	*
	103.8
Liabilities in excess of other assets	(3.8	)
	100.0	%

* Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary underlying Risk Exposure:

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

Fair values of derivative instruments as of June 30, 2017 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	$	188,331	*

* 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 six months ended June 30, 2017 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	$	6,303,819

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	607,219

For the six months ended June 30, 2017, the Portfolio’s average value at trade date for futures long positions was $86,549,300.

Financial instruments/transactions — summary of offsetting and netting arrangements:

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

Offsetting of financial instrument/transaction assets and liabilities:

Description	Gross Amounts of Recognized Assets(1)		Collateral Received(2)			Net Amount
Securities on Loan	$	136,190,555	$	(136,190,555	)	$	—

(1) Amount represents market value.

(2) Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A140

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS & LIABILITIES

(unaudited)

as of June 30, 2017

ASSETS
Investments at value, including securities on loan of $136,190,555:
Unaffiliated investments (cost $1,185,442,930)	$	3,535,592,491
Affiliated investments (cost $208,132,075)		208,143,584
Dividends and interest receivable		3,522,207
Receivable for Series shares sold		162,650
Due from broker—variation margin futures		27,000
Tax reclaim receivable		494
Prepaid expenses		3,555
Total Assets		3,747,451,981
LIABILITIES
Payable to broker for collateral for securities on loan		139,226,790
Management fee payable		891,198
Payable to custodian		531,555
Payable for Series shares repurchased		461,098
Accrued expenses and other liabilities		255,217
Affiliated transfer agent fee payable		980
Total Liabilities		141,366,838
NET ASSETS	$	3,606,085,143
Net assets were comprised of:
Paid-in capital	$	1,255,108,876
Retained earnings		2,350,976,267
Net assets, June 30, 2017	$	3,606,085,143
Net asset value and redemption price per share $3,606,085,143 / 67,559,023 outstanding shares of beneficial interest	$	53.38

STATEMENT OF OPERATIONS

(unaudited)

Six Months Ended June 30, 2017

NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income	$	34,260,093
Affiliated dividend income		395,838
Income from securities lending, net (including affiliated income of $99,613)		114,174
Interest income		15,711
Total income		34,785,816
EXPENSES
Management fee		5,223,338
Custodian and accounting fees		161,000
Shareholders’ reports		52,000
Trustees’ fees		20,000
Audit fee		12,000
Legal fees and expenses		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,900)		6,000
Miscellaneous		32,905
Total expenses		5,516,243
NET INVESTMENT INCOME (LOSS)		29,269,573
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions (including affiliated of $8,968)		15,151,976
Futures transactions		6,303,819
		21,455,795
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(18,031))		251,575,435
Futures		607,219
		252,182,654
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		273,638,449
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	302,908,022

STATEMENT OF CHANGES IN NET ASSETS (unaudited)

	Six Months Ended June 30, 2017			Year Ended December 31, 2016
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	29,269,573		$	57,570,334
Net realized gain (loss) on investment transactions		21,455,795			72,046,263
Net change in unrealized appreciation (depreciation) on investments		252,182,654			228,987,837
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		302,908,022			358,604,434
DISTRIBUTIONS		(129,595,196	)		(210,338,581	)
SERIES SHARE TRANSACTIONS
Series shares sold [2,097,507 and 2,976,732 shares, respectively]		113,172,738			136,335,898
Series shares issued in reinvestment of distributions [2,421,435 and 4,481,009 shares, respectively]		129,595,196			210,338,581
Series shares repurchased [2,147,739 and 4,217,650 shares, respectively]		(115,120,891	)		(204,352,773	)
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		127,647,043			142,321,706
CAPITAL CONTRIBUTIONS		—			4,458,724
TOTAL INCREASE (DECREASE)		300,959,869			295,046,283
NET ASSETS:
Beginning of period		3,305,125,274			3,010,078,991
End of period	$	3,606,085,143		$	3,305,125,274

SEE NOTES TO FINANCIAL STATEMENTS.

A141

GLOSSARY

SCHEDULE OF INVESTMENTS as of June 30, 2017

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

Currency

AUD	Australian Dollar
BRL	Brazilian Real
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
ILS	Israeli Shekel
JPY	Japanese Yen
MXN	Mexican Peso
NZD	New Zealand Dollar
PLN	Polish Zloty
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.
ABS	Asset-Backed Security
Aces	Alternative Credit Enhancements Securities
ADR	American Depositary Receipt
BABs	Build America Bonds
bps	Basis Points
BROIS	Brazil Interbank Offered Rate
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
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)
L1	Level 1
L2	Level 2
L3	Level 3
LIBOR	London Interbank Offered Rate
MSCI	Morgan Stanley Capital International
MTN	Medium Term Note
OIS	Overnight Index Swap
OTC	Over-the-counter
PIK	Payment-in-Kind
PO	Principal Only
PRFC	Preference Shares
REIT	Real Estate Investment Trust
REMICS	Real Estate Mortgage Investmemt Conduit Security
RSP	Non-Voting Shares
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 Stated Overnight Index Swap

SEE NOTES TO FINANCIAL STATEMENTS.

A142

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

        1. General

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

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.

Government Money Market Portfolio:    Maximum current income consistent with the stability of capital and maintenance of liquidity.

Stock Index Portfolio:    Achieve investment results that generally correspond to the performance of publicly traded common stocks.

        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 PGIM Investments LLC (“PGIM Investments” or “the Manager”) (formerly known as Prudential Investments LLC). Under the current valuation procedures, the 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 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 stock valuation policies discussed above.

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

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on 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. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing recent transaction prices for identical or comparable securities. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

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. Bank loans valued based on a single broker quote or at the original transaction price are classified as Level 3 in the fair value hierarchy.

OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

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.

B2

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 its net assets (the Government Money Market Portfolio may invest up to 5%) 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.

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR):    Certain 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.

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 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 the disposition of holdings of foreign currencies, forward currency contracts, 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 currencies.

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

B3

entered into forward currency contracts in order to hedge their exposure to changes in foreign currency 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.

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 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 of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (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. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

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.

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.

B4

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. 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. Since future contracts are exchange-traded, 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.

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 open short positions 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.

Bank Loans:    Each Portfolio may invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Portfolio may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Portfolio generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolio generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Portfolio generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolio may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Portfolio will assume the credit risk of both the borrower and the institution selling the participation to the Portfolio.

Repurchase Agreements:    In connection with transactions in repurchase agreements with United States financial institutions, it is the Portfolio’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 transactions, 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 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 Portfolio may be delayed or limited.

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. The Portfolios 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 (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. 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.

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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 maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. 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.

Inflation Swaps:    Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

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

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

The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

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

Total Return Swaps:    In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. 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

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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 favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements:    The Series Fund, on behalf of certain Portfolios, is 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.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) 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 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 a 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 June 30, 2017, 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

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entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment-In-Kind:    Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) 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 realized 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 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. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities 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 Portfolio also continues 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 upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.

Dollar Rolls:    Certain Portfolios 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. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Concentration of Risk:    The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of 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

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accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an 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.

Equity Real Estate Investment Trusts (REITs):    Certain Portfolios invest in Equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from Equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material these estimates are adjusted periodically when the actual source of distributions is disclosed by the Equity REITs.

Concentration of Risk for REITs:    Real estate securities are subject to the same risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of prepayments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. REITs may be more volatile and/or more illiquid than other types of equity securities. REITs (especially mortgage REITs) are subject to interest rate risks. REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each REIT in which it invests, in addition to the expenses of the Portfolio.

Taxes:    For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership 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 Portfolio’s shareholders (Participating Insurance Companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Distributions:    Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. 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.

        3. Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadvisers’ performance of such services. PGIM Investments has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”), Jennison Associates LLC (“Jennison”), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc.

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(“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. PGIM Investments pays for the services of the Subadvisers, cost of compensation of officers, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to PGIM Investments is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.

Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.73	*
Government Income Portfolio	0.40		0.40
Government Money Market Portfolio	0.30		0.30
Stock Index Portfolio	0.30% up to $4 billion 0.25% over $4 billion		0.30

* Effective June 1, 2017, PGIM Investments has contractually agreed, through June 30, 2018, to waive a portion of its management fee equal to an annual rate of 0.024% of the average daily net assets of the Portfolio. Prior to June 1, 2017, PGIM Investments had contractually agreed 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.

At June 30, 2017, 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 Income Portfolio	PFI, QMA
Global Portfolio	Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio	PFI
Government Money Market Portfolio	PFI
Stock Index Portfolio	QMA

The Series Fund, on behalf of the Portfolios, 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 Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolios. 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 PGIM Investments, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to PGIM Investments 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, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Certain Portfolios have entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on

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investment transactions presented in the Statement of Operations. For the six months ended June 30, 2017, brokerage commission recaptured under these agreements was as follows:

Portfolio	Amount
Equity Portfolio	$	155,479
Global Portfolio		29,618

        4. Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

The Portfolios may invest their overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and their 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 PGIM Investments. The Portfolios may also invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of the Prudential Investment Portfolios 2 (together with Prudential Core Ultra Short Bond Fund, the “Core Funds”), registered under the 1940 Act and managed by PGIM Investments. 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.

For the reporting period ended June 30, 2017, PGIM, Inc. was compensated by PGIM Investments for managing the Portfolios’ securities lending cash collateral as subadviser to the Money Market Fund:

Portfolio	Amount
Conservative Balanced Portfolio	$	25,713
Diversified Bond Portfolio		6,859
Equity Portfolio		91,919
Flexible Managed Portfolio		30,712
Global Portfolio		23,177
Government Income Portfolio		2,228
Stock Index Portfolio		56,371

In February 2016, Prudential, the parent company of the Investment Manager (PGIM Investments) 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 the 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 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 Portfolio’s “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 continue to review the matter.

Certain 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 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. For the period ended June 30, 2017 no such transactions were entered into by the Portfolios.

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The following Portfolios were reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolios’ status as partnerships for tax purposes.

Portfolio	2016 Withholding Tax		2017 Withholding Tax
Conservative Balanced Portfolio	$	24,389	$	21,176
Equity Portfolio		—		343,486
Flexible Managed Portfolio		35,507		17,954
Global Portfolio		99,518		65,287

        5. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Treasury securities) for the six months ended June 30, 2017, were as follows:

	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	1,411,699,667	$	1,485,882,101
Diversified Bond Portfolio		189,587,846		237,879,243
Equity Portfolio		1,200,100,488		1,265,057,921
Flexible Managed Portfolio		3,238,043,061		3,374,865,523
Global Portfolio		191,411,532		217,237,125
Government Income Portfolio		707,461,238		713,740,781
Stock Index Portfolio		110,176,892		61,583,881

Options written transactions, during the six months ended June 30, 2017, were as follows:

	Conservative Balanced Portfolio						Diversified Bond Portfolio
	Notional Amount			Premium			Notional Amount			Premium
Balance at beginning of period		—		$	—			—		$	—
Written options		1,513,000			214,719			604,212,000			1,943,139
Expired options		(337,000	)		(48,306	)		(96,000	)		(114,804	)
Closed options		(588,000	)		(121,604	)		(906,000	)		(10,316	)
Balance at end of period		588,000		$	44,809			603,210,000		$	1,818,019
	Flexible Managed Portfolio						Government Income Portfolio
	Notional Amount			Premium			Notional Amount			Premium
Balance at beginning of period		—		$	—			—		$	—
Written options		2,075,000			292,669			804,000			116,531
Expired options		(457,000	)		(65,513	)		(123,000	)		(18,983	)
Closed options		(798,000	)		(164,668	)		(379,000	)		(74,534	)
Balance at end of period		820,000		$	62,488			302,000		$	23,014

        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 nontaxable return of capital 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.

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        7. Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), is 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. Each Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.

The Portfolios did not utilize the SCA during the six months ended June 30, 2017.

        8. Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the 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 June 30, 2017, the Equity Portfolio has Class II shares outstanding.

Transactions in shares of beneficial interest were as follows:

Equity Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2017:
Series shares sold		85,297		$	3,726,379
Series shares repurchased		(3,025,770	)		(133,037,674	)
Net increase (decrease) in shares outstanding		(2,940,473	)	$	(129,311,295	)
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	)
Class II
Six months ended June 30, 2017:
Series shares sold		73		$	3,349
Series shares repurchased		(494	)		(21,130	)
Net increase (decrease) in shares outstanding		(421	)	$	(17,781	)
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	)

        9. Ownership & Affiliates

As of June 30, 2017, 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

        10. Purchase In-Kind

As of the close of business on April 28, 2017, the Government Money Market Portfolio issued shares in exchange for portfolio securities, accrued interest and cash in a tax-free exchange with an affiliate. The value of the tax-free exchange was $23,004,509, which includes a cash portion of $9,096,772. Shares issued in this transaction were 2,300,450.

        11. Recent Accounting Pronouncements and Reporting Updates

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 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.

B14

Financial Highlights

(unaudited)

	Conservative Balanced Portfolio
	Six Months Ended June 30, 2017(a)			Year Ended December 31,
				2016(a)			2015(a)			2014(a)			2013(a)			2012
Per Share Operating Performance:
Net Asset Value, beginning of period	$	24.18		$	22.54		$	22.45		$	20.63		$	17.77		$	16.32
Income (Loss) From Investment Operations:
Net investment income (loss)		.22			.42			.39			.36			.35			.38
Net realized and unrealized gain (loss) on investments		1.19			1.20			(.30	)		1.46			2.51			1.43
Total from investment operations		1.41			1.62			.09			1.82			2.86			1.81
Less Distributions:		—			—			—			—			—			(.36	)
Capital Contributions(f)		—			.02			—			—			—			—
Net Asset Value, end of period	$	25.59		$	24.18		$	22.54		$	22.45		$	20.63		$	17.77
Total Return(b)		5.83	%		7.28	%(g)		.40	%		8.82	%		16.09	%		11.23	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,523.8		$	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	%(i)		.58	%		.58	%		.58	%		.58	%		.58	%
Expenses before waivers and/or expense reimbursement		.58	%(i)		.58	%		.58	%		.58	%		.58	%		.58	%
Net investment income (loss)		1.74	%(i)		1.79	%		1.70	%		1.66	%		1.84	%		2.11	%
Portfolio turnover rate(d)		75	%(j)		185	%		208	%		134	%		196	%		188	%
	Diversified Bond Portfolio
	Six Months Ended June 30, 2017(a)			Year Ended December 31,
				2016(a)			2015(a)			2014(a)			2013			2012(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	12.28		$	11.64		$	11.66		$	11.01		$	11.88		$	11.74
Income (Loss) From Investment Operations:
Net investment income (loss)		.21			.43			.41			.43			.48			.54
Net realized and unrealized gain (loss) on investments		.33			.21			(.43	)		.34			(.56	)		.66
Total from investment operations		.54			.64			(.02	)		.77			(.08	)		1.20
Less Distributions:		—			—			—			(.12	)		(.79	)		(1.06	)
Capital Contributions(f)		—			—	(e)		—			—			—			—
Net Asset Value, end of period	$	12.82		$	12.28		$	11.64		$	11.66		$	11.01		$	11.88
Total Return(b)		4.40	%		5.50	%(h)		(.17	)%		7.09	%		(.71	)%		10.68	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,135.0		$	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	%(i)		.44	%		.46	%		.44	%		.44	%		.44	%
Expenses before waivers and/or expense reimbursement		.44	%(i)		.44	%		.46	%		.44	%		.44	%		.44	%
Net investment income (loss)		3.30	%(i)		3.52	%		3.48	%		3.73	%		4.10	%		4.57	%
Portfolio turnover rate		31	%(j)		49	%		81	%		50	%		111	%		144	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, 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 periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(e) 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.

(i) Annualized.

(j) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(unaudited)

	Equity Portfolio
	Class I
	Six Months Ended June 30, 2017(c)			Year Ended December 31,
				2016(c)			2015(c)			2014(c)			2013			2012(c)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	40.96		$	39.47		$	38.56		$	35.81		$	26.81		$	23.73
Income (Loss) From Investment Operations:
Net investment income (loss)		.19			.38			.34			.19			.27			.27
Net realized and unrealized gain (loss) on investments		4.49			1.07			.57			2.56			8.73			2.96
Total from investment operations		4.68			1.45			.91			2.75			9.00			3.23
Less Distributions:		—			—			—			—			—			(.15	)
Capital Contributions(d)		—			.04			—			—			—			—
Net Asset Value, end of period	$	45.64		$	40.96		$	39.47		$	38.56		$	35.81		$	26.81
Total Return(a)		11.43	%		3.78	%(e)		2.36	%		7.68	%		33.57	%		13.69	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,035.2		$	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	%(f)		.47	%		.47	%		.47	%		.47	%		.47	%
Expenses before waivers and/or expense reimbursement		.47	%(f)		.47	%		.47	%		.47	%		.47	%		.47	%
Net investment income (loss)		.89	%(f)		1.01	%		.86	%		.52	%		.86	%		1.04	%
Portfolio turnover rate		31	%(g)		39	%		37	%		51	%		45	%		48	%
	Equity Portfolio
	Class II
	Six Months Ended June 30, 2017(c)			Year Ended December 31,
				2016(c)			2015(c)			2014(c)			2013			2012(c)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	40.74		$	39.42		$	38.66		$	36.05		$	27.10		$	23.99
Income (Loss) From Investment Operations:
Net investment income (loss)		.11			.23			.18			.04			.13			.17
Net realized and unrealized gain (loss) on investments		4.46			1.05			.58			2.57			8.82			3.00
Total from investment operations		4.57			1.28			.76			2.61			8.95			3.17
Less Distributions:		—			—			—			—			—			(.06	)
Capital Contributions(d)		—			.04			—			—			—			—
Net Asset Value, end of period	$	45.31		$	40.74		$	39.42		$	38.66		$	36.05		$	27.10
Total Return(a)		11.22	%		3.35	%(e)		1.97	%		7.24	%		33.03	%		13.23	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1.9		$	1.7		$	2.0		$	2.2		$	2.3		$	1.8
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursement		.87	%(f)		.87	%		.87	%		.87	%		.87	%		.87	%
Expenses before waivers and/or expense reimbursement		.87	%(f)		.87	%		.87	%		.87	%		.87	%		.87	%
Net investment income (loss)		.50	%(f)		.61	%		.46	%		.11	%		.47	%		.63	%
Portfolio turnover rate		31	%(g)		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 period 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 periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(d) 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.

(f) Annualized.

(g) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(unaudited)

	Flexible Managed Portfolio
	For Six Months Ended June 30, 2017(a)			Year Ended December 31,
				2016(a)			2015(a)			2014(a)			2013(a)			2012
Per Share Operating Performance:
Net Asset Value, beginning of period	$	25.99		$	23.95		$	23.71		$	21.35		$	17.77		$	15.99
Income (Loss) From Investment Operations:
Net investment income (loss)		.22			.44			.42			.37			.36			.37
Net realized and unrealized gain (loss) on investments		1.32			1.58			(.18	)		1.99			3.22			1.74
Total from investment operations		1.54			2.02			.24			2.36			3.58			2.11
Less Distributions:		—			—			—			—			—			(.33	)
Capital Contributions(e)		—			.02			—			—			—			—
Net Asset Value, end of period	$	27.53		$	25.99		$	23.95		$	23.71		$	21.35		$	17.77
Total Return(b)		5.93	%		8.52	%(f)		1.01	%		11.05	%		20.15	%		13.37	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	4,004.0		$	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		.62	%(h)		.63	%		.63	%		.63	%		.63	%		.63	%
Expenses before waivers and/or expense reimbursement		.62	%(h)		.63	%		.63	%		.63	%		.63	%		.63	%
Net investment income (loss)		1.63	%(h)		1.78	%		1.74	%		1.66	%		1.86	%		2.05	%
Portfolio turnover rate(d)		99	%(i)		203	%		213	%		161	%		210	%		214	%
	Global Portfolio
	Six Months Ended June 30, 2017(a)			Year Ended December 31,
				2016(a)			2015(a)			2014(a)			2013			2012
Per Share Operating Performance:
Net Asset Value, beginning of period	$	27.50		$	26.33		$	25.72		$	24.91		$	19.57		$	16.94
Income (Loss) From Investment Operations:
Net investment income (loss)		.29			.34			.34			.37			.31			.36
Net realized and unrealized gain (loss) on investments		3.15			.81			.27			.44			5.03			2.57
Total from investment operations		3.44			1.15			.61			.81			5.34			2.93
Less Distributions:		—			—			—			—			—			(.30	)
Capital Contributions(e)		—			.02			—			—			—			—
Net Asset Value, end of period	$	30.94		$	27.50		$	26.33		$	25.72		$	24.91		$	19.57
Total Return(b)		12.51	%		4.44	%(g)		2.37	%		3.25	%		27.29	%		17.52	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,049.0		$	955.4		$	965.3		$	719.2		$	744.5		$	611.2
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursements		.79	%(h)		.80	%		.81	%		.81	%		.84	%		.84	%
Expenses before waivers and/or expense reimbursements		.81	%(h)		.81	%		.82	%		.82	%		.84	%		.84	%
Net investment income (loss)		1.95	%(h)		1.29	%		1.28	%		1.45	%		1.29	%		1.82	%
Portfolio turnover rate		20	%(i)		40	%		33	%		37	%		70	%		57	%

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

(b) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, 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 periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(e) 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%.

(h) Annualized.

(i) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(unaudited)

	Government Income Portfolio
	Six Months Ended June 30, 2017(d)			Year Ended December 31,
				2016(d)			2015(d)			2014			2013			2012
Per Share Operating Performance:
Net Asset Value, beginning of period	$	12.26		$	12.00		$	11.92		$	11.30		$	12.15		$	12.37
Income (Loss) From Investment Operations:
Net investment income (loss)		.11			.20			.18			.21			.21			.25
Net realized and unrealized gain (loss) on investments		.15			.06			(.10	)		.45			(.49	)		.19
Total from investment operations		.26			.26			.08			.66			(.28	)		.44
Less Distributions:		—			—			—			(.04	)		(.57	)		(.66	)
Capital Contributions(e)		—			—	(f)		—			—			—			—
Net Asset Value, end of period	$	12.52		$	12.26		$	12.00		$	11.92		$	11.30		$	12.15
Total Return(a)		2.12	%		2.17	%(h)		.67	%		5.86	%		(2.34	)%		3.63	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	254.9		$	226.3		$	231.8		$	339.2		$	341.1		$	382.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.50	%(i)		.51	%		.48	%		.47	%		.49	%		.48	%
Expenses before waivers and/or expense reimbursement		.50	%(i)		.51	%		.48	%		.47	%		.49	%		.48	%
Net investment income (loss)		1.78	%(i)		1.60	%		1.48	%		1.73	%		1.78	%		1.96	%
Portfolio turnover rate(c)		294	%(j)		705	%		746	%		830	%		1135	%		1154	%
	Government Money Market Portfolio
	Six Months Ended June 30, 2017(d)			Year Ended December 31,
				2016(d)			2015(d)			2014			2013			2012
Per Share Operating Performance:
Net Asset Value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income From Investment Operations:
Net investment income (loss) and realized gains (losses)		.02			.01			—	(f)		—	(f)		—	(f)		—	(f)
Distributions		(.02	)		(.01	)		—	(f)		—	(f)		—	(f)		—	(f)
Net Asset Value, end of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(a)		.18	%		.10	%		—	%(g)		—	%(g)		—	%(g)		.01	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	707.4		$	724.2		$	650.8		$	823.6		$	866.0		$	903.5
Ratios to average net assets:
Expenses after waivers and/or expense reimbursement		.34	%(i)		.35	%		.19	%		.16	%		.17	%		.21	%
Expenses before waivers and/or expense reimbursement		.34	%(i)		.35	%		.44	%		.44	%		.44	%		.44	%
Net investment income (loss)		.37	%(i)		.09	%		.00	%		.00	%(g)		.00	%(g)		.01	%

(a) Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, 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 periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

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

(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 $.005 per share.

(g) Less than .005%.

(h) Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(i) Annualized.

(j) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

(unaudited)

	Stock Index Portfolio
	Six Months Ended June 30, 2017(c)			Year Ended December 31,
				2016(c)			2015(c)			2014(c)			2013(c)			2012
Per Share Operating Performance:
Net Asset Value, beginning of period	$	50.70		$	48.59		$	49.33		$	47.02		$	35.65		$	31.47
Income (Loss) From Investment Operations:
Net investment income (loss)		.45			.89			.86			.79			.73			.68
Net realized and unrealized gain (loss) on investments		4.22			4.52			(.26	)		5.20			10.64			4.19
Total from investment operations		4.67			5.41			.60			5.99			11.37			4.87
Less Distributions:		(1.99	)		(3.37	)		(1.34	)		(3.68	)		—			(.69	)
Capital Contributions(d)		—			.07			—			—			—			—
Net Asset Value, end of period	$	53.38		$	50.70		$	48.59		$	49.33		$	47.02		$	35.65
Total Return(a)		9.19	%		11.83	%(e)		1.18	%		13.31	%		31.89	%		15.68	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,606.1		$	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	%(f)		.32	%		.32	%		.32	%		.32	%		.32	%
Expenses before waivers and/or expense reimbursement		.32	%(f)		.34	%		.37	%		.37	%		.37	%		.37	%
Net investment income (loss)		1.68	%(f)		1.84	%		1.74	%		1.67	%		1.77	%		1.97	%
Portfolio turnover rate		2	%(g)		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 period 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 periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized.

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

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

(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 would have been 11.69%.

(f) Annualized.

(g) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

The Prudential Variable Contract Account — 10

Approval of Advisory Agreements

The VCA-10 Committee

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

Annual Approval of VCA-10’s Advisory Agreements

As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with PGIM Investments LLC (“PGIM Investments”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 6-8, 2017 and approved the renewal of the agreements through July 31, 2018, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.

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

In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PGIM Investments and the subadviser, the performance of VCA-10, the profitability of PGIM Investments and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PGIM Investments throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 6-8, 2017.

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

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

Nature, quality and extent of services

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

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

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

Costs of Services and Profits Realized by PGIM Investments

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

Economies of Scale

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

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

Other Benefits to PGIM Investments and Jennison

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

Performance of VCA-10 / Fees and Expenses

The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2016. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2016. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PGIM Investments to other funds and the fee charged

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

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

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

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

• The Committee noted that VCA-10 underperformed its benchmark index over all periods.

• The Committee noted PGIM Investments’ explanation that the underperformance was primarily attributable to VCA-10’s value investment style, which had not been in favor in the market during the past several years.

• In this regard, the Committee noted PGIM Investments’ assertion that value investing had gained favor in the market during the second half of 2016 and continuing into 2017, and considered information provided by PGIM Investments indicating that VCA -10 outperformed its benchmark index and ranked in the first quartile of its Peer Universe for the second half of 2016. The Board also considered that the Fund had continued to outperform its benchmark and ranked in the second quartile of its Peer Universe during first quarter of 2017.

• The Board also considered that VCA-10’s portfolio manager had changed in September 2014, and prior performance was not attributable to the current portfolio manager.

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

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

***

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

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

The Prudential Series Fund

Approval of Advisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-14, 2017 (“the Meeting”) and approved the renewal of the agreements through July 31, 2018, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.

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

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

The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.

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

Nature, quality and extent of services

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

The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., PGIM Limited, Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments.

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

Costs of Services and Profits Realized by PGIM Investments

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

Economies of Scale

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

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

Other Benefits to PGIM Investments and the Subadvisers

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

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2016, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2016. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the 1^st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.

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

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

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

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

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

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

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

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

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

• The Board considered that the Portfolio’s portfolio manager team responsible for the management of the value segment of the Portfolio had changed during 2014, and that as a result, performance prior to that time was not attributable to the entire current portfolio manager team.

• The Board considered information provided by PGIM Investments, which indicated that the performance of the value component had improved beginning in the second half of 2016, with the improved performance continuing through the first quarter of 2017.

• The Board considered information provided by PGIM Investments indicating that much of the Portfolio’s recent underperformance was attributable to the Portfolio’s growth component, rather than the value component.

• In this regard, the Board considered that the underperformance of the Portfolio’s growth component was recent, and that the strong performance of that component in 2015 had resulted in the Portfolio outperforming its benchmark index and ranking in the first quartile of its Peer Universe for the 2015 calendar year.

• The Board considered that the Portfolio’s performance had shown recent improvement, with the Portfolio outperforming its benchmark index and Peer Universe median for the one-year period ending March 31, 2017.

• The Board also noted that it would continue to closely monitor the Portfolio’s performance.

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

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

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

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

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

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

• The Board noted that PGIM Investments had contractually agreed to waive 0.022% of its management fee through June 30, 2018.

• The Board accepted PGIM Investments’ recommendation to contractually waive an additional 0.002% of its management fee through June 30, 2018.

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

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

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

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

Government Money Market Portfolio (formerly, Money Market Portfolio)
Performance	1 Year	3 Years	5 Years	10 Years
	2nd Quartile	3rd Quartile	3rd Quartile	2nd Quartile
Actual Management Fees: 2nd Quartile
Net Total Expenses: 1st Quartile

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

• The Board noted that PGIM Investments had agreed to voluntarily waive a portion of its management fee to ensure that the 1-day yield for the Portfolio does not fall below 0.00%.

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

Stock Index Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	1st Quartile	1st Quartile	1st Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

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

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

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

This report does not include separate account financials for the VCA-11 and 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 proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call (800) 458-6333 to obtain a description of VCA-10’s proxy voting policies and procedures. Information regarding how the VCA-10 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 VCA-10’s website.

The MEDLEY Program Statement of Additional Information contains additional information about the Committee Members of VCA-10 and is available without charge upon request by calling (800) 458-6333.

VCA-10 files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (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 07102-3714

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Standard

U.S. Postage

PAID

Prudential

^©2017 Prudential Financial, Inc. and its related entities. PGIM 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 – Not required, as this is not an annual filing.
Item 3 –	Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4 –	Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5 –	Audit Committee of Listed Registrants – Not applicable.
Item 6 –	Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 –	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 –	Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 –	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10 –	Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 –	Controls and Procedures

(a)

It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b)

There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

(a)	(1)	Code of Ethics – Not required, as this is not an annual filing.
	(2)	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
	(3)	Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:         The Prudential Variable Contract Account-10

By:	/s/ Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	August 24, 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:	August 24, 2017
By:	/s/ M. Sadiq Peshimam
	M. Sadiq Peshimam
	Treasurer and Principal Financial and Accounting Officer
Date:	August 24, 2017