Prudential Series Fund N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03623
Exact name of registrant as specified in charter:	The Prudential Series Fund
Address of principal executive offices:	Gateway Center 3,
	100 Mulberry Street,
	Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs
	Gateway Center 3,
	100 Mulberry Street,
	Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2012
Date of reporting period:	12/31/2012

Item 1 – Reports to Stockholders

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT Ÿ DECEMBER 31, 2012

This report is one of several that provides financial information about certain investment choices available under variable life insurance contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance contract prospectus to determine which portfolios are available to you.

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

Please note that this document may include prospectus supplements that are separate from and not a part of the annual report. Please refer to your variable life insurance contract prospectus to determine which supplements are applicable to you.

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Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

High Yield Bond Portfolio

Jennison Portfolio

Money Market Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

Stock Index Portfolio

Value Portfolio

The Prudential Series Fund Table of Contents Annual Report December 31, 2012

n LETTER TO CONTRACT OWNERS

n MANAGEMENT REVIEW

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	Conservative Balanced Portfolio	A1
	Diversified Bond Portfolio	A30
	Equity Portfolio	A57
	Flexible Managed Portfolio	A61
	Global Portfolio	A89
	Government Income Portfolio	A96
	High Yield Bond Portfolio	A103
	Jennison Portfolio	A121
	Money Market Portfolio	A125
	Natural Resources Portfolio	A130
	Small Capitalization Stock Portfolio	A135
	Stock Index Portfolio	A146
	Value Portfolio	A155
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund Letter to Contract Owners Annual Report December 31, 2012

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund January 31, 2013

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

The Prudential Series Fund, Equity Portfolio December 31, 2012

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

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

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

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

$10,000 INVESTED OVER 10 YEARS¹

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

The Prudential Series Fund, Global Portfolio December 31, 2012

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

The Prudential Series Fund, High Yield Bond Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		14.43	%		9.42	%		9.73	%
Barclays U.S. High Yield 1% Issuer Capped Index		15.50			10.26			10.44

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2012, the High Yield Bond Portfolio returned 14.43%, net of fees and expenses.

The Portfolio is subadvised by Prudential Investment Management, Inc. and its investment objective is high total return.

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

High yield bonds in the U.S. and in Europe delivered double-digit returns as investors searched for yield in a record-low interest rate environment. In the U.S., high yield bond prices were also supported by relatively stable credit fundamentals. Although the average yield on the broad U.S. high yield market closed the year at a new all-time low, the asset class still offered attractive yields relative to similar-maturity U.S. Treasuries and to periods with similar, low default rates. The European high yield market benefited from strong investor demand, despite ongoing recessionary concerns. Both the U.S and European high yield markets posted record levels of new issuance. In the U.S., a majority of the new supply was used to refinance existing debt, leaving net supply manageable. In Europe, the size of the high yield market expanded nearly 50%, boosted by the entrance of new participants including a number of downgraded issues and issuers from the senior secured loan market.

The Portfolio underperformed its benchmark, the Barclays U.S. High Yield 1% Issuer Capped Index (the Index), which returned 15.50%. An emphasis on higher quality and shorter duration relative to the Index hurt the Portfolio’s performance in a year when lower quality and longer duration bonds outperformed. Sector selection also detracted from performance, in particular, underweights to banking and building materials, and to a lesser extent, insurance and telecom, as these were among the better performing sectors.

Security selection partially offset these negative factors. Selections within health care, pharmaceuticals, media, entertainment and telecom were large contributors to overall performance.

The Portfolio makes use of derivatives including credit default swaps to increase or hedge exposure to individual issuers and the broader market. Use of the CDX, a credit default swap index, provided market exposure during periods of lower liquidity, partially offsetting the drag from cash. Cash held for liquidity purposes in short-term, low-rate securities, created a drag on performance during the strong rally.

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

Barclays U.S. High Yield 1% Issuer Capped Index is an unmanaged index that covers the universe of U.S. dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 1% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Jennison Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		16.18	%		3.20	%		8.12	%
Portfolio: Class II		15.73			2.79			7.67
Russell 1000® Growth Index		15.26			3.12			7.52
S&P 500 Index		15.99			1.66			7.10

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

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

$10,000 INVESTED OVER 10 YEARS¹

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

For the year ended December 31, 2012, the Jennison Portfolio Class I shares returned 16.18% and Class II shares returned 15.73%.

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

Information technology holdings contributed most to the Portfolio’s return, as stock selection and an overweight position relative to the Russell 1000^® Growth Index were beneficial. Apple reported impressive sales of iPhones, iPads, and Mac personal computers. Jennison believes the company’s innovative product design, software, and operating systems, which allow seamless integration of services and apps across mobile and desktop product lines, will continue to foster consumer loyalty and drive share gains. Salesforce.com’s revenue, earnings, and billings growth exceeded consensus forecasts. Jennison believes its hosted applications market opportunity remains substantial.

MasterCard and Visa rose on strong growth in the value of cardholder transactions and reduced legal risk. Jennison expects both companies to continue to benefit from the consumer shift from paper money to electronic credit/debit transactions. LinkedIn’s global online professional network has altered the talent-recruiting market and provides what Jennison considers unique access to a scale database of active and passive job candidates.

Stock selection and an underweight stance were beneficial in consumer staples, where Whole Foods reported strong sales and earnings, with solid operating margins and continued capital discipline.

In financials, broadcast, communications, and wireless tower operator American Tower benefited from the expansion of mobile data, household migration to wireless-only service, high competitive barriers to entry, pricing power, low maintenance expenses, and international expansion.

Monsanto, the world’s largest agricultural seed maker, was a notable contributor in the materials sector. Jennison views it as a high-quality, technology-driven growth company and consider agriculture sector fundamentals strong.

Overweight positions in consumer discretionary and health care worked well, but stock selection in both sectors detracted from relative return. Watchmaker Fossil fell after reporting lighter-than-projected revenue, partly due to weakness in Europe. Jennison eliminated the Portfolio’s position in Fossil. Reflecting the tenuous nature of consumer confidence, fast casual restaurant company Chipotle Mexican Grill declined on signs of a deceleration in sales activity. Jennison believes Chipotle’s brand positioning and unit-growth opportunities remain positive.

In healthcare, Shire and Bristol-Myers Squibb, which earlier had been rewarded for attractive business opportunities, lagged a surge in biotechnology stocks. Jennison expects Shire’s strong product pipeline to continue to generate strong revenue growth and believes Bristol-Myers will benefit from product momentum, new product launches, pipeline data, and strong business development deals.

An underweight position largely offset detrimental stock selection in energy, where independent oil and natural gas exploration and production company Anadarko Petroleum was hurt by uncertainty related to ongoing litigation. Jennison eliminated the Portfolio’s position in Anadarko.

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

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

Russell 1000 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Money Market Portfolio December 31, 2012

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

Average Annual Total Returns	7-Day* Current Net Yield			1-Year			5-Year			10-Year
Portfolio		0.00	%		0.01	%		0.62	%		1.75	%
Lipper (VIP) Money Market Funds Avg.		N/A			-0.03			0.47			1.58

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

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

7-DAY CURRENT NET YIELD*

For the year ended December 31, 2012, the Money Market Portfolio returned 0.01%.

The Portfolio is subadvised by Prudential Fixed Income, a unit of Prudential Investment Management, Inc. The investment objective is to seek maximum current income consistent with the stability of capital and maintenance of liquidity.

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

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

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

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

* Source: iMoneyNet, Inc. based on 281 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/25/2012.

The Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects the investment return of certain portfolios underlying variable life and annuity products. These returns are net of investment fees and fund expenses, but not product charges. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.

An investment in the Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.

The Prudential Series Fund, Natural Resources Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year			Since Inception
Portfolio: Class I		-2.47	%		-3.40	%		15.25	%		N/A
Portfolio: Class II		-2.92			-3.79			N/A			11.02	%
Lipper (VUF) Natural Resources Funds Index		2.01			-4.00			11.70			8.56
S&P 500 Index		15.99			1.66			7.10			4.96

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

Portfolio (Class II) inception: 4/28/2005. Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2012, the Natural Resources Portfolio Class I shares declined by -2.47% and Class II shares declined by -2.92%.

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

Much of the Portfolio’s underperformance relative to the broader market reflected the year’s extraordinary commodity price volatility. Persistent concerns over the prospects for global economic growth, especially those centered on Europe and China against a backdrop of continuing political tensions in the Middle East and Africa, have heightened the level of uncertainty in the natural resources sector.

Energy names led Portfolio detractors for the period. Shares of OGX Petroleo e Gas Participacoes, Brazil’s largest independent exploration and production company, rallied at the beginning of 2012, then suffered a notable setback toward the end of June and remained on a downtrend after a disappointing report on one of its key offshore exploratory fields. Despite a series of letdowns regarding its projections, the Portfolio manager continues to believe the company is on the verge of a multi-year growth trajectory that remains underappreciated. Key Energy Services share prices peaked at the end of February and then trended down over the balance of the period as management repeatedly lowered production guidance. Jennison ultimately chose to exit the position in favor of other investment candidates with more promising risk-reward profiles.

Losses by metals and mining holdings Cliffs Natural Resources and Alacer Gold also hurt the year’s performance. Cliffs came under severe pressure in the second half of the period as a steep decline in iron ore prices raised questions about the company’s ability to sustain its dividend. The stock recovered some toward year-end as iron ore prices rose by more than 50% in the fourth quarter on signs of a pickup in China’s economic activity. Despite near-term uncertainty, Jennison believes iron ore is likely to command a higher price than most anticipate over the longer run. Mid-continent petroleum refiners HollyFrontier and Marathon Petroleum led the year’s contributors, benefiting for much of the period from favorable refining margins and wider-than-anticipated discounts for West Texas Intermediate crude oil versus other global light/sweet oils such as Brent and Light Louisiana Sweet. The inland refiners may come up against some near-term macro headwinds, as markets readjust to changing conditions for Gulf Coast refiners. Nevertheless, the manager continues to like both HollyFrontier and Marathon Petroleum for their strong balance sheets, solid management, and demonstrated commitment to growth and returning cash to shareholders.

Independent oil exploration and production company Cobalt International Energy also ended the year among the Portfolio’s leading contributors. The company specializes in drilling for oil in technically challenging, ultra-deepwater and pre-salt fields. The company has a robust near-term drilling slate, and Jennison continues to believe in the potential of its portfolio of assets.

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

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

The Lipper Variable Underlying Funds (VUF) Natural Resources Funds Index is calculated by Lipper Analytical Services, Inc. and consists of an equal dollar-weighted composite of the 10 largest funds in the Lipper VUF Natural Resources Fund classification. The index is rebalanced quarterly. Natural Resources Funds are deemed as funds that invest primarily in the equity securities of domestic and foreign companies engaged in natural resources. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns are net of investment fees and fund expenses, but not product charges. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Small Capitalization Stock Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		16.03	%		4.87	%		10.11	%
S&P SmallCap 600 Index		16.33			5.14			10.45

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2012, the Small Capitalization Stock Portfolio returned 16.03%.

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

Throughout 2012, headlines screamed about the very real threats to the U.S. and global economies. Europe was mired in recession. Asian economies, most notably China, slowed. Growth in the U.S. was lackluster and, toward the end of the year, all eyes were focused on the fiscal cliff. Despite these concerns, the market rose strongly during the year. The Portfolio met its objective of closely tracking the performance of the small-cap market as measured by the Index.

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

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

S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

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

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

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

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

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

$10,000 INVESTED OVER 10 YEARS

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

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

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

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

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

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

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

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

The Prudential Series Fund, Value Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		14.62	%		0.19	%		8.06	%
Portfolio: Class II		14.14			-0.22			7.63
Russell 1000® Value Index		17.51			0.59			7.38
S&P 500 Index		15.99			1.66			7.10

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

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 1000^® Value Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2012, the Value Portfolio Class I shares returned 14.62% and Class II shares returned 14.14%.

The Portfolio is subadvised by Jennison Associates LLC (Jennison). The Portfolio’s investment objective is capital appreciation.

Stock selection in the materials sector was the main driver of the Portfolio’s performance shortfall against its benchmark index. Newmont Mining reported a loss attributed to a $1.6 billion write-down on its Hope Bay mine operations in Canada and also fell in tandem with declining gold prices throughout much of the period. Jennison continues to see Newmont as an attractively valued opportunity, offering dividend growth prospects and other potential returns of capital.

The telecom service sector also detracted from relative results due mostly to one position, NII Holdings. Shares of the Latin American telecommunications provider plummeted during the period as earnings were disappointing due to price competition, as well as a strengthening U.S. dollar. NII’s focus has been on introducing its 3G services on a new network in Chile, Mexico, and Brazil and enhancing its Push-to-Talk (PTT) services. Jennison believes that it will still be several quarters until the turnaround begins to be reflected in improved financial results. Nevertheless, Jennison likes the company’s very capable management and cash-heavy balance sheet, allowing it to fund planned growth projects.

Overweight positions in information technology and energy were also sources of relative weakness.

The healthcare sector was the largest contributor to relative gain due to stock selection, led by Mylan. Shares rose amid several favorable announcements. Credit rating agencies upgraded its rating to investment grade, which frees the company from certain debt covenants and allows it to institute a large stock buyback if it chooses. In addition, Mylan received regulatory approval to produce and sell several different generic versions of brand name drugs. In Jennison’s opinion, Mylan has grown into one of the most attractive global generic drug companies.

An underweight in utilities and an overweight in consumer discretionary boosted relative results. However, stock selection in both sectors was comparatively weak.

Other notable contributors were media companies Comcast and Liberty Global. Shares of Comcast climbed steadily during the period, as net income increased amid rising high-speed Internet subscriptions and fewer customer cancellations. It also reported the best cable revenue growth since the first quarter of 2009. Jennison likes Comcast for its stable growth cable business, recent initiatives in their wireless product lineups, and the likelihood of a large stock buyback in the near future.

Another media company, Liberty Global, also saw its shares rise steadily. Despite Europe’s economic troubles, the company enjoyed strong growth due to an effective pricing strategy and presence in select European markets like Germany, Holland, Belgium, and Switzerland. Jennison believes that Liberty Global is well-positioned, given consumers’ desire for faster broadband and digital television. In addition, Jennison believes that growth will accelerate with the repositioning of its portfolio by selling less successful holdings in Australia and expanding in Europe.

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

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

Russell 1000 Value Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund Presentation of Portfolio Holdings — unaudited December 31, 2012

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

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

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

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

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

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

High Yield Bond
Allocation	(% of Net Assets	)
Corporate Bonds	91.1%
Bank Loans	3.4%
Asset-Backed Securities	0.5%
Collateralized Mortgage Obligations	0.1%
Common Stocks	0.1%

Jennison
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	6.1%
Mastercard, Inc.	3.6%
Google, Inc.	3.6%
Amazon.com, Inc.	3.0%
Precision Castparts Corp.	2.6%

Natural Resources
Five Largest Holdings	(% of Net Assets	)
Cameron International Corp.	3.4%
Noble Energy, Inc.	3.3%
Schlumberger Ltd.	2.7%
EOG Resources, Inc.	2.6%
Anadarko Petroleum Corp.	2.5%

Small Capitalization Stock
Five Largest Holdings	(% of Net Assets	)
Extra Space Storage, Inc.	0.7%
Kilroy Realty Corp.	0.7%
Tanger Factory Outlet Centers	0.6%
CommVault Systems, Inc.	0.6%
Cymer, Inc.	0.5%

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

Value
Five Largest Holdings	(% of Net Assets	)
Liberty Global, Inc., Ser. C	4.0%
Comcast Corp. (Class A Stock)	3.0%
Mylan, Inc.	2.9%
Wells Fargo & Co.	2.8%
Flextronics International Ltd.	2.5%

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

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2012

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2012 through December 31, 2012.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During 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 fees and charges were included, your costs would have been higher.

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2012		Ending Account Value December 31, 2012		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,042.80		0.58	%	$	2.98
	Hypothetical	$	1,000.00	$	1,022.22		0.58	%	$	2.95
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,054.60		0.44	%	$	2.27
	Hypothetical	$	1,000.00	$	1,022.92		0.44	%	$	2.24
Equity (Class I)	Actual	$	1,000.00	$	1,074.10		0.47	%	$	2.45
	Hypothetical	$	1,000.00	$	1,022.77		0.47	%	$	2.39
Equity (Class II)	Actual	$	1,000.00	$	1,072.00		0.87	%	$	4.53
	Hypothetical	$	1,000.00	$	1,020.76		0.87	%	$	4.42
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,052.70		0.63	%	$	3.25
	Hypothetical	$	1,000.00	$	1,021.97		0.63	%	$	3.20
Global (Class I)	Actual	$	1,000.00	$	1,101.30		0.83	%	$	4.38
	Hypothetical	$	1,000.00	$	1,020.96		0.83	%	$	4.22
Government Income (Class I)	Actual	$	1,000.00	$	1,015.30		0.49	%	$	2.48
	Hypothetical	$	1,000.00	$	1,022.67		0.49	%	$	2.49
High Yield Bond (Class I)	Actual	$	1,000.00	$	1,073.60		0.57	%	$	2.97
	Hypothetical	$	1,000.00	$	1,022.27		0.57	%	$	2.90
Jennison (Class I)	Actual	$	1,000.00	$	1,044.10		0.63	%	$	3.24
	Hypothetical	$	1,000.00	$	1,021.97		0.63	%	$	3.20
Jennison (Class II)	Actual	$	1,000.00	$	1,042.10		1.03	%	$	5.29
	Hypothetical	$	1,000.00	$	1,019.96		1.03	%	$	5.23
Money Market (Class I)	Actual	$	1,000.00	$	1,000.00		0.23	%	$	1.16
	Hypothetical	$	1,000.00	$	1,023.98		0.23	%	$	1.17

The Prudential Series Fund Fees and Expenses — unaudited (continued) December 31, 2012

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2012			Ending Account Value December 31, 2012		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Natural Resources (Class I)	Actual	$	1,000.00		$	1,091.30		0.49	%	$	2.58
	Hypothetical	$	1,000.00		$	1,022.67		0.49	%	$	2.49
Natural Resources (Class II)	Actual	$	1,000.00		$	1,088.70		0.89	%	$	4.67
	Hypothetical	$	1,000.00		$	1,020.66		0.89	%	$	4.52
Small Capitalization Stock (Class I)	Actual	$	1,000.00		$	1,076.60		0.46	%	$	2.40
	Hypothetical	$	1,000.00	��	$	1,022.82		0.46	%	$	2.34
Stock Index (Class I)	Actual	$	1,000.00		$	1,057.90		0.32	%	$	1.66
	Hypothetical	$	1,000.00		$	1,023.53		0.32	%	$	1.63
Value (Class I)	Actual	$	1,000.00		$	1,104.50		0.43	%	$	2.27
	Hypothetical	$	1,000.00		$	1,022.97		0.43	%	$	2.19
Value (Class II)	Actual	$	1,000.00		$	1,102.40		0.83	%	$	4.39
	Hypothetical	$	1,000.00		$	1,020.96		0.83	%	$	4.22

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2012, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2012 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	CONSERVATIVE BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 92.7%
COMMON STOCKS — 52.5%	Shares		Value (Note 2)
Aerospace & Defense — 1.2%
BAE Systems PLC (United Kingdom)		16,977	$	94,362
Boeing Co. (The)		60,600		4,566,816
European Aeronautic Defense and Space Co. NV (Netherlands)		9,218		363,387
General Dynamics Corp.		31,700		2,195,859
Honeywell International, Inc.		68,412		4,342,110
L-3 Communications Holdings, Inc.		9,000		689,580
Lockheed Martin Corp.		24,000		2,214,960
Northrop Grumman Corp.		22,962		1,551,772
Precision Castparts Corp.		12,900		2,443,518
Raytheon Co.		28,700		1,651,972
Rockwell Collins, Inc.(a)		14,000		814,380
Singapore Technologies Engineering Ltd. (Singapore)		33,000		104,155
Textron, Inc.		23,100		572,649
Thales SA (France)		8,280		288,498
United Technologies Corp.		75,200		6,167,152
				28,061,170
Air Freight & Logistics — 0.4%
C.H. Robinson Worldwide, Inc.		14,600		923,012
Deutsche Post AG (Germany)		8,206		180,742
Expeditors International of Washington, Inc.		18,600		735,630
FedEx Corp.		27,500		2,522,300
United Parcel Service, Inc. (Class B Stock)		66,400		4,895,672
				9,257,356
Airlines
Ryanair Holdings PLC (Ireland), ADR		8,300		284,524
Southwest Airlines Co.		67,800		694,272
				978,796
Auto Components — 0.2%
BorgWarner, Inc.*(a)		10,200		730,524
Bridgestone Corp. (Japan)		3,300		85,904
CIE Generale des Etablissements Michelin (France) (Class B Stock)		3,929		376,475
Delphi Automotive PLC*		23,500		898,875
Denso Corp. (Japan)		1,200		41,789
Goodyear Tire & Rubber Co. (The)*		28,000		386,680
Johnson Controls, Inc.		62,000		1,903,400
Toyoda Gosei Co. Ltd. (Japan)		4,400		89,438
				4,513,085
Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		2,347		228,390
Daihatsu Motor Co. Ltd. (Japan)		1,000		19,923
Fiat SpA (Italy)*		15,003		75,577
Ford Motor Co.(a)		336,785		4,361,366
Fuji Heavy Industries Ltd. (Japan)		26,000		327,868
Harley-Davidson, Inc.		19,800		967,032
Isuzu Motors Ltd. (Japan)		9,000		53,707
Mazda Motor Corp. (Japan)*		14,000		28,732
Mitsubishi Motors Corp. (Japan)*		20,000		20,678
Nissan Motor Co. Ltd. (Japan)		2,200		20,875
Suzuki Motor Corp. (Japan)		13,000		340,188
Toyota Motor Corp. (Japan)		9,800		457,622

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Volkswagen AG (Germany)		152	$	32,975
				6,934,933
Beverages — 1.3%
Anheuser-Busch InBev NV (Belgium)		1,954		170,164
Asahi Breweries Ltd. (Japan)		2,000		42,586
Beam, Inc.		14,000		855,260
Brown-Forman Corp. (Class B Stock)		13,650		863,363
Coca-Cola Amatil Ltd. (Australia)		8,694		122,180
Coca-Cola Co. (The)		349,500		12,669,375
Coca-Cola Enterprises, Inc.		28,400		901,132
Constellation Brands, Inc. (Class A Stock)*		13,000		460,070
Diageo PLC (United Kingdom)		11,409		332,307
Dr Pepper Snapple Group, Inc.(a)		19,900		879,182
Heineken Holding NV (Netherlands)		5,612		309,013
Heineken NV (Netherlands)		1,338		89,705
Molson Coors Brewing Co. (Class B Stock)		13,300		569,107
Monster Beverage Corp.*		13,200		698,016
PepsiCo, Inc.		139,107		9,519,092
SABMiller PLC (United Kingdom)		11,020		511,453
				28,992,005
Biotechnology — 0.8%
Actelion Ltd. (Switzerland)		560		26,796
Alexion Pharmaceuticals, Inc.*		16,800		1,576,008
Amgen, Inc.		68,587		5,920,430
Biogen Idec, Inc.*		20,890		3,063,936
Celgene Corp.*		39,900		3,140,928
CSL Ltd. (Australia)		4,312		243,445
Gilead Sciences, Inc.*		66,600		4,891,770
				18,863,313
Building Products
Asahi Glass Co. Ltd. (Japan)		5,000		36,508
Masco Corp.		33,500		558,110
				594,618
Capital Markets — 1.1%
Aberdeen Asset Management PLC (United Kingdom)		52,750		317,420
Ameriprise Financial, Inc.		19,320		1,210,012
Bank of New York Mellon Corp. (The)(a)		108,158		2,779,661
BlackRock, Inc. (Class A Stock)(a)		11,400		2,356,494
Charles Schwab Corp. (The)(a)		95,250		1,367,790
E*Trade Financial Corp.*		25,520		228,404
Franklin Resources, Inc.		12,500		1,571,250
GAM Holding AG (Switzerland)		10,053		136,790
Goldman Sachs Group, Inc. (The)		40,900		5,217,204
Hargreaves Lansdown PLC (United Kingdom)		26,122		292,161
Invesco Ltd.		39,400		1,027,946
Legg Mason, Inc.(a)		10,200		262,344
Morgan Stanley		131,480		2,513,898
Northern Trust Corp.		21,900		1,098,504
State Street Corp.		43,200		2,030,832
T. Rowe Price Group, Inc.		23,100		1,504,503
				23,915,213

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals — 1.3%
Air Liquide SA (France)		291	$	36,764
Air Products & Chemicals, Inc.		19,000		1,596,380
Airgas, Inc.		6,700		611,643
Asahi Kasei Corp. (Japan)		6,000		35,479
BASF SE (Germany)		7,628		721,307
CF Industries Holdings, Inc.		5,700		1,158,012
Dow Chemical Co. (The)(a)		104,131		3,365,514
E.I. du Pont de Nemours & Co.		82,420		3,706,427
Eastman Chemical Co.		13,500		918,675
Ecolab, Inc.		23,600		1,696,840
FMC Corp.		11,500		672,980
International Flavors & Fragrances, Inc.		8,200		545,628
Israel Chemicals Ltd. (Israel)		2,660		32,035
Koninklijke DSM NV (Netherlands)		4,676		284,984
Kuraray Co. Ltd. (Japan)		1,700		22,286
LyondellBasell Industries NV (Class A Stock)		32,500		1,855,425
Monsanto Co.		46,994		4,447,982
Mosaic Co. (The)		26,100		1,478,043
Nitto Denko Corp. (Japan)		800		39,399
PPG Industries, Inc.		13,600		1,840,760
Praxair, Inc.		26,100		2,856,645
Sherwin-Williams Co. (The)		7,600		1,169,032
Sigma-Aldrich Corp.		10,700		787,306
Syngenta AG (Switzerland)		1,022		412,874
Yara International ASA (Norway)		6,585		328,319
				30,620,739
Commercial Banks — 1.7%
Aozora Bank Ltd. (Japan)		92,000		282,874
Australia & New Zealand Banking Group Ltd. (Australia)		3,241		85,357
Banco Santander SA (Spain)		52,767		428,840
Bank Hapoalim BM (Israel)*		68,422		293,561
Bank of Yokohama Ltd. (The) (Japan)		6,000		27,898
Barclays PLC (United Kingdom)		96,535		419,348
BB&T Corp.		62,800		1,828,108
BNP Paribas SA (France)		354		20,153
Chiba Bank Ltd. (The) (Japan)		4,000		23,433
Comerica, Inc.(a)		17,400		527,916
Commonwealth Bank of Australia (Australia).		3,512		228,725
DBS Group Holdings Ltd. (Singapore)		9,000		110,489
DNB ASA (Norway)		27,353		349,617
Fifth Third Bancorp		81,621		1,239,823
First Horizon National Corp.		25,887		256,540
HSBC Holdings PLC (United Kingdom)		68,098		721,623
Huntington Bancshares, Inc.		78,236		499,928
KeyCorp		89,100		750,222
M&T Bank Corp.		11,400		1,122,558
Mitsubishi UFJ Financial Group, Inc. (Japan)		62,400		337,653
Mizuho Financial Group, Inc. (Japan)		268,300		491,924
National Australia Bank Ltd. (Australia)		4,652		122,362
Oversea-Chinese Banking Corp. Ltd. (Singapore)		13,000		104,754

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
PNC Financial Services Group, Inc.		46,733	$	2,725,001
Regions Financial Corp.		129,603		922,773
Resona Holdings, Inc. (Japan)		73,500		336,069
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		40,512		346,608
Sumitomo Mitsui Financial Group, Inc. (Japan)		14,600		530,591
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		97,000		341,761
SunTrust Banks, Inc.		48,500		1,374,975
Swedbank AB (Sweden) (Class A Stock)		18,751		368,370
U.S. Bancorp		169,985		5,429,321
Wells Fargo & Co.		444,564		15,195,198
Westpac Banking Corp. (Australia)		26,405		723,494
Zions Bancorporation(a)		15,550		332,770
				38,900,637
Commercial Services & Supplies — 0.3%
ADT Corp. (The)		21,000		976,290
Avery Dennison Corp.(a)		10,200		356,184
Cintas Corp.(a)		8,900		364,010
Iron Mountain, Inc.		16,985		527,384
Pitney Bowes, Inc.(a)		20,700		220,248
Republic Services, Inc. (Class A Stock)		28,565		837,811
Secom Co. Ltd. (Japan)		1,100		55,421
Stericycle, Inc.*		6,900		643,563
Tyco International Ltd.		42,000		1,228,500
Waste Management, Inc.		40,342		1,361,139
				6,570,550
Communications Equipment — 1.0%
Cisco Systems, Inc.		477,400		9,380,910
F5 Networks, Inc.*		7,000		680,050
Harris Corp.		9,400		460,224
JDS Uniphase Corp.*		21,475		290,771
Juniper Networks, Inc.*		48,100		946,127
Motorola Solutions, Inc.		25,389		1,413,660
QUALCOMM, Inc.		152,600		9,464,252
				22,635,994
Computers & Peripherals — 2.6%
Apple, Inc.		84,400		44,987,732
Dell, Inc.		136,900		1,386,797
EMC Corp.*		185,950		4,704,535
Gemalto NV (France)		3,408		307,624
Hewlett-Packard Co.		179,848		2,562,834
NEC Corp. (Japan)*		156,000		329,057
NetApp, Inc.*		34,000		1,140,700
SanDisk Corp.*(a)		22,100		962,676
Seagate Technology PLC(a)		32,100		978,408
Toshiba Corp. (Japan)		20,000		79,164
Western Digital Corp.		22,000		934,780
				58,374,307
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		2,798		70,912

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction & Engineering (continued)
Chiyoda Corp. (Japan)		3,000	$	42,976
Eiffage SA (France)		2,209		98,977
Ferrovial SA (Spain)		21,153		314,893
Fluor Corp.		15,700		922,218
Jacobs Engineering Group, Inc.*		12,700		540,639
JGC Corp. (Japan)		1,000		31,161
Koninklijke Boskalis Westminster NV (Netherlands)		6,662		301,570
Quanta Services, Inc.*		16,700		455,743
Vinci SA (France)		1,697		81,706
				2,860,795
Construction Materials
Imerys SA (France)		1,037		66,512
Vulcan Materials Co.		10,300		536,115
				602,627
Consumer Finance — 0.5%
American Express Co.		88,300		5,075,484
Capital One Financial Corp.		51,561		2,986,929
Discover Financial Services		46,940		1,809,537
SLM Corp.		43,000		736,590
				10,608,540
Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		6,272		53,010
Ball Corp.(a)		13,200		590,700
Bemis Co., Inc.		11,300		378,098
Owens-Illinois, Inc.*		13,500		287,145
Sealed Air Corp.		17,100		299,421
				1,608,374
Distributors
Genuine Parts Co.		14,200		902,836
Diversified Consumer Services
Apollo Group, Inc. (Class A Stock)*(a)		8,800		184,096
H&R Block, Inc.		27,100		503,247
				687,343
Diversified Financial Services — 1.8%
Bank of America Corp.		963,821		11,180,323
Citigroup, Inc.		261,785		10,356,215
CME Group, Inc. (Class A Stock)		29,200		1,480,732
Groupe Bruxelles Lambert SA (Belgium)		1,299		103,604
Industrivarden AB (Sweden) (Class C Stock)		4,590		76,472
IntercontinentalExchange, Inc.*(a)		6,500		804,765
Investment AB Kinnevik (Sweden) (Class B Stock)		1,055		22,068
Investor AB (Sweden) (Class B Stock)		13,186		346,398
JPMorgan Chase & Co.		341,745		15,026,528
Leucadia National Corp.(a)		19,700		468,663
Moody’s Corp.		17,000		855,440
NASDAQ OMX Group, Inc. (The)		11,600		290,116
NYSE Euronext		24,400		769,576
ORIX Corp. (Japan)		540		60,998
				41,841,898

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Telecommunication Services — 1.5%
AT&T, Inc.		513,568	$	17,312,377
BT Group PLC (United Kingdom)		96,283		367,341
CenturyLink, Inc.		56,036		2,192,128
Deutsche Telekom AG (Germany)		39,237		446,634
France Telecom SA (France)		9,636		106,901
Frontier Communications Corp.(a)		78,990		338,077
Nippon Telegraph & Telephone Corp. (Japan)		8,800		370,506
Telecom Corp. of New Zealand Ltd. (New Zealand)		9,525		18,029
Telecom Italia SpA (Italy)		38,377		34,811
Telecom Italia SpA-RSP (Italy)		140,309		111,671
Telenor ASA (Norway)		3,563		72,549
Telstra Corp. Ltd. (Australia)		22,399		102,067
Verizon Communications, Inc.		255,276		11,045,792
Vivendi SA (France)		6,649		150,374
Windstream Corp.		57,357		474,916
				33,144,173
Electric Utilities — 1.0%
American Electric Power Co., Inc.		43,960		1,876,213
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		4,000		24,708
Duke Energy Corp.		62,061		3,959,492
Edison International		27,700		1,251,763
Electricite de France SA (France)		14,872		275,587
Enel SpA (Italy)		44,004		183,035
Energias de Portugal SA (Portugal)		102,800		312,697
Entergy Corp.		16,600		1,058,250
Exelon Corp.		76,513		2,275,497
FirstEnergy Corp.		37,406		1,562,074
Iberdrola SA (Spain)		21,041		117,508
NextEra Energy, Inc.		36,900		2,553,111
Northeast Utilities		27,300		1,066,884
Pepco Holdings, Inc.(a)		20,000		392,200
Pinnacle West Capital Corp.		10,500		535,290
Power Assets Holdings Ltd. (Hong Kong)		7,500		64,347
PPL Corp.		52,100		1,491,623
Red Electrica Corp. SA (Spain)		800		39,517
Southern Co.		78,400		3,356,304
Xcel Energy, Inc.		44,310		1,183,520
				23,579,620
Electrical Equipment — 0.2%
Alstom SA (France)		3,783		152,395
Emerson Electric Co.		64,200		3,400,032
Rockwell Automation, Inc.		11,800		991,082
Roper Industries, Inc.		8,700		969,876
Sumitomo Electric Industries Ltd. (Japan)		1,900		21,962
				5,535,347
Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		13,600		879,920
Corning, Inc.		138,500		1,747,870
FLIR Systems, Inc.		15,600		348,036
FUJIFILM Holdings Corp. (Japan)		1,100		22,132
Hitachi Ltd. (Japan)		24,000		141,228

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components (continued)
Jabil Circuit, Inc.		13,900	$	268,131
Keyence Corp. (Japan)		200		55,465
Kyocera Corp. (Japan)		800		72,532
Molex, Inc.(a)		13,000		355,290
TE Connectivity Ltd.		36,100		1,340,032
				5,230,636
Energy Equipment & Services — 0.9%
Aker Solutions ASA (Norway)		840		17,395
Baker Hughes, Inc.		38,798		1,584,511
Cameron International Corp.*		22,500		1,270,350
Diamond Offshore Drilling, Inc.(a)		6,000		407,760
Ensco PLC (Class A Stock)		20,500		1,215,240
FMC Technologies, Inc.*		21,800		933,694
Halliburton Co.		81,700		2,834,173
Helmerich & Payne, Inc.		10,700		599,307
Nabors Industries Ltd.*		27,700		400,265
National Oilwell Varco, Inc.		37,900		2,590,465
Noble Corp.		22,100		769,522
Rowan Cos. PLC (Class A Stock)*		9,600		300,192
Schlumberger Ltd.		117,618		8,149,751
Seadrill Ltd. (Norway)		3,156		116,273
Transocean Ltd. (Switzerland)		1,841		82,539
				21,271,437
Food & Staples Retailing — 1.3%
Aeon Co. Ltd. (Japan)		3,100		35,428
Casino Guichard Perrachon SA (France)		415		39,750
Costco Wholesale Corp.		38,100		3,763,137
CVS Caremark Corp.		113,048		5,465,871
Delhaize Group SA (Belgium)		7,504		302,254
J Sainsbury PLC (United Kingdom)		55,343		313,112
Kesko OYJ (Finland) (Class B Stock)		1,928		63,297
Koninklijke Ahold NV (Netherlands)		10,473		140,433
Kroger Co. (The)		50,746		1,320,411
Lawson, Inc. (Japan)		300		20,351
Safeway, Inc.(a)		22,300		403,407
Seven & I Holdings Co. Ltd. (Japan)		3,900		109,944
Sysco Corp.		53,200		1,684,312
Walgreen Co.		75,500		2,794,255
Wal-Mart Stores, Inc.		152,200		10,384,606
Wesfarmers Ltd. (Australia)		2,475		95,489
Whole Foods Market, Inc.		14,800		1,351,684
Woolworths Ltd. (Australia)		15,549		477,019
				28,764,760
Food Products — 1.0%
Ajinomoto Co., Inc. (Japan)		3,000		39,697
Archer Daniels Midland Co.		60,226		1,649,590
Associated British Foods PLC (United Kingdom)		1,829		46,728
Campbell Soup Co.		15,000		523,350
ConAgra Foods, Inc.		38,600		1,138,700
Dean Foods Co.*		13,700		226,187
General Mills, Inc.		58,500		2,363,985
H.J. Heinz Co.(a)		28,200		1,626,576
Hershey Co. (The)(a)		13,900		1,003,858
Hormel Foods Corp.		10,400		324,584

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
J.M. Smucker Co. (The)		10,600	$	914,144
Kellogg Co.		20,700		1,156,095
Kraft Foods Group, Inc.		52,117		2,369,760
McCormick & Co., Inc.		11,400		724,242
Mead Johnson Nutrition Co.		17,667		1,164,079
Mondelez International, Inc. (Class A Stock)		156,353		3,982,311
Nestle SA (Switzerland)		16,596		1,082,781
Suedzucker AG (Germany)		7,333		301,000
Tate & Lyle PLC (United Kingdom)		24,785		306,647
Tyson Foods, Inc. (Class A Stock)		26,300		510,220
Unilever NV (Netherlands)		8,405		321,607
				21,776,141
Gas Utilities — 0.1%
AGL Resources, Inc.		9,339		373,280
Enagas (Spain)		13,927		298,374
Gas Natural SDG SA (Spain)		2,877		51,865
ONEOK, Inc.		18,600		795,150
Tokyo Gas Co. Ltd. (Japan)		6,000		27,414
				1,546,083
Healthcare Equipment & Supplies — 0.9%
Baxter International, Inc.(a)		48,600		3,239,676
Becton Dickinson and Co.		17,400		1,360,506
Boston Scientific Corp.*		135,267		775,080
C.R. Bard, Inc.		7,700		752,598
CareFusion Corp.*		20,175		576,602
Coloplast A/S (Denmark) (Class B Stock)		454		22,264
Covidien PLC		41,800		2,413,532
DENTSPLY International, Inc.		11,200		443,632
Edwards Lifesciences Corp.*		10,300		928,751
Elekta AB (Sweden) (Class B Stock)		1,919		29,922
Intuitive Surgical, Inc.*		3,500		1,716,295
Medtronic, Inc.		91,600		3,757,432
St. Jude Medical, Inc.		27,500		993,850
Stryker Corp.		28,400		1,556,888
Varian Medical Systems, Inc.*(a)		10,100		709,424
Zimmer Holdings, Inc.		15,300		1,019,898
				20,296,350
Healthcare Providers & Services — 1.0%
Aetna, Inc.(a)		31,700		1,467,710
AmerisourceBergen Corp. (Class A Stock)(a)		21,400		924,052
Cardinal Health, Inc.		29,750		1,225,105
CIGNA Corp.		26,400		1,411,344
Coventry Health Care, Inc.		13,050		585,031
DaVita, Inc.*		7,900		873,187
Express Scripts Holding Co.*		70,949		3,831,246
Fresenius SE & Co. KGaA (Germany)		213		24,510
Humana, Inc.		14,900		1,022,587
Laboratory Corp. of America Holdings*		8,200		710,284
McKesson Corp.		20,730		2,009,981
Patterson Cos., Inc.		9,000		308,070
Quest Diagnostics, Inc.		14,200		827,434
Ramsay Health Care Ltd. (Australia)		4,366		124,529
Tenet Healthcare Corp.*(a)		11,150		362,040

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services (continued)
UnitedHealth Group, Inc.		93,500	$	5,071,440
WellPoint, Inc.		28,500		1,736,220
				22,514,770
Healthcare Technology
Cerner Corp.*(a)		13,300		1,032,612
Hotels, Restaurants & Leisure — 1.0%
Carnival Corp.		40,200		1,478,154
Chipotle Mexican Grill, Inc.*		2,850		847,761
Darden Restaurants, Inc.		10,750		484,502
Flight Centre Ltd. (Australia)		2,193		62,053
Galaxy Entertainment Group Ltd. (Hong Kong)*		84,000		336,822
International Game Technology		28,200		399,594
Marriott International, Inc. (Class A Stock)		22,628		843,346
McDonald’s Corp.		89,600		7,903,616
Oriental Land Co. Ltd. (Japan)		2,500		302,761
SJM Holdings Ltd. (Hong Kong)		10,000		23,601
Starbucks Corp.		66,700		3,576,454
Starwood Hotels & Resorts Worldwide, Inc.		17,600		1,009,536
Tatts Group, Ltd. (Australia)		7,147		22,511
TUI Travel PLC (United Kingdom)		62,767		291,256
Whitbread PLC (United Kingdom)		1,102		44,284
Wyndham Worldwide Corp.		12,320		655,547
Wynn Resorts Ltd.		7,100		798,679
Yum! Brands, Inc.		40,600		2,695,840
				21,776,317
Household Durables — 0.2%
D.R. Horton, Inc.		22,400		443,072
Garmin Ltd. (Switzerland)(a)		7,800		318,396
Harman International Industries, Inc.		6,400		285,696
Leggett & Platt, Inc.		11,700		318,474
Lennar Corp. (Class A Stock)(a)		12,900		498,843
Newell Rubbermaid, Inc.		27,314		608,283
Pulte Group, Inc.*(a)		33,522		608,760
Sekisui House Co. Ltd. (Japan)		3,000		32,849
Sony Corp. (Japan)		5,100		57,199
Whirlpool Corp.		7,326		745,420
				3,916,992
Household Products — 1.1%
Clorox Co. (The)		11,800		863,996
Colgate-Palmolive Co.		40,900		4,275,686
Kimberly-Clark Corp.		35,300		2,980,379
Procter & Gamble Co. (The)		246,725		16,750,160
Reckitt Benckiser Group PLC (United Kingdom)		5,061		321,272
Svenska Cellulosa AB (Sweden) (Class B Stock)		2,896		62,967
				25,254,460
Independent Power Producers & Energy Traders — 0.1%
AES Corp. (The)		61,100		653,770
NRG Energy, Inc.		25,900		595,441
				1,249,211

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 1.3%
3M Co.		57,000	$	5,292,450
Danaher Corp.		50,300		2,811,770
General Electric Co.		944,300		19,820,857
Hutchison Whampoa Ltd. (Hong Kong)		25,000		264,924
Keppel Corp. Ltd. (Singapore)		4,000		36,526
Koninklijke Philips Electronics NV (Netherlands)		7,088		187,693
Siemens AG (Germany)		638		69,766
				28,483,986
Insurance — 2.1%
ACE Ltd.		30,700		2,449,860
Aegon NV (Netherlands)		53,049		342,689
Aflac, Inc.(a)		41,200		2,188,544
Ageas (Belgium)		1,187		35,073
Allianz SE (Germany)		4,259		593,695
Allstate Corp. (The)		43,300		1,739,361
American International Group, Inc.*		130,239		4,597,437
Aon PLC (United Kingdom)		30,500		1,695,800
Assurant, Inc.		8,400		291,480
AXA SA (France)		9,062		162,716
Berkshire Hathaway, Inc. (Class B Stock)*		163,200		14,639,040
Chubb Corp.		24,700		1,860,404
Cincinnati Financial Corp.		15,537		608,429
Genworth Financial, Inc. (Class A Stock)*		47,000		352,970
Hannover Rueckversicherung AG (Germany)		3,863		302,566
Hartford Financial Services Group, Inc. (The)		42,700		958,188
Insurance Australia Group Ltd. (Australia)		7,997		39,388
Legal & General Group PLC (United Kingdom)		148,778		356,752
Lincoln National Corp.		28,918		748,976
Loews Corp.		29,275		1,192,956
Marsh & McLennan Cos., Inc.		50,600		1,744,182
MetLife, Inc.		96,500		3,178,710
Muenchener Rueckversicherungs AG (Germany)		2,487		448,975
Principal Financial Group, Inc.		29,200		832,784
Progressive Corp. (The)(a)		54,200		1,143,620
Sampo OYJ (Finland) (Class A Stock)		1,738		56,287
Standard Life PLC (United Kingdom)		62,947		344,098
Swiss Life Holding AG (Switzerland)		478		63,802
Swiss Re AG (Switzerland)		5,631		408,241
Torchmark Corp.		9,750		503,782
Travelers Cos., Inc. (The)		35,735		2,566,488
Unum Group		29,810		620,644
XL Group PLC		28,700		719,222
				47,787,159
Internet & Catalog Retail — 0.5%
Amazon.com, Inc.*		32,100		8,061,594
Expedia, Inc.		8,150		500,817
Netflix, Inc.*(a)		4,600		426,788
priceline.com, Inc.*		4,450		2,764,340

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet & Catalog Retail (continued)
Tripadvisor, Inc.*(a)		8,250	$	346,170
				12,099,709
Internet Software & Services — 1.1%
Akamai Technologies, Inc.*		16,100		658,651
Dena Co. Ltd. (Japan)		600		19,683
eBay, Inc.*		102,900		5,249,958
Google, Inc. (Class A Stock)*		23,850		16,918,474
VeriSign, Inc.*(a)		13,900		539,598
Yahoo! Japan Corp. (Japan)		857		277,493
Yahoo!, Inc.*(a)		98,400		1,958,160
				25,622,017
IT Services — 1.9%
Accenture PLC (Ireland) (Class A Stock)		56,800		3,777,200
Amadeus IT Holding SA (Spain) (Class A Stock)		1,565		39,550
Automatic Data Processing, Inc.		42,400		2,417,224
Cap Gemini SA (France)		6,925		302,815
Cognizant Technology Solutions Corp. (Class A Stock)*		26,900		1,991,945
Computer Sciences Corp.		12,500		500,625
Fidelity National Information Services, Inc.		21,300		741,453
Fiserv, Inc.*		11,600		916,748
International Business Machines Corp.		96,100		18,407,955
Mastercard, Inc. (Class A Stock)		9,400		4,618,032
Otsuka Corp. (Japan)		1,800		136,189
Paychex, Inc.		29,800		927,972
SAIC, Inc.		29,000		328,280
Teradata Corp.*		15,200		940,728
Total System Services, Inc.		15,596		334,066
Visa, Inc. (Class A Stock)		46,200		7,002,996
Western Union Co. (The)		57,110		777,267
				44,161,045
Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		9,900		355,410
Mattel, Inc.		29,951		1,096,805
Namco Bandai Holdings, Inc. (Japan)		22,600		292,946
				1,745,161
Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.		31,614		1,294,277
Life Technologies Corp.*		15,501		760,789
PerkinElmer, Inc.		10,100		320,574
Thermo Fisher Scientific, Inc.		33,300		2,123,874
Waters Corp.*		7,300		635,976
				5,135,490
Machinery — 1.1%
Caterpillar, Inc.		57,500		5,150,850
Cummins, Inc.		16,100		1,744,435
Deere & Co.		35,100		3,033,342
Dover Corp.		15,900		1,044,789
Eaton Corp.		39,837		2,159,165
Fiat Industrial SpA (Italy)		29,924		327,836
Flowserve Corp.		4,600		675,280
GEA Group AG (Germany)		908		29,524
Hino Motors Ltd. (Japan)		34,000		307,320

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Illinois Tool Works, Inc.		39,600	$	2,408,076
Ingersoll-Rand PLC		27,100		1,299,716
Joy Global, Inc.		10,300		656,934
Kone OYJ (Finland) (Class B Stock)		4,545		336,149
Kubota Corp. (Japan)		5,000		57,487
Makita Corp. (Japan)		600		27,873
Mitsubishi Heavy Industries, Ltd. (Japan)		15,000		72,558
PACCAR, Inc.		31,043		1,403,454
Pall Corp.(a)		9,600		578,496
Parker Hannifin Corp.		12,865		1,094,297
Pentair Ltd.		18,077		888,485
Snap-on, Inc.		4,800		379,152
Stanley Black & Decker, Inc.		15,397		1,138,916
Xylem, Inc.		15,200		411,920
				25,226,054
Marine
A.P. Moller-Maersk A/S (Denmark) (Class B Stock)		5		37,863
Media — 1.8%
British Sky Broadcasting Group PLC (United Kingdom)		5,510		69,495
Cablevision Systems Corp. (Class A Stock)(a)		23,500		351,090
CBS Corp. (Class B Stock)		56,334		2,143,509
Comcast Corp. (Class A Stock)		239,790		8,963,350
DIRECTV*		56,800		2,849,088
Discovery Communications, Inc. (Class A Stock)*		21,700		1,377,516
Gannett Co., Inc.(a)		16,800		302,568
Hakuhodo DY Holdings, Inc. (Japan)		2,200		142,365
Interpublic Group of Cos., Inc. (The)		37,731		415,795
ITV PLC (United Kingdom)		185,899		322,493
McGraw-Hill Cos., Inc. (The)		24,000		1,312,080
News Corp. (Class A Stock)		185,800		4,745,332
Omnicom Group, Inc.(a)		23,500		1,174,060
Scripps Networks Interactive, Inc. (Class A Stock)		9,200		532,864
Time Warner Cable, Inc.		27,114		2,635,209
Time Warner, Inc.		84,666		4,049,575
Viacom, Inc. (Class B Stock)		42,434		2,237,969
Walt Disney Co. (The)		160,800		8,006,232
Washington Post Co. (The) (Class B Stock)		400		146,084
				41,776,674
Metals & Mining — 0.5%
Alcoa, Inc.		90,540		785,887
Allegheny Technologies, Inc.		9,900		300,564
Anglo American PLC (United Kingdom)		7,184		226,463
BHP Billiton Ltd. (Australia)		16,558		646,434
BHP Billiton PLC (United Kingdom)		7,538		265,893
Boliden AB (Sweden)		3,526		66,997
Cliffs Natural Resources, Inc.		12,700		489,712
Fortescue Metals Group Ltd. (Australia)(a)		64,817		323,013
Freeport-McMoRan Copper & Gold, Inc.		85,088		2,910,009

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Fresnillo PLC (United Kingdom)		966	$	29,629
Iluka Resources Ltd. (Australia)		3,491		33,737
Kazakhmys PLC (United Kingdom)		23,523		304,029
Newcrest Mining Ltd. (Australia)		4,098		95,864
Newmont Mining Corp.		44,700		2,075,868
Nucor Corp.		29,200		1,260,856
OZ Minerals Ltd. (Australia)		41,775		296,670
Rio Tinto Ltd. (Australia)		2,227		156,579
Rio Tinto PLC (United Kingdom)		7,042		410,731
Sumitomo Metal Mining Co. Ltd. (Japan)		3,000		42,348
United States Steel Corp.(a)		14,700		350,889
Xstrata PLC (United Kingdom)		6,337		110,618
				11,182,790
Multiline Retail — 0.4%
Big Lots, Inc.*		4,300		122,378
Dollar General Corp.*		22,100		974,389
Dollar Tree, Inc.*		21,200		859,872
Family Dollar Stores, Inc.		10,600		672,146
J.C. Penney Co., Inc.(a)		14,400		283,824
Kohl’s Corp.		21,100		906,878
Macy’s, Inc.		36,974		1,442,725
Next PLC (United Kingdom)		5,441		330,284
Nordstrom, Inc.(a)		14,700		786,450
Target Corp.		58,300		3,449,611
				9,828,557
Multi-Utilities — 0.7%
Ameren Corp.		21,900		672,768
CenterPoint Energy, Inc.		38,100		733,425
CMS Energy Corp.(a)		23,000		560,740
Consolidated Edison, Inc.		25,700		1,427,378
Dominion Resources, Inc.		51,332		2,658,998
DTE Energy Co.		15,000		900,750
GDF Suez (France)		20,279		417,670
Integrys Energy Group, Inc.(a)		6,020		314,364
National Grid PLC (United Kingdom)		43,053		493,795
NiSource, Inc.		24,800		617,272
PG&E Corp.		38,200		1,534,876
Public Service Enterprise Group, Inc.(a)		46,100		1,410,660
SCANA Corp.(a)		11,300		515,732
Sempra Energy		20,519		1,455,618
TECO Energy, Inc.(a)		20,500		343,580
Wisconsin Energy Corp.		20,100		740,685
				14,798,311
Office Electronics
Konica Minolta Holdings, Inc. (Japan)		2,500		17,991
Ricoh Co. Ltd. (Japan)		3,000		31,843
Xerox Corp.		127,463		869,298
				919,132
Oil, Gas & Consumable Fuels — 4.8%
Anadarko Petroleum Corp.		43,554		3,236,498
Apache Corp.		35,014		2,748,599
BP PLC (United Kingdom)		126,228		877,657
Cabot Oil & Gas Corp.		18,000		895,320
Chesapeake Energy Corp.(a)		51,500		855,930

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Chevron Corp.		175,822	$	19,013,391
ConocoPhillips(a)		111,277		6,452,953
Consol Energy, Inc.		19,500		625,950
Denbury Resources, Inc.*		37,200		602,640
Devon Energy Corp.		35,700		1,857,828
ENI SpA (Italy)		24,436		598,625
EOG Resources, Inc.		23,700		2,862,723
EQT Corp.		12,800		754,944
Exxon Mobil Corp.		411,799		35,641,203
Hess Corp.		27,500		1,456,400
Inpex Corp. (Japan)		11		58,832
JX Holdings, Inc. (Japan)		5,400		30,487
Kinder Morgan, Inc.		54,998		1,943,079
Marathon Oil Corp.		62,682		1,921,830
Marathon Petroleum Corp.		30,141		1,898,883
Murphy Oil Corp.		17,300		1,030,215
Newfield Exploration Co.*		13,900		372,242
Noble Energy, Inc.		15,200		1,546,448
Occidental Petroleum Corp.		72,600		5,561,886
OMV AG (Austria)		8,388		303,949
Peabody Energy Corp.(a)		23,300		620,013
Phillips 66		56,138		2,980,928
Pioneer Natural Resources Co.		11,500		1,225,785
QEP Resources, Inc.		15,500		469,185
Range Resources Corp.		15,000		942,450
Repsol SA (Spain)		1,132		23,107
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		27,283		947,003
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		21,491		766,724
Southwestern Energy Co.*(a)		31,600		1,055,756
Spectra Energy Corp.		58,062		1,589,738
Statoil ASA (Norway)		2,736		68,960
Tesoro Corp.		12,400		546,220
Total SA (France)		10,937		569,087
Valero Energy Corp.		48,800		1,665,056
Williams Cos., Inc. (The)		59,300		1,941,482
WPX Energy, Inc.*		20,033		298,091
				108,858,097
Paper & Forest Products — 0.1%
International Paper Co.		37,773		1,504,877
MeadWestvaco Corp.		16,514		526,301
Stora Enso OYJ (Finland) (Class R Stock)		43,001		300,983
				2,332,161
Personal Products — 0.1%
Avon Products, Inc.		39,200		562,912
Estee Lauder Cos., Inc. (The) (Class A Stock)		20,000		1,197,200
Kao Corp. (Japan)		1,300		33,875
				1,793,987
Pharmaceuticals — 3.3%
Abbott Laboratories		140,300		9,189,650
Allergan, Inc.		27,700		2,540,921
Astellas Pharma, Inc. (Japan)		2,300		103,412
AstraZeneca PLC (United Kingdom)		12,332		584,413

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Bayer AG (Germany)		3,467	$	330,621
Bristol-Myers Squibb Co.		148,970		4,854,932
Eli Lilly & Co.		91,500		4,512,780
Forest Laboratories, Inc.*		22,300		787,636
GlaxoSmithKline PLC (United Kingdom)		7,889		171,763
Hospira, Inc.*		14,860		464,226
Johnson & Johnson(a)		247,548		17,353,115
Merck & Co., Inc.		271,533		11,116,561
Mylan, Inc.*		39,400		1,082,712
Novartis AG (Switzerland)		11,847		748,414
Novo Nordisk A/S (Denmark) (Class B Stock)		2,097		341,468
Orion OYJ (Finland) (Class B Stock)		6,704		197,386
Otsuka Holdings Co. Ltd. (Japan)		1,900		53,525
Perrigo Co.		8,800		915,464
Pfizer, Inc.		666,770		16,722,592
Roche Holding AG (Switzerland)		4,987		1,008,278
Sanofi (France)		9,207		873,104
Teva Pharmaceutical Industries Ltd. (Israel)		12,082		448,961
Watson Pharmaceuticals, Inc.*		11,200		963,200
				75,365,134
Professional Services — 0.1%
Capita (The) (United Kingdom)		6,523		80,605
Dun & Bradstreet Corp. (The)(a)		4,800		377,520
Equifax, Inc.		10,100		546,612
Experian PLC (United Kingdom)		5,233		84,340
Robert Half International, Inc.		11,200		356,384
				1,445,461
Real Estate Investment Trusts — 1.1%
American Tower Corp.		35,100		2,712,177
Apartment Investment & Management Co. (Class A Stock)		13,033		352,673
Ascendas Real Estate Investment Trust (Singapore)		153,000		299,409
AvalonBay Communities, Inc.		9,975		1,352,510
Boston Properties, Inc.		13,500		1,428,435
Equity Residential		28,900		1,637,763
GPT Group (Australia)		18,978		73,050
HCP, Inc.		40,600		1,834,308
Health Care REIT, Inc.		22,300		1,366,767
Host Hotels & Resorts, Inc.(a)		66,682		1,044,907
Kimco Realty Corp.(a)		35,000		676,200
Link REIT (The) (Hong Kong)		68,000		340,551
Plum Creek Timber Co., Inc.		12,700		563,499
ProLogis, Inc.		41,077		1,498,900
Public Storage		12,700		1,840,992
Simon Property Group, Inc.		27,443		4,338,464
Ventas, Inc.		25,518		1,651,525
Vornado Realty Trust		16,825		1,347,346
Westfield Group (Australia)		11,232		124,045
Westfield Retail Trust (Australia)		14,961		47,202
Weyerhaeuser Co.(a)		48,598		1,351,996
				25,882,719

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		29,600	$	589,040
Cheung Kong Holdings Ltd. (Hong Kong)		7,000		108,916
Daiwa House Industry Co. Ltd. (Japan)		3,000		51,578
Henderson Land Development Co. Ltd. (Hong Kong)		5,000		35,796
Hysan Development Co. Ltd. (Hong Kong)		5,000		24,314
Keppel Land Ltd. (Singapore)		90,000		301,433
Lend Lease Group (Australia)		17,428		170,199
New World Development Co. Ltd. (Hong Kong)		19,000		30,080
Sino Land Co. Ltd. (Hong Kong)		26,000		47,610
Sun Hung Kai Properties Ltd. (Hong Kong)		22,000		333,635
Swire Properties Ltd. (Hong Kong)		91,000		306,490
Wharf Holdings Ltd. (Hong Kong)		24,000		191,273
Wheelock & Co. Ltd. (Hong Kong)		5,000		25,506
				2,215,870
Road & Rail — 0.5%
Aurizon Holdings Ltd. (Australia)		9,379		36,882
Central Japan Railway Co. (Japan)		4,200		340,870
ComfortDelGro Corp. Ltd. (Singapore)		32,000		47,076
CSX Corp.		91,600		1,807,268
DSV A/S (Denmark)		2,057		53,220
East Japan Railway Co. (Japan)		6,100		394,451
Hankyu Hanshin Holdings, Inc. (Japan)		6,000		31,022
MTR Corp. Ltd. (Hong Kong)		7,500		29,719
Norfolk Southern Corp.		29,500		1,824,280
Odakyu Electric Railway Co. Ltd. (Japan)		3,000		31,213
Ryder System, Inc.		4,900		244,657
Tokyu Corp. (Japan)		6,000		33,802
Union Pacific Corp.		42,000		5,280,240
West Japan Railway Co. (Japan)		2,100		82,733
				10,237,433
Semiconductors & Semiconductor Equipment — 1.0%
Advanced Micro Devices, Inc.*(a)		55,700		133,680
Altera Corp.		29,700		1,022,868
Analog Devices, Inc.		25,300		1,064,118
Applied Materials, Inc.		114,700		1,312,168
ARM Holdings PLC (United Kingdom)		29,317		370,239
Broadcom Corp. (Class A Stock)		44,650		1,482,826
First Solar, Inc.*(a)		2,600		80,288
Intel Corp.		448,200		9,246,366
KLA-Tencor Corp.		14,700		702,072
Lam Research Corp.*		16,050		579,886
Linear Technology Corp.		20,500		703,150
LSI Corp.*		57,100		404,268
Microchip Technology, Inc.(a)		15,700		511,663
Micron Technology, Inc.*		87,900		558,165
NVIDIA Corp.		52,550		645,840
Teradyne, Inc.*(a)		19,800		334,422
Texas Instruments, Inc.		99,900		3,090,906

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Xilinx, Inc.		23,400	$	840,060
				23,082,985
Software — 1.8%
Adobe Systems, Inc.*		43,200		1,627,776
Autodesk, Inc.*		19,700		696,395
BMC Software, Inc.*		13,400		531,444
CA, Inc.		32,364		711,361
Citrix Systems, Inc.*		16,500		1,084,875
Dassault Systemes SA (France)		945		105,658
Electronic Arts, Inc.*(a)		23,700		344,361
Intuit, Inc.		26,800		1,594,600
Microsoft Corp.		678,700		18,141,651
Oracle Corp.		343,000		11,428,760
Red Hat, Inc.*		16,600		879,136
Salesforce.com, Inc.*(a)		12,000		2,017,200
SAP AG (Germany)		2,263		181,975
Symantec Corp.*		61,478		1,156,401
				40,501,593
Specialty Retail — 1.1%
ABC-Mart, Inc. (Japan)		800		34,828
Abercrombie & Fitch Co. (Class A Stock)		8,300		398,151
AutoNation, Inc.*		3,874		153,798
AutoZone, Inc.*		3,150		1,116,454
Bed Bath & Beyond, Inc.*		21,300		1,190,883
Best Buy Co., Inc.(a)		22,025		260,996
CarMax, Inc.*(a)		20,100		754,554
GameStop Corp. (Class A Stock)(a)		13,600		341,224
Gap, Inc. (The)		30,000		931,200
Home Depot, Inc. (The)		134,950		8,346,658
Inditex SA (Spain)		3,086		433,605
Limited Brands, Inc.		20,306		955,600
Lowe’s Cos., Inc.		103,800		3,686,976
O’Reilly Automotive, Inc.*		11,100		992,562
PetSmart, Inc.		9,700		662,898
Ross Stores, Inc.		20,800		1,126,320
Staples, Inc.(a)		56,449		643,519
Tiffany & Co.		11,100		636,474
TJX Cos., Inc.		67,300		2,856,885
Urban Outfitters, Inc.*		11,100		436,896
				25,960,481
Textiles, Apparel & Luxury Goods — 0.3%
Christian Dior SA (France)		168		28,636
Cie Financiere Richemont SA (Switzerland)		4,558		357,783
Coach, Inc.		26,100		1,448,811
Fossil, Inc.*		4,200		391,020
NIKE, Inc. (Class B Stock)		65,800		3,395,280
Ralph Lauren Corp.		5,800		869,536
V.F. Corp.		8,000		1,207,760
				7,698,826
Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		49,900		405,687
People’s United Financial, Inc.		26,300		317,967
				723,654

COMMON STOCKS (continued)	Shares		Value (Note 2)
Tobacco — 0.9%
Altria Group, Inc.		180,600	$	5,674,452
British American Tobacco PLC (United Kingdom)		2,378		120,886
Imperial Tobacco Group PLC (United Kingdom)		3,528		136,787
Japan Tobacco, Inc. (Japan)		14,500		409,616
Lorillard, Inc.		11,947		1,393,856
Philip Morris International, Inc.		150,400		12,579,456
Reynolds American, Inc.(a)		29,000		1,201,470
				21,516,523
Trading Companies & Distributors — 0.2%
Fastenal Co.		25,900		1,209,271
ITOCHU Corp. (Japan)		33,800		357,236
Marubeni Corp. (Japan)		47,000		337,236
Sumitomo Corp. (Japan)		5,600		71,847
Toyota Tsusho Corp. (Japan)		12,700		313,471
W.W. Grainger, Inc.		5,200		1,052,324
Wolseley PLC (United Kingdom)		3,237		154,790
				3,496,175
Transportation Infrastructure
Atlantia SpA (Italy)		1,687		30,634
Wireless Telecommunication Services — 0.2%
Crown Castle International Corp.*		24,700		1,782,352
KDDI Corp. (Japan)		5,300		374,696
MetroPCS Communications, Inc.*		29,500		293,230
Millicom International Cellular SA (Luxembourg)		316		27,429
Softbank Corp. (Japan)		4,600		168,550
Sprint Nextel Corp.*		265,477		1,505,254
Vodafone Group PLC (United Kingdom)		98,338		247,544
				4,399,055
TOTAL COMMON STOCKS (cost $704,381,496)				1,199,558,774
EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund (cost $1,898,429)		34,750		1,974,495
PREFERRED STOCKS — 0.1%
Automobiles
Volkswagen AG (Germany)		821		188,379
Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		20,000		558,000
Media
ProSiebenSat.1 Media AG (Germany)		9,887		281,621
TOTAL PREFERRED STOCKS (cost $937,184)				1,028,000
	Units
RIGHT
Oil, Gas & Consumable Fuels
Repsol SA (Spain)* (cost $0)		1,132		690

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

ASSET-BACKED SECURITIES — 2.5%	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities — 2.1%
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.569%	10/20/19	$	2,163	$	2,107,121
American Express Credit Account Master Trust, Ser. 2012-4, Class C, 144A(b)	AA-(c)		1.009%	05/15/20		2,700		2,700,451
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b)	Aaa		1.911%	05/17/21		500		501,499
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.574%	01/26/20		1,336		1,307,170
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.609%	01/15/16		4,159		4,159,757
Battalion CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A1, 144A(b)	AAA(c)		1.537%	11/15/19		2,000		1,992,654
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.562%	05/25/17		621		614,601
Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, Class A1, 144A(b)	Aaa		0.575%	04/25/19		1,824		1,782,024
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.563%	08/03/19		404		395,834
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(b)	Baa2		0.681%	03/24/17		1,000		992,412
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b)	Baa2		0.611%	02/20/15		1,500		1,499,975
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.569%	07/22/20		640		628,146
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aa1		0.778%	03/15/20		1,000		957,753
GE Capital Credit Card Master Note Trust, Ser. 2011-2, Class B(b)	A2		1.209%	05/15/19		6,825		6,877,805
GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b)	A2		1.059%	06/15/18		4,500		4,523,931
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.600%	12/15/17		230		229,649
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(b)	Aaa		0.700%	07/15/16		7		6,900
Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A, 144A(b)	AAA(c)		1.751%	09/06/22		1,164		1,163,514
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.561%	10/19/20		774		759,030
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.571%	06/01/17		1,376		1,354,299
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.568%	09/15/17		976		959,126
Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A1A, 144A(b)	Aaa		2.003%	05/18/23		1,100		1,103,254
MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(b)	A3		1.109%	11/15/16		1,000		1,003,905
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.558%	03/15/18		254		245,784
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(b)	Aaa		1.791%	11/22/23		1,000		1,001,283
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(b)	AA(c)		2.511%	11/22/23		900		889,730
Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.961%	08/17/22		500		501,391
Sound Point CLO Ltd. (Caymen Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		3.084%	10/20/23		900		915,032
Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b)	Aaa		0.572%	05/27/20		2,097		2,048,281
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		134		134,331
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		1,777		1,776,765
Trimaran CLO Ltd. (Cayma n Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.563%	11/01/18		2,000		1,974,004
								47,107,411
Residential Mortgage-Backed Securities — 0.4%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.860%	03/25/33		427		323,679
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(b)	Ba1		0.960%	03/25/34		3,240		3,045,046
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3(b)	B3		4.853%	07/25/35		375		319,581

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Equity One ABS, Inc., Ser. 2004-3, Class M1(d)	Ba1		5.330%	07/25/34	$	725	$	606,196
Fremont Home Loan Trust, Ser. 2004-2, Class M1(b)	A3		1.065%	07/25/34		506		433,418
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.701%	01/20/35		328		312,412
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.740%	06/25/34		926		792,932
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.410%	05/25/33		222		208,436
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.260%	12/27/33		1,252		1,185,875
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.110%	07/25/32		642		545,513
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.485%	09/25/32		807		726,354
Securitized Asset Backed Receivables LLC, Ser. 2004-OP1, Class M1(b)	Ba3		0.975%	02/25/34		1,238		1,113,195
Securitized Asset Backed Receivables LLC, Ser. 2006-FR3, Class A3(b)	Ca		0.460%	05/25/36		1,372		698,989
								10,311,626
TOTAL ASSET-BACKED SECURITIES (cost $57,416,627)								57,419,037
BANK LOANS(b) — 0.5%
Automotive
Schaeffler AG (Germany)	Ba3		6.000%	01/27/17		600		605,625
Chemicals — 0.1%
Ashland, Inc.	Baa3		2.312%	08/23/16		1,382		1,383,306
Foods — 0.1%
Del Monte Foods Co.	Ba3		4.500%	03/08/18		988		988,345
Gaming
Scientific Games Corp	Ba1		3.215%	06/30/15		421		420,795
Healthcare & Pharmaceutical — 0.2%
Community Health Systems, Inc.	Ba3		2.811%	10/25/16		491		489,414
HCA, Inc.	Ba3		3.462%	05/01/18		370		370,232
HCA, Inc.	Ba3		3.561%	03/31/17		886		887,996
RPI Finance Trust	Baa2		4.000%	11/09/18		907		916,000
Universal Health Services, Inc.	Ba2		2.060%	08/15/16		894		894,375
								3,558,017
Pipelines & Other
Energy Transfer Equity LP	Ba2		3.750%	03/23/17		800		805,375
Technology — 0.1%
First Data Corp.	B1		4.211%	03/26/18		2,055		1,954,708
First Data Corp.	B1		5.211%	03/24/17		156		153,084
Flextronics International Ltd. (Singapore)	Ba1		0.381%	10/01/14		410		409,568
Flextronics International Ltd. (Singapore)	Ba1		2.462%	10/01/14		118		117,692
Sensata Technologies, Inc.	Ba2		3.750%	05/12/18		439		440,642
								3,075,694
TOTAL BANK LOANS (cost $10,829,598)								10,837,157
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,141		1,655,059
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		3.002%	02/25/35		530		512,934
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		2.770%	03/25/35		544		505,376
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	B2		3.038%	02/25/37		1,195		1,191,169
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1(b)	Ba3		5.250%	09/25/19		645		658,934
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.991%	07/25/35		759		762,156
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		169		173,953

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa3		2.775%	02/25/34	$	657	$	662,119
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		415		419,902
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $7,031,532)								6,541,602
COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.0%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		2,981		3,013,504
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		2,000		2,019,194
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.685%	06/10/49		806		805,660
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,400		3,703,419
Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, Class A4(b)	AAA(c)		5.452%	03/11/39		1,200		1,353,955
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(b)	Aaa		5.702%	12/10/49		800		942,529
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.304%	01/15/46		1,000		1,119,976
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%	10/15/48		480		551,684
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(c)		5.440%	09/15/30		426		431,782
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C7, Class A4(b)	AAA(c)		5.748%	06/10/46		4,000		4,542,800
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		1,249		1,255,989
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, Class A2(b)	Aaa		1.765%	10/15/45		2,600		2,670,834
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR5, Class A3(b)	Aaa		2.540%	12/10/45		1,000		999,362
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(c)		5.409%	02/15/39		4,330		4,885,530
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AAA(c)		5.409%	02/15/39		530		586,708
CS First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		900		967,473
CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4	AAA(c)		5.100%	08/15/38		3,000		3,297,474
CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA+(c)		5.223%	08/15/48		1,020		1,156,237
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(c)		5.803%	05/15/46		1,175		1,251,482
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b)	AA+(c)		1.479%	05/25/22		21,456		2,288,460
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b)	AA+(c)		1.516%	06/25/22		5,897		655,604
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b)	AA+(c)		1.755%	08/25/16		6,340		296,794
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b)	AA+(c)		1.785%	05/25/19		16,975		1,618,833
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1(b)	AA+(c)		1.712%	07/25/19		17,495		1,626,217
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(c)		4.697%	05/10/43		2,610		2,789,398
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(b)	Aa2		5.224%	04/10/37		1,400		1,546,836
Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(a)(b)	Aaa		5.867%	07/10/38		1,620		1,860,424
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		2,667		2,752,069
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		985		989,391

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB	Aaa		4.853%	03/15/46	$	1,326	$	1,368,614
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		260		260,844
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,079,820
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		2,486		2,575,397
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%	10/15/42		1,170		1,272,595
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		1,445		1,541,618
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class A4	Aaa		5.475%	04/15/43		2,393		2,703,130
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A2(b)	Aaa		5.797%	06/15/49		1,118		1,153,114
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%	06/15/45		1,800		1,939,511
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		1,500		1,506,745
JPMorgan Chase Commercial Mortgage Securities Corp. I/O, Ser. 2006-LDP6, Class X2(b)	Aaa		0.050%	04/15/43		86,032		7,227
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5	AAA(c)		4.826%	08/15/29		2,007		2,049,607
LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5	Aaa		4.739%	07/15/30		695		752,242
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(c)		5.263%	11/15/40		1,390		1,527,837
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(c)		5.084%	02/15/31		298		298,277
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,780
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4	Aaa		5.661%	03/15/39		1,630		1,849,825
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		1,900		1,947,511
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(b)	AAA(c)		5.684%	05/12/39		3,400		3,900,215
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	AA(c)		5.684%	05/12/39		780		874,761
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	A(c)		5.532%	02/12/39		440		489,258
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		5.893%	06/12/46		2,210		2,545,803
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5, Class A3	Aaa		5.364%	08/12/48		440		454,392
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		2,157		2,215,599
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.420%	03/12/44		1,500		1,677,270
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(c)		5.691%	10/15/42		2,600		2,935,127
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		4,080		4,694,656
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		3,697		3,876,545
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(c)		5.651%	06/11/42		970		1,000,663
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	AAA(c)		2.792%	12/10/45		1,400		1,415,729
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4	Aaa		5.418%	01/15/45		1,255		1,398,486
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.736%	05/15/43		3,688		4,207,961
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		3,800		4,390,463
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		5.921%	02/15/51		2,900		3,402,341
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $105,908,027)								115,347,581

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS — 11.4%	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Aerospace & Defense — 0.1%
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		6.300%	05/01/14	$	900	$	939,375
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		475		529,452
								1,468,827
Airlines — 0.2%
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 1998-1, Class A	Baa2		6.648%	09/15/17		185		198,069
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2001-1 Class A-1(e)	Baa2		6.703%	06/15/21		127		137,723
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2009-2, Class A	Baa2		7.250%	11/10/19		636		734,026
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2010-A(a)	Baa2		4.750%	01/12/21		701		762,819
Continental Airlines , Inc. Pass-Through Certificates, Pass-thru Certs., Ser. 2012-2, Class A	Baa2		4.000%	10/29/24		405		426,263
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa2		6.821%	08/10/22		355		396,081
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2011-1, Class A(a)	Baa2		5.300%	04/15/19		986		1,087,481
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2A	Baa2		4.950%	05/23/19		604		658,562
								4,401,024
Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		3.984%	06/15/16		430		456,585
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16		1,440		1,535,927
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%	03/15/17		380		392,739
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		495		540,583
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		235		265,267
								3,191,101
Banking — 2.7%
American Express Co., Sr. Unsec’d. Notes, 144A	A3		2.650%	12/02/22		2,300		2,290,841
American Express Credit Corp., Sr. Unsec’d. Notes, MTN(f)	A2		2.800%	09/19/16		1,210		1,280,234
Banco Bradesco SA (Brazil), Sub. Notes(a)	Baa1		8.750%	10/24/13		1,690		1,778,725
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		530		543,324
Bangkok Bank PCL/Hong Kong (Thailand), Sr. Unsec’d. Notes, 144A	A3		2.750%	03/27/18		1,515		1,532,250
Bank of America Corp., Jr. Sub. Notes, Ser. K(b)	B1		8.000%	12/29/49		2,100		2,322,768
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%	04/01/15		185		197,196
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,290		1,551,288
Bank of America Corp., Sr. Unsec’d. Notes(f)	Baa2		6.000%	09/01/17		1,330		1,557,450
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		790		844,452
Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN	Baa2		5.650%	05/01/18		105		122,162
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		850		956,003
Bank of America NA, Sub. Notes	Baa1		6.000%	10/15/36		805		986,348
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		5.300%	10/30/15		550		609,506
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		6.400%	10/02/17		270		324,269
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		7.250%	02/01/18		1,135		1,422,204
Capital One Bank Corp., Sub. Notes	Baa1		6.500%	06/13/13		10		10,261
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%	05/15/40		1,130		1,130,000
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%	01/14/22		2,125		2,370,871
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		745		892,816
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%	03/05/38		320		421,266
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39		850		1,272,548
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,195		1,606,841
Citigroup, Inc., Sub. Notes	Baa3		6.125%	08/25/36		725		790,161
DEPFA ACS Bank (Ireland), Covered Notes, 144A	A3		5.125%	03/16/37		1,325		1,034,420
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		485		602,223
Goldman Sachs Group, Inc. (The), Sr. Notes	A3		6.250%	02/01/41		220		269,923

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.250%	07/27/21	$	2,305	$	2,627,645
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	A3		5.750%	01/24/22		1,250		1,477,765
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		700		831,748
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%	01/15/17		765		839,340
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.450%	05/01/36		1,020		1,118,772
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		113		128,066
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		4.875%	01/14/22		1,730		2,007,783
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21		920		1,086,411
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		150		183,519
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b)	Ba1		7.900%	04/29/49		2,000		2,266,020
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		1,935		2,050,036
JPMorgan Chase & Co., Sr. Unsec’d. Notes(a)	A2		4.250%	10/15/20		2,360		2,624,620
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN(f)	A2		5.800%	01/13/20		1,770		2,071,401
Morgan Stanley, Notes, Ser. G, MTN	Baa1		6.625%	04/01/18		100		117,858
Morgan Stanley, Sr. Unsec’d. Notes(a)	Baa1		6.375%	07/24/42		640		750,275
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,110		2,386,368
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		495		560,540
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		2,530		2,799,650
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		635		720,962
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b)	Ba1		6.346%	07/29/49		800		882,156
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,195		1,201,215
PNC Funding Corp., Gtd. Notes	A3		2.700%	09/19/16		925		977,286
PNC Funding Corp., Gtd. Notes(a)	A3		6.700%	06/10/19		390		497,575
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,775		2,097,411
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A3		3.400%	08/23/13		95		96,410
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	09/24/15		780		794,304
US Bancorp, Sub. Notes, MTN	A2		2.950%	07/15/22		915		924,357
								62,839,843
Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	02/06/12		1,850		432,438
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g)	NR		6.875%	05/02/18		700		168,000
								600,438
Building Materials & Construction
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		500		542,500
Cable — 0.4%
Cablevision Systems Corp., Sr. Unsec’d. Notes(a)	B1		8.625%	09/15/17		900		1,049,625
Comcast Cable Holdings LLC, Gtd. Notes	Baa1		9.875%	06/15/22		1,440		2,069,716
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		310		396,093
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		290		393,259
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		605		640,941
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		173,573
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		1,755		1,873,848
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,020		1,031,662
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		373,826
								8,002,543
Capital Goods — 0.4%
Actuant Corp., Gtd. Notes	Ba2		5.625%	06/15/22		1,040		1,076,400
Case New Holland, Inc., Gtd. Notes(a)	Ba2		7.875%	12/01/17		1,100		1,300,750
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		635		649,000
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(e)(h)	Baa1		6.375%	10/15/17		1,198		1,448,937
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(e)(h)	Baa1		7.000%	10/15/37		390		495,233
General Electric Co., Sr. Unsec’d. Notes	Aa3		4.125%	10/09/42		455		468,035

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17	$	320	$	377,328
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $319,875; purchased 07/10/12)(e)(h)	Baa3		2.500%	07/11/14		320		323,343
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $419,593; purchased 05/08/12)(e)(h)	Baa3		3.125%	05/11/15		420		428,543
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		1,540		1,711,188
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,060		1,203,446
								9,482,203
Chemicals — 0.2%
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		7.600%	05/15/14		686		748,962
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		35		57,625
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		780		814,449
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(a)	Baa3		5.000%	04/15/19		800		884,000
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		900		1,006,629
Union Carbide Corp., Sr. Unsec’d. Notes	Baa2		7.500%	06/01/25		500		622,655
								4,134,320
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,600		1,863,622
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		998		1,057,880
								2,921,502
Electric — 0.7%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		170		199,544
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		530		703,618
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		1,070		1,081,433
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		300		425,797
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		145		179,976
Duke Energy Carolinas LLC, First Mtge. Bonds(f)(i)	A1		6.050%	04/15/38		530		694,300
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		845		1,053,673
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,160		1,356,882
ENEL Finance International NV (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		1,260		1,220,117
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		195		212,263
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,375		1,598,934
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		380		494,952
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		470		563,826
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		140		150,188
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		575		616,278
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		325		401,279
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa1		6.500%	05/15/18		1,210		1,509,059
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		545		636,476
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		605		687,190
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa2		6.375%	01/15/15		465		513,182
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		135		164,035
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		515		667,438
Southern California Edison Co., Ser. 04-F	A1		4.650%	04/01/15		610		664,832
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		4.800%	09/15/41		480		538,627
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		263		307,716
								16,641,615
Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		480		553,181
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		960		998,983
								1,552,164

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17	$	1,070	$	1,278,110
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		305		382,094
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		225		284,359
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		900		962,832
Nabors Industries, Inc., Gtd. Notes(a)	Baa2		4.625%	09/15/21		890		957,854
Phillips 66, Gtd. Notes, 144A	Baa1		2.950%	05/01/17		415		439,832
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,450		1,764,050
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		755		762,943
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		685		754,863
Weatherford International Ltd. (Bermuda), Gtd. Notes	Baa2		6.500%	08/01/36		25		27,839
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,660		1,714,948
								9,329,724
Foods — 0.5%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		2.500%	07/15/22		1,030		1,036,448
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39		1,160		1,878,041
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		230		377,723
ARAMARK Corp., Gtd. Notes(a)	B3		8.500%	02/01/15		650		653,256
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		708		763,166
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,000		1,052,266
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		860		1,106,558
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $646,913; purchased 11/19/07)(e)(h)	A2		6.000%	11/27/17		650		782,014
Constellation Brands, Inc., Gtd. Notes	Ba1		4.625%	03/01/23		1,000		1,045,000
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		460		522,160
Kraft Foods Group, Inc., Gtd. Notes, 144A	Baa2		5.000%	06/04/42		575		646,587
TreeHouse Foods, Inc., Gtd. Notes	Ba2		7.750%	03/01/18		1,200		1,302,000
Tyson Foods, Inc., Gtd. Notes(b)	Baa3		6.600%	04/01/16		785		899,567
								12,064,786
Healthcare & Pharmaceutical — 0.5%
AbbVie, Inc., Gtd. Notes, 144A	Baa1		4.400%	11/06/42		605		643,196
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,365		1,536,124
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		995		1,173,133
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,060		2,125,086
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes	A1		6.450%	09/15/37		480		650,084
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)	Ba3		5.125%	08/15/18		900		938,250
Genentech, Inc., Sr. Unsec’d. Notes	AA(c)		4.750%	07/15/15		270		297,761
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		470		583,878
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)	Baa2		3.750%	08/23/22		150		159,070
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		560		631,590
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		205		267,225
Mylan, Inc., Gtd. Notes, 144A(a)	Baa3		7.625%	07/15/17		900		1,011,482
Valeant Pharmaceuticals International, Gtd. Notes, 144A(a)	B1		6.500%	07/15/16		850		893,563
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		460		478,921
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a)	Baa3		6.125%	08/15/19		440		535,621
								11,924,984
Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		480		646,076
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		540		655,547
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		640		780,228
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,200		1,310,958
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		115		137,931
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		400		526,910
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		410		542,239
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		330		340,829
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.650%	01/15/43		775		807,640

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance (continued)
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		5.000%	12/15/14	$	1,085	$	1,171,869
								6,920,227
Insurance — 0.9%
Allied World Assurance Co. Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		480		532,054
Allstate Corp. (The), Sr. Unsec’d. Notes(a)	A3		5.200%	01/15/42		115		136,487
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		655		662,956
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		910		1,129,126
American International Group, Inc., Sr. Unsec’d. Notes(a)	Baa1		8.250%	08/15/18		900		1,182,497
Axis Specialty Finance LLC, Gtd. Notes(a)	Baa1		5.875%	06/01/20		990		1,123,891
Chubb Corp. (The), Jr. Sub. Notes(a)(b)	A3		6.375%	03/29/67		1,260		1,373,400
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a)	Baa3		5.125%	04/15/22		635		732,695
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		910		1,057,610
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		215		241,883
Lincoln National Corp., Jr. Sub. Notes(b)	Ba1		6.050%	04/20/67		250		249,062
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		476		569,097
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		660		859,020
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		505		675,334
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		960		1,172,112
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		85		110,910
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		270		319,773
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		650		899,090
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b)	A2		5.000%	10/18/42		610		644,333
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A	Aa2		6.063%	03/30/40		350		446,843
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		640		728,849
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		870		1,216,609
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		105		106,716
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		715		772,200
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,430		1,939,473
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		315		359,913
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		705		765,053
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		575		655,318
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		110		117,132
								20,779,436
Lodging — 0.3%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		800		924,000
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	03/01/19		490		504,310
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		805		805,238
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Baa2		6.750%	05/15/18		2,700		3,282,539
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		890		918,940
								6,435,027
Media & Entertainment — 0.4%
Belo Corp., Gtd. Notes	Ba1		8.000%	11/15/16		1,000		1,088,750
CBS Corp., Gtd. Notes(e)	Baa2		4.850%	07/01/42		340		353,869
Globo Comunicacao e Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(d)	Baa2		5.307%	05/11/22		500		545,000
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		250		306,816
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		475		601,627
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		35		45,824
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,265		1,630,553
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		1,100		1,210,000
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		175		214,307
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		495		611,180
Time Warner, Inc., Gtd. Notes(a)	Baa2		7.250%	10/15/17		745		935,479
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		155		213,386
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		625		922,952

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43	$	593	$	583,338
								9,263,081
Metals — 0.3%
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		125		150,543
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		1,275		1,354,688
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(c)		4.500%	05/15/13		255		258,320
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		370		475,001
Teck Resources Ltd. (Canada), Gtd. Notes	Baa2		5.200%	03/01/42		585		597,916
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		1.800%	10/23/15		905		909,914
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.450%	10/25/17		1,000		1,009,694
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		995		1,021,268
								5,777,344
Non-Captive Finance — 0.5%
Discover Financial Services, Sr. Unsec’d. Notes, 144A	Ba1		3.850%	11/21/22		900		928,687
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		970		1,170,064
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(f)(i)	A1		6.000%	08/07/19		3,010		3,661,855
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.875%	01/10/39		730		992,288
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		230		242,440
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	Ba3		6.375%	03/25/13		1,750		1,768,375
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		365		396,938
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,000		1,142,500
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,025		1,199,250
								11,502,397
Paper — 0.2%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(e)(h)	Baa2		5.400%	11/01/20		275		327,149
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		1,270		1,503,846
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		615		795,088
Rock-Tenn Co., Gtd. Notes, 144A	Ba1		4.000%	03/01/23		360		365,721
Rock-Tenn Co., Unsec’d. Notes, 144A(a)	Ba1		4.900%	03/01/22		675		729,463
								3,721,267
Pipelines & Other — 0.3%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		610		670,226
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		500		587,549
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		130		161,199
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		80		80,361
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		3,310		4,030,319
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		205		206,303
								5,735,957
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		735		904,913
CSX Corp., Sr. Unsec’d. Notes	Baa2		6.150%	05/01/37		690		872,330
Norfolk Southern Corp., Sr. Unsec’d. Notes, 144A	Baa1		2.903%	02/15/23		590		593,891
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		120		147,367
								2,518,501
Real Estate Investment Trusts — 0.2%
HCP, Inc., Sr. Unsec’d. Notes	Baa1		2.700%	02/01/14		670		682,024
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		685		848,914
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		68		82,317
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		235		247,969
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		3.375%	03/15/22		190		200,662
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		6.125%	05/30/18		2,925		3,562,978
								5,624,864

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers — 0.3%
CVS Caremark Corp., Sr. Unsec’d. Notes(a)	Baa2		5.750%	05/15/41	$	960	$	1,195,257
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		335		428,719
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		345		440,665
Ltd. Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		800		870,000
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		300		319,761
Macy’s Retail Holdings, Inc., Gtd. Notes	Baa3		5.875%	01/15/13		2,000		2,003,530
Nordstrom, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.000%	10/15/21		220		245,288
Target Corp., Sr. Unsec’d. Notes(a)	A2		4.000%	07/01/42		960		986,284
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		650		851,225
								7,340,729
Technology — 0.3%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		370		383,902
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		2,030		2,132,458
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		1,225		1,318,406
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		900		958,500
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,650		2,786,976
								7,580,242
Telecommunications — 0.6%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		560		736,761
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		18		27,240
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		1,378		1,604,747
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,115		1,465,236
AT&T, Inc., Sr. Unsec’d. Notes, 144A	A2		4.300%	12/15/42		830		833,613
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		350		556,037
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		1,830		2,517,531
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(e)(h)	Baa3		7.082%	06/01/16		325		380,764
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,667,844; purchased 05/12/06-04/10/07)(e)(h)	Baa3		7.995%	06/01/36		1,645		1,816,937
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		880		963,151
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		170		174,675
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		475		495,900
Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A(a)	BBB(c)		3.875%	10/12/22		345		344,400
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.400%	02/15/38		55		74,463
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		700		726,250
								12,717,705
Tobacco — 0.3%
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		3,040		4,255,781
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		130		214,167
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		850		1,421,903
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		290		370,048
Reynolds American, Inc., Gtd. Notes	Baa2		7.250%	06/15/37		285		373,730
								6,635,629
TOTAL CORPORATE BONDS (cost $234,585,641)								261,649,980
MORTGAGE-BACKED SECURITIES — 11.5%
Federal Home Loan Mortgage Corp.(b)			2.615%	12/01/35		729		770,811
Federal Home Loan Mortgage Corp.(b)			2.634%	06/01/36		429		455,264
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		1,500		1,575,000
Federal Home Loan Mortgage Corp.			3.500%	TBA 30 YR		2,000		2,126,719

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

MORTGAGE-BACKED SECURITIES (continued)		Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40	$	8,055	$	8,599,960
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		19,848		21,441,074
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-05/01/39		8,850		9,556,745
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		8,997		9,742,219
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-08/01/39		2,839		3,117,988
Federal Home Loan Mortgage Corp.			6.500%	12/01/14-09/01/16		49		50,260
Federal Home Loan Mortgage Corp.			7.000%	05/01/31-10/01/31		474		559,258
Federal National Mortgage Association(b)			2.290%	07/01/33		554		585,315
Federal National Mortgage Association(b)			2.308%	06/01/37		75		78,813
Federal National Mortgage Association(b)			2.460%	07/01/37		708		743,969
Federal National Mortgage Association			2.500%	TBA 15 YR		9,000		9,410,625
Federal National Mortgage Association			3.000%	TBA 15 YR		4,000		4,221,875
Federal National Mortgage Association			3.500%	06/01/39-09/01/42		7,014		7,505,757
Federal National Mortgage Association			3.500%	TBA 15 YR		2,000		2,121,562
Federal National Mortgage Association			3.500%	TBA 30 YR		7,500		7,981,933
Federal National Mortgage Association			3.500%	TBA 30 YR		27,000		28,785,586
Federal National Mortgage Association			4.000%	TBA 30 YR		2,500		2,679,687
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		14,608		16,098,923
Federal National Mortgage Association			5.000%	10/01/18-05/01/36		6,190		6,735,018
Federal National Mortgage Association			5.000%	TBA 30 YR		7,000		7,581,875
Federal National Mortgage Association			5.500%	03/01/16-04/01/37		11,281		12,396,772
Federal National Mortgage Association			6.000%	04/01/13-06/01/38		11,456		12,767,417
Federal National Mortgage Association			6.500%	07/01/17-01/01/37		4,611		5,193,529
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		402		471,243
Federal National Mortgage Association			7.500%	05/01/32		96		117,447
Government National Mortgage Association			3.000%	TBA 30 YR		2,500		2,657,813
Government National Mortgage Association			3.000%	TBA 30 YR		4,000		4,251,875
Government National Mortgage Association			3.500%	TBA 30 YR		500		542,383
Government National Mortgage Association			3.500%	TBA 30 YR		5,500		5,975,664
Government National Mortgage Association			4.000%	06/15/40-05/20/41		2,156		2,378,151
Government National Mortgage Association			4.000%	TBA 30 YR		6,000		6,580,313
Government National Mortgage Association			4.000%	TBA 30 YR		19,500		21,233,673
Government National Mortgage Association			4.500%	01/20/41-02/20/41		6,569		7,246,565
Government National Mortgage Association			4.500%	TBA 30 YR		11,750		12,864,415
Government National Mortgage Association			5.000%	TBA 30 YR		6,500		7,108,359
Government National Mortgage Association			5.500%	08/15/33-04/15/36		4,259		4,761,775
Government National Mortgage Association			6.000%	11/15/23-07/15/34		1,443		1,635,240
Government National Mortgage Association			6.500%	10/15/23-09/15/36		2,680		3,095,764
Government National Mortgage Association			8.000%	01/15/24-07/15/24		45		53,193
TOTAL MORTGAGE-BACKED SECURITIES (cost $255,726,281)								263,857,827
MUNICIPAL BONDS — 0.6%	Moody’s Ratings§† (Unaudited)
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,305		1,787,667
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		970		1,255,636
Colorado State Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		625		848,694
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		945		1,136,882
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,000		1,465,170
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,100		1,378,773
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		415		483,156
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		275		317,070

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

MUNICIPAL BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34	$	425	$	551,110
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		505		599,076
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		1,250		1,732,162
State of California, General Obligation Unlimited, BABs	A1		7.500%	04/01/34		350		485,485
State of California, General Obligation Unlimited, BABs	A1		7.550%	04/01/39		245		351,570
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		205		294,398
State of Illinois, General Obligation Bonds, Taxable Series	A2		4.421%	01/01/15		630		667,920
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		305		369,224
TOTAL MUNICIPAL BONDS (cost $10,726,811)								13,723,993
NON-CORPORATE FOREIGN AGENCIES — 0.9%
Commonwealth Bank of Australia (Australia), Gov’t Gtd. Notes, 144A	Aaa		2.700%	11/25/14		7,220		7,521,363
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		4.000%	01/29/21		460		494,598
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		5.125%	06/29/20		365		419,421
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		800		856,294
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes	Aaa		2.375%	08/25/21		730		760,514
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN	Baa1		4.750%	03/08/44		846		955,980
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		437,500
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		1,260		1,418,533
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		5.500%	01/21/21		2,240		2,617,440
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		285		340,575
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,100		2,325,750
Russian Foreign Bond-Eurobond (Russia), Sr. Unsec’d. Notes, 144A	Baa1		3.250%	04/04/17		2,200		2,337,500
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $19,359,392)								20,485,468
NON-CORPORATE SOVEREIGNS — 0.1%
Italy Government International Bond (Italy)(a)	NR		3.125%	01/26/15		300		304,674
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23		1,695		1,690,763
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, Ser. E, MTN	Baa3		3.625%	06/17/13		1,100		1,099,967
TOTAL NON-CORPORATE SOVEREIGNS (cost $3,076,869)								3,095,404
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Federal Home Loan Banks			5.500%	07/15/36		950		1,307,132
Federal Home Loan Mortgage Corp.			0.750%	01/12/18		455		451,918
Federal Home Loan Mortgage Corp.			1.250%	10/02/19		215		214,371
Resolution Funding Corp. Interest Strip, Bonds(j)			1.170%	04/15/18		2,645		2,488,873
Tennessee Valley Authority			5.880%	04/01/36		85		118,101
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $3,999,438)								4,580,395
U.S. GOVERNMENT TREASURY OBLIGATIONS — 7.0%
U.S. Treasury Bonds			2.750%	08/15/42		1,700		1,641,562
U.S. Treasury Bonds(a)			2.750%	11/15/42		5,350		5,154,393

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

U.S. GOVERNMENT TREASURY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
U.S. Treasury Inflation Indexed Notes		1.375%	01/15/20		$	9,226	$	10,936,712
U.S. Treasury Notes		0.250%	11/30/14			14,855		14,855,579
U.S. Treasury Notes		0.625%	11/30/17			1,155		1,151,120
U.S. Treasury Notes		0.750%	12/31/17			30,195		30,244,550
U.S. Treasury Notes		1.125%	12/31/19			5		4,986
U.S. Treasury Notes(a)		1.625%	11/15/22			1,980		1,958,343
U.S. Treasury Notes		2.375%	02/28/15			1,140		1,191,300
U.S. Treasury Notes		3.125%	04/30/17			5,890		6,526,856
U.S. Treasury Notes		3.500%	02/15/18			15,000		17,080,080
U.S. Treasury Notes		4.250%	11/15/17			6,475		7,581,824
U.S. Treasury Notes		4.500%	11/15/15			12,950		14,479,719
U.S. Treasury Strips Coupon(j)		2.140%	05/15/24			16,380		12,857,563
U.S. Treasury Strips Coupon(j)		2.180%	08/15/24			11,695		9,086,278
U.S. Treasury Strips Coupon(j)		2.610%	05/15/25			6,000		4,518,084
U.S. Treasury Strips Coupon(j)		3.020%	05/15/27			2,280		1,582,502
U.S. Treasury Strips Coupon(j)		3.070%	08/15/27			7,495		5,147,596
U.S. Treasury Strips Coupon(j)		3.120%	11/15/27			8,600		5,846,762
U.S. Treasury Strips Coupon(j)		3.350%	05/15/29			3,685		2,367,001
U.S. Treasury Strips Coupon(a)(j)		3.910%	08/15/33			8,260		4,541,249
U.S. Treasury Strips Principal(k)		0.300%	11/15/15			1,190		1,179,696
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $150,564,522)								159,933,755
TOTAL LONG-TERM INVESTMENTS (cost $1,566,441,847)								2,120,034,158
SHORT-TERM INVESTMENTS — 17.5%
U.S. GOVERNMENT TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill (cost $2,009,779)(i)(l)		0.050%	03/21/13			2,010		2,009,847
					Shares
AFFILIATED MUTUAL FUNDS — 17.4%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $126,614,815) (Note 4)(m)						13,078,122		120,711,062
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $277,677,533; includes $110,365,428 of cash collateral received for securities on loan) (Note 4)(m)(n)						277,677,533		277,677,533
TOTAL AFFILIATED MUTUAL FUNDS (cost $404,292,348)								398,388,595
TOTAL SHORT-TERM INVESTMENTS (cost $406,302,127)								400,398,442
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 110.20% (cost $1,972,743,974)								2,520,432,600
					Principal Amount (000)#
SECURITY SOLD SHORT — (0.2)%
MORTGAGE-BACKED SECURITY
Federal National Mortgage Association (proceeds received $4,313,125)		4.500%	TBA 30 YR		$	4,000		(4,320,781	)
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 110.0% (cost $1,968,430,849)								2,516,111,819
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (10.0)%								(229,083,355	)
NET ASSETS — 100.0%							$	2,287,028,464

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ABS	Asset-Backed Security
ADR	American Depositary Receipt
BABs	Build America Bonds
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
FHLMC	Federal Home Loan Mortgage Corp.
I/O	Interest Only
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
REIT	Real Estate Investment Trust
TBA	To Be Announced

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

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

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $108,695,059; cash collateral of $110,365,428 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(c) Standard & Poor’s Rating.

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

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

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

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

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

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

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

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

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

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

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

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

Open futures contracts outstanding at December 31, 2012:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
186	2 Year U.S. Treasury Notes		Mar. 2013	$	40,996,619	$	41,007,188	$	10,569
293	5 Year U.S. Treasury Notes		Mar. 2013		36,395,493		36,453,320		57,827
317	10 Year U.S. Treasury Notes		Mar. 2013		42,149,921		42,091,656		(58,265	)
54	S&P 500 E-mini		Mar. 2013		3,891,764		3,834,270		(57,494	)
98	S&P 500 Index		Mar. 2013		35,085,003		34,792,450		(292,553	)
28	U.S. Ultra Bond		Mar. 2013		4,571,691		4,552,625		(19,066	)
									(358,982	)
Short Position:
141	U.S. Long Bond		Mar. 2013		21,121,483		20,797,500		323,983
								$	(34,999	)

SEE NOTES TO FINANCIAL STATEMENTS.

A24

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Interest rate swap agreements outstanding at December 31, 2012:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-Counter Swap Agreements:
$	20,110		08/31/16		0.934%	3 month LIBOR(1)	$	316,966		$	—	$	316,966		Credit Suisse International
	6,255		08/31/16		0.975%	3 month LIBOR(2)		(108,745	)		—		(108,745	)	JPMorgan Chase Bank
	6,255		08/31/16		0.978%	3 month LIBOR(2)		(109,616	)		—		(109,616	)	JPMorgan Chase Bank
	1,900		09/14/16		1.206%	3 month LIBOR(2)		(49,778	)		—		(49,778	)	Deutsche Bank AG
	30,590		11/30/16		0.945%	3 month LIBOR(2)		(398,892	)		—		(398,892	)	Citibank, NA
	19,045		11/30/16		0.913%	3 month LIBOR(2)		(223,831	)		—		(223,831	)	JPMorgan Chase Bank
	11,150		02/28/17		0.680%	3 month LIBOR(1)		5,454			—		5,454		Citibank, NA
	215		10/02/19		1.189%	3 month LIBOR(2)		144			—		144		Bank of Nova Scotia
	1,940		01/13/22		1.660%	3 month LIBOR(2)		(10,067	)		—		(10,067	)	Citibank, NA
	1,940		01/13/22		1.676%	3 month LIBOR(1)		9,235			—		9,235		Citibank, NA
	7,095		08/15/28		2.370%	3 month LIBOR(2)		14,109			—		14,109		Citibank, NA
							$	(555,021	)	$	—	$	(555,021	)

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

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

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

Credit default swap agreements outstanding at December 31, 2012:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(2)		Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-Counter Credit Default Swaps on Corporate Issues - Buy Protection(1):
Bunge Ltd. Finance Corp.		6/20/14		0.650%	$	1,110	$	1,874		$	—	$	1,874		JPMorgan Chase Bank
Newell Rubbermaid, Inc.		6/20/18		1.000%		1,600		(9,426	)		—		(9,426	)	Morgan Stanley Capital Services, Inc.
Simon Property Group LP		6/20/18		0.970%		2,700		763			—		763		Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		6/20/18		1.150%		2,800		3,686			—		3,686		Deutsche Bank AG
							$	(3,103	)	$	—	$	(3,103	)

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

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

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

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

Level 1—quoted prices generally in active markets for identical securities.

Level 2—other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

	Level 1			Level 2			Level 3
Investments in Securities
Common Stocks	$	1,145,108,386		$	54,450,388		$	—
Exchange Traded Fund		1,974,495			—			—
Preferred Stocks		558,000			470,000			—
Right		690			—			—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—			47,107,411			—
Residential Mortgage-Backed Securities		—			10,311,626			—
Bank Loans		—			10,837,157			—
Collateralized Mortgage Obligations		—			6,541,602			—
Commercial Mortgage-Backed Securities		—			115,347,581			—
Corporate Bonds		—			257,248,956			4,401,024
Mortgage-Backed Securities		—			263,857,827			—
Municipal Bonds		—			13,723,993			—
Non-Corporate Foreign Agencies		—			20,485,468			—
Non-Corporate Sovereigns		—			3,095,404			—
U.S. Government Agency Obligations		—			4,580,395			—
U.S. Government Treasury Obligations		—			161,943,602			—
Affiliated Mutual Funds		398,388,595			—			—
Mortgage-Backed Security Sold Short		—			(4,320,781	)		—
Other Financial Instruments*
Futures Contracts		(34,999	)		—			—
Interest Rate Swap Agreements		—			(555,021	)		—
Credit Default Swap Agreements		—			(3,103	)		—
Total	$	1,545,995,167		$	965,122,505		$	4,401,024

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A26

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

U.S. Government Agency Obligations	0.2	%
Wireless Telecommunication Services	0.2
Automotive	0.1
Construction & Engineering	0.1
Consumer	0.1
Containers & Packaging	0.1
Energy – Integrated	0.1
Exchange Traded Fund	0.1
Gas Utilities	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Non-Corporate Sovereigns	0.1
Paper & Forest Products	0.1
Personal Products	0.1
Professional Services	0.1
Railroads	0.1
Real Estate Management & Development	0.1
	110.2
Mortgage-Backed Security Sold Short	(0.2	)
Liabilities in excess of other assets	(10.0	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Unrealized appreciation on swap agreements	$	6,323		Unrealized depreciation on swap agreements	$	9,426
Equity contracts	—		—		Due from broker — variation margin		350,047	*
Equity contracts	Unaffiliated investments		690		—		—
Interest rate contracts	Unrealized appreciation on swap agreements		345,908		Unrealized depreciation on swap agreements		900,929
Interest rate contracts	Due from broker — variation margin		392,379	*	Due from broker — variation margin		77,331	*
Total		$	745,300			$	1,337,733

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Warrants		Options Purchased		Options Written			Futures			Swaps			Total
Credit contracts	$	—	$	—	$	—	$	—		$	—		$	(433,162	)	$	(433,162	)
Equity contracts		23,682		56,192		—		—			8,038,834			—			8,118,708
Interest rate contracts		—		—		263,443		(223,837	)		(2,425,919	)		192,016			(2,194,297	)
Total	$	23,682	$	56,192	$	263,443	$	(223,837	)	$	5,612,915		$	(241,146	)	$	5,491,249

SEE NOTES TO FINANCIAL STATEMENTS.

A27

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Futures			Swaps			Total
Credit contracts	$	—	$	—		$	(16,435	)	$	(16,435	)
Equity contracts		690		(1,501,878	)		—			(1,501,188	)
Interest rate contracts		—		494,738			(1,052,281	)		(557,543	)
Total	$	690	$	(1,007,140	)	$	(1,068,716	)	$	(2,075,166	)

For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities is as follows:

Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$173,378,093	$29,384,047

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

SEE NOTES TO FINANCIAL STATEMENTS.

A28

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $108,695,059:
Unaffiliated investments (cost $1,568,451,626)	$	2,122,044,005
Affiliated investments (cost $404,292,348)		398,388,595
Cash		54,658
Foreign currency, at value (cost $96,358)		96,714
Receivable for investments sold		40,069,253
Dividends and interest receivable		6,955,353
Due from broker—variation margin		1,034,074
Unrealized appreciation on swap agreements		352,231
Foreign tax reclaim receivable		39,952
Receivable for Series shares sold		36,595
Prepaid expenses		15,638
Total Assets		2,569,087,068
LIABILITIES
Payable for investments purchased		164,835,355
Collateral for securities on loan		110,365,428
Securities sold short, at value (proceeds received $4,313,125)		4,320,781
Management fee payable		1,065,563
Unrealized depreciation on swap agreements		910,355
Accrued expenses and other liabilities		283,107
Payable for Series shares repurchased		277,089
Affiliated transfer agent fee payable		926
Total Liabilities		282,058,604
NET ASSETS	$	2,287,028,464
Net assets were comprised of:
Paid-in capital	$	1,720,561,549
Retained earnings		566,466,915
Net assets, December 31, 2012	$	2,287,028,464
Net asset value and redemption price per share, $2,287,028,464 / 128,683,063 outstanding shares of beneficial interest	$	17.77

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Interest income	$	31,140,711
Unaffiliated dividend income (net of foreign withholding taxes of $68,569)		27,892,524
Affiliated dividend income		2,116,477
Affiliated income from securities loaned, net		270,061
		61,419,773
EXPENSES
Management fee		12,545,383
Custodian’s fees and expenses		352,000
Shareholders’ reports		252,000
Audit fee		37,000
Trustees’ fees		34,000
Insurance expenses		23,000
Legal fees and expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		44,753
Total expenses		13,319,136
NET INVESTMENT INCOME		48,100,637
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		35,648,754
Futures transactions		5,612,915
Swap agreement transactions		(241,146	)
Foreign currency transactions		(20,061	)
Options written transactions		(223,837	)
		40,776,625
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $4,810,793)		154,562,704
Securities sold short		(7,656	)
Futures		(1,007,140	)
Swap agreements		(1,068,716	)
Foreign currencies		1,489
		152,480,681
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		193,257,306
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	241,357,943

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	48,100,637		$	47,217,513
Net realized gain on investment and foreign currency transactions		40,776,625			49,113,195
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		152,480,681			4,696,647
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		241,357,943			101,027,355
DISTRIBUTIONS		(47,221,872	)		(50,030,858	)
SERIES SHARE TRANSACTIONS:
Series shares sold [580,731 and 648,345 shares, respectively]		10,042,436			10,475,022
Series shares issued in reinvestment of distributions [2,817,534 and 3,117,187 shares, respectively]		47,221,872			50,030,858
Series shares repurchased [8,997,150 and 9,540,307 shares, respectively]		(155,986,711	)		(154,546,244	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(98,722,403	)		(94,040,364	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		95,413,668			(43,043,867	)
NET ASSETS:
Beginning of year		2,191,614,796			2,234,658,663
End of year	$	2,287,028,464		$	2,191,614,796

SEE NOTES TO FINANCIAL STATEMENTS.

A29

	DIVERSIFIED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 87.9% ASSET-BACKED SECURITIES — 10.8%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities — 5.5%
Apidos CDO (Cayman Islands), Ser. 2011-8A, Class A1, 144A(a)	Aaa		1.830%	10/17/21	$	4,000	$	4,010,676
ARES CLO Funds (Cayman Islands), 144A Ser. 2004-8A, Class A1A(a)	Aaa		0.742%	02/26/16		41		40,657
Ser. 2005-10A, Class A2(a)	Aaa		0.548%	09/18/17		107		106,855
Ser. 2005-10A, Class A3(a)	Aaa		0.548%	09/18/17		91		90,876
BA Credit Card Trust, Ser. 2006-C5, Class C5(a)	A3		0.609%	01/15/16		5,750		5,751,046
Bank One Issuance Trust, Ser. 2004-C2, Class C2(a)	Baa2		1.009%	02/15/17		2,100		2,104,439
Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.579%	06/20/17		1,726		1,701,172
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.562%	05/25/17		310		307,301
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.563%	08/03/19		4,036		3,958,335
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(a)	Baa2		0.681%	03/24/17		2,320		2,302,396
Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, Class A1A, 144A(a)(b)	Aaa		0.529%	04/20/19		1,485		1,463,892
Four Corners CLO (Cayman Islands), 144A Ser. 2005-1A, Class A3(a)	Aaa		0.610%	03/26/17		499		493,427
Ser. 2006-3A, Class A(a)	Aaa		0.569%	07/22/20		1,599		1,570,365
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(a)	Aa1		0.778%	03/15/20		1,500		1,436,630
GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a)	B1		1.209%	05/15/34		213		138,794
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(a)	Aaa		0.600%	12/15/17		302		301,415
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a)	Aaa		0.700%	07/15/16		48		48,296
Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a)	Aaa		0.570%	05/09/18		2,070		2,038,627
Highlander Euro CDO Cayman Ltd. (Netherlands), Ser. 2008-4A, Class C, 144A(a)	Baa1		4.817%	08/01/16	EUR	2,000		2,418,556
Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a)	Aaa		0.570%	11/15/17		2,486		2,456,926
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(a)	Aaa		0.561%	10/19/20		967		948,788
LCM LP (Cayman Islands), 144A Ser. 2004-2A, Class A(a)	Aaa		0.639%	10/22/16		225		224,377
Ser. 2005-3A, Class A(a)	Aaa		0.571%	06/01/17		1,720		1,692,874
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(a)	Aaa		0.568%	09/15/17		3,794		3,729,933
Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A	A(c)		3.540%	10/20/32		3,921		4,062,335
MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(a)	A3		1.109%	11/15/16		9,800		9,838,269
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(a)	Aaa		0.558%	03/15/18		1,905		1,843,377
North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a)	Aaa		0.876%	09/14/19	EUR	4,010		5,105,623
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(a)	Aaa		1.791%	11/22/23		2,800		2,803,593
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(a)	AA(c)		2.511%	11/22/23		2,700		2,669,190
Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A	A1		7.125%	01/15/13		199		199,293
Stanfield Vantage CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.610%	03/21/17		384		381,544
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		2,432		2,431,362
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(a)	Aaa		0.563%	11/01/18		3,100		3,059,706
Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, Class A1, 144A(a)(b)	Aaa		0.819%	01/21/16		580		579,649
								72,310,594
Residential Mortgage-Backed Securities — 5.3%
ACE Securities Corp., Ser. 2004-FM1, Class M1(a)	B2		1.110%	09/25/33		1,684		1,581,769

SEE NOTES TO FINANCIAL STATEMENTS.

A30

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

SEE NOTES TO FINANCIAL STATEMENTS.

A31

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Structured Asset Securities Corp., Ser. 2002-HF2, Class M3(a)	CC(c)		3.210%	07/25/32	$	1,180	$	1,074,506
								68,713,399
TOTAL ASSET-BACKED SECURITIES (cost $135,585,519)								141,023,993
BANK LOANS(a) — 3.1%
Aerospace & Defense
Booz Allen & Hamilton, Inc.	Ba3		2.962%	12/31/17		494		491,528
Automotive — 0.2%
Chrysler Group LLC	Ba2		6.000%	05/24/17		1,370		1,397,700
Schaeffler AG (Germany)	Ba3		6.000%	01/27/17		1,500		1,514,063
								2,911,763
Cable
Cequel Communications LLC	Ba2		4.000%	02/14/19		298		299,533
Kabel Deutschland (Germany)	BB-(c)		4.250%	02/01/19		254		254,374
								553,907
Capital Goods — 0.2%
RAC PLC(b)	B2		5.653%	09/30/19		1,500		2,439,732
Chemicals — 0.1%
Ashland, Inc.	Baa3		3.750%	08/23/18		167		168,470
Rockwood Holdings, Inc.	Baa3		3.500%	02/09/18		958		965,672
								1,134,142
Consumer
Huish Detergents, Inc.	Ba3		2.220%	04/26/14		199		195,353
Electric — 0.1%
Calpine Corp.	B1		4.500%	04/01/18		415		418,179
Calpine Corp.	B1		4.500%	04/01/18		415		417,935
								836,114
Foods — 0.1%
Del Monte Foods Co.	Ba3		4.500%	03/08/18		1,798		1,799,171
Gaming — 0.2%
CCM Merger, Inc.	B2		6.000%	03/01/17		2,694		2,698,825
Healthcare & Pharmaceutical — 0.9%
Alere, Inc.	Ba3		3.311%	06/30/16		494		488,433
Alere, Inc.	B2		4.750%	06/30/17		175		175,882
Alere, Inc.	Ba3		4.750%	06/30/17		477		478,690
Davita, Inc.	Ba2		4.000%	11/01/19		1,046		1,052,529
HCA, Inc.	Ba3		3.462%	05/01/18		462		462,790
HCA, Inc.	Ba3		3.561%	03/31/17		1,108		1,109,995
Hologic, Inc.	Ba2		3.313%	08/01/17		2,293		2,293,936
Quintiles Transnational Corp.	B1		4.500%	06/08/18		1,500		1,505,625
RPI Finance Trust	Baa2		3.500%	05/09/18		3,926		3,954,235
								11,522,115
Media & Entertainment — 0.3%
ProSiebenSat. 1 Media AG (Germany)	Ba2		2.690%	07/01/16	EUR	2,900		3,773,648
Pipelines & Other — 0.1%
Energy Transfer Equity LP	Ba2		3.750%	03/23/17		1,500		1,510,078
Real Estate Investment Trusts — 0.1%
C.B. Richard Ellis Services, Inc.	Ba1		3.710%	09/04/19		1,107		1,106,665
Retailers — 0.3%
Alliance Boots Ltd. (United Kingdom)	B1		3.489%	07/09/15		2,000		3,168,710

SEE NOTES TO FINANCIAL STATEMENTS.

A32

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

BANK LOANS(a) (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology — 0.5%
First Data Corp.	B1		4.211%	03/26/18	$	2,411	$	2,293,023
First Data Corp.	B1		5.211%	03/24/17		183		179,579
Flextronics International Ltd. (Singapore)	Ba1		0.381%	10/01/14		117		116,390
Flextronics International Ltd. (Singapore)	Ba1		2.462%	10/01/14		1,079		1,077,523
Freescale Semiconductor, Inc.	B1		4.464%	12/01/16		1,750		1,715,000
Sensata Technologies, Inc. (Netherlands)	Ba2		3.750%	05/12/18		1,266		1,270,891
								6,652,406
TOTAL BANK LOANS (cost $40,082,511)								40,794,157
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		797		814,998
Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		169		173,952
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)	Baa3		2.775%	02/25/34		1,838		1,853,935
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		637		644,167
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $3,467,687)								3,487,052
COMMERCIAL MORTGAGE-BACKED SECURITIES — 12.3%
Banc of America Commercial Mortgage, Inc. Ser. 2006-5, Class A2	Aaa		5.317%	09/10/47		2,630		2,630,564
Ser. 2006-6, Class A2	Aaa		5.309%	10/10/45		3,169		3,211,399
Ser. 2007-1, Class A3	Aaa		5.449%	01/15/49		2,159		2,215,387
Ser. 2007-4, Class A3(a)	AAA(c)		5.796%	02/10/51		6,322		6,660,572
Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		2,445		2,578,365
Bear Stearns Commercial Mortgage Securities, Ser. 2005-PWR9, Class A2	Aaa		4.735%	09/11/42		253		259,050
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a)	Aaa		5.702%	12/10/49		1,590		1,873,276
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser. 2006-CD2, Class AAB(a)	Aaa		5.334%	01/15/46		1,909		1,959,780
Ser. 2007-CD4, Class A3	Aaa		5.293%	12/11/49		2,515		2,612,484
Commercial Mortgage Pass-Through Certificates Ser. 2006-C7, Class A3(a)	AAA(c)		5.686%	06/10/46		930		929,236
Ser. 2006-C7, Class A4(a)	AAA(c)		5.748%	06/10/46		4,000		4,542,800
Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		2,500		2,513,322
Ser. 2012-CR5, Class A3	Aaa		2.540%	12/10/45		2,000		1,998,724
Credit Suisse Mortgage Capital Certificates Ser. 2006-C1, Class A4(a)	AAA(c)		5.409%	02/15/39		4,400		4,964,511
Ser. 2006-C1, Class AM(a)	AAA(c)		5.409%	02/15/39		970		1,073,786
Ser. 2007-C1, Class A2	Aaa		5.268%	02/15/40		1,691		1,691,075
Ser. 2007-C4, Class A2(a)	Aaa		5.762%	09/15/39		300		302,039
Ser. 2007-C4, Class A3(a)	Aaa		5.762%	09/15/39		10,550		10,972,359
FHLMC Multifamily Structured Pass-Through Certificates, I/O Ser. K020, Class X1(a)	AA+(c)		1.479%	05/25/22		29,440		3,139,980
Ser. K021, Class X1(a)	AA+(c)		1.516%	06/25/22		16,693		1,855,692
Ser. K501, Class X1A(a)	AA+(c)		1.755%	08/25/16		12,382		579,675
Ser. K710, Class X1(a)	AA+(c)		1.784%	05/25/19		23,465		2,237,798
Ser. K711, Class X1(a)	AA+(c)		1.712%	07/25/19		27,993		2,601,948
GE Capital Commercial Mortgage Corp., Ser. 2007-C1, Class A2	Aaa		5.417%	12/10/49		5,459		5,451,568
GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, Class A4	AAA(c)		5.238%	11/10/45		1,280		1,411,108
Greenwich Capital Commercial Funding Corp. Ser. 2005-GG3, Class AJ	Baa1		4.859%	08/10/42		1,700		1,796,879
Ser. 2005-GG5, Class A2	Aaa		5.117%	04/10/37		435		435,129
Ser. 2005-GG5, Class A5	Aa2		5.224%	04/10/37		4,900		5,413,927
Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,340		3,446,966

SEE NOTES TO FINANCIAL STATEMENTS.

A33

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
GS Mortgage Securities Corp. II Ser. 2006-GG6, Class A4	AAA(c)		5.553%	04/10/38	$	6,700	$	7,543,128
Ser. 2006-GG8, Class A2	Aaa		5.479%	11/10/39		797		810,048
Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		3,244		3,260,279
JPMorgan Chase Commercial Mortgage Securities Corp. Ser. 2005-LDP4, Class AM(a)	Aa2		4.999%	10/15/42		1,820		1,979,592
Ser. 2007-LD11, Class A2(a)	Aaa		5.797%	06/15/49		5,920		6,105,739
Ser. 2007-LD12, Class A3(a)	Aaa		5.930%	02/15/51		9,200		9,786,933
Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		2,000		2,008,993
LB-UBS Commercial Mortgage Trust Ser. 2005-C7, Class AM(a)	AA(c)		5.263%	11/15/40		2,100		2,308,242
Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		2		1,738
Ser. 2006-C7, Class A2	AAA(c)		5.300%	11/15/38		983		1,007,728
Ser. 2007-C6, Class A2	Aaa		5.845%	07/15/40		1,674		1,714,392
Merrill Lynch Mortgage Trust Ser. 2006-C1, Class A4	AAA(c)		5.684%	05/12/39		7,920		9,085,206
Ser. 2007-C1, Class A3	AAA(c)		5.849%	06/12/50		690		733,732
Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 2006-2, Class A4(a)	Aaa		5.893%	06/12/46		2,625		3,023,861
Ser. 2006-4, Class A2	Aaa		5.112%	12/12/49		861		870,448
Ser. 2006-4, Class A3	Aaa		5.172%	12/12/49		1,400		1,592,944
Ser. 2007-9, Class A2	AAA(c)		5.590%	09/12/49		1,912		1,911,322
Morgan Stanley Capital I Trust Ser. 2006-T23, Class A3(a)	AAA(c)		5.815%	08/12/41		1,318		1,375,187
Ser. 2007-IQ14, Class AAB(a)	Aaa		5.654%	04/15/49		5,489		5,923,079
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	Aaa		2.792%	12/10/45		2,300		2,325,840
Wachovia Bank Commercial Mortgage Trust Ser. 2005-C20, Class AMFX(a)	Aa1		5.179%	07/15/42		3,145		3,445,102
Ser. 2006-C28, Class A2	Aaa		5.500%	10/15/48		248		249,324
Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		5,150		5,950,233
Ser. 2007-C33, Class A3(a)	Aaa		5.921%	02/15/51		3,951		4,133,106
Ser. 2007-C34, Class A2	Aaa		5.569%	05/15/46		2,016		2,013,003
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $149,687,982)								160,518,598
CORPORATE BONDS — 44.2%
Aerospace & Defense — 0.3%
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		700		780,245
Textron, Inc., Sr. Unsec’d. Notes	Baa3		7.250%	10/01/19		2,350		2,869,477
								3,649,722
Airlines — 0.5%
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs. Ser. 2001-1, Class A-1(b)	Baa2		6.703%	06/15/21		2		2,599
Ser. 2001-1, Class B	Ba1		7.373%	12/15/15		394		418,519
Ser. 2007-1, Class A(d)	Baa2		5.983%	04/19/22		1,655		1,843,168
Ser. 2010-1, Class A(d)	Baa2		4.750%	01/12/21		534		581,195
Delta Air Lines Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa2		6.821%	08/10/22		1,316		1,469,460
Ser. 2010-2, Class A	Baa2		4.950%	05/23/19		700		762,795
Ser. 2011-1, Class A	Baa2		5.300%	04/15/19		735		810,841
United Airline Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa3		6.636%	07/02/22		986		1,059,425
								6,948,002
Automotive — 0.6%
BorgWarner, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	09/15/20		825		907,829
Delphi Corp., Gtd. Notes(d)	Ba2		5.875%	05/15/19		1,400		1,501,500
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		3.984%	06/15/16		1,050		1,114,917

SEE NOTES TO FINANCIAL STATEMENTS.

A34

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Automotive (continued)
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16	$	3,925	$	4,186,468
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		660		720,777
								8,431,491
Banking — 9.9%
American Express Co., Sr. Unsec’d. Notes, 144A	A3		2.650%	12/02/22		3,202		3,189,250
Banco de Credito del Peru (Peru), Sr. Unsec’d. Notes, 144A	Baa2		4.750%	03/16/16		1,650		1,740,750
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		750		768,855
Bangkok Bank PCL (Thailand), Sr. Unsec’d. Notes, 144A	A3		3.875%	09/27/22		2,475		2,551,723
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(d)	B1		8.000%	12/29/49		3,500		3,871,280
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		1,340		1,432,362
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,775		2,134,525
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		4,590		5,374,959
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		790		888,521
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(d)	A2		6.750%	05/22/19		1,610		1,966,188
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		7.250%	02/01/18		1,575		1,973,543
Capital One Capital V, Ltd. Gtd. Notes	BB+(c)		10.250%	08/15/39		1,210		1,210,000
Capital One Financial Corp., Sr. Unsec’d. Notes	Baa1		5.250%	02/21/17		2,460		2,804,351
Capital One Financial Corp., Sub. Notes	Baa2		6.150%	09/01/16		700		800,814
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	11/21/17		2,050		2,439,822
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		2,500		2,996,027
Citigroup, Inc., Sr. Unsec’d. Notes(d)	Baa2		8.125%	07/15/39		4,120		6,168,114
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,375		1,848,876
Depfa ACS Bank (Ireland), Covered Notes, 144A	A3		5.125%	03/16/37		3,065		2,392,827
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		2,005		2,489,601
Goldman Sachs Group, Inc. (The), Sr. Notes	A3		6.250%	02/01/41		2,195		2,693,091
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)	A3		5.750%	01/24/22		2,250		2,659,977
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		2,420		2,875,473
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)	A3		6.150%	04/01/18		1,355		1,591,811
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)	A3		6.250%	09/01/17		3,195		3,768,876
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		440		498,664
Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.500%	10/30/15		4,035		4,368,404
HSBC Holdings PLC (United Kingdom), Sub. Notes(d)	A3		6.500%	09/15/37		1,625		2,028,307
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		260		318,100
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a)	Ba3		7.250%	08/29/49		2,380		2,338,350
ING Bank NV (Netherlands), Unsec’d. Notes, 144A(d)	A2		2.000%	09/25/15		770		775,698
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)	Ba1		7.900%	04/29/49		6,130		6,945,351
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		2,245		2,378,465
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.250%	09/23/22		500		514,891
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.250%	10/15/20		600		667,276
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.400%	07/22/20		5,100		5,757,105
KeyCorp, Sr. Unsec’d. Notes, MTN(d)	Baa1		5.100%	03/24/21		1,155		1,345,585
Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a)	B2		7.378%	10/29/49		1,590		1,621,170
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A2		5.800%	01/13/20		2,650		3,101,250
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,635		2,980,132
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.750%	01/25/21		1,920		2,192,707
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		4,035		4,465,055
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		1,650		1,873,367
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,675		1,683,712
Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2	A3		3.400%	08/23/13		1,720		1,745,523
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes	Baa1		2.550%	09/18/15		625		639,631
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,525		1,802,001
Santander Holdings USA, Inc., Sr. Unsec’d. Notes(d)	Baa2		3.000%	09/24/15		950		967,422
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	04/19/16		525		548,882
State Street Corp., Jr. Sub. Debs.(a)	A3		4.956%	03/15/18		3,025		3,426,390

SEE NOTES TO FINANCIAL STATEMENTS.

A35

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
US Bancorp, Jr. Sub. Notes	A3		3.442%	02/01/16	$	4,120	$	4,338,603
Wells Fargo & Co., Sr. Unsec’d. Notes(f)	A2		3.676%	06/15/16		7,240		7,827,193
								129,780,850
Brokerage — 0.1%
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(j)	NR		6.875%	05/02/18		2,740		657,600
Building Materials & Construction — 0.9%
Masco Corp., Sr. Unsec’d. Notes	Ba3		7.125%	08/15/13		2,600		2,675,179
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		2,500		2,712,500
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		7.125%	06/26/42		1,540		1,786,400
Toll Brothers Finance Corp., Gtd. Notes	Ba1		5.150%	05/15/15		4,695		5,012,462
								12,186,541
Cable — 2.0%
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A	B3		8.625%	11/15/17		2,300		2,461,000
Columbus International, Inc. (Barbados), Sr. Sec’d. Notes, 144A (original cost $410,238; purchased 09/13/12)(b)(g)	B2		11.500%	11/20/14		370		410,700
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d)	Ba3		6.750%	11/15/21		2,225		2,466,969
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d)	Ba3		8.625%	02/15/19		1,610		1,923,950
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		2,825		2,992,822
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		275		289,288
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,375		1,390,720
Echostar DBS Corp., Gtd. Notes	Ba2		6.625%	10/01/14		1,400		1,505,000
Echostar DBS Corp., Gtd. Notes(d)	Ba2		7.000%	10/01/13		2,000		2,080,000
Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, Reg.-S	B1		8.875%	12/01/18	EUR	800		1,071,806
TCI Communications, Inc., Sr. Unsec’d. Notes	Baa1		7.875%	02/15/26		750		1,054,168
Time Warner Cable, Inc., Gtd. Notes	Baa2		6.750%	07/01/18		5,520		6,895,490
Videotron Ltee (Canada), Gtd. Notes	Ba2		9.125%	04/15/18		1,996		2,125,740
								26,667,653
Capital Goods — 1.1%
Case New Holland, Inc., Gtd. Notes	Ba2		7.750%	09/01/13		1,000		1,040,000
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $887,675; purchased 10/10/12)(b)(g)	Baa1		5.625%	03/15/42		825		914,004
General Electric Co., Sr. Unsec’d. Notes	Aa3		4.125%	10/09/42		1,275		1,311,526
Hutchison Whampoa International (11) Ltd. (Cayman Islands), Gtd. Notes, 144A(d)	A3		4.625%	01/13/22		1,140		1,271,604
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $474,815; purchased 07/10/12)(b)(g)	Baa3		2.500%	07/11/14		475		479,962
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $2,022,003; purchased 09/24/12)(b)(g)	Baa3		2.500%	03/15/16		2,025		2,030,456
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $674,345; purchased 05/08/12)(b)(g)	Baa3		3.125%	05/11/15		675		688,729
Rockwell Automation, Inc., Sr. Unsec’d. Notes	A3		5.200%	01/15/98		1,100		1,131,298
Tyco Flow Control International Finance SA (Luxembourg), Gtd. Notes, 144A	Baa2		1.875%	09/15/17		625		626,837
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		2,425		2,694,566
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,960		2,225,241
								14,414,223
Chemicals — 0.9%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		6.125%	01/15/41		450		541,030
CF Industries, Inc., Gtd. Notes	Baa3		6.875%	05/01/18		785		958,966
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		1,252		2,061,334
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		4,000		4,473,908
Union Carbide Corp., Sr. Unsec’d. Notes(d)	Baa2		7.875%	04/01/23		3,058		3,869,658
								11,904,896

SEE NOTES TO FINANCIAL STATEMENTS.

A36

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Consumer — 0.6%
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16	$	5,231	$	5,544,860
Service Corp. International, Sr. Unsec’d. Notes	Ba3		7.625%	10/01/18		2,000		2,380,000
								7,924,860
Electric — 1.8%
AES Corp. (The), Sr. Unsec’d. Notes(d)	Ba3		9.750%	04/15/16		775		926,125
Dubai Electricity & Water Authority (United Arab Emirates), Sr. Unsec’d. Notes, 144A	Baa3		8.500%	04/22/15		1,275		1,440,750
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		2,325		2,899,159
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.350%	08/01/13		625		648,963
ENEL Finance International NV (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		3,200		3,098,710
Enersis SA (Chile), Sr. Unsec’d. Notes	Baa2		7.375%	01/15/14		3,700		3,898,394
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		500		544,264
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.200%	10/01/17		1,930		2,279,166
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,900		2,209,436
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		1,150		1,233,688
TransAlta Corp. (Canada), Sr. Unsec’d. Notes	Baa3		6.650%	05/15/18		1,953		2,244,723
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		1,947		2,278,037
								23,701,415
Energy – Integrated — 0.6%
Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		4.450%	09/15/42		1,825		1,897,432
LUKOIL International Finance BV (Netherlands), Gtd. Notes, 144A	Baa2		7.250%	11/05/19		1,300		1,589,250
Pacific Rubiales Energy Corp. (Canada), Gtd. Notes, 144A(d)	Ba2		7.250%	12/12/21		1,340		1,547,700
Pacific Rubiales Energy Corp. (Canada), Gtd. Notes, Reg.-S	Ba2		7.250%	12/12/21		340		392,700
Sasol Financing International PLC (Isle of Man), Gtd. Notes	Baa1		4.500%	11/14/22		1,925		1,934,625
TNK-BP Finance SA (Luxembourg), Gtd. Notes, 144A, MTN	Baa2		6.625%	03/20/17		585		665,438
								8,027,145
Energy – Other — 1.6%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		2,515		3,004,155
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		1,450		1,816,512
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		315,954
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A	A1		5.888%	06/15/19		2,492		2,809,740
Forest Oil Corp., Gtd. Notes	B2		8.500%	02/15/14		484		513,040
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		1,650		1,775,796
Noble Energy, Inc., Sr. Unsec’d. Notes	Baa2		6.000%	03/01/41		1,650		1,987,600
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,750		2,129,025
Precision Drilling Corp. (Canada), Gtd. Notes(d)	Ba1		6.625%	11/15/20		1,000		1,075,000
Rosneft Oil Co. Via Rosneft International Finance Ltd. (Ireland), Sr. Unsec’d. Notes, 144A	BBB-(c)		3.149%	03/06/17		1,165		1,182,475
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		1,075		1,086,309
Weatherford International Ltd. (Bermuda), Gtd. Notes(d)	Baa2		5.125%	09/15/20		1,165		1,283,818
Weatherford International Ltd. (Bermuda), Gtd. Notes(d)	Baa2		5.950%	04/15/42		1,550		1,682,293
								20,661,717
Foods — 2.2%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		6.875%	11/15/19		2,200		2,888,818
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		7.750%	01/15/19		1,640		2,190,408
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		5,369		5,395,899
ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A	B3		8.625%	05/01/16		1,185		1,213,156
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A	B2		9.000%	02/10/17		1,000		1,065,000
Cott Beverages, Inc., Gtd. Notes	B3		8.125%	09/01/18		1,756		1,940,380
Dole Food Co., Inc., Sec’d. Notes	B2		13.875%	03/15/14		2,600		2,879,500
Ingles Markets, Inc., Sr. Unsec’d. Notes	B1		8.875%	05/15/17		1,500		1,599,375
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(b)(g)	B1		7.250%	06/01/21		1,330		1,333,325
Kraft Foods Group, Inc., Gtd. Notes, 144A	Baa2		5.000%	06/04/42		900		1,012,049

SEE NOTES TO FINANCIAL STATEMENTS.

A37

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
Minerva Luxembourg SA (Luxembourg), Gtd. Notes, 144A(d)	B2		12.250%	02/10/22	$	725	$	868,187
Stater Bros. Holdings, Inc., Gtd. Notes	B2		7.750%	04/15/15		2,200		2,244,000
SUPERVALU, Inc., Sr. Unsec’d. Notes(d)	Caa1		7.500%	11/15/14		2,415		2,342,550
Tyson Foods, Inc., Gtd. Notes	Baa3		6.600%	04/01/16		1,000		1,145,945
								28,118,592
Gaming — 0.6%
Ameristar Casinos, Inc., Gtd. Notes(d)	B3		7.500%	04/15/21		1,550		1,679,813
Marina District Finance Co., Inc., Sr. Sec’d. Notes(d)	B2		9.500%	10/15/15		1,710		1,658,700
Pinnacle Entertainment, Inc., Gtd. Notes(d)	B1		8.625%	08/01/17		2,500		2,684,375
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $1,404,000; purchased 06/22/11-06/28/12)(b)(d)(g)	B1		11.375%	07/15/16		1,300		1,404,000
								7,426,888
Healthcare & Pharmaceutical — 1.5%
AbbVie, Inc., Gtd. Notes, 144A	Baa1		4.400%	11/06/42		850		903,664
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		2,515		2,830,296
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		405		477,506
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		3,750		3,868,481
CHS/Community Health Systems, Inc., Gtd. Notes	B3		8.000%	11/15/19		2,500		2,706,250
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		825		1,024,892
HCA, Inc., Gtd. Notes	B3		8.000%	10/01/18		2,250		2,604,375
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		1,000		1,081,250
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		320		356,800
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(d)	Baa2		3.750%	08/23/22		225		238,605
Mylan, Inc., Gtd. Notes, 144A(d)	Baa3		7.625%	07/15/17		2,030		2,281,454
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		700		728,793
								19,102,366
Healthcare Insurance — 1.1%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.750%	12/15/37		1,900		2,635,727
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		4.375%	12/15/20		745		822,735
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.375%	03/15/17		2,125		2,406,418
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		750		910,481
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		4,025		4,397,172
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		760		1,001,129
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		195		257,894
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		525		542,229
WellPoint, Inc., Sr. Unsec’d. Notes(d)	Baa2		4.650%	01/15/43		1,225		1,276,592
								14,250,377
Insurance — 3.0%
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		5.500%	11/15/20		430		476,632
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		7.500%	08/01/16		2,475		2,924,259
Allstate Corp. (The), Sr. Unsec’d. Notes(d)	A3		5.200%	01/15/42		225		267,039
American International Group, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.250%	05/15/13		1,820		1,842,106
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		5.050%	10/01/15		315		347,562
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		950		1,178,758
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		2,005		2,634,341
American International Group, Inc., Sr. Unsec’d. Notes, MTN	Baa1		5.850%	01/16/18		3,700		4,374,129
Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		5.750%	12/01/14		3,350		3,592,775
Chubb Corp. (The), Jr. Sub. Notes(a)(d)	A3		6.375%	03/29/67		1,775		1,934,750
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		7.000%	07/15/34		1,350		1,521,852
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(d)	Baa3		5.125%	04/15/22		500		576,925
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		6.500%	03/15/35		1,030		1,125,521
Lincoln National Corp., Jr. Sub. Notes(a)	Ba1		6.050%	04/20/67		350		348,687
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		1,265		1,646,454
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		1,265		1,691,680
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A	A1		8.875%	06/01/39		1,200		1,812,052

SEE NOTES TO FINANCIAL STATEMENTS.

A38

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)	A2		5.000%	10/18/42	$	850	$	897,841
Northwestern Mutual Life Insurance, Sub. Notes, 144A	Aa2		6.063%	03/30/40		500		638,347
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		850		968,002
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		150		152,452
Progressive Corp. (The), Jr. Sub. Notes(a)(d)	A2		6.700%	06/15/37		1,015		1,096,200
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		2,310		3,132,995
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		500		571,290
Willis Group Holdings PLC (Ireland), Gtd. Notes	Baa3		4.125%	03/15/16		1,280		1,365,272
XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)(d)	Ba1		6.500%	12/31/49		1,880		1,757,800
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		140		149,077
								39,024,798
Lodging — 0.6%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		3,938		4,548,390
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		1,325		1,325,392
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		5.750%	02/01/18		2,150		2,403,300
								8,277,082
Media & Entertainment — 2.7%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A	Baa1		6.100%	02/15/18		210		250,927
CBS Corp., Gtd. Notes(b)	Baa2		4.850%	07/01/42		2,450		2,549,935
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes	B2		9.125%	08/01/18		2,300		2,587,500
Globo Comunicacao e Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(f)	Baa2		5.307%	05/11/22		900		981,000
Historic TW, Inc., Gtd. Notes	Baa2		6.625%	05/15/29		225		287,114
Liberty Interactive LLC, Sr. Unsec’d. Notes	B3		5.700%	05/15/13		800		811,000
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		4.375%	04/01/21		1,350		1,516,512
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		4.450%	01/15/43		2,675		2,708,804
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		460		564,542
News America, Inc., Gtd. Notes(d)	Baa1		6.150%	02/15/41		1,430		1,811,214
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		65		85,102
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,415		1,823,900
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.625%	02/01/14		1,400		1,554,000
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba3		4.950%	04/01/14		7,000		7,157,500
RR Donnelley & Sons Co., Sr. Unsec’d. Notes(d)	Ba3		8.600%	08/15/16		4,750		5,106,250
Time Warner Cos., Inc., Gtd. Notes	Baa2		6.950%	01/15/28		2,153		2,801,208
Time Warner Cos., Inc., Gtd. Notes(d)	Baa2		7.250%	10/15/17		1,440		1,808,175
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43		1,158		1,139,131
								35,543,814
Metals — 1.6%
Adaro Indonesia PT (Indonesia), Gtd. Notes	Ba1		7.625%	10/22/19		745		826,950
Berau Capital Resources Pte Ltd. (Singapore), Sr. Sec’d. Notes, Reg.-S	B1		12.500%	07/08/15		1,600		1,740,000
Bumi Investment Pte Ltd. (Singapore), Sr. Sec’d. Notes, MTN, Reg.-S(d)	B1		10.750%	10/06/17		610		539,850
Indo Integrated Energy II BV (Netherlands), Sr. Sec’d. Notes, Reg.-S	B1		9.750%	11/05/16		2,025		2,207,250
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		2,025		2,438,797
Novelis, Inc. (Canada), Gtd. Notes(d)	B2		8.375%	12/15/17		3,525		3,886,312
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		4,075		4,329,687
Raspadskaya OJSC Via Raspadskaya Securities Ltd. (Ireland), Unsec’d. Notes, 144A	B1		7.750%	04/27/17		1,000		1,060,000
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		6.750%	04/16/40		600		722,325
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		550		706,083
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,825		1,873,180
								20,330,434

SEE NOTES TO FINANCIAL STATEMENTS.

A39

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Non-Captive Finance — 2.7%
Cielo SA/Cielo USA, Inc. (Brazil), Gtd. Notes, 144A(d)	Baa2		3.750%	11/16/22	$	1,675		$	1,653,225
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		675			814,220
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(e)(h)	A1		6.000%	08/07/19		6,315			7,682,595
General Electric Capital Corp., Sub. Notes	A2		5.300%	02/11/21		1,185			1,375,527
HSBC Finance Corp., Sr. Sub. Notes	Baa2		6.676%	01/15/21		295			349,980
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		6.500%	09/01/14		2,875			3,069,063
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		1,125			1,185,850
International Lease Finance Corp., Sr. Unsec’d. Notes(d)	Ba3		6.250%	05/15/19		1,400			1,491,000
Nelnet, Inc., Jr. Sub. Notes(a)	Ba2		3.686%	09/29/36		6,100			4,819,000
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(a)(b)	Aa2		1.087%	07/03/33		1,588			1,238,807
Schahin II Finance Co. SPV Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(d)	Baa3		5.875%	09/25/22		1,900			2,028,250
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		5.050%	11/14/14		4,150			4,356,085
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		6.000%	01/25/17		1,075			1,163,687
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		3,200			3,744,000
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(d)	Caa1		6.900%	12/15/17		1,000			895,000
									35,866,289
Packaging — 0.3%
Greif Luxembourg Finance SCA (Luxembourg), Gtd. Notes, 144A, MTN	Ba2		7.375%	07/15/21	EUR	1,470			2,192,582
Greif, Inc., Sr. Unsec’d. Notes	Ba2		7.750%	08/01/19		1,815			2,096,325
									4,288,907
Paper — 0.9%
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		675			799,289
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.300%	11/15/39		1,000			1,355,560
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		2,205			2,850,681
MeadWestvaco Corp., Sr. Unsec’d. Notes(d)	Baa3		7.375%	09/01/19		4,400			5,519,136
Rock-Tenn Co., Sr. Unsec’d. Notes, 144A(d)	Ba1		4.450%	03/01/19		1,165			1,256,890
									11,781,556
Pipelines & Other — 0.7%
Enterprise Products Operating LLC, Gtd. Notes	Baa2		5.700%	02/15/42		900			1,054,044
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		5.000%	08/15/42		550			582,878
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		7.300%	08/15/33		1,550			2,021,045
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		1,345			1,580,507
ONEOK Partners LP, Gtd. Notes	Baa2		2.000%	10/01/17		750			756,234
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.500%	06/01/16		2,275			2,667,101
									8,661,809
Real Estate Investment Trusts — 0.8%
Hospitality Properties Trust, Sr. Unsec’d. Notes	Baa2		7.875%	08/15/14		2,900			3,095,817
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		8			9,684
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		45			47,483
Simon Property Group LP, Sr. Unsec’d. Notes(d)	A3		3.375%	03/15/22		325			343,238
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		40			48,725
Simon Property Group LP, Sr. Unsec’d. Notes(d)	A3		10.350%	04/01/19		1,685			2,409,528
WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A	A2		5.750%	09/02/15		4,000			4,465,832
									10,420,307
Retailers — 0.5%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		2,000			2,559,520
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes	B2		8.500%	05/15/16		2,565			2,725,312
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(d)	Aa2		5.625%	04/15/41		1,190			1,558,397
									6,843,229
Technology — 1.6%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		600	��		622,544

SEE NOTES TO FINANCIAL STATEMENTS.

A40

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology (continued)
Avaya, Inc., Gtd. Notes, PIK	Caa2		10.125%	11/01/15	$	2,500	$	2,237,500
CDW LLC/CDW Finance Corp., Gtd. Notes	Caa1		12.535%	10/12/17		2,128		2,274,300
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	10/01/15		195		204,448
Seagate HDD Cayman (Cayman Islands), Gtd. Notes(d)	Ba1		6.875%	05/01/20		2,875		3,058,281
Seagate HDD Cayman (Cayman Islands), Gtd. Notes	Ba1		7.750%	12/15/18		1,700		1,867,875
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		2,794		3,007,043
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		1,000		1,065,000
SunGard Data Systems, Inc., Gtd. Notes(d)	Caa1		7.625%	11/15/20		1,700		1,857,250
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes	B2		11.375%	06/15/18		1,850		2,155,250
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,000		2,103,378
								20,452,869
Telecommunications — 2.0%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		795		1,045,938
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		103		155,872
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		483		562,477
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,990		2,615,085
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		328		521,087
CC Holdings GS V LLC/Crown Castle GS III Corp., Sr. Sec’d. Notes, 144A	Baa2		7.750%	05/01/17		3,000		3,185,400
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,255		3,102,204
Digicel Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(d)	B1		12.000%	04/01/14		1,910		2,077,125
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, 144A(d)	B3		11.625%	01/31/20		1,700		1,980,500
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,303,800; purchased 04/22/10)(b)(g)	Baa3		7.995%	06/01/36		1,250		1,380,651
MetroPCS Wireless, Inc., Gtd. Notes(d)	B2		7.875%	09/01/18		775		838,937
Qwest Corp., Sr. Unsec’d. Notes(a)	Baa3		3.558%	06/15/13		3,750		3,778,856
SK Telecom Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A3		2.125%	05/01/18		2,175		2,186,893
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Sr. Unsec’d. Notes, 144A(b)	Ba3		9.125%	04/30/18		200		242,250
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Unsec’d. Notes, 144A	Ba3		7.748%	02/02/21		1,300		1,501,500
Wind Acquisition Finance SA (Luxembourg), Sec’d. Notes, 144A	B3		11.750%	07/15/17	EUR	450		622,195
								25,796,970
Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		2,715		4,472,797
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		515		544,972
Lorillard Tobacco Co., Gtd. Notes(d)	Baa2		8.125%	06/23/19		895		1,142,045
								6,159,814
TOTAL CORPORATE BONDS (cost $523,492,735)								577,302,216
FOREIGN AGENCIES — 3.5%
Export Credit Bank of Turkey (Turkey), Unsec’d. Notes, 144A	Ba1		5.375%	11/04/16		265		288,585
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		4.950%	05/23/16		1,950		2,093,812
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		6.510%	03/07/22		975		1,162,687
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		9.250%	04/23/19		2,845		3,766,069
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, Reg.-S	Baa1		9.250%	04/23/19		1,080		1,429,650

SEE NOTES TO FINANCIAL STATEMENTS.

A41

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

FOREIGN AGENCIES (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Gazprom International SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	BBB+(c)		7.201%	02/01/20	$	467	$	523,253
IPIC GMTN Ltd. (Cayman Islands), Gtd. Notes, 144A, MTN	Aa3		5.500%	03/01/22		2,375		2,799,531
KazMunayGas National Co. (Netherlands), Gtd. Notes, 144A, MTN	Baa3		9.125%	07/02/18		935		1,236,538
KazMunayGas National Co. (Netherlands), Sr. Unsec’d. Notes, 144A, MTN	Baa3		11.750%	01/23/15		1,475		1,760,781
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes(d)	Aa3		3.500%	08/22/17		2,400		2,567,837
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes	Aa3		3.875%	05/04/17		2,600		2,810,909
Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, Ser. G, 144A, MTN(d)	A1		4.500%	03/23/15		1,785		1,905,584
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	Aa3		4.625%	11/16/21		600		678,109
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, Reg.-S(d)	A1		4.250%	11/02/20		1,750		1,921,322
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		3.000%	09/19/22		1,450		1,426,391
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.750%	07/13/21		1,650		1,866,363
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		2,730		2,922,105
National Agricultural Cooperative Federation (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A1		3.500%	02/08/17		1,575		1,653,767
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(d)	A3		5.375%	01/27/21		2,925		3,293,024
Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, Ser. 2014	NR		4.900%	10/28/14		3,435		3,283,860
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		4.875%	01/24/22		2,100		2,369,850
Power Sector Assets & Liabilities Management Corp. (Philippines), Gtd. Notes, Reg.-S	Ba1		7.390%	12/02/24		1,750		2,436,875
State Bank of India (India), Sr. Unsec’d. Notes, 144A(d)	Baa2		4.125%	08/01/17		1,250		1,287,250
TOTAL FOREIGN AGENCIES (cost $41,853,983)								45,484,152
MORTGAGE-BACKED SECURITIES — 4.2%
Federal Home Loan Mortgage Corp.			1.250%	10/02/19		6,860		6,839,928
Federal Home Loan Mortgage Corp.			5.000%	07/01/19		265		286,698
Federal Home Loan Mortgage Corp.			5.500%	10/01/33-06/01/34		2,216		2,488,428
Federal Home Loan Mortgage Corp.			6.000%	11/01/33-06/01/34		1,542		1,709,921
Federal Home Loan Mortgage Corp.			6.500%	07/01/32-09/01/32		1,297		1,474,570
Federal Home Loan Mortgage Corp.			7.000%	10/01/32		165		193,697
Federal National Mortgage Association			3.500%	TBA 30 YR		1,500		1,596,387
Federal National Mortgage Association			3.500%	TBA 30 YR		4,000		4,264,531
Federal National Mortgage Association			4.000%	05/01/19		188		204,256
Federal National Mortgage Association			4.500%	12/01/18-02/01/35		1,656		1,805,662
Federal National Mortgage Association			5.500%	03/01/17-09/01/34		5,284		5,777,278
Federal National Mortgage Association			6.000%	09/01/17-11/01/36		4,098		4,559,277
Federal National Mortgage Association			6.500%	12/01/14-11/01/33		2,796		3,149,735
Federal National Mortgage Association			7.000%	05/01/32-06/01/32		236		281,214
Government National Mortgage Association			3.000%	TBA 30 YR		1,500		1,594,688
Government National Mortgage Association			4.500%	TBA 30 YR		7,000		7,663,906
Government National Mortgage Association			5.500%	01/15/33-07/15/35		3,767		4,169,930
Government National Mortgage Association			6.000%	12/15/32-11/15/34		3,418		3,890,496
Government National Mortgage Association			6.500%	09/15/32-11/15/33		2,610		3,054,796
Government National Mortgage Association			7.500%	10/15/25-02/15/26		71		83,151
TOTAL MORTGAGE-BACKED SECURITIES (cost $52,200,392)								55,088,549

SEE NOTES TO FINANCIAL STATEMENTS.

A42

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

MUNICIPAL BONDS — 2.0%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Bay Area Toll Authority, Revenue Bonds, BABs	A1		6.907%	10/01/50	$	1,125	$	1,601,460
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		1,380		1,786,368
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,375		1,654,194
New Jersey State Turnpike Authority, Revenue Bonds, Ser. 2010A, BABs	A3		7.102%	01/01/41		1,175		1,666,209
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		2,050		3,003,598
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		695		809,140
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		450		518,841
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		615		797,489
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		800		949,032
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		1,000		1,357,910
State of California, General Obligation Unlimited, BABs	A1		7.300%	10/01/39		2,280		3,159,465
State of California, General Obligation Unlimited, BABs	A1		7.625%	03/01/40		725		1,041,165
State of Illinois, General Obligation Bonds	A2		4.421%	01/01/15		5,030		5,332,756
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		425		514,492
University of California, Revenue Bonds, BABs	Aa1		5.770%	05/15/43		1,400		1,713,502
TOTAL MUNICIPAL BONDS (cost $20,771,240)								25,905,621
SOVEREIGNS — 4.8%
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, Ser. E, MTN	NR		2.750%	03/05/15		2,100		2,185,665
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes	Baa2		7.375%	02/03/15	EUR	900		1,350,119
Brazilian Government International Bond (Brazil), Unsec’d. Notes, 144A	Baa2		11.000%	06/26/17	EUR	1,600		2,971,489
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		4.875%	05/05/21		1,600		1,840,000
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		7.250%	04/20/15		1,600		1,802,000
Indonesia Government International Bond (Indonesia), Unsec’d. Notes, 144A	Baa3		3.750%	04/25/22		2,000		2,132,500
Ireland Government Bond (Ireland), Sr. Unsub. Notes	Ba1		4.400%	06/18/19	EUR	780		1,033,230
Ireland Government Bond (Ireland), Unsec’d. Notes	Ba1		4.500%	04/18/20	EUR	2,600		3,431,794
Italy Buoni Poliennali del Tesoro (Italy), Bonds	Baa2		4.750%	05/01/17	EUR	1,970		2,770,897
Italy Buoni Poliennali del Tesoro (Italy), Bonds	Baa2		6.500%	11/01/27	EUR	3,545		5,437,289
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Reg.-S	Baa2		3.450%	03/24/17	JPY	120,000		1,359,185
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Reg.-S	Baa2		4.500%	06/08/15	JPY	130,000		1,541,605
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	02/17/20	EUR	920		1,463,305
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		4.250%	07/14/17	EUR	2,860		4,212,989
Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), Pass-thru Certs., 144A(i)	Baa2		2.020%	05/31/18		1,087		978,284
Peruvian Government International Bond (Peru), Sr. Unsec’d. Notes, Reg.-S.	Baa2		7.500%	10/14/14	EUR	1,700		2,512,078
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes	Ba1		6.250%	03/15/16	EUR	850		1,280,441

SEE NOTES TO FINANCIAL STATEMENTS.

A43

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

SOVEREIGNS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23	$		285	$	284,287
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		3.850%	04/15/21	EUR		500		537,039
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, 144A	Ba3		4.100%	04/15/37	EUR		540		471,231
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		4.750%	06/14/19	EUR		3,025		3,622,174
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20			2,110		2,521,450
Russian Foreign Bond – Eurobond (Russia), Sr. Unsec’d. Notes, 144A	Baa1		7.500%	03/31/30			946		1,214,400
South Africa Government Bond (South Africa), Bonds, Ser. R214	Baa1		6.500%	02/28/41	ZAR		18,000		1,748,250
South Africa Government International Bond (South Africa), Unsec’d. Notes, Ser. E, MTN	Baa1		4.500%	04/05/16	EUR		800		1,151,785
Spain Government Bond (Spain), Sr. Unsub. Notes	Baa3		4.700%	07/30/41	EUR		465		522,953
Spain Government Bond (Spain), Sr. Unsub. Notes	Baa3		5.850%	01/31/22	EUR		1,845		2,535,657
Spain Government Bond (Spain), Unsec’d. Notes	Baa3		4.250%	10/31/16	EUR		2,850		3,816,051
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, Ser. E, MTN	Baa3		3.625%	06/17/13			2,400		2,399,928
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	Ba1		7.000%	06/05/20			1,510		1,925,250
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	Ba1		8.000%	02/14/34			845		1,267,500
TOTAL SOVEREIGNS (cost $57,988,404)									62,320,825
U.S. GOVERNMENT TREASURY OBLIGATIONS — 2.6%
U.S. Treasury Bonds			2.750%	08/15/42			4,115		3,973,547
U.S. Treasury Bonds			2.750%	11/15/42			12,625		12,163,404
U.S. Treasury Notes			0.625%	11/30/17			1,625		1,619,542
U.S. Treasury Notes			0.750%	12/31/17			9,750		9,766,000
U.S. Treasury Notes			1.125%	12/31/19			175		174,508
U.S. Treasury Notes(d)			1.625%	11/15/22			6,830		6,755,293
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $34,913,155)									34,452,294
						Shares
PREFERRED STOCK — 0.1%
Banking — 0.1%
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a) (cost $1,125,000)							45,000		1,255,500
TOTAL LONG-TERM INVESTMENTS (cost $1,061,168,608)									1,147,632,957
SHORT-TERM INVESTMENTS — 18.7%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(k) (cost $123,519,144)							12,569,841		116,019,635
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(k)(l) (cost $127,931,409; includes $81,016,815 of cash collateral received for securities on loan)							127,931,409		127,931,409
TOTAL SHORT-TERM INVESTMENTS (cost $251,450,553)									243,951,044
TOTAL INVESTMENTS — 106.6% (cost $1,312,619,161)									1,391,584,001
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.6)%									(85,682,948	)
NET ASSETS — 100.0%								$	1,305,901,053

SEE NOTES TO FINANCIAL STATEMENTS.

A44

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
Reg.-S	Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
ABS	Asset-Backed Security
BABs	Build America Bonds
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
FHLMC	Federal Home Loan Mortgage Corp.
I/O	Interest Only
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
PIK	Payment in Kind
TBA	To Be Announced
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CLP	Chilean Peso
CNY	Chinese Yuan Renminbi
COP	Colombian Peso
CZK	Czech Koruna
EUR	Euro
GBP	Pound Sterling
HUF	Hungarian Forint
INR	Indian Rupee
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PEN	Peruvian Nuevo Sol
PHP	Philippine Peso
PLN	Polish Zloty
RUB	Russian Ruble
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
TRY	Turkish Lira
TWD	Taiwan Dollar
ZAR	South African Rand
BBR	New Zealand Bank Bill Rate
EURIBOR	Euro Interbank Offer Rate
LIBOR	London Interbank Offered Rate

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

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

* Non-income producing security.

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

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

(c) Standard & Poor’s Rating.

(d) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $79,120,950; cash collateral of $81,016,815 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A45

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

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

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

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

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

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

Open futures contracts outstanding at December 31, 2012:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
415	2 Year U.S. Treasury Notes		Mar. 2013	$	91,451,416	$	91,494,531	$	43,115
1,670	5 Year U.S. Treasury Notes		Mar. 2013		207,928,311		207,771,484		(156,827	)
266	10 Year U.S. Treasury Notes		Mar. 2013		35,158,182		35,319,813		161,631
570	U.S. Long Bond		Mar. 2013		84,830,607		84,075,000		(755,607	)
									(707,688	)
Short Position:
47	U.S. Ultra Bond		Mar. 2013		7,601,465		7,641,906		(40,441	)
								$	(748,129	)

Forward currency contracts outstanding at December 31, 2012:

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

SEE NOTES TO FINANCIAL STATEMENTS.

A46

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

SEE NOTES TO FINANCIAL STATEMENTS.

A47

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

SEE NOTES TO FINANCIAL STATEMENTS.

A48

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Swedish Krona expiring 01/24/13	UBS AG	SEK	17,035	$	2,615,800	$	2,617,894	$	2,094
Swedish Krona expiring 01/24/13	UBS AG	SEK	16,922		2,576,700		2,600,503		23,803
Swedish Krona expiring 01/24/13	UBS AG	SEK	8,541		1,289,200		1,312,650		23,450
Swedish Krona expiring 01/24/13	UBS AG	SEK	8,491		1,278,900		1,304,924		26,024
Taiwan Dollar expiring 03/12/13	UBS AG	TWD	75,482		2,566,100		2,600,105		34,005
Taiwan Dollar expiring 03/12/13	UBS AG	TWD	37,667		1,283,500		1,297,502		14,002
Taiwan Dollar expiring 11/13/13	Citibank NA	TWD	36,809		1,288,600		1,273,092		(15,508	)
Taiwan Dollar expiring 11/13/13	UBS AG	TWD	73,609		2,576,900		2,545,887		(31,013	)
Thai Baht expiring 02/28/13	Citibank NA	THB	183,862		5,950,418		5,990,284		39,866
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,362		1,295,500		1,318,226		22,726
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	2,573		1,418,100		1,436,220		18,120
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	2,344		1,308,100		1,308,152		52
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	8,053		4,417,603		4,494,440		76,837
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	3,503		1,930,100		1,955,351		25,251
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,336		1,291,700		1,303,675		11,975
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,335		1,302,500		1,303,336		836
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,330		1,289,900		1,300,231		10,331
Turkish Lira expiring 01/30/13	Goldman Sachs & Co.	TRY	2,318		1,288,100		1,293,664		5,564
				$	326,587,966	$	329,090,362	$	2,502,396

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

SEE NOTES TO FINANCIAL STATEMENTS.

A49

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

SEE NOTES TO FINANCIAL STATEMENTS.

A50

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Swedish Krona expiring 01/24/13	UBS AG	SEK	17,253	$	2,576,700	$	2,651,381	$	(74,681	)
Taiwan Dollar expiring 03/12/13	Citibank NA	TWD	56,266		1,928,900		1,938,182		(9,282	)
Taiwan Dollar expiring 03/12/13	UBS AG	TWD	112,354		3,888,667		3,870,222		18,445
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,356		1,274,400		1,314,764		(40,364	)
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,349		1,274,400		1,311,118		(36,718	)
Turkish Lira expiring 01/30/13	Citibank NA	TRY	2,339		1,306,600		1,305,515		1,085
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	7,256		3,996,000		4,050,051		(54,051	)
Turkish Lira expiring 01/30/13	Deutsche Bank Securities Corp.	TRY	2,347		1,288,000		1,310,132		(22,132	)
Turkish Lira expiring 01/30/13	JPMorgan Chase & Co.	TRY	7,047		3,923,700		3,933,191		(9,491	)
				$	255,736,204	$	258,801,638		(3,065,434	)
								$	(563,038	)

Interest rate swap agreements out standing at December 31, 2012:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	66,560		08/31/16		0.934%	3 month LIBOR(2)	$	1,049,093		$	—	$	1,049,093		Credit Suisse International
	15,385		12/14/14		0.351%	3 month LIBOR(2)		(6,918	)		—		(6,918	)	Citibank NA
	20,710		08/31/16		0.975%	3 month LIBOR(1)		(360,049	)		—		(360,049	)	JPMorgan Chase Bank NA
	20,710		08/31/16		0.978%	3 month LIBOR(1)		(362,932	)		—		(362,932	)	JPMorgan Chase Bank NA
	58,915		11/30/16		0.913%	3 month LIBOR(1)		(692,411	)		—		(692,411	)	JPMorgan Chase Bank NA
	6,860		10/02/19		1.189%	3 month LIBOR(1)		4,610			—		4,610		Bank of Nova Scotia
	38,980		11/15/19		1.334%	3 month LIBOR(1)		(105,756	)		—		(105,756	)	Citibank NA
	2,090		12/13/27		2.200%	3 month LIBOR(2)		(36,901	)		—		(36,901	)	Barclays Bank PLC
	20,260		08/15/28		2.370%	3 month LIBOR(1)		40,288			—		40,288		Citibank NA
AUD	1,270		12/19/32		4.423%	6 month Australian Bank Bill Rate(2)		25,174			—		25,174		Barclays Bank PLC
AUD	1,620		12/20/32		4.420%	6 month Australian Bank Bill Rate(2)		33,033			—		33,033		Citibank NA
BRL	13,135		01/01/17		0.000%	1 day Brazil Interbank Rate(2)		255,956			—		255,956		Barclays Bank PLC
BRL	7,942		01/01/17		0.000%	1 day Brazil Interbank Rate(2)		13,698			—		13,698		Citibank NA
CLP	1,480,000		12/06/17		5.410%	Chile Central Bank Daily Midday Interbank Rate(2)		10,593			—		10,593		Barclays Bank PLC
EUR	13,985		12/14/14		0.349%	6 month EURIBOR(1)		8,393			—		8,393		Citibank NA
EUR	1,640		12/13/27		2.065%	6 month EURIBOR(1)		(16,044	)		—		(16,044	)	Barclays Bank PLC
MXN	199,700		07/05/13		5.480%	28 day Mexican Interbank Rate(2)		55,388			—		55,388		Barclays Bank PLC
MXN	65,000		12/02/15		5.080%	28 day Mexican Interbank Rate(2)		(6,036	)		—		(6,036	)	Morgan Stanley Capital Services, Inc.
MXN	54,100		02/18/22		6.600%	28 day Mexican Interbank Rate((2)		271,366			—		271,366		Barclays Bank PLC
MXN	31,200		04/15/22		6.380%	28 day Mexican Interbank Rate(2)		115,493			—		115,493		JPMorgan Chase Bank NA
MXN	48,200		05/25/22		6.370%	28 day Mexican Interbank Rate(2)		178,228			—		178,228		Morgan Stanley Capital Services, Inc.
NZD	13,400		08/18/16		4.173%	3 month BBR(2)		622,341			—		622,341		Citibank NA
NZD	4,320		03/26/17		3.810%	3 month BBR(2)		150,330			—		150,330		HSBC Bank USA NA
NZD	1,960		09/25/22		3.790%	3 month BBR(2)		19,623			—		19,623		Citibank NA
							$	1,266,560		$	—	$	1,266,560

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A51

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Credit default swap agreements outstanding at December 31, 2012:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
American International Group, Inc.		03/20/18		3.700%	$	3,700	$	(438,794	)	$	—		$	(438,794	)	Deutsche Bank AG
Centex Corp.		06/20/14		1.000%		2,500		(28,249	)		(5,107	)		(23,142	)	Credit Suisse International
Duke Energy Corp.		03/20/14		0.700%		3,400		(27,303	)		—			(27,303	)	Goldman Sachs International, Inc.
Masco Corp.		09/20/13		1.000%		2,600		(13,672	)		17,645			(31,317	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		06/20/14		1.000%		7,000		152,730			165,347			(12,617	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		811,799			314,079			497,720		JPMorgan Chase Bank
Sealed Air Corp.		06/20/13		1.000%		6,600		(24,455	)		13,139			(37,594	)	Deutsche Bank AG
SLM Corp.		06/20/14		5.000%		4,150		(249,495	)		237,388			(486,883	)	JPMorgan Chase Bank
Toll Brothers Financial Corp.		03/20/15		1.000%		4,695		(34,497	)		16,233			(50,730	)	Credit Suisse International
Westvaco Corp.		09/20/19		1.000%		4,400		86,755			58,173			28,582		JPMorgan Chase Bank
							$	234,819		$	816,897		$	(582,078	)
Over-the-counter credit default swap on credit indices—Buy Protection(1) :
CDX.NA.HY.18		06/20/17		5.000%		22,770		(367,152	)		630,839			(997,991	)	Citibank NA
ITRAXX.EUR.18		12/20/17		1.000%	EUR	23,000		240,301			267,871			(27,570	)	Bank of America, NA
ITRAXX.EUR.18		12/20/17		1.000%	EUR	23,000		240,300			442,695			(202,395	)	Morgan Stanley Capital Services, Inc.
							$	113,449		$	1,341,405		$	(1,227,956	)

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2012(4)			Fair Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on sovereign issues—Sell Protection(2):
Kingdom of Netherlands		03/20/13		0.250%	$	8,250		0.076	%	$	3,830	$	(34,653	)	$	38,483	Morgan Stanley Capital Services, Inc.
Republic of Austria		03/20/13		1.000%		8,250		0.082	%		19,358		(37,199	)		56,557	Morgan Stanley Capital Services, Inc.
Republic of France		03/20/13		0.250%		8,250		0.242	%		832		(88,174	)		89,006	Morgan Stanley Capital Services, Inc.
										$	24,020	$	(160,026	)	$	184,046

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A52

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Currency swap agreements outstanding at December 31, 2012:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
EUR	2,700		10/17/14		0.000%	3 month LIBOR(1)	$	(65,748	)	$	—		$	(65,748	)	Barclays Bank PLC
EUR	1,650		12/04/14		0.000%	3 month LIBOR(2)		(33,125	)		—			(33,125	)	Barclays Bank PLC
EUR	900		09/28/17		0.362%	3 month LIBOR(3)		(29,848	)		—			(29,848	)	HSBC Bank USA NA
JPY	120,000		03/24/17		3.450%	3 month LIBOR(4)		203,283			30			203,253		Citibank NA
JPY	100,000		06/08/15		4.500%	3 month LIBOR(5)		68,870			(56,202	)		125,072		Citibank NA
JPY	30,000		06/08/15		4.500%	3 month LIBOR(6)		21,221			(15,095	)		36,316		Citibank NA
							$	164,653		$	(71,267	)	$	235,920

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

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

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

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

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

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities	$	—		$	72,111,301		$	199,293
Residential Mortgage-Backed Securities		—			68,713,399			—
Bank Loans		—			40,598,804			195,353
Collateralized Mortgage Obligations		—			3,487,052			—
Commercial Mortgage-Backed Securities		—			160,518,598			—
Corporate Bonds		—			570,354,214			6,948,002
Foreign Agencies		—			45,484,152			—
Mortgage-Backed Securities		—			55,088,549			—
Municipal Bonds		—			25,905,621			—
Sovereigns		—			61,342,541			978,284
U.S. Government Treasury obligations		—			34,452,294			—
Preferred Stock		1,255,500			—			—
Affiliated Mutual Funds		243,951,044			—			—
Other Financial Instruments*
Futures Contracts		(748,129	)		—			—
Forward Currency Contracts		—			(563,038	)		—
Interest Rate Swap Agreements		—			1,266,560			—
Credit Default Swap Agreements		—			(1,598,685	)		(27,303	)
Currency Swap Agreements		—			235,920			—
Total	$	244,458,415		$	1,137,397,282		$	8,293,629

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

SEE NOTES TO FINANCIAL STATEMENTS.

A53

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

Healthcare Insurance	1.1	%
Chemicals	1.0
Building Materials & Construction	0.9
Paper	0.9
Real Estate Investment Trusts	0.9
Automotive	0.8
Gaming	0.8
Pipelines & Other	0.8
Retailers	0.8
Consumer	0.6
Energy – Integrated	0.6
Lodging	0.6
Airlines	0.5
Tobacco	0.5
Aerospace & Defense	0.3
Collateralized Mortgage Obligations	0.3
Packaging	0.3
Brokerage	0.1
	106.6
Liabilities in excess of other assets	(6.6	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premiums paid for swap agreements	$	2,163,409		Premiums received for swap agreements	$	165,133
Credit contracts	Unrealized appreciation on swap agreements		710,348		Unrealized depreciation on swap agreements		2,336,336
Foreign exchange contracts	Unrealized appreciation on forward currency contracts		4,368,380		Unrealized depreciation on forward currency contracts		4,931,418
Interest rate contracts	Due to broker — variation margin		204,746	*	Due to broker — variation margin		952,875	*
Interest rate contracts	Premiums paid for swap agreements		30		Premiums received for swap agreements		71,297
Interest rate contracts	Unrealized appreciation on swap agreements		3,218,248		Unrealized depreciation on swap agreements		1,715,768
Total		$	10,665,161			$	10,172,827

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

SEE NOTES TO FINANCIAL STATEMENTS.

A54

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased		Options Written			Futures			Forward Currency Contracts			Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—		$	(2,147,889	)	$	(2,147,889	)
Foreign exchange contracts		—		—			—	��		(1,705,060	)		—			(1,705,060	)
Interest rate contracts		2,501,494		(483,881	)		11,437,801			—			748,780			14,204,194
Total	$	2,501,494	$	(483,881	)	$	11,437,801		$	(1,705,060	)	$	(1,399,109	)	$	10,351,245

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures			Forward Currency Contracts		Swaps			Total
Credit contracts	$	—		$	—	$	(2,088,198	)	$	(2,088,198	)
Foreign exchange contracts		—			4,777,305		—			4,777,305
Interest rate contracts		(3,386,949	)		—		493,016			(2,893,933	)
Total	$	(3,386,949	)	$	4,777,305	$	(1,595,182	)	$	(204,826	)

For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased (Cost)	Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)	Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)
$88,939	$402,867,197	$34,595,061	$333,427,390	$264,412,824

Inflation Swaps (Notional Amount in USD  (000))	Interest Rate Swaps (Notional Amount in USD  (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))	Credit Default Swaps as Writer (Notional Amount in USD (000))	Currency Swap (Notional Amount in USD (000))
$612	$275,735	$88,257	$19,800	$2,835

SEE NOTES TO FINANCIAL STATEMENTS.

A55

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $79,120,950:
Unaffiliated investments (cost $1,061,168,608)	$	1,147,632,957
Affiliated investments (cost $251,450,553)		243,951,044
Cash		130,915
Foreign currency, at value (cost $112,547)		113,196
Dividends and interest receivable		12,566,109
Unrealized appreciation on forward currency contracts		4,368,380
Unrealized appreciation on swap agreements		3,928,596
Premiums paid for swap agreements		2,163,439
Receivable for investments sold		1,744,508
Receivable for Series shares sold		58,209
Prepaid expenses		9,570
Foreign tax reclaim receivable		443
Total Assets		1,416,667,366
LIABILITIES
Collateral for securities on loan		81,016,815
Payable for investments purchased		18,408,062
Unrealized depreciation on forward currency contracts		4,931,418
Unrealized depreciation on swap agreements		4,052,104
Payable for Series shares repurchased		1,067,209
Due to broker-variation margin		453,339
Management fee payable		441,284
Premiums received for swap agreements		236,430
Accrued expenses and other liabilities		155,035
Deferred trustees’ fees		3,691
Affiliated transfer agent fee payable		926
Total Liabilities		110,766,313
NET ASSETS	$	1,305,901,053
Net assets were comprised of:
Paid-in capital	$	1,174,919,647
Retained earnings		130,981,406
Net assets, December 31, 2012	$	1,305,901,053
Net asset value and redemption price per share, $1,305,901,053 / 109,880,998 outstanding shares of beneficial interest	$	11 .88

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Interest income	$	67,259,777
Affiliated dividend income		1,988,631
Affiliated income from securities loaned, net		214,378
Unaffiliated dividend income		88,594
		69,551,380
EXPENSES
Management fee		5,563,010
Custodian’s fees and expenses		258,000
Shareholders’ reports		108,000
Audit fee		45,000
Trustees’ fees		26,000
Insurance expenses		15,000
Legal fees and expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		16,474
Total expenses		6,061,484
NET INVESTMENT INCOME		63,489,896
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions (including affiliated: $(4,153,739))		26,876,253
Futures transactions		11,437,801
Swap agreement transactions		(1,399,109	)
Foreign currency transactions		(1,170,234	)
Options written transactions		(483,881	)
		35,260,830
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $9,692,125)		44,871,342
Futures		(3,386,949	)
Swap agreements		(1,595,182	)
Foreign currencies		4,800,201
		44,689,412
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		79,950,242
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	143,440,138

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	63,489,896		$	73,296,784
Net realized gain on investments and foreign currencies		35,260,830			59,583,846
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		44,689,412			(22,511,117	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		143,440,138			110,369,513
DISTRIBUTIONS		(119,592,407	)		(101,657,374	)
SERIES SHARE TRANSACTIONS:
Series shares sold [10,761,927 and 2,282,678 shares, respectively]		126,405,304			26,944,061
Series shares issued in reinvestment of distributions [10,330,307 and 8,678,375 shares, respectively]		119,592,407			101,657,374
Series shares repurchased [43,877,359 and 8,765,284 shares, respectively]		(520,843,578	)		(103,339,982	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(274,845,867	)		25,261,453
TOTAL INCREASE (DECREASE) IN NET ASSETS		(250,998,136	)		33,973,592
NET ASSETS:
Beginning of year		1,556,899,189			1,522,925,597
End of year	$	1,305,901,053		$	1,556,899,189

SEE NOTES TO FINANCIAL STATEMENTS.

A56

	EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 97.2%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 3.8%
Boeing Co. (The)		444,320	$	33,483,955
Precision Castparts Corp.		267,871		50,740,125
TransDigm Group, Inc.(a)		262,420		35,783,591
				120,007,671
Airlines — 1.3%
Delta Air Lines, Inc.*		3,483,678		41,351,258
Auto Components — 1.2%
Lear Corp.		800,756		37,507,411
Automobiles — 0.4%
Tesla Motors, Inc.*(a)		364,921		12,359,874
Biotechnology — 3.3%
Alexion Pharmaceuticals, Inc.*		333,861		31,319,500
Biogen Idec, Inc.*		253,238		37,142,418
Gilead Sciences, Inc.*(a)		503,403		36,974,950
				105,436,868
Capital Markets — 3.4%
Goldman Sachs Group, Inc. (The)		267,715		34,149,725
Morgan Stanley		3,787,540		72,417,765
				106,567,490
Chemicals — 2.7%
Monsanto Co.		472,156		44,689,565
Mosaic Co. (The)		729,306		41,300,599
				85,990,164
Commercial Banks — 2.2%
PNC Financial Services Group, Inc.		515,210		30,041,895
Wells Fargo & Co.		1,202,108		41,088,052
				71,129,947
Communications Equipment — 1.8%
JDS Uniphase Corp.*		2,517,974		34,093,368
QUALCOMM, Inc.		385,354		23,899,655
				57,993,023
Computers & Peripherals — 4.4%
Apple, Inc.		201,587		107,451,919
EMC Corp.*(a)		1,234,121		31,223,261
				138,675,180
Consumer Finance — 0.7%
American Express Co.		389,203		22,371,388
Diversified Financial Services — 2.6%
Citigroup, Inc.		975,066		38,573,611
JPMorgan Chase & Co.		964,254		42,398,248
				80,971,859
Diversified Telecommunication Services — 0.9%
Vivendi SA (France)		1,213,113		27,435,846
Electronic Equipment & Instruments — 1.3%
Flextronics International Ltd. (Singapore)*		6,579,992		40,861,750
Energy Equipment & Services — 3.6%
Ensco PLC (Class A Stock) (United Kingdom)(a)		508,794		30,161,308
Halliburton Co.		887,495		30,787,202

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
National Oilwell Varco, Inc.		455,129	$	31,108,067
Schlumberger Ltd. (Curacao)		318,012		22,035,052
				114,091,629
Food & Staples Retailing — 2.9%
CVS Caremark Corp.		677,821		32,772,645
Wal-Mart Stores, Inc.		307,490		20,980,043
Whole Foods Market, Inc.		404,404		36,934,217
				90,686,905
Food Products — 4.8%
Bunge Ltd. (Bermuda)		566,789		41,199,892
Mondelez International, Inc. (Class A Stock)		1,491,419		37,986,442
Smithfield Foods, Inc.*		1,592,743		34,355,467
Tyson Foods, Inc. (Class A Stock)		1,977,950		38,372,230
				151,914,031
Healthcare Providers & Services — 2.5%
Express Scripts Holding Co*		409,800		22,129,200
HCA Holdings, Inc.		867,683		26,177,996
UnitedHealth Group, Inc.		598,934		32,486,180
				80,793,376
Hotels, Restaurants & Leisure — 2.4%
Carnival Corp. (Panama)		599,264		22,034,937
Dunkin’ Brands Group, Inc.(a)		741,577		24,605,525
Yum! Brands, Inc.		441,802		29,335,653
				75,976,115
Independent Power Producers & Energy Traders — 1.3%
Calpine Corp.*		2,287,255		41,467,933
Insurance — 1.0%
MetLife, Inc.		973,474		32,066,234
Internet & Catalog Retail — 2.8%
Amazon.com, Inc.*		213,102		53,518,436
priceline.com, Inc.*		56,279		34,960,515
				88,478,951
Internet Software & Services — 5.3%
Facebook, Inc.*		1,588,332		42,297,281
Google, Inc. (Class A Stock)*		92,799		65,828,827
LinkedIn Corp. (Class A Stock)*(a)		301,164		34,579,650
Rackspace Hosting, Inc.*(a)		324,348		24,089,326
				166,795,084
IT Services — 3.8%
International Business Machines Corp.		218,676		41,887,388
MasterCard, Inc. (Class A Stock)(a)		161,025		79,108,362
				120,995,750
Media — 4.3%
Comcast Corp. (Class A Stock)		1,193,698		44,620,431
Liberty Global, Inc. (Class C Stock)*		721,120		42,365,800
Viacom, Inc. (Class B Stock)		315,414		16,634,935
Walt Disney Co. (The)		655,986		32,661,543
				136,282,709

SEE NOTES TO FINANCIAL STATEMENTS.

A57

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 1.8%
Goldcorp, Inc. (Canada)		672,583	$	24,683,796
Kinross Gold Corp. (Canada)		3,483,872		33,863,236
				58,547,032
Oil, Gas & Consumable Fuels — 5.8%
Anadarko Petroleum Corp.		513,970		38,193,111
EOG Resources, Inc.		90,075		10,880,159
Marathon Oil Corp.		1,091,709		33,471,798
Noble Energy, Inc.		359,926		36,618,871
Occidental Petroleum Corp.		379,362		29,062,923
Suncor Energy, Inc. (Canada)		1,126,728		37,051,647
				185,278,509
Personal Products — 1.4%
Estee Lauder Cos., Inc. (The) (Class A Stock)		756,184		45,265,174
Pharmaceuticals — 6.5%
Allergan, Inc.		424,216		38,913,334
Novo Nordisk A/S, ADR (Denmark)		245,159		40,012,400
Pfizer, Inc.		1,536,323		38,530,981
Sanofi, ADR (France)		660,780		31,307,756
Shire PLC, ADR (United Kingdom)		324,917		29,950,849
Teva Pharmaceutical Industries Ltd., ADR (Israel)		746,194		27,862,884
				206,578,204
Road & Rail — 1.9%
Canadian Pacific Railway Ltd. (Canada)		263,476		26,774,431
Union Pacific Corp.		254,819		32,035,845
				58,810,276
Semiconductors & Semiconductor Equipment — 0.7%
Avago Technologies Ltd. (Singapore)		668,773		21,173,353
Software — 5.3%
CA, Inc.		842,908		18,527,118
Microsoft Corp.		1,776,300		47,480,499
Red Hat, Inc.*		464,349		24,591,923
salesforce.com, Inc.*(a)		228,274		38,372,859
VMware, Inc. (Class A Stock)*(a)		410,755		38,668,476
				167,640,875
Specialty Retail — 2.6%
Inditex SA ADR (Spain)(a)		1,466,538		41,840,329
TJX Cos., Inc. (The)		946,135		40,163,431
				82,003,760
Textiles, Apparel & Luxury Goods — 5.6%
Lululemon Athletica, Inc.*(a)		377,184		28,752,736
Michael Kors Holdings Ltd. (British Virgin Islands)*		728,278		37,164,026
NIKE, Inc. (Class B Stock)		814,176		42,011,482
Prada SpA (Italy)		3,828,153		37,197,310
Ralph Lauren Corp.		208,806		31,304,196
				176,429,750

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 0.9%
MetroPCS Communications, Inc.		1,233,998	$	12,265,940
NII Holdings, Inc.*		2,377,019		16,948,146
				29,214,086
TOTAL LONG-TERM INVESTMENTS (cost $2,373,225,479)				3,079,149,465
SHORT-TERM INVESTMENT — 9.7%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $308,253,710; includes $197,397,314 of cash collateral for securities on loan)(b)(w) (Note 4)		308,253,710		308,253,710
TOTAL INVESTMENTS — 106.9% (cost $2,681,479,189)				3,387,403,175
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.9)%				(218,574,675	)
NET ASSETS — 100.0%			$	3,168,828,500

The following abbreviation is used in the Portfolio description:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $197,305,063; cash collateral of $197,397,314 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A58

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	3,014,516,309	$	64,633,156	$	—
Affiliated Money Market Mutual Fund		308,253,710		—		—
Total	$	3,322,770,019	$	64,633,156	$	—

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

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

Healthcare Providers & Services	2.5	%
Hotels, Restaurants & Leisure	2.4
Commercial Banks	2.2
Road & Rail	1.9
Metals & Mining	1.8
Communications Equipment	1.8
Personal Products	1.4
Independent Power Producers & Energy Traders	1.3
Airlines	1.3
Electronic Equipment & Instruments	1.3
Auto Components	1.2
Insurance	1.0
Wireless Telecommunication Services	0.9
Diversified Telecommunication Services	0.9
Consumer Finance	0.7
Semiconductors & Semiconductor Equipment	0.7
Automobiles	0.4
	106.9
Liabilities in excess of other assets	(6.9	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A59

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments at value, including securities on loan of $197,305,063:
Unaffiliated investments (cost $2,373,225,479)	$	3,079,149,465
Affiliated investments (cost $308,253,710)		308,253,710
Receivable for investments sold		3,368,765
Dividends receivable		844,253
Tax reclaim receivable		65,707
Receivable for Series shares sold		12,028
Prepaid expenses		19,826
Total Assets		3,391,713,754
LIABILITIES
Collateral for securities on loan		197,397,314
Payable for investments purchased		23,679,235
Management fee payable		1,198,069
Payable for Series shares repurchased		355,072
Accrued expenses and other liabilities		252,948
Deferred trustees’ fees		990
Affiliated transfer agent fees payable		926
Distribution fee payable		381
Administrative payable		319
Total Liabilities		222,885,254
NET ASSETS	$	3,168,828,500
Net assets were comprised of:
Paid-in capital	$	2,624,096,149
Retained earnings		544,732,351
Net assets, December 31, 2012	$	3,168,828,500
Class I:
Net asset value and redemption price per share, $3,167,012,809 / 118,127,213 outstanding shares of beneficial interest	$	26.81
Class II:
Net asset value and redemption price per share, $1,815,691 / 67,006 outstanding shares of beneficial interest	$	27.10

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INVESTMENT INCOME
Unaffiliated dividend income (net of $746,913 foreign withholding tax)	$	45,935,279
Affiliated income from securities lending, net		1,829,575
Affiliated dividend income		146,125
		47,910,979
EXPENSES
Management fee		14,241,111
Distribution fee—Class II		4,735
Administration fee—Class II		2,841
Shareholders’ reports		305,000
Custodian’s fees and expenses		225,000
Trustees’ fees		42,000
Insurance expenses		35,000
Audit fee		23,000
Legal fees and expenses		17,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		4,000
Loan interest expense (Note 8)		14
Miscellaneous		21,806
Total expenses		14,933,507
NET INVESTMENT INCOME		32,977,472
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		160,094,550
Foreign currency transactions		(593	)
		160,093,957
Net change in unrealized appreciation (depreciation) on:
Investments		208,969,878
Foreign currencies		422
		208,970,300
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		369,064,257
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	402,041,729

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	32,977,472		$	18,821,831
Net realized gain on investment and foreign currency transactions		160,093,957			204,252,562
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		208,970,300			(327,809,092	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		402,041,729			(104,734,699	)
DISTRIBUTIONS
Class I		(18,817,932	)		(22,097,344	)
Class II		(4,233	)		(4,010	)
TOTAL DISTRIBUTIONS		(18,822,165	)		(22,101,354	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		17,165,247			19,970,190
Series shares issued in reinvestment of distributions		18,822,165			22,101,354
Series shares repurchased		(249,839,713	)		(242,019,698	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(213,852,301	)		(199,948,154	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		169,367,263			(326,784,207	)
NET ASSETS:
Beginning of year		2,999,461,237			3,326,245,444
End of year	$	3,168,828,500		$	2,999,461,237

SEE NOTES TO FINANCIAL STATEMENTS.

A60

	FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 98.0%
COMMON STOCKS — 64.0%	Shares		Value (Note 2)
Aerospace & Defense — 1.2%
Alliant Techsystems, Inc.		26,900	$	1,666,724
BAE Systems PLC (United Kingdom)		30,491		169,476
Esterline Technologies Corp.*		8,500		540,685
European Aeronautic Defence and Space Co. NV (Netherlands)		8,412		331,613
Exelis, Inc.		34,300		386,561
General Dynamics Corp.		207,700		14,387,379
Huntington Ingalls Industries, Inc.		21,100		914,474
Northrop Grumman Corp.		192,900		13,036,182
Raytheon Co.		67,000		3,856,520
Singapore Technologies Engineering Ltd. (Singapore)		44,000		138,873
Spirit Aerosystems Holdings, Inc. (Class A Stock)*		122,100		2,072,037
Thales SA (France)		2,601		90,626
United Technologies Corp.		6,200		508,462
				38,099,612
Air Freight & Logistics — 0.5%
Deutsche Post AG (Germany)		8,384		184,663
United Parcel Service, Inc. (Class B Stock)		222,800		16,427,044
				16,611,707
Airlines — 0.1%
Alaska Air Group, Inc.*		20,600		887,654
Allegiant Travel Co.		12,600		924,966
Ryanair Holdings PLC (Ireland), ADR		7,700		263,956
Spirit Airlines, Inc.*		31,600		559,952
				2,636,528
Auto Components — 0.3%
Cie Generale des Etablissements Michelin (France) (Class B Stock)		3,616		346,483
Continental AG (Germany)		237		27,623
Delphi Automotive PLC*(a)		207,100		7,921,575
Lear Corp.		15,300		716,652
Toyoda Gosei Co. Ltd. (Japan)		4,700		95,536
				9,107,869
Automobiles — 0.4%
Bayerische Motoren Werke AG (Germany)		1,564		152,195
Daihatsu Motor Co. Ltd. (Japan)		1,000		19,923
Fiat SpA (Italy)*		16,091		81,057
Ford Motor Co.(a)		801,500		10,379,425
Fuji Heavy Industries Ltd. (Japan)		24,000		302,648
Isuzu Motors Ltd. (Japan)		12,000		71,609
Mazda Motor Corp. (Japan)*		12,000		24,628
Nissan Motor Co. Ltd. (Japan)		1,600		15,182
Suzuki Motor Corp. (Japan)		11,800		308,786
Thor Industries, Inc.		18,900		707,427
Toyota Motor Corp. (Japan)		7,900		368,900
Volkswagen AG (Germany)		138		29,938
				12,461,718
Beverages — 1.1%
Anheuser-Busch InBev NV (Belgium)		2,203		191,848

COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages (continued)
Asahi Breweries Ltd. (Japan)		1,800	$	38,327
Coca-Cola Amatil Ltd. (Australia)		7,466		104,922
Coca-Cola Co. (The)		464,000		16,820,000
Coca-Cola Enterprises, Inc.		113,100		3,588,663
Diageo PLC (United Kingdom)		5,009		145,896
Heineken Holding NV (Netherlands)		5,131		282,528
Heineken NV (Netherlands)		1,755		117,662
PepsiCo, Inc.		216,620		14,823,307
SABMiller PLC (United Kingdom)		10,042		466,063
				36,579,216
Biotechnology — 1.5%
Actelion Ltd. (Switzerland)		873		41,774
Alexion Pharmaceuticals, Inc.*		19,500		1,829,295
Amgen, Inc.		172,508		14,890,891
Biogen Idec, Inc.*		82,600		12,114,942
Celgene Corp.*		226,400		17,822,208
CSL Ltd. (Australia)		2,383		134,538
United Therapeutics Corp.*(a)		19,800		1,057,716
				47,891,364
Building Products — 0.1%
Asahi Glass Co. Ltd. (Japan)		5,000		36,508
Lennox International, Inc.		79,700		4,185,844
				4,222,352
Capital Markets — 1.2%
Aberdeen Asset Management PLC (United Kingdom)		48,219		290,155
Bank of New York Mellon Corp. (The)(a)		25,600		657,920
BlackRock, Inc. (Class A Stock)		56,500		11,679,115
Deutsche Bank AG (Germany)		915		40,256
Goldman Sachs Group, Inc. (The)		167,600		21,379,056
Hargreaves Lansdown PLC (United Kingdom)		23,666		264,692
T. Rowe Price Group, Inc.		84,600		5,509,998
				39,821,192
Chemicals — 1.1%
Air Liquide SA (France)		200		25,268
Asahi Kasei Corp. (Japan)		6,000		35,478
BASF SE (Germany)		6,971		659,181
CF Industries Holdings, Inc.		64,300		13,063,188
Eastman Chemical Co.		22,600		1,537,930
Israel Chemicals Ltd. (Israel)		2,988		35,985
Koninklijke DSM NV (Netherlands)		3,867		235,678
Kuraray Co. Ltd. (Japan)		1,500		19,664
LSB Industries, Inc.*		29,800		1,055,516
Mosaic Co. (The)		104,600		5,923,498
Nitto Denko Corp. (Japan)		800		39,399
RPM International, Inc.		22,200		651,792
Sherwin-Williams Co. (The)		82,800		12,736,296
Syngenta AG (Switzerland)		822		332,077
Yara International ASA (Norway)		6,008		299,550
				36,650,500
Commercial Banks — 2.4%
Aozora Bank Ltd. (Japan)		84,000		258,277

SEE NOTES TO FINANCIAL STATEMENTS.

A61

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
Australia & New Zealand Banking Group Ltd. (Australia)		3,576	$	94,180
Banco Santander SA (Spain)		17,643		143,386
Bank Hapoalim BM (Israel)*		62,475		268,045
Bank of Yokohama Ltd. (The) (Japan)		6,000		27,898
Barclays PLC (United Kingdom)		71,618		311,109
BB&T Corp.		208,200		6,060,702
BNP Paribas SA (France)		2,401		136,690
Chiba Bank Ltd. (The) (Japan)		3,000		17,574
Commonwealth Bank of Australia (Australia)		4,365		284,278
DBS Group Holdings Ltd. (Singapore)		9,000		110,489
DNB ASA (Norway)		24,693		315,617
Fifth Third Bancorp		49,700		754,943
HSBC Holdings PLC (United Kingdom)		79,506		842,511
Huntington Bancshares, Inc.		529,900		3,386,061
Joyo Bank Ltd. (The) (Japan)		3,000		14,254
KeyCorp		707,500		5,957,150
Mitsubishi UFJ Financial Group, Inc. (Japan)		56,900		307,892
Mizuho Financial Group, Inc. (Japan)		187,000		342,862
National Australia Bank Ltd. (Australia)		5,184		136,356
Oversea-Chinese Banking Corp. Ltd. (Singapore)		12,000		96,696
PNC Financial Services Group, Inc.		88,200		5,142,942
Regions Financial Corp.		145,000		1,032,400
Resona Holdings, Inc. (Japan)		67,100		306,806
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		37,024		316,765
Sumitomo Mitsui Financial Group, Inc. (Japan)		13,300		483,346
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		88,000		310,051
Swedbank AB (Sweden) (Class A Stock)		17,283		339,531
U.S. Bancorp		623,132		19,902,836
Wells Fargo & Co.		875,512		29,925,000
Westpac Banking Corp. (Australia)		24,056		659,132
				78,285,779
Commercial Services & Supplies — 0.2%
ADT Corp. (The)		89,500		4,160,855
Babcock International Group PLC (United Kingdom)		1,040		16,417
Copart, Inc.*		44,300		1,306,850
Dai Nippon Printing Co. Ltd. (Japan)		2,000		15,683
Deluxe Corp.(a)		9,600		309,504
Secom Co. Ltd. (Japan)		1,000		50,382
				5,859,691
Communications Equipment — 1.7%
Brocade Communications Systems, Inc.*		211,800		1,128,894

COMMON STOCKS (continued)	Shares		Value (Note 2)
Communications Equipment (continued)
Cisco Systems, Inc.		1,393,800	$	27,388,170
QUALCOMM, Inc.		422,800		26,222,056
				54,739,120
Computers & Peripherals — 3.4%
Apple, Inc.		138,600		73,877,958
Dell, Inc.		691,900		7,008,947
EMC Corp.*		327,400		8,283,220
Gemalto NV (France)		3,052		275,490
Hewlett-Packard Co.		1,116,800		15,914,400
NEC Corp. (Japan)*		142,000		299,526
NetApp, Inc.*		120,900		4,056,195
Toshiba Corp. (Japan)		19,000		75,206
				109,790,942
Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		3,947		100,032
Chiyoda Corp. (Japan)		5,000		71,626
Eiffage SA (France)		2,421		108,476
Ferrovial SA (Spain)		19,134		284,837
Fluor Corp.		19,200		1,127,808
JGC Corp. (Japan)		1,000		31,161
Koninklijke Boskalis Westminster NV (Netherlands)		3,437		155,583
URS Corp.		36,500		1,432,990
Vinci SA (France)		2,134		102,747
				3,415,260
Construction Materials — 0.1%
Eagle Materials, Inc.(a)		37,200		2,176,200
Imerys SA (France)		1,016		65,165
				2,241,365
Consumer Finance — 0.6%
Discover Financial Services		273,600		10,547,280
Portfolio Recovery Associates, Inc.*		3,200		341,952
SLM Corp.		435,700		7,463,541
				18,352,773
Containers & Packaging — 0.1%
Amcor Ltd. (Australia)		5,714		48,293
Ball Corp.(a)		21,800		975,550
Greif, Inc. (Class A Stock)		4,900		218,050
Owens-Illinois, Inc.*		149,800		3,186,246
				4,428,139
Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*		97,900		2,048,068
Diversified Financial Services — 2.7%
Bank of America Corp.		1,690,882		19,614,231
Citigroup, Inc.		745,450		29,490,002
Groupe Bruxelles Lambert SA (Belgium)		2,188		174,508
Industrivarden AB (Sweden) (Class C Stock)		3,449		57,463
Investment AB Kinnevik (Sweden) (Class B Stock)		962		20,122
Investor AB (Sweden) (Class B Stock)		12,318		323,596

SEE NOTES TO FINANCIAL STATEMENTS.

A62

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
JPMorgan Chase & Co.		854,094	$	37,554,513
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan)		630		27,100
NASDAQ OMX Group, Inc. (The)		73,600		1,840,736
ORIX Corp. (Japan)		490		55,350
				89,157,621
Diversified Telecommunication Services — 1.7%
AT&T, Inc.		769,847		25,951,542
BT Group PLC (United Kingdom)		63,318		241,572
Deutsche Telekom AG (Germany)		35,615		405,404
France Telecom SA (France)		8,762		97,205
Nippon Telegraph & Telephone Corp. (Japan)		8,000		336,824
Telecom Italia SpA (Italy)		44,278		40,163
Telecom Italia SpA-RSP (Italy)		198,008		157,594
Telenor ASA (Norway)		3,265		66,481
Telstra Corp. Ltd. (Australia)		20,406		92,985
Verizon Communications, Inc.		672,088		29,081,248
Vivendi SA (France)		6,110		138,184
				56,609,202
Electric Utilities — 1.1%
American Electric Power Co., Inc.		71,700		3,060,156
Duke Energy Corp.		120,600		7,694,280
El Paso Electric Co.		28,800		919,008
Electricite de France SA (France)		8,206		152,062
Enel SpA (Italy)		53,918		224,272
Energias de Portugal SA (Portugal)		93,326		283,879
Entergy Corp.		106,000		6,757,500
Exelon Corp.		227,400		6,762,876
Iberdrola SA (Spain)		21,564		120,430
NV Energy, Inc.		158,500		2,875,190
Power Assets Holdings Ltd. (Hong Kong)		6,500		55,767
PPL Corp.		93,600		2,679,768
Red Electrica Corp. SA (Spain)		918		45,346
Southern Co.		79,200		3,390,552
SP AusNet (Australia)		15,884		18,459
Xcel Energy, Inc.		54,600		1,458,366
				36,497,911
Electrical Equipment — 0.6%
Alstom SA (France)		3,052		122,947
Babcock & Wilcox Co. (The)		106,700		2,795,540
Emerson Electric Co.		289,700		15,342,512
EnerSys, Inc.*		30,000		1,128,900
Hubbell, Inc. (Class B Stock)		13,000		1,100,190
Sumitomo Electric Industries Ltd. (Japan)		2,200		25,430
				20,515,519
Electronic Equipment, Instruments & Components — 0.2%
Avnet, Inc.*		84,800		2,595,728
FUJIFILM Holdings Corp. (Japan)		1,300		26,156
Hitachi Ltd. (Japan)		22,000		129,459
Ingram Micro, Inc. (Class A Stock)*		90,300		1,527,876
Jabil Circuit, Inc.		112,200		2,164,338
Keyence Corp. (Japan)		200		55,465
Kyocera Corp. (Japan)		700		63,466
				6,562,488

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services — 0.7%
Aker Solutions ASA (Norway)		769	$	15,925
Bristow Group, Inc.		9,600		515,136
Ensco PLC (Class A Stock)		147,000		8,714,160
Geospace Technologies Corp.*		7,100		630,977
Helix Energy Solutions Group, Inc.*		21,800		449,952
Helmerich & Payne, Inc.		8,200		459,282
Noble Corp.		48,800		1,699,216
Oil States International, Inc.*		22,800		1,631,112
Schlumberger Ltd.		110,300		7,642,687
Seadrill Ltd. (Norway)		4,240		156,210
Tidewater, Inc.		25,000		1,117,000
Transocean Ltd.		1,663		74,558
Unit Corp.*		15,100		680,255
				23,786,470
Food & Staples Retailing — 1.9%
Aeon Co. Ltd. (Japan)		2,800		32,000
Casino Guichard Perrachon SA (France)		511		48,945
Costco Wholesale Corp.		75,000		7,407,750
CVS Caremark Corp.		424,800		20,539,080
Delhaize Group SA (Belgium)		6,787		273,374
J Sainsbury PLC (United Kingdom)		50,220		284,128
Koninklijke Ahold NV (Netherlands)		11,529		154,593
Kroger Co. (The)		364,700		9,489,494
Lawson, Inc. (Japan)		300		20,351
Seven & I Holdings Co. Ltd. (Japan)		3,500		98,668
Wal-Mart Stores, Inc.		332,400		22,679,652
Wesfarmers Ltd. (Australia)		2,917		112,542
Woolworths Ltd. (Australia)		13,920		427,044
				61,567,621
Food Products — 1.3%
Ajinomoto Co., Inc. (Japan)		3,000		39,697
Archer-Daniels-Midland Co.		481,300		13,182,807
Associated British Foods PLC (United Kingdom)		808		20,643
Bunge Ltd.		12,000		872,280
Darling International, Inc.*		44,000		705,760
General Mills, Inc.		64,700		2,614,527
Ingredion, Inc.		63,000		4,059,090
Kraft Foods Group, Inc.		218,500		9,935,195
Nestle SA (Switzerland)		15,102		985,307
Suedzucker AG (Germany)		6,676		274,032
Tate & Lyle PLC (United Kingdom)		22,685		280,665
Tyson Foods, Inc. (Class A Stock)		490,400		9,513,760
Unilever NV (Netherlands)		7,636		292,182
				42,775,945
Gas Utilities
Enagas (Spain)		12,616		270,287
Gas Natural SDG SA (Spain)		3,634		65,512
Tokyo Gas Co. Ltd. (Japan)		8,000		36,552
UGI Corp.		15,900		520,089
				892,440
Healthcare Equipment & Supplies — 2.2%
Abbott Laboratories		393,100		25,748,050
C.R. Bard, Inc.		19,800		1,935,252
CareFusion Corp.*		103,200		2,949,456

SEE NOTES TO FINANCIAL STATEMENTS.

A63

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Equipment & Supplies (continued)
Coloplast A/S (Denmark) (Class B Stock)		472	$	23,147
Covidien PLC		145,200		8,383,848
Elekta AB (Sweden) (Class B Stock)		1,739		27,115
Hill-Rom Holdings, Inc.		15,400		438,900
Intuitive Surgical, Inc.*		18,200		8,924,734
Medtronic, Inc.		277,100		11,366,642
St. Jude Medical, Inc.		94,000		3,397,160
Stryker Corp.		130,900		7,175,938
				70,370,242
Healthcare Providers & Services — 1.1%
Fresenius SE & Co. KGaA (Germany)		348		40,044
Humana, Inc.		119,500		8,201,285
McKesson Corp.		10,500		1,018,080
Ramsay Health Care Ltd. (Australia)		3,315		94,552
UnitedHealth Group, Inc.		410,500		22,265,520
WellPoint, Inc.		72,600		4,422,792
				36,042,273
Hotels, Restaurants & Leisure — 0.8%
Galaxy Entertainment Group Ltd. (Hong Kong)*		77,000		308,753
International Game Technology		160,400		2,272,868
Marriott International, Inc. (Class A Stock)		88,200		3,287,214
McDonald’s Corp.		170,100		15,004,521
Oriental Land Co. Ltd. (Japan)		2,300		278,540
Panera Bread Co. (Class A Stock)*(a)		31,600		5,019,028
SJM Holdings Ltd. (Hong Kong)		9,000		21,241
Tatts Group Ltd. (Australia)		6,511		20,508
TUI Travel PLC (United Kingdom)		57,350		266,120
Whitbread PLC (United Kingdom)		1,015		40,788
				26,519,581
Household Durables — 0.5%
La-Z-Boy, Inc.		14,100		199,515
PulteGroup, Inc.*		183,300		3,328,728
Sekisui House Ltd. (Japan)		2,000		21,899
Sony Corp. (Japan)		4,700		52,713
Tempur-Pedic International, Inc.*(a)		58,700		1,848,463
Tupperware Brands Corp.		40,300		2,583,230
Whirlpool Corp.		64,900		6,603,575
				14,638,123
Household Products — 1.4%
Colgate-Palmolive Co.		72,600		7,589,604
Procter & Gamble Co. (The)		531,805		36,104,241
Reckitt Benckiser Group PLC (United Kingdom)		5,761		365,708
Svenska Cellulosa AB (Sweden) (Class B Stock)		2,646		57,531
				44,117,084
Independent Power Producers & Energy Traders — 0.3%
AES Corp.		920,300		9,847,210
Industrial Conglomerates — 1.2%
General Electric Co.		1,775,200		37,261,448

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates (continued)
Hutchison Whampoa Ltd. (Hong Kong)		24,000	$	254,327
Keppel Corp. Ltd. (Singapore)		4,000		36,526
Koninklijke Philips Electronics NV (Netherlands)		8,145		215,682
Siemens AG (Germany)		578		63,205
				37,831,188
Insurance — 2.1%
ACE Ltd.		59,300		4,732,140
Aegon NV (Netherlands)		48,256		311,727
Aflac, Inc.		98,900		5,253,568
Ageas (Belgium)		1,090		32,207
AIA Group Ltd. (Hong Kong)		6,200		24,591
Allianz SE (Germany)		2,593		361,458
Allied World Assurance Co. Holdings AG		10,400		819,520
American International Group, Inc.*		361,100		12,746,830
AXA SA (France)		11,364		204,051
Berkshire Hathaway, Inc. (Class B Stock)*		147,100		13,194,870
Chubb Corp. (The)		88,200		6,643,224
Genworth Financial, Inc. (Class A Stock)*		585,100		4,394,101
Hannover Rueckversicherung AG (Germany)		3,578		280,244
Insurance Australia Group Ltd. (Australia)		9,931		48,914
Legal & General Group PLC (United Kingdom)		136,399		327,068
Loews Corp.		12,900		525,675
Marsh & McLennan Cos., Inc.		54,100		1,864,827
MetLife, Inc.		384,500		12,665,430
Muenchener Rueckversicherungs AG (Germany)		2,258		407,634
Primerica, Inc.		13,900		417,139
ProAssurance Corp.		24,200		1,020,998
Sampo OYJ (Finland) (Class A Stock)		2,193		71,022
Standard Life PLC (United Kingdom)		57,808		316,006
Swiss Life Holding AG (Switzerland)		672		89,696
Swiss Re AG (Switzerland)		5,148		373,224
Symetra Financial Corp.		61,800		802,164
Unum Group		22,400		466,368
				68,394,696
Internet & Catalog Retail — 0.2%
Amazon.com, Inc.*		2,200		552,508
Expedia, Inc.		63,100		3,877,495
HSN, Inc.		48,500		2,671,380
				7,101,383
Internet Software & Services — 0.9%
Akamai Technologies, Inc.*		137,100		5,608,761
Dena Co. Ltd. (Japan)		500		16,402
Dice Holdings, Inc.*		23,900		219,402
eBay, Inc.*		4,500		229,590
Google, Inc. (Class A Stock)*		23,800		16,883,006
IAC/InterActiveCorp		32,500		1,537,250

SEE NOTES TO FINANCIAL STATEMENTS.

A64

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services (continued)
Yahoo Japan Corp. (Japan)		434	$	140,527
Yahoo!, Inc.*		287,600		5,723,240
				30,358,178
IT Services — 1.9%
Accenture PLC (Class A Stock)		250,800		16,678,200
Amadeus IT Holding SA (Spain) (Class A Stock)		910		22,997
Broadridge Financial Solutions, Inc.		19,900		455,312
Cap Gemini SA (France)		6,355		277,890
Cognizant Technology Solutions Corp. (Class A Stock)*		40,100		2,969,405
CoreLogic, Inc.*		124,600		3,354,232
Global Payments, Inc.		35,400		1,603,620
International Business Machines Corp.		119,700		22,928,535
Lender Processing Services, Inc.		135,900		3,345,858
Otsuka Corp. (Japan)		1,900		143,755
SAIC, Inc.(a)		278,200		3,149,224
Total System Services, Inc.		135,100		2,893,842
Unisys Corp.*		44,000		761,200
Visa, Inc. (Class A Stock)		32,600		4,941,508
				63,525,578
Leisure Equipment & Products — 0.2%
Namco Bandai Holdings, Inc. (Japan)		20,600		267,021
Polaris Industries, Inc.		68,600		5,772,690
Smith & Wesson Holding Corp.*(a)		205,300		1,732,732
				7,772,443
Life Sciences Tools & Services — 0.6%
Bruker Corp.*		31,300		477,951
Life Technologies Corp.*		135,400		6,645,432
Thermo Fisher Scientific, Inc.		200,900		12,813,402
				19,936,785
Machinery — 0.8%
AGCO Corp.*		20,800		1,021,696
Deere & Co.		69,200		5,980,264
Fiat Industrial SpA (Italy)		27,401		300,196
GEA Group AG (Germany)		576		18,729
Hino Motors Ltd. (Japan)		31,000		280,203
Ingersoll-Rand PLC		133,500		6,402,660
Kone OYJ (Finland) (Class B Stock)		4,148		306,787
Kubota Corp. (Japan)		5,000		57,487
Makita Corp. (Japan)		500		23,227
Middleby Corp.*		1,700		217,957
Mitsubishi Heavy Industries Ltd. (Japan)		14,000		67,721
Mueller Industries, Inc.		16,800		840,504
Nordson Corp.		8,400		530,208
Oshkosh Corp.*		141,600		4,198,440
Timken Co.		65,500		3,132,865
Valmont Industries, Inc.		12,100		1,652,255
				25,031,199
Marine
Matson, Inc.		36,100		892,392

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media — 1.8%
Belo Corp. (Class A Stock)		87,500	$	671,125
British Sky Broadcasting Group PLC (United Kingdom)		5,010		63,189
CBS Corp. (Class B Stock)		112,300		4,273,015
Cinemark Holdings, Inc.		13,800		358,524
Comcast Corp. (Class A Stock)		519,373		19,414,163
DIRECTV*		321,800		16,141,488
Gannett Co., Inc.		60,100		1,082,401
Hakuhodo DY Holdings, Inc. (Japan)		1,600		103,538
ITV PLC (United Kingdom)		170,250		295,345
News Corp. (Class A Stock)		118,800		3,034,152
Viacom, Inc. (Class B Stock)		19,500		1,028,430
Walt Disney Co. (The)		244,200		12,158,718
				58,624,088
Metals & Mining — 1.0%
Alcoa, Inc.		680,000		5,902,400
Anglo American PLC (United Kingdom)		1,720		54,220
BHP Billiton Ltd. (Australia)		15,084		588,888
BHP Billiton PLC (United Kingdom)		8,566		302,154
Boliden AB (Sweden)		5,139		97,646
Coeur d’Alene Mines Corp.*		125,500		3,087,300
Evraz PLC (United Kingdom)		24,132		103,568
Fortescue Metals Group Ltd. (Australia)(a)		59,050		294,273
Freeport-McMoRan Copper & Gold, Inc.		338,500		11,576,700
Fresnillo PLC (United Kingdom)		1,198		36,745
Iluka Resources Ltd. (Australia)(a)		3,964		38,308
JFE Holdings, Inc. (Japan)		1,000		18,847
Kazakhmys PLC (United Kingdom)		21,213		274,173
Newcrest Mining Ltd. (Australia)		5,663		132,473
OZ Minerals Ltd. (Australia)		38,058		270,273
Reliance Steel & Aluminum Co.		56,500		3,508,650
Rio Tinto Ltd. (Australia)		2,029		142,658
Rio Tinto PLC (United Kingdom)		6,804		396,850
Southern Copper Corp.		123,500		4,675,710
Sumitomo Metal Mining Co. Ltd. (Japan)		2,000		28,232
Worthington Industries, Inc.		53,100		1,380,069
				32,910,137
Multiline Retail — 0.8%
Dillard’s, Inc. (Class A Stock)		64,600		5,411,542
Dollar General Corp.*		31,600		1,393,244
Dollar Tree, Inc.*		168,700		6,842,472
Macy’s, Inc.		275,300		10,742,206
Next PLC (United Kingdom)		4,979		302,239
Target Corp.		48,200		2,851,994
				27,543,697
Multi-Utilities — 0.6%
Alliant Energy Corp.		33,600		1,475,376
Ameren Corp.		133,900		4,113,408
Avista Corp.		12,800		308,608
Consolidated Edison, Inc.		85,200		4,732,008
GDF Suez (France)		18,480		380,618
National Grid PLC (United Kingdom)		39,562		453,755

SEE NOTES TO FINANCIAL STATEMENTS.

A65

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities (continued)
PG&E Corp.		40,100	$	1,611,218
Public Service Enterprise Group, Inc.		245,400		7,509,240
				20,584,231
Office Electronics
Konica Minolta Holdings, Inc. (Japan)		2,000		14,393
Ricoh Co. Ltd. (Japan)		3,000		31,843
				46,236
Oil, Gas & Consumable Fuels — 6.3%
Apache Corp.		193,100		15,158,350
BP PLC (United Kingdom)		94,718		658,569
Cabot Oil & Gas Corp.		196,800		9,788,832
Chevron Corp.		398,156		43,056,590
ConocoPhillips		360,734		20,918,965
ENI SpA (Italy)		22,363		547,841
Exxon Mobil Corp.		751,116		65,009,090
Hess Corp.		70,500		3,733,680
Inpex Corp. (Japan)		10		53,483
JX Holdings, Inc. (Japan)		6,400		36,133
Marathon Petroleum Corp.		141,900		8,939,700
Occidental Petroleum Corp.		208,100		15,942,541
OMV AG (Austria)		7,615		275,939
Phillips 66		175,000		9,292,500
Repsol SA (Spain)		2,311		47,174
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		24,784		860,261
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		19,506		695,906
Statoil ASA (Norway)		2,805		70,699
Tesoro Corp.		75,700		3,334,585
Total SA (France)		10,657		554,518
Williams Cos., Inc. (The)		227,800		7,458,172
				206,433,528
Paper & Forest Products
Schweitzer-Mauduit International, Inc.		8,400		327,852
Stora Enso OYJ (Finland) (Class R Stock)		39,140		273,958
				601,810
Personal Products
Herbalife Ltd.(a)		24,200		797,148
Kao Corp. (Japan)		1,500		39,086
				836,234
Pharmaceuticals — 2.8%
Astellas Pharma, Inc. (Japan)		2,100		94,419
AstraZeneca PLC (United Kingdom)		11,194		530,483
Bayer AG (Germany)		3,555		339,013
Eli Lilly & Co.		140,200		6,914,664
Endo Health Solutions, Inc.*		112,400		2,952,748
GlaxoSmithKline PLC (United Kingdom)		14,433		314,241
Johnson & Johnson(a)		345,098		24,191,370
Merck & Co., Inc.		285,200		11,676,088
Novartis AG (Switzerland)		10,799		682,208

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Novo Nordisk A/S (Denmark) (Class B Stock)		1,905	$	310,204
Orion OYJ (Finland) (Class B Stock)		6,965		205,071
Otsuka Holdings Co. Ltd. (Japan)		1,700		47,891
Pfizer, Inc.		1,509,397		37,855,677
Roche Holding AG (Switzerland)		4,539		917,701
Sanofi (France)		8,401		796,670
Teva Pharmaceutical Industries Ltd. (Israel)		11,101		412,508
Warner Chilcott PLC (Class A Stock)		123,400		1,485,736
Watson Pharmaceuticals, Inc.*		13,300		1,143,800
				90,870,492
Professional Services — 0.2%
Capita Group PLC (The) (United Kingdom)		6,844		84,571
Equifax, Inc.		114,000		6,169,680
Experian PLC (United Kingdom)		2,969		47,851
				6,302,102
Real Estate Investment Trusts — 1.2%
American Capital Agency Corp.		173,300		5,015,302
American Tower Corp.		68,800		5,316,176
Ascendas Real Estate Investment Trust (Singapore)		140,000		273,969
Camden Property Trust		32,100		2,189,541
CommonWealth REIT		83,700		1,325,808
DiamondRock Hospitality Co.		119,600		1,076,400
General Growth Properties, Inc.		157,800		3,132,330
GPT Group (Australia)		21,177		81,514
HCP, Inc.		122,100		5,516,478
Hospitality Properties Trust		157,900		3,698,018
Link REIT (The) (Hong Kong)		62,000		310,503
Resource Capital Corp.		54,100		302,960
RLJ Lodging Trust		43,000		832,910
Simon Property Group, Inc.		40,500		6,402,645
Vornado Realty Trust		55,000		4,404,400
Westfield Retail Trust (Australia)		12,158		38,358
Winthrop Realty Trust		31,300		345,865
				40,263,177
Real Estate Management & Development — 0.2%
Cheung Kong Holdings Ltd. (Hong Kong)		6,000		93,357
Daiwa House Industry Co. Ltd. (Japan)		2,000		34,386
Henderson Land Development Co. Ltd. (Hong Kong)		4,000		28,637
Hysan Development Co. Ltd. (Hong Kong)		3,000		14,589
Jones Lang LaSalle, Inc.		38,700		3,248,478
Keppel Land Ltd. (Singapore)		82,000		274,639
Lend Lease Group (Australia)		22,132		216,137
New World Development Co. Ltd. (Hong Kong)		17,000		26,914
Sino Land Co. Ltd. (Hong Kong)		62,000		113,531
Sun Hung Kai Properties Ltd. (Hong Kong)		17,000		257,809
Swire Properties Ltd. (Hong Kong)		83,000		279,545

SEE NOTES TO FINANCIAL STATEMENTS.

A66

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development (continued)
Wharf Holdings Ltd. (Hong Kong)		28,000	$	223,152
Wheelock & Co. Ltd. (Hong Kong)		4,000		20,404
				4,831,578
Road & Rail — 1.0%
Aurizon Holdings Ltd. (Australia)		8,544		33,598
Central Japan Railway Co. (Japan)		3,800		308,406
ComfortDelGro Corp. Ltd. (Singapore)		43,000		63,258
CSX Corp.		553,100		10,912,663
DSV A/S (Denmark)		1,703		44,061
East Japan Railway Co. (Japan)		5,500		355,653
Hankyu Hanshin Holdings, Inc. (Japan)		5,000		25,852
MTR Corp. Ltd. (Hong Kong)		6,500		25,756
Norfolk Southern Corp.		156,800		9,696,512
Odakyu Electric Railway Co. Ltd. (Japan)		3,000		31,213
Tokyu Corp. (Japan)		5,000		28,169
Union Pacific Corp.		85,000		10,686,200
West Japan Railway Co. (Japan)		2,400		94,552
				32,305,893
Semiconductors & Semiconductor Equipment — 1.1%
ARM Holdings PLC (United Kingdom)		27,043		341,521
Intel Corp.		1,095,600		22,602,228
Kulicke & Soffa Industries, Inc.*		86,400		1,035,936
LSI Corp.*		809,200		5,729,136
NVIDIA Corp.		506,700		6,227,343
Silicon Laboratories, Inc.*		9,500		397,195
				36,333,359
Software — 2.7%
BMC Software, Inc.*		65,600		2,601,696
CA, Inc.		80,200		1,762,796
Dassault Systemes SA (France)		1,207		134,952
Intuit, Inc.		149,400		8,889,300
Microsoft Corp.		1,404,000		37,528,920
Oracle Corp.		1,047,300		34,896,036
SAP AG (Germany)		2,705		217,518
Symantec Corp.*		45,400		853,974
				86,885,192
Specialty Retail — 1.8%
ABC-Mart, Inc. (Japan)		1,100		47,889
Bed Bath & Beyond, Inc.*		39,500		2,208,445
Best Buy Co., Inc.(a)		28,200		334,170
Express, Inc.*(a)		47,900		722,811
Finish Line, Inc. (The) (Class A Stock)		41,800		791,274
Foot Locker, Inc.		19,300		619,916
Gap, Inc. (The)		347,300		10,780,192
Home Depot, Inc. (The)		260,350		16,102,647
Inditex SA (Spain)		2,413		339,044
PetSmart, Inc.		36,600		2,501,244
Ross Stores, Inc.		172,200		9,324,630
Select Comfort Corp.*		7,900		206,743
TJX Cos., Inc.		372,600		15,816,870
				59,795,875

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods — 0.9%
Adidas AG (Germany)		360	$	32,130
Carter’s, Inc.*		42,100		2,342,865
Christian Dior SA (France)		90		15,341
Cie Financiere Richemont SA (Switzerland)		5,708		448,052
Coach, Inc.		160,400		8,903,804
NIKE, Inc. (Class B Stock)		327,400		16,893,840
VF Corp.		2,900		437,813
				29,073,845
Tobacco — 0.7%
Altria Group, Inc.		260,500		8,184,910
British American Tobacco PLC (United Kingdom)		2,802		142,440
Imperial Tobacco Group PLC (United Kingdom)		3,328		129,032
Japan Tobacco, Inc. (Japan)		13,300		375,717
Lorillard, Inc.		9,700		1,131,699
Philip Morris International, Inc.		152,600		12,763,464
Reynolds American, Inc.(a)		33,300		1,379,619
				24,106,881
Trading Companies & Distributors — 0.1%
Applied Industrial Technologies, Inc.		8,800		369,688
DXP Enterprises, Inc.*		5,700		279,699
ITOCHU Corp. (Japan)		30,800		325,528
Marubeni Corp. (Japan)		43,000		308,536
Sumitomo Corp. (Japan)		5,100		65,432
Toyota Tsusho Corp. (Japan)		11,600		286,320
W.W. Grainger, Inc.		6,900		1,396,353
Wolseley PLC (United Kingdom)		2,976		142,309
				3,173,865
Water Utilities — 0.2%
American Water Works Co., Inc.		143,200		5,317,016
Wireless Telecommunication Services
KDDI Corp. (Japan)		4,800		339,347
Millicom International Cellular SA (Luxembourg)		292		25,346
NTT DoCoMo, Inc. (Japan)		23		33,155
Softbank Corp. (Japan)		4,200		153,893
Vodafone Group PLC (United Kingdom)		90,143		226,915
				778,656
TOTAL COMMON STOCKS (cost $1,686,577,839)				2,091,604,659
EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund (cost $1,652,017)		30,600		1,738,692
PREFERRED STOCKS
Automobiles
Volkswagen AG (Germany)		961		220,502
Banking
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		22,000		613,800

SEE NOTES TO FINANCIAL STATEMENTS.

A67

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

PREFERRED STOCKS (continued)					Shares		Value (Note 2)
Media
ProSiebenSat.1 Media AG (Germany)						9,220	$	262,622
TOTAL PREFERRED STOCKS (cost $987,183)								1,096,924
					Units
RIGHTS
Oil, Gas & Consumable Fuels
Repsol SA (Spain)* (cost $0)						2,311		1,409
	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#
ASSET-BACKED SECURITIES — 2.1%
Non-Residential Mortgage-Backed Securities — 1.9%
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.569%	10/20/19	$	2,557		2,490,234
American Express Credit Account Master Trust, Ser. 2012-4, Class C, 144A(b)	AA-(c)		1.009%	05/15/20		3,900		3,900,651
ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b)	Aaa		1.911%	05/17/21		500		501,499
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.574%	01/26/20		1,622		1,587,278
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.609%	01/15/16		3,209		3,209,584
Bank One Issuance Trust, Ser. 2003-C3, Class C3	Baa2		4.770%	02/16/16		5,200		5,292,784
Battalion CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A1, 144A(b)	AAA(c)		1.537%	11/15/19		2,500		2,490,817
BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.562%	05/25/17		621		614,601
Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, Class A1, 144A(b)	Aaa		0.575%	04/25/19		2,279		2,227,530
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.563%	08/03/19		404		395,834
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(b)	Baa2		0.681%	03/24/17		2,200		2,183,306
Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b)	Baa2		0.611%	02/20/15		1,350		1,349,977
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.569%	07/22/20		959		942,219
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aa1		0.778%	03/15/20		1,000		957,753
GE Capital Credit Card Master Note Trust, Ser. 2011-2, Class B(b)	A2		1.209%	05/15/19		8,345		8,409,565
GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b)	A2		1.059%	06/15/18		5,500		5,529,249
Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.600%	12/15/17		230		229,649
Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(b)	Aaa		0.700%	07/15/16		7		6,900
Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A, 144A(b)	AAA(c)		1.751%	09/06/22		1,863		1,861,623
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.561%	10/19/20		677		664,152
LCM LP (Cayman Islands), Ser. 2004-2A, Class A, 144A(b)	Aaa		0.639%	10/22/16		225		224,377
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.571%	06/01/17		1,651		1,625,159

SEE NOTES TO FINANCIAL STATEMENTS.

A68

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.568%	09/15/17	$	1,192	$	1,172,265
Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A1A, 144A(b)	Aaa		2.003%	05/18/23		1,350		1,353,993
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.558%	03/15/18		381		368,675
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(b)	Aaa		1.791%	11/22/23		1,200		1,201,540
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(b)	AA(c)		2.511%	11/22/23		1,200		1,186,307
Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.961%	08/17/22		500		501,391
Sound Point CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		3.084%	10/20/23		1,100		1,118,372
Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b)	Aaa		0.572%	05/27/20		2,572		2,512,043
SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A	Aaa		5.250%	02/20/21		107		107,465
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		2,151		2,150,820
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.563%	11/01/18		2,400		2,368,805
								60,736,417
Residential Mortgage-Backed Securities — 0.2%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.860%	03/25/33		339		256,920
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3(b)	B3		4.853%	07/25/35		302		257,134
Equity One ABS, Inc., Ser. 2004-3, Class M1(d)	Ba1		5.330%	07/25/34		559		467,428
GSAMP Trust, Ser. 2004-HE2, Class A3C(b)	Aaa		0.790%	09/25/34		674		655,571
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.701%	01/20/35		265		252,333
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.740%	06/25/34		926		792,932
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.410%	05/25/33		554		521,090
Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(b)	B3		1.155%	06/25/34		1,112		1,024,277
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.260%	12/27/33		1,017		963,523
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.110%	07/25/32		591		502,446
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.485%	09/25/32		615		553,413
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(b)	Ba3		0.975%	02/25/34		987		888,019
Securitized Asset Backed Receivables LLC Trust, Ser. 2006-FR3, Class A3(b)	Ca		0.460%	05/25/36		1,078		549,205
								7,684,291
TOTAL ASSET-BACKED SECURITIES (cost $68,548,965)								68,420,708
BANK LOANS(b) — 0.4%
Automotive
Schaeffler AG (Germany)	Ba3		6.000%	01/27/17		750		757,032
Chemicals — 0.1%
Ashland, Inc.	Baa3		2.312%	08/23/16		1,678		1,679,729

SEE NOTES TO FINANCIAL STATEMENTS.

A69

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

BANK LOANS(b) (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods — 0.1%
Del Monte Foods Co.	Ba3		4.500%	03/08/18	$	1,098	$	1,098,694
Gaming
Scientific Games Corp.	Ba1		3.210%	06/30/15		645		643,569
Healthcare & Pharmaceutical — 0.1%
Community Health Systems, Inc.	Ba3		2.811%	10/25/16		491		489,414
HCA, Inc.	Ba3		3.462%	05/01/18		370		370,232
HCA, Inc.	Ba3		3.561%	03/31/17		886		887,996
RPI Finance Trust	Baa2		4.000%	11/09/18		1,076		1,085,629
Universal Health Services, Inc.	Ba2		2.060%	08/15/16		1,093		1,093,125
								3,926,396
Pipelines & Other
Energy Transfer Equity LP	Ba2		3.750%	03/23/17		900		906,047
Technology — 0.1%
First Data Corp.	B1		4.211%	03/26/18		2,134		2,029,889
First Data Corp.	B1		5.211%	03/24/17		162		158,972
Flextronics International Ltd. (Singapore)	Ba1		0.381%	10/01/14		533		532,439
Flextronics International Ltd. (Singapore)	Ba1		2.462%	10/01/14		153		152,999
Sensata Technologies, Inc.	Ba2		3.750%	05/12/18		434		435,634
								3,309,933
TOTAL BANK LOANS (cost $12,308,122)								12,321,400
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,569		1,986,071
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		3.002%	02/25/35		579		560,808
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		2.770%	03/25/35		450		417,778
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	B2		3.038%	02/25/37		1,238		1,233,710
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		509		520,211
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.991%	07/25/35		820		822,602
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		169		173,952
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa3		2.775%	02/25/34		525		529,696
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		212		214,723
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $6,839,965)								6,459,551
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		2,268		2,292,883
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		3,700		3,735,509
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.685%	06/10/49		830		829,563
Banc of America Commercial Mortgage Inc., Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		1,920		2,024,728
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,900		4,248,040
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2007-2, Class A3(b)	AAA(c)		5.598%	04/10/49		1,500		1,667,119

SEE NOTES TO FINANCIAL STATEMENTS.

A70

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4	AAA(c)		5.405%	12/11/40	$	2,000	$	2,227,288
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(b)	Aaa		5.702%	12/10/49		1,000		1,178,161
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.304%	01/15/46		1,200		1,343,971
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%	10/15/48		580		666,618
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(c)		5.440%	09/15/30		426		431,782
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C7, Class A4(b)	AAA(c)		5.748%	06/10/46		5,450		6,189,565
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		334		335,826
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, Class A2	Aaa		1.765%	10/15/45		3,100		3,184,456
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR5, Class A3	Aaa		2.540%	12/10/45		1,000		999,362
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4	Aaa		4.835%	07/15/36		282		286,732
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	Aa2		4.832%	04/15/37		1,900		2,042,443
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(c)		5.409%	02/15/39		2,700		3,046,405
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AAA(c)		5.409%	02/15/39		640		708,477
CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA+(c)		5.223%	08/15/48		1,230		1,394,286
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(c)		5.803%	05/15/46		1,231		1,311,127
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b)	AA+(c)		1.479%	05/25/22		25,947		2,767,440
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b)	AA+(c)		1.516%	06/25/22		7,297		811,171
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b)	AA+(c)		1.755%	08/25/16		7,826		366,354
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b)	AA+(c)		1.785%	05/25/19		19,971		1,904,509
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1(b)	AA+(c)		1.712%	07/25/19		20,995		1,951,461
GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(b)	Aaa		5.307%	11/10/45		2,585		2,890,974
GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(b)	AAA(c)		5.296%	03/10/44		2,060		2,310,929
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(c)		4.697%	05/10/43		2,720		2,906,959
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A3	Aaa		4.569%	08/10/42		516		517,501
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5	Aa2		5.224%	04/10/37		8,050		8,894,308
Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(a)(b)	Aaa		5.867%	07/10/38		1,940		2,227,915
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		2,667		2,752,069
GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB	AAA(c)		5.587%	04/10/38		4,677		4,968,811
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		1,031		1,036,505
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB	Aaa		4.853%	03/15/46		1,392		1,437,045

SEE NOTES TO FINANCIAL STATEMENTS.

A71

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42	$	312	$	313,013
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,079,820
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		2,475		2,563,287
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%	10/15/42		1,270		1,381,364
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		2,818		3,006,154
JPMorgan Chase Commercial Mortgage Securities Corp., I/O, Ser. 2006-LDP6, Class X2(b)	Aaa		0.050%	04/15/43		78,211		6,570
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP7, Class A3A(b)	Aaa		5.871%	04/15/45		480		485,349
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD12, Class A2	Aaa		5.827%	02/15/51		844		866,469
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%	06/15/45		2,100		2,262,763
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		1,700		1,707,644
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5	AAA(c)		4.826%	08/15/29		1,569		1,602,793
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(c)		5.263%	11/15/40		1,510		1,659,736
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(c)		5.084%	02/15/31		304		303,826
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2	Aaa		5.532%	03/15/32		55		54,780
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4	Aaa		5.661%	03/15/39		2,676		3,036,891
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		2,000		2,050,012
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	AA(c)		5.684%	05/12/39		930		1,042,985
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	A(c)		5.532%	02/12/39		530		589,334
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		5.893%	06/12/46		1,795		2,067,745
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		2,397		2,461,777
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.420%	03/12/44		1,500		1,677,270
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(c)		5.691%	10/15/42		2,600		2,935,127
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		4,720		5,431,073
Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31	Aaa		5.439%	02/12/44		1,230		1,286,354
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		3,865		4,052,752
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(c)		5.651%	06/11/42		1,031		1,063,204
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	Aaa		2.792%	12/10/45		1,700		1,719,099
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4	Aaa		5.418%	01/15/45		4,828		5,378,791
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.736%	05/15/43		700		798,799
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4	Aa2		5.509%	04/15/47		4,500		5,199,233
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		5.921%	02/15/51		3,470		4,071,077
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $131,118,841)								140,043,383

SEE NOTES TO FINANCIAL STATEMENTS.

A72

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS — 9.8%	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Aerospace & Defense
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		6.300%	05/01/14	$	1,075	$	1,122,031
L-3 Communications Corp., Gtd. Notes	Baa3		4.750%	07/15/20		515		574,038
								1,696,069
Airlines — 0.2%
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 1998-1, Class A	Baa2		6.648%	09/15/17		203		217,034
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 2009-2, Class A	Baa2		7.250%	11/10/19		692		799,835
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 2010-A(a)	Baa2		4.750%	01/12/21		816		887,361
Continental Airlines Pass-Through Trust, Pass-thru Certs., Ser. 2012-2, Class A	Baa2		4.000%	10/29/24		705		742,013
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa2		6.821%	08/10/22		369		411,924
Delta Air Lines, Inc., Pass-Through Trust, Pass-thru Certs., Ser. 2011-1, Class A(a)	Baa2		5.300%	04/15/19		1,285		1,416,587
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2A	Baa2		4.950%	05/23/19		665		724,893
								5,199,647
Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		3.984%	06/15/16		415		440,658
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16		1,655		1,765,249
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%	03/15/17		450		465,086
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		500		546,043
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		245		276,555
								3,493,591
Banking — 2.6%
American Express Co., Sr. Unsec’d. Notes, 144A	A3		2.650%	12/02/22		2,213		2,204,188
American Express Credit Corp., Sr. Unsec’d. Notes, MTN(e)	A2		2.800%	09/19/16		2,030		2,147,831
Banco Bradesco SA (Brazil), Sub. Notes(a)	Baa1		8.750%	10/24/13		1,760		1,852,400
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		645		661,215
Bangkok Bank PCL/Hong Kong (Thailand), Sr. Unsec’d. Notes, 144A	A3		2.750%	03/27/18		1,850		1,871,064
Bank of America Corp., Jr. Sub. Notes, Ser. K(b)	B1		8.000%	12/29/49		2,200		2,433,376
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%	04/01/15		595		634,226
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,770		2,128,512
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		1,075		1,258,841
Bank of America Corp., Sr. Unsec’d. Notes, MTN	Baa2		5.000%	05/13/21		630		719,241
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		870		929,966
Bank of America Corp., Sub. Notes	Baa3		5.750%	08/15/16		1,775		1,941,019
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		930		1,045,980
Bank of America NA, Sub. Notes	Baa1		6.000%	10/15/36		410		502,364
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		5.300%	10/30/15		515		570,719
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		6.400%	10/02/17		330		396,329
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		7.250%	02/01/18		1,175		1,472,325
Capital One Bank USA NA, Sub. Notes	Baa1		6.500%	06/13/13		20		20,523
Capital One Bank USA NA, Sub. Notes	Baa1		8.800%	07/15/19		1,300		1,760,326
Capital One Capital VI, Ltd. Gtd. Notes	Baa3		8.875%	05/15/40		1,080		1,080,000
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		3.953%	06/15/16		1,010		1,087,125
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%	01/14/22		2,450		2,733,475
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	05/19/15		2,265		2,441,752
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		1,155		1,384,165
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%	03/05/38		215		283,038

SEE NOTES TO FINANCIAL STATEMENTS.

A73

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39	$	710	$	1,062,952
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,895		2,548,087
Citigroup, Inc., Sub. Notes	Baa3		5.000%	09/15/14		454		477,648
Citigroup, Inc., Sub. Notes	Baa3		6.125%	08/25/36		570		621,230
Depfa ACS Bank (Ireland), Covered Notes, 144A	A3		5.125%	03/16/37		1,380		1,077,358
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		570		707,767
Goldman Sachs Group, Inc. (The), Sr. Notes	A3		6.250%	02/01/41		270		331,269
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		3.625%	02/07/16		2,000		2,117,046
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)	A3		5.250%	07/27/21		2,055		2,342,651
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	A3		5.750%	01/24/22		3,620		4,279,607
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		1,000		1,188,212
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%	01/15/17		1,190		1,305,641
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		104		117,866
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		4.875%	01/14/22		1,910		2,216,685
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21		1,025		1,210,403
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		170		207,988
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b)	Ba1		7.900%	04/29/49		2,000		2,266,020
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		3,210		3,400,834
JPMorgan Chase & Co., Sr. Unsec’d. Notes(a)(e)	A2		4.250%	10/15/20		2,930		3,258,532
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes	A2		6.375%	01/21/21		1,400		1,724,852
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN	A2		5.800%	01/13/20		1,870		2,188,429
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(a)	Baa2		6.400%	08/28/17		20		23,487
Morgan Stanley, Notes, Ser. G, MTN	Baa1		6.625%	04/01/18		105		123,750
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.750%	01/25/21		1,400		1,598,849
Morgan Stanley, Sr. Unsec’d. Notes(a)	Baa1		6.375%	07/24/42		780		914,398
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		1,415		1,600,337
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		510		577,526
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		2,345		2,594,932
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		760		862,884
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b)	Ba1		6.346%	07/29/49		800		882,156
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,455		1,462,567
PNC Funding Corp., Gtd. Notes	A3		2.700%	09/19/16		1,110		1,172,743
PNC Funding Corp., Gtd. Notes(a)	A3		6.700%	06/10/19		440		561,367
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes	Baa1		2.550%	09/18/15		455		465,652
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,775		2,097,411
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	09/24/15		955		972,514
US Bancorp, Sub. Notes, MTN	A2		2.950%	07/15/22		1,120		1,131,453
Wells Fargo Bank NA, Sub. Notes, Ser. AI(e)	A1		4.750%	02/09/15		585		628,300
								85,881,403
Brokerage
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)	NR		6.875%	02/06/12		1,715		400,881
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)	NR		6.875%	05/02/18		700		168,000
								568,881
Building Materials & Construction
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		700		759,500
Owens Corning, Gtd. Notes	Ba1		4.200%	12/15/22		775		788,163
								1,547,663

SEE NOTES TO FINANCIAL STATEMENTS.

A74

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 0.2%
AT&T Broadband LLC, Gtd. Notes	Baa1		9.455%	11/15/22	$	255	$	385,524
Cablevision Systems Corp., Sr. Unsec’d. Notes(a)	B1		8.625%	09/15/17		1,000		1,166,250
Comcast Corp., Gtd. Notes	Baa1		6.400%	05/15/38		570		728,300
Comcast Corp., Gtd. Notes	Baa1		6.450%	03/15/37		155		198,894
Comcast Corp., Gtd. Notes	Baa1		6.500%	11/15/35		450		577,372
Comcast Corp., Gtd. Notes	Baa1		6.950%	08/15/37		605		820,420
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		920		974,654
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		173,573
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,560		1,577,835
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		373,826
								6,976,648
Capital Goods — 0.4%
Actuant Corp., Gtd. Notes	Ba2		5.625%	06/15/22		1,205		1,247,175
Case New Holland, Inc., Gtd. Notes	Ba2		7.875%	12/01/17		1,255		1,484,037
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		745		761,426
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $403,489; purchased 10/10/12)(g)(h)	Baa1		5.625%	03/15/42		375		415,456
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(a)(g)(h)	Baa1		6.375%	10/15/17		1,302		1,574,721
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(g)(h)	Baa1		7.000%	10/15/37		380		482,535
General Electric Co., Sr. Unsec’d. Notes	Aa3		4.125%	10/09/42		485		498,894
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17		200		235,830
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $384,850; purchased 07/10/12)(g)(h)	Baa3		2.500%	07/11/14		385		389,022
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(g)(h)	Baa3		2.500%	03/15/16		1,890		1,895,092
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $499,515; purchased 05/08/12)(g)(h)	Baa3		3.125%	05/11/15		500		510,170
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		1,830		2,033,425
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,260		1,430,512
								12,958,295
Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		3.150%	10/01/22		780		775,052
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		7.600%	05/15/14		778		849,406
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		432		711,259
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		720		751,799
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(a)	Baa3		5.000%	04/15/19		1,000		1,105,000
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		1,050		1,174,401
Union Carbide Corp., Sr. Unsec’d. Notes	Baa2		7.500%	06/01/25		460		572,842
								5,939,759
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,700		1,980,099
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		1,254		1,329,240
								3,309,339
Electric — 0.5%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		175		205,413
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		550		730,170

SEE NOTES TO FINANCIAL STATEMENTS.

A75

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Carolina Power & Light Co., First Mtge. Bonds	A1		5.250%	12/15/15	$	525	$	595,432
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2	A3		5.700%	03/15/13		740		747,907
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		590		837,401
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		220		273,067
Duke Energy Carolinas LLC, First Ref. Mtge. Bonds	A1		4.000%	09/30/42		570		574,529
Duke Energy Carolinas LLC, First Mtge. Bonds	A1		6.050%	04/15/38		550		720,500
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		670		835,457
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,295		1,514,795
ENEL Finance International SA (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		1,280		1,239,484
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		155		168,722
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa1		6.250%	10/01/39		1,425		1,657,077
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		295		384,239
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		495		593,816
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		145		155,552
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		460		493,022
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		300		370,411
Nevada Power Co., Genl. Ref. Mtge., Ser. O	Baa1		6.500%	05/15/18		1,260		1,571,417
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		610		712,385
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		615		698,548
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa2		6.375%	01/15/15		345		380,748
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		140		170,111
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		535		693,358
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		4.800%	09/15/41		480		538,627
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		199		232,835
								17,095,023
Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		535		616,567
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		5.250%	11/07/13		1,040		1,082,231
								1,698,798
Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		1,195		1,427,422
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		325		407,149
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		315,954
Cameron International Corp., Sr. Unsec’d. Notes	Baa1		4.500%	06/01/21		2,200		2,461,705
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		1,065		1,139,352
Nabors Industries, Inc., Gtd. Notes(a)	Baa2		4.625%	09/15/21		1,070		1,151,577
Phillips 66, Gtd. Notes, 144A	Baa1		2.950%	05/01/17		490		519,320
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,500		1,824,879
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		920		929,678
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		810		892,612
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,315		1,358,528
								12,428,176
Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		2.500%	07/15/22		1,630		1,640,204
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39		1,285		2,080,416
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		250		410,568
ARAMARK Corp., Gtd. Notes(a)	B3		8.500%	02/01/15		850		854,258
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		727		783,646
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,040		1,094,357
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		985		1,267,395

SEE NOTES TO FINANCIAL STATEMENTS.

A76

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
Cargill, Inc., Sr. Unsec’d. Notes, 144A (original cost $666,818; purchased 11/19/07)(g)(h)	A2		6.000%	11/27/17	$	670	$	806,076
Constellation Brands, Inc., Gtd. Notes	Ba1		4.625%	03/01/23		1,250		1,306,250
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		480		544,863
Kraft Foods Group, Inc., Gtd. Notes, 144A	Baa2		5.000%	06/04/42		680		764,659
TreeHouse Foods, Inc., Gtd. Notes	Ba2		7.750%	03/01/18		1,271		1,379,035
Tyson Foods, Inc., Gtd. Notes(b)	Baa3		6.600%	04/01/16		735		842,270
								13,773,997
Healthcare & Pharmaceutical — 0.4%
AbbVie, Inc., Gtd. Notes, 144A	Baa1		4.400%	11/06/42		740		786,719
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,640		1,845,600
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		1,110		1,308,721
Aristotle Holding, Inc., Gtd. Notes, 144A	Baa3		2.750%	11/21/14		2,460		2,537,724
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)	Ba3		5.125%	08/15/18		1,100		1,146,750
Genentech, Inc., Sr. Unsec’d. Notes	AA(c)		4.750%	07/15/15		280		308,790
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		565		701,896
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)	Baa2		3.750%	08/23/22		180		190,884
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		580		654,147
Merck & Co., Inc., Sr. Unsec’d. Notes	Aa3		5.950%	12/01/28		165		215,083
Mylan, Inc., Gtd. Notes, 144A(a)	Baa3		7.625%	07/15/17		1,000		1,123,869
Valeant Pharmaceuticals International, Gtd. Notes, 144A(a)	B1		6.500%	07/15/16		1,000		1,051,250
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		560		583,034
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a)	Baa3		6.125%	08/15/19		445		541,707
Wyeth, Gtd. Notes	A1		6.450%	02/01/24		60		81,445
								13,077,619
Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.500%	09/15/18		1,570		1,952,008
Aetna, Inc., Sr. Unsec’d. Notes	Baa1		6.625%	06/15/36		515		693,185
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		650		789,084
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		670		816,801
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa3		6.125%	01/15/15		1,290		1,409,280
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		3.950%	10/15/42		260		258,906
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		5.950%	02/15/41		730		917,837
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		195		233,883
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		420		553,256
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		420		555,464
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		390		402,798
WellPoint, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.650%	01/15/43		995		1,036,906
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		5.000%	12/15/14		860		928,855
								10,548,263
Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		525		581,934
Allstate Corp. (The), Sr. Unsec’d. Notes(a)	A3		5.200%	01/15/42		140		166,158
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		4.250%	05/15/13		580		587,045
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		2,425		3,008,935
American International Group, Inc., Sr. Unsec’d. Notes(a)	Baa1		8.250%	08/15/18		990		1,300,747
AON Corp., Sr. Unsec’d. Notes	Baa2		3.125%	05/27/16		2,655		2,795,115
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20		1,030		1,169,300
Chubb Corp. (The), Jr. Sub. Notes(a)(b)	A3		6.375%	03/29/67		1,300		1,417,000
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a)	Baa3		5.125%	04/15/22		755		871,157
Liberty Mutual Group, Inc., Bonds, 144A	Baa2		7.000%	03/15/34		850		987,878
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		365		410,639

SEE NOTES TO FINANCIAL STATEMENTS.

A77

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Lincoln National Corp., Jr. Sub. Notes(b)	Ba1		6.050%	04/20/67	$	260	$	259,025
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		6.300%	10/09/37		492		588,226
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		7.000%	06/15/40		705		917,589
Lincoln National Corp., Sr. Unsec’d. Notes	Baa2		8.750%	07/01/19		605		809,064
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		835		1,019,493
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		400		521,930
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		430		509,269
New York Life Insurance Co., Sub. Notes, 144A	Aa2		6.750%	11/15/39		660		912,922
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b)	A2		5.000%	10/18/42		745		786,931
Northwestern Mutual Life Insurance, Sub. Notes, 144A	Aa2		6.063%	03/30/40		370		472,376
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		680		774,402
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		995		1,391,409
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		130		132,125
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		735		793,800
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,450		1,966,599
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		350		399,903
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		555		602,276
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		460		524,255
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		85		90,511
								26,768,013
Lodging — 0.2%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		900		1,039,500
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	03/01/19		580		596,939
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		980		980,290
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes	Baa2		6.750%	05/15/18		2,800		3,404,114
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		1,055		1,089,305
								7,110,148
Media & Entertainment — 0.4%
Belo Corp., Gtd. Notes	Ba1		8.000%	11/15/16		1,200		1,306,500
CBS Corp., Gtd. Notes(g)	Baa2		4.850%	07/01/42		400		416,316
Globo Comunicacao E Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(d)	Baa2		5.307%	05/11/22		600		654,000
NBCUniversal Media LLC, Sr. Unsec’d. Notes	Baa2		5.950%	04/01/41		635		778,530
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		620		760,904
News America, Inc., Gtd. Notes(a)	Baa1		6.150%	02/15/41		1,315		1,665,557
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		90		117,834
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		1,300		1,430,000
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		210		257,169
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		1,465		1,808,844
Time Warner, Inc., Gtd. Notes(a)	Baa2		7.250%	10/15/17		790		991,985
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		180		247,803
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		505		745,745
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43		607		597,109
								11,778,296
Metals — 0.2%
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		880		1,059,823
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		1,525		1,620,313
Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes	A-(c)		4.500%	05/15/13		115		116,497
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		425		545,609
Teck Resources Ltd. (Canada), Gtd. Notes	Baa2		5.200%	03/01/42		695		710,344
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		1.800%	10/23/15		1,110		1,116,027
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.450%	10/25/17		1,220		1,231,827
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,185		1,216,284
								7,616,724

SEE NOTES TO FINANCIAL STATEMENTS.

A78

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance — 0.4%
Discover Financial Services, Sr. Unsec’d. Notes, 144A	Ba1		3.850%	11/21/22	$	900	$	928,687
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		1,750		2,110,941
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.000%	08/07/19		920		1,119,238
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(e)(i)	A1		6.875%	01/10/39		1,625		2,208,861
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		375		395,283
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	Ba3		6.375%	03/25/13		1,850		1,869,425
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		570		619,875
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.000%	03/25/20		1,050		1,199,625
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		1,070		1,251,900
								11,703,835
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(g)(h)	Baa2		5.400%	11/01/20		290		344,994
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		1,595		1,888,689
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		685		885,586
Rock-Tenn Co., Gtd. Notes, 144A	Ba1		4.000%	03/01/23		440		446,992
Rock-Tenn Co., Unsec’d. Notes, 144A(a)	Ba1		4.900%	03/01/22		800		864,548
								4,430,809
Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		675		741,643
NiSource Finance Corp., Gtd. Notes	Baa3		5.250%	09/15/17		245		280,234
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		350		411,284
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		145		179,799
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.000%	02/01/13		90		90,407
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.200%	04/15/18		2,690		3,275,395
Spectra Energy Capital LLC, Gtd. Notes	Baa2		6.250%	02/15/13		235		236,494
								5,215,256
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		670		824,886
CSX Corp., Sr. Unsec’d. Notes	Baa2		6.150%	05/01/37		715		903,936
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		100		122,806
Norfolk Southern Corp., Sr. Unsec’d. Notes, 144A	Baa1		2.903%	02/15/23		489		492,225
								2,343,853
Real Estate Investment Trusts — 0.2%
HCP, Inc., Sr. Unsec’d. Notes	Baa1		2.700%	02/01/14		750		763,460
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		765		948,057
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		72		87,159
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		295		311,280
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		3.375%	03/15/22		230		242,907
Simon Property Group LP, Sr. Unsec’d. Notes(a)	A3		6.125%	05/30/18		3,080		3,751,785
								6,104,648
Retailers — 0.3%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		5.750%	05/15/41		1,020		1,269,960
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		515		659,076
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		385		491,757
Ltd. Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		950		1,033,125
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		360		383,713
Macy’s Retail Holdings, Inc., Gtd. Notes	Baa3		5.875%	01/15/13		2,000		2,003,530
Nordstrom, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.000%	10/15/21		260		289,886
Target Corp., Sr. Unsec’d. Notes	A2		4.000%	07/01/42		1,140		1,171,212
Walgreen Co., Sr. Unsec’d. Notes	Baa1		1.800%	09/15/17		1,500		1,508,360

SEE NOTES TO FINANCIAL STATEMENTS.

A79

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers (continued)
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41	$	720	$	942,895
								9,753,514
Technology — 0.3%
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		400		415,029
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		2,410		2,531,638
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		1,500		1,614,375
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		1,000		1,065,000
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,720		2,860,594
								8,486,636
Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		590		776,230
AT&T Corp., Gtd. Notes	A2		8.000%	11/15/31		7		10,593
AT&T, Inc., Sr. Unsec’d. Notes	A2		5.350%	09/01/40		815		949,107
AT&T, Inc., Sr. Unsec’d. Notes	A2		6.550%	02/15/39		1,720		2,260,274
AT&T, Inc., Sr. Unsec’d. Notes, 144A	A2		4.300%	12/15/42		1,363		1,368,933
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		400		635,472
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(g)(h)	Baa3		7.082%	06/01/16		325		380,764
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,626,279; purchased 05/12/06-04/10/07)(g)(h)	Baa3		7.995%	06/01/36		1,600		1,767,234
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		1,440		1,576,066
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		5.250%	11/15/13		320		328,800
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa2		7.200%	07/18/36		430		448,920
Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A(a)	BBB(c)		3.875%	10/12/22		430		429,252
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)	A3		6.000%	04/01/41		570		743,951
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.100%	04/15/18		3,165		3,891,643
Windstream Corp., Gtd. Notes	Ba3		8.125%	08/01/13		1,000		1,037,500
								16,604,739
Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes	Baa1		4.750%	05/05/21		1,000		1,133,274
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		1,215		1,700,913
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		140		230,641
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		790		1,321,533
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		465		492,063
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		325		414,709
Reynolds American, Inc., Gtd. Notes	Baa2		7.250%	06/15/37		320		419,626
								5,712,759
TOTAL CORPORATE BONDS (cost $288,686,852)								319,822,401
MORTGAGE-BACKED SECURITIES — 9.6%
Federal Home Loan Mortgage Corp.(b)			2.615%	12/01/35		677		715,998
Federal Home Loan Mortgage Corp.(b)			2.634%	06/01/36		644		682,896
Federal Home Loan Mortgage Corp.			3.000%	TBA 15 YR		3,000		3,150,000
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		9,258		9,887,121
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		23,772		25,660,424
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-06/01/39		10,898		11,757,705
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		11,991		12,994,094
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-08/01/39		5,025		5,499,655
Federal Home Loan Mortgage Corp.			6.500%	12/01/14		37		37,818
Federal Home Loan Mortgage Corp.			7.000%	01/01/31-10/01/32		594		700,450
Federal National Mortgage Association(b)			2.290%	07/01/33		454		479,603

SEE NOTES TO FINANCIAL STATEMENTS.

A80

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Association(b)			2.308%	06/01/37	$	139	$	146,570
Federal National Mortgage Association			2.500%	TBA 15 YR		7,000		7,319,375
Federal National Mortgage Association			3.000%	TBA 15 YR		4,500		4,749,610
Federal National Mortgage Association			3.500%	06/01/39-09/01/42		9,391		10,050,115
Federal National Mortgage Association			3.500%	TBA 15 YR		2,500		2,651,953
Federal National Mortgage Association			3.500%	TBA 30 YR		9,500		10,110,449
Federal National Mortgage Association			3.500%	TBA 30 YR		34,000		36,248,515
Federal National Mortgage Association			4.000%	TBA 30 YR		3,000		3,215,625
Federal National Mortgage Association			4.500%	08/01/39		2,682		2,977,348
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		16,301		17,898,873
Federal National Mortgage Association			5.000%	10/01/18-02/01/36		10,076		10,967,392
Federal National Mortgage Association			5.000%	TBA 30 YR		4,500		4,874,062
Federal National Mortgage Association			5.500%	03/01/16-08/01/37		14,343		15,771,560
Federal National Mortgage Association			6.000%	04/01/13-05/01/38		11,842		13,151,576
Federal National Mortgage Association			6.500%	07/01/17-09/01/37		4,612		5,191,783
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		374		438,057
Federal National Mortgage Association			7.500%	05/01/32		96		117,447
Government National Mortgage Association			3.000%	TBA 30 YR		3,000		3,189,375
Government National Mortgage Association			3.000%	TBA 30 YR		5,500		5,846,328
Government National Mortgage Association			3.500%	TBA 30 YR		7,500		8,148,633
Government National Mortgage Association			4.000%	06/15/40-05/20/41		3,794		4,178,671
Government National Mortgage Association			4.000%	TBA 30 YR		7,000		7,677,032
Government National Mortgage Association			4.000%	TBA 30 YR		22,000		23,955,939
Government National Mortgage Association			4.500%	01/20/41-02/20/41		7,330		8,085,702
Government National Mortgage Association			4.500%	TBA 30 YR		12,500		13,685,547
Government National Mortgage Association			5.000%	TBA 30 YR		8,000		8,748,750
Government National Mortgage Association			5.500%	11/15/32-02/15/36		4,986		5,513,864
Government National Mortgage Association			6.000%	02/15/33-10/15/34		2,210		2,492,180
Government National Mortgage Association			6.500%	10/15/23-07/15/35		2,332		2,687,536
Government National Mortgage Association			8.000%	01/15/24-04/15/25		71		82,268
TOTAL MORTGAGE-BACKED SECURITIES (cost $302,621,247)								311,737,899
MUNICIPAL BONDS — 0.5%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,325		1,815,064
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		1,030		1,333,304
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,000		1,203,050
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,070		1,567,732
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,130		1,416,376
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		455		529,725
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		300		345,894
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		445		577,045
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	Aa3		5.511%	12/01/45		550		652,460
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		680		923,379
State of California, GO, BABs	A1		7.300%	10/01/39		1,270		1,759,877
State of California, GO, BABs	A1		7.500%	04/01/34		475		658,872
State of California, GO, BABs	A1		7.550%	04/01/39		245		351,570
State of California, GO, BABs	A1		7.625%	03/01/40		215		308,759
State of Illinois, GO	A2		4.421%	01/01/15		740		784,541

SEE NOTES TO FINANCIAL STATEMENTS.

A81

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

MUNICIPAL BONDS (continued)	Moody’s Ratings§† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26	$	335	$	405,541
TOTAL MUNICIPAL BONDS (cost $11,453,692)								14,633,189
NON-CORPORATE FOREIGN AGENCIES — 0.6%
Commonwealth Bank of Australia (Australia), Gov’t. Gtd. Notes, 144A(a)	Aaa		2.700%	11/25/14		7,435		7,745,337
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		4.000%	01/29/21		515		553,735
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		5.125%	06/29/20		400		459,639
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		1,000		1,070,368
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes	Aaa		2.375%	08/25/21		880		916,784
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		437,500
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		1,500		1,688,730
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		5.500%	01/21/21		2,730		3,190,005
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,190		2,425,425
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $17,588,116)								18,487,523
NON-CORPORATE SOVEREIGNS — 0.2%
Italy Government International Bond (Italy)(a)	NR		3.125%	01/26/15		300		304,674
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a)	Baa1		4.750%	03/08/44		1,006		1,136,780
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23		2,065		2,059,838
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.250%	01/20/20		315		376,425
Russian Foreign Bond-Eurobond, Unsec’d. Notes (Russia), 144A	Baa1		3.250%	04/04/17		2,400		2,550,000
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, Ser. E, MTN	Baa3		3.625%	06/17/13		1,300		1,299,961
TOTAL NON-CORPORATE SOVEREIGNS (cost $7,371,915)								7,727,678
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.1%
Federal Home Loan Banks			5.500%	07/15/36		1,080		1,486,002
Federal Home Loan Mortgage Corp.			0.750%	01/12/18		685		680,361
Resolution Funding Corp. Interest Strip, Bonds(k)			1.170%	04/15/18		2,615		2,460,644
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $4,038,876)								4,627,007
U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.1%
U.S. Treasury Bonds			2.750%	08/15/42		2,100		2,027,812
U.S. Treasury Bonds(a)			2.750%	11/15/42		7,270		7,004,194
U.S. Treasury Inflation Indexed Bonds			1.375%	01/15/20		5,948		7,050,217
U.S. Treasury Notes			0.375%	06/15/15		840		841,312
U.S. Treasury Notes			0.625%	11/30/17		1,395		1,390,314
U.S. Treasury Notes			0.750%	12/31/17		30,920		30,970,740
U.S. Treasury Notes(a)			1.625%	11/15/22		2,420		2,393,530
U.S. Treasury Notes			2.125%	12/31/15		12,800		13,469,005
U.S. Treasury Notes			2.500%	06/30/17		1,020		1,105,026
U.S. Treasury Notes			3.000%	09/30/16		6,525		7,131,114
U.S. Treasury Notes			3.125%	04/30/17		7,045		7,806,741
U.S. Treasury Notes			3.500%	02/15/18		24,845		28,290,306

SEE NOTES TO FINANCIAL STATEMENTS.

A82

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

U.S. GOVERNMENT TREASURY OBLIGATIONS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
U.S. Treasury Notes		4.250%	11/15/17	$		7,015	$	8,214,130
U.S. Treasury Notes		4.500%	11/15/15			24,895		27,835,722
U.S. Treasury Strips Coupon(j)		2.140%	05/15/24			24,985		19,612,101
U.S. Treasury Strips Coupon(a)(j)		2.180%	08/15/24			6,520		5,065,629
U.S. Treasury Strips Coupon(j)		2.260%	02/15/25			4,750		3,613,800
U.S. Treasury Strips Coupon(j)		2.610%	05/15/25			5,000		3,765,070
U.S. Treasury Strips Coupon(j)		3.020%	05/15/27			2,280		1,582,502
U.S. Treasury Strips Coupon(j)		3.070%	08/15/27			7,455		5,120,124
U.S. Treasury Strips Coupon(j)		3.120%	11/15/27			8,600		5,846,762
U.S. Treasury Strips Coupon(j)		3.350%	05/15/29			6,050		3,886,121
U.S. Treasury Strips Coupon(a)(j)		3.910%	08/15/33			10,730		5,899,225
U.S. Treasury Strips Principal(k)		0.300%	11/15/15			790		783,159
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $191,454,563)								200,704,656
TOTAL LONG-TERM INVESTMENTS (cost $2,731,248,193)								3,199,427,079
				Shares
SHORT-TERM INVESTMENTS — 9.5%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $146,071,519) (Note 4)(l)						14,805,912		136,658,571
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $175,103,067; includes of $107,476,994 of cash collateral received for securities on loan) (Note 4)(l)(m)						175,103,067		175,103,067
TOTAL SHORT-TERM INVESTMENTS (cost $321,174,586)								311,761,638
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 107.5% (cost $3,052,422,779)								3,511,188,717
				Principal Amount (000)#
SECURITY SOLD SHORT — (0.2)%
MORTGAGE-BACKED SECURITY
Federal National Mortgage Association (proceeds received $5,930,547)		4.500%	TBA 30 YR		$	5,500		(5,941,074	)
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.3% (cost $3,046,492,232)								3,505,247,643
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (7.3)%								(239,481,663	)
NET ASSETS — 100.0%							$	3,265,765,980

The following abbreviations are used in the portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ABS	Asset-Backed Security
ADR	American Depositary Receipt
BABs	Build America Bonds
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
FHLMC	Federal Home Loan Mortgage Corp.
GO	General Obligation
I/O	Interest Only
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
REIT	Real Estate Investment Trust
TBA	To Be Announced

SEE NOTES TO FINANCIAL STATEMENTS.

A83

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

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

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $105,330,771; cash collateral of $107,476,994 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(c) Standard & Poor’s Rating.

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

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

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

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

(h) Indicates a restricted security; the aggregate original cost of such securities is $7,800,263. The aggregate value of $8,566,064 is approximately 0.3% of net assets.

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

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

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

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

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

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

Open futures contracts outstanding at December 31, 2012:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
314	2 Year U.S. Treasury Notes		Mar. 2013	$	69,215,901	$	69,227,187	$	11,286
237	5 Year U.S. Treasury Notes		Mar. 2013		29,405,582		29,486,133		80,551
317	10 Year U.S. Treasury Notes		Mar. 2013		42,173,686		42,091,656		(82,030	)
35	U.S. Ultra Bond		Mar. 2013		5,721,574		5,690,781		(30,793	)
									(20,986	)
Short Position:
125	U.S. Long Bond		Mar. 2013		18,741,065		18,437,500		303,565
								$	282,579

Interest rate swap agreements outstanding at December 31, 2012:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	23,800		08/31/16		0.934%	3 month LIBOR(1)	$	375,126		$	—	$	375,126		Credit Suisse International
	7,405		08/31/16		0.975%	3 month LIBOR(2)		(128,738	)		—		(128,738	)	JPMorgan Chase Bank
	7,405		08/31/16		0.978%	3 month LIBOR(2)		(129,768	)		—		(129,768	)	JPMorgan Chase Bank
	2,195		09/14/16		1.206%	3 month LIBOR(2)		(57,507	)		—		(57,507	)	Deutsche Bank AG
	36,200		11/30/16		0.945%	3 month LIBOR(2)		(472,046	)		—		(472,046	)	Citibank, NA
	22,530		11/30/16		0.913%	3 month LIBOR(2)		(264,789	)		—		(264,789	)	JPMorgan Chase Bank
	13,615		02/28/17		0.680%	3 month LIBOR(1)		6,660			—		6,660		Citibank, NA
	2,350		01/13/22		1.660%	3 month LIBOR(2)		(12,195	)		—		(12,195	)	Citibank, NA
	2,350		01/13/22		1.675%	3 month LIBOR(1)		11,186			—		11,186		Citibank, NA
	8,775		08/15/28		2.370%	3 month LIBOR(2)		17,450			—		17,450		Citibank, NA
							$	(654,621	)	$	—	$	(654,621	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A84

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

Credit default swap agreements outstanding at December 31, 2012:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(2)		Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swaps—Buy Protection(1):
Bunge Ltd. Finance Corp.		06/20/14		0.650%	$	1,150	$	1,941		$	—	$	1,941		JPMorgan Chase Bank
Newell Rubbermaid, Inc.		06/20/18		1.000%		1,700		(10,016	)		—		(10,016	)	Morgan Stanley Capital Services, Inc.
Simon Property Group L.P.		06/20/18		0.970%		2,800		792			—		792		Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		06/20/18		1.150%		2,200		2,896			—		2,896		Deutsche Bank AG
							$	(4,387	)	$	—	$	(4,387	)

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

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	2,041,997,507	$	49,607,152		$	—
Exchange Traded Fund		1,738,692		—			—
Preferred Stocks		613,800		483,124			—
Rights		1,409		—			—
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities		—		60,736,417			—
Residential Mortgage-Backed Securities		—		7,684,291			—
Bank Loans		—		12,321,400			—
Collateralized Mortgage Obligations		—		6,459,551			—
Commercial Mortgage-Backed Securities		—		140,043,383			—
Corporate Bonds		—		314,622,754			5,199,647
Mortgage-Backed Securities		—		311,737,899			—
Municipal Bonds		—		14,633,189			—
Non-Corporate Foreign Agencies		—		18,487,523			—
Non-Corporate Sovereigns		—		7,727,678			—
U.S. Government Agency Obligations		—		4,627,007			—
U.S. Government Treasury Obligations		—		200,704,656			—
Affiliated Mutual Funds		311,761,638		—			—
Mortgage-Backed Security Sold Short		—		(5,941,074	)
Other Financial Instruments*
Futures Contracts		282,579		—			—
Interest Rate Swap Agreements		—		(654,621	)		—
Credit Default Swap Agreements		—		(4,387	)		—
Total	$	2,356,395,625	$	1,143,275,942		$	5,199,647

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

SEE NOTES TO FINANCIAL STATEMENTS.

A85

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Mortgage-Backed Securities	9.6	%
Affiliated Mutual Funds (including 3.3% of collateral received for securities on loan)	9.5
Oil, Gas & Consumable Fuels	6.3
U.S. Government Treasury Obligations	6.1
Commercial Mortgage-Backed Securities	4.3
Computers & Peripherals	3.4
Insurance	2.9
Pharmaceuticals	2.8
Diversified Financial Services	2.7
Software	2.7
Banking	2.6
Commercial Banks	2.4
Healthcare Equipment & Supplies	2.2
Food & Staples Retailing	1.9
IT Services	1.9
Non-Residential Mortgage-Backed Securities	1.9
Media	1.8
Specialty Retail	1.8
Communications Equipment	1.7
Diversified Telecommunication Services	1.7
Biotechnology	1.5
Food Products	1.4
Household Products	1.4
Real Estate Investment Trusts	1.4
Chemicals	1.3
Aerospace & Defense	1.2
Capital Markets	1.2
Industrial Conglomerates	1.2
Beverages	1.1
Electric Utilities	1.1
Healthcare Providers & Services	1.1
Semiconductors & Semiconductor Equipment	1.1
Metals & Mining	1.0
Road & Rail	1.0
Internet Software & Services	0.9
Textiles, Apparel & Luxury Goods	0.9
Tobacco	0.9
Hotels, Restaurants & Leisure	0.8
Machinery	0.8
Multiline Retail	0.8
Energy Equipment & Services	0.7
Consumer Finance	0.6
Electrical Equipment	0.6
Life Sciences Tools & Services	0.6
Multi-Utilities	0.6
Non-Corporate Foreign Agencies	0.6
Air Freight & Logistics	0.5
Electric	0.5

Foods	0.5	%
Healthcare & Pharmaceutical	0.5
Household Durables	0.5
Municipal Bonds	0.5
Telecommunications	0.5
Automobiles	0.4
Capital Goods	0.4
Energy – Other	0.4
Media & Entertainment	0.4
Non-Captive Finance	0.4
Technology	0.4
Airlines	0.3
Auto Components	0.3
Healthcare Insurance	0.3
Independent Power Producers & Energy Traders	0.3
Retailers	0.3
Cable	0.2
Collateralized Mortgage Obligations	0.2
Commercial Services & Supplies	0.2
Electronic Equipment, Instruments & Components	0.2
Internet & Catalog Retail	0.2
Leisure Equipment & Products	0.2
Lodging	0.2
Metals	0.2
Non-Corporate Sovereigns	0.2
Pipelines & Other	0.2
Professional Services	0.2
Real Estate Management & Development	0.2
Residential Mortgage-Backed Securities	0.2
Water Utilities	0.2
Automotive	0.1
Building Products	0.1
Construction & Engineering	0.1
Construction Materials	0.1
Consumer	0.1
Containers & Packaging	0.1
Diversified Consumer Services	0.1
Energy – Integrated	0.1
Exchange Traded Fund	0.1
Paper	0.1
Railroads	0.1
Trading Companies & Distributors	0.1
U.S. Government Agency Obligations	0.1
	107.5
Mortgage-Backed Security Sold Short	(0.2	)
Liabilities in excess of other assets	(7.3	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A86

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Unrealized appreciation on swap agreements	$	5,629		Unrealized depreciation on swap agreements	$	10,016
Equity contracts	Unaffiliated investments		1,409		—		—
Interest rate contracts	Unrealized appreciation on swap agreements		410,422		Unrealized depreciation on swap agreements		1,065,043
Interest rate contracts	Due from broker — variation margin		395,402	*	Due from broker — variation margin		112,823	*
Total		$	812,862			$	1,187,882

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Options Purchased		Options Written			Futures			Swaps			Total
Credit contracts	$	—	$	—	$	—		$	—		$	(432,184	)	$	(432,184	)
Equity contracts		25,669		—		—			1,369,712			—			1,395,381
Interest rate contracts		—		306,223		(289,749	)		(2,921,475	)		310,524			(2,594,477	)
Total	$	25,669	$	306,223	$	(289,749	)	$	(1,551,763	)	$	(121,660	)	$	(1,631,280	)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Futures			Swaps			Total
Credit contracts	$	—	$	—		$	(20,576	)	$	(20,576	)
Equity contracts		1,409		(314,811	)		—			(313,402	)
Interest rate contracts		—		598,544			(1,267,769	)		(669,225	)
Total	$	1,409	$	283,733		$	(1,288,345	)	$	(1,003,203	)

For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities is as follows:

Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$142,355,472	$24,610,341

Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))
$119,364	$13,246

SEE NOTES TO FINANCIAL STATEMENTS.

A87

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $105,330,771:
Unaffiliated investments (cost $2,731,248,193)	$	3,199,427,079
Affiliated investments (cost $321,174,586)		311,761,638
Cash		40,080
Foreign currency, at value (cost $287,045)		287,172
Receivable for investments sold		53,749,151
Dividends and interest receivable		9,244,116
Unrealized appreciation on swap agreements		416,051
Receivable for Series shares sold		263,844
Foreign tax reclaim receivable		52,925
Due from broker—variation margin		30,318
Prepaid expenses		21,979
Total Assets		3,575,294,353
LIABILITIES
Payable for investments purchased		192,839,964
Collateral for securities on loan		107,476,994
Securities sold short, at value (proceeds received $5,930,547)		5,941,074
Management fee payable		1,657,560
Unrealized depreciation on swap agreements		1,075,059
Accrued expenses and other liabilities		272,618
Payable for Series shares repurchased		264,178
Affiliated transfer agent fee payable		926
Total Liabilities		309,528,373
NET ASSETS	$	3,265,765,980
Net assets were comprised of:
Paid-in capital	$	2,816,821,146
Retained earnings		448,944,834
Net assets, December 31, 2012	$	3,265,765,980
Net asset value and redemption price per share, $3,265,765,980 / 183,816,553 outstanding shares of beneficial interest	$	17.77

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $82,615)	$	48,233,411
Interest income (net of foreign withholding taxes of $14,291)		35,602,417
Affiliated dividend income		2,135,332
Affiliated income from securities loaned, net		186,873
		86,158,033
EXPENSES
Management fee		19,321,933
Custodian’s fees and expenses		468,000
Shareholders’ reports		275,000
Trustees’ fees		42,000
Audit fee		37,000
Insurance expenses		32,000
Legal fees and expenses		16,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		50,386
Total expenses		20,258,319
NET INVESTMENT INCOME		65,899,714
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		142,773,697
Futures transactions		(1,551,763	)
Swap agreement transactions		(121,660	)
Foreign currency transactions		(14,955	)
Options written transactions		(289,749	)
		140,795,570
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $5,446,362)		193,665,988
Futures		283,733
Swap agreements		(1,288,345	)
Foreign currencies		2,535
		192,663,911
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		333,459,481
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	399,359,195

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	65,899,714		$	61,901,155
Net realized gain on investment and foreign currency transactions		140,795,570			202,862,198
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		192,663,911			(135,181,474	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		399,359,195			129,581,879
DISTRIBUTIONS		(61,900,998	)		(60,257,696	)
SERIES SHARE TRANSACTIONS:
Series shares sold [819,611 and 664,274 shares, respectively]		14,077,527			10,513,628
Series shares issued in reinvestment of distributions [3,735,727 and 3,811,366 shares, respectively]		61,900,998			60,257,696
Series shares repurchased [10,708,816 and 11,331,831 shares, respectively]		(184,472,132	)		(180,636,555	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(108,493,607	)		(109,865,231	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		228,964,590			(40,541,048	)
NET ASSETS:
Beginning of year		3,036,801,390			3,077,342,438
End of year	$	3,265,765,980		$	3,036,801,390

SEE NOTES TO FINANCIAL STATEMENTS.

A88

	GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 96.3%
COMMON STOCKS — 96.0%	Shares		Value (Note 2)
Argentina — 0.3%
MercadoLibre, Inc.(a)		20,077	$	1,577,450
Australia — 1.7%
Arrium Ltd.		447,200		435,856
Ausdrill Ltd.		123,200		367,878
Bendigo and Adelaide Bank Ltd.		103,400		921,106
Caltex Australia Ltd.		34,900		703,924
Challenger Ltd.		156,300		582,393
Downer EDI Ltd.*		214,250		918,475
Lend Lease Group		114,600		1,119,163
Metcash Ltd.		206,000		714,150
National Australia Bank Ltd.		56,700		1,491,391
Pacific Brands Ltd.		460,600		299,518
Qantas Airways Ltd.*		419,500		656,904
Rio Tinto Ltd.		14,800		1,040,578
Westpac Banking Corp.		50,100		1,372,735
				10,624,071
Austria — 0.3%
OMV AG		32,300		1,170,429
Voestalpine AG		14,500		532,781
				1,703,210
Belgium — 0.1%
AGFA-Gevaert NV*		86,100		151,152
Delhaize Group SA		18,200		733,079
				884,231
Brazil — 0.2%
BR Malls Participacoes SA		109,200		1,441,067
Canada — 1.8%
Brookfield Asset Management, Inc. (Class A Stock)		80,976		2,967,770
Canadian Pacific Railway Ltd.		23,150		2,352,503
Lululemon Athletica, Inc.*(a)		35,970		2,741,993
Toronto-Dominion Bank (The)		37,121		3,125,449
				11,187,715
China — 0.8%
Baidu, Inc., ADR*(a)		20,064		2,012,219
China Mobile, Ltd.		225,000		2,647,733
				4,659,952
Denmark — 1.0%
Coloplast A/S (Class B Stock)		39,408		1,932,575
H Lundbeck A/S		28,700		420,931
Novo Nordisk A/S (Class B Stock)		21,127		3,440,250
				5,793,756
Finland — 0.2%
Tieto OYJ		56,200		1,110,413
France — 5.0%
Arkema SA		31,221		3,278,180
AXA SA		56,700		1,018,098
BNP Paribas SA		94,633		5,387,490
Bouygues SA		21,900		651,685
Cie Generale des Etablissements Michelin		12,000		1,149,834
Credit Agricole SA*		62,500		509,007
Dassault Systemes SA		23,125		2,585,558

COMMON STOCKS (continued)		Shares		Value (Note 2)
France (continued)
Renault SA			12,300	$	667,992
Sanofi			65,088		6,172,321
SCOR SE			22,000		594,631
Societe Generale*			10,800		410,645
Technip SA			22,972		2,656,404
Thales SA			20,600		717,762
Total SA			38,500		2,003,278
Valeo SA			13,300		668,063
Vivendi SA			81,530		1,843,888
					30,314,836
Germany — 4.3%
Allianz SE			9,500		1,324,278
Aurubis AG			6,200		443,541
BASF SE			12,600		1,191,461
Bayer AG			12,700		1,211,102
Bayerische Motoren Werke AG			34,778		3,384,300
Brenntag AG			11,910		1,569,096
Daimler AG			23,600		1,299,318
Deutsche Bank AG			20,300		893,099
Deutsche Post AG			43,100		949,305
E.ON AG			26,300		493,286
Freenet AG			37,500		695,009
Fresenius Se & Co. KGaA			25,766		2,964,868
Hannover Rueckversicherung AG			8,600		673,588
Lanxess AG			8,100		714,257
Merck KGaA			2,800		369,027
Metro AG			21,300		591,745
Muenchener Rueckversicherungs AG			6,300		1,137,331
Rheinmetall AG			13,300		646,113
RWE AG			18,800		779,781
SAP AG			37,533		3,018,145
Volkswagen AG			9,000		1,952,446
					26,301,096
Hong Kong — 1.5%
AIA Group Ltd.			967,200		3,836,239
Cheung Kong Holdings Ltd.			46,000		715,733
First Pacific Co. Ltd.			858,000		947,502
Hutchison Port Holdings Trust (Class U Stock)			2,393,000		1,890,470
Kingboard Chemical Holdings Ltd.			180,000		649,997
Singamas Container Holdings Ltd.			2,676,000		654,556
Yue Yuen Industrial Holdings Ltd.			154,000		520,859
	��
					9,215,356
Indonesia — 0.3%
PT Bank Rakyat Indonesia (Persero Tbk)			2,410,000		1,747,862
Ireland — 0.4%
Accenture PLC (Class A Stock)			15,646		1,040,459
Allied Irish Banks PLC*			42,100		2,779
Irish Life & Permanent Group Holdings PLC*			51,300		1,463
XL Group PLC			63,000		1,578,780
					2,623,481
Israel — 0.6%
Bank Hapoalim BM*			176,900		758,979
Check Point Software Technologies Ltd.*(a)			41,775		1,990,161

SEE NOTES TO FINANCIAL STATEMENTS.

A89

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Israel (continued)
Elbit Systems Ltd.		11,400	$	457,434
Teva Pharmaceutical Industries Ltd.		12,500		464,494
				3,671,068
Italy — 0.7%
Banco Popolare SC*		38,200		63,610
Enel SpA		323,000		1,343,520
ENI SpA		70,800		1,734,434
Finmeccanica SpA*		43,100		249,430
Parmalat SpA		223,200		519,321
Telecom Italia SpA		626,400		568,189
				4,478,504
Japan — 6.7%
Alpine Electronics, Inc.		22,700		209,870
Aoyama Trading Co. Ltd.		39,100		749,413
Aozora Bank Ltd.		278,000		854,772
Daito Trust Construction Co. Ltd.		11,300		1,067,964
FANUC Corp.		16,200		3,014,004
Fuji Heavy Industries Ltd.		117,000		1,475,408
Fukuoka Financial Group, Inc.		129,000		516,616
Hitachi Capital Corp.		36,800		759,066
ITOCHU Corp.		87,400		923,739
JX Holdings, Inc.		101,400		572,481
KDDI Corp.		26,000		1,838,130
Keihin Corp.		24,500		351,408
K’s Holdings Corp.		19,700		501,477
Kurabo Industries Ltd.		173,100		295,594
Kyowa Exeo Corp.		81,900		823,753
Makita Corp.		48,300		2,243,746
Marubeni Corp.		176,000		1,262,843
Mitsubishi Corp.		34,500		664,227
Mitsubishi UFJ Financial Group, Inc.		140,200		758,638
Mitsui & Co. Ltd.		56,300		843,873
Mizuho Financial Group, Inc.		703,200		1,289,307
Nichii Gakkan Co.		40,300		320,126
Nichirei Corp.		118,000		616,417
Nippon Electric Glass Co. Ltd.		54,000		307,476
Nippon Shokubai Co. Ltd.		68,000		696,532
Nippon Telegraph & Telephone Corp.		37,000		1,557,810
NTT DoCoMo, Inc.		900		1,297,368
ORIX Corp.		34,140		3,856,404
Otsuka Holdings Co. Ltd.		32,500		915,567
Sankyu, Inc.		210,000		795,198
Seino Holdings Corp.		65,000		412,368
Shimachu Co. Ltd.		30,700		644,976
Sumitomo Corp.		88,900		1,140,570
Sumitomo Mitsui Financial Group, Inc.		125,000		4,542,727
Sumitomo Mitsui Trust Holdings, Inc.		64,070		225,738
Toagosei Co. Ltd.		147,000		577,018
Toyo Suisan Kaisha Ltd.		17,000		452,944
Toyota Tsusho Corp.		34,300		846,619
Yokohama Rubber Co. Ltd. (The)		100,000		724,897
				40,947,084
Liechtenstein
Verwaltungs-und Privat-Bank AG		2,100		149,237

COMMON STOCKS (continued)	Shares		Value (Note 2)
Mexico — 0.4%
Fomento Economico Mexicano SAB de CV, ADR*		21,316	$	2,146,521
Netherlands — 1.5%
Aegon NV		104,300		673,763
ASM Pacific Technology Ltd.		177,200		2,175,497
ING Groep NV CVA*		83,900		796,885
Koninklijke Ahold NV		99,700		1,336,885
Koninklijke DSM NV		17,700		1,078,745
Koninklijke KPN NV		82,600		408,486
Unilever NV CVA		64,874		2,482,327
				8,952,588
New Zealand — 0.1%
Air New Zealand Ltd.		737,900		793,351
Norway — 0.8%
DnB ASA		54,100		691,488
Statoil ASA		140,491		3,541,023
Yara International ASA		14,000		698,021
				4,930,532
Peru — 0.4%
Credicorp Ltd.		18,264		2,676,772
Singapore — 0.2%
Golden Agri-Resources Ltd.		1,765,200		949,944
South Africa — 0.9%
Aspen Pharmacare Holdings Ltd.		59,439		1,190,044
Discovery Holdings Ltd.		280,129		2,066,226
FirstRand Ltd.		589,276		2,168,393
				5,424,663
South Korea — 0.6%
Samsung Electronics Co. Ltd.		2,451		3,521,596
Spain — 1.1%
Banco Bilbao Vizcaya Argentaria SA		60,800		564,886
Banco Espanol de Credito SA		79,800		378,195
Banco Santander SA		126,300		1,026,447
Inditex SA		24,333		3,418,959
Repsol YPF SA		57,200		1,167,615
Telefonica SA		25,100		339,832
				6,895,934
Sweden — 1.0%
Atlas Copco AB (Class A Stock)		110,621		3,067,552
Boliden AB		64,800		1,231,265
NCC AB (Class B Stock)		15,700		330,091
Swedbank AB (Class A Stock)		50,400		990,127
Trelleborg AB (Class B Stock)		54,200		677,843
				6,296,878
Switzerland — 3.5%
Baloise Holding AG		11,400		984,650
Credit Suisse Group AG*		26,000		634,566
Geberit AG		9,183		2,035,644
Georg Fischer AG*		2,000		808,214
Glencore International PLC(a)		488,834		2,823,925
Lindt & Spruengli AG		27		1,021,942
Novartis AG		21,400		1,351,908
OC Oerlikon Corp. AG*		63,800		726,577

SEE NOTES TO FINANCIAL STATEMENTS.

A90

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland (continued)
Partners Group Holding AG		10,085	$	2,331,446
Roche Holding AG		6,100		1,233,305
Swiss Life Holding AG*		6,100		814,205
Swiss Re AG*		19,300		1,399,227
Syngenta AG		8,780		3,547,000
UBS AG*		15,600		244,123
Zurich Financial Services AG*		5,800		1,554,157
				21,510,889
United Kingdom — 11.3%
Alent PLC*		81,100		406,824
ARM Holdings PLC		219,992		2,778,236
AstraZeneca PLC		55,900		2,649,099
Aviva PLC		144,400		893,544
Babcock International Group PLC		113,011		1,783,890
BAE Systems PLC		256,400		1,425,127
Barclays PLC		287,100		1,247,163
Beazley PLC		175,100		509,710
Berendsen PLC		24,300		235,464
Berkeley Group Holdings PLC		67,066		1,929,367
Bodycote PLC		93,600		699,904
BP PLC		339,100		2,357,744
BT Group PLC		478,600		1,825,965
Cable & Wireless Communications PLC		917,400		530,031
Compass Group PLC		239,814		2,846,788
Darty PLC		365,500		343,334
Debenhams PLC		301,400		562,713
Diageo PLC		87,510		2,548,883
Experian PLC		109,293		1,761,476
GlaxoSmithKline PLC		23,400		509,474
Home Retail Group PLC		107,200		223,683
HSBC Holdings PLC		305,200		3,234,903
InterContinental Hotels Group PLC		85,307		2,392,051
Intermediate Capital Group PLC		142,000		741,390
Intertek Group PLC		42,830		2,175,633
J Sainsbury PLC		259,000		1,465,337
John Wood Group PLC		132,086		1,579,034
Johnson Matthey PLC		59,747		2,347,060
Legal & General Group PLC		483,800		1,160,094
Marks & Spencer Group PLC		140,600		883,201
Marston’s PLC		339,130		679,558
Mondi PLC		105,500		1,164,508
Old Mutual PLC		314,825		924,656
Premier Foods PLC*		152,560		281,882
Rolls-Royce Holdings PLC*		145,794		2,091,190
Royal Bank of Scotland Group PLC*		26,352		140,850
Royal Dutch Shell PLC (Class B Stock)		200,992		7,170,691
Royal Dutch Shell PLC, ADR		29,250		2,016,787
RSA Insurance Group PLC		300,200		619,967
TESCO PLC		302,900		1,668,556
Thomas Cook Group PLC*		164,000		130,099
Vesuvius PLC		81,100		455,833
Vodafone Group PLC		547,900		1,379,216
Weir Group PLC (The)		66,345		2,051,604
WM Morrison Supermarkets PLC		320,700		1,376,983
Wolseley PLC		59,615		2,850,727
				69,050,229

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States — 48.3%
3M Co.		31,800	$	2,952,630
AES Corp.		131,900		1,411,330
Allstate Corp. (The)		51,150		2,054,695
Amazon.com, Inc.*		3,314		832,278
American Express Co.		34,200		1,965,816
American International Group, Inc.*		25,486		899,656
American Tower Corp.		42,106		3,253,531
Ameriprise Financial, Inc.		17,950		1,124,209
Amgen, Inc.		21,300		1,838,616
Apache Corp.		11,050		867,425
Apple, Inc.		8,794		4,687,466
AT&T, Inc.		114,300		3,853,053
AutoZone, Inc.*		8,472		3,002,731
Avon Products, Inc.		61,100		877,396
Baker Hughes, Inc.		34,600		1,413,064
Bank of America Corp.		287,500		3,335,000
Biogen Idec, Inc.*		34,316		5,033,128
Boeing Co. (The)		15,400		1,160,544
Bristol-Myers Squibb Co.		71,554		2,331,945
Cablevision Systems Corp. (Class A Stock)(a)		48,600		726,084
CBS Corp. (Class B Stock)		123,844		4,712,264
Celanese Corp., Ser. A		33,850		1,507,341
Charles Schwab Corp. (The)(a)		84,000		1,206,240
Chevron Corp.		43,050		4,655,427
Chipotle Mexican Grill, Inc.*		5,671		1,686,896
Cisco Systems, Inc.		110,400		2,169,360
Citigroup, Inc.		89,156		3,527,011
Comcast Corp. (Class A Stock)		86,996		3,251,910
CONSOL Energy, Inc.		37,200		1,194,120
Covidien PLC		36,850		2,127,719
Cummins, Inc.		19,146		2,074,469
Danaher Corp.		31,220		1,745,198
Dell, Inc.		167,200		1,693,736
Dick’s Sporting Goods, Inc.		14,101		641,454
Dollar General Corp.*(a)		29,029		1,279,888
eBay, Inc.*		63,438		3,236,607
Emerson Electric Co.		20,000		1,059,200
Entergy Corp.		31,550		2,011,312
EQT Corp.		21,600		1,273,968
Equinix, Inc.*(a)		12,318		2,539,972
Estee Lauder Cos., Inc. (The) (Class A Stock)		20,238		1,211,447
Exelon Corp.		59,800		1,778,452
Express Scripts Holding Co.*		58,399		3,153,546
Exxon Mobil Corp.		50,300		4,353,465
Fifth Third Bancorp		91,700		1,392,923
Foot Locker, Inc.		1,512		48,565
General Electric Co.		160,700		3,373,093
General Motors Co.*(a)		92,300		2,661,009
Gilead Sciences, Inc.*		65,202		4,789,087
GNC Holdings, Inc. (Class A Stock)		33,756		1,123,400
Goldman Sachs Group, Inc. (The)		6,425		819,573
Google, Inc. (Class A Stock)*		2,347		1,664,891
Hess Corp.		28,500		1,509,360
Home Depot, Inc. (The)		41,910		2,592,133
Honeywell International, Inc.		25,600		1,624,832
Illinois Tool Works, Inc.		22,350		1,359,103

SEE NOTES TO FINANCIAL STATEMENTS.

A91

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Ingersoll-Rand PLC		24,650	$	1,182,214
International Business Machines Corp.		5,850		1,120,567
International Paper Co.		67,300		2,681,232
Intuitive Surgical, Inc.*		4,942		2,423,409
Invesco Ltd.		52,100		1,359,289
Johnson & Johnson(a)		43,450		3,045,845
JPMorgan Chase & Co.		115,050		5,058,749
Kellogg Co.		26,550		1,482,817
Kinder Morgan, Inc.		47,988		1,695,416
Kohl’s Corp.		49,400		2,123,212
Liberty Global, Inc. (Class A Stock)*		33,104		2,085,221
Liberty Media Corp. — Liberty Starz, Ser. A (Class A Stock)*		4,500		522,045
Limited Brands, Inc.		34,312		1,614,723
LinkedIn Corp. (Class A Stock)*		7,245		831,871
Lockheed Martin Corp.		9,150		844,453
Lowe’s Cos., Inc.		166,811		5,925,127
LyondellBasell Industries NV (Class A Stock)		79,258		4,524,839
Madison Square Garden, Inc. (The) (Class A Stock)*		12,700		563,245
Marsh & McLennan Cos., Inc.		83,100		2,864,457
McDonald’s Corp.		18,788		1,657,289
Merck & Co., Inc.		92,400		3,782,856
MetLife, Inc.		33,100		1,090,314
Microsoft Corp.		128,700		3,440,151
Monsanto Co.		46,115		4,364,785
Morgan Stanley		145,900		2,789,608
Murphy Oil Corp.		18,800		1,119,540
National Oilwell Varco, Inc.		49,748		3,400,276
Newfield Exploration Co.*		41,600		1,114,048
NIKE, Inc. (Class B Stock)		59,690		3,080,004
NRG Energy, Inc.		100,900		2,319,691
Nucor Corp.		18,200		785,876
Pentair Ltd.*		54,630		2,685,064
PepsiCo, Inc.		28,350		1,939,991
Perrigo Co.		7,907		822,565
Pfizer, Inc.		184,800		4,634,784
PNC Financial Services Group, Inc.		19,800		1,154,538
Precision Castparts Corp.		22,172		4,199,820
priceline.com, Inc.*		5,022		3,119,666
Procter & Gamble Co. (The)		42,600		2,892,114
QUALCOMM, Inc.		81,230		5,037,885
Raytheon Co.		26,500		1,525,340
Schlumberger Ltd.		73,156		5,068,979
SLM Corp.		70,300		1,204,239
Southwest Airlines Co.		266,100		2,724,864
Spectra Energy Corp.		72,000		1,971,360
St Joe Co. (The)*(a)		46,400		1,070,912
Starbucks Corp.		44,871		2,405,983
Starwood Hotels & Resorts Worldwide, Inc.		84,269		4,833,670
TE Connectivity Ltd.		30,800		1,143,296
Texas Instruments, Inc.		30,700		949,858
Thermo Fisher Scientific, Inc.		30,750		1,961,235
Time Warner, Inc.		58,250		2,786,098
Time Warner Cable, Inc.		35,000		3,401,650
TJX Cos., Inc.		97,411		4,135,097
U.S. Bancorp		118,659		3,789,968

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Union Pacific Corp.		41,894	$	5,266,913
United Rentals, Inc.*(a)		8,860		403,307
United Technologies Corp.		32,350		2,653,024
Visa, Inc. (Class A Stock)		33,301		5,047,766
VMware, Inc. (Class A Stock)*		25,806		2,429,377
Vulcan Materials Co.		27,100		1,410,555
W.W. Grainger, Inc.		17,430		3,527,309
Wal-Mart Stores, Inc.		15,950		1,088,269
Wells Fargo & Co.		227,647		7,780,974
Western Union Co. (The)		76,300		1,038,443
Weyerhaeuser Co.		76,800		2,136,576
Wynn Resorts Ltd.		32,646		3,672,349
Yum! Brands, Inc.		21,711		1,441,610
				294,918,185
TOTAL COMMON STOCKS (cost $511,859,493)				586,498,471
PREFERRED STOCK — 0.3%
United States — 0.3%
Wells Fargo & Co. (cost $1,510,954)		63,000		1,849,050
RIGHTS
Spain
Repsol SA* (cost $0)		57,200		34,882
TOTAL LONG-TERM INVESTMENTS (cost $513,370,447)				588,382,403
SHORT-TERM INVESTMENT — 7.0%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund, (cost $42,665,186; includes $18,114,025 of cash collateral received for securities on loan) (Note 4) (b)(c)		42,665,186		42,665,186
TOTAL INVESTMENTS — 103.3% (cost $556,035,633)				631,047,589
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.3)%				(19,857,804	)
NET ASSETS — 100.0%			$	611,189,785

The following abbreviations are used in portfolio descriptions:

ADR	American Depository Receipt
CVA	Certificate Van Aandelen (Bearer)

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $17,903,679; cash collateral of $18,114,025 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on December 31, 2012. Collateral was subsequently received on the following business day and the portfolio remained in compliance.

SEE NOTES TO FINANCIAL STATEMENTS.

A92

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Argentina	$	1,577,450	$	—	$	—
Australia		—		10,624,071		—
Austria		—		1,703,210		—
Belgium		151,152		733,079		—
Brazil		1,441,067		—		—
Canada		11,187,715		—		—
China		2,012,219		2,647,733		—
Denmark		420,931		5,372,825		—
Finland		—		1,110,413		—
France		—		30,314,836		—
Germany		—		26,301,096		—
Hong Kong		1,890,470		7,324,886		—
Indonesia		—		1,747,862		—
Ireland		2,623,481		—		—
Israel		1,990,161		1,680,907		—
Italy		—		4,478,504		—
Japan		—		40,947,084		—
Liechtenstein		149,237		—		—

	Level 1		Level 2		Level 3
Mexico	$	2,146,521	$	—	$	—
Netherlands		—		8,952,588		—
New Zealand		—		793,351		—
Norway		—		4,930,532		—
Peru		2,676,772		—		—
Singapore		—		949,944		—
South Africa		—		5,424,663		—
South Korea		—		3,521,596		—
Spain		—		6,895,934		—
Sweden		—		6,296,878		—
Switzerland		—		21,510,889		—
United Kingdom		3,114,908		65,935,321		—
United States		294,918,185		—		—
Preferred Stock		—		—		—
United States		1,849,050		—		—
Rights
Spain		34,882		—		—
Affiliated Money Market Mutual Fund		42,665,186		—		—
Total	$	370,849,387	$	260,198,202	$	—

Fair value of Level 2 investments at December 31, 2011 was $116,496. An amount of $35,318,999 was transferred from Level 1 into Level 2 at December 31, 2012 as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

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

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

Commercial Banks	8.3	%
Affiliated Money Market Mutual Fund (including 3.0% of collateral received for securities on loan)	7.0
Oil, Gas & Consumable Fuels	6.9
Pharmaceuticals	5.7
Insurance	4.7
Chemicals	4.1
Specialty Retail	4.0
Hotels, Restaurants & Leisure	3.6
Machinery	3.6
Diversified Financial Services	3.3
Media	3.0
Aerospace & Defense	2.8
Energy Equipment & Services	2.3
Trading Companies & Distributors	2.3
Software	2.2

Capital Markets	2.0	%
Automobiles	1.9
Biotechnology	1.9
Internet Software & Services	1.9
Diversified Telecommunication	1.8
Food & Staples Retailing	1.5
IT Services	1.5
Semiconductors & Semiconductor	1.5
Industrial Conglomerates	1.4
Real Estate Management & Development	1.4
Road & Rail	1.4
Food Products	1.3
Wireless Telecommunication Services	1.3
Communications Equipment	1.2
Metals & Mining	1.2
Beverages	1.1

SEE NOTES TO FINANCIAL STATEMENTS.

A93

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Industry table (cont.)
Healthcare Equipment & Supplies	1.1	%
Healthcare Providers & Services	1.1
Textiles, Apparel & Luxury Goods	1.1
Computers & Peripherals	1.0
Real Estate Investment Trusts	0.9
Electric Utilities	0.8
Multiline Retail	0.8
Airlines	0.7
Internet & Catalog Retail	0.7
Consumer Finance	0.6
Independent Power Producers & Energy Traders	0.6
Paper & Forest Products	0.6
Professional Services	0.6
Auto Components	0.5
Commercial Services & Supplies	0.5

Household Products	0.5	%
Construction & Engineering	0.4
Household Durables	0.4
Building Products	0.3
Electronic Equipment & Instruments	0.3
Life Sciences Tools & Services	0.3
Personal Products	0.3
Transportation Infrastructure	0.3
Air Freight & Logistics	0.2
Construction Materials	0.2
Electrical Equipment	0.2
Multi-Utilities	0.2
	103.3
Liabilities in excess of other assets	(3.3	)
	100.0	%

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights			Forward Currency Contracts		Futures		Total
Equity contracts	$	(370,773	)	$	—	$	252,436	$	(118,337	)
Foreign exchange contracts		—			521,491		—		521,491
Total	$	(370,773	)	$	521,491	$	252,436	$	403,154

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Forward Currency Contracts
Foreign exchange contracts	$	33,436

For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities are as follows:

Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)	Futures Long Position (Value at Trade Date)
$2,139,442	$7,071,940	$277,730

SEE NOTES TO FINANCIAL STATEMENTS.

A94

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $17,903,679:
Unaffiliated investments (cost $513,370,447)	$	588,382,403
Affiliated investments (cost $42,665,186)		42,665,186
Foreign currency, at value (cost $2,250,794)		2,243,409
Receivable for investments sold		814,394
Foreign tax reclaim receivable		713,704
Dividends and interest receivable		464,710
Receivable for Series shares sold		4,332
Prepaid expenses		3,992
Total Assets		635,292,130
LIABILITIES
Collateral for securities on loan		18,114,025
Payable for investments purchased		5,283,447
Management fee payable		384,453
Accrued expenses and other liabilities		227,911
Payable for Series shares repurchased		91,583
Affiliated transfer agent fee payable		926
Total Liabilities		24,102,345
NET ASSETS	$	611,189,785
Net assets were comprised of:
Paid-in capital	$	617,193,503
Retained earnings		(6,003,718	)
Net assets, December 31, 2012	$	611,189,785
Net asset value and redemption price per share, $611,189,785 / 31,236,282 outstanding shares of beneficial interest	$	19 .57

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $57,645)	$	15,668,417
Affiliated income from securities loaned, net		116,684
Affiliated dividend income		37,542
Interest		24,939
		15,847,582
EXPENSES
Management fee		4,470,285
Custodian’s fees and expenses		258,000
Shareholders’ reports		148,000
Audit fee		25,000
Trustees’ fees		16,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Insurance expenses		6,000
Commitment fee on syndicated credit agreement		3,000
Miscellaneous		40,920
Total expenses		4,991,205
NET INVESTMENT INCOME		10,856,377
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		15,419,632
Futures transactions		252,436
Foreign currency transactions		345,856
		16,017,924
Net change in unrealized appreciation (depreciation) on:
Investments		68,499,603
Foreign currencies		108,142
		68,607,745
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		84,625,669
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	95,482,046

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net investment income	$	10,856,377		$	9,580,870
Net realized gain on investments and foreign currencies		16,017,924			26,174,487
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		68,607,745			(78,509,307	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		95,482,046			(42,753,950	)
DISTRIBUTIONS		(9,580,386	)		(9,684,066	)
SERIES SHARE TRANSACTIONS:
Series shares sold [392,325 and 843,518 shares, respectively]		7,205,788			15,384,776
Series shares issued in reinvestment of distributions [555,063 and 525,167 shares, respectively]		9,580,386			9,684,066
Series shares repurchased [3,015,270 and 3,129,794 shares, respectively]		(55,676,472	)		(56,971,187	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(38,890,298	)		(31,902,345	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		47,011,362			(84,340,361	)
NET ASSETS:
Beginning of year		564,178,423			648,518,784
End of year	$	611,189,785		$	564,178,423

SEE NOTES TO FINANCIAL STATEMENTS.

A95

	GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 96.4%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Asset-Backed Securities — 1.1%
Citibank Credit Card Issuance Trust, Ser. 2007-A8, Class A8		5.650%	09/20/19	$	1,500	$	1,816,848
Small Business Administration Participation Certificates, Ser. 1996-20J, Class 1		7.200%	10/01/16		675		718,459
Ser. 1997-20A, Class 1		7.150%	01/01/17		495		529,811
Ser. 1997-20G, Class 1		6.850%	07/01/17		268		287,845
Ser. 1998-20I, Class 1		6.000%	09/01/18		654		711,852
							4,064,815
Collateralized Mortgage Obligations — 1.1%
Federal Home Loan Mortgage Corp., Ser. 2002-2496, Class PM		5.500%	09/15/17		927		992,106
Ser. 2002-2501, Class MC		5.500%	09/15/17		310		329,685
Ser. 2002-2513, Class HC		5.000%	10/15/17		1,685		1,795,681
Federal National Mortgage Association, Ser. 2002-18, Class PC		5.500%	04/25/17		377		383,100
Ser. 2002-57, Class ND		5.500%	09/25/17		365		387,652
Merrill Lynch Mortgage Investors, Inc., Ser. 2003-E, Class A1(a)		0.830%	10/25/28		87		84,400
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)		2.775%	02/25/34		302		304,575
							4,277,199
Commercial Mortgage-Backed Securities — 17.2%
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a)		5.702%	12/10/49		2,000		2,356,322
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2007-CD4, Class A3		5.293%	12/11/49		1,800		1,869,770
Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(a)		5.748%	06/10/46		2,000		2,271,400
Ser. 2012-CR5, Class A3		2.540%	12/10/45		1,000		999,362
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a)		5.800%	05/15/46		727		774,321
Federal National Mortgage Association, Ser. 2012-M13, Class A2		2.377%	05/25/22		1,850		1,882,591
FHLMC Multifamily Structured Pass-Through Certificates, Ser. 2009-K003, Class A5		5.085%	03/25/19		250		296,369
Ser. 2009-K004, Class A2		4.186%	08/25/19		3,725		4,297,346
Ser. 2010-K005, Class A2		4.317%	11/25/19		2,700		3,141,515
Ser. 2010-K007, Class A2		4.224%	03/25/20		3,600		4,181,584
Ser. 2011-K010, Class A2		4.333%	10/25/20		3,600		4,193,820
Ser. 2011-K011, Class A2		4.084%	11/25/20		3,600		4,143,049
Ser. 2011-K013, Class A2		3.974%	01/25/21		3,525		4,037,863
Ser. 2011-K016, Class A2(b)		2.968%	10/25/21		2,800		3,000,060
Ser. 2012-K020, Class X1, I/O(a)		1.479%	05/25/22		9,481		1,011,180
Ser. 2012-K021, Class A2		2.396%	06/25/22		3,600		3,658,953
Ser. 2012-K021, Class X1, I/O		1.516%	06/25/22		9,996		1,111,193
Ser. 2012-K022, Class A2		2.355%	07/25/22		3,550		3,587,151
Ser. 2012-K023, Class A2		2.307%	08/25/22		3,500		3,523,629
Ser. 2012-K501, Class X1A, I/O(a)		1.755%	08/25/16		4,259		199,408
Ser. 2012-K710, Class X1, I/O(a)		1.784%	05/25/19		8,487		809,416
Ser. 2012-K711, Class X1, I/O		1.712%	07/25/19		7,998		743,414
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2		5.381%	03/10/39		1,610		1,661,562
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2		5.778%	08/10/45		938		942,277
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A3(a)		5.812%	06/15/49		1,000		1,072,725
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-9, Class A2		5.590%	09/12/49		1,059		1,058,904
Morgan Stanley Capital I Trust, Ser. 2005-IQ10, Class A4B(a)		5.284%	09/15/42		800		884,193
NCUA Gtd. Notes, Ser. 2010-C1, Class A2		2.900%	10/29/20		2,600		2,771,512
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4		2.792%	12/10/45		1,300		1,314,605
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A5(a)		5.416%	01/15/45		1,500		1,696,382
Ser. 2006-C25, Class A5(a)		5.736%	05/15/43		2,000		2,303,990
							65,795,866

SEE NOTES TO FINANCIAL STATEMENTS.

A96

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Corporate Bonds — 2.4%
Canada Government International Bond (Canada), Sr. Unsec’d. Notes		0.875%	02/14/17	$	1,025	$	1,033,302
DEPFA ACS Bank (Ireland), Covered Notes, 144A		5.125%	03/16/37		1,520		1,186,655
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes		2.375%	08/25/21		660		687,588
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%	10/23/22		3,075		3,030,191
Westpac Banking Corp. (Australia), Covered Notes, 144A(b)		1.250%	12/15/17		3,220		3,215,814
							9,153,550
Mortgage-Backed Securities — 39.5%
Federal Home Loan Mortgage Corp.(a)		2.354%	05/01/34		615		653,450
Federal Home Loan Mortgage Corp.(c)		3.000%	TBA 15 Year		1,500		1,575,000
Federal Home Loan Mortgage Corp.		4.000%	06/01/26-12/01/40		2,974		3,166,646
Federal Home Loan Mortgage Corp.		4.500%	09/01/39		6,349		6,813,422
Federal Home Loan Mortgage Corp.		5.000%	06/01/33-05/01/34		3,508		3,835,313
Federal Home Loan Mortgage Corp.		5.500%	05/01/37-05/01/38		3,024		3,267,642
Federal Home Loan Mortgage Corp.		6.000%	09/01/34-08/01/39		1,846		2,014,053
Federal Home Loan Mortgage Corp.		6.500%	05/01/13-09/01/32		164		185,700
Federal National Mortgage Association(a)		2.144%	07/01/33		1,892		2,008,592
Federal National Mortgage Association(a)		2.235%	06/01/34		523		554,009
Federal National Mortgage Association(a)		2.393%	08/01/33		1,211		1,288,468
Federal National Mortgage Association(c)		2.500%	TBA 15 Year		6,500		6,796,562
Federal National Mortgage Association(a)		2.526%	04/01/34		232		246,639
Federal National Mortgage Association(a)		2.676%	04/01/34		434		461,148
Federal National Mortgage Association(c)		3.000%	TBA 15 Year		4,500		4,749,610
Federal National Mortgage Association		3.500%	06/01/39		797		850,264
Federal National Mortgage Association(c)		3.500%	TBA 15 Year		1,000		1,060,781
Federal National Mortgage Association		3.500%	TBA 30 Year		7,500		7,981,933
Federal National Mortgage Association		3.500%	TBA 30 Year		27,000		28,785,586
Federal National Mortgage Association		4.500%	05/01/40		7,478		8,302,686
Federal National Mortgage Association(c)		4.500%	TBA 30 Year		2,000		2,160,391
Federal National Mortgage Association		5.000%	07/01/18-05/01/36		6,099		6,636,518
Federal National Mortgage Association		5.500%	01/01/17-11/01/35		12,915		14,402,087
Federal National Mortgage Association		6.000%	11/01/14-05/01/38		3,825		4,245,658
Federal National Mortgage Association		6.500%	01/01/15-10/01/37		2,515		2,836,891
Federal National Mortgage Association		7.000%	12/01/31-01/01/36		495		590,846
Federal National Mortgage Association		8.000%	03/01/22-02/01/26		20		20,450
Federal National Mortgage Association		9.000%	02/01/25-04/01/25		81		94,123
Government National Mortgage Association(c)		3.000%	TBA 30 Year		4,000		4,252,500
Government National Mortgage Association		3.500%	TBA 30 Year		500		542,383
Government National Mortgage Association		4.000%	06/15/40		908		1,002,689
Government National Mortgage Association(c)		4.000%	TBA 30 Year		5,000		5,444,532
Government National Mortgage Association(c)		4.000%	TBA 30 Year		4,000		4,386,875
Government National Mortgage Association		4.500%	02/20/41		2,572		2,837,492
Government National Mortgage Association(c)		4.500%	TBA 30 Year		9,500		10,401,016
Government National Mortgage Association		5.000%	07/15/33-04/15/34		1,467		1,614,038
Government National Mortgage Association(c)		5.000%	TBA 30 Year		2,000		2,187,187
Government National Mortgage Association		5.500%	03/15/34-03/15/36		1,261		1,389,300
Government National Mortgage Association		6.500%	07/15/32-08/15/32		341		398,912
Government National Mortgage Association		7.000%	03/15/23-08/15/28		854		1,002,606
Government National Mortgage Association		7.500%	12/15/25-02/15/26		163		193,131
Government National Mortgage Association		8.500%	09/15/24-04/15/25		211		254,150
							151,491,279
Municipal Bond — 0.2%
State of Utah, BABs, Ser. D		4.554%	07/01/24		630		740,597
U.S. Government Agency Obligations — 2.2%
Federal Home Loan Mortgage Corp.		1.250%	10/02/19		2,105		2,098,841
Federal Home Loan Mortgage Corp., Ser. 1		0.750%	01/12/18		1,380		1,370,653
Federal National Mortgage Association(b)(d)		0.875%	12/20/17		4,905		4,914,579
							8,384,073

SEE NOTES TO FINANCIAL STATEMENTS.

A97

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
U.S. Treasury Securities — 32.7%
U.S. Treasury Bonds(d)		2.750%	08/15/42	$		3,125	$	3,017,578
U.S. Treasury Bonds		2.750%	11/15/42			9,865		9,504,605
U.S. Treasury Bonds		3.000%	05/15/42			1,645		1,675,844
U.S. Treasury Notes		0.625%	11/30/17			1,842		1,835,813
U.S. Treasury Notes		0.750%	12/31/17			48,620		48,699,785
U.S. Treasury Notes		1.125%	12/31/19			55		54,845
U.S. Treasury Notes		4.500%	11/15/15			4,710		5,266,369
U.S. Treasury Notes(d)(e)		4.625%	11/15/16			1,840		2,129,226
U.S. Treasury Strip Principal(f)		0.410%	02/15/16			15,870		15,668,594
U.S. Treasury Strips Coupon(b)(g)		0.330%	05/15/15			12,430		12,333,295
U.S. Treasury Strips Coupon(g)		2.180%	08/15/24			10,095		7,843,179
U.S. Treasury Strips Coupon(g)		2.260%	02/15/25			925		703,740
U.S. Treasury Strips Coupon(g)		2.610%	05/15/25			5,815		4,378,776
U.S. Treasury Strips Coupon(b)(g)		2.880%	08/15/26			4,045		2,893,696
U.S. Treasury Strips Coupon(g)		3.020%	05/15/27			5,240		3,636,979
U.S. Treasury Strips Coupon(g)		3.120%	11/15/27			6,000		4,079,136
U.S. Treasury Strips Coupon(g)		3.910%	08/15/33			2,725		1,498,172
								125,219,632
TOTAL LONG-TERM INVESTMENTS (cost $356,476,838)								369,127,011
					Shares
SHORT-TERM INVESTMENTS — 28.2%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $53,867,236)(h)						5,465,737		50,448,749
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $57,574,510; includes $12,971,111 of cash collateral received for securities on loan)(h)(i)						57,574,510		57,574,510
TOTAL AFFILIATED MUTUAL FUNDS (cost $111,441,746)								108,023,259
TOTAL INVESTMENTS — 124.6% (cost $467,918,584)								477,150,270
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (24.6)%								(94,244,934	)
NET ASSETS — 100.0%							$	382,905,336

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
BABs	Build America Bonds
FHLMC	Federal Home Loan Mortgage Corporation
I/O	Interest Only
NCUA	National Credit Union Administration
TBA	To Be Announced

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

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

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $12,711,875; cash collateral of $12,971,111 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c) All or partial principal amount totaling $39,500,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A98

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

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

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

Futures contracts outstanding at December 31, 2012:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation/ (Depreciation)
Long Positions:
156	2 Year U.S. Treasury Notes		Mar. 2013	$	34,379,911	$	34,393,125	$	13,214
83	5 Year U.S. Treasury Notes		Mar. 2013		10,314,179		10,326,367		12,188
14	U.S. Ultra Bond		Mar. 2013		2,288,330		2,276,313		(12,017	)
									13,385
Short Positions:
33	10 Year U.S. Treasury Notes		Mar. 2013		4,369,600		4,381,781		(12,181	)
137	U.S. Long Bond		Mar. 2013		20,551,707		20,207,500		344,207
									332,026
								$	345,411

Interest rate swap agreements outstanding at December 31, 2012:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	17,980		08/31/16		0.934%	3 month LIBOR(1)	$	283,394		$	—	$	283,394		Credit Suisse International
	5,595		08/31/16		0.978%	3 month LIBOR(2)		(98,049	)		—		(98,049	)	JPMorgan Chase Bank, NA
	5,595		08/31/16		0.975%	3 month LIBOR(2)		(97,270	)		—		(97,270	)	JPMorgan Chase Bank, NA
	880		09/14/16		1.206%	3 month LIBOR(2)		(23,055	)		—		(23,055	)	Deutsche Bank AG
	26,910		11/30/16		0.945%	3 month LIBOR(2)		(350,905	)		—		(350,905	)	Citibank, NA
	16,695		11/30/16		0.913%	3 month LIBOR(2)		(196,212	)		—		(196,212	)	JPMorgan Chase Bank, NA
	9,525		02/28/17		0.680%	3 month LIBOR(1)		4,659			—		4,659		Citibank, NA
	4,700		02/15/19		1.794%	3 month LIBOR(1)		226,987			—		226,987		JPMorgan Chase Bank, NA
	4,700		02/15/19		1.656%	3 month LIBOR(2)		(185,869	)		—		(185,869	)	Citibank, NA
	2,105		10/02/19		1.189%	3 month LIBOR(2)		1,414			—		1,414		Bank of Nova Scotia
	2,190		01/13/22		1.676%	3 month LIBOR(1)		10,425			—		10,425		Citibank, NA
	2,190		01/13/22		1.660%	3 month LIBOR(2)		(11,365	)		—		(11,365	)	Citibank, NA
	6,195		08/15/28		2.370%	3 month LIBOR(2)		12,319			—		12,319		Citibank, NA
							$	(423,527	)	$	—	$	(423,527	)

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

LIBOR London Interbank Offered Rate

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A99

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities	$	—	$	4,064,815		$	—
Collateralized Mortgage Obligations		—		4,277,199			—
Commercial Mortgage-Backed Securities		—		65,795,866			—
Corporate Bonds		—		9,153,550			—
Mortgage-Backed Securities		—		151,491,279			—
Municipal Bond		—		740,597			—
U.S. Government Agency Obligations		—		8,384,073			—
U.S. Treasury Securities		—		125,219,632			—
Affiliated Mutual Funds		108,023,259		—			—
Other Financial Instruments*
Futures Contracts		345,411		—			—
Interest Rate Swap Agreements		—		(423,527	)		—
Total	$	108,368,670	$	368,703,484		$	—

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

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

Mortgage-Backed Securities	39.5	%
U.S. Treasury Securities	32.7
Affiliated Mutual Funds (including 3.4% of collateral received for securities on loan)	28.2
Commercial Mortgage-Backed Securities	17.2
Corporate Bonds	2.4
U.S. Government Agency Obligations	2.2

Asset-Backed Securities	1.1	%
Collateralized Mortgage Obligations	1.1
Municipal Bond	0.2
	124.6
Liabilities in excess of other assets	(24.6	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Interest rate contracts	Due from broker — variation margin	$	369,609	*	Due from broker — variation margin	$	24,198	*
Interest rate contracts	Unrealized appreciation on swap agreements		539,198		Unrealized depreciation on swap agreements		962,725
Total		$	908,807			$	986,923

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased		Options Written			Futures			Swaps		Total
Interest rate contracts	$	253,415	$	(211,836	)	$	(2,641,608	)	$	182,747	$	(2,417,282	)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures		Swaps			Total
Interest rate contracts	$	717,034	$	(866,131	)	$	(149,097	)

SEE NOTES TO FINANCIAL STATEMENTS.

A100

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities are as follows:

Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)	Interest Rate Swaps (Notional Amount in USD (000))
$54,569,312	$37,038,951	$95,700

SEE NOTES TO FINANCIAL STATEMENTS.

A101

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $12,711,875:
Unaffiliated investments (cost $356,476,838)	$	369,127,011
Affiliated investments (cost $111,441,746)		108,023,259
Receivable for investments sold		46,351,734
Dividends and interest receivable		965,661
Unrealized appreciation on swap agreements		539,198
Due from broker—variation margin		108,815
Prepaid expenses		2,688
Receivable for Series shares sold		1,338
Total Assets		525,119,704
LIABILITIES
Payable for investments purchased		127,487,098
Collateral for securities on loan		12,971,111
Unrealized depreciation on swap agreements		962,725
Payable for Series shares repurchased		536,137
Management fee payable		130,213
Accrued expenses and other liabilities		108,094
Payable to custodian		17,703
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		361
Total Liabilities		142,214,368
NET ASSETS	$	382,905,336
Net assets were comprised of:
Paid-in capital	$	362,328,599
Retained earnings		20,576,737
Net assets, December 31, 2012	$	382,905,336
Net asset value and redemption price per share, $382,905,336 / 31,521,854 outstanding shares of beneficial interest	$	12.15

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Interest income	$	8,826,800
Affiliated dividend income		784,462
Affiliated income from securities loaned, net		20,027
		9,631,289
EXPENSES
Management fee		1,581,269
Shareholders’ reports		145,000
Custodian’s fees and expenses		84,000
Audit fee		30,000
Trustees’ fees		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Legal fees and expenses		10,000
Insurance expenses		4,000
Commitment fee on syndicated credit agreement		3,000
Miscellaneous		9,156
Total expenses		1,891,425
NET INVESTMENT INCOME		7,739,864
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions (including affiliated: $(14))		13,718,069
Foreign currency transactions		42
Futures transactions		(2,641,608	)
Swap agreement transactions		182,747
Options written transactions		(211,836	)
		11,047,414
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $2,010,575)		(4,620,213	)
Futures		717,034
Swap agreements		(866,131	)
		(4,769,310	)
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		6,278,104
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	14,017,968

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	7,739,864		$	10,051,753
Net realized gain on investment and foreign currency transactions		11,047,414			12,493,569
Net change in unrealized appreciation (depreciation) on investments		(4,769,310	)		7,373,827
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		14,017,968			29,919,149
DISTRIBUTIONS		(20,654,654	)		(18,318,094	)
SERIES SHARE TRANSACTIONS:
Series shares sold [775,380 and 2,166,785 shares, respectively]		9,542,642			26,321,036
Series shares issued in reinvestment of distributions [1,707,009 and 1,519,181 shares, respectively]		20,654,654			18,318,094
Series shares repurchased [4,651,275 and 3,193,994 shares, respectively]		(57,309,200	)		(38,827,001	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(27,111,904	)		5,812,129
TOTAL INCREASE (DECREASE) IN NET ASSETS		(33,748,590	)		17,413,184
NET ASSETS:
Beginning of year		416,653,926			399,240,742
End of year	$	382,905,336		$	416,653,926

SEE NOTES TO FINANCIAL STATEMENTS.

A102

	HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 95.2% ASSET-BACKED SECURITIES — 0.5%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities — 0.5%
Primus CLO Ltd. (Cayman Islands), Ser. 2007-2A, Class A, 144A(a)	Aa1		0.573%	07/15/21	$	478	$	456,038
Slater Mill Loan Fund LP CLO (Cayman Islands), Ser. 2012-1A, Class D, 144A(a)	BBB(b)		4.561%	08/17/22		13,000		12,228,515
								12,684,553
Residential Mortgage-Backed Securities
Argent Securities, Inc., Ser. 2003-W8, Class M1(a)	Ba1		1.260%	12/25/33		121		115,850
Credit-Based Asset Servicing and Securitization LLC, Ser. 2007-CB1, Class AF2(a)	Ca		4.888%	01/25/37		569		305,792
Morgan Stanley ABS Capital I, Ser. 2007-HE6, Class A2(a)	Ca		0.350%	05/25/37		100		50,219
Morgan Stanley Mortgage Loan Trust, Ser. 2006-12XS, Class A6A	Caa3		5.726%	10/25/36		406		236,680
Structured Asset Securities Corp., Ser. 2005-9XS, Class 2A1(a)	B3		0.510%	06/25/35		345		278,368
								986,909
TOTAL ASSET-BACKED SECURITIES (cost $12,595,162)								13,671,462
BANK LOANS — 3.4%
Automotive — 0.2%
Chrysler Group LLC(a)	Ba2		6.000%	05/24/17		4,617		4,711,205
Cable — 0.1%
WideOpenWest Holdings LLC(a)	B1		6.250%	07/17/18		3,354		3,388,609
Capital Goods — 0.3%
CPM Acquisition Corp.(a)	Caa1		10.250%	03/01/18		7,750		7,808,125
Consumer — 0.3%
One Call Medical, Inc.(a)	Ba3		7.003%	08/23/19		2,500		2,504,167
Visant Corp.(a)	B1		5.250%	12/22/16		2,228		2,011,486
West Corp.(a)	Ba3		5.750%	06/30/18		3,483		3,523,855
								8,039,508
Electric
Texas Competitive Electric Holdings Co. LLC(a)	Caa1		3.746%	10/10/14		1,114		844,550
Energy – Other — 0.2%
Shelf Drilling Holidings, Ltd. (original cost $4,900,000; purchased 10/10/12)(a)(c)(d)	Ba1		5.350%	05/31/18		5,000		4,925,000
Gaming — 0.2%
CCM Merger, Inc.(a)	B2		6.000%	03/01/17		4,855		4,863,962
Healthcare & Pharmaceutical
Alliance HealthCare Services, Inc.(a)	Ba3		7.250%	06/01/16		706		694,049
Metals — 0.5%
FMG Resources (August 2006) Pty Ltd.(a).	Ba1		5.250%	10/18/17		14,963		15,067,701
Pipelines & Other — 0.2%
Energy Transfer Equity LP(a)	Ba2		3.750%	03/24/17		5,855		5,894,340
Technology — 1.4%
First Data Corp.(a)	B1		4.211%	03/26/18		12,432		11,824,158
First Data Corp.(a)	B1		5.211%	03/24/17		4,341		4,261,919
Freescale Semiconductor, Inc.(a)	B1		6.000%	02/28/19		4,963		4,915,976
Interactive Data Corp.(a)	Ba3		4.500%	02/11/18		3,942		3,955,727
kronos, Inc.(a)	Ba3		9.750%	04/30/20		5,200		5,200,000
NXP BV(a)	B2		5.500%	03/03/17		1,975		2,010,181
RP Crown Parent LLC.(a)	Caa1		11.250%	12/14/19		8,000		8,050,000
Sensata Technologies, Inc.(a)	Ba2		3.750%	05/12/18		483		484,864
								40,702,825
TOTAL BANK LOANS (cost $95,511,975)								96,939,874

SEE NOTES TO FINANCIAL STATEMENTS.

A103

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1%	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Adjustable Rate Mortgage Trust, Ser. 2005-7, Class 1A1(a)	Ca		2.816%	10/25/35	$	102	$	87,622
American Home Mortgage Assets LLC, Ser. 2006-4, Class 1A12(a)	Ca		0.420%	10/25/46		49		30,513
American Home Mortgage Assets LLC, Ser. 2006-5, Class A1(a)	Caa3		1.085%	11/25/46		401		217,765
American Home Mortgage Investment Trust, Ser. 2005-2, Class 4A1(a)	Ba3		2.010%	09/25/45		27		25,518
Banc of America Alternative Loan Trust, Ser. 2005-4, Class CB6(a)	Caa1		0.610%	05/25/35		65		46,991
Banc of America Funding Corp., Ser. 2006-B, Class 2A1(a)	Caa2		3.045%	03/20/36		169		141,979
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2005-10, Class A2(a)	BB+(b)		2.662%	10/25/35		340		346,395
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2007-3, Class 1A1(a)(g)	D(b)		3.099%	05/25/47		51		40,231
Citigroup Mortgage Loan Trust, Inc., Ser. 2007-10, Class 22AA(a)(g)	D(b)		3.091%	09/25/37		96		72,859
Countrywide Alternative Loan Trust, Ser. 2005-43, Class 4A3(a)(g)	D(b)		5.173%	10/25/35		38		29,205
Countrywide Alternative Loan Trust, Ser. 2005-62, Class 2A1(a)	Caa3		1.166%	12/25/35		93		66,664
Countrywide Alternative Loan Trust, Ser. 2006-HY13, Class 4A1(a)(g)	D(b)		2.920%	02/25/37		45		35,088
Countrywide Alternative Loan Trust, Ser. 2006-OA9, Class 2A1A(a)	Ca		0.421%	07/20/46		44		21,777
Countrywide Alternative Loan Trust, Ser. 2006-OA11, Class A1B(a)	Ca		0.400%	09/25/46		58		39,921
Countrywide Home Loan Mortgage Pass-Through Trust, Ser. 2005-2, Class 2A1(a)	Caa2		0.530%	03/25/35		124		94,639
First Horizon Alternative Mortgage Securities, Ser. 2006-FA2, Class 1A5	Caa3		6.000%	05/25/36		88		74,157
Harborview Mortgage Loan Trust, Ser. 2006-1, Class 2A1A(a)	Caa3		0.450%	03/19/36		375		242,932
Harborview Mortgage Loan Trust, Ser. 2006-5, Class 2A1A(a)	Caa3		0.390%	07/19/46		54		31,845
Harborview Mortgage Loan Trust, Ser. 2006-7, Class 2A1B(a)	C		0.460%	09/19/46		190		24,828
IndyMac Index Mortgage Loan Trust, Ser. 2006-AR12, Class A1(a)	Caa2		0.400%	09/25/46		43		29,907
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A96	CC(b)		6.000%	08/25/37		47		40,456
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A97	CC(b)		6.000%	08/25/37		94		81,404
MASTR Adjustable Rate Mortgages Trust, Ser. 2006-OA1, Class 1A1(a)	Caa2		0.420%	04/25/46		29		20,138
Residential Accredit Loans, Inc., Ser. 2006-QA2, Class 3A1(a)	Ca		5.500%	02/25/36		290		205,228
Residential Accredit Loans, Inc., Ser. 2007-QS4, Class 2A1(a)	Ca		0.540%	03/25/37		192		61,044
Residential Asset Securitization Trust, Ser. 2007-A5, Class 2A3	Caa2		6.000%	05/25/37		86		77,500
Structured Asset Mortgage Investments, Inc., Ser. 2006-AR6, Class 2A1(a)	Caa3		0.400%	07/25/46		55		36,612
SunTrust Alternative Loan Trust, Ser. 2006-1F, Class 3A(a)	Ca		0.560%	04/25/36		136		30,555
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 2A3(a)	D(b)		4.999%	02/25/37		46		37,818
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 4A1(a)	CC(b)		2.685%	02/25/37		52		41,875
WaMu Mortgage Pass-Through Certificates, Ser. 2007-OA3, Class 2A1A(a)	Caa2		0.926%	04/25/47		53		47,767
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $2,247,377)								2,381,233
CORPORATE BONDS — 91.1%
Aerospace & Defense — 1.3%
Alliant Techsystems, Inc., Gtd. Notes(e)	Ba3		6.875%	09/15/20		2,375		2,609,531
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(e)	Ba2		5.750%	03/15/22		5,050		5,188,875
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		7.750%	03/15/20		1,576		1,788,760
Colt Defense LLC/Colt Finance Corp., Sr. Unsec’d. Notes(e)	Caa1		8.750%	11/15/17		2,325		1,505,438
Esterline Technologies Corp., Gtd. Notes	Ba2		6.625%	03/01/17		750		770,625
Esterline Technologies Corp., Gtd. Notes(e)	Ba2		7.000%	08/01/20		5,400		5,980,500
Moog, Inc., Sr. Sub. Notes	Ba3		6.250%	01/15/15		2,500		2,502,000
Moog, Inc., Sr. Sub. Notes	Ba3		7.250%	06/15/18		4,525		4,756,906
Sequa Corp., Gtd. Notes, 144A	Caa1		7.000%	12/15/17		2,225		2,238,906
Silver II Borrower/Silver II US Holdings LLC (Luxembourg), Gtd. Notes, 144A	Caa1		7.750%	12/15/20		2,900		3,001,500
TransDigm, Inc., Gtd. Notes	B3		7.750%	12/15/18		7,300		8,075,625
								38,418,666

SEE NOTES TO FINANCIAL STATEMENTS.

A104

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Automotive — 2.9%
American Axle & Manufacturing, Inc., Gtd. Notes(e)	B2		6.625%	10/15/22	$	7,200		$	7,308,000
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes(e)	B2		8.250%	06/15/21		9,200			10,120,000
Continental Rubber of America Corp., Sr. Sec’d. Notes, 144A	Ba2		4.500%	09/15/19		8,300			8,494,170
DaimlerChrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes(e)	B2		8.000%	06/15/19		7,800			8,502,000
Dana Holding Corp., Sr. Unsec’d. Notes(e)	B2		6.500%	02/15/19		4,400			4,697,000
Dana Holding Corp., Sr. Unsec’d. Notes	B2		6.750%	02/15/21		10,059			10,813,425
Delphi Corp., Gtd. Notes(e)	Ba2		5.875%	05/15/19		7,400			7,936,500
Delphi Corp., Gtd. Notes(e)	Ba2		6.125%	05/15/21		4,298			4,770,780
Lear Corp., Gtd. Notes	Ba2		7.875%	03/15/18		7,087			7,707,112
Lear Corp., Gtd. Notes	Ba2		8.125%	03/15/20		8,561			9,652,528
TRW Automotive, Inc., Gtd. Notes, 144A	Ba2		7.250%	03/15/17		655			754,069
TRW Automotive, Inc., Gtd. Notes, 144A	Ba2		8.875%	12/01/17		2,025			2,227,500
									82,983,084
Banking — 1.1%
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)	B1		8.000%	12/29/49		8,845			9,783,278
Bank of America Corp., Sr. Unsec’d. Notes(e)	Baa2		5.700%	01/24/22		10,100			12,145,745
Citigroup, Inc., Sr. Unsec’d. Notes(e)	Baa2		4.450%	01/10/17		7,700			8,530,060
HBOS PLC (United Kingdom), Sub. Notes, Ser. G, 144A, MTN	Ba1		6.750%	05/21/18		400			430,500
									30,889,583
Brokerage — 0.1%
Blackstone Holdings Finance Co. LLC, Gtd. Notes, 144A(e)	A(b)		4.750%	02/15/23		3,250			3,454,935
Building Materials & Construction — 2.0%
Beazer Homes USA, Inc., Gtd. Notes	Caa3		9.125%	06/15/18		500			521,250
Beazer Homes USA, Inc., Gtd. Notes(e)	Caa3		9.125%	05/15/19		2,500			2,615,625
Building Materials Corp. of America, Sr. Notes, 144A (original cost $1,488,750; purchased 09/27/10)(c)(d)	Ba3		6.875%	08/15/18		1,500			1,620,000
Building Materials Corp. of America, Sr. Sec’d. Notes, 144A (original cost $5,975,750; purchased 02/02/10-04/27/11)(c)(d)	Ba1		7.000%	02/15/20		5,825			6,349,250
Cemex Finance LLC, Sr. Sec’d. Notes, 144A(e)	B-(b)		9.375%	10/12/22		5,975			6,721,875
D.R. Horton, Inc., Gtd. Notes	Ba2		6.500%	04/15/16		900			999,000
International Wire Group Holdings, Inc., Sr. Sec’d. Notes, 144A	B3		8.500%	10/15/17		6,250			6,312,500
K. Hovnanian Enterprises, Inc., Sr. Sec’d. Notes, 144A(e)	B3		7.250%	10/15/20		9,125			9,809,375
KB Home, Gtd. Notes	B2		7.500%	09/15/22		4,100			4,469,000
Masco Corp., Sr. Unsec’d. Notes	Ba3		5.950%	03/15/22		1,675			1,856,724
Standard Pacific Corp., Gtd. Notes(e)	B3		8.375%	05/15/18		925			1,073,000
Standard Pacific Corp., Gtd. Notes(e)	B3		8.375%	01/15/21		525			609,000
Standard Pacific Corp., Gtd. Notes(e)	B3		10.750%	09/15/16		3,875			4,814,688
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A	B2		7.750%	04/15/20		2,400			2,544,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A	B2		7.750%	04/15/20		6,000			6,360,000
									56,675,287
Cable — 5.1%
AT&T Broadband LLC, Gtd. Notes	Baa1		8.375%	03/15/13		100	(f)		102
Bresnan Broadband Holdings LLC, Gtd. Notes, 144A	B3		8.000%	12/15/18		3,625			3,915,000
Cablevision Systems Corp., Sr. Unsec’d. Notes	B1		7.750%	04/15/18		1,375			1,529,687
Cablevision Systems Corp., Sr. Unsec’d. Notes	B1		8.625%	09/15/17		11,725			13,674,281
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e)	B1		5.125%	02/15/23		3,125			3,117,187
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e)	B1		7.875%	04/30/18		1,350			1,452,937
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e)	B1		8.125%	04/30/20		1,600			1,792,000
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(e)	B3		6.375%	09/15/20		5,375			5,596,719
Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A	B3		8.625%	11/15/17		19,051			20,384,570
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(e)	Ba3		6.750%	11/15/21		8,600			9,535,250

SEE NOTES TO FINANCIAL STATEMENTS.

A105

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable (continued)
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		7.875%	02/15/18	$	850	$	983,875
CSC Holdings LLC, Sr. Unsec’d. Notes(e)	Ba3		8.625%	02/15/19		1,105		1,320,475
DISH DBS Corp., Gtd. Notes(e)	Ba2		5.875%	07/15/22		2,200		2,365,000
DISH DBS Corp., Gtd. Notes(e)	Ba2		6.750%	06/01/21		825		940,500
DISH DBS Corp., Sr. Unsec’d. Notes, 144A	Ba2		5.000%	03/15/23		7,025		7,025,000
Echostar DBS Corp., Gtd. Notes	Ba2		6.625%	10/01/14		4,925		5,294,375
Echostar DBS Corp., Gtd. Notes(e)	Ba2		7.000%	10/01/13		6,575		6,838,000
Echostar DBS Corp., Gtd. Notes	Ba2		7.125%	02/01/16		1,050		1,176,000
Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, 144A	B1		8.875%	12/01/18		5,175		5,265,562
ONO Finance II PLC (Ireland), Gtd. Notes, 144A	Caa1		10.875%	07/15/19		1,625		1,551,875
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes	B2		7.750%	03/15/16		850		871,250
UPC Holding BV (Netherlands), Sec’d. Notes, 144A(e)	B2		9.875%	04/15/18		16,600		18,758,000
UPCB Finance V Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A	Ba3		7.250%	11/15/21		2,450		2,695,000
UPCB Finance VI Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(e)	Ba3		6.875%	01/15/22		5,325		5,764,313
Videotron Ltee (Canada), Gtd. Notes(e)	Ba2		5.000%	07/15/22		5,925		6,213,844
Videotron Ltee (Canada), Gtd. Notes	Ba2		9.125%	04/15/18		9,200		9,798,000
WaveDivision Escrow LLC/WaveDivision Escrow Corp., Sr. Unsec’d. Notes, 144A	Caa1		8.125%	09/01/20		2,150		2,225,250
WideOpenWest Finance LLC/WideOpenWest Capital Corp., Gtd. Notes, 144A	Caa1		10.250%	07/15/19		2,375		2,523,438
WideOpenWest Finance LLC/WideOpenWest Capital Corp., Gtd. Notes, 144A	Caa1		13.375%	10/15/19		2,950		3,119,625
								145,727,115
Capital Goods — 6.0%
ADS Waste Holdings, Inc., Sr. Unsec’d. Notes, 144A	Caa1		8.250%	10/01/20		5,275		5,538,750
Aguila 3 SA (Luxembourg), Sr. Sec’d. Notes, 144A	B2		7.875%	01/31/18		1,250		1,325,000
Amsted Industries, Inc., Sr. Notes, 144A (original cost $4,417,960; purchased 03/12/10)(c)(d)	B1		8.125%	03/15/18		4,450		4,761,500
Ashtead Capital, Inc., Sec’d. Notes, 144A	B2		6.500%	07/15/22		6,525		7,079,625
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes(e)	B2		8.250%	01/15/19		4,050		4,475,250
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes	B2		9.625%	03/15/18		2,500		2,787,500
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes	B2		9.750%	03/15/20		3,850		4,446,750
Belden, Inc., Gtd. Notes, 144A	Ba2		5.500%	09/01/22		4,025		4,135,687
Case New Holland, Inc., Gtd. Notes(e)	Ba2		7.875%	12/01/17		4,150		4,907,375
Clean Harbors, Inc., Gtd. Notes	Ba2		5.250%	08/01/20		6,850		7,141,125
Dycom Investments, Inc., Gtd. Notes	Ba3		7.125%	01/15/21		3,000		3,172,500
Dycom Investments, Inc., Gtd. Notes, 144A	Ba3		7.125%	01/15/21		2,225		2,341,812
General Cable Corp., Gtd. Notes, 144A	B1		5.750%	10/01/22		3,825		3,958,875
Griffon Corp., Gtd. Notes(e)	B1		7.125%	04/01/18		6,265		6,640,900
H&E Equipment Services, Inc., Gtd. Notes, 144A	B3		7.000%	09/01/22		3,875		4,126,875
HDTFS, Inc., Gtd. Notes, 144A	B2		5.875%	10/15/20		1,375		1,436,875
HDTFS, Inc., Gtd. Notes, 144A(e)	B2		6.250%	10/15/22		2,050		2,183,250
Hertz Corp. (The), Gtd. Notes(e)	B2		7.500%	10/15/18		4,288		4,738,240
Interline Brands, Inc., Gtd. Notes	B2		7.500%	11/15/18		5,420		5,853,600
Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A	B3		8.375%	12/15/18		5,275		5,380,500
Laureate Education, Inc., Gtd. Notes, 144A(e)	Caa1		9.250%	09/01/19		4,625		4,833,125
Manitowoc Co., Inc. (The), Gtd. Notes	B3		5.875%	10/15/22		3,025		3,025,000
RBS Global, Inc./Rexnord LLC, Gtd. Notes(e)	B3		8.500%	05/01/18		8,800		9,537,000
Rexel SA (France), Gtd. Notes, 144A	Ba2		6.125%	12/15/19		3,600		3,780,000
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes	B3		8.250%	02/01/21		4,600		5,186,500
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes	B3		10.250%	11/15/19		2,425		2,813,000
SPX Corp., Gtd. Notes(e)	Ba2		6.875%	09/01/17		4,925		5,491,375
SPX Corp., Gtd. Notes(e)	Ba2		7.625%	12/15/14		10,280		11,256,600
Terex Corp., Gtd. Notes(e)	B3		6.000%	05/15/21		6,800		7,157,000
Terex Corp., Gtd. Notes	B3		6.500%	04/01/20		2,175		2,305,500
United Rentals North America, Inc., Gtd. Notes(e)	Caa1		8.375%	09/15/20		1,000		1,107,500
United Rentals North America, Inc., Gtd. Notes	B3		9.250%	12/15/19		2,725		3,106,500

SEE NOTES TO FINANCIAL STATEMENTS.

A106

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
UR Financing Escrow Corp., Gtd. Notes, 144A	B3		7.375%	05/15/20	$	2,625	$	2,880,938
UR Financing Escrow Corp., Gtd. Notes, 144A	B3		7.625%	04/15/22		7,050		7,878,375
WireCo WorldGroup, Inc., Gtd. Notes	B3		9.500%	05/15/17		12,975		13,753,500
								170,543,902
Chemicals — 4.1%
Ashland, Inc., Gtd. Notes, 144A	Ba2		4.750%	08/15/22		2,775		2,886,000
Celanese US Holdings LLC, Gtd. Notes	Ba2		4.625%	11/15/22		3,225		3,378,187
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes(e)	Caa1		9.000%	11/15/20		13,550		12,364,375
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Sec’d. Notes(e)	B3		8.875%	02/01/18		400		411,000
Huntsman International LLC, Gtd. Notes	B1		5.500%	06/30/16		1,377		1,378,721
Huntsman International LLC, Gtd. Notes(e)	B2		8.625%	03/15/20		1,650		1,868,625
Huntsman International LLC, Gtd. Notes(e)	B2		8.625%	03/15/21		2,650		3,027,625
Kinove German Bondco GmbH (Germany), Sr. Sec’d. Notes, 144A	B2		9.625%	06/15/18		4,550		4,970,875
Koppers, Inc., Gtd. Notes	B1		7.875%	12/01/19		6,142		6,756,200
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(e)	Baa3		5.000%	04/15/19		16,525		18,260,125
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(e)	Baa3		5.750%	04/15/24		1,000		1,175,000
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes	Baa3		6.000%	11/15/21		1,225		1,436,312
MacDermid, Inc., Gtd. Notes, 144A (original cost $3,747,040; purchased 11/13/12-12/03/12)(c)(d)	Caa1		9.500%	04/15/17		3,590		3,738,088
Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes	Ba2		8.375%	11/01/16		8,756		9,587,820
Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes	Ba2		8.625%	11/01/19		3,650		4,142,750
Nufarm Australia Ltd. (Australia), Gtd. Notes, 144A	Ba3		6.375%	10/15/19		3,000		3,135,000
Rhodia SA (France), Sr. Unsec’d. Notes, 144A	Baa2		6.875%	09/15/20		5,720		6,447,161
Rockwood Specialties Group, Inc., Gtd. Notes(e)	Ba2		4.625%	10/15/20		2,500		2,587,500
Sawgrass Merger Sub, Inc., Sec’d. Notes, 144A	B3		8.750%	12/15/20		3,950		3,979,625
Taminco Acquisition Corp., Sr. Unsec’d. Notes, PIK, 144A	Caa2		9.125%	12/15/17		8,525		8,418,438
Taminco Global Chemical Corp., Sec’d. Notes, 144A	Caa1		9.750%	03/31/20		9,580		10,490,100
Tronox Finance LLC, Gtd. Notes, 144A	B1		6.375%	08/15/20		7,125		7,196,250
								117,635,777
Consumer — 1.9%
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A	B1		6.875%	06/15/19		4,800		5,064,000
Libbey Glass, Inc., Sr. Sec’d. Notes	B2		6.875%	05/15/20		500		537,500
Live Nation Entertainment, Inc., Gtd. Notes, 144A	B3		7.000%	09/01/20		2,400		2,505,000
Phillips-Van Heusen Corp., Sr. Unsec’d. Notes	Ba3		7.375%	05/15/20		4,061		4,553,396
PVH Corp., Sr. Unsec’d. Notes(e)	Ba3		4.500%	12/15/22		2,950		2,979,500
Realogy Corp., Gtd. Notes	CCC+(b)		13.375%	04/15/18		900		967,500
Scotts Miracle-Gro Co. (The), Gtd. Notes	B1		7.250%	01/15/18		2,600		2,795,000
Sealy Mattress Co., Sr. Sec’d. Notes, 144A	Ba3		10.875%	04/15/16		4,358		4,619,480
Service Corp. International, Sr. Unsec’d. Notes	Ba3		4.500%	11/15/20		2,325		2,365,687
Service Corp. International, Sr. Unsec’d. Notes	Ba3		7.000%	06/15/17		4,143		4,764,450
Service Corp. International, Sr. Unsec’d. Notes	Ba3		7.000%	05/15/19		6,855		7,506,225
Spectrum Brands Holdings, Inc., Sr. Sec’d. Notes	Ba3		9.500%	06/15/18		1,500		1,702,500
Stewart Enterprises, Inc., Gtd. Notes(e)	B1		6.500%	04/15/19		6,190		6,623,300
Visant Corp., Gtd. Notes(e)	Caa2		10.000%	10/01/17		6,939		6,227,753
								53,211,291
Electric — 4.8%
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		7.375%	07/01/21		6,575		7,298,250
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		7.750%	10/15/15		9,265		10,399,962
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		8.000%	10/15/17		4,100		4,735,500
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		8.000%	06/01/20		1,800		2,070,000
Calpine Construction Finance Co. LP/CCFC Finance Corp., Sr. Sec’d. Notes, 144A	Ba3		8.000%	06/01/16		4,000		4,250,000
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.250%	10/15/17		4,406		4,692,390
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.500%	02/15/21		15,329		16,938,545

SEE NOTES TO FINANCIAL STATEMENTS.

A107

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.875%	01/15/23	$	1,596	$	1,803,480
Covanta Holding Corp., Sr. Unsec’d. Notes(e)	Ba3		6.375%	10/01/22		2,450		2,660,624
Covanta Holding Corp., Sr. Unsec’d. Notes	Ba3		7.250%	12/01/20		3,055		3,365,990
Energy Future Holdings Corp., Sr. Sec’d. Notes	Caa3		9.750%	10/15/19		425		469,625
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., Sec’d. Notes, 144A(e)	Caa3		11.750%	03/01/22		19,525		21,672,750
Mirant Americas Generation, Inc., Sr. Unsec’d. Notes(e)	B3		8.500%	10/01/21		1,000		1,140,000
Mirant Corp., Sr. Notes, 144A(c)	NR		7.400%	07/15/49		1,825		1,825
Mirant Mid Atlantic Pass-Through Trust B, Pass-thru Certs., Ser. B	Ba1		9.125%	06/30/17		8,909		9,710,670
NRG Energy, Inc., Gtd. Notes, 144A(e)	B1		6.625%	03/15/23		6,450		6,901,500
NRG Energy, Inc., Gtd. Notes(e)	B1		7.625%	01/15/18		11,645		12,925,950
NRG Energy, Inc., Gtd. Notes	B1		7.625%	05/15/19		4,450		4,761,500
NRG Energy, Inc., Gtd. Notes(e)	B1		7.875%	05/15/21		4,240		4,706,400
NRG Energy, Inc., Gtd. Notes(e)	B1		8.250%	09/01/20		7,175		8,036,000
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. B(c)	B1		9.237%	07/02/17		2,848		3,140,119
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. C	B1		9.681%	07/02/26		4,360		4,687,000
								136,368,080
Energy – Other — 5.5%
Bristow Group, Inc., Gtd. Notes(e)	Ba3		6.250%	10/15/22		2,950		3,156,500
Cie Generale de Geophysique-Veritas (France), Gtd. Notes(e)	Ba3		7.750%	05/15/17		2,150		2,236,000
Cie Generale de Geophysique-Veritas (France), Gtd. Notes	Ba3		9.500%	05/15/16		4,300		4,611,750
CITIC Resources Finance 2007 Ltd. (Virgin Islands (BR)), Gtd. Notes, 144A	Ba3		6.750%	05/15/14		25		26,250
Denbury Resources, Inc., Gtd. Notes(e)	B1		6.375%	08/15/21		2,565		2,821,500
Denbury Resources, Inc., Gtd. Notes	B1		8.250%	02/15/20		2,968		3,339,000
Denbury Resources, Inc., Gtd. Notes	B1		9.750%	03/01/16		4,050		4,293,000
EP Energy LLC/EP Energy Finance, Inc., Sr. Unsec’d. Notes(e)	B2		9.375%	05/01/20		1,075		1,212,062
EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Sec’d. Notes	Ba3		6.875%	05/01/19		1,800		1,953,000
Harvest Operations Corp. (Canada), Gtd. Notes	Ba2		6.875%	10/01/17		11,000		12,210,000
Hercules Offshore, Inc., Gtd. Notes, 144A(e)	Caa1		10.250%	04/01/19		3,500		3,832,500
Hercules Offshore, Inc., Sr. Sec’d. Notes, 144A	B1		7.125%	04/01/17		1,975		2,068,812
Hornbeck Offshore Services, Inc., Gtd. Notes	Ba3		5.875%	04/01/20		3,725		3,892,625
Legacy Reserves LP / Finance Corp., Gtd. Notes, 144A	Caa1		8.000%	12/01/20		2,800		2,856,000
Linn Energy LLC / Linn Energy Finance Corp., Gtd. Notes, 144A	B2		6.250%	11/01/19		1,775		1,783,875
Linn Energy LLC / Linn Energy Finance Corp., Gtd. Notes(e)	B2		6.500%	05/15/19		3,675		3,711,750
McMoRan Exploration Co., Gtd. Notes	Caa1		11.875%	11/15/14		3,700		3,945,125
MEG Energy Corp. (Canada), Gtd. Notes, 144A	B1		6.500%	03/15/21		6,325		6,657,062
Newfield Exploration Co., Sr. Sub. Notes	Ba2		7.125%	05/15/18		325		342,875
Newfield Exploration Co., Sr. Unsec’d. Notes	Ba1		5.625%	07/01/24		900		972,000
Offshore Group Investment Ltd. (Cayman Islands), Sr. Sec’d. Notes	B3		11.500%	08/01/15		4,031		4,393,790
Parker Drilling Co., Gtd. Notes	B1		9.125%	04/01/18		3,100		3,309,250
Petrohawk Energy Corp., Gtd. Notes	Baa3		7.250%	08/15/18		800		903,158
Petrohawk Energy Corp., Gtd. Notes	Baa3		7.875%	06/01/15		3,775		3,941,610
Petroplus Finance Ltd. (Bermuda), Sr. Sec’d. Notes, 144A(c)(g)	NR		6.750%	05/01/14		2,935		675,050
Plains Exploration & Production Co., Gtd. Notes	B1		6.125%	06/15/19		5,517		6,013,530
Plains Exploration & Production Co., Gtd. Notes	B1		6.500%	11/15/20		1,250		1,384,375
Plains Exploration & Production Co., Gtd. Notes	B1		6.625%	05/01/21		1,000		1,101,250
Plains Exploration & Production Co., Gtd. Notes	B1		6.750%	02/01/22		10,450		11,730,125
Plains Exploration & Production Co., Gtd. Notes	B1		6.875%	02/15/23		2,900		3,313,250
Plains Exploration & Production Co., Gtd. Notes(e)	B1		7.625%	06/01/18		2,900		3,052,250
Plains Exploration & Production Co., Gtd. Notes	B1		7.625%	04/01/20		5,000		5,575,000
Plains Exploration & Production Co., Gtd. Notes	B1		8.625%	10/15/19		1,250		1,421,875
Plains Exploration & Production Co., Gtd. Notes	B1		10.000%	03/01/16		2,300		2,449,500
Precision Drilling Corp. (Canada), Gtd. Notes(e)	Ba1		6.500%	12/15/21		2,075		2,209,875
Precision Drilling Corp. (Canada), Gtd. Notes(e)	Ba1		6.625%	11/15/20		2,500		2,687,500

SEE NOTES TO FINANCIAL STATEMENTS.

A108

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
QEP Resources, Inc., Sr. Unsec’d. Notes(e)	Ba1		5.250%	05/01/23	$	7,475	$	7,998,250
Range Resources Corp., Gtd. Notes	Ba3		5.750%	06/01/21		4,175		4,467,250
Range Resources Corp., Gtd. Notes	Ba3		6.750%	08/01/20		700		759,500
Range Resources Corp., Gtd. Notes(e)	Ba3		8.000%	05/15/19		1,623		1,797,473
Samson Investment Co., Sr. Unsec’d. Notes, 144A(e)	B3		9.750%	02/15/20		3,650		3,859,875
WPX Energy, Inc., Sr. Unsec’d. Notes	Ba1		5.250%	01/15/17		3,325		3,524,500
WPX Energy, Inc., Sr. Unsec’d. Notes	Ba1		6.000%	01/15/22		12,950		13,953,625
								156,443,547
Foods — 4.5%
ARAMARK Corp., Gtd. Notes	B3		8.500%	02/01/15		8,858		8,902,379
ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A(e)	B3		8.625%	05/01/16		16,046		16,427,253
Bumble Bee Acquisition Corp., Sr. Sec’d. Notes, 144A	B2		9.000%	12/15/17		528		567,600
Constellation Brands, Inc., Gtd. Notes	Ba1		4.625%	03/01/23		1,925		2,011,625
Constellation Brands, Inc., Gtd. Notes(e)	Ba1		6.000%	05/01/22		2,800		3,206,000
Cott Beverages, Inc., Gtd. Notes	B3		8.125%	09/01/18		2,605		2,878,525
Darling International, Inc., Gtd. Notes	Ba2		8.500%	12/15/18		2,575		2,958,031
Dave & Buster’s, Inc., Gtd. Notes	Caa1		11.000%	06/01/18		2,450		2,744,000
Del Monte Corp., Gtd. Notes(e)	B3		7.625%	02/15/19		3,450		3,596,625
Fiesta Restaurant Group, Inc., Sec’d. Notes	B2		8.875%	08/15/16		4,725		5,049,844
Ingles Markets, Inc., Sr. Unsec’d. Notes	B1		8.875%	05/15/17		9,745		10,390,606
JBS USA LLC/JBS USA Finance, Inc., Gtd. Notes (original cost $5,219,419; purchased 09/07/11)(c)(d)	B1		11.625%	05/01/14		4,655		5,201,963
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $4,122,896; purchased 05/20/11-06/15/11)(c)(d)	B1		7.250%	06/01/21		4,210		4,220,525
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $3,394,820; purchased 01/25/12-03/13/12)(c)(d)(e)	B1		8.250%	02/01/20		3,425		3,630,500
Landry’s, Inc., Sr. Notes, 144A	Caa1		9.375%	05/01/20		10,875		11,473,125
Michael Foods, Inc., Gtd. Notes	B3		9.750%	07/15/18		13,525		14,945,125
Smithfield Foods, Inc., Sr. Unsec’d. Notes(e)	B1		6.625%	08/15/22		9,000		9,945,000
Stater Brothers Holdings, Inc., Gtd. Notes	B2		7.375%	11/15/18		1,025		1,107,000
Stater Brothers Holdings, Inc., Gtd. Notes(e)	B2		7.750%	04/15/15		1,750		1,785,000
SUPERVALU, Inc., Sr. Unsec’d. Notes(e)	Caa1		7.500%	11/15/14		6,179		5,993,630
Tops Holding Corp./Tops Markets LLC, Sr. Sec’d. Notes, 144A	B3		8.875%	12/15/17		3,050		3,164,375
Wok Acquisition Corp., Gtd. Notes, 144A	Caa1		10.250%	06/30/20		6,675		7,100,531
								127,299,262
Gaming — 5.5%
Affinity Gaming LLC/Affinity Gaming Finance Corp., Gtd. Notes, 144A	Caa1		9.000%	05/15/18		6,250		6,531,250
Boyd Gaming Corp., Gtd. Notes, 144A(e)	B3		9.000%	07/01/20		8,025		7,904,625
Boyd Gaming Corp., Gtd. Notes(e)	B3		9.125%	12/01/18		8,350		8,517,000
Caesars Entertainment Operating Co., Inc., Sec’d. Notes	Caa2		12.750%	04/15/18		12,101		8,924,487
Caesars Operating Escrow LLC/Caesars Escrow Corp., Sr. Sec’d. Notes, 144A	B2		9.000%	02/15/20		2,700		2,700,000
CCM Merger, Inc., Gtd. Notes, 144A (original cost $10,956,375; purchased 03/14/12-09/04/12)(c)(d)(e)	Caa2		9.125%	05/01/19		10,900		10,981,750
Harrah’s Operating Co., Inc., Sec’d. Notes(e)	CCC(b)		10.000%	12/15/18		3,213		2,088,450
Harrah’s Operating Co., Inc., Sr. Sec’d. Notes(e)	B2		11.250%	06/01/17		7,895		8,457,519
Isle of Capri Casinos, Inc., Gtd. Notes(e)	B3		7.750%	03/15/19		11,005		11,857,888
Isle of Capri Casinos, Inc., Gtd. Notes	Caa1		8.875%	06/15/20		4,325		4,714,250
Marina District Finance Co., Inc., Sr. Sec’d. Notes(e)	B2		9.500%	10/15/15		4,505		4,369,850
MGM Resorts International, Gtd. Notes(e)	B3		5.875%	02/27/14		1,000		1,040,000
MGM Resorts International, Gtd. Notes(e)	B3		6.625%	12/15/21		15,675		15,675,000
MGM Resorts International, Gtd. Notes	B3		6.750%	04/01/13		3,400		3,438,250
MGM Resorts International, Gtd. Notes, 144A(e)	B3		6.750%	10/01/20		3,900		3,982,875
MGM Resorts International, Gtd. Notes(e)	B3		7.625%	01/15/17		6,725		7,195,750
MGM Resorts International, Gtd. Notes, 144A(e)	B3		8.625%	02/01/19		4,000		4,460,000
MGM Resorts International, Gtd. Notes(e)	B3		10.000%	11/01/16		1,750		2,025,625

SEE NOTES TO FINANCIAL STATEMENTS.

A109

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Gaming (continued)
MTR Gaming Group, Inc., Sec’d. Notes	Caa1		11.500%	08/01/19	$	11,143	$	11,811,449
Pinnacle Entertainment, Inc., Gtd. Notes(e)	B3		7.750%	04/01/22		5,575		5,937,375
Pinnacle Entertainment, Inc., Gtd. Notes(e)	B1		8.625%	08/01/17		4,300		4,617,125
Seminole Indian Tribe of Florida, Sec’d. Notes, 144A	Ba1		7.750%	10/01/17		1,225		1,324,531
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sec’d. Notes, 144A	B2		8.625%	04/15/16		9,250		9,920,625
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $7,791,787; purchased 07/13/09-05/21/12)(c)(d)(e)	B1		11.375%	07/15/16		7,224		7,801,920
								156,277,594
Healthcare & Pharmaceutical — 9.5%
Acadia Healthcare Co., Inc., Gtd. Notes	B3		12.875%	11/01/18		6,550		7,925,500
Accellent, Inc., Gtd. Notes	Caa2		10.000%	11/01/17		10,050		8,266,125
Accellent, Inc., Sr. Sec’d. Notes	B1		8.375%	02/01/17		7,405		7,775,250
Alliance Healthcare Services, Inc., Sr. Unsec’d. Notes	B3		8.000%	12/01/16		6,190		5,632,900
Apria Healthcare Group, Inc., Sec’d. Notes(e)	Caa1		12.375%	11/01/14		3,100		3,069,000
Apria Healthcare Group, Inc., Sr. Sec’d. Notes	B1		11.250%	11/01/14		275		284,281
Biomet, Inc., Gtd. Notes, 144A(e)	B3		6.500%	08/01/20		8,925		9,482,812
Capella Healthcare, Inc., Gtd. Notes (original cost $15,294,776; purchased 06/28/10-09/11/12)(c)(d)	B3		9.250%	07/01/17		14,930		16,012,425
CHS/Community Health Systems, Inc., Gtd. Notes(e)	B3		7.125%	07/15/20		8,275		8,833,562
CHS/Community Health Systems, Inc., Gtd. Notes	B3		8.000%	11/15/19		19,005		20,572,912
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A	Caa1		10.500%	12/15/18		14,483		15,967,507
DaVita, Inc., Gtd. Notes	B2		5.750%	08/15/22		3,150		3,319,312
Fresenius Medical Care US Finance II, Inc., Gtd. Notes, 144A	Ba2		5.625%	07/31/19		1,450		1,556,938
HCA Holdings, Inc., Sr. Unsec’d. Notes	B3		6.250%	02/15/21		2,450		2,511,250
HCA, Inc., Gtd. Notes(e)	B3		5.875%	05/01/23		5,250		5,433,750
HCA, Inc., Gtd. Notes(e)	B3		7.500%	02/15/22		3,850		4,408,250
HCA, Inc., Gtd. Notes	B3		8.000%	10/01/18		15,550		17,999,125
HCA, Inc., Sr. Sec’d. Notes	Ba3		5.875%	03/15/22		2,150		2,338,125
HCA, Inc., Sr. Sec’d. Notes	Ba3		7.875%	02/15/20		2,050		2,280,625
HCA, Inc., Sr. Unsec’d. Notes	B3		5.750%	03/15/14		3,155		3,296,975
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		13,725		14,840,156
HCA, Inc., Sr. Unsec’d. Notes	B3		6.500%	02/15/16		3,310		3,599,625
HCA, Inc., Sr. Unsec’d. Notes	B3		7.190%	11/15/15		2,116		2,327,600
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		10,765		12,002,975
Healthsouth Corp., Gtd. Notes	B1		7.250%	10/01/18		6,508		7,061,180
Healthsouth Corp., Gtd. Notes(e)	B1		7.750%	09/15/22		1,974		2,163,998
Kindred Healthcare, Inc., Gtd. Notes(e)	B3		8.250%	06/01/19		4,455		4,332,488
MedAssets, Inc., Gtd. Notes	B3		8.000%	11/15/18		5,800		6,293,000
Mylan, Inc., Gtd. Notes, 144A(e)	Baa3		7.625%	07/15/17		530		595,651
Mylan, Inc., Gtd. Notes, 144A	Baa3		7.875%	07/15/20		1,600		1,890,818
PSS World Medical, Inc., Gtd. Notes(e)	Ba3		6.375%	03/01/22		1,400		1,652,000
Res-Care, Inc., Gtd. Notes	B-(b)		10.750%	01/15/19		4,950		5,494,500
Sky Growth Acquisition Corp., Gtd. Notes, 144A	Caa1		7.375%	10/15/20		6,650		6,616,750
STHI Holding Corp., Sec’d. Notes, 144A(e)	B2		8.000%	03/15/18		1,225		1,326,063
Surgical Care Affiliates, Inc., Sr. Sub. Notes, 144A (original cost $6,934,250; purchased 06/21/07-01/18/11)(c)(d)	Caa1		10.000%	07/15/17		8,200		8,589,500
Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A	B1		4.750%	06/01/20		6,175		6,267,625
Tenet Healthcare Corp., Sr. Sec’d. Notes(e)	B1		6.250%	11/01/18		6,850		7,517,875
Valeant Pharmaceuticals International, Gtd. Notes, 144A	B1		6.750%	10/01/17		1,900		2,052,000
Valeant Pharmaceuticals International, Gtd. Notes, 144A(e)	B1		6.875%	12/01/18		12,950		13,953,625
Valeant Pharmaceuticals International, Gtd. Notes, 144A(e)	B1		7.000%	10/01/20		3,250		3,534,375
VPI Escrow Corp., Gtd. Notes, 144A(e)	B1		6.375%	10/15/20		4,825		5,174,813
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, Gtd. Notes(e)	B3		7.750%	09/15/18		6,025		6,416,625
								270,669,866

SEE NOTES TO FINANCIAL STATEMENTS.

A110

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Lodging — 1.0%
Felcor Lodging LP, Sr. Sec’d. Notes, 144A	B2		5.625%	03/01/23	$	7,525		$	7,487,375
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		3,664			4,231,920
Host Hotels & Resorts LP, Gtd. Notes(e)	Baa3		4.750%	03/01/23		2,600			2,756,000
Host Hotels & Resorts LP, Gtd. Notes	Baa3		6.000%	11/01/20		850			935,000
Host Hotels & Resorts LP, Sr. Unsec’d. Notes(e)	Baa3		5.250%	03/15/22		5,025			5,502,375
Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes	Ba1		6.875%	12/01/13		950			991,563
Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes	Ba1		7.250%	03/15/18		3,700			4,181,000
Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes	Ba1		11.875%	07/15/15		1,350			1,633,500
									27,718,733
Media & Entertainment — 5.8%
AMC Entertainment, Inc., Gtd. Notes	Caa1		9.750%	12/01/20		15,150			17,498,250
AMC Networks, Inc., Gtd. Notes	B1		4.750%	12/15/22		1,425			1,432,125
AMC Networks, Inc., Gtd. Notes(e)	B1		7.750%	07/15/21		1,775			2,032,375
Belo Corp., Sr. Unsec’d. Notes	Ba3		7.750%	06/01/27		4,000			4,125,000
Carmike Cinemas, Inc., Sec’d. Notes	B2		7.375%	05/15/19		4,000			4,320,000
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes	B2		9.125%	08/01/18		4,125			4,640,625
Cengage Learning Acquisitions, Inc., Gtd. Notes, 144A	Ca		10.500%	01/15/15		1,445			491,300
Cinemark USA, Inc., Gtd. Notes, 144A	B2		5.125%	12/15/22		2,550			2,581,875
Clear Channel Communications, Inc., Gtd. Notes(e)	Ca		10.750%	08/01/16		3,575			2,699,125
Clear Channel Communications, Inc., Sr. Unsec’d. Notes(e)	Ca		5.500%	12/15/16		1,050			624,750
Clear Channel Communications, Inc., Sr. Unsec’d. Notes	Ca		6.875%	06/15/18		625			368,750
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, 144A(e)	B1		6.500%	11/15/22		4,430			4,596,125
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, 144A(e)	B1		6.500%	11/15/22		2,970			3,051,675
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, Ser. A(e)	B3		7.625%	03/15/20		4,000			3,990,000
Entercom Radio LLC, Gtd. Notes	Caa1		10.500%	12/01/19		4,075			4,482,500
Griffey Intermediate, Inc./Griffey Finance Sub LLC, Sr. Notes, 144A(e)	Caa1		7.000%	10/15/20		6,475			6,620,687
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A	B3		7.250%	10/15/20		5,700			6,184,500
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(e)	B3		7.500%	04/01/21		1,875			2,067,187
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes	Caa3		11.250%	02/04/17		2,550			2,696,625
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes(e)	Caa3		11.500%	02/04/17		9,575			10,173,437
Lamar Media Corp., Gtd. Notes	Ba2		9.750%	04/01/14		9,075			9,937,125
LIN Television Corp., Gtd. Notes, 144A	B3		6.375%	01/15/21		2,375			2,493,750
LIN Television Corp., Gtd. Notes	B3		8.375%	04/15/18		2,875			3,148,125
Mood Media Corp. (Canada), Sr. Unsec’d. Notes, 144A(e)	B3		9.250%	10/15/20		4,475			4,715,531
NAI Entertainment Holdings LLC, Sr. Sec’d. Notes, 144A (original cost $2,238,750; purchased 10/16/12)(c)(d)	B1		8.250%	12/15/17		2,000			2,202,500
National CineMedia LLC, Sr. Sec’d. Notes	Ba2		6.000%	04/15/22		4,350			4,611,000
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes(e)	B2		7.750%	10/15/18		3,425			3,827,438
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		11.625%	02/01/14		6,553			7,273,830
Regal Cinemas Corp., Gtd. Notes	B2		8.625%	07/15/19		2,000			2,210,000
Salem Communications Corp., Sec’d. Notes	B2		9.625%	12/15/16		3,209	��		3,553,968
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		5,200			5,720,000
Sinclair Television Group, Inc., Sr. Unsec’d. Notes, 144A(e)	B2		6.125%	10/01/22		3,900			4,138,875
SSI Investments II/SSI Co.-Issuer LLC, Gtd. Notes	Caa1		11.125%	06/01/18		11,375			12,583,594
Telesat Canada/Telesat LLC (Canada), Sr. Unsec’d. Notes, 144A(e)	B3		6.000%	05/15/17		6,225			6,536,250
Vail Resorts, Inc., Gtd. Notes	Ba3		6.500%	05/01/19		2,000			2,152,500
WMG Acquisition Corp., Gtd. Notes(e)	B3		11.500%	10/01/18		4,450			5,139,750
									164,921,147
Metals — 3.6%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e)	Ba1		6.000%	03/01/21		2,000			1,994,266
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e)	Ba1		6.125%	06/01/18		11,800			11,959,300
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e)	Ba1		9.500%	02/15/15		4,350			4,840,828
Arch Coal, Inc., Gtd. Notes, 144A	B3		9.875%	06/15/19		2,525			2,626,000
CONSOL Energy, Inc., Gtd. Notes(e)	B1		8.000%	04/01/17		6,875			7,442,187
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A	Ba3		6.125%	12/15/20		1,850			1,882,375

SEE NOTES TO FINANCIAL STATEMENTS.

A111

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Metals (continued)
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		6.375%	02/01/16	$	2,200	$	2,277,000
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		6.875%	02/01/18		2,275		2,348,937
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		7.000%	11/01/15		1,075		1,128,750
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		8.250%	11/01/19		6,375		6,789,375
GrafTech International Ltd., Gtd. Notes, 144A	Ba2		6.375%	11/15/20		2,650		2,746,062
Iamgold Corp. (Canada), Gtd. Notes, 144A	B1		6.750%	10/01/20		2,750		2,681,250
Inmet Mining Corp. (Canada), Gtd. Notes, 144A	B1		8.750%	06/01/20		9,775		10,679,187
JMC Steel Group, Sr. Notes, 144A (original cost $6,300,000; purchased 03/04/11)(c)(d)(e)	B3		8.250%	03/15/18		6,300		6,583,500
Kaiser Aluminum Corp., Gtd. Notes	Ba3		8.250%	06/01/20		3,600		3,924,000
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A	B2		6.250%	11/15/22		2,675		2,768,625
Novelis, Inc. (Canada), Gtd. Notes(e)	B2		8.750%	12/15/20		7,487		8,348,005
Optima Specialty Steel, Inc., Sr. Sec’d. Notes, 144A	B2		12.500%	12/15/16		4,885		5,092,613
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		6,500		6,906,250
Peabody Energy Corp., Gtd. Notes(e)	Ba1		6.250%	11/15/21		2,000		2,125,000
Rain CII Carbon LLC and CII Carbon Corp., Sec’d. Notes, 144A (original cost $2,350,000; purchased 11/23/10)(c)(d)	B1		8.000%	12/01/18		2,350		2,391,125
Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes	Caa2		10.750%	02/01/18		4,350		4,371,750
								101,906,385
Non-Captive Finance — 4.5%
ACE Cash Express, Inc., Sr. Sec’d. Notes, 144A	B3		11.000%	02/01/19		3,325		3,133,812
Ally Financial, Inc., Gtd. Notes(e)	B1		4.625%	06/26/15		6,725		7,010,651
Ally Financial, Inc., Gtd. Notes(e)	B1		5.500%	02/15/17		3,150		3,369,753
Ally Financial, Inc., Gtd. Notes	B1		7.500%	12/31/13		2,100		2,218,125
Ally Financial, Inc., Gtd. Notes(e)	B1		8.000%	03/15/20		3,200		3,920,000
Ally Financial, Inc., Gtd. Notes	B1		8.300%	02/12/15		450		501,187
CIT Group, Inc., Sr. Unsec’d. Notes	B1		4.250%	08/15/17		6,650		6,847,784
CIT Group, Inc., Sr. Unsec’d. Notes(e)	B1		5.000%	05/15/17		3,300		3,498,000
CIT Group, Inc., Sr. Unsec’d. Notes(e)	Ba3		5.000%	08/15/22		12,275		13,089,029
CIT Group, Inc., Sr. Unsec’d. Notes(e)	B1		5.250%	03/15/18		11,925		12,759,750
CIT Group, Inc., Sr. Unsec’d. Notes(e)	B1		5.375%	05/15/20		750		819,375
CIT Group, Inc., Sr. Unsec’d. Notes, 144A	B1		5.500%	02/15/19		2,600		2,834,000
CNG Holdings, Inc., Sr. Sec’d. Notes, 144A	B3		9.375%	05/15/20		3,225		3,273,375
Community Choice Financial, Inc., Sr. Sec’d. Notes	B3		10.750%	05/01/19		2,890		2,781,625
GMAC, Inc., Gtd. Notes, Ser. 8(e)	B1		6.750%	12/01/14		5,100		5,508,000
HSBC Finance Capital Trust IX, Gtd. Notes(a)	Baa2		5.911%	11/30/35		100		99,750
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		6.500%	09/01/14		3,125		3,335,938
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		6.750%	09/01/16		175		196,438
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		7.125%	09/01/18		525		609,000
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	Ba3		5.650%	06/01/14		5,000		5,203,100
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		5.875%	08/15/22		2,500		2,648,030
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		6.250%	05/15/19		2,120		2,257,800
International Lease Finance Corp., Sr. Unsec’d. Notes, MTN	Ba3		6.375%	03/25/13		4,125		4,168,313
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		8.625%	09/15/15		810		910,237
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		8.750%	03/15/17		2,000		2,310,000
Jet Equipment Trust, Ser. 94-A, 144A(c)(g)	NR		10.000%	06/15/12		81		64,624
Jet Equipment Trust, Sr. Unsec’d. Notes, Ser. 95-B, 144A(c)(g)	NR		7.630%	08/15/12		11		8
KKR Group Finance Co., Gtd. Notes, 144A(e)	A-(b)		6.375%	09/29/20		1,000		1,160,559
Springleaf Finance Corp., Sr. Unsec’d. Notes, Ser. I, MTN	Caa1		5.400%	12/01/15		14,665		13,858,425
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(e)	Caa1		5.850%	06/01/13		1,287		1,307,914
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN	Caa1		6.900%	12/15/17		19,725		17,653,875
								127,348,477
Packaging — 2.4%
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A (original cost $5,537,188; purchased 09/30/10-10/01/10)(c)(d)(e)	B3		9.125%	10/15/20		5,450		5,940,500
Ardagh Packaging Finance PLC (Ireland), Sr. Sec’d. Notes, 144A (original cost $3,814,150; purchased 06/11/12-06/13/12)(c)(d)(e)	Ba3		7.375%	10/15/17		3,620		3,936,750

SEE NOTES TO FINANCIAL STATEMENTS.

A112

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Packaging (continued)
Berry Plastics Corp., Sec’d. Notes(a)	Caa1		4.183%	09/15/14	$	2,025	$	2,025,000
Berry Plastics Corp., Sec’d. Notes(e)	Caa1		9.750%	01/15/21		4,875		5,618,437
BOE Merger Corp., Sr. Unsec’d. Notes, PIK, 144A	Caa1		9.500%	11/01/17		3,625		3,625,000
BWAY Holding Co., Gtd. Notes	B3		10.000%	06/15/18		1,000		1,110,000
Greif, Inc., Sr. Unsec’d. Notes	Ba2		6.750%	02/01/17		4,970		5,541,550
Plastipak Holdings, Inc., Gtd. Notes, 144A (original cost $3,201,500; purchased 03/31/10-05/21/10)(c)(d)	B3		8.500%	12/15/15		3,175		3,230,562
Plastipak Holdings, Inc., Sr. Notes, 144A (original cost $5,231,801; purchased 07/23/09-11/01/12)(c)(d)	B3		10.625%	08/15/19		4,875		5,569,688
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes(e)	Caa1		8.250%	02/15/21		4,450		4,516,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes(e)	Caa2		9.875%	08/15/19		9,675		10,352,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes, 144A	B1		5.750%	10/15/20		10,450		10,789,625
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes(e)	B1		6.875%	02/15/21		1,575		1,697,063
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes(e)	B1		7.875%	08/15/19		1,500		1,668,750
Sealed Air Corp., Gtd. Notes, 144A(e)	B1		8.375%	09/15/21		2,300		2,627,750
Sealed Air Corp., Sr. Unsec’d. Notes, 144A(e)	B1		6.500%	12/01/20		1,575		1,701,000
								69,950,675
Paper — 0.6%
Domtar Corp., Gtd. Notes	Baa3		10.750%	06/01/17		1,125		1,457,458
Graphic Packaging International, Inc., Gtd. Notes	B2		7.875%	10/01/18		1,375		1,519,375
Graphic Packaging International, Inc., Gtd. Notes	B2		9.500%	06/15/17		6,201		6,697,080
Longview Fibre Paper & Packaging, Inc., Sr. Sec’d. Notes, 144A (original cost $2,736,155; purchased 05/17/11-09/22/11)(c)(d)(e)	B2		8.000%	06/01/16		2,760		2,898,000
Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A	Ba2		4.875%	09/15/18		3,000		3,060,000
Verso Paper Holdings LLC/Verso Paper, Inc., Sec’d. Notes(e)	Caa1		8.750%	02/01/19		1,850		703,000
								16,334,913
Pipelines & Other — 1.1%
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes(e)	Ba2		7.000%	05/20/22		1,900		2,113,750
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		6.500%	05/20/21		1,240		1,345,400
Energy Transfer Equity LP, Sr. Sec’d. Notes(e)	Ba2		7.500%	10/15/20		4,300		4,966,500
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes(e)	B3		8.625%	06/15/20		3,659		3,659,000
Inergy Midstream LP/NRGM Finance Corp., Gtd. Notes, 144A	B1		6.000%	12/15/20		2,900		2,994,250
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A(e)	Ba3		6.375%	08/01/22		2,025		2,207,250
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes	Ba3		6.875%	02/01/21		6,250		6,843,750
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes(e)	Ba3		7.875%	10/15/18		4,350		4,763,250
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Sr. Unsec’d. Notes, 144A(e)	B1		5.875%	10/01/20		1,575		1,634,062
								30,527,212
Real Estate Investment Trusts — 1.1%
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., Gtd. Notes	B1		7.750%	02/15/19		16,150		17,119,000
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes, 144A	B2		6.375%	11/15/22		1,850		1,928,625
Omega Healthcare Investors, Inc., Gtd. Notes(e)	Ba2		6.750%	10/15/22		475		516,563
Omega Healthcare Investors, Inc., Gtd. Notes	Ba2		7.500%	02/15/20		825		905,437
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		6.750%	04/15/20		1,875		2,133,414
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		6.750%	12/15/21		7,250		8,360,577
								30,963,616

SEE NOTES TO FINANCIAL STATEMENTS.

A113

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers — 2.5%
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A(e)	Caa1		9.250%	08/01/19	$	4,000	$	4,440,000
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A	B2		9.000%	03/15/19		2,900		3,110,250
Dufry Finance SCA (Luxembourg), Gtd. Notes, 144A	Ba3		5.500%	10/15/20		9,550		9,884,250
Limited Brands, Inc., Gtd. Notes(e)	Ba1		5.625%	02/15/22		3,885		4,224,937
New Academy Finance Co. LLC/New Academy Finance Corp., Sr. Unsec’d. Notes, PIK, 144A	Caa1		8.000%	06/15/18		3,550		3,594,375
Pantry, Inc. (The), Gtd. Notes, 144A	Caa1		8.375%	08/01/20		12,000		12,540,000
Penske Automotive Group, Inc., Gtd. Notes, 144A	B2		5.750%	10/01/22		5,375		5,536,250
Petco Holdings, Inc., Sr. Notes, PIK, 144A(e)	Caa1		8.500%	10/15/17		4,925		5,060,437
QVC, Inc., Sr. Sec’d. Notes, 144A	Ba2		7.125%	04/15/17		3,510		3,680,881
QVC, Inc., Sr. Sec’d. Notes, 144A	Ba2		7.375%	10/15/20		1,525		1,696,771
Rite Aid Corp., Sec’d. Notes	Caa1		7.500%	03/01/17		1,465		1,505,288
Rite Aid Corp., Sec’d. Notes	Caa1		10.375%	07/15/16		355		375,413
Rite Aid Corp., Sr. Sec’d. Notes	B2		9.750%	06/12/16		2,000		2,165,000
Susser Holdings LLC/Susser Finance Corp., Gtd. Notes	B2		8.500%	05/15/16		5,496		5,839,500
Toys “R” Us, Inc., Sr. Unsec’d. Notes(e)	B3		10.375%	08/15/17		4,800		5,004,000
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes	Ba1		8.500%	12/01/17		3,381		3,583,860
								72,241,212
Technology — 9.1%
Anixter, Inc., Gtd. Notes	Ba3		5.950%	03/01/15		2,500		2,659,375
Avaya, Inc., Gtd. Notes	Caa2		9.750%	11/01/15		8,175		7,275,750
Avaya, Inc., Gtd. Notes, PIK	Caa2		10.125%	11/01/15		13,095		11,720,025
CDW LLC/CDW Finance Corp., Gtd. Notes	B3		8.500%	04/01/19		16,400		17,753,000
CDW LLC/CDW Finance Corp., Gtd. Notes(e)	Caa1		12.535%	10/12/17		14,302		15,285,262
Ceridian Corp., Gtd. Notes	Caa2		11.250%	11/15/15		20,050		20,050,000
Ceridian Corp., Gtd. Notes, PIK(e)	Caa2		12.250%	11/15/15		3,000		3,007,500
CommScope, Inc., Gtd. Notes, 144A (original cost $17,164,025; purchased 01/11/11-12/12/12)(c)(d)(e)	B3		8.250%	01/15/19		16,985		18,598,575
CoreLogic, Inc., Gtd. Notes	Ba3		7.250%	06/01/21		2,825		3,072,187
DuPont Fabros Technology LP, Gtd. Notes	Ba1		8.500%	12/15/17		1,725		1,884,562
First Data Corp., Gtd. Notes, PIK(e)	Caa1		10.550%	09/24/15		4,000		4,095,000
First Data Corp., Gtd. Notes	Caa1		12.625%	01/15/21		14,007		14,742,368
First Data Corp., Sr. Sec’d. Notes, 144A	B1		6.750%	11/01/20		6,975		7,044,750
Freescale Semiconductor, Inc., Gtd. Notes(e)	Caa1		8.050%	02/01/20		11,710		11,651,450
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A(e)	B1		9.250%	04/15/18		5,875		6,418,438
Global Generations Merger Sub, Inc., Sr. Unsec’d. Notes, 144A(e)	Caa1		11.000%	12/15/20		7,150		7,275,125
Igloo Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A	Caa1		8.250%	12/15/17		6,100		6,023,750
Interactive Data Corp., Gtd. Notes	B3		10.250%	08/01/18		8,725		9,826,531
Iron Mountain, Inc., Gtd. Notes(e)	B1		5.750%	08/15/24		1,025		1,037,813
Legend Acquisition Sub, Inc., Sr. Notes, 144A (original cost $7,007,274; purchased 08/14/12)(c)(d)(e)	Caa1		10.750%	08/15/20		7,100		6,425,500
Lender Processing Services, Inc., Gtd. Notes	Ba2		5.750%	04/15/23		6,200		6,432,500
Nortel Networks Ltd. (Canada), Gtd. Notes(c)(g)	NR		10.125%	07/15/13		3,050		3,492,250
Nuance Communications, Inc., Gtd. Notes, 144A	Ba3		5.375%	08/15/20		2,275		2,377,375
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A	B2		9.750%	08/01/18		2,494		2,889,923
Seagate HDD Cayman (Cayman Islands), Gtd. Notes(e)	Ba1		7.000%	11/01/21		4,002		4,292,145
Seagate HDD Cayman (Cayman Islands), Gtd. Notes	Ba1		7.750%	12/15/18		3,500		3,845,625
Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes	Ba1		6.800%	10/01/16		2,000		2,240,000
Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A	Baa3		10.000%	05/01/14		2,505		2,696,006
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(e)	B2		6.500%	05/15/19		8,131		8,659,515
Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A(e)	Caa1		9.750%	01/15/19		11,540		12,434,350
STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A	Ba1		7.500%	08/12/15		1,400		1,491,000
SunGard Data Systems, Inc., Gtd. Notes, 144A(e)	Caa1		6.625%	11/01/19		2,675		2,735,188
Syniverse Holdings, Inc., Gtd. Notes (original cost $4,931,038; purchased 12/22/10-01/07/11)(c)(d)	Caa1		9.125%	01/15/19		4,830		5,156,025
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A	Caa1		8.125%	06/15/18		3,450		3,562,125

SEE NOTES TO FINANCIAL STATEMENTS.

A114

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

CORPORATE BONDS (continued)	Moody’s Ratings† (Unaudited)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Technology (continued)
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes, PIK	Caa1		9.625%	06/15/18	$		11,050	$	11,685,375
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes(e)	B2		11.375%	06/15/18			6,946		8,092,090
									257,928,453
Telecommunications — 5.1%
Brightstar Corp., Gtd. Notes, 144A (original cost $6,940,850; purchased 11/23/10-06/13/12)(c)(d)	B1		9.500%	12/01/16			6,845		7,289,925
Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Sec’d. Notes, 144A	B3		12.000%	12/01/15			5,475		5,858,250
Clearwire Communications LLC/Clearwire Finance, Inc., Sr. Sec’d. Notes, 144A	B3		12.000%	12/01/15			8,670		9,320,250
Cricket Communications, Inc., Sr. Sec’d. Notes(e)	Ba2		7.750%	05/15/16			2,500		2,646,875
Crown Castle International Corp., Sr. Unsec’d. Notes, 144A(e)	B1		5.250%	01/15/23			3,350		3,584,500
Digicel Group Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(e)	Caa1		8.250%	09/30/20			6,400		7,040,000
Digicel Group Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A	Caa1		10.500%	04/15/18			2,500		2,750,000
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, 144A(e)	B3		11.625%	01/31/20			6,315		7,356,975
Frontier Communications Corp., Sr. Unsec’d. Notes(e)	Ba2		7.125%	01/15/23			2,425		2,570,500
Frontier Communications Corp., Sr. Unsec’d. Notes	Ba2		8.250%	05/01/14			8		8,620
Frontier Communications Corp., Sr. Unsec’d. Notes(e)	Ba2		8.750%	04/15/22			4,400		5,104,000
Frontier Communications Corp., Sr. Unsec’d. Notes(e)	Ba2		9.250%	07/01/21			1,850		2,169,125
Level 3 Financing, Inc., Gtd. Notes, 144A	B3		7.000%	06/01/20			3,625		3,788,125
Level 3 Financing, Inc., Gtd. Notes(e)	B3		8.125%	07/01/19			1,275		1,389,750
Level 3 Financing, Inc., Gtd. Notes(e)	B3		8.625%	07/15/20			2,250		2,497,500
Level 3 Financing, Inc., Gtd. Notes(e)	B3		9.375%	04/01/19			500		558,750
MetroPCS Wireless, Inc., Gtd. Notes(e)	B2		6.625%	11/15/20			350		371,875
MetroPCS Wireless, Inc., Gtd. Notes(e)	B2		7.875%	09/01/18			4,350		4,708,875
NII Capital Corp., Gtd. Notes	B2		7.625%	04/01/21			4,233		3,206,497
Northwestern Bell Telephone, Sr. Unsec’d. Notes(e)	Baa3		7.750%	05/01/30			750		776,775
Qwest Communications International, Inc., Gtd. Notes	Baa3		7.125%	04/01/18			1,450		1,512,934
Sprint Capital Corp., Gtd. Notes	B3		6.875%	11/15/28			7,395		7,690,800
Sprint Capital Corp., Gtd. Notes	B3		6.900%	05/01/19			9,625		10,491,250
Sprint Nextel Corp., Gtd. Notes, 144A(e)	Ba3		7.000%	03/01/20			4,225		4,911,563
Sprint Nextel Corp., Gtd. Notes, 144A	Ba3		9.000%	11/15/18			1,575		1,945,125
Sprint Nextel Corp., Sr. Unsec’d. Notes(e)	B3		6.000%	12/01/16			1,645		1,788,937
Sprint Nextel Corp., Sr. Unsec’d. Notes	B3		7.000%	08/15/20			2,075		2,266,938
Sprint Nextel Corp., Sr. Unsec’d. Notes(e)	B3		9.125%	03/01/17			3,400		4,003,500
Wind Acquisition Finance SA (Luxembourg), Sec’d. Notes, 144A(e)	B3		11.750%	07/15/17			12,510		13,104,225
Wind Acquisition Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A(e)	Ba3		7.250%	02/15/18			4,400		4,455,000
Wind Acquisition Holdings Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A(e)	Caa1		12.250%	07/15/17			8,460		8,629,497
Windstream Corp., Gtd. Notes(e)	Ba3		7.000%	03/15/19			850		869,125
Windstream Corp., Gtd. Notes(e)	Ba3		7.500%	06/01/22			925		980,500
Windstream Corp., Gtd. Notes(e)	Ba3		7.500%	04/01/23			5,275		5,551,938
Windstream Corp., Gtd. Notes(e)	Ba3		7.750%	10/15/20			2,525		2,727,000
									143,925,499
TOTAL CORPORATE BONDS (cost $2,459,808,599)									2,590,364,311
						Shares
COMMON STOCKS — 0.1%
Cable
Adelphia Recovery Trust*(c)							500,000		500
Electric
NRG Energy, Inc.							772		17,748

SEE NOTES TO FINANCIAL STATEMENTS.

A115

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)		Shares		Value (Note 2)
Media & Entertainment
Dex One Corp.*(e)			182,429	$	288,238
Virgin Media, Inc.(e)			8,521		313,147
					601,385
Pipelines & Other
SemGroup Corp. (Class A Stock)*			3,493		136,506
Technology — 0.1%
Xerox Corp.			137,561		938,166
Telecommunications
Netia SA (Poland)*			238,168		329,341
TOTAL COMMON STOCKS (cost $27,553,953)					2,023,646
PREFERRED STOCKS
Building Materials & Construction
New Millenium Homes LLC (cost $0; purchased 9/25/00)*(c)(d)			3,000		222,000
Cable
Adelphia Communications Corp., PIK, 13.000%*(c)			5,000		5
TOTAL PREFERRED STOCKS (cost $4,765)					222,005
	Expiration Date	Units
WARRANTS
Media & Entertainment
MediaNews Group, Inc. (cost $0; purchased 6/30/11)*(c)(d)	3/19/17		5,557		56
Pipelines & Other
SemGroup Corp.*	11/30/14		3,676		52,420
Telecommunications
Hawaiian Telcom Holdco, Inc.*	10/28/15		19,187		113,203
TOTAL WARRANTS (cost $320,316)					165,679
TOTAL LONG-TERM INVESTMENTS (cost $2,598,042,147)					2,705,768,210
		Shares
SHORT-TERM INVESTMENTS — 22.3%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(h)			520,804		4,807,024
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost 627,175,180; includes $541,542,680 of cash collateral received for securities on loan) (Note 4)(h)(i)			627,175,180		627,175,180
TOTAL SHORT-TERM INVESTMENTS (cost $632,121,254)					631,982,204
TOTAL INVESTMENTS — 117.5% (cost $3,230,163,401)					3,337,750,414
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (17.5)%					(495,910,983	)
NET ASSETS — 100.0%				$	2,841,839,431

SEE NOTES TO FINANCIAL STATEMENTS.

A116

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

The following abbreviations are used in the portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ABS	Asset-Backed Security
CLO	Collateralized Loan Obligation
MTN	Medium Term Note
NR	Not Rated by Moody’s or Standard & Poor’s
PIK	Payment-in-Kind
ULC	Unlimited Liability Corporation

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

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

* Non-income producing security.

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

(b) Standard & Poor’s Rating.

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

(d) Indicates a restricted security; the aggregate original cost of such securities is $141,696,554. The aggregate value of $148,277,127 is approximately 5.2% of net assets.

(e) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $528,726,902; cash collateral of $541,542,680 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

Credit default swap agreements outstanding at December 31, 2012:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Implied Credit Spread at December 31, 2012(4) (Unaudited)			Fair Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on corporate issues—Sell Protection(1):
NRG Energy, Inc.		03/20/16		4.100%	$	3,150		1.929	%	$	218,505	$	—	$	218,505	Goldman Sachs International

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Fair Value(2)		Upfront Premiums Paid/ (Received)			Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(1):
CDX.NA.HY.18.V1		06/20/17		5.000%	$	4,950	$	79,816	$	(149,531	)	$	229,347	Barclays Bank PLC
CDX.NA.HY.18.V1		06/20/17		5.000%		12,870		207,520		(1,020,663	)		1,228,183	Morgan Stanley Capital Services
CDX.NA.HY.18.V1		06/20/17		5.000%		19,800		319,262		(1,359,875	)		1,679,137	Goldman Sachs International
CDX.NA.HY.19.V1		12/20/17		5.000%		6,000		18,318		10,834			7,484	Barclays Bank PLC
							$	624,916	$	(2,519,235	)	$	3,144,151

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

(1) 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A117

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities	$	—	$	12,684,553	$	—
Residential Mortgage-Backed Securities		—		986,909		—
Bank Loans		—		79,006,749		17,933,125
Collateralized Mortgage Obligations		—		2,381,233		—
Corporate Bonds		—		2,572,760,065		17,604,246
Common Stocks		2,023,146		—		500
Preferred Stocks		—		—		222,005
Warrants		113,203		52,420		56
Affiliated Mutual Funds		631,982,204		—		—
Other Financial Instruments*
Credit Default Swap Agreements		—		3,362,656		—
Total	$	634,118,553	$	2,671,234,585	$	35,759,932

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

	Non-Residential Mortgage-Backed Securities			Bank Loans			Corporate Bonds			Common Stocks		Preferred Stocks		Warrants
Balance as of 12/31/11	$	433,607		$	—		$	74,580		$	500	$	75,005	$	56
Realized gain (loss)		—			5,651			(5,498,144	)		—		—		—
Change in unrealized appreciation (depreciation)**		—			279,776			6,531,367			—		147,000		—
Purchases		—			18,435,000			6,711,945			—		—		—
Sales		—			(797,632	)		(3,215,385	)		—		—		—
Accrued discount/premium		—			10,330			1,561			—		—		—
Transfers into Level 3		—			—			12,998,322			—		—		—
Transfers out of Level 3		(433,607	)		—			—			—		—		—
Balance as of 12/31/12	$	—		$	17,933,125		$	17,604,246		$	500	$	222,005	$	56

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

** Of which, $1,560,541 was included in Net Assets relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there were one non-residential mortgage-backed security transferred from Level 3 into Level 2 as a result of no longer using a single broker quote and two corporate bonds transferred into Level 3 as a result of using a single broker quote.

SEE NOTES TO FINANCIAL STATEMENTS.

A118

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Valuation Committee, which contain unobservable inputs. Such methodologies include, but not limited to, using prices provided by a single broker/dealer, the cost of the investment and prices of any recent transactions or bids/offers for such securities or any comparable securities.

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

Affiliated Mutual Funds (including 19.1% of collateral received for securities on loan)	22.3	%
Technology	10.6
Healthcare & Pharmaceutical	9.5
Capital Goods	6.3
Media & Entertainment	5.8
Energy – Other	5.7
Gaming	5.7
Cable	5.2
Telecommunications	5.1
Electric	4.8
Foods	4.5
Non-Captive Finance	4.5
Chemicals	4.1
Metals	4.1
Automotive	3.1
Retailers	2.5

Packaging	2.4	%
Consumer	2.2
Building Materials & Construction	2.0
Aerospace & Defense	1.3
Pipelines & Other	1.3
Banking	1.1
Real Estate Investment Trusts	1.1
Lodging	1.0
Paper	0.6
Non-Residential Mortgage-Backed Securities	0.5
Brokerage	0.1
Collateralized Mortgage Obligations	0.1
	117.5
Liabilities in excess of other assets	(17.5	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Credit contracts	Premiums paid for swap agreements	$	10,834	Premiums received for swap agreements	$	2,530,069
Credit contracts	Unrealized appreciation on swap agreements		3,362,656	—		—
Equity contracts	Unaffiliated investments		165,679	—		—
Total		$	3,539,169		$	2,530,069

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value					Swaps
Credit contracts					$	7,952,386
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Swaps		Warrants		Total
Credit contracts	$	1,549,282	$	—	$	1,549,282
Equity contracts		—		98,284		98,284
Total	$	1,549,282	$	98,284	$	1,647,566

For the year ended December 31, 2012, the Portfolio’s average notional amount for credit default swaps as writer was $57,476,000.

SEE NOTES TO FINANCIAL STATEMENTS.

A119

HIGH YIELD BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $528,726,902:
Unaffiliated investments (cost $2,598,042,147)	$	2,705,768,210
Affiliated investments (cost $632,121,254)		631,982,204
Cash		462,147
Dividends and interest receivable		48,772,247
Receivable for investments sold		5,052,897
Unrealized appreciation on swap agreements		3,362,656
Receivable for Series shares sold		39,243
Prepaid expenses		19,059
Premiums paid for swap agreements		10,834
Total Assets		3,395,469,497
LIABILITIES
Collateral for securities on loan		541,542,680
Payable for investments purchased		7,861,667
Premiums received for swap agreements		2,530,069
Management fee payable		1,317,736
Payable for Series shares repurchased		220,491
Accrued expenses and other liabilities		153,853
Deferred trustees’ fees		2,644
Affiliated transfer agent fee payable		926
Total Liabilities		553,630,066
NET ASSETS	$	2,841,839,431
Net assets were comprised of:
Paid-in capital	$	2,994,753,913
Retained earnings		(152,914,482	)
Net assets, December 31, 2012	$	2,841,839,431
Net asset value and redemption price per share, $2,841,839,431 / 539,948,410 outstanding shares of beneficial interest	$	5.26

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Interest income	$	188,816,844
Affiliated income from securities loaned, net		1,483,890
Affiliated dividend income		382,461
Unaffiliated dividend income		24,752
		190,707,947
EXPENSES
Management fee		13,939,450
Custodian’s fees and expenses		303,000
Shareholders’ reports		143,000
Audit fee		36,000
Trustees’ fees		34,000
Insurance expenses		24,000
Legal fees and expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		10,450
Total expenses		14,519,900
NET INVESTMENT INCOME		176,188,047
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investment transactions		30,762,606
Swap agreement transactions		7,952,386
		38,714,992
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $191,578)		122,324,288
Swap agreements		1,549,282
		123,873,570
NET GAIN ON INVESTMENTS		162,588,562
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	338,776,609

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	176,188,047		$	162,933,632
Net realized gain on investment transactions		38,714,992			41,350,354
Net change in unrealized appreciation (depreciation) on investments		123,873,570			(96,047,509	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		338,776,609			108,236,477
DISTRIBUTIONS		(179,249,371	)		(162,232,130	)
SERIES SHARE TRANSACTIONS:
Series shares sold [85,281,012 and 4,310,527 shares, respectively]		436,199,039			21,838,181
Series shares issued in reinvestment of distributions [34,933,095 and 32,541,377 shares, respectively]		179,249,371			162,232,130
Series shares repurchased [17,785,446 and 22,320,117 shares, respectively]		(91,535,916	)		(112,834,788	)
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		523,912,494			71,235,523
TOTAL INCREASE IN NET ASSETS		683,439,732			17,239,870
NET ASSETS:
Beginning of year		2,158,399,699			2,141,159,829
End of year	$	2,841,839,431		$	2,158,399,699

SEE NOTES TO FINANCIAL STATEMENTS.

A120

	JENNISON PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 99.6%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 5.8%
Boeing Co. (The)		287,067	$	21,633,369
Precision Castparts Corp.		168,577		31,931,855
United Technologies Corp.		230,190		18,877,882
				72,443,106
Biotechnology — 5.3%
Alexion Pharmaceuticals, Inc.*		196,931		18,474,097
Biogen Idec, Inc.*		123,584		18,126,065
Gilead Sciences, Inc.*		194,223		14,265,680
Vertex Pharmaceuticals, Inc.*		355,437		14,907,028
				65,772,870
Capital Markets — 2.7%
Goldman Sachs Group, Inc. (The)		146,209		18,650,420
Morgan Stanley		807,698		15,443,186
				34,093,606
Chemicals — 1.9%
Monsanto Co.		246,054		23,289,011
Communications Equipment — 0.8%
QUALCOMM, Inc.		153,179		9,500,162
Computers & Peripherals — 8.2%
Apple, Inc.		143,126		76,290,452
EMC Corp.*		1,005,828		25,447,448
				101,737,900
Electrical Equipment — 0.6%
Roper Industries, Inc.		64,225		7,159,803
Energy Equipment & Services — 0.8%
Schlumberger Ltd.		137,464		9,524,881
Food & Staples Retailing — 3.5%
Costco Wholesale Corp.		241,369		23,840,016
Whole Foods Market, Inc.		212,911		19,445,162
				43,285,178
Food Products — 1.0%
Mondelez International, Inc. (Class A Stock)		504,247		12,843,171
Healthcare Providers & Services — 2.6%
Express Scripts Holding Co.*		365,974		19,762,596
UnitedHealth Group, Inc.		223,605		12,128,335
				31,890,931
Hotels, Restaurants & Leisure — 4.1%
Chipotle Mexican Grill, Inc.*(a)		45,520		13,540,379
Dunkin’ Brands Group, Inc.(a)		408,241		13,545,436
Starbucks Corp.		115,370		6,186,140
Yum! Brands, Inc.		278,932		18,521,085
				51,793,040
Internet & Catalog Retail — 4.6%
Amazon.com, Inc.*		149,775		37,614,494
priceline.com, Inc.*		31,607		19,634,268
				57,248,762
Internet Software & Services — 10.0%
Baidu, Inc. (China), ADR*(a)		134,100		13,448,889
eBay, Inc.*		268,053		13,676,064
Facebook, Inc. (Class A Stock)*		517,946		13,792,902

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services (continued)
Google, Inc. (Class A Stock)*		62,628	$	44,426,424
LinkedIn Corp. (Class A Stock)*		165,813		19,038,649
Rackspace Hosting, Inc.*(a)		170,299		12,648,107
Tencent Holdings Ltd. (China)		189,824		6,225,602
Youku Tudou, Inc. (China), ADR*(a)		56,760		1,035,302
				124,291,939
IT Services — 8.0%
International Business Machines Corp.		121,434		23,260,683
Mastercard, Inc. (Class A Stock)		90,748		44,582,677
Teradata Corp.*		102,999		6,374,608
Visa, Inc. (Class A Stock)		168,570		25,551,841
				99,769,809
Life Sciences Tools & Services — 0.8%
Illumina, Inc.*(a)		183,019		10,174,026
Media — 1.5%
Walt Disney Co. (The)		386,744		19,255,984
Multiline Retail — 0.5%
Family Dollar Stores, Inc.		100,824		6,393,250
Oil, Gas & Consumable Fuels — 2.0%
Concho Resources, Inc.*		180,685		14,555,983
EOG Resources, Inc.		91,087		11,002,399
				25,558,382
Personal Products — 1.7%
Estee Lauder Cos., Inc. (The) (Class A Stock)		351,099		21,016,786
Pharmaceuticals — 7.2%
Abbott Laboratories		177,054		11,597,037
Allergan, Inc.		203,665		18,682,191
Bristol-Myers Squibb Co.		302,061		9,844,168
Novo Nordisk A/S (Denmark), ADR		123,648		20,180,590
Perrigo Co.		94,528		9,833,748
Shire PLC (Ireland), ADR		210,380		19,392,828
				89,530,562
Real Estate Investment Trusts — 1.9%
American Tower Corp.		312,847		24,173,688
Road & Rail — 2.3%
Canadian Pacific Railway Ltd.		25,096		2,550,256
Kansas City Southern		76,128		6,355,165
Union Pacific Corp.		153,349		19,279,036
				28,184,457
Semiconductors & Semiconductor Equipment — 2.7%
ARM Holdings PLC (United Kingdom), ADR(a)		322,187		12,188,334
Avago Technologies Ltd. (Class A Stock)		313,976		9,940,480
Broadcom Corp. (Class A Stock)		350,628		11,644,356
				33,773,170
Software — 6.5%
Intuit, Inc.		205,702		12,239,269
Red Hat, Inc.*		324,878		17,205,539
Salesforce.com, Inc.*(a)		149,863		25,191,970
Splunk, Inc.*(a)		157,956		4,583,883

SEE NOTES TO FINANCIAL STATEMENTS.

A121

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
VMware, Inc. (Class A Stock)*		192,555	$	18,127,128
Workday, Inc. (Class A Stock)*(a)		72,230		3,936,535
				81,284,324
Specialty Retail — 4.2%
Inditex SA (Spain)		215,987		30,347,705
TJX Cos., Inc.		527,279		22,382,993
				52,730,698
Textiles, Apparel & Luxury Goods — 7.3%
Burberry Group PLC (United Kingdom)		352,050		7,076,759
Coach, Inc.(a)		312,908		17,369,523
Lululemon Athletica, Inc.*(a)		212,581		16,205,050
Luxottica Group SpA (Italy)		119,901		4,948,922
NIKE, Inc. (Class B Stock)		516,402		26,646,343
Ralph Lauren Corp.		128,515		19,266,969
				91,513,566
Wireless Telecommunication Services — 1.1%
Crown Castle International Corp.*		193,612		13,971,042
TOTAL LONG-TERM INVESTMENTS (cost $837,539,857)				1,242,204,104
SHORT-TERM INVESTMENT — 9.3%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $116,054,487; includes 109,024,249 of cash collateral received for securities on loan (Note 4)(b)(c)		116,054,487		116,054,487
TOTAL INVESTMENTS — 108.9% (cost $953,594,344)				1,358,258,591
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.9)%				(111,398,602	)
NET ASSETS — 100.0%			$	1,246,859,989

The following abbreviation is used in portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $108,995,814; cash collateral of $109,024,249 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,193,605,116	$	48,598,988	$	—
Affiliated Money Market Mutual Fund		116,054,487		—		—
Total	$	1,309,659,603	$	48,598,988	$	—

Fair value of Level 2 investments at December 31, 2011 was $0. An amount of $24,391,725 was transferred into Level 2 from Level 1 at December 31, 2012 as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A122

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Internet Software & Services	10.0	%
Affiliated Money Market Mutual Fund (including 8.7% of collateral received for securities on loan)	9.3
Computers & Peripherals	8.2
IT Services	8.0
Textiles, Apparel & Luxury Goods	7.3
Pharmaceuticals	7.2
Software	6.5
Aerospace & Defense	5.8
Biotechnology	5.3
Internet & Catalog Retail	4.6
Specialty Retail	4.2
Hotels, Restaurants & Leisure	4.1
Food & Staples Retailing	3.5
Capital Markets	2.7
Semiconductors & Semiconductor Equipment	2.7
Healthcare Providers & Services	2.6
Road & Rail	2.3
Oil, Gas & Consumable Fuels	2.0
Chemicals	1.9
Real Estate Investment Trusts	1.9
Personal Products	1.7
Media	1.5
Wireless Telecommunication Services	1.1
Food Products	1.0
Communications Equipment	0.8
Energy Equipment & Services	0.8
Life Sciences Tools & Services	0.8
Electrical Equipment	0.6
Multiline Retail	0.5
	108.9
Liabilities in excess of other assets	(8.9	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A123

JENNISON PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $108,995,814:
Unaffiliated investments (cost $837,539,857)	$	1,242,204,104
Affiliated investments (cost $116,054,487)		116,054,487
Receivable for investments sold		763,939
Dividends and interest receivable		266,911
Foreign tax reclaim receivable		124,887
Receivable for Series shares sold		92,335
Prepaid expenses		8,555
Total Assets		1,359,515,218
LIABILITIES
Collateral for securities on loan		109,024,249
Payable for investments purchased		2,604,367
Management fee payable		630,613
Payable for Series shares repurchased		211,272
Accrued expenses and other liabilities		127,276
Payable to custodian		44,047
Distribution fee payable		7,120
Administration fee payable		4,360
Deferred trustees’ fees		999
Affiliated transfer agent fee payable		926
Total Liabilities		112,655,229
NET ASSETS	$	1,246,859,989
Net assets were comprised of:
Paid-in capital	$	1,422,628,893
Retained earnings		(175,768,904	)
Net assets, December 31, 2012	$	1,246,859,989
Class I:
Net asset value and redemption price per share, $1,213,268,416 / 44,974,083 outstanding shares of beneficial interest	$	26.98
Class II:
Net asset value and redemption price per share, $33,591,573 / 1,268,064 outstanding shares of beneficial interest	$	26.49

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Dividend income (net of foreign withholding taxes of $189,292)	$	13,110,105
Affiliated income from securities loaned, net		200,687
Affiliated dividend income		22,812
		13,333,604
EXPENSES
Management fee		7,591,775
Distribution fee—Class II		87,836
Administration fee—Class II		52,702
Shareholders’ reports		192,000
Custodian’s fees and expenses		138,000
Trustees’ fees		22,000
Audit fee		20,000
Legal fees and expenses		14,000
Insurance expenses		13,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		5,000
Loan interest expense (Note 8)		68
Miscellaneous		10,857
Total expenses		8,159,238
NET INVESTMENT INCOME		5,174,366
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		102,760,084
Foreign currency transactions		(37,343	)
		102,722,741
Net change in unrealized appreciation (depreciation) on:
Investments		76,847,481
Foreign currencies		(35	)
		76,847,446
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		179,570,187
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	184,744,553

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	5,174,366		$	1,934,488
Net realized gain on investments and foreign currencies		102,722,741			127,125,705
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		76,847,446			(112,345,448	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		184,744,553			16,714,745
DISTRIBUTIONS:
Class I		(1,936,533	)		(3,609,872	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		39,290,312			30,590,229
Series shares issued in reinvestment of distributions		1,936,533			3,609,872
Series shares repurchased		(135,434,311	)		(284,374,219	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(94,207,466	)		(250,174,118	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		88,600,554			(237,069,245	)
NET ASSETS:
Beginning of year		1,158,259,435			1,395,328,680
End of year	$	1,246,859,989		$	1,158,259,435

SEE NOTES TO FINANCIAL STATEMENTS.

A124

	MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

	Interest Rate			Maturity Date	Principal Amount (000)		Value (Note 2)
Certificates of Deposit — 13.3%
Bank of Montreal		0.210%		01/07/13	$	6,000	$	6,000,000
Bank of Nova Scotia(a)		0.339%		10/16/13		5,000		5,000,434
Bank of Nova Scotia(a)		0.433%		01/11/13		3,000		2,999,964
Bank of Tokyo-Mitsubishi UFJ Ltd.		0.170%		01/02/13		8,000		8,000,000
Canadian Imperial Bank of Commerce(a)		0.373%		01/30/13		6,000		6,000,000
Chase Bank USA NA		0.220%		03/06/13		6,000		6,000,000
Credit Suisse (NY Branch)(a)		0.713%		01/30/13		6,000		6,000,000
Credit Suisse (NY Branch)(a)		0.815%		07/25/13		2,000		2,000,000
Deutsche Bank AG		0.210%		01/08/13		7,000		7,000,000
DNB Bank ASA		0.240%		01/02/13		6,000		6,000,000
DNB Bank ASA(a)		0.332%		02/08/13		2,000		2,000,151
Lloyds TSB Bank PLC		0.710%		01/14/13		1,000		1,000,166
Nordea Bank Finland PLC		0.240%		02/05/13		7,000		7,000,000
Norinchukin Bank (NY Branch)		0.200%		01/02/13		3,000		3,000,000
Rabobank Nederland (NY Branch)(a)		0.463%		05/02/13		7,000		6,999,884
Rabobank Nederland (NY Branch)		0.520%		01/11/13		2,500		2,500,201
Royal Bank of Canada (NY Branch)(a)		0.397%		07/11/13		8,000		8,000,000
Societe Generale		0.240%		01/04/13		6,000		6,000,000
State Street Bank & Trust Co.		0.200%		01/02/13		7,000		7,000,000
Sumitomo Mitsui Banking Corp.		0.260%		03/12/13		3,000		3,000,000
Svenska Handelsbanken AB		0.245%		01/22/13		2,000		2,000,000
Svenska Handelsbanken AB		0.245%		01/25/13		8,000		8,000,027
Toronto Dominion Bank(a)		0.314%		07/26/13		7,000		7,000,000
Westpac Banking Corp.(a)		0.310%	��	02/11/13		1,700		1,699,989
								120,200,816
Commercial Paper — 12.6%
ABN AMRO Funding USA LLC, 144A(b)		0.451%		01/03/13		5,000		4,999,875
ABN AMRO Funding USA LLC, 144A(b)		0.481%		01/16/13		2,000		1,999,600
BASF AG, 144A(b)		0.170%		01/29/13		2,000		1,999,736
BHP Billiton Finance (USA) Ltd., 144A(b)		0.170%		01/29/13		1,000		999,868
BHP Billiton Finance (USA) Ltd., 144A(b)		0.170%		01/30/13		3,000		2,999,589
BHP Billiton Finance (USA) Ltd., 144A(b)		0.200%		03/06/13		3,000		2,998,933
Commonwealth Bank of Australia, 144A(b)		0.230%		01/25/13		5,000		4,999,233
Credit Agricole North America, Inc.(b)		0.300%		02/04/13		7,000		6,998,017
DNB Bank ASA, 144A(a)		0.459%		09/20/13		8,000		8,000,000
Electricite de France, 144A(b)		0.430%		01/03/13		2,000		1,999,952
Electricite de France, 144A(b)		0.430%		01/11/13		6,000		5,999,283
GDF Suez, 144A(b)		0.270%		01/28/13		7,000		6,998,582
HSBC USA, Inc.(b)		0.260%		02/12/13		6,000		5,998,180
HSBC USA, Inc.(b)		0.260%		02/26/13		3,000		2,998,787
International Bank Reconstruction & Development(b)		0.150%		02/05/13		6,000		5,999,125
International Finance Corp.(b)		0.135%		01/14/13		3,000		2,999,854
International Finance Corp.(b)		0.135%		01/23/13		2,000		1,999,835
International Finance Corp.(b)		0.170%		01/10/13		3,000		2,999,873
JPMorgan Chase & Co.(a)		0.362%		03/11/13		8,000		8,000,000
National Australia Funding Delaware, Inc., 144A(b)		0.200%		01/28/13		4,000		3,999,400
Reckitt Benckiser Treasury, 144A(b)		0.200%		03/11/13		2,000		1,999,233
Skandinaviska Enskilda Banken AB, 144A(b)		0.245%		01/22/13		2,000		1,999,714
Skandinaviska Enskilda Banken AB, 144A(b)		0.260%		02/19/13		5,000		4,998,231
State Street Corp.(b)		0.200%		03/05/13		6,000		5,997,900
Swedbank AB(b)		0.275%		02/26/13		4,000		3,998,289
U.S. Bank National Association		0.150%		01/25/13		9,000		9,000,000
								113,981,089
Other Corporate Obligations — 3.9%
BlackRock, Inc., Sr. Unsec’d. Notes(a)		0.612%		05/24/13		6,500		6,508,212
General Electric Co., Sr. Unsec’d. Notes		5.000%		02/01/13		1,077		1,081,213
John Deere Capital Corp., Sr. Unsec’d. Notes, MTN(a)		0.490%		07/15/13		1,000		1,000,914

SEE NOTES TO FINANCIAL STATEMENTS.

A125

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

	Interest Rate		Maturity Date	Principal Amount (000)		Value (Note 2)
Other Corporate Obligations (continued)
Metlife Institutional Funding II, Sec’d. Notes, 144A(a)		0.605%	04/03/13	$	10,000	$	10,000,000
Metropolitan Life Global Funding I, Sec’d. Notes, 144A		2.500%	01/11/13		1,000		1,000,579
Royal Bank of Canada, Sr. Unsec’d. Notes(a)		0.461%	03/08/13		1,000		1,000,299
Toyota Motor Credit Corp., Unsec’d. Notes, MTN(a)		0.311%	12/09/13		4,000		4,000,000
Toyota Motor Credit Corp., Unsec’d. Notes, MTN(a)		0.505%	04/03/13		3,500		3,500,000
Wachovia Corp., Sr. Unsec’d. Notes, MTN(a)		2.083%	05/01/13		4,000		4,022,573
Wells Fargo & Co., Sr. Unsec’d. Notes		4.375%	01/31/13		3,000		3,009,655
							35,123,445
Time Deposit — 1.5%
U.S. Bank National Association		0.150%	01/02/13		14,000		14,000,000
U.S. Government Agencies — 46.4%
Federal Farm Credit Bank(a)		0.150%	09/19/13		4,000		3,999,710
Federal Home Loan Bank(a)		0.090%	12/11/13		6,000		5,992,956
Federal Home Loan Bank(a)		0.100%	08/13/13		1,000		999,724
Federal Home Loan Bank(b)		0.110%	01/17/13		9,000		8,999,560
Federal Home Loan Bank(b)		0.120%	01/14/13		4,000		3,999,827
Federal Home Loan Bank(b)		0.120%	01/15/13		2,000		1,999,907
Federal Home Loan Bank(b)		0.120%	02/04/13		4,000		3,999,547
Federal Home Loan Bank(b)		0.120%	02/08/13		6,000		5,999,240
Federal Home Loan Bank(b)		0.120%	02/26/13		3,000		2,999,440
Federal Home Loan Bank(b)		0.120%	04/02/13		4,000		3,998,787
Federal Home Loan Bank(b)		0.126%	03/01/13		13,000		12,997,312
Federal Home Loan Bank(a)		0.129%	09/19/13		9,000		8,998,291
Federal Home Loan Bank(b)		0.137%	02/01/13		8,000		7,999,060
Federal Home Loan Bank(b)		0.138%	01/11/13		10,000		9,999,618
Federal Home Loan Bank(b)		0.138%	02/06/13		10,000		9,998,620
Federal Home Loan Bank(b)		0.139%	01/16/13		9,000		8,999,479
Federal Home Loan Bank(b)		0.139%	01/25/13		13,000		12,998,793
Federal Home Loan Bank(b)		0.140%	01/09/13		29,000		28,999,098
Federal Home Loan Bank(b)		0.140%	02/15/13		6,000		5,998,950
Federal Home Loan Bank(b)		0.145%	01/18/13		3,000		2,999,795
Federal Home Loan Bank(b)		0.146%	01/23/13		10,000		9,999,108
Federal Home Loan Bank(b)		0.150%	01/04/13		6,000		5,999,925
Federal Home Loan Bank(b)		0.150%	02/20/13		3,000		2,999,375
Federal Home Loan Bank(a)		0.154%	04/04/13		3,000		2,999,619
Federal Home Loan Bank		0.160%	02/08/13		5,000		4,999,717
Federal Home Loan Bank(a)		0.160%	11/26/13		5,000		4,999,091
Federal Home Loan Bank(a)		0.175%	11/13/13		4,000		4,000,000
Federal Home Loan Bank(a)		0.180%	11/26/13		5,000		5,000,000
Federal Home Loan Bank(a)		0.195%	04/25/13		5,000		5,000,000
Federal Home Loan Bank		0.210%	01/08/13		4,000		4,000,045
Federal Home Loan Mortgage Corp.(b)		0.100%	04/09/13		3,000		2,999,183
Federal Home Loan Mortgage Corp.(b)		0.120%	01/08/13		5,000		4,999,883
Federal Home Loan Mortgage Corp.(b).		0.120%	01/15/13		9,000		8,999,580
Federal Home Loan Mortgage Corp.(b).		0.120%	01/29/13		9,000		8,999,160
Federal Home Loan Mortgage Corp.(b)		0.130%	02/11/13		4,000		3,999,408
Federal Home Loan Mortgage Corp.(b).		0.130%	02/12/13		5,000		4,999,242
Federal Home Loan Mortgage Corp.(b)		0.140%	02/20/13		5,000		4,999,028
Federal Home Loan Mortgage Corp.(b)		0.150%	01/09/13		9,000		8,999,700
Federal Home Loan Mortgage Corp.(b)		0.150%	02/04/13		4,000		3,999,433
Federal Home Loan Mortgage Corp.(b)		0.150%	02/19/13		4,000		3,999,183
Federal Home Loan Mortgage Corp.(b)		0.150%	02/26/13		5,000		4,998,833
Federal Home Loan Mortgage Corp.(b)		0.150%	03/19/13		3,000		2,999,037
Federal Home Loan Mortgage Corp.(b)		0.150%	03/26/13		14,000		13,995,100
Federal Home Loan Mortgage Corp.(b)		0.150%	04/02/13		6,000		5,997,725
Federal Home Loan Mortgage Corp.(a)		0.151%	09/13/13		25,000		24,995,692
Federal Home Loan Mortgage Corp.(a)		0.159%	06/17/13		2,000		2,000,009

SEE NOTES TO FINANCIAL STATEMENTS.

A126

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

	Interest Rate		Maturity Date		Principal Amount (000)		Value (Note 2)
U.S. Government Agencies (continued)
Federal Home Loan Mortgage Corp.(b)		0.160%		04/16/13	$	4,000	$	3,998,133
Federal Home Loan Mortgage Corp.(b)		0.160%		04/18/13		9,000		8,995,720
Federal Home Loan Mortgage Corp.(b)		0.162%		06/25/13		4,000		3,996,889
Federal Home Loan Mortgage Corp.(a)		0.163%		05/06/13		2,000		1,999,865
Federal Home Loan Mortgage Corp.(a)		0.164%		06/03/13		1,000		1,000,002
Federal Home Loan Mortgage Corp.(b)		0.170%		01/07/13		4,000		3,999,887
Federal Home Loan Mortgage Corp., MTN		1.375%		01/09/13		7,000		7,001,819
Federal National Mortgage Association(b)		0.129%		01/14/13		9,000		8,999,581
Federal National Mortgage Association(b)		0.135%		02/19/13		10,000		9,998,162
Federal National Mortgage Association(b)		0.150%		02/13/13		4,000		3,999,283
Federal National Mortgage Association(b)		0.150%		02/14/13		10,000		9,998,167
Federal National Mortgage Association(b)		0.150%		04/01/13		11,000		10,995,875
Federal National Mortgage Association(b)		0.154%		05/01/13		8,000		7,995,900
Federal National Mortgage Association(b)		0.170%		01/08/13		5,000		4,999,835
Federal National Mortgage Association(b)		0.170%		01/23/13		7,000		6,999,273
Federal National Mortgage Association(b)		0.177%		01/09/13		9,000		8,999,646
								418,932,827
U.S. Treasury Securities — 4.0%
U.S. Treasury Bill(b)		0.099%		01/24/13		13,000		12,999,177
U.S. Treasury Bill(b)		0.113%		01/31/13		6,000		5,999,438
U.S. Treasury Note		1.375%		01/15/13		13,000		13,006,024
U.S. Treasury Note		2.875%		01/31/13		4,000		4,008,776
								36,013,415
Repurchase Agreements(c) — 17.7%
BNP Paribas Securities Corp., 0.190%, dated 12/31/12, due 01/07/13 in the amount of $15,000,554 (cost $15,000,000).		0.190%		01/07/13		15,000		15,000,000
BNP Paribas Securities Corp., 0.200%, dated 12/26/12, due 01/02/13 in the amount of $18,000,700 (cost $18,000,000).		0.200%		01/02/13		18,000		18,000,000
Credit Suisse Securities Corp., 0.240%, dated 11/23/12, due 01/07/13 in the amount of $11,003,300 (cost $11,000,000)		0.240%		01/07/13		11,000		11,000,000
Goldman Sachs & Co., 0.250%, dated 11/30/12, due 01/07/13 in the amount of $5,001,319 (cost $5,000,000)		0.250%		01/07/13		5,000		5,000,000
Goldman Sachs & Co. 0.260%, dated 11/21/12, due 01/22/13 in the amount of $11,004,925 (cost $11,000,000)(d)		0.260%		01/22/13		11,000		11,000,000
HSBC Securities (USA), Inc., 0.220%, dated 12/31/12, due 01/02/13 in the amount of $34,183,418 (cost $34,183,000).		0.220%		01/02/13		34,183		34,183,000
JPMorgan Securities, Inc. 0.200%, dated 12/13/12, due 01/14/13 in the amount of $6,001,067 (cost $6,000,000)(d)		0.200%		01/14/13		6,000		6,000,000
RBS Securities, Inc., 0.180%, dated 12/28/12, due 01/04/13 in the amount of $15,000,525 (cost $15,000,000)		0.180%		01/04/13		15,000		15,000,000
UBS Securities LLC., 0.250%, dated 12/31/12, due 01/02/13 in the amount of $45,000,625 (cost $45,000,000)		0.250%		01/02/13		45,000		45,000,000
								160,183,000
TOTAL INVESTMENTS — 99.4% (amortized cost $898,434,592)								898,434,592
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%								5,042,424
NET ASSETS — 100.0%							$	903,477,016

SEE NOTES TO FINANCIAL STATEMENTS.

A127

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GNMA	Government National Mortgage Association
MTN	Medium Term Note

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

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

(c) Repurchase Agreements are collateralized by FHLMC (coupon 3.00%-6.50%, maturity dates 09/01/21-08/01/41), FNMA (coupon rates 3.00%-6.50%, maturity dates 06/01/17-01/01/43), GNMA (coupon rates 3.50%-7.00%, maturity dates 05/20/26-09/20/42) and U.S. Treasury Securities (coupon rates 1.00%-1.875%, maturity dates 08/31/16-08/31/17), with the aggregate value, including accrued interest, of $163,393,675.

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	120,200,816	$	—
Commercial Paper		—		113,981,089		—
Other Corporate Obligations		—		35,123,445		—
Time Deposit		—		14,000,000		—
U.S. Government Agencies		—		418,932,827		—
U.S. Treasury Securities		—		36,013,415		—
Repurchase Agreements		—		160,183,000		—
Total	$	—	$	898,434,592	$	—

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

U.S. Government Agencies	46.4	%
Repurchase Agreements	17.7
Certificates of Deposit	13.3
Commercial Paper	12.6
U.S. Treasury Securities	4.0
Other Corporate Obligations	3.9
Time Deposit	1.5
	99.4
Other assets in excess of liabilities	0.6
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A128

MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at amortized cost which approximates fair value	$	898,434,592
Cash		3,076
Receivable for Series shares sold		5,585,790
Interest receivable		405,256
Prepaid expenses		6,802
Total Assets		904,435,516
LIABILITIES
Payable for Series shares repurchased		694,111
Accrued expenses and other liabilities		141,132
Management fee payable		122,331
Affiliated transfer agent fee payable		926
Total Liabilities		958,500
NET ASSETS	$	903,477,016
Net assets were comprised of:
Paid-in capital	$	903,477,016
Net assets, December 31, 2012	$	903,477,016
Net asset value and redemption price per share, $903,477,016 / 90,344,719 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Interest	$	2,138,374
EXPENSES
Management fee		3,883,883
Shareholders’ reports		160,000
Custodian’s fees and expenses		150,000
Trustees’ fees		20,000
Audit fee		20,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Insurance expenses		10,000
Miscellaneous		9,483
Total expenses		4,277,366
Less: Management fee waiver (Note 3)		(2,238,233	)
Net expenses		2,039,133
NET INVESTMENT INCOME		99,241
NET REALIZED GAIN ON INVESTMENT TRANSACTIONS		22,568
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	121,809

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	99,241		$	212,331
Net realized gain on investments transactions		22,568			21,156
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		121,809			233,487
DISTRIBUTIONS		(121,809	)		(233,487	)
SERIES SHARE TRANSACTIONS:
Series shares sold [17,733,417 and 20,814,304 shares, respectively]		177,334,172			208,143,040
Series shares issued in reinvestment of distributions [12,187 and 23,339 shares, respectively]		121,809			233,487
Series shares repurchased [28,997,164 and 31,944,588 shares, respectively]		(289,971,640	)		(319,445,880	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(112,515,659	)		(111,069,353	)
TOTAL DECREASE IN NET ASSETS		(112,515,659	)		(111,069,353	)
NET ASSETS:
Beginning of year		1,015,992,675			1,127,062,028
End of year	$	903,477,016		$	1,015,992,675

SEE NOTES TO FINANCIAL STATEMENTS.

A129

	NATURAL RESOURCES PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 96.8%
COMMON STOCKS — 96.1%	Shares		Value (Note 2)
Chemicals — 1.1%
Mosaic Co. (The)		164,490	$	9,315,069
Construction Materials — 1.9%
Holcim Ltd. (Switzerland)		7,284		536,504
PT Indocement Tunggal Prakarsa Tbk (Indonesia)		3,066,679		7,163,898
PT Semen Gresik Persero Tbk (Indonesia)		4,472,511		7,387,784
Vulcan Materials Co.		14,719		766,124
				15,854,310
Energy Equipment & Services — 22.2%
Baker Hughes, Inc.		9,184		375,075
Cameron International Corp.*		524,973		29,639,976
Core Laboratories NV(a)		69,523		7,599,559
Dresser-Rand Group, Inc.*		240,867		13,522,273
Dril-Quip, Inc.*		259,815		18,979,486
Ensco PLC (Class A Stock)		213,457		12,653,731
FMC Technologies, Inc.*		268,785		11,512,062
Halliburton Co.		619,655		21,495,832
Helmerich & Payne, Inc.		169,864		9,514,083
Lufkin Industries, Inc.(a)		145,197		8,440,302
Nabors Industries Ltd.*		22,532		325,587
National Oilwell Varco, Inc.		304,173		20,790,225
Noble Corp.		12,845		447,263
Rowan Cos. PLC (Class A Stock)*(a)		371,482		11,616,242
Saipem SpA (Italy)		10,061		391,908
Schlumberger Ltd.		330,443		22,896,395
Superior Energy Services, Inc.*		19,163		397,057
Technip SA (France)		4,146		479,429
Tenaris SA (Luxembourg), ADR(a)		12,132		508,573
Weatherford International Ltd.*		33,389		373,623
				191,958,681
Food Products — 0.3%
Adecoagro SA*		256,842		2,178,020
Metals & Mining — 20.8%
African Rainbow Minerals Ltd. (South Africa)		302,040		6,802,961
Agnico-Eagle Mines Ltd.		8,389		440,087
Alacer Gold Corp.*		818,604		4,279,422
Alamos Gold, Inc. (Canada)		498,644		8,747,701
Alcoa, Inc.		46,244		401,398
Allegheny Technologies, Inc.		2,047		62,147
AXMIN, Inc. (Canada)*		155,620		21,121
B2Gold Corp. (Canada)*(a)		1,135,887		4,065,304
BHP Billiton Ltd. (Australia), ADR(a)		246,496		19,335,146
Cia de Minas Buenaventura SA (Peru), ADR		276,816		9,951,535
Cliffs Natural Resources, Inc.(a)		242,821		9,363,178
Detour Gold Corp. (Canada)*		197,292		4,936,763
Eldorado Gold Corp. (Canada)		942,051		12,122,502
First Quantum Minerals Ltd. (Canada)		592,878		13,059,171
First Uranium Corp. (South Africa)144A(b)		400,000		26,138
Freeport-McMoRan Copper & Gold, Inc.		211,620		7,237,404

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Goldcorp, Inc.		11,590	$	425,353
IAMGOLD Corp. (Canada)		30,567		350,013
Ivanplats Ltd. (Canada), 144A*		433,900		2,181,060
Kinross Gold Corp.		713,454		6,934,773
Newcrest Mining Ltd. (Australia)		262,901		6,149,985
Newmont Mining Corp.		7,709		358,006
Northern Dynasty Minerals Ltd.*		399,636		1,262,850
Nucor Corp.		8,521		367,937
Pan American Silver Corp.		15,225		285,164
Platinum Group Metals Ltd.*(a)		1,234,422		1,007,288
Platmin Ltd., Private Placement (South Africa) (original cost $1,102,975; purchased 11/27/07)*(b)(c)		129,100		10,817
Randgold Resources Ltd. (Jersey Islands), ADR		152,115		15,097,414
Reliance Steel & Aluminum Co.		175,677		10,909,542
Rio Tinto PLC (United Kingdom), ADR(a)		236,802		13,755,828
Silver Wheaton Corp.		271,507		9,795,972
Southern Copper Corp.		135,059		5,113,334
Tahoe Resources, Inc.*		98,868		1,808,985
Tahoe Resources, Inc., 144A*		116,000		2,122,449
Teck Resources Ltd. (Canada) (Class B Stock)		3,509		127,526
United States Steel Corp.(a)		19,331		461,431
Xstrata PLC (Switzerland)		29,054		507,163
				179,884,868
Oil, Gas & Consumable Fuels — 49.8%
Africa Oil Corp. (Canada)*(a)		399,249		2,805,620
Africa Oil Corp., Private Placement (Canada) (original cost $334,415; purchased 12/06/12)*(b)(c)		42,762		288,454
Anadarko Petroleum Corp.		291,542		21,664,486
Apache Corp.		5,624		441,484
Bankers Petroleum Ltd. (Canada)*(a)		1,279,303		4,128,443
Berry Petroleum Co. (Class A Stock)		161,837		5,429,631
Bonanza Creek Energy, Inc.*		195,050		5,420,439
Cabot Oil & Gas Corp.		11,070		550,622
Cameco Corp. (Canada)		17,109		336,951
Canadian Oil Sands Ltd. (Canada)		21,118		428,220
Carrizo Oil & Gas, Inc.*(a)		268,426		5,615,472
Cheniere Energy, Inc.*(a)		414,704		7,788,141
Cimarex Energy Co.		193,904		11,194,078
Cobalt International Energy, Inc.*		584,928		14,365,832
Concho Resources, Inc.*		251,447		20,256,570
CONSOL Energy, Inc.		316,806		10,169,473
Continental Resources, Inc.*		6,642		488,121
Crescent Point Energy Corp. (Canada)		12,727		481,341
Denbury Resources, Inc.*		968,409		15,688,226
Devon Energy Corp.		8,538		444,317
Energy XXI Bermuda Ltd.		270,014		8,691,751
EOG Resources, Inc.		186,355		22,509,820

SEE NOTES TO FINANCIAL STATEMENTS.

A130

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
EQT Corp.		7,930	$	467,711
Far East Energy Corp.*		4,866,388		267,651
FX Energy, Inc.*		199,243		818,889
Hess Corp.		10,049		532,195
HollyFrontier Corp.		354,165		16,486,381
Kodiak Oil & Gas Corp.*(a)		1,037,296		9,180,070
Kosmos Energy Ltd.*		377,522		4,662,397
Laredo Petroleum Holdings, Inc.*(a)		233,848		4,246,680
Marathon Oil Corp.		438,775		13,452,841
Marathon Petroleum Corp.		168,173		10,594,899
MEG Energy Corp. (Canada), 144A*		131,600		4,027,248
Murphy Oil Corp.		9,519		566,856
Newfield Exploration Co.*		301,698		8,079,472
Noble Energy, Inc.		277,272		28,209,653
Occidental Petroleum Corp.		146,525		11,225,280
OGX Petroleo e Gas Participacoes SA (Brazil)*		1,653,150		3,536,409
Oil Search Ltd. (Australia)		745,094		5,510,038
Pacific Rubiales Energy Corp. (Colombia)		275,243		6,394,758
PDC Energy, Inc.*(a)		213,553		7,092,095
Peabody Energy Corp.		6,029		160,432
Petroleo Brasileiro SA (Brazil), ADR		202,699		3,946,549
Pioneer Natural Resources Co.(a)		4,895		521,758
Plains Exploration & Production Co.*		2,505		117,585
PT Adaro Energy Tbk (Indonesia)		32,472,696		5,386,693
QGEP Participacoes SA (Brazil)		569,826		3,651,339
Quicksilver Resources, Inc.*(a)		808,410		2,312,053
Range Resources Corp.		137,010		8,608,338
Rosetta Resources, Inc.*		256,460		11,633,026
Royal Dutch Shell PLC (Netherlands), ADR		175,225		12,081,764
Sanchez Energy Corp.*(a)		273,087		4,915,566
Southwestern Energy Co.*		379,851		12,690,822
Suncor Energy, Inc.		533,460		17,593,511
Talisman Energy, Inc.		651,708		7,383,852
Trident Resources Corp., Private Placement (original cost $9,770,532; purchased 06/30/10)*(b)(c)		24,233		8,959,910
Tullow Oil PLC (United Kingdom)		542,069		11,300,794
Ultra Petroleum Corp.*(a)		20,895		378,826
Whiting Petroleum Corp.*		261,527		11,342,426
Williams Cos., Inc. (The)		323,616		10,595,188
Woodside Petroleum Ltd. (Australia)		12,060		429,760
Zodiac Exploration, Inc. (Canada)*(b)		4,820,909		484,660
Zodiac Exploration, Inc. — Reg D (Canada)*(b)		11,600,000		1,166,181
				430,200,048
TOTAL COMMON STOCKS (cost $630,153,165)				829,390,996

CONVERTIBLE PREFERRED STOCKS — 0.7	Shares		Value (Note 2)
Metals & Mining
Manabi SA, Private Placement (Brazil) (Class A Preferred), 144A (original cost $4,587,721; purchased 05/25/11)*(b)(c)		3,660	$	4,503,909
Manabi SA, Private Placement (Brazil) (Class B Preferred), 144A (original cost $1,848,551; purchased 08/21/12)*(b)(c)		1,464		1,801,563
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $6,436,272)				6,305,472
RIGHT	Units
Oil, Gas & Consumable Fuels
Trident Resources Corp. CVR, Private Placement (original cost $0; purchased 06/30/10)*(b)(c)		9,007		—
WARRANT
Metals & Mining
Crystallex International Corp., Private Placement (Canada), expiring 11/04/14 (original cost $0; purchased 11/04/09)*(b)(c)		221,350		—
TOTAL LONG-TERM INVESTMENTS (cost $636,589,437)				835,696,468
SHORT-TERM INVESTMENT — 12.1%	Shares
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $104,187,543; includes $75,419,799 of cash collateral received for securities on loan) (Note 4)(d)(e)		104,187,543		104,187,543
TOTAL INVESTMENTS — 108.9% (cost $740,776,980)				939,884,011
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.9)%				(76,536,568	)
NET ASSETS — 100.0%			$	863,347,443

The following abbreviations are used in portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR	American Depositary Receipt
CVR	Contingent Value Rights
Reg D	Security was purchased pursuant to Regulation D under the Securities Act of 1933, providing exemption from the registration requirements. Unless otherwise noted, Regulation D securities are deemed to be liquid.

SEE NOTES TO FINANCIAL STATEMENTS.

A131

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

* 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 $75,942,293; cash collateral of $75,419,799 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

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

(c) Indicates a restricted security; the aggregate original cost of such securities is $17,644,194. The aggregate value of $15,564,653 is approximately 1.8% of net assets.

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	761,365,792	$	58,766,023	$	9,259,181
Convertible Preferred Stocks		—		—		6,305,472
Right		—		—		—
Warrant		—		—		—
Affiliated Money Market Mutual Fund		104,187,543		—		—
Total	$	865,553,335	$	58,766,023	$	15,564,653

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

��

	Common Stocks			Convertible Preferred Stocks
Balance as of 12/31/11	$	11,958,216		$	3,180,742
Realized gain (loss)		—			—
Change in unrealized appreciation (depreciation)*		(3,033,450	)		1,276,179
Purchases		334,415			1,848,551
Sales		—			—
Transfers into Level 3		—			—
Transfers out of Level 3		—			—
Balance as of 12/31/12	$	9,259,181		$	6,305,472

* Of which $(1,757,271) was included in Net Assets relating to securities held at the reporting period end.

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

Fair value of Level 2 investments at December 31, 2011 was $0. An amount of $66,655,278 was transferred from Level 1 into Level 2 at December 31, 2012 as a result of using other significant observable inputs such as quoted prices of similar securities for non-registered securities and as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

Included in the table above, under Level 3 securities, are common and convertible preferred stocks and equity rights, that were fair valued using the last traded price or the original cost adjusted for daily changes in indices deemed directly or indirectly correlated to the security. For equity rights received through a bankruptcy distribution, the fair value is determined to be the residual value of the original bonds and other factors impacting the values of securities being issued pursuant to the reorganization. For the common stocks, convertible preferred stock and rights, the securities were private placement and therefore, the prices were a significant unobservable input. For certain warrants received in a private placement offering, the Manager has determined the fair value using the Black Scholes method with adjustment for volatility factor which is deemed to be a significant unobservable input.

SEE NOTES TO FINANCIAL STATEMENTS.

A132

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Oil, Gas & Consumable Fuels	49.8	%
Energy Equipment & Services	22.2
Metals & Mining	21.5
Affiliated Money Market Mutual Fund (including 8.7% of collateral received for securities on loan)	12.1
Construction Materials	1.9
Chemicals	1.1
Food Products	0.3
	108.9
Liabilities in excess of other assets	(8.9	)
	100.0	%

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

At December 31, 2012, the Portfolio held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at December 31, 2012 of $0 and are presented in the Statement of Assets and Liabilities as such.

For the year ended December 31, 2012, the Portfolio did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in income on the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

A133

NATURAL RESOURCES PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $75,942,293:
Unaffiliated investments (cost $636,589,437)	$	835,696,468
Affiliated investments (cost $104,187,543)		104,187,543
Cash		14,315
Foreign currency, at value (cost $12)		12
Dividends and interest receivable		152,385
Foreign tax reclaim receivable		125,870
Prepaid expenses		5,795
Receivable for Series shares sold		3,670
Total Assets		940,186,058
LIABILITIES
Collateral for securities on loan		75,419,799
Payable for Series shares repurchased		916,291
Management fee payable		326,540
Accrued expenses and other liabilities		154,304
Distribution fee payable		12,968
Administration fee payable		7,787
Affiliated transfer agent fee payable		926
Total Liabilities		76,838,615
NET ASSETS	$	863,347,443
Net assets were comprised of:
Paid-in capital	$	668,052,030
Retained earnings		195,295,413
Net assets, December 31, 2012	$	863,347,443
Class I:
Net asset value and redemption price per share, $802,168,027 / 23,714,631 outstanding shares of beneficial interest	$	33.83
Class II:
Net asset value and redemption price per share, $61,179,416 / 1,826,174 outstanding shares of beneficial interest	$	33.50

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $408,830)	$	10,875,636
Affiliated income from securities loaned, net		330,619
Affiliated dividend income		56,927
		11,263,182
EXPENSES
Management fee		4,205,035
Distribution fee—Class II		165,767
Administration fee—Class II		99,461
Custodian’s fees and expenses		175,000
Shareholders’ reports		173,000
Audit fee		20,000
Trustees’ fees		19,000
Legal fees and expenses		15,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Insurance expenses		11,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		18,442
Total expenses		4,917,705
NET INVESTMENT INCOME		6,345,477
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		11,350,565
Foreign currency transactions		743,630
		12,094,195
Net change in unrealized appreciation (depreciation) on:
Investments		(42,414,762	)
Foreign currencies		1,108
		(42,413,654	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(30,319,459	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(23,973,982	)

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	6,345,477		$	4,035,262
Net realized gain on investment and foreign currency transactions		12,094,195			114,942,737
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(42,413,654	)		(360,409,597	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(23,973,982	)		(241,431,598	)
DISTRIBUTIONS:
Class I		(73,450,794	)		(2,137,134	)
Class II		(5,441,151	)		—
TOTAL DISTRIBUTIONS		(78,891,945	)		(2,137,134	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		41,195,889			55,798,740
Series shares issued in reinvestment of distributions		78,891,945			2,137,134
Series shares repurchased		(148,360,752	)		(181,286,548	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(28,272,918	)		(123,350,674	)
TOTAL DECREASE IN NET ASSETS		(131,138,845	)		(366,919,406	)
NET ASSETS:
Beginning of year		994,486,288			1,361,405,694
End of year	$	863,347,443		$	994,486,288

SEE NOTES TO FINANCIAL STATEMENTS.

A134

	SMALL CAPITALIZATION STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 98.7%
COMMON STOCKS — 98.2%	Shares		Value (Note 2)
Aerospace & Defense — 2.0%
AAR Corp.(a)		44,371	$	828,850
Aerovironment, Inc.*		20,714		450,322
American Science & Engineering, Inc.		9,416		614,017
Cubic Corp.		17,673		847,774
Curtiss-Wright Corp.		52,102		1,710,509
Engility Holdings, Inc.*		17,300		333,198
GenCorp, Inc.*(a)		66,075		604,586
Moog, Inc. (Class A Stock)*		50,094		2,055,357
National Presto Industries, Inc.		5,399		373,071
Orbital Sciences Corp.*		65,140		896,978
Teledyne Technologies, Inc.*		40,696		2,648,089
				11,362,751
Air Freight & Logistics — 0.4%
Forward Air Corp.		32,156		1,125,782
Hub Group, Inc. (Class A Stock)*		39,270		1,319,472
				2,445,254
Airlines — 0.3%
Allegiant Travel Co.		16,794		1,232,847
SkyWest, Inc.		56,660		705,984
				1,938,831
Auto Components — 0.3%
Drew Industries, Inc.		20,789		670,445
Spartan Motors, Inc.		34,283		169,015
Standard Motor Products, Inc.		21,499		477,708
Superior Industries International, Inc.		25,718		524,647
				1,841,815
Automobiles — 0.1%
Winnebago Industries, Inc.*		32,231		552,117
Beverages — 0.2%
Boston Beer Co., Inc. (The) (Class A Stock)*(a)		9,325		1,253,746
Biotechnology — 1.0%
Acorda Therapeutics, Inc.*		44,600		1,108,756
ArQule, Inc.*		54,901		153,174
Cubist Pharmaceuticals, Inc.*(a)		71,069		2,989,162
Emergent Biosolutions, Inc.*		27,957		448,430
Momenta Pharmaceuticals, Inc.*		49,500		583,110
Spectrum Pharmaceuticals, Inc.*(a)		56,500		632,235
				5,914,867
Building Products — 1.5%
A.O. Smith Corp.		42,884		2,704,694
AAON, Inc.		20,684		431,675
Apogee Enterprises, Inc.		31,338		751,172
Gibraltar Industries, Inc.*		32,268		513,706
Griffon Corp.		50,629		580,208
NCI Building Systems, Inc.*		21,018		292,150
Quanex Building Products Corp.		40,988		836,565
Simpson Manufacturing Co., Inc.		44,583		1,461,877
Universal Forest Products, Inc.		21,964		835,511
				8,407,558
Capital Markets — 1.4%
Calamos Asset Management, Inc. (Class A Stock)		22,500		237,825

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets (continued)
Financial Engines, Inc.*(a)		45,400	$	1,259,850
HFF, Inc. (Class A Stock)*		36,100		537,890
Investment Technology Group, Inc.*		41,766		375,894
Piper Jaffray Cos.*		17,565		564,363
Prospect Capital Corp.		201,100		2,185,957
Stifel Financial Corp.*(a)		54,830		1,752,915
SWS Group, Inc.*		25,326		133,975
Virtus Investment Partners, Inc.*		6,500		786,110
				7,834,779
Chemicals — 2.6%
A. Schulman, Inc.		32,666		945,027
American Vanguard Corp.		26,148		812,418
Balchem Corp.		32,283		1,175,101
Calgon Carbon Corp.*		62,654		888,434
Hawkins, Inc.		10,100		390,264
HB Fuller Co.		55,118		1,919,209
Innophos Holdings, Inc.		24,300		1,129,950
Koppers Holdings, Inc.		23,200		885,080
Kraton Performance Polymers, Inc.*		35,900		862,677
LSB Industries, Inc.*		20,800		736,736
OM Group, Inc.*		36,156		802,663
PolyOne Corp.		97,702		1,995,075
Quaker Chemical Corp.		14,498		780,862
Stepan Co.		18,370		1,020,270
Tredegar Corp.		26,035		531,635
Zep, Inc.		24,007		346,661
				15,222,062
Commercial Banks — 6.0%
Bank of the Ozarks, Inc.(a)		32,836		1,099,021
Banner Corp.		19,300		593,089
BBCN Bancorp, Inc.*		86,082		995,969
Boston Private Financial Holdings, Inc.		86,902		782,987
City Holding Co.(a)		16,544		576,558
Columbia Banking System, Inc.		43,808		785,915
Community Bank System, Inc.		43,996		1,203,731
CVB Financial Corp.		97,100		1,009,840
First Bancorp (Puerto Rico)*(a)		76,172		348,868
First Commonwealth Financial Corp.(a)		107,810		735,264
First Financial Bancorp		65,103		951,806
First Financial Bankshares, Inc.(a)		33,139		1,292,752
First Midwest Bancorp, Inc.		82,740		1,035,905
FNB Corp.		154,800		1,643,976
Glacier Bancorp, Inc.		80,073		1,177,874
Hanmi Financial Corp.*		34,236		465,267
Home BancShares, Inc.		25,752		850,331
Independent Bank Corp.		25,106		726,819
National Penn Bancshares, Inc.		129,676		1,208,580
NBT Bancorp, Inc.		37,010		750,193
Old National Bancorp		112,647		1,337,120
PacWest Bancorp		35,800		887,124
Pinnacle Financial Partners, Inc.*		36,271		683,346
PrivateBancorp, Inc.		69,549		1,065,491
S&T Bancorp, Inc.		32,273		583,173
Simmons First National Corp. (Class A Stock)		18,578		471,138
Sterling Bancorp		33,954		309,321

SEE NOTES TO FINANCIAL STATEMENTS.

A135

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
Susquehanna Bancshares, Inc.		206,209	$	2,161,070
Texas Capital Bancshares, Inc.*(a)		44,800		2,007,936
Tompkins Financial Corp.		12,764		505,965
UMB Financial Corp.(a)		35,872		1,572,628
Umpqua Holdings Corp.		124,070		1,462,785
United Bankshares, Inc.(a)		50,597		1,230,519
United Community Banks, Inc.*		50,487		475,588
Wilshire Bancorp, Inc.*		66,113		388,083
Wintrust Financial Corp.(a)		40,113		1,472,147
				34,848,179
Commercial Services & Supplies — 2.3%
ABM Industries, Inc.		56,103		1,119,255
Consolidated Graphics, Inc.*		9,457		330,238
G&K Services, Inc. (Class A Stock)		21,119		721,214
Geo Group, Inc. (The)		68,173		1,922,479
Healthcare Services Group, Inc.(a)		74,576		1,732,400
Interface, Inc.		63,802		1,025,936
Mobile Mini, Inc.*		41,797		870,631
Sykes Enterprises, Inc.*		43,470		661,613
TETRA Tech, Inc.*		70,288		1,859,118
UniFirst Corp.		16,530		1,211,980
United Stationers, Inc.		45,042		1,395,852
Viad Corp.		22,547		612,377
				13,463,093
Communications Equipment — 1.6%
Arris Group, Inc.*		125,411		1,873,640
Bel Fuse, Inc. (Class B Stock)		11,222		219,390
Black Box Corp.		18,793		457,422
Comtech Telecommunications Corp.		19,959		506,559
Digi International, Inc.*		28,364		268,607
Harmonic, Inc.*		119,024		603,452
Ixia*		58,300		989,934
NETGEAR, Inc.*		41,946		1,653,511
Oplink Communications, Inc.*		21,200		330,296
PC-Tel, Inc.		14,184		102,125
Procera Networks, Inc.*		20,100		372,855
Symmetricom, Inc.*		37,347		215,492
ViaSat, Inc.*		44,215		1,719,964
				9,313,247
Computers & Peripherals — 1.1%
3D Systems Corp.*(a)		54,200		2,891,570
Avid Technology, Inc.*		32,447		245,948
Electronics For Imaging, Inc.*		51,300		974,187
Intermec, Inc.*		57,176		563,755
Intevac, Inc.*		25,244		115,365
Super Micro Computer, Inc.*		29,000		295,800
Synaptics, Inc.*		36,679		1,099,270
				6,185,895
Construction & Engineering — 0.9%
Aegion Corp.*		43,337		961,648
Comfort Systems USA, Inc.		40,584		493,502
Dycom Industries, Inc.*		35,931		711,434
EMCOR Group, Inc.		73,525		2,544,700
Orion Marine Group, Inc.*		29,600		216,376
				4,927,660

COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction Materials — 0.8%
Eagle Materials, Inc.(a)		51,272	$	2,999,412
Headwaters, Inc.*		73,568		629,742
Texas Industries, Inc.*(a)		22,923		1,169,302
				4,798,456
Consumer Finance — 1.3%
Cash America International, Inc.(a)		32,544		1,291,021
Encore Capital Group, Inc.*(a)		25,700		786,934
Ezcorp, Inc. (Class A Stock)*		49,811		989,246
First Cash Financial Services, Inc.*		29,225		1,450,145
Portfolio Recovery Associates, Inc.*(a)		18,719		2,000,312
World Acceptance Corp.*(a)		14,452		1,077,541
				7,595,199
Containers & Packaging — 0.1%
Myers Industries, Inc.		32,620		494,193
Distributors — 0.4%
Pool Corp.		51,655		2,186,039
VOXX International Corp.*		20,857		140,368
				2,326,407
Diversified Consumer Services — 0.9%
American Public Education, Inc.*(a)		20,133		727,003
Capella Education Co.*		12,986		366,595
Career Education Corp.*		51,400		180,928
Coinstar, Inc.*(a)		33,331		1,733,545
Corinthian Colleges, Inc.*(a)		86,100		210,084
Hillenbrand, Inc.		69,348		1,567,958
ITT Educational Services, Inc.*		16,100		278,691
Lincoln Educational Services Corp.		15,600		87,204
Universal Technical Institute, Inc.		23,606		237,004
				5,389,012
Diversified Financial Services — 0.4%
Interactive Brokers Group, Inc. (Class A Stock)		43,000		588,240
MarketAxess Holdings, Inc.		41,100		1,450,830
				2,039,070
Diversified Telecommunication Services — 0.4%
Atlantic Tele-Network, Inc.		10,400		381,784
Cbeyond, Inc.*		27,937		252,551
Cincinnati Bell, Inc.*		219,200		1,201,216
General Communication, Inc. (Class A Stock)*		35,124		336,839
Lumos Networks Corp.		15,421		154,518
Neutral Tandem, Inc.		27,852		71,580
				2,398,488
Electric Utilities — 1.2%
ALLETE, Inc.		38,597		1,581,705
El Paso Electric Co.		44,308		1,413,868
UIL Holdings Corp.		56,011		2,005,754
UNS Energy Corp.		45,651		1,936,516
				6,937,843
Electrical Equipment — 1.8%
AZZ, Inc.		27,842		1,069,968
Belden, Inc.		48,712		2,191,553
Brady Corp. (Class A Stock)		50,522		1,687,435
Encore Wire Corp.		20,831		631,387

SEE NOTES TO FINANCIAL STATEMENTS.

A136

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electrical Equipment (continued)
EnerSys*		53,500	$	2,013,205
Franklin Electric Co., Inc.		21,300		1,324,221
II-VI, Inc.*		60,662		1,108,295
Powell Industries, Inc.*		10,072		418,290
Vicor Corp.*		21,531		116,698
				10,561,052
Electronic Equipment, Instruments & Components — 4.1%
Agilysys, Inc.*		14,932		124,981
Anixter International, Inc.		29,564		1,891,505
Badger Meter, Inc.		15,907		754,151
Benchmark Electronics, Inc.*		62,410		1,037,254
Checkpoint Systems, Inc.*		44,539		478,349
Cognex Corp.		43,940		1,617,871
Coherent, Inc.*		26,600		1,346,492
CTS Corp.		36,764		390,801
Daktronics, Inc.		40,608		449,531
DTS, Inc.*		20,885		348,779
Electro Scientific Industries, Inc.		27,141		270,053
FARO Technologies, Inc.*		18,884		673,781
FEI Co.(a)		42,012		2,329,985
Insight Enterprises, Inc.*		48,935		850,001
Littelfuse, Inc.		24,125		1,488,754
Measurement Specialties, Inc.*		16,900		580,684
Mercury Computer Systems, Inc.*		34,308		315,634
Methode Electronics, Inc.		35,866		359,736
MTS Systems Corp.		17,335		882,872
Newport Corp.*		41,808		562,318
OSI Systems, Inc.*		20,800		1,332,032
Park Electrochemical Corp.		21,544		554,327
Plexus Corp.*		38,720		998,976
Radisys Corp.*		24,935		74,306
Rofin-Sinar Technologies, Inc.*		31,400		680,752
Rogers Corp.*		18,131		900,385
ScanSource, Inc.*		30,833		979,564
SYNNEX Corp.*(a)		29,250		1,005,615
TTM Technologies, Inc.*		57,189		526,139
				23,805,628
Energy Equipment & Services — 2.3%
Basic Energy Services, Inc.*		29,517		336,789
Bristow Group, Inc.		39,755		2,133,253
Exterran Holdings, Inc.*(a)		71,400		1,565,088
Geospace Technologies Corp.*		14,200		1,261,954
Gulf Island Fabrication, Inc.		16,177		388,733
Hornbeck Offshore Services, Inc.*		35,415		1,216,151
ION Geophysical Corp.*(a)		127,045		827,063
Lufkin Industries, Inc.(a)		37,058		2,154,182
Matrix Service Co.*		28,673		329,740
Pioneer Energy Services Corp.*		68,417		496,707
SEACOR Holdings, Inc.(a)		22,071		1,849,550
TETRA Technologies, Inc.*		86,141		653,810
				13,213,020
Food & Staples Retailing — 0.6%
Andersons, Inc. (The)		19,316		828,656
Casey’s General Stores, Inc.(a)		42,265		2,244,272
Nash Finch Co.		13,632		290,089
Spartan Stores, Inc.		24,088		369,992
				3,733,009

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products — 2.3%
B&G Foods, Inc.		58,000	$	1,641,980
Calavo Growers, Inc.		13,990		352,688
Cal-Maine Foods, Inc.		15,495		623,209
Darling International, Inc.*		129,720		2,080,709
Diamond Foods, Inc.(a)		24,657		337,061
Hain Celestial Group, Inc. (The)*		49,715		2,695,547
J&J Snack Foods Corp.		16,518		1,056,161
Sanderson Farms, Inc.		22,035		1,047,764
Seneca Foods Corp. (Class A Stock)*		8,700		264,480
Snyders-Lance, Inc.		53,116		1,280,627
TreeHouse Foods, Inc.*		39,865		2,078,162
				13,458,388
Gas Utilities — 1.8%
Laclede Group, Inc. (The)		23,114		892,432
New Jersey Resources Corp.		45,904		1,818,716
Northwest Natural Gas Co.		29,765		1,315,613
Piedmont Natural Gas Co., Inc.(a)		79,503		2,489,239
South Jersey Industries, Inc.		34,522		1,737,492
Southwest Gas Corp.		51,011		2,163,377
				10,416,869
Healthcare Equipment & Supplies — 3.4%
Abaxis, Inc.		23,012		853,745
Abiomed, Inc.*		39,800		535,708
Align Technology, Inc.*(a)		79,057		2,193,832
Analogic Corp.		13,533		1,005,502
Cantel Medical Corp.		23,175		688,993
CONMED Corp.		31,649		884,589
CryoLife, Inc.		22,753		141,751
Cyberonics, Inc.*		26,297		1,381,381
Greatbatch, Inc.*		26,444		614,558
Haemonetics Corp.*		56,794		2,319,467
ICU Medical, Inc.*		14,192		864,719
Integra LifeSciences Holdings Corp.*(a)		21,702		845,727
Invacare Corp.		32,002		521,633
Meridian Bioscience, Inc.		46,075		933,019
Merit Medical Systems, Inc.*		42,048		584,467
Natus Medical, Inc.*		32,725		365,865
Neogen Corp.*		24,580		1,113,966
NuVasive, Inc.*		48,300		746,718
Palomar Medical Technologies, Inc.*		16,377		150,832
SurModics, Inc.*		13,652		305,259
Symmetry Medical, Inc.*		39,677		417,402
West Pharmaceutical Services, Inc.		37,517		2,054,056
				19,523,189
Healthcare Providers & Services — 3.3%
Air Methods Corp.(a)		38,616		1,424,544
Almost Family, Inc.		9,152		185,420
Amedisys, Inc.*		33,459		377,083
AMN Healthcare Services, Inc.*		48,899		564,784
Amsurg Corp.*		35,274		1,058,573
Bio-Reference Labs, Inc.*(a)		27,070		776,638
Centene Corp.*		57,008		2,337,328
Chemed Corp.(a)		21,211		1,454,863
Corvel Corp.*		6,945		311,344
Cross Country Healthcare, Inc.*		34,063		163,502
Ensign Group, Inc. (The)		19,400		527,486

SEE NOTES TO FINANCIAL STATEMENTS.

A137

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services (continued)
Gentiva Health Services, Inc.*		31,592	$	317,500
Hanger, Inc.*		38,009		1,039,926
Healthways, Inc.*		36,186		387,190
IPC The Hospitalist Co., Inc.*		18,505		734,834
Kindred Healthcare, Inc.*		58,700		635,134
Landauer, Inc.		10,568		646,867
LHC Group, Inc.*		16,998		362,057
Magellan Health Services, Inc.*		30,541		1,496,509
Molina Healthcare, Inc.*		33,222		898,987
MWI Veterinary Supply, Inc.*		13,256		1,458,160
PharMerica Corp.*		32,195		458,457
PSS World Medical, Inc.*		55,391		1,599,692
				19,216,878
Healthcare Technology — 0.6%
Computer Programs & Systems, Inc.		11,636		585,757
HealthStream, Inc.*		21,500		522,665
Medidata Solutions, Inc.*		24,600		964,074
Omnicell, Inc.*		36,622		544,569
Quality Systems, Inc.		43,834		760,958
				3,378,023
Hotels, Restaurants & Leisure — 2.9%
Biglari Holdings, Inc.*		1,346		524,967
BJ’s Restaurants, Inc.*		27,172		893,959
Boyd Gaming Corp.*(a)		60,200		399,728
Buffalo Wild Wings, Inc.*(a)		20,565		1,497,543
CEC Entertainment, Inc.		18,807		624,205
Cracker Barrel Old Country Store, Inc.		26,478		1,701,476
DineEquity, Inc.*		17,105		1,146,035
Interval Leisure Group, Inc.		42,836		830,590
Jack In The Box, Inc.*		47,417		1,356,126
Marcus Corp.		22,158		276,310
Marriott Vacations Worldwide Corp.*		31,500		1,312,605
Monarch Casino & Resort, Inc.*		6,631		72,344
Multimedia Games Holding Co., Inc.*		30,599		450,111
Papa John’s International, Inc.*		19,115		1,050,178
Pinnacle Entertainment, Inc.*		65,313		1,033,905
Red Robin Gourmet Burgers, Inc.*		14,563		513,928
Ruby Tuesday, Inc.*		60,384		474,618
Ruth’s Hospitality Group, Inc.*		38,848		282,425
SHFL Entertainment, Inc.*		62,059		899,856
Sonic Corp.*		60,014		624,746
Texas Roadhouse, Inc.		65,030		1,092,504
				17,058,159
Household Durables — 1.6%
American Greetings Corp. (Class A Stock)(a)		35,100		592,839
Blyth, Inc.(a)		12,666		196,956
Ethan Allen Interiors, Inc.		28,999		745,564
Helen of Troy Ltd.*		35,410		1,182,340
iRobot Corp.*		28,900		541,586
La-Z-Boy, Inc.		57,501		813,639
M/I Homes, Inc.*		23,670		627,255
Meritage Homes Corp.*		33,997		1,269,788
Ryland Group, Inc. (The)		49,800		1,817,700
Standard Pacific Corp.*(a)		120,722		887,307
Universal Electronics, Inc.*		16,554		320,320
				8,995,294

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Products — 0.2%
Central Garden and Pet Co. (Class A Stock)*		45,688	$	477,440
WD-40 Co.		16,609		782,450
				1,259,890
Industrial Conglomerates — 0.1%
Standex International Corp.		14,170		726,779
Insurance — 2.2%
AMERISAFE, Inc.*		20,314		553,556
eHealth, Inc.*		21,991		604,313
Employers Holdings, Inc.		34,215		704,145
Horace Mann Educators Corp.		43,600		870,256
Infinity Property & Casualty Corp.		12,989		756,479
Meadowbrook Insurance Group, Inc.		50,500		291,890
National Financial Partners Corp.*(a)		44,454		761,942
Navigators Group, Inc. (The)*		11,718		598,438
ProAssurance Corp.		67,866		2,863,267
RLI Corp.		18,805		1,215,931
Safety Insurance Group, Inc.		14,260		658,384
Selective Insurance Group, Inc.		60,707		1,169,824
Stewart Information Services Corp.(a)		19,802		514,852
Tower Group, Inc.		38,161		678,121
United Fire Group, Inc.		24,361		532,044
				12,773,442
Internet & Catalog Retail — 0.2%
Blue Nile, Inc.*(a)		13,980		538,230
Nutrisystem, Inc.		30,628		250,843
PetMed Express, Inc.		22,481		249,539
				1,038,612
Internet Software & Services — 2.0%
Blucora, Inc.*		44,712		702,426
comScore, Inc.*		34,677		477,849
DealerTrack Holdings, Inc.*		47,383		1,360,840
Dice Holdings, Inc.*		51,500		472,770
Digital River, Inc.*		39,600		569,844
j2 Global, Inc.(a)		47,678		1,457,993
Liquidity Services, Inc.*		26,900		1,099,134
LivePerson, Inc.*		54,700		718,758
LogMeIn, Inc.*(a)		23,900		535,599
Nic, Inc.		65,200		1,065,368
OpenTable, Inc.*(a)		25,000		1,220,000
Perficient, Inc.*		35,314		415,999
Quinstreet, Inc.*		25,600		172,032
Stamps.com, Inc.*		15,620		393,624
United Online, Inc.		100,230		560,286
XO Group, Inc.*		25,195		234,313
				11,456,835
IT Services — 1.7%
CACI International, Inc. (Class A Stock)*(a)		25,044		1,378,171
Cardtronics, Inc.*		49,300		1,170,382
CIBER, Inc.*		58,123		194,131
CSG Systems International, Inc.*		37,324		678,550
ExlService Holdings, Inc.*		28,700		760,550
Forrester Research, Inc.		16,362		438,502
Heartland Payment Systems, Inc.		41,411		1,221,624

SEE NOTES TO FINANCIAL STATEMENTS.

A138

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Higher One Holdings, Inc.*(a)		30,900	$	325,686
IGate Corp.*		33,600		529,872
MAXIMUS, Inc.		37,636		2,379,348
TeleTech Holdings, Inc.*		25,467		453,313
Virtusa Corp.*		21,000		345,030
				9,875,159
Leisure Equipment & Products — 0.9%
Arctic Cat, Inc.*		14,757		492,736
Brunswick Corp.(a)		98,629		2,869,118
Callaway Golf Co.(a)		78,280		508,820
JAKKS Pacific, Inc.		22,930		287,083
Sturm Ruger & Co., Inc.(a)		21,227		963,706
				5,121,463
Life Sciences Tools & Services — 0.6%
Affymetrix, Inc.*(a)		75,400		239,018
Cambrex Corp.*		32,232		366,800
Enzo Biochem, Inc.*		33,057		89,254
Luminex Corp.*		41,900		702,244
PAREXEL International Corp.*		64,857		1,919,119
				3,316,435
Machinery — 3.7%
Actuant Corp. (Class A Stock)		80,364		2,242,959
Albany International Corp. (Class A Stock)		31,404		712,243
Astec Industries, Inc.		23,410		780,255
Barnes Group, Inc.		52,116		1,170,525
Briggs & Stratton Corp.		53,146		1,120,318
CIRCOR International, Inc.		19,488		771,530
EnPro Industries, Inc.*(a)		23,078		943,890
ESCO Technologies, Inc.		29,821		1,115,604
Federal Signal Corp.*		64,400		490,084
John Bean Technologies Corp.		32,047		569,475
Kaydon Corp.		35,767		855,904
Lindsay Corp.(a)		14,179		1,136,022
Lydall, Inc.*		18,956		271,829
Mueller Industries, Inc.		31,049		1,553,381
Robbins & Myers, Inc.		47,097		2,799,917
Tennant Co.		20,700		909,765
Toro Co. (The)		64,866		2,787,941
Watts Water Technologies, Inc. (Class A Stock)		30,821		1,324,995
				21,556,637
Media — 0.6%
Arbitron, Inc.		29,061		1,356,567
Digital Generation, Inc.*(a)		28,700		311,682
E.W. Scripps Co. (Class A Stock)*		27,901		301,610
Harte-Hanks, Inc.		43,100		254,290
Live Nation Entertainment, Inc.*		155,676		1,449,344
				3,673,493
Metals & Mining — 1.7%
A.M. Castle & Co.*(a)		18,383		271,517
AK Steel Holding Corp.(a)		139,500		641,700
AMCOL International Corp.		28,091		861,832
Century Aluminum Co.*		54,463		477,096
Globe Specialty Metals, Inc.		69,500		955,625

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Haynes International, Inc.		13,800	$	715,806
Kaiser Aluminum Corp.		18,700		1,153,603
Materion Corp.		22,778		587,217
Olympic Steel, Inc.		10,138		224,455
RTI International Metals, Inc.*		33,811		931,831
Stillwater Mining Co.*(a)		129,000		1,648,620
SunCoke Energy, Inc.*		77,500		1,208,225
				9,677,527
Multiline Retail — 0.1%
Fred’s, Inc. (Class A Stock)		35,566		473,383
Tuesday Morning Corp.*		45,632		285,200
				758,583
Multi-Utilities — 0.7%
Avista Corp.		65,903		1,588,921
CH Energy Group, Inc.		16,485		1,075,152
NorthWestern Corp.		41,100		1,427,403
				4,091,476
Oil, Gas & Consumable Fuels — 1.8%
Approach Resources, Inc.*(a)		37,000		925,370
Carrizo Oil & Gas, Inc.*(a)		40,600		849,352
Cloud Peak Energy, Inc.*		67,700		1,308,641
Comstock Resources, Inc.*(a)		49,500		748,935
Contango Oil & Gas Co.		14,300		605,748
Gulfport Energy Corp.*		65,200		2,491,944
PDC Energy, Inc.*(a)		33,626		1,116,719
Penn Virginia Corp.		58,998		260,181
Petroquest Energy, Inc.*		54,645		270,493
Stone Energy Corp.*(a)		54,694		1,122,321
Swift Energy Co.*		47,844		736,319
				10,436,023
Paper & Forest Products — 1.2%
Buckeye Technologies, Inc.		42,442		1,218,510
Clearwater Paper Corp.*		25,880		1,013,461
Deltic Timber Corp.		12,191		860,928
KapStone Paper and Packaging Corp.		42,600		945,294
Neenah Paper, Inc.		17,378		494,752
Ph Glatfelter Co.		47,800		835,544
Schweitzer-Mauduit International, Inc.		34,676		1,353,404
Wausau Paper Corp.		46,167		399,806
				7,121,699
Personal Products — 0.3%
Inter Parfums, Inc.		18,000		350,280
Medifast, Inc.*		15,100		398,489
Prestige Brands Holdings, Inc.*		56,000		1,121,680
				1,870,449
Pharmaceuticals — 1.5%
Akorn, Inc.*(a)		74,600		996,656
Hi-Tech Pharmacal Co., Inc.		12,200		426,756
Medicines Co. (The)*		59,200		1,419,024
Questcor Pharmaceuticals, Inc.(a)		64,100		1,712,752
Salix Pharmaceuticals Ltd.*		55,183		2,233,808
ViroPharma, Inc.*		72,737		1,655,494
				8,444,490

SEE NOTES TO FINANCIAL STATEMENTS.

A139

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Professional Services — 1.1%
CDI Corp.		14,388	$	246,466
Dolan Co. (The)*		31,800		123,702
Exponent, Inc.*		14,640		817,351
Heidrick & Struggles International, Inc.		18,214		277,946
Insperity, Inc.		24,579		800,292
Kelly Services, Inc. (Class A Stock)		30,039		472,814
Korn/Ferry International*		53,600		850,096
Navigant Consulting, Inc.*		56,800		633,888
On Assignment, Inc.*		47,686		967,072
Resources Connection, Inc.		46,400		554,016
TrueBlue, Inc.*		44,118		694,859
				6,438,502
Real Estate Investment Trusts — 8.5%
Acadia Realty Trust		56,505		1,417,145
Cedar Realty Trust, Inc.		60,266		318,205
Colonial Properties Trust		91,139		1,947,640
Cousins Properties, Inc.		94,400		788,240
DiamondRock Hospitality Co.		215,170		1,936,530
EastGroup Properties, Inc.		32,763		1,762,977
EPR Properties(a)		51,770		2,387,115
Extra Space Storage, Inc.		113,008		4,112,361
Franklin Street Properties Corp.		79,402		977,439
Getty Realty Corp.(a)		29,600		534,576
Government Properties Income Trust		47,700		1,143,369
Healthcare Realty Trust, Inc.		96,200		2,309,762
Inland Real Estate Corp.		82,435		690,805
Kilroy Realty Corp.(a)		82,298		3,898,456
Kite Realty Group Trust		80,591		450,504
LaSalle Hotel Properties		103,572		2,629,693
Lexington Realty Trust(a)		163,416		1,707,697
LTC Properties, Inc.		33,626		1,183,299
Medical Properties Trust, Inc.		150,366		1,798,377
Mid-America Apartment Communities, Inc.		46,716		3,024,861
Parkway Properties, Inc.		34,948		488,923
Pennsylvania Real Estate Investment Trust		57,522		1,014,688
Post Properties, Inc.		59,961		2,995,052
PS Business Parks, Inc.		19,902		1,293,232
Sabra Health Care REIT, Inc.		41,300		897,036
Saul Centers, Inc.		14,100		603,339
Sovran Self Storage, Inc.		33,597		2,086,374
Tanger Factory Outlet Centers		103,684		3,545,993
Universal Health Realty Income Trust		14,200		718,662
Urstadt Biddle Properties, Inc. (Class A Stock)		28,050		552,024
				49,214,374
Real Estate Management & Development — 0.1%
Forestar Group, Inc.*		38,656		669,908
Road & Rail — 0.8%
Arkansas Best Corp.		21,895		209,097
Heartland Express, Inc.		50,948		665,890
Knight Transportation, Inc.		65,588		959,553
Old Dominion Freight Line, Inc.*		78,049		2,675,520
				4,510,060

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment — 4.5%
Advanced Energy Industries, Inc.*		38,597	$	533,025
ATMI, Inc.*		35,606		743,453
Brooks Automation, Inc.		67,205		541,000
Cabot Microelectronics Corp.		25,911		920,100
Ceva, Inc.*		25,100		395,325
Cirrus Logic, Inc.*		72,200		2,091,634
Cohu, Inc.		22,097		239,531
Cymer, Inc.*		34,370		3,108,079
Diodes, Inc.*(a)		39,770		690,009
DSP Group, Inc.*		16,428		94,625
Entropic Communications, Inc.*		89,000		470,810
Exar Corp.*		50,123		446,095
GT Advanced Technologies, Inc.*(a)		125,600		379,312
Hittite Microwave Corp.*		29,906		1,857,163
Kopin Corp.*		61,196		203,783
Kulicke & Soffa Industries, Inc.*		81,432		976,370
Micrel, Inc.		47,902		455,069
Microsemi Corp.*		99,619		2,095,984
MKS Instruments, Inc.		58,685		1,512,899
Monolithic Power Systems, Inc.		33,900		755,292
Nanometrics, Inc.*		23,500		338,870
Pericom Semiconductor Corp.*		20,860		167,506
Power Integrations, Inc.		31,800		1,068,798
Rubicon Technology, Inc.*		18,100		110,591
Rudolph Technologies, Inc.*		35,794		481,429
Sigma Designs, Inc.*		35,958		185,184
STR Holdings, Inc.*		42,600		107,352
Supertex, Inc.		11,772		206,599
Tessera Technologies, Inc.		57,777		948,698
TriQuint Semiconductor, Inc.*		174,376		843,980
Ultratech, Inc.*		29,811		1,111,950
Veeco Instruments, Inc.*(a)		43,442		1,282,408
Volterra Semiconductor Corp.*		28,400		487,628
				25,850,551
Software — 3.1%
Blackbaud, Inc.		50,383		1,150,244
Bottomline Technologies, Inc.*		41,100		1,084,629
CommVault Systems, Inc.*(a)		46,942		3,272,327
Ebix, Inc.(a)		35,057		563,366
EPIQ Systems, Inc.		34,717		443,683
Interactive Intelligence Group, Inc.*		16,279		545,998
Manhattan Associates, Inc.*		22,293		1,345,160
MicroStrategy, Inc. (Class A Stock)*		9,850		919,793
Monotype Imaging Holdings, Inc.		40,900		653,582
Netscout Systems, Inc.*		39,995		1,039,470
Progress Software Corp.*		70,047		1,470,286
Sourcefire, Inc.*(a)		33,100		1,562,982
Synchronoss Technologies, Inc.*		30,100		634,809
Take-Two Interactive Software, Inc.*		99,312		1,093,425
Tyler Technologies, Inc.*		28,927		1,401,224
VASCO Data Security International, Inc.*		30,600		249,696
Websense, Inc.*		40,370		607,165
				18,037,839
Specialty Retail — 4.5%
Big 5 Sporting Goods Corp.		19,537		255,935
Brown Shoe Co., Inc.		45,334		832,785

SEE NOTES TO FINANCIAL STATEMENTS.

A140

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
Buckle, Inc. (The)(a)		30,259	$	1,350,762
Cato Corp. (The) (Class A Stock)		30,003		822,982
Children’s Place Retail Stores, Inc. (The)*		26,065		1,154,419
Christopher & Banks Corp.*		39,178		213,520
Coldwater Creek, Inc.*		21,816		104,935
Finish Line, Inc. (The) (Class A Stock)		56,546		1,070,416
Genesco, Inc.*		26,622		1,464,210
Group 1 Automotive, Inc.		23,664		1,466,931
Haverty Furniture Cos., Inc.		21,041		343,179
Hibbett Sports, Inc.*		28,796		1,517,549
Hot Topic, Inc.		46,703		450,684
Jos A. Bank Clothiers, Inc.*		30,831		1,312,784
Kirkland’s, Inc.*		15,700		166,263
Lithia Motors, Inc. (Class A Stock)		23,130		865,525
Lumber Liquidators Holdings, Inc.*		29,822		1,575,496
MarineMax, Inc.*(a)		25,742		230,133
Men’s Wearhouse, Inc. (The)		52,967		1,650,452
Monro Muffler Brake, Inc.		32,472		1,135,546
OfficeMax, Inc.(a)		94,899		926,214
Pep Boys-Manny Moe & Jack (The)		58,526		575,311
rue21, Inc.*		17,500		496,825
Select Comfort Corp.*		62,500		1,635,625
Sonic Automotive, Inc. (Class A Stock)		41,347		863,739
Stage Stores, Inc.		34,579		856,868
Stein Mart, Inc.		30,083		226,826
Vitamin Shoppe, Inc.*		33,300		1,910,088
Zale Corp.*		28,662		117,801
Zumiez, Inc.*(a)		24,550		476,515
				26,070,318
Textiles, Apparel & Luxury Goods — 2.3%
Crocs, Inc.*		100,243		1,442,497
Fifth & Pacific Cos., Inc.*		125,666		1,564,542
Iconix Brand Group, Inc.*(a)		75,131		1,676,924
K-Swiss, Inc. (Class A Stock)*		26,678		89,638
Maidenform Brands, Inc.*		26,221		511,047
Movado Group, Inc.		19,717		604,918
Oxford Industries, Inc.		15,916		737,866
Perry Ellis International, Inc.		13,079		260,272
Quiksilver, Inc.*		137,293		583,495
Skechers U.S.A., Inc. (Class A Stock)*		41,376		765,456
Steven Madden Ltd.*		45,100		1,906,377
True Religion Apparel, Inc.		27,064		687,967
Wolverine World Wide, Inc.		53,977		2,211,977
				13,042,976
Thrifts & Mortgage Finance — 1.0%
Bank Mutual Corp.		47,535		204,400
Brookline Bancorp, Inc.		76,732		652,222
Dime Community Bancshares, Inc.		31,581		438,660
Northwest Bancshares, Inc.		108,000		1,311,120

COMMON STOCKS (continued)	Shares		Value (Note 2)
Thrifts & Mortgage Finance (continued)
Oritani Financial Corp.		42,900	$	657,228
Provident Financial Services, Inc.		59,700		890,724
TrustCo Bank Corp. NY		96,995		512,134
ViewPoint Financial Group		39,400		825,036
				5,491,524
Tobacco — 0.1%
Alliance One International, Inc.*		90,838		330,650
Trading Companies & Distributors — 0.5%
Applied Industrial Technologies, Inc.(a)		46,428		1,950,440
Kaman Corp.		29,422		1,082,730
				3,033,170
Water Utilities — 0.2%
American States Water Co.		21,276		1,020,822
Wireless Telecommunication Services — 0.1%
NTELOS Holdings Corp.		16,921		221,834
USA Mobility, Inc.		24,380		284,759
				506,593
TOTAL COMMON STOCKS (cost $422,672,863)				568,266,310
EXCHANGE TRADED FUND — 0.5%
iShares Core S&P Small-Cap ETF (cost $1,862,318)(a)		33,300		2,604,393
TOTAL LONG-TERM INVESTMENTS (cost $424,535,181)				570,870,703
SHORT-TERM INVESTMENTS — 16.1%
Affiliated Money Market Mutual Fund — 16.0%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $92,630,800; includes $87,035,246 of cash collateral received for securities on loan) (Note 4)(b)(c)		92,630,800		92,630,800
	Principal Amount (000)
U.S Treasury Obligation — 0.1%
U.S. Treasury Bill, 0.10%, 03/21/2013(d)(e) (cost $599,941)	$	600		599,955
TOTAL SHORT-TERM INVESTMENTS (cost $93,230,741)				93,230,755
TOTAL INVESTMENTS — 114.8% (cost $517,765,922)				664,101,458
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (14.8)%				(85,699,290	)
NET ASSETS — 100.0%			$	578,402,168

SEE NOTES TO FINANCIAL STATEMENTS.

A141

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

The following abbreviations are used in portfolio descriptions:

REIT Real Estate Investment Trust

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $85,545,408; cash collateral of $87,035,246 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

Open futures contracts outstanding at December 31, 2012:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Appreciation
Long Position:
81	Russell 2000 Mini		Mar. 2013	$	6,788,953	$	6,857,460	$	68,507

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	568,266,310	$	—	$	—
Exchange Traded Fund		2,604,393		—		—
Affiliated Money Market Mutual Fund		92,630,800		—		—
U.S. Government Obligation		—		599,955		—
		663,501,503		599,955
Other Financial Instruments*
Futures contracts		68,507		—		—
Total	$	663,570,010	$	599,955	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A142

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Affiliated Money Market Mutual Fund (including 15.0% of collateral received for securities on loan)	16.0	%
Real Estate Investment Trusts	8.5
Commercial Banks	6.0
Semiconductors & Semiconductor Equipment	4.5
Specialty Retail	4.5
Electronic Equipment, Instruments & Components	4.1
Machinery	3.7
Healthcare Equipment & Supplies	3.4
Healthcare Providers & Services	3.3
Software	3.1
Hotels, Restaurants & Leisure	2.9
Chemicals	2.6
Commercial Services & Supplies	2.3
Energy Equipment & Services	2.3
Food Products	2.3
Textiles, Apparel & Luxury Goods	2.3
Insurance	2.2
Aerospace & Defense	2.0
Internet Software & Services	2.0
Electrical Equipment	1.8
Gas Utilities	1.8
Oil, Gas & Consumable Fuels	1.8
IT Services	1.7
Metals & Mining	1.7
Communications Equipment	1.6
Household Durables	1.6
Building Products	1.5
Pharmaceuticals	1.5
Capital Markets	1.4
Consumer Finance	1.3
Electric Utilities	1.2
Paper & Forest Products	1.2
Computers & Peripherals	1.1
Professional Services	1.1
Biotechnology	1.0

Thrifts & Mortgage Finance	1.0	%
Construction & Engineering	0.9
Diversified Consumer Services	0.9
Leisure Equipment & Products	0.9
Construction Materials	0.8
Road & Rail	0.8
Multi-Utilities	0.7
Food & Staples Retailing	0.6
Healthcare Technology	0.6
Life Sciences Tools & Services	0.6
Media	0.6
Exchange Traded Fund	0.5
Trading Companies & Distributors	0.5
Air Freight & Logistics	0.4
Distributors	0.4
Diversified Financial Services	0.4
Diversified Telecommunication Services	0.4
Airlines	0.3
Auto Components	0.3
Personal Products	0.3
Beverages	0.2
Household Products	0.2
Internet & Catalog Retail	0.2
Water Utilities	0.2
Automobiles	0.1
Containers & Packaging	0.1
Industrial Conglomerates	0.1
Multiline Retail	0.1
Real Estate Management & Development	0.1
Tobacco	0.1
U.S Government Obligation	0.1
Wireless Telecommunication Services	0.1
	114.8
Liabilities in excess of other assets	(14.8	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Equity contracts	Due from broker —variation margin	$	68,507	*		$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A143

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2012 is as follows:

Amount of Realized Gain on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	1,043,804
Change in Unrealized Appreciation on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	31,528

For the year ended December 31, 2012, the average value at trade date for futures long position was $7,042,539.

SEE NOTES TO FINANCIAL STATEMENTS.

A144

SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $85,545,408:
Unaffiliated investments (cost $425,135,122)	$	571,470,658
Affiliated investments (cost $92,630,800)		92,630,800
Cash		335,908
Receivable for investments sold		1,230,328
Dividends and interest receivable		499,817
Due from broker—variation margin		177,390
Receivable for Series shares sold		128,869
Prepaid expenses		3,833
Total Assets		666,477,603
LIABILITIES
Collateral for securities on loan		87,035,246
Payable for investments purchased		651,345
Management fee payable		192,222
Accrued expenses and other liabilities		115,658
Payable for Series shares repurchased		80,038
Affiliated transfer agent fee payable		926
Total Liabilities		88,075,435
NET ASSETS	$	578,402,168
Net assets were comprised of:
Paid-in capital	$	419,012,299
Retained earnings		159,389,869
Net assets, December 31, 2012	$	578,402,168
Net asset value and redemption price per share, $578,402,168 / 31,166,238 outstanding shares of beneficial interest	$	18.56

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income	$	9,881,473
Affiliated income from securities loaned, net		852,856
Affiliated dividend income		11,114
Interest		746
		10,746,189
EXPENSES
Management fee		2,264,886
Shareholders’ reports		143,000
Custodian’s fees and expenses		83,000
Audit fee		20,000
Trustees’ fees		16,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Legal fees and expenses		9,000
Insurance expenses		6,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		70,997
Total expenses		2,626,883
NET INVESTMENT INCOME		8,119,306
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investment transactions		12,428,215
Futures transactions		1,043,804
		13,472,019
Net change in unrealized appreciation (depreciation) on:
Investments		62,032,184
Futures		31,528
		62,063,712
NET GAIN ON INVESTMENTS		75,535,731
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	83,655,037

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	8,119,306		$	3,433,729
Net realized gain on investments		13,472,019			28,610,049
Net change in unrealized appreciation (depreciation) on investments		62,063,712			(29,384,761	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		83,655,037			2,659,017
DISTRIBUTIONS		(32,045,611	)		(12,229,897	)
SERIES SHARE TRANSACTIONS:
Series shares sold [489,166 and 894,009 shares, respectively]		8,809,368			15,341,754
Series shares issued in reinvestment of distributions [1,922,352 and 717,296 shares, respectively]		32,045,611			12,229,897
Series shares repurchased [3,160,413 and 3,850,529 shares, respectively]		(56,707,510	)		(65,253,551	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(15,852,531	)		(37,681,900	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		35,756,895			(47,252,780	)
NET ASSETS:
Beginning of year		542,645,273			589,898,053
End of year	$	578,402,168		$	542,645,273

SEE NOTES TO FINANCIAL STATEMENTS.

A145

	STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.3%
Boeing Co. (The)		122,236	$	9,211,705
General Dynamics Corp.		62,400		4,322,448
Honeywell International, Inc.		138,750		8,806,463
L-3 Communications Holdings, Inc.		17,800		1,363,836
Lockheed Martin Corp.		47,598		4,392,819
Northrop Grumman Corp.		44,726		3,022,583
Precision Castparts Corp.		25,600		4,849,152
Raytheon Co.		59,218		3,408,588
Rockwell Collins, Inc.(a)		25,100		1,460,067
Textron, Inc.		44,900		1,113,071
United Technologies Corp.		148,700		12,194,887
				54,145,619
Air Freight & Logistics — 0.8%
C.H. Robinson Worldwide, Inc.		28,900		1,827,058
Expeditors International of Washington, Inc.		38,900		1,538,495
FedEx Corp.		51,540		4,727,249
United Parcel Service, Inc. (Class B Stock)		129,300		9,533,289
				17,626,091
Airlines — 0.1%
Southwest Airlines Co.		139,337		1,426,811
Auto Components — 0.3%
BorgWarner, Inc.*(a)		18,700		1,339,294
Delphi Automotive PLC*		46,900		1,793,925
Goodyear Tire & Rubber Co. (The)*		38,600		533,066
Johnson Controls, Inc.		126,000		3,868,200
				7,534,485
Automobiles — 0.5%
Ford Motor Co.(a)		686,559		8,890,939
Harley-Davidson, Inc.		41,300		2,017,092
				10,908,031
Beverages — 2.3%
Beam, Inc.		25,900		1,582,231
Brown-Forman Corp. (Class B Stock)		27,750		1,755,187
Coca-Cola Co. (The)		693,900		25,153,875
Coca-Cola Enterprises, Inc.		48,800		1,548,424
Constellation Brands, Inc. (Class A Stock)*		26,900		951,991
Dr Pepper Snapple Group, Inc.(a)		38,800		1,714,184
Molson Coors Brewing Co. (Class B Stock)		29,100		1,245,189
Monster Beverage Corp.*		25,600		1,353,728
PepsiCo, Inc.		277,339		18,978,308
				54,283,117
Biotechnology — 1.6%
Alexion Pharmaceuticals, Inc.*		33,900		3,180,159
Amgen, Inc.		137,994		11,911,642
Biogen Idec, Inc.*		42,625		6,251,809
Celgene Corp.*		78,300		6,163,776
Gilead Sciences, Inc.*		134,400		9,871,680
				37,379,066

COMMON STOCKS (continued)	Shares		Value (Note 2)
Building Products
Masco Corp.		54,800	$	912,968
Capital Markets — 2.0%
Ameriprise Financial, Inc.		38,500		2,411,255
Bank of New York Mellon Corp. (The)(a)		211,789		5,442,977
BlackRock, Inc. (Class A Stock)		22,700		4,692,317
Charles Schwab Corp. (The)(a)		192,300		2,761,428
E*Trade Financial Corp.*		43,610		390,310
Franklin Resources, Inc.		24,800		3,117,360
Goldman Sachs Group, Inc. (The)		80,700		10,294,092
Invesco Ltd.		81,600		2,128,944
Legg Mason, Inc.(a)		23,900		614,708
Morgan Stanley		252,110		4,820,343
Northern Trust Corp.		40,900		2,051,544
State Street Corp.		87,100		4,094,571
T. Rowe Price Group, Inc.		46,300		3,015,519
				45,835,368
Chemicals — 2.5%
Air Products & Chemicals, Inc.		38,200		3,209,564
Airgas, Inc.		13,200		1,205,028
CF Industries Holdings, Inc.		12,200		2,478,552
Dow Chemical Co. (The)(a)		213,461		6,899,060
E.I. du Pont de Nemours & Co.		167,991		7,554,555
Eastman Chemical Co.		27,100		1,844,155
Ecolab, Inc.		48,400		3,479,960
FMC Corp.		25,200		1,474,704
International Flavors & Fragrances, Inc.		15,300		1,018,062
LyondellBasell Industries NV (Class A Stock)		65,000		3,710,850
Monsanto Co.		95,796		9,067,091
Mosaic Co. (The)		50,600		2,865,478
PPG Industries, Inc.		26,700		3,613,845
Praxair, Inc.		53,500		5,855,575
Sherwin-Williams Co. (The)		15,700		2,414,974
Sigma-Aldrich Corp.		20,700		1,523,106
				58,214,559
Commercial Banks — 2.7%
BB&T Corp.		126,800		3,691,148
Comerica, Inc.(a)		33,950		1,030,043
Fifth Third Bancorp		167,749		2,548,107
First Horizon National Corp.		37,745		374,053
Huntington Bancshares, Inc.		156,775		1,001,792
KeyCorp		167,700		1,412,034
M&T Bank Corp.		21,600		2,126,952
PNC Financial Services Group, Inc.		95,393		5,562,366
Regions Financial Corp.		255,912		1,822,093
SunTrust Banks, Inc.		98,200		2,783,970
U.S. Bancorp		340,581		10,878,157
Wells Fargo & Co.		878,386		30,023,234
Zions Bancorporation(a)		30,000		642,000
				63,895,949
Commercial Services & Supplies — 0.5%
ADT Corp. (The)		41,900		1,947,931
Avery Dennison Corp.(a)		19,000		663,480

SEE NOTES TO FINANCIAL STATEMENTS.

A146

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies (continued)
Cintas Corp.(a)		19,700	$	805,730
Iron Mountain, Inc.		31,817		987,918
Pitney Bowes, Inc.(a)		34,700		369,208
Republic Services, Inc.		56,010		1,642,773
Stericycle, Inc.*		13,900		1,296,453
Tyco International Ltd.		81,800		2,392,650
Waste Management, Inc.		78,930		2,663,098
				12,769,241
Communications Equipment — 1.9%
Cisco Systems, Inc.		955,000		18,765,750
F5 Networks, Inc.*		14,800		1,437,820
Harris Corp.		20,700		1,013,472
JDS Uniphase Corp.*		39,587		536,008
Juniper Networks, Inc.*		93,100		1,831,277
Motorola Solutions, Inc.		49,627		2,763,231
QUALCOMM, Inc.		305,700		18,959,514
				45,307,072
Computers & Peripherals — 4.9%
Apple, Inc.		168,040		89,570,361
Dell, Inc.		264,300		2,677,359
EMC Corp.*		374,674		9,479,252
Hewlett-Packard Co.		357,616		5,096,028
NetApp, Inc.*		66,800		2,241,140
SanDisk Corp.*		41,900		1,825,164
Seagate Technology PLC		60,600		1,847,088
Western Digital Corp.		39,000		1,657,110
				114,393,502
Construction & Engineering — 0.2%
Fluor Corp.		30,200		1,773,948
Jacobs Engineering Group, Inc.*		22,200		945,054
Quanta Services, Inc.*		33,000		900,570
				3,619,572
Construction Materials
Vulcan Materials Co.		22,300		1,160,715
Consumer Finance — 0.9%
American Express Co.		174,700		10,041,756
Capital One Financial Corp.		102,069		5,912,857
Discover Financial Services		94,405		3,639,313
SLM Corp.		86,400		1,480,032
				21,073,958
Containers & Packaging — 0.1%
Ball Corp.(a)		29,900		1,338,025
Bemis Co., Inc.		17,900		598,934
Owens-Illinois, Inc.*		30,400		646,608
Sealed Air Corp.		31,620		553,666
				3,137,233
Distributors — 0.1%
Genuine Parts Co.		28,825		1,832,694
Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*(a)		22,700		474,884
H&R Block, Inc.		51,900		963,783
				1,438,667

COMMON STOCKS (continued)	Shares			Value (Note 2)
Diversified Financial Services — 3.5%
Bank of America Corp.		1,931,332	��	$	22,403,451
Citigroup, Inc.		524,297			20,741,189
CME Group, Inc.		55,400			2,809,334
IntercontinentalExchange, Inc.*		12,900			1,597,149
JPMorgan Chase & Co.		682,945			30,029,092
Leucadia National Corp.(a)		37,600			894,504
Moody’s Corp.		31,720			1,596,151
NASDAQ OMX Group, Inc. (The)		22,800			570,228
NYSE Euronext		43,800			1,381,452
					82,022,550
Diversified Telecommunication Services — 2.7%
AT&T, Inc.		1,022,511			34,468,846
CenturyLink, Inc.(a)		113,585			4,443,445
Frontier Communications Corp.(a)		177,916			761,481
Verizon Communications, Inc.		510,838			22,103,960
Windstream Corp.		96,065			795,418
					62,573,150
Electric Utilities — 1.9%
American Electric Power Co., Inc.		86,640			3,697,795
Duke Energy Corp.		126,948			8,099,282
Edison International		58,500			2,643,615
Entergy Corp.		31,700			2,020,875
Exelon Corp.		153,073			4,552,391
FirstEnergy Corp.		75,380			3,147,869
NextEra Energy, Inc.		76,400			5,286,116
Northeast Utilities		56,600			2,211,928
Pepco Holdings, Inc.(a)		35,700			700,077
Pinnacle West Capital Corp.		18,500			943,130
PPL Corp.		102,700			2,940,301
Southern Co.		156,700			6,708,327
Xcel Energy, Inc.		90,095			2,406,438
					45,358,144
Electrical Equipment — 0.7%
Eaton Corp. PLC		79,761			4,323,046
Emerson Electric Co.		132,100			6,996,016
Rockwell Automation, Inc.		25,900			2,175,341
Roper Industries, Inc.		17,100			1,906,308
					15,400,711
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		29,100			1,882,770
Corning, Inc.		272,400			3,437,688
FLIR Systems, Inc.		23,500			524,285
Jabil Circuit, Inc.		34,100			657,789
Molex, Inc.(a)		26,600			726,978
TE Connectivity Ltd.		76,600			2,843,392
					10,072,902
Energy Equipment & Services — 1.8%
Baker Hughes, Inc.		80,248			3,277,328
Cameron International Corp.*		41,800			2,360,028
Diamond Offshore Drilling, Inc.(a)		12,500			849,500
Ensco PLC (Class A Stock)		39,700			2,353,416
FMC Technologies, Inc.*		38,900			1,666,087
Halliburton Co.		164,700			5,713,443
Helmerich & Payne, Inc.		19,900			1,114,599
Nabors Industries Ltd.*		56,600			817,870

SEE NOTES TO FINANCIAL STATEMENTS.

A147

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
National Oilwell Varco, Inc.		76,400	$	5,221,940
Noble Corp.		45,300		1,577,346
Rowan Cos. PLC (Class A Stock)*		20,500		641,035
Schlumberger Ltd.		236,922		16,416,326
				42,008,918
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		77,032		7,608,451
CVS Caremark Corp.		226,938		10,972,452
Kroger Co. (The)		97,900		2,547,358
Safeway, Inc.(a)		47,500		859,275
Sysco Corp.		101,500		3,213,490
Walgreen Co.		155,300		5,747,653
Wal-Mart Stores, Inc.		301,900		20,598,637
Whole Foods Market, Inc.		29,900		2,730,767
				54,278,083
Food Products — 1.7%
Archer-Daniels-Midland Co.		118,538		3,246,756
Campbell Soup Co.(a)		30,100		1,050,189
ConAgra Foods, Inc.		70,300		2,073,850
Dean Foods Co.*		24,300		401,193
General Mills, Inc.		116,700		4,715,847
H.J. Heinz Co.(a)		56,050		3,232,964
Hershey Co. (The)(a)		27,100		1,957,162
Hormel Foods Corp.		25,600		798,976
J.M. Smucker Co. (The)		20,300		1,750,672
Kellogg Co.		45,100		2,518,835
Kraft Foods Group, Inc.		105,137		4,780,579
McCormick & Co., Inc.		24,800		1,575,544
Mead Johnson Nutrition Co.		37,293		2,457,236
Mondelez International, Inc. (Class A Stock)		315,411		8,033,518
Tyson Foods, Inc. (Class A Stock)		56,100		1,088,340
				39,681,661
Gas Utilities — 0.1%
AGL Resources, Inc.		19,837		792,885
ONEOK, Inc.		36,240		1,549,260
				2,342,145
Healthcare Equipment & Supplies — 2.5%
Abbott Laboratories		281,600		18,444,800
Baxter International, Inc.(a)		98,400		6,559,344
Becton, Dickinson & Co.		36,200		2,830,478
Boston Scientific Corp.*		263,399		1,509,276
C.R. Bard, Inc.		14,500		1,417,230
CareFusion Corp.*		39,537		1,129,967
Covidien PLC		85,100		4,913,674
DENTSPLY International, Inc.		22,500		891,225
Edwards Lifesciences Corp.*		20,200		1,821,434
Intuitive Surgical, Inc.*		7,200		3,530,664
Medtronic, Inc.		185,200		7,596,904
St. Jude Medical, Inc.		57,800		2,088,892
Stryker Corp.		52,800		2,894,496
Varian Medical Systems, Inc.*		20,400		1,432,896
Zimmer Holdings, Inc.		31,486		2,098,857
				59,160,137

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 1.9%
Aetna, Inc.(a)		60,448	$	2,798,742
AmerisourceBergen Corp.(a)		41,400		1,787,652
Cardinal Health, Inc.		58,975		2,428,590
CIGNA Corp.		52,100		2,785,266
Coventry Health Care, Inc.		25,250		1,131,958
DaVita, Inc.*		15,300		1,691,109
Express Scripts Holding Co.*		143,151		7,730,154
Humana, Inc.		29,800		2,045,174
Laboratory Corp. of America Holdings*(a)		17,500		1,515,850
McKesson Corp.		42,307		4,102,087
Patterson Cos., Inc.		15,900		544,257
Quest Diagnostics, Inc.		28,100		1,637,387
Tenet Healthcare Corp.*(a)		20,000		649,400
UnitedHealth Group, Inc.		186,000		10,088,640
WellPoint, Inc.		55,400		3,374,968
				44,311,234
Healthcare Technology — 0.1%
Cerner Corp.*(a)		24,900		1,933,236
Hotels, Restaurants & Leisure — 1.8%
Carnival Corp.		78,900		2,901,153
Chipotle Mexican Grill, Inc.*		5,500		1,636,030
Darden Restaurants, Inc.		23,350		1,052,385
International Game Technology		50,300		712,751
Marriott International, Inc. (Class A Stock)		48,103		1,792,799
McDonald’s Corp.		181,100		15,974,831
Starbucks Corp.		134,000		7,185,080
Starwood Hotels & Resorts Worldwide, Inc.		32,800		1,881,408
Wyndham Worldwide Corp.		26,163		1,392,133
Wynn Resorts Ltd.		13,100		1,473,619
Yum! Brands, Inc.		81,800		5,431,520
				41,433,709
Household Durables — 0.3%
D.R. Horton, Inc.		45,200		894,056
Garmin Ltd.(a)		14,600		595,972
Harman International Industries, Inc.		13,200		589,248
Leggett & Platt, Inc.		26,200		713,164
Lennar Corp. (Class A Stock)(a)		24,300		939,681
Newell Rubbermaid, Inc.		53,749		1,196,990
Pulte Group, Inc.*(a)		53,685		974,920
Whirlpool Corp.		13,907		1,415,037
				7,319,068
Household Products — 2.1%
Clorox Co. (The)(a)		24,400		1,786,568
Colgate-Palmolive Co.		80,700		8,436,378
Kimberly-Clark Corp.		69,988		5,909,087
Procter & Gamble Co. (The)		491,981		33,400,590
				49,532,623
Independent Power Producers & Energy Traders — 0.1%
AES Corp.		117,900		1,261,530
NRG Energy, Inc.		48,700		1,119,613
				2,381,143

SEE NOTES TO FINANCIAL STATEMENTS.

A148

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 2.4%
3M Co.		113,600	$	10,547,760
Danaher Corp.		102,200		5,712,980
General Electric Co.		1,886,500		39,597,635
				55,858,375
Insurance — 3.8%
ACE Ltd.		62,100		4,955,580
Aflac, Inc.		87,500		4,648,000
Allstate Corp. (The)		90,688		3,642,937
American International Group, Inc.*		258,429		9,122,544
Aon PLC		60,025		3,337,390
Assurant, Inc.		19,400		673,180
Berkshire Hathaway, Inc. (Class B Stock)*		328,900		29,502,330
Chubb Corp. (The)		49,500		3,728,340
Cincinnati Financial Corp.		30,128		1,179,812
Genworth Financial, Inc. (Class A Stock)*		103,200		775,032
Hartford Financial Services Group, Inc. (The)		82,300		1,846,812
Lincoln National Corp.(a)		55,663		1,441,672
Loews Corp.		58,826		2,397,159
Marsh & McLennan Cos., Inc.		103,400		3,564,198
MetLife, Inc.		193,400		6,370,596
Principal Financial Group, Inc.		54,700		1,560,044
Progressive Corp. (The)(a)		109,000		2,299,900
Torchmark Corp.		20,750		1,072,153
Travelers Cos., Inc. (The)		71,098		5,106,258
Unum Group		58,256		1,212,890
XL Group PLC		59,500		1,491,070
				89,927,897
Internet & Catalog Retail — 1.0%
Amazon.com, Inc.*		64,300		16,148,302
Expedia, Inc.		16,700		1,026,215
Netflix, Inc.*(a)		8,700		807,186
priceline.com, Inc.*		8,900		5,528,680
Tripadvisor, Inc.*(a)		16,500		692,340
				24,202,723
Internet Software & Services — 2.2%
Akamai Technologies, Inc.*		33,500		1,370,485
eBay, Inc.*		205,900		10,505,018
Google, Inc. (Class A Stock)*		47,460		33,666,700
VeriSign, Inc.*(a)		25,400		986,028
Yahoo!, Inc.*(a)		190,300		3,786,970
				50,315,201
IT Services — 3.7%
Accenture PLC (Class A Stock)		115,000		7,647,500
Automatic Data Processing, Inc.		87,400		4,982,674
Cognizant Technology Solutions Corp. (Class A Stock)*		54,700		4,050,535
Computer Sciences Corp.		26,300		1,053,315
Fidelity National Information Services, Inc.		43,900		1,528,159
Fiserv, Inc.*		23,100		1,825,593
International Business Machines Corp.		190,600		36,509,430

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Mastercard, Inc. (Class A Stock)		19,100	$	9,383,448
Paychex, Inc.		58,550		1,823,247
SAIC, Inc.		54,400		615,808
Teradata Corp.*		29,600		1,831,944
Total System Services, Inc.		29,993		642,450
Visa, Inc. (Class A Stock)		93,000		14,096,940
Western Union Co. (The)		110,204		1,499,877
				87,490,920
Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		19,050		683,895
Mattel, Inc.		57,681		2,112,278
				2,796,173
Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.		63,582		2,603,047
Life Technologies Corp.*		33,330		1,635,836
PerkinElmer, Inc.		23,200		736,368
Thermo Fisher Scientific, Inc.		66,300		4,228,614
Waters Corp.*		15,900		1,385,208
				10,589,073
Machinery — 1.9%
Caterpillar, Inc.		116,800		10,462,944
Cummins, Inc.		32,600		3,532,210
Deere & Co.		70,800		6,118,536
Dover Corp.		33,800		2,220,998
Flowserve Corp.		9,200		1,350,560
Illinois Tool Works, Inc.		77,900		4,737,099
Ingersoll-Rand PLC		51,900		2,489,124
Joy Global, Inc.		16,600		1,058,748
PACCAR, Inc.		61,128		2,763,597
Pall Corp.(a)		20,100		1,211,226
Parker Hannifin Corp.		27,487		2,338,044
Pentair Ltd.		36,107		1,774,659
Snap-on, Inc.		11,000		868,890
Stanley Black & Decker, Inc.		30,535		2,258,674
Xylem, Inc.		27,600		747,960
				43,933,269
Media — 3.5%
Cablevision Systems Corp. (Class A Stock)(a)		33,800		504,972
CBS Corp. (Class B Stock)		106,368		4,047,302
Comcast Corp. (Class A Stock)		478,946		17,903,002
DIRECTV*		111,200		5,577,792
Discovery Communications, Inc. (Class A Stock)*		44,500		2,824,860
Gannett Co., Inc.(a)		42,900		772,629
Interpublic Group of Cos., Inc. (The)		83,162		916,445
McGraw-Hill Cos., Inc. (The)		49,900		2,728,033
News Corp. (Class A Stock)		363,500		9,283,790
Omnicom Group, Inc.		48,400		2,418,064
Scripps Networks Interactive, Inc. (Class A Stock)		15,600		903,552
Time Warner Cable, Inc.		54,426		5,289,663
Time Warner, Inc.		167,740		8,023,004
Viacom, Inc. (Class B Stock)		85,468		4,507,582
Walt Disney Co. (The)		317,301		15,798,417

SEE NOTES TO FINANCIAL STATEMENTS.

A149

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Washington Post Co. (The) (Class B Stock)		1,000	$	365,210
				81,864,317
Metals & Mining — 0.7%
Alcoa, Inc.		195,776		1,699,336
Allegheny Technologies, Inc.		15,440		468,759
Cliffs Natural Resources, Inc.		27,000		1,041,120
Freeport-McMoRan Copper & Gold, Inc.		170,912		5,845,190
Newmont Mining Corp.		89,403		4,151,875
Nucor Corp.		58,500		2,526,030
United States Steel Corp.(a)		21,140		504,612
				16,236,922
Multiline Retail — 0.8%
Big Lots, Inc.*		11,300		321,598
Dollar General Corp.*		45,600		2,010,504
Dollar Tree, Inc.*		42,800		1,735,968
Family Dollar Stores, Inc.		18,500		1,173,085
J.C. Penney Co., Inc.(a)		22,700		447,417
Kohl’s Corp.		39,500		1,697,710
Macy’s, Inc.		74,220		2,896,064
Nordstrom, Inc.		28,300		1,514,050
Target Corp.		115,268		6,820,408
				18,616,804
Multi-Utilities — 1.2%
Ameren Corp.		42,000		1,290,240
CenterPoint Energy, Inc.		73,110		1,407,367
CMS Energy Corp.(a)		45,800		1,116,604
Consolidated Edison, Inc.		52,400		2,910,296
Dominion Resources, Inc.		102,384		5,303,491
DTE Energy Co.		32,000		1,921,600
Integrys Energy Group, Inc.		12,050		629,251
NiSource, Inc.		49,600		1,234,544
PG&E Corp.		76,900		3,089,842
Public Service Enterprise Group, Inc.		89,200		2,729,520
SCANA Corp.(a)		22,200		1,013,208
Sempra Energy		41,754		2,962,029
TECO Energy, Inc.(a)		38,200		640,232
Wisconsin Energy Corp.		39,600		1,459,260
				27,707,484
Office Electronics — 0.1%
Xerox Corp.		240,211		1,638,239
Oil, Gas & Consumable Fuels — 8.9%
Anadarko Petroleum Corp.		88,626		6,585,798
Apache Corp.		69,250		5,436,125
Cabot Oil & Gas Corp.		38,200		1,900,068
Chesapeake Energy Corp.(a)		96,500		1,603,830
Chevron Corp.		352,492		38,118,485
ConocoPhillips		219,379		12,721,788
CONSOL Energy, Inc.		42,500		1,364,250
Denbury Resources, Inc.*		70,300		1,138,860
Devon Energy Corp.		68,400		3,559,536
EOG Resources, Inc.		48,200		5,822,078
EQT Corp.		26,400		1,557,072

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Exxon Mobil Corp.		819,354	$	70,915,089
Hess Corp.		54,600		2,891,616
Kinder Morgan, Inc.		109,943		3,884,286
Marathon Oil Corp.		128,194		3,930,428
Marathon Petroleum Corp.		60,947		3,839,661
Murphy Oil Corp.		32,500		1,935,375
Newfield Exploration Co.*		23,700		634,686
Noble Energy, Inc.		32,400		3,296,376
Occidental Petroleum Corp.		144,900		11,100,789
Peabody Energy Corp.(a)		47,100		1,253,331
Phillips 66		112,339		5,965,201
Pioneer Natural Resources Co.		21,200		2,259,708
QEP Resources, Inc.		29,200		883,884
Range Resources Corp.		29,500		1,853,485
Southwestern Energy Co.*(a)		64,300		2,148,263
Spectra Energy Corp.		119,042		3,259,370
Tesoro Corp.		26,500		1,167,325
Valero Energy Corp.		100,800		3,439,296
Williams Cos., Inc. (The)		119,700		3,918,978
WPX Energy, Inc.*		36,133		537,664
				208,922,701
Paper & Forest Products — 0.2%
International Paper Co.		79,667		3,173,933
MeadWestvaco Corp.		31,689		1,009,929
				4,183,862
Personal Products — 0.2%
Avon Products, Inc.		78,700		1,130,132
Estee Lauder Cos., Inc. (The) (Class A Stock)		40,500		2,424,330
				3,554,462
Pharmaceuticals — 5.2%
Allergan, Inc.		54,900		5,035,977
Bristol-Myers Squibb Co.		298,740		9,735,936
Eli Lilly & Co.		183,500		9,050,220
Forest Laboratories, Inc.*		43,300		1,529,356
Hospira, Inc.*		28,920		903,461
Johnson & Johnson(a)		494,671		34,676,437
Merck & Co., Inc.		544,404		22,287,893
Mylan, Inc.*		73,500		2,019,780
Perrigo Co.		15,700		1,633,271
Pfizer, Inc.		1,323,973		33,205,243
Watson Pharmaceuticals, Inc.*		23,300		2,003,800
				122,081,374
Professional Services — 0.1%
Dun & Bradstreet Corp. (The)(a)		7,700		605,605
Equifax, Inc.		21,500		1,163,580
Robert Half International, Inc.		23,100		735,042
				2,504,227
Real Estate Investment Trusts — 2.1%
American Tower Corp.		72,500		5,602,075
Apartment Investment & Management Co. (Class A Stock)		24,074		651,442
AvalonBay Communities, Inc.		20,218		2,741,359
Boston Properties, Inc.		26,200		2,772,222
Equity Residential		56,600		3,207,522

SEE NOTES TO FINANCIAL STATEMENTS.

A150

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
HCP, Inc.		78,700	$	3,555,666
Health Care REIT, Inc.		44,900		2,751,921
Host Hotels & Resorts, Inc.(a)		123,726		1,938,786
Kimco Realty Corp.(a)		76,400		1,476,048
Plum Creek Timber Co., Inc.		25,900		1,149,183
ProLogis, Inc.		81,228		2,964,010
Public Storage		25,400		3,681,984
Simon Property Group, Inc.		55,001		8,695,108
Ventas, Inc.		51,204		3,313,923
Vornado Realty Trust		32,157		2,575,133
Weyerhaeuser Co.		99,310		2,762,804
				49,839,186
Real Estate Management & Development
CBRE Group, Inc. (Class A Stock)*		53,500		1,064,650
Road & Rail — 0.8%
CSX Corp.		187,472		3,698,823
Norfolk Southern Corp.		58,600		3,623,824
Ryder System, Inc.		9,100		454,363
Union Pacific Corp.		85,200		10,711,344
				18,488,354
Semiconductors & Semiconductor Equipment — 1.9%
Advanced Micro Devices, Inc.*(a)		96,600		231,840
Altera Corp.		57,500		1,980,300
Analog Devices, Inc.		52,900		2,224,974
Applied Materials, Inc.		229,600		2,626,624
Broadcom Corp. (Class A Stock)		86,950		2,887,609
First Solar, Inc.*(a)		4,600		142,048
Intel Corp.		899,500		18,556,685
KLA-Tencor Corp.		28,700		1,370,712
Lam Research Corp.*		31,350		1,132,676
Linear Technology Corp.		43,500		1,492,050
LSI Corp.*		108,400		767,472
Microchip Technology, Inc.(a)		31,900		1,039,621
Micron Technology, Inc.*		160,300		1,017,905
NVIDIA Corp.		108,250		1,330,393
Teradyne, Inc.*(a)		32,200		543,858
Texas Instruments, Inc.		205,700		6,364,358
Xilinx, Inc.		44,000		1,579,600
				45,288,725
Software — 3.4%
Adobe Systems, Inc.*		88,000		3,315,840
Autodesk, Inc.*		41,400		1,463,490
BMC Software, Inc.*		28,600		1,134,276
CA, Inc.		64,573		1,419,315
Citrix Systems, Inc.*		33,900		2,228,925
Electronic Arts, Inc.*(a)		56,900		826,757
Intuit, Inc.		50,400		2,998,800
Microsoft Corp.		1,356,700		36,264,591
Oracle Corp.		680,420		22,671,594
Red Hat, Inc.*		33,300		1,763,568
Salesforce.com, Inc.*(a)		22,700		3,815,870
Symantec Corp.*		131,611		2,475,603
				80,378,629

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail — 2.2%
Abercrombie & Fitch Co. (Class A Stock)		15,000	$	719,550
AutoNation, Inc.*		4,289		170,273
AutoZone, Inc.*		6,800		2,410,124
Bed Bath & Beyond, Inc.*		42,000		2,348,220
Best Buy Co., Inc.(a)		51,725		612,941
CarMax, Inc.*(a)		40,000		1,501,600
GameStop Corp. (Class A Stock)(a)		25,000		627,250
Gap, Inc. (The)		58,587		1,818,541
Home Depot, Inc. (The)		270,619		16,737,785
Limited Brands, Inc.		43,496		2,046,922
Lowe’s Cos., Inc.		204,000		7,246,080
O’Reilly Automotive, Inc.*		20,800		1,859,936
PetSmart, Inc.		19,100		1,305,294
Ross Stores, Inc.		42,100		2,279,715
Staples, Inc.(a)		126,600		1,443,240
Tiffany & Co.		20,900		1,198,406
TJX Cos., Inc.		134,800		5,722,260
Urban Outfitters, Inc.*		19,000		747,840
				50,795,977
Textiles, Apparel & Luxury Goods — 0.6%
Coach, Inc.		51,700		2,869,867
Fossil, Inc.*(a)		8,300		772,730
NIKE, Inc. (Class B Stock)		132,400		6,831,840
Ralph Lauren Corp.		11,000		1,649,120
VF Corp.		15,536		2,345,470
				14,469,027
Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.		86,900		706,497
People’s United Financial, Inc.		64,900		784,641
				1,491,138
Tobacco — 1.8%
Altria Group, Inc.		362,700		11,396,034
Lorillard, Inc.		23,231		2,710,361
Philip Morris International, Inc.		298,700		24,983,268
Reynolds American, Inc.(a)		59,300		2,456,799
				41,546,462
Trading Companies & Distributors — 0.2%
Fastenal Co.		48,600		2,269,134
W.W. Grainger, Inc.		11,000		2,226,070
				4,495,204
Wireless Telecommunication Services — 0.3%
Crown Castle International Corp.*		49,700		3,586,352
MetroPCS Communications, Inc.*		47,100		468,174
Sprint Nextel Corp.*		552,022		3,129,965
				7,184,491
TOTAL LONG-TERM INVESTMENTS (cost $1,123,015,843)				2,284,169,998

SEE NOTES TO FINANCIAL STATEMENTS.

A151

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

SHORT-TERM INVESTMENTS — 7.8%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund — 7.7%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $178,676,661; includes $129,522,551 of cash collateral received for securities on loan)) (Note 4)(b)(c)		178,676,661	$	178,676,661
	Principal Amount (000)
U.S. Government Obligation — 0.1%
U.S. Treasury Bill, 03/21/2013(d)(e) (cost $2,999,704)	$	3,000		2,999,772
TOTAL SHORT-TERM INVESTMENTS (cost $181,676,365)				181,676,433
TOTAL INVESTMENTS — 105.4% (cost $1,304,692,208)				2,465,846,431
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (5.4)%				(125,582,016	)
NET ASSETS — 100.0%			$	2,340,264,415

The following abbreviations are used in portfolio descriptions:

REIT Real Estate Investment Trust

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $128,168,029; cash collateral of $129,522,551 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

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

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

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

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

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

Open futures contracts outstanding at December 31, 2012:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2012		Unrealized Depreciation
Long Position:
155	S&P 500 Index		Mar. 2013	$	55,420,766	$	55,028,875	$	(391,891	)

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	2,284,169,998		$	—	$	—
Affiliated Money Market Mutual Fund		178,676,661			—		—
U.S. Government Obligation		—			2,999,772		—
Other Financial Instruments*
Futures		(391,891	)		—		—
Total	$	2,462,454,768		$	2,999,772	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A152

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Oil, Gas & Consumable Fuels		8.9	%
Affiliated Money Market Mutual Fund (including 5.5% of collateral received for securities on loan)		7.6
Pharmaceuticals		5.2
Computers & Peripherals		4.9
Insurance		3.8
IT Services		3.7
Diversified Financial Services		3.5
Media		3.5
Software		3.4
Commercial Banks		2.7
Diversified Telecommunication Services		2.7
Chemicals		2.5
Healthcare Equipment & Supplies		2.5
Industrial Conglomerates		2.4
Aerospace & Defense	��	2.3
Beverages		2.3
Food & Staples Retailing		2.3
Internet Software & Services		2.2
Specialty Retail		2.2
Household Products		2.1
Real Estate Investment Trusts		2.1
Capital Markets		2.0
Communications Equipment		1.9
Electric Utilities		1.9
Healthcare Providers & Services		1.9
Machinery		1.9
Semiconductors & Semiconductor Equipment		1.9
Energy Equipment & Services		1.8
Hotels, Restaurants & Leisure		1.8
Tobacco		1.8
Food Products		1.7
Biotechnology		1.6
Multi-Utilities		1.2
Internet & Catalog Retail		1.0

Consumer Finance	0.9	%
Air Freight & Logistics	0.8
Multiline Retail	0.8
Road & Rail	0.8
Electrical Equipment	0.7
Metals & Mining	0.7
Textiles, Apparel & Luxury Goods	0.6
Automobiles	0.5
Commercial Services & Supplies	0.5
Life Sciences Tools & Services	0.5
Electronic Equipment, Instruments & Components	0.4
Auto Components	0.3
Household Durables	0.3
Wireless Telecommunication Services	0.3
Construction & Engineering	0.2
Paper & Forest Products	0.2
Personal Products	0.2
Trading Companies & Distributors	0.2
U.S. Government Obligation	0.2
Airlines	0.1
Containers & Packaging	0.1
Distributors	0.1
Diversified Consumer Services	0.1
Gas Utilities	0.1
Healthcare Technology	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Professional Services	0.1
Thrifts & Mortgage Finance	0.1
	105.4
Liabilities in excess of other assets	(5.4	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts		$	—	Due from broker — variation margin	$	391,891	*

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

The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2012 is as follows:

Amount of Realized Gain on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	7,667,963
Change in Unrealized Depreciation on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	(1,339,593	)

For the year ended December 31, 2012, the average value at trade date for futures long position was $48,182,801.

SEE NOTES TO FINANCIAL STATEMENTS.

A153

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $128,168,029:
Unaffiliated investments (cost $1,126,015,547)	$	2,287,169,770
Affiliated investments (cost $178,676,661)		178,676,661
Receivable for investments sold		3,020,845
Dividends and interest receivable		2,560,796
Due from broker—variation margin		1,398,875
Foreign tax reclaim receivable		19,310
Prepaid expenses		15,540
Receivable for Series shares sold		4,366
Total Assets		2,472,866,163
LIABILITIES
Collateral for securities on loan		129,522,551
Payable for investments purchased		1,683,877
Management fee payable		592,862
Payable for Series shares repurchased		551,672
Accrued expenses and other liabilities		127,028
Payable to custodian		122,832
Affiliated transfer agent fee payable		926
Total Liabilities		132,601,748
NET ASSETS	$	2,340,264,415
Net assets were comprised of:
Paid-in capital	$	1,128,501,387
Retained earnings		1,211,763,028
Net assets, December 31, 2012	$	2,340,264,415
Net asset value and redemption price per share, $2,340,264,415 / 65,639,105 outstanding shares of beneficial interest	$	35.65

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $9,655)	$	52,444,648
Affiliated income from securities loaned, net		322,112
Affiliated dividend income		89,524
Interest		2,364
		52,858,648
EXPENSES
Management fee		8,064,851
Custodian’s fees and expenses		228,000
Shareholders’ reports		151,000
Trustees’ fees		30,000
Insurance expenses		24,000
Audit fee		20,000
Legal fees and expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		15,632
Total expenses		8,564,483
Less: Management fee waiver (Note 3)		(1,152,122	)
Net expenses		7,412,361
NET INVESTMENT INCOME		45,446,287
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		47,849,129
Futures		7,667,963
		55,517,092
Net change in unrealized appreciation (depreciation) on:
Investments		232,183,193
Futures		(1,339,593	)
		230,843,600
NET GAIN ON INVESTMENTS		286,360,692
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	331,806,979

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	45,446,287		$	38,928,475
Net realized gain on investments		55,517,092			31,044,681
Net change in unrealized appreciation (depreciation) on investments		230,843,600			(25,573,488	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		331,806,979			44,399,668
DISTRIBUTIONS		(45,812,464	)		(36,002,280	)
SERIES SHARE TRANSACTIONS:
Series shares sold [1,497,834 and 1,251,307 shares, respectively]		52,031,635			39,571,327
Series shares issued in reinvestment of distributions [1,398,000 and 1,145,475 shares, respectively]		45,812,464			36,002,280
Series shares repurchased [5,978,533 and 6,278,327 shares, respectively]		(205,985,546	)		(199,110,942	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(108,141,447	)		(123,537,335	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		177,853,068			(115,139,947	)
NET ASSETS:
Beginning of year		2,162,411,347			2,277,551,294
End of year	$	2,340,264,415		$	2,162,411,347

SEE NOTES TO FINANCIAL STATEMENTS.

A154

	VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 96.9%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.1%
Boeing Co. (The)		269,527	$	20,311,555
United Technologies Corp.		81,442		6,679,058
				26,990,613
Airlines — 3.3%
Delta Air Lines, Inc.*		2,025,308		24,040,406
United Continental Holdings, Inc.*(a)		751,980		17,581,292
				41,621,698
Auto Components — 2.3%
Lear Corp.		624,686		29,260,292
Capital Markets — 4.4%
Goldman Sachs Group, Inc. (The)		192,866		24,601,987
Morgan Stanley		1,608,902		30,762,206
				55,364,193
Chemicals — 1.4%
Mosaic Co. (The)		316,537		17,925,490
Commercial Banks — 4.2%
PNC Financial Services Group, Inc.		298,572		17,409,733
Wells Fargo & Co.		1,043,839		35,678,417
				53,088,150
Communications Equipment — 1.5%
JDS Uniphase Corp.*		1,378,587		18,666,068
Computers & Peripherals — 1.6%
Apple, Inc.		37,128		19,790,338
Consumer Finance — 2.6%
American Express Co.		266,946		15,344,056
SLM Corp.		1,058,393		18,130,272
				33,474,328
Diversified Financial Services — 4.1%
Citigroup, Inc.		558,257		22,084,647
JPMorgan Chase & Co.		675,134		29,685,642
				51,770,289
Diversified Telecommunication Services — 1.7%
Vivendi SA (France)		979,917		22,161,869
Electronic Equipment & Instruments — 2.5%
Flextronics International Ltd.*		5,102,611		31,687,214
Energy Equipment & Services — 2.0%
Ensco PLC (Class A Stock)		164,952		9,778,355
Halliburton Co.		468,188		16,241,442
				26,019,797
Food & Staples Retailing — 3.1%
CVS Caremark Corp.		590,117		28,532,157
Wal-Mart Stores, Inc.		154,712		10,556,000
				39,088,157
Food Products — 6.3%
Bunge Ltd.		346,842		25,211,945
Kraft Foods Group, Inc.		106,706		4,851,922
Mondelez International, Inc. (Class A Stock)		462,454		11,778,703
Smithfield Foods, Inc.*		922,098		19,889,654
Tyson Foods, Inc. (Class A Stock)		947,203		18,375,738
				80,107,962

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 6.1%
CIGNA Corp.		382,890	$	20,469,299
Express Scripts Holding Co.*		325,885		17,597,790
HCA Holdings, Inc.		687,115		20,730,260
UnitedHealth Group, Inc.		344,736		18,698,481
				77,495,830
Hotels, Restaurants & Leisure — 3.5%
Carnival Corp.		368,141		13,536,545
Hyatt Hotels Corp. (Class A Stock)*(a)		365,240		14,087,307
International Game Technology		1,181,053		16,735,521
				44,359,373
Independent Power Producers & Energy Traders — 1.9%
Calpine Corp.*		1,319,285		23,918,637
Insurance — 3.6%
Arch Capital Group Ltd.*		142,912		6,290,986
Axis Capital Holdings Ltd.		176,134		6,101,282
MetLife, Inc.		612,072		20,161,652
Travelers Cos., Inc. (The)		181,311		13,021,756
				45,575,676
Internet Software & Services — 2.1%
Google, Inc. (Class A Stock)*		36,785		26,094,175
Media — 8.0%
Comcast Corp. (Class A Stock)		1,017,142		38,020,768
Liberty Global, Inc., Ser. C*		854,277		50,188,774
Viacom, Inc. (Class B Stock)		251,681		13,273,656
				101,483,198
Metals & Mining — 3.0%
Goldcorp, Inc.		542,791		19,920,430
Newmont Mining Corp.		391,726		18,191,755
				38,112,185
Oil, Gas & Consumable Fuels — 10.4%
Anadarko Petroleum Corp.		284,414		21,134,804
EOG Resources, Inc.		169,854		20,516,665
Marathon Oil Corp.		606,210		18,586,399
Newfield Exploration Co.*		294,077		7,875,382
Noble Energy, Inc.		274,845		27,962,730
Occidental Petroleum Corp.		250,380		19,181,612
Suncor Energy, Inc.		527,264		17,389,167
				132,646,759
Pharmaceuticals — 7.4%
Mylan, Inc.*		1,325,604		36,427,598
Pfizer, Inc.		895,444		22,457,736
Sanofi (France), ADR		384,288		18,207,565
Teva Pharmaceutical Industries Ltd. (Israel), ADR		446,967		16,689,748
				93,782,647
Road & Rail — 1.7%
Union Pacific Corp.		173,030		21,753,332
Semiconductors & Semiconductor Equipment — 1.8%
Maxim Integrated Products, Inc.		482,747		14,192,762
NVIDIA Corp.		730,077		8,972,646
				23,165,408

SEE NOTES TO FINANCIAL STATEMENTS.

A155

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software — 3.0%
CA, Inc.		697,042	$	15,320,983
Microsoft Corp.		869,258		23,235,266
				38,556,249
Wireless Telecommunication Services — 1.3%
MetroPCS Communications, Inc.*		912,764		9,072,874
NII Holdings, Inc.*		1,077,276		7,680,978
				16,753,852
TOTAL LONG-TERM INVESTMENTS (cost $1,000,571,372)				1,230,713,779
SHORT-TERM INVESTMENT — 4.5%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $56,574,361; includes $17,669,148 of cash collateral received for securities on loan) (Note 4)(b)(c)		56,574,361		56,574,361
TOTAL INVESTMENTS — 101.4% (cost $1,057,145,733)				1,287,288,140
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.4)%				(17,779,364	)
NET ASSETS — 100.0%			$	1,269,508,776

The following abbreviations are used in portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $17,459,170; cash collateral of $17,669,148 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,208,551,910	$	22,161,869	$	—
Affiliated Money Market Mutual Fund		56,574,361		—		—
Total	$	1,265,126,271	$	22,161,869	$	—

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

Oil, Gas & Consumable Fuels	10.4	%
Media	8.0
Pharmaceuticals	7.4
Food Products	6.3
Healthcare Providers & Services	6.1
Affiliated Money Market Mutual Fund (including 1.4% of collateral received for securities on loan)	4.5
Capital Markets	4.4
Commercial Banks	4.2
Diversified Financial Services	4.1
Insurance	3.6
Hotels, Restaurants & Leisure	3.5
Airlines	3.3
Food & Staples Retailing	3.1
Metals & Mining	3.0
Software	3.0
Consumer Finance	2.6
Electronic Equipment & Instruments	2.5
Auto Components	2.3
Aerospace & Defense	2.1
Internet Software & Services	2.1
Energy Equipment & Services	2.0
Independent Power Producers & Energy Traders	1.9
Semiconductors & Semiconductor Equipment	1.8
Diversified Telecommunication Services	1.7
Road & Rail	1.7
Computers & Peripherals	1.6
Communications Equipment	1.5
Chemicals	1.4
Wireless Telecommunication Services	1.3
	101.4
Liabilities in excess of other assets	(1.4	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A156

VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $17,459,170:
Unaffiliated investments (cost $1,000,571,372)	$	1,230,713,779
Affiliated investments (cost $56,574,361)		56,574,361
Cash		122,031
Dividends and interest receivable		451,712
Foreign tax reclaim receivable		194,867
Receivable for Series shares sold		11,114
Prepaid expenses		8,352
Total Assets		1,288,076,216
LIABILITIES
Collateral for securities on loan		17,669,148
Management fee payable		426,938
Payable for Series shares repurchased		282,235
Accrued expenses and other liabilities		185,203
Distribution fee payable		1,320
Deferred trustees’ fees		1,250
Affiliated transfer agent fee payable		926
Administration fee payable		420
Total Liabilities		18,567,440
NET ASSETS	$	1,269,508,776
Net assets were comprised of:
Paid-in capital	$	1,256,874,832
Retained earnings		12,633,944
Net assets, December 31, 2012	$	1,269,508,776
Class I:
Net asset value and redemption price per share, $1,263,262,151 / 69,917,041 outstanding shares of beneficial interest	$	18.07
Class II:
Net asset value and redemption price per share, $6,246,625 / 343,307 outstanding shares of beneficial interest	$	18.20

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $210,578)	$	22,493,374
Affiliated income from securities loaned, net		63,157
Affiliated dividend income		52,961
		22,609,492
EXPENSES
Management fee		5,064,199
Distribution fee—Class II		15,654
Administration fee—Class II		9,392
Shareholders’ reports		174,000
Custodian’s fees and expenses		114,000
Trustees’ fees		25,000
Audit fee		20,000
Insurance expenses		14,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Legal fees and expenses		11,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		11,134
Total expenses		5,475,379
NET INVESTMENT INCOME		17,134,113
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		(7,172,563	)
Foreign currency transactions		30,365
		(7,142,198	)
Net change in unrealized appreciation (depreciation) on:
Investments		162,786,904
Foreign currencies		(3,284	)
		162,783,620
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		155,641,422
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	172,775,535

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	17,134,113		$	12,321,325
Net realized gain (loss) on investments and foreign currencies		(7,142,198	)		127,551,003
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		162,783,620			(211,609,192	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		172,775,535			(71,736,864	)
DISTRIBUTIONS:
Class I		(12,289,580	)		(13,916,247	)
Class II		(34,396	)		(36,196	)
TOTAL DISTRIBUTIONS		(12,323,976	)		(13,952,443	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		7,601,414			11,696,328
Series shares issued in reinvestment of distributions		12,323,976			13,952,443
Series shares repurchased		(148,489,438	)		(142,367,941	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(128,564,048	)		(116,719,170	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		31,887,511			(202,408,477	)
NET ASSETS:
Beginning of year		1,237,621,265			1,440,029,742
End of year	$	1,269,508,776		$	1,237,621,265

SEE NOTES TO FINANCIAL STATEMENTS.

A157

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

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

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

High Yield Bond Portfolio:    High total return.

Jennison Portfolio:    Long-term growth of capital.

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

Natural Resources Portfolio:    Long-term growth of capital.

Small Capitalization Stock Portfolio:    Long-term growth of capital.

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

Value Portfolio:    Capital appreciation.

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

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.

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

B1

Various inputs are used in determining the value of the Portfolios’ investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following each Portfolio’s Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

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

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

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

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

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with input from deal terms, tranche level attributes, yield curves, prepayment speeds, and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

The Money Market Portfolio values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The other Portfolios value short-term debt securities of sufficient credit quality, which mature in sixty days or less, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swap agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

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

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed

B2

reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Restricted and Illiquid Securities:    Each Portfolio may hold up to 15% of their net assets (the Money Market Portfolio may hold up to 10% 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.

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

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

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

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

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

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

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

B3

Short Sales:    Certain Portfolios of the Series Fund may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

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

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

Certain Portfolios of the Series Fund entered into financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates and to manage yield curve duration. Certain Portfolios entered into equity index futures contracts to gain market exposure. The Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

Options:    Certain Portfolios of the Series Fund purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. Certain Portfolios also used purchased options to gain exposure to certain securities and foreign currencies. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. Over-the-counter options involve the risk of the potential inability of the counterparties to meet the terms of their contracts.

With exchange-traded futures and options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and options, and guarantees the futures and options contracts against default.

B4

Swap Agreements:    Certain Portfolios of the Series Fund may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with the counterparty (“OTC Traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange Traded”). The swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps:    Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Certain Portfolios used interest rate swaps to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life. This risk may be mitigated by having a master netting arrangement between the Portfolio and the counterparty which may permit the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

Credit Default Swaps:    Credit default swaps involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (“credit event”) for the referenced party, typically corporate issues or sovereign issues of an emerging country, on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

The Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. Certain Portfolios purchased credit default swaps to provide a measure of protection against defaults of the issuers. Certain Portfolios in the Series Fund used credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Certain Portfolios took an active short position with respect to the likelihood of particular issuer’s default by selling credit default swaps. The Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the notional value of a credit default swap agreement. A master netting arrangement between the Portfolio and the counterparty that permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

As a seller of protection on credit default swap agreements, a Portfolio will generally receive from the buyer of protection an agreed upon payment throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively increase investment risk to its portfolio because, in addition to its total net assets, a Portfolio may be subject to investment exposure on the notional amount of the swap.

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

Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on

B5

asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment and/or performance risk. Wider credit spreads and increasing market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates. In connection with these agreements, securities in the portfolio may be identified as collateral or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of December 31, 2012, none of the Portfolios have met conditions under such agreements, which give the counterparty the right to call for an early termination.

Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

Warrants and Rights:    Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Securities Lending:    Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities and any interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls:    Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

When-Issued/Delayed Delivery Securities:    Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

B6

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are charged directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Money Market Portfolio declares and reinvests distributions daily. The Diversified Bond, Government Income and High Yield Bond Portfolios make distributions, if any, quarterly. All other Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.

Estimates:    The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

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

Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.75
Government Income Portfolio	0.40		0.40
High Yield Bond Portfolio	0.55		0.55
Jennison Portfolio	0.60		0.60
Money Market Portfolio	0.40		0.17	*
Natural Resources Portfolio	0.45		0.45
Small Capitalization Stock Portfolio	0.40		0.40
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion		0.30	**
Value Portfolio	0.40		0.40

B7

* In order to support the income yield, PI has voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) does not fall below 0.00%. Prior to July 1, 2012, PI had voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) did not fall below 0.02%. Prior to March 2, 2010, that threshold was 0.05%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the year ended December 31, 2012, the total waiver as a result of this voluntary agreement was $2,238,233 or an annualized 0.23% of the Money Market Portfolio’s average daily net assets.

** Effective August 1, 2010, PI has voluntarily agreed to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

At December 31, 2012, the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:

Portfolio	Subadvisor(s)
Conservative Balanced Portfolio	PIM, QMA
Diversified Bond Portfolio	PIM
Equity Portfolio	Jennison
Flexible Managed Portfolio	PIM, QMA
Global Portfolio	LSV, Marsico, QMA, T. Rowe & William Blair
Government Income Portfolio	PIM
High Yield Bond Portfolio	PIM
Jennison Portfolio	Jennison
Money Market Portfolio	PIM
Natural Resources Portfolio	Jennison
Small Capitalization Stock Portfolio	QMA
Stock Index Portfolio	QMA
Value Portfolio	Jennison

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

The Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2012, brokerage commission recaptured under these agreements was as follows:

Portfolio	Commission Recaptured
Equity Portfolio	$	150,792
Global Portfolio		3,278
Jennison Portfolio		28,557
Natural Resources Portfolio		34,299
Value Portfolio		51,930

B8

Note 4: Other Transactions with Affiliates

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

PIM also serves as the Series Fund’s security lending agent. For the year ended December 31, 2012, PIM was compensated as follows for these services by the Series Fund Portfolios:

Portfolio	PIM
Conservative Balanced Portfolio	$	80,668
Diversified Bond Portfolio		64,035
Equity Portfolio		546,566
Flexible Managed Portfolio		55,819
Global Portfolio		34,854
Government Income Portfolio		5,974
High Yield Bond Portfolio		443,240
Jennison Portfolio		59,946
Natural Resources Portfolio		98,756
Small Capitalization Stock Portfolio		254,749
Stock Index Portfolio		96,215
Value Portfolio		18,865

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

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2012 were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	3,027,076,428	$	3,124,109,519
Diversified Bond Portfolio		1,100,850,694		1,443,209,685
Equity Portfolio		1,468,458,591		1,706,309,866
Flexible Managed Portfolio		5,348,778,903		5,449,118,743
Global Portfolio		324,562,963		366,366,916
Government Income Portfolio		4,471,531,989		4,521,968,356
High Yield Bond Portfolio		1,773,933,760		1,257,704,491
Jennison Portfolio		558,404,196		647,558,973
Natural Resources Portfolio		238,769,289		348,225,200
Small Capitalization Stock Portfolio		53,862,533		93,131,321
Stock Index Portfolio		48,232,425		160,463,387
Value Portfolio		352,240,923		488,799,125

Options written transactions, during the year ended December 31, 2012, were as follows:

Conservative Balanced Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		259			37,175
Options terminated in closing purchase transactions		(259	)		(37,175	)
Options expired		—			—
Balance as of December 31, 2012		—		$	—

B9

Diversified Bond Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		577			97,856
Options terminated in closing purchase transactions		(577	)		(97,856	)
Options expired		—			—
Balance as of December 31, 2012		—		$	—
Flexible Managed Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		339			48,461
Options terminated in closing purchase transactions		(339	)		(48,461	)
Options expired		—			—
Balance as of December 31, 2012		—		$	—
Government Income Portfolio	Contracts			Premiums
Balance as of December 31, 2011		—		$	—
Options written		245			35,176
Options terminated in closing purchase transactions		(245	)		(35,176	)
Options expired		—			—
Balance as of December 31, 2012		—		$	—

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2012, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.

B10

Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:

Equity Portfolio:

Class I	Shares			Amount
Year ended December 31, 2012:
Series shares sold		665,566		$	17,089,685
Series shares issued in reinvestment of distributions		764,646			18,817,932
Series shares repurchased		(9,596,928	)		(249,386,485	)
Net increase (decrease) in shares outstanding		(8,166,716	)	$	(213,478,868	)
Year ended December 31, 2011:
Series shares sold		781,393		$	19,351,385
Series shares issued in reinvestment of distributions		887,087			22,097,344
Series shares repurchased		(9,666,900	)		(241,561,350	)
Net increase (decrease) in shares outstanding		(7,998,420	)	$	(200,112,621	)
Class II
Year ended December 31, 2012:
Series shares sold		2,851		$	75,562
Series shares issued in reinvestment of distributions		170			4,233
Series shares repurchased		(18,112	)		(453,228	)
Net increase (decrease) in shares outstanding		(15,091	)	$	(373,433	)
Year ended December 31, 2011:
Series shares sold		23,819		$	618,805
Series shares issued in reinvestment of distributions		159			4,010
Series shares repurchased		(18,984	)		(458,348	)
Net increase (decrease) in shares outstanding		4,994		$	164,467

Jennison Portfolio:

Class I	Shares			Amount
Year ended December 31, 2012:
Series shares sold		1,025,506		$	27,133,671
Series shares issued in reinvestment of distributions		75,735			1,936,533
Series shares repurchased		(4,559,725	)		(120,020,319	)
Net increase (decrease) in shares outstanding		(3,458,484	)	$	(90,950,115	)
Year ended December 31, 2011:
Series shares sold		960,647		$	23,005,710
Series shares issued in reinvestment of distributions		152,637			3,609,872
Series shares repurchased		(11,249,998	)		(275,658,994	)
Net increase (decrease) in shares outstanding		(10,136,714	)	$	(249,043,412	)
Class II
Year ended December 31, 2012:
Series shares sold		466,072		$	12,156,641
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(592,524	)		(15,413,992	)
Net increase (decrease) in shares outstanding		(126,452	)	$	(3,257,351	)
Year ended December 31, 2011:
Series shares sold		317,015		$	7,584,519
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(372,193	)		(8,715,225	)
Net increase (decrease) in shares outstanding		(55,178	)	$	(1,130,706	)

B11

Natural Resources Portfolio:

Class I	Shares			Amount
Year ended December 31, 2012:
Series shares sold		364,027		$	13,108,269
Series shares issued in reinvestment of distributions		2,374,743			73,450,794
Series shares repurchased		(3,246,104	)		(115,601,851	)
Net increase (decrease) in shares outstanding		(507,334	)	$	(29,042,788	)
Year ended December 31, 2011:			��
Series shares sold		412,131		$	18,208,621
Series shares issued in reinvestment of distributions		47,177			2,137,134
Series shares repurchased		(2,846,544	)		(127,557,784	)
Net increase (decrease) in shares outstanding		(2,387,236	)	$	(107,212,029	)
Class II
Year ended December 31, 2012:
Series shares sold		736,538		$	28,087,620
Series shares issued in reinvestment of distributions		177,121			5,441,151
Series shares repurchased		(879,763	)		(32,758,901	)
Net increase (decrease) in shares outstanding		33,896		$	769,870
Year ended December 31, 2011:
Series shares sold		875,550		$	37,590,119
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(1,252,490	)		(53,728,764	)
Net increase (decrease) in shares outstanding		(376,940	)	$	(16,138,645	)

Value Portfolio:

Class I	Shares			Amount
Year ended December 31, 2012:
Series shares sold		430,235		$	7,336,846
Series shares issued in reinvestment of distributions		770,990			12,289,580
Series shares repurchased		(8,582,460	)		(147,590,033	)
Net increase (decrease) in shares outstanding		(7,381,235	)	$	(127,963,607	)
Year ended December 31, 2011:
Series shares sold		661,360		$	11,056,833
Series shares issued in reinvestment of distributions		806,739			13,916,247
Series shares repurchased		(8,283,301	)		(141,040,811	)
Net increase (decrease) in shares outstanding		(6,815,202	)	$	(116,067,731	)
Class II
Year ended December 31, 2012:
Series shares sold		15,559		$	264,568
Series shares issued in reinvestment of distributions		2,138			34,396
Series shares repurchased		(51,890	)		(899,405	)
Net increase (decrease) in shares outstanding		(34,193	)	$	(600,441	)
Year ended December 31, 2011:
Series shares sold		36,870		$	639,495
Series shares issued in reinvestment of distributions		2,080			36,196
Series shares repurchased		(78,020	)		(1,327,130	)
Net increase (decrease) in shares outstanding		(39,070	)	$	(651,439	)

B12

Note 8: Borrowings

The Portfolios (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to November 15, 2012, the Funds had another SCA with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the year ended December 31, 2012. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Amount Outstanding at December 31, 2012
Equity Portfolio	$	340,000		1		1.49	%	$	—
Jennison Portfolio		369,000		5		1.51			—

Note 9: Ownership and Affiliates

As of December 31, 2012, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10: New Accounting Pronouncement

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

B13

Financial Highlights

	Conservative Balanced Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	16.32		$	15.96		$	14.65		$	12.69		$	16.69
Income (Loss) From Investment Operations:
Net investment income		.38			.36			.37			.39			.50
Net realized and unrealized gain (loss) on investments		1.43			.37			1.31			2.08			(3.98	)
Total from investment operations		1.81			.73			1.68			2.47			(3.48	)
Less Distributions		(.36	)		(.37	)		(.37	)		(.51	)		(.52	)
Net Asset Value, end of year	$	17.77		$	16.32		$	15.96		$	14.65		$	12.69
Total Return(b)		11.23	%		4.60	%		11.74	%		20.01	%		(21.41	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,287.0		$	2,191.6		$	2,234.7		$	2,138.7		$	1,957.5
Ratios to average net assets(c):
Expenses		.58	%		.59	%		.59	%		.59	%		.59	%
Net investment income		2.11	%		2.12	%		2.32	%		2.68	%		3.12	%
Portfolio turnover rate(d)		188	%		215	%		185	%		250	%		336	%
	Diversified Bond Portfolio
	Year Ended December 31,
	2012(a)			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.74		$	11.67		$	11.16		$	9.89		$	10.90
Income (Loss) From Investment Operations:
Net investment income		.54			.56			.52			.50			.54
Net realized and unrealized gain (loss) on investments		.66			.30			.63			1.46			(.90	)
Total from investment operations		1.20			.86			1.15			1.96			(.36	)
Less Distributions		(1.06	)		(.79	)		(.64	)		(.69	)		(.65	)
Net Asset Value, end of year	$	11.88		$	11.74		$	11.67		$	11.16		$	9.89
Total Return(b)		10.68	%		7.51	%		10.57	%		20.51	%		(3.46	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,305.9		$	1,556.9		$	1,522.9		$	1,363.5		$	1,134.8
Ratios to average net assets(c):
Expenses		.44	%		.42	%		.46	%		.44	%		.44	%
Net investment income		4.57	%		4.76	%		4.46	%		4.79	%		5.07	%
Portfolio turnover rate		144	%		167	%		191	%		401	%		723	%

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	Equity Portfolio
	Class I
	Year Ended December 31,
	2012(c)			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	23.73		$	24.75		$	22.30		$	16.40		$	29.67
Income (Loss) From Investment Operations:
Net investment income		.27			.13			.15			.16			.29
Net realized and unrealized gain (loss) on investments		2.96			(.98	)		2.48			6.04			(10.52	)
Total from investment operations		3.23			(.85	)		2.63			6.20			(10.23	)
Less Distributions:		(.15	)		(.17	)		(.18	)		(.30	)		(3.04	)
Net Asset Value, end of year	$	26.81		$	23.73		$	24.75		$	22.30		$	16.40
Total Return(a)		13.69	%		(3.47	)%		11.90	%		38.17	%		(38.16	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,167.0		$	2,997.5		$	3,324.3		$	3,195.1		$	2,521.0
Ratios to average net assets(b):
Expenses		.47	%		.48	%		.48	%		.48	%		.48	%
Net investment income		1.04	%		.58	%		.71	%		.90	%		1.21	%
Portfolio turnover rate		48	%		49	%		68	%		98	%		67	%
	Equity Portfolio
	Class II
	Year Ended December 31,
	2012(c)			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	23.99		$	25.00		$	22.46		$	16.47		$	29.81
Income (Loss) From Investment Operations:
Net investment income		.17			.06			.04			.09			.19
Net realized and unrealized gain (loss) on investments		3.00			(1.03	)		2.54			6.07			(10.61	)
Total from investment operations		3.17			(.97	)		2.58			6.16			(10.42	)
Less Distributions:		(.06	)		(.04	)		(.04	)		(.17	)		(2.92	)
Net Asset Value, end of year	$	27.10		$	23.99		$	25.00		$	22.46		$	16.47
Total Return(a)		13.23	%		(3.87	)%		11.50	%		37.58	%		(38.47	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1.8		$	2.0		$	1.9		$	.4		$	.4
Ratios to average net assets(b):
Expenses		.87	%		.88	%		.88	%		.88	%		.88	%
Net investment income		.63	%		.19	%		.34	%		.52	%		.78	%
Portfolio turnover rate		48	%		49	%		68	%		98	%		67	%

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

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

(c) Calculation based on average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	Flexible Managed Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.99		$	15.63		$	14.28		$	12.34		$	18.30
Income (Loss) From Investment Operations:
Net investment income		.37			.33			.31			.34			.45
Net realized and unrealized gain (loss) on investments		1.74			.34			1.37			2.05			(4.62	)
Total from investment operations		2.11			.67			1.68			2.39			(4.17	)
Less Distributions		(.33	)		(.31	)		(.33	)		(.45	)		(1.79	)
Net Asset Value, end of year	$	17.77		$	15.99		$	15.63		$	14.28		$	12.34
Total Return(a)		13.37	%		4.34	%		12.03	%		19.95	%		(24.82	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,265.8		$	3,036.8		$	3,077.3		$	2,906.0		$	2,621.6
Ratios to average net assets(b):
Expenses		.63	%		.63	%		.64	%		.63	%		.64	%
Net investment income		2.05	%		2.01	%		2.06	%		2.50	%		2.85	%
Portfolio turnover rate(c)		214	%		246	%		205	%		248	%		321	%
	Global Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	16.94		$	18.49		$	16.68		$	13.07		$	24.62
Income (Loss) From Investment Operations:
Net investment income		.36			.29			.28			.28			.40
Net realized and unrealized gain (loss) on investments		2.57			(1.56	)		1.79			3.75			(10.38	)
Total from investment operations		2.93			(1.27	)		2.07			4.03			(9.98	)
Less Distributions		(.30	)		(.28	)		(.26	)		(.42	)		(1.57	)
Net Asset Value, end of year	$	19.57		$	16.94		$	18.49		$	16.68		$	13.07
Total Return(a)		17.52	%		(6.97	)%		12.74	%		31.39	%		(42.92	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	611.2		$	564.2		$	648.5		$	619.5		$	512.7
Ratios to average net assets(b):
Expenses		.84	%		.84	%		.87	%		.85	%		.84	%
Net investment income		1.82	%		1.54	%		1.60	%		1.77	%		2.01	%
Portfolio turnover rate		57	%		69	%		69	%		50	%		65	%

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	Government Income Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.37		$	12.03		$	11.86		$	11.40		$	11.38
Income From Investment Operations:
Net investment income		.25			.30			.35			.37			.45
Net realized and unrealized gain on investments		.19			.60			.47			.49			.03
Total from investment operations		.44			.90			.82			.86			.48
Less Distributions		(.66	)		(.56	)		(.65	)		(.40	)		(.46	)
Net Asset Value, end of year	$	12.15		$	12.37		$	12.03		$	11.86		$	11.40
Total Return(a)		3.63	%		7.63	%		6.99	%		7.71	%		4.30	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	382.9		$	416.7		$	399.2		$	375.4		$	370.5
Ratios to average net assets(b):
Expenses		.48	%		.46	%		.50	%		.47	%		.52	%(d)
Net investment income		1.96	%		2.48	%		2.87	%		3.11	%		3.98	%(d)
Portfolio turnover rate(c)		1154	%		1554	%		1122	%		1179	%		2707	%
	High Yield Bond Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	4.93		$	5.06		$	4.83		$	3.61		$	5.09
Income (Loss) From Investment Operations:
Net investment income		.35			.38			.42			.41			.41
Net realized and unrealized gain (loss) on investments		.34			(.13	)		.23			1.22			(1.48	)
Total from investment operations		.69			.25			.65			1.63			(1.07	)
Less Distributions		(.36	)		(.38	)		(.42	)		(.41	)		(.41	)
Net Asset Value, end of year	$	5.26		$	4.93		$	5.06		$	4.83		$	3.61
Total Return(a)		14.43	%		5.10	%		14.05	%		47.16	%		(22.28	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,841.8		$	2,158.4		$	2,141.2		$	1,938.3		$	1,239.9
Ratios to average net assets(b):
Expenses		.57	%		.58	%		.58	%		.58	%		.58	%
Net investment income		6.95	%		7.53	%		8.51	%		9.75	%		8.78	%
Portfolio turnover rate		53	%		68	%		89	%		84	%		61	%

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

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

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

(d) Includes interest expense of .03%.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

	Jennison Portfolio
	Class I
	Year Ended December 31,
	2012(a)			2011			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	23.26		$	23.26		$	20.87		$	14.69		$	23.53
Income (Loss) From Investment Operations:
Net investment income		.11			.03			.06			.08			.10
Net realized and unrealized gain (loss) on investments		3.65			.04			2.42			6.22			(8.84	)
Total from investment operations		3.76			.07			2.48			6.30			(8.74	)
Less Distributions		(.04	)		(.07	)		(.09	)		(.12	)		(.10	)
Net Asset Value, end of year	$	26.98		$	23.26		$	23.26		$	20.87		$	14.69
Total Return(b)		16.18	%		.30	%		11.95	%		43.03	%		(37.28	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,213.3		$	1,126.3		$	1,362.1		$	1,298.7		$	1,148.0
Ratios to average net assets(c):
Expenses		.63	%		.64	%		.64	%		.64	%		.63	%
Net investment income		.42	%		.16	%		.29	%		.44	%		.52	%
Portfolio turnover rate		45	%		51	%		67	%		76	%		74	%
	Jennison Portfolio
	Class II
	Year Ended December 31,
	2012(a)			2011			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	22.89		$	22.91		$	20.55		$	14.46		$	23.17
Income (Loss) From Investment Operations:
Net investment income (loss)		—	(d)		(.07	)		(.02	)		.01			.02
Net realized and unrealized gain (loss) on investments		3.60			.05			2.38			6.13			(8.72	)
Total from investment operations		3.60			(.02	)		2.36			6.14			(8.70	)
Less Distributions		—			—			—	(d)		(.05	)		(.01	)
Net Asset Value, end of year	$	26.49		$	22.89		$	22.91		$	20.55		$	14.46
Total Return(b)		15.73	%		(.09	)%		11.50	%		42.52	%		(37.55	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	33.6		$	31.9		$	33.2		$	20.2		$	12.2
Ratios to average net assets(c):
Expenses		1.03	%		1.04	%		1.04	%		1.04	%		1.03	%
Net investment income (loss)		.02	%		(.24	)%		(.10	)%		.03	%		.12	%
Portfolio turnover rate		45	%		51	%		67	%		76	%		74	%

(a) Calculated based upon average shares outstanding during the year.

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

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

(d) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

Financial Highlights

	Money Market Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income From Investment Operations:
Net investment income and realized gains		—	(a)		—	(a)		—	(a)		.04			.26
Distributions		—	(a)		—	(a)		—	(a)		(.04	)		(.26	)
Capital contributions(d)		—			—			—	(a)		—			—
Net Asset Value, end of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(b)		.01	%		.02	%		.03	%		.40	%		2.65	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	903.5		$	1,016.0		$	1,127.1		$	1,223.4		$	1,489.8
Ratios to average net assets:
Expenses		.21	%(c)		.18	%(c)		.25	%(c)		.39	%(c)		.43	%
Net investment income		.01	%(c)		.02	%(c)		.03	%(c)		.41	%(c)		2.59	%

(a) Less than $.005 per share.

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

(c) Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income(loss) ratio would have been .44% and (.22)% for the year ended December 31, 2012, .42% and (.22)% for the year ended December 31, 2011, .44% and (.16)% for the year ended December 31, 2010 and .43% and .37% for the year ended December 31, 2009, respectively.

(d) The Portfolio received payments related to an unaffiliated-third-party’s settlement of regulatory proceedings involving allegations of improper trading in Portfolio shares during the fiscal year ended December 31, 2010. The Portfolio was not involved in the proceedings or in the calculation of the amount of settlement.

SEE NOTES TO FINANCIAL STATEMENTS.

C6

Financial Highlights

	Natural Resources Portfolio
	Class I
	Year Ended December 31,
	2012			2011(a)			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	38.25		$	47.33		$	37.15		$	23.70		$	56.28
Income (Loss) From Investment Operations:
Net investment income		.25			.16			.08			.15			.22
Net realized and unrealized gain (loss) on investments		(1.49	)		(9.16	)		10.26			17.34			(25.97	)
Total from investment operations		(1.24	)		(9.00	)		10.34			17.49			(25.75	)
Less Distributions		(3.18	)		(.08	)		(.16	)		(4.04	)		(6.83	)
Net Asset Value, end of year	$	33.83		$	38.25		$	47.33		$	37.15		$	23.70
Total Return(b)		(2.47	)%		(19.03	)%		27.98	%		77.10	%		(53.00	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	802.2		$	926.6		$	1,259.5		$	1,079.6		$	677.4
Ratios to average net assets(c):
Expenses		.50	%		.50	%		.50	%		.53	%		.50	%
Net investment income		.71	%		.36	%		.22	%		.51	%		.47	%
Portfolio turnover rate		26	%		34	%		28	%		27	%		40	%
	Natural Resources Portfolio
	Class II
	Year Ended December 31,
	2012			2011(a)			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	37.89		$	46.98		$	36.88		$	23.54		$	55.92
Income (Loss) From Investment Operations:
Net investment income (loss)		.12			(.02	)		(.07	)		.03			.05
Net realized and unrealized gain (loss) on investments		(1.51	)		(9.07	)		10.20			17.21			(25.86	)
Total from investment operations		(1.39	)		(9.09	)		10.13			17.24			(25.81	)
Less Distributions		(3.00	)		—			(.03	)		(3.90	)		(6.57	)
Net Asset Value, end of year	$	33.50		$	37.89		$	46.98		$	36.88		$	23.54
Total Return(b)		(2.94	)%		(19.35	)%		27.48	%		76.41	%		(53.19	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	61.2		$	67.9		$	101.9		$	92.6		$	42.3
Ratios to average net assets(c):
Expenses		.90	%		.90	%		.90	%		.93	%		.90	%
Net investment income (loss)		.31	%		(.04	)%		(.18	)%		.10	%		.12	%
Portfolio turnover rate		26	%		34	%		28	%		27	%		40	%

(a) Calculated based upon average shares outstanding during the year.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C7

Financial Highlights

	Small Capitalization Stock Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	17.00		$	17.27		$	13.83		$	12.52		$	21.31
Income (Loss) From Investment Operations:
Net investment income		.26			.10			.13			.14			.24
Net realized and unrealized gain (loss) on investments		2.35			—	(c)		3.43			2.70			(5.92	)
Total from investment operations		2.61			.10			3.56			2.84			(5.68	)
Less Distributions		(1.05	)		(.37	)		(.12	)		(1.53	)		(3.11	)
Net Asset Value, end of year	$	18.56		$	17.00		$	17.27		$	13.83		$	12.52
Total Return(a)		16.03	%		.56	%		25.93	%		25.18	%		(31.04	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	578.4		$	542.6		$	589.9		$	492.2		$	432.5
Ratios to average net assets(b):
Expenses		.46	%		.48	%		.49	%		.49	%		.47	%
Net investment income		1.43	%		.60	%		.88	%		1.03	%		1.33	%
Portfolio turnover rate		10	%		17	%		15	%		14	%		25	%
	Stock Index Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	31.47		$	31.37		$	27.89		$	22.76		$	36.84
Income (Loss) From Investment Operations:
Net investment income		.68			.54			.48			.49			.64
Net realized and unrealized gain (loss) on investments		4.19			.07			3.51			5.32			(14.02	)
Total from investment operations		4.87			.61			3.99			5.81			(13.38	)
Less Distributions		(.69	)		(.51	)		(.51	)		(.68	)		(.70	)
Net Asset Value, end of year	$	35.65		$	31.47		$	31.37		$	27.89		$	22.76
Total Return(a)		15.68	%		1.95	%		14.59	%		26.07	%		(36.94	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,340.3		$	2,162.4		$	2,277.6		$	2,098.1		$	1,815.8
Ratios to average net assets(b):
Expenses		.32	%(d)		.33	%(d)		.36	%(d)		.37	%		.37	%
Net investment income		1.97	%(d)		1.74	%(d)		1.70	%(d)		2.06	%		2.04	%
Portfolio turnover rate		2	%		2	%		4	%		5	%		4	%

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

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

(c) Less than $0.005 per share.

(d) Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income ratio would have been .37% and 1.92% for the year ended December 31, 2012, .38% and 1.69% for the year ended December 31, 2011 and .38% and 1.68% for the year ended December 31, 2010, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

C8

Financial Highlights

	Value Portfolio
	Class I
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	15.93		$	17.04		$	15.10		$	10.86		$	23.44
Income (Loss) From Investment Operations:
Net investment income		.22			.14			.17			.14			.30
Net realized and unrealized gain (loss) on investments		2.09			(1.08	)		1.90			4.36			(8.36	)
Total from investment operations		2.31			(.94	)		2.07			4.50			(8.06	)
Less Distributions		(.17	)		(.17	)		(.13	)		(.26	)		(4.52	)
Net Asset Value, end of year	$	18.07		$	15.93		$	17.04		$	15.10		$	10.86
Total Return(a)		14.62	%		(5.58	)%		13.86	%		41.93	%		(42.29	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,263.3		$	1,231.6		$	1,432.9		$	1,181.7		$	933.1
Ratios to average net assets(b):
Expenses		.43	%		.43	%		.44	%		.43	%		.43	%
Net investment income		1.36	%		.90	%		1.08	%		1.15	%		1.46	%
Portfolio turnover rate		28	%		43	%		63	%		51	%		71	%
	Value Portfolio
	Class II
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	16.04		$	17.13		$	15.16		$	10.91		$	23.51
Income (Loss) From Investment Operations:
Net investment income		.17			.08			.12			.13			.21
Net realized and unrealized gain (loss) on investments		2.08			(1.08	)		1.90			4.33			(8.38	)
Total from investment operations		2.25			(1.00	)		2.02			4.46			(8.17	)
Less Distributions		(.09	)		(.09	)		(.05	)		(.21	)		(4.43	)
Net Asset Value, end of year	$	18.20		$	16.04		$	17.13		$	15.16		$	10.91
Total Return(a)		14.14	%		(5.89	)%		13.39	%		41.26	%		(42.56	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	6.2		$	6.0		$	7.1		$	3.7		$	1.7
Ratios to average net assets(b):
Expenses		.83	%		.83	%		.84	%		.83	%		.83	%
Net investment income		.95	%		.50	%		.69	%		.74	%		1.08	%
Portfolio turnover rate		28	%		43	%		63	%		51	%		71	%

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C9

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, High Yield Bond Portfolio, Jennison Portfolio, Money Market Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, Stock Index Portfolio and Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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

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

New York, New York

February 15, 2013

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (45) No. of Portfolios Overseen: 92	Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat (63) No. of Portfolios Overseen: 92	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.).
Kay Ryan Booth (62) No. of Portfolios Overseen: 92	Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold (74) No. of Portfolios Overseen: 92	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
W. Scott McDonald, Jr., Ph.D. (75) No. of Portfolios Overseen: 92	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None.
Thomas T. Mooney (71) No. of Portfolios Overseen: 92	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.
Thomas M. O’Brien (62) No. of Portfolios Overseen: 92	Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.

E1

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
F. Don Schwartz (77) No. of Portfolios Overseen: 92	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.
Interested Trustees(1)
Robert F. O’Donnell (44) No. of Portfolios Overseen: 92	President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008)	None.
Robert F. Gunia (66) No. of Portfolios Overseen: 92	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (47) Number of Portfolios Overseen: 92	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Timothy S. Cronin, 2011; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; F. Don Schwartz, 2003.

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara (57) Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Deborah A. Docs (54) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (54) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (38) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).
Andrew R. French (50) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Amanda S. Ryan (35) Assistant Secretary	Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of PI; Associate at Ropes & Gray (2008-2012).
Valerie M. Simpson (53) Chief Compliance Officer	Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President – Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (50) Deputy Chief Compliance Officer	Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001-2004).

E2

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Richard W. Kinville (44) Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (53) Treasurer and Principal Financial and Accounting Officer	Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.
M. Sadiq Peshimam (49) Assistant Treasurer	Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (54) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (56) Assistant Treasurer	Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. O’Donnell and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

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

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert O’Donnell and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

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

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

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

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.

E3

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced above, variable life insurance contract owners.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (800)778-2255.

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy that you have chosen. Please refer to your variable life insurance prospectus to determine which portfolios are available to you.

Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.

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

Life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0239280-00001-00    PSF-AR-A-ILI

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT Ÿ DECEMBER 31, 2012

This report is one of several that provides financial information about certain investment choices available under variable life insurance contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance contract prospectus to determine which portfolios are available to you.

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

Please note that this document may include prospectus supplements that are separate from and not a part of the annual report. Please refer to your variable life insurance contract prospectus to determine which supplements are applicable to you.

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SP International Growth Portfolio

SP International Value Portfolio

SP Prudential U.S. Emerging Growth Portfolio

SP Small Cap Value Portfolio

The Prudential Series Fund Table of Contents Annual Report December 31, 2012

n LETTER TO CONTRACT OWNERS

n MANAGEMENT REVIEW

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	SP International Growth Portfolio	A1
	SP International Value Portfolio	A6
	SP Prudential U.S. Emerging Growth Portfolio	A13
	SP Small Cap Value Portfolio	A17
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.

The Prudential Series Fund Letter to Contract Owners Annual Report December 31, 2012

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund January 31, 2013

The Prudential Series Fund, SP International Growth Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		22.40	%		-4.14	%		8.29	%
Portfolio: Class II		21.86			-4.52			7.85
MSCI EAFE® Index (GD)		17.90			-3.21			8.70

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

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

$10,000 INVESTED OVER 10 YEARS¹

For the year ended December 31, 2012 the SP International Growth Portfolio Class I shares returned 22.40% and the Class II shares returned 21.86%.

The Portfolio’s assets are independently subadvised by William Blair & Company, Marsico Capital Management, LLC, and Jennison Associates LLC. The Portfolio’s investment objective is long-term growth of capital.

The MSCI EAFE Index (GD) (the Index) climbed by 17.90% for the year. Growth style international stocks slightly trailed international value. The Index’s return was dominated by its financials sector, which makes up almost a quarter of the Index by capitalization and which rose more than 28% in U.S. Dollars. The consumer discretionary sector also made a significant contribution. Japan lagged considerably behind, and Europe, despite the economic uncertainty there, turned in a strong performance. The United Kingdom was about average. The international telecommunications, energy, and utilities sectors had negative returns over the year.

The Portfolio beat the Index primarily because of good stock selection, as information technology holdings of all three managers advanced significantly. Selections in western European countries, such as the Netherlands, Spain, Germany, France, and the United Kingdom, enhanced returns. The Portfolio also benefited from allocations to emerging markets countries, such as China and South Korea, which are not included in the Index. All three subadvisers routinely invest in emerging markets stocks, as they have found significant growth opportunities within these countries.

For years, William Blair and Marsico have underweighted Japan, as opportunities for rapid growth have been difficult to find. Jennison underweights Japan as well. In addition, William Blair and Marsico tended to underweight Spain, a country with greater economic problems than many other European countries. These underweights added to relative performance in 2012, as both markets lagged the Index. The subadvisers were all overweight technology compared with the Index and underweight financial companies, which tend to have lower growth rates. However, as global economic conditions improved toward the latter part of the year, European financial stocks began to recover from their earlier declines, buoying returns in that sector. Furthermore, information technology stocks failed to keep pace with the rest of the international market. Consequently, sector allocation detracted from returns overall.

At times, William Blair will hedge currencies in their segment. In periods of 2012, this had a positive impact, as the dollar advanced against the Japanese yen and British sterling. The yen weakened on expectations that changes in the Japanese government would lead to a more accommodative monetary policy, while weak economic fundamentals and lack of progress in addressing Britain’s fiscal issues led to a weaker sterling.

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

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

MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

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

The Prudential Series Fund, SP International Value Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		16.92	%		-3.58	%		7.87	%
MSCI EAFE® Index (GD)		17.90			-3.21			8.70

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

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

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2012, the SP International Value Portfolio returned 16.92%.

The Portfolio’s assets are independently subadvised by LSV Asset Management and Thornburg Investment Management. The Portfolio’s investment objective is long-term capital appreciation.

The MSCI EAFE Index (GD) climbed by 17.90% for the year.

International growth asset managers had an easier time outperforming their benchmark indexes than did international value asset managers. The MSCI EAFE Index outperformed almost half of the funds in the Lipper VP International Core and International Value universes, but underperformed the growth universe by over 200 basis points. The financials sector dominated the return of the MSCI EAFE Index during the year and, taking a broad view of the universe of international value managers, shows that most value managers were underweight to this outperforming sector. The Portfolio was no exception, as the Portfolio’s underperformance of the Index was largely the result of asset selection and a slight overall sector underweight to financials.

The Portfolio’s struggles within this sector were affected both by the index financial companies the Portfolio did not hold, like HSBC Holdings (+44%), Commonwealth Bank of Australia (+36%), and Lloyds Banking Group (+93%) and a number of those held during the year. Among the top detractors in this sector were holdings in a Brazilian based bank, Itau Unibanco Holdings (-21%), an Australian life insurance company, Challenger Ltd (-9%), and banks in China and Japan.

Relative strength in the Portfolio came from stock selection in the materials, technology, and utilities sectors and broadly in Japan, United Kingdom, Ireland, France, and Germany.

A small, yet consistent, allocation to cash, held to assist with day-to-day cash flow management, had a negative impact on performance, as foreign equity markets rallied strongly in 2012.

From time to time, Thornburg will use currency forwards (a form of a derivative security) as a tool to hedge some of the currency risk from investing in non-U.S. stocks. This intermittent hedging strategy is not expected to have a significant impact on the performance of the overall Portfolio, and in 2012, foreign exchange hedging had a slightly negative effect.

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

MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		16.88	%		5.42	%		12.97	%
Portfolio: Class II		16.44			5.05			12.56
Russell Midcap® Growth Index		15.81			3.23			10.32
S&P Midcap 400 Index		17.88			5.15			10.53

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

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). The

$10,000 INVESTED OVER 10 YEARS¹

Russell Midcap^® Growth Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

For the year ended December 31, 2012, the SP Prudential U.S. Emerging Growth Portfolio Class I shares returned 16.88% and Class II shares returned 16.44%.

The Portfolio is subadvised by Jennison Associates LLC. The Portfolio’s investment objective is long-term capital appreciation.

The Portfolio outperformed its benchmark, the Russell MidCap^® Growth Index.

Stock selection in energy contributed the most to outperformance, followed closely by security choices in information technology. Individual contributors, however, came from a diverse group of securities.

Crown Castle International, which operates and leases towers and other infrastructure for wireless communications in the United States and Australia, benefitted from an upgrade to 4G networks by the four major wireless carriers.

DaVita, a leading provider of dialysis services, reported a very strong quarter and provided solid 2013 earnings guidance. This positive outlook included its recent purchase of Health Care Partners, the largest at-risk medical provider group in the country. DaVita reported above-market growth and continued to demonstrate solid expense control.

PVH Corp. announced that it would acquire The Warnaco Group, a sportswear and intimate apparel company whose major brands include Calvin Klein underwear and jeans and Speedo, creating an $8 billion industry powerhouse. Jennison likes the growth potential for both companies’ brands.

Shares of Rackspace Hosting, a global provider of cloud computing services to businesses, rose on signs that its migration to OpenStack, a new cloud infrastructure, was progressing well. Rackspace gained 10,000 new customers during its second quarter and reported earnings that exceeded expectations.

Stock selection in the consumer sectors and financials was comparatively weak. Key detractors were also diverse and included NII Holdings, Herbalife, and Riverbed Technology.

NII Holdings repeatedly posted larger-than-expected-earnings losses due to price competition and weaker local currency rates. Its focus has been on introducing its 3G services on a new network in Chile, Mexico, and Brazil and enhancing its Push-to-Talk (PTT) services. The company introduced its 3G service in Mexico at the end of September and is on schedule to launch 3G services in Brazil. Jennison believes that it will still be several quarters until the turnaround begins to generate profits.

In what was a volatile twelve months, shares of Herbalife, which distributes weight management, nutrition, and other products, ended significantly lower. Two major hedge fund managers raised questions about the company’s distribution and disclosure practices. Jennison finds the company’s distribution model complex, but believes Herbalife is operating legitimately. It had a very strong first quarter, with growth in sales volume up double digits in five out of the six regions it operates in globally. Jennison likes the company’s continued pursuit of new markets, its generation of new products for existing markets, and its strong cash flow.

Riverbed Technology, which provides equipment that accelerates data-center traffic and applications, reported first quarter revenues in June that fell short of expectations and issued lower-than-expected revenue guidance for the second quarter. In Jennison’s view, softness in several of Riverbed’s major markets could have significantly weakened growth prospects. The Portfolio exited its position in the stock.

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

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

Russell Midcap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. S&P Midcap 400 Index is a widely accepted, unmanaged total return index of 400 domestic stocks measuring the performance of the midsize company segment of the U.S. stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

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

The Prudential Series Fund, SP Small Cap Value Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		16.06	%		5.31	%		9.17	%
Russell 2000® Value Index		18.05			3.55			9.50
Russell 2500™ Index		17.88			4.34			10.49

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

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 2000^® Value and Russell 2500^TM Index are trademark/service marks of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2012, the SP Small Cap Value Portfolio returned 16.06%.

The Portfolio is subadvised by Goldman Sachs Asset Management, L.P. (Goldman) and ClearBridge Investments, LLC (ClearBridge). The Portfolio’s investment objective is long-term growth of capital.

The Russell 2000^® Value Index (the Index) was up 18.05% for the year. Midcap stocks slightly outperformed their larger and smaller brethren; value stocks outperformed growth across the capitalization spectrum. Three of the strongest sector contributors in the Index included consumer discretionary, financials (itself more than a third of the Index, by capitalization), and industrials. No sector declined in value, although several sector returns were in the single digits, including the relatively substantial information technology sector. The worst-performing sector was energy, returning less than 2%.

Had it not been for ClearBridge’s poor asset selection, particularly in the second quarter, the Portfolio’s return would have looked much better. ClearBridge avoided companies in the asset management sector and custody banks industry that did not meet their research criteria. These stocks, however, performed relatively well, whereas the Portfolio’s overweight positions relative to the Index in certain regional banks and a real estate services company hurt its performance. Two positions in the industrial sector also detracted from second quarter returns.

Overall, sector positioning had little impact on relative performance. The Portfolio marginally benefited from staying close to the benchmark weight in the technology and utility sectors, and from an overweight in the industrials sector. However, its underweight, primarily due to ClearBridge’s allocation, in the more cyclically oriented consumer discretionary sector hurt, as did ClearBridge’s overweight in the energy sector.

The Portfolio’s underexposure to stocks that had stronger value characteristics and lower debt levels detracted from its performance. It also was hurt by its overexposure to stocks with above-benchmark market capitalizations. Goldman’s exposure to securities that had positive price momentum and an overall underexposure to more volatile securities contributed positively to the overall return.

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

Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. Russell 2500 Index is an unmanaged market cap-weighted index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.

Prudential Series Fund Presentation of Portfolio Holdings — unaudited December 31, 2012

SP International Growth
Five Largest Holdings	(% of Net Assets	)
Samsung Electronics Co. Ltd. (South Korea)	2.9%
Inditex SA (Spain)	2.4%
Novo Nordisk A/S (Class B Stock) (Denmark)	2.4%
ARM Holdings PLC (United Kingdom)	2.3%
SAP AG (Germany)	2.3%

SP International Value
Five Largest Holdings	(% of Net Assets	)
Royal Dutch Shell PLC (Class B Stock) (United Kingdom)	1.6%
Allianz SE (Germany)	1.6%
Novartis AG (Switzerland)	1.5%
Novo Nordisk A/S (Class B Stock) (Denmark)	1.3%
Vodafone Group PLC (United Kingdom)	1.3%

SP Prudential U.S. Emerging Growth
Five Largest Holdings	(% of Net Assets	)
Crown Castle International Corp.	3.2%
VeriSign, Inc.	2.1%
DaVita, Inc.	2.0%
AMETEK, Inc.	2.0%
Roper Industries, Inc.	1.9%

SP Small Cap Value
Five Largest Holdings	(% of Net Assets	)
Signature Bank	1.2%
Allied World Assurance Co. Holdings AG (Switzerland)	1.1%
Southwest Gas Corp.	1.1%
Pebblebrook Hotel Trust	1.0%
Plantronics, Inc.	1.0%

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

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2012

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2012 through December 31, 2012.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2012		Ending Account Value December 31, 2012		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
SP International Growth (Class I)	Actual	$	1,000.00	$	1,142.20		1.06	%	$	5.71
	Hypothetical	$	1,000.00	$	1,019.81		1.06	%	$	5.38
SP International Growth (Class II)	Actual	$	1,000.00	$	1,139.10		1.46	%	$	7.85
	Hypothetical	$	1,000.00	$	1,017.80		1.46	%	$	7.41
SP International Value (Class I)	Actual	$	1,000.00	$	1,135.50		1.11	%	$	5.96
	Hypothetical	$	1,000.00	$	1,019.56		1.11	%	$	5.63
SP Prudential U.S. Emerging Growth (Class I)	Actual	$	1,000.00	$	1,052.40		0.67	%	$	3.46
	Hypothetical	$	1,000.00	$	1,021.77		0.67	%	$	3.40
SP Prudential U.S. Emerging Growth (Class II)	Actual	$	1,000.00	$	1,050.50		1.07	%	$	5.52
	Hypothetical	$	1,000.00	$	1,019.76		1.07	%	$	5.43
SP Small Cap Value (Class I)	Actual	$	1,000.00	$	1,086.40		1.00	%	$	5.24
	Hypothetical	$	1,000.00	$	1,020.11		1.00	%	$	5.08

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2012, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2012 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	SP INTERNATIONAL GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 98.2%
COMMON STOCKS — 96.9%	Shares		Value (Note 2)
Argentina — 0.6%
MercadoLibre, Inc.(a)		6,384	$	501,591
Belgium — 1.2%
Anheuser-Busch InBev NV		12,629		1,099,797
Brazil — 4.9%
Arezzo Industria e Comercio SA		25,812		498,591
BR Malls Participacoes SA		33,800		446,045
BR Properties SA		45,255		563,615
Cia de Bebidas das Americas		23,318		953,219
Grupo BTG Pactual		50,845		769,814
Mills Estruturas e Servicos de Engenharia SA		30,165		500,908
Raia Drogasil SA		56,641		638,197
				4,370,389
Canada — 1.6%
Brookfield Asset Management, Inc. (Class A Stock)		10,369		380,024
Canadian National Railway Co.		4,250		386,792
Imax Corp.*(a)		10,331		232,241
Toronto-Dominion Bank (The)		4,753		400,185
				1,399,242
China — 2.6%
Baidu, Inc., ADR*(a)		9,779		980,736
China Mobile Ltd.		29,000		341,263
Tencent Holdings Ltd.		30,052		985,607
				2,307,606
Denmark — 2.7%
Coloplast A/S (Class B Stock)		5,380		263,836
Novo Nordisk A/S (Class B Stock)		13,055		2,125,833
				2,389,669
France — 7.2%
Arkema SA		2,961		310,903
BNP Paribas SA		16,420		934,796
Dassault Systemes SA		11,109		1,242,074
Pernod-Ricard SA		2,362		274,043
Remy Cointreau SA		5,511		601,802
Sanofi		11,454		1,086,187
Schneider Electric SA		4,958		363,130
Technip SA		11,899		1,375,960
Unibail-Rodamco SE, REIT		1,145		277,667
				6,466,562
Germany — 6.2%
Adidas AG		4,545		405,640
Bayerische Motoren Werke AG		11,363		1,105,751
Brenntag AG		1,578		207,895
Deutsche Bank AG		19,402		853,592
Fresenius SE & Co. KGaA		3,413		392,730
Kabel Deutschland Holding AG		7,101		534,464
SAP AG		25,321		2,036,140
				5,536,212
Hong Kong — 4.3%
AIA Group Ltd.		297,200		1,178,795
ASM Pacific Technology Ltd.		22,700		278,690

COMMON STOCKS (continued)	Shares		Value (Note 2)
Hong Kong (continued)
China Overseas Land & Investment Ltd.		422,730	$	1,285,281
China Unicom Hong Kong Ltd.		212,000		344,697
CNOOC Ltd.		154,800		341,026
Hang Lung Properties Ltd.		104,000		418,539
				3,847,028
Indonesia — 0.6%
Bank Rakyat Indonesia Persero Tbk PT		319,000		231,356
Tower Bersama Infrastructure Tbk PT*(g)		236,093		139,753
Tower Bersama Infrastructure Tbk PT, 144A*		256,930		152,087
				523,196
Ireland — 1.3%
Seagate Technology PLC(a)		19,688		600,090
Shire PLC		19,227		591,447
				1,191,537
Israel — 1.0%
Check Point Software Technologies Ltd.*(a)		18,914		901,063
Italy — 5.1%
Brunello Cucinelli SpA*		12,360		218,048
ENI SpA		54,880		1,344,431
Luxottica Group SpA		16,824		694,412
Prada SpA		134,942		1,311,201
Tod’s SpA(a)		5,012		636,376
Yoox SpA*		22,550		357,166
				4,561,634
Japan — 6.9%
Canon, Inc.		10,800		418,605
Daito Trust Construction Co. Ltd.		1,500		141,765
Dena Co. Ltd.		10,200		334,604
FANUC Corp.		7,431		1,382,535
Fuji Heavy Industries Ltd.		15,000		189,155
Honda Motor Co. Ltd.		13,900		514,782
Hoya Corp.		20,400		401,960
Komatsu Ltd.		13,500		346,415
Makita Corp.		6,400		297,308
Marubeni Corp.		46,000		330,061
Mizuho Financial Group, Inc.		217,900		399,517
ORIX Corp.		4,520		510,573
Rakuten, Inc.		67,000		522,496
Sumitomo Mitsui Financial Group, Inc.		10,600		385,223
				6,174,999
Luxembourg — 0.5%
Millicom International Cellular SA, SDR*		4,819		418,294
Macau — 0.8%
Sands China Ltd.		163,840		732,474
Mexico — 1.9%
Corp. Inmobiliaria Vesta SAB de CV, 144A(a)		237,900		402,319

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	SP INTERNATIONAL GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Mexico (continued)
Fomento Economico Mexicano SAB de CV, ADR		2,730	$	274,911
Grupo Financiero Santander Mexico SAB de CV (Class B Stock)*		16,921		273,782
Mexichem SAB de CV		115,002		638,875
Mexichem SAB de CV, 144A		14,981		83,224
				1,673,111
Netherlands — 3.3%
Gemalto NV		6,374		575,351
LyondellBasell Industries NV (Class A Stock)		13,611		777,052
Royal Dutch Shell PLC (Class B Stock)		10,769		384,200
Unilever NV, CVA		8,307		317,858
Yandex NV*		23,727		511,791
Ziggo NV		12,186		398,265
				2,964,517
Norway — 0.7%
Seadrill Ltd.		8,513		313,635
Statoil ASA		12,635		318,461
				632,096
Portugal — 0.2%
Jeronimo Martins SGPS SA		7,352		142,162
South Africa — 3.1%
Aspen Pharmacare Holdings Ltd.		7,611		152,382
Discovery Holdings Ltd.		35,872		264,591
FirstRand Ltd.		75,460		277,675
Mr. Price Group Ltd.		47,869		793,340
Naspers Ltd. (Class N Stock)		10,743		693,899
Woolworths Holdings Ltd.		70,216		591,059
				2,772,946
South Korea — 3.8%
Orion Corp.*		735		753,908
Samsung Electronics Co. Ltd.		1,811		2,602,045
				3,355,953
Spain — 2.4%
Inditex SA		15,483		2,175,471
Sweden — 0.7%
Atlas Copco AB (Class A Stock)		14,166		392,827
Elekta AB (Class B Stock)(a)		17,571		273,975
				666,802
Switzerland — 6.1%
Dufry AG*		5,455		721,326
Geberit AG		1,176		260,690
Glencore International PLC		62,597		361,614
Lindt & Spruengli AG*		4		151,399
Nestle SA		10,069		656,936
Partners Group Holding AG		1,291		298,453
Roche Holding AG		3,255		658,100
Swatch Group AG (The)		602		305,277
Syngenta AG		3,503		1,415,164
UBS AG		24,606		385,056
Xstrata PLC		15,565		271,701
				5,485,716

COMMON STOCKS (continued)	Shares		Value (Note 2)
Taiwan — 1.1%
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		56,062	$	962,024
Thailand — 0.7%
CP ALL PCL		444,367		668,221
Turkey — 1.4%
BIM Birlesik Magazalar A/S		11,508		564,291
Emlak Konut Gayrimenkul Yatirim Ortakligi AS, REIT		403,478		709,795
				1,274,086
United Kingdom — 18.8%
ARM Holdings PLC		166,347		2,100,764
ASOS PLC*		16,501		727,833
Babcock International Group PLC		14,471		228,426
Barclays PLC		376,757		1,636,633
Berkeley Group Holdings PLC*		8,588		247,061
British Sky Broadcasting Group PLC		51,896		654,537
Compass Group PLC		100,636		1,194,632
Diageo PLC		67,096		1,954,290
Experian PLC		70,624		1,138,247
Hikma Pharmaceuticals PLC		27,764		346,110
HSBC Holdings PLC		39,200		415,492
InterContinental Hotels Group PLC		30,076		843,346
Intertek Group PLC		5,485		278,621
John Wood Group PLC		16,914		202,200
Johnson Matthey PLC		7,651		300,557
Next PLC		4,692		284,817
Rolls-Royce Holdings PLC		133,798		1,919,126
Standard Chartered PLC		29,340		759,315
Telecity Group PLC		22,430		289,672
Tullow Oil PLC		20,552		428,458
Weir Group PLC (The)		8,496		262,724
Whitbread PLC		6,723		270,162
Wolseley PLC		7,634		365,050
				16,848,073
United States — 5.2%
Accenture PLC (Class A Stock)		19,936		1,325,744
Core Laboratories NV(a)		5,803		634,326
Credicorp Ltd.		5,728		839,495
Michael Kors Holdings Ltd.*		16,104		821,787
Perrigo Co.		5,023		522,543
Wynn Resorts Ltd.		4,498		505,980
				4,649,875
TOTAL COMMON STOCKS (cost $72,614,600)				86,692,346
PREFERRED STOCKS — 1.3%
Germany — 1.3%
Volkswagen AG (Germany)(a)		5,116		1,173,868
United Kingdom
Rolls-Royce Holdings PLC (PRFC C) (United Kingdom)(g)		10,440,652		16,960
TOTAL PREFERRED STOCKS (cost $961,253)				1,190,828
TOTAL LONG-TERM INVESTMENTS (cost $73,575,853)				87,883,174

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	SP INTERNATIONAL GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

SHORT-TERM INVESTMENT — 6.9%	Shares		Value (Note 2)
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $6,190,649; includes $5,918,073 of cash collateral for securities on loan)(b)(w) (Note 4)		6,190,649	$	6,190,649
TOTAL INVESTMENTS — 105.1% (cost $79,766,502)				94,073,823
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.1)%				(4,565,195	)
NET ASSETS — 100.0%			$	89,508,628

The following abbreviations are used in the Portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
PRFC	Preference Shares
REIT	Real Estate Investment Trust
SDR	Special Drawing Rights

* 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 $5,755,889; cash collateral of $5,918,073 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks:
Argentina	$	501,591	$	—	$	—
Belgium		—		1,099,797		—
Brazil		4,370,389		—		—
Canada		1,399,242		—		—
China		980,736		1,326,870		—
Denmark		—		2,389,669		—
France		601,802		5,864,760		—
Germany		—		5,536,212		—
Hong Kong		—		3,847,028		—
Indonesia		—		523,196		—
Ireland		600,090		591,447		—
Israel		901,063		—		—
Italy		—		4,561,634		—
Japan		334,604		5,840,395		—
Luxembourg		—		418,294		—
Macau		—		732,474		—
Mexico		1,673,111		—		—
Netherlands		1,687,108		1,277,409		—
Norway		—		632,096		—
Portugal		—		142,162
South Africa		—		2,772,946		—
South Korea		—		3,355,953		—
Spain		—		2,175,471		—
Sweden		273,975		392,827		—
Switzerland		—		5,485,716		—
Taiwan		962,024		—		—
Thailand		668,221		—		—
Turkey		—		1,274,086		—
United Kingdom		—		16,848,073		—
United States		4,649,875		—		—
Preferred Stocks:
Germany		—		1,173,868		—
United Kingdom		—		16,960		—
Affiliated Money Market Mutual Fund		6,190,649		—		—
Total	$	25,794,480	$	68,279,343	$	—

Fair Value of Level 2 investments at 12/31/11 was $16,713. An amount of $40,637,515 was transferred from Level 1 into Level 2 at 12/31/12 as a result of using third-party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	SP INTERNATIONAL GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Commercial Banks	7.4	%
Affiliated Money Market Mutual Fund (6.6% represents investments purchased with collateral from securities on loan)	6.9
Semiconductors & Semiconductor Equipment	6.7
Pharmaceuticals	6.1
Beverages	5.8
Textiles, Apparel & Luxury Goods	5.1
Software	4.7
Specialty Retail	4.1
Chemicals	4.0
Internet Software & Services	4.0
Real Estate Management & Development	3.6
Oil, Gas & Consumable Fuels	3.5
Automobiles	3.3
Hotels, Restaurants & Leisure	3.0
Machinery	2.9
Energy Equipment & Services	2.4
Food Products	2.4
Wireless Telecommunication Services	2.3
Aerospace & Defense	2.1
Media	2.1
Food & Staples Retailing	2.0
Diversified Financial Services	1.8
Insurance	1.6

Internet & Catalog Retail	1.6	%
IT Services	1.5
Retail & Merchandising	1.3
Computers & Peripherals	1.3
Capital Markets	1.3
Professional Services	1.3
Electronic Components	1.1
Real Estate Investment Trusts	1.1
Lodging	0.9
Trading Companies & Distributors	0.8
Distribution/Wholesale	0.8
Metals & Mining	0.7
Office Equipment	0.5
Real Estate Operation & Development	0.5
Healthcare Providers & Services	0.4
Transportation	0.4
Personal Services	0.3
Healthcare Products	0.3
Healthcare Equipment & Supplies	0.3
Building Products	0.3
Household Durables	0.3
Commercial Services & Supplies	0.3
	105.1
Liabilities in excess of other assets	(5.1	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk.

The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

The Fund did not hold any derivative instruments as of December 31, 2012, accordingly, no derivative positions were presented in the Statements of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights		Forward Currency Contracts		Total
Foreign exchange contracts	$	—	$	151,755	$	151,755
Equity contracts		1,339		—		1,339
Total	$	1,339	$	151,755	$	153,094
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value					Forward Currency Contracts
Foreign exchange contracts					$	8,805

For the year ended December 31, 2012, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $346,399 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $1,285,625.

SEE NOTES TO FINANCIAL STATEMENTS.

A4

SP INTERNATIONAL GROWTH PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments at value, including securities on loan of $5,755,889:
Unaffiliated investments (cost $73,575,853)	$	87,883,174
Affiliated investments (cost $6,190,649)		6,190,649
Cash		30,429
Foreign currency, at value (cost $17,656)		17,656
Receivable for investments sold		1,728,547
Tax reclaim receivable		332,330
Dividends and interest receivable		55,802
Receivable for Series shares sold		1,468
Prepaid expenses		3,273
Total Assets		96,243,328
LIABILITIES
Collateral for securities on loan		5,918,073
Loan payable		495,000
Accrued expenses and other liabilities		100,204
Payable for Series shares repurchased		96,894
Management fee payable		64,405
Payable for investments purchased		56,323
Distribution fee payable		1,797
Administration fee payable		1,078
Affiliated transfer agent fees payable		926
Total Liabilities		6,734,700
NET ASSETS	$	89,508,628
Net assets were comprised of:
Paid-in capital	$	123,005,290
Retained earnings		(33,496,662	)
Net assets, December 31, 2012	$	89,508,628
Class I:
Net asset value and redemption price per share, $80,918,046 / 15,264,204 outstanding shares of beneficial interest	$	5.30
Class II:
Net asset value and redemption price per share, $8,590,582 / 1,638,240 outstanding shares of beneficial interest	$	5.24

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INVESTMENT INCOME
Unaffiliated dividend income (net of $168,148 foreign withholding tax)	$	2,398,634
Affiliated income from securities lending, net		17,026
Interest income		12,776
Affiliated dividend income		4,829
		2,433,265
EXPENSES
Management fee		743,056
Distribution fee—Class II		19,907
Administration fee—Class II		11,944
Custodian’s fees and expenses		159,000
Shareholders’ reports		57,000
Audit fee		25,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Trustees’ fees		11,000
Legal fees and expenses		10,000
Commitment fee on syndicated credit agreement		6,000
Insurance expenses		1,000
Loan interest expense (Note 8)		361
Miscellaneous		19,623
Total expenses		1,075,891
NET INVESTMENT INCOME		1,357,374
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		5,211,892
Foreign currency transactions		219,026
		5,430,918
Net change in unrealized appreciation (depreciation) on:
Investments		10,862,595
Foreign currencies		14,551
		10,877,146
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		16,308,064
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	17,665,438

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	1,357,374		$	508,283
Net realized gain on investment and foreign currency transactions		5,430,918			19,735,790
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		10,877,146			(32,332,367	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		17,665,438			(12,088,294	)
DISTRIBUTIONS
Class I		(507,441	)		(1,181,454	)
Class II		—			(39,406	)
TOTAL DISTRIBUTIONS		(507,441	)		(1,220,860	)
SERIES SHARE TRANSACTIONS (NOTE 7):
Series shares sold		5,765,927			7,411,046
Series shares issued in reinvestment of distributions		507,441			1,220,860
Series shares repurchased		(16,609,487	)		(84,871,319	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(10,336,119	)		(76,239,413	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		6,821,878			(89,548,567	)
NET ASSETS:
Beginning of year		82,686,750			172,235,317
End of year	$	89,508,628		$	82,686,750

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	SP INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 97.4%
COMMON STOCKS — 95.7%	Shares		Value (Note 2)
Argentina — 0.1%
MercadoLibre, Inc.		2,200	$	172,854
Australia — 3.1%
Arrium Ltd.		269,600		262,761
Ausdrill Ltd.		62,500		186,626
Bendigo and Adelaide Bank Ltd.		32,600		290,407
Caltex Australia Ltd.		14,400		290,444
Challenger Ltd.		123,500		460,176
Downer EDI Ltd.		101,900		436,838
Emeco Holdings Ltd.		372,800		241,542
Goodman Fielder Ltd.		267,300		174,709
Lend Lease Group		41,500		405,282
National Australia Bank Ltd.		31,100		818,029
Pacific Brands Ltd.		502,100		326,504
				3,893,318
Austria — 0.6%
OMV AG		15,300		554,414
Voestalpine AG		6,500		238,833
				793,247
Belgium — 0.4%
AGFA-Gevaert NV*		84,400		148,168
Delhaize Group SA		7,300		294,037
				442,205
Brazil — 1.6%
BM&FBOVESPA SA		70,750		483,761
Embraer SA, ADR		24,640		702,486
Natura Cosmeticos SA		27,900		799,051
				1,985,298
Canada — 2.4%
Canadian National Railway Co.		7,960		722,858
Cenovus Energy, Inc.		19,183		642,005
Potash Corp. of Saskatchewan, Inc.		21,980		894,366
Teck Resources Ltd. (Class B Stock)		20,600		748,658
				3,007,887
Cayman Islands — 0.5%
Tencent Holdings Ltd.		17,459		572,598
China — 2.5%
Baidu, Inc., ADR*		9,080		910,633
China Merchants Bank Co. Ltd. (Class H Stock)		203,509		457,559
Industrial & Commercial Bank of China Ltd. (Class H Stock)		1,564,215		1,129,014
Sinopharm Group Co. Ltd. (Class H Stock)		212,698		675,427
				3,172,633
Denmark — 1.7%
Danske Bank A/S*		13,800		234,382
H. Lundbeck A/S		14,300		209,732
Novo Nordisk A/S (Class B Stock)		9,933		1,617,456
				2,061,570
Finland — 0.3%
Tieto Oyj		21,500		424,802

COMMON STOCKS (continued)	Shares		Value (Note 2)
France — 9.3%
Air Liquide SA		10,047	$	1,269,322
AXA SA		19,800		355,526
BNP Paribas SA		8,300		472,522
Cie Generale des Etablissements Michelin (Class B Stock)		14,855		1,423,398
Ciments Francais SA		4,200		247,864
Credit Agricole SA*		53,627		436,745
LVMH Moet Hennessy Louis Vuitton SA		8,555		1,578,895
Publicis Groupe SA		17,955		1,080,235
Renault SA		5,700		309,557
Sanofi		15,200		1,441,422
SCOR SE		13,800		372,996
Societe Generale SA*		9,318		354,295
Thales SA		6,300		219,510
Total SA		21,200		1,103,104
Valeo SA		6,500		326,497
Vivendi SA		28,520		645,008
				11,636,896
Germany — 10.7%
Adidas AG		15,534		1,386,405
Allianz SE		14,328		1,997,290
BASF SE		7,800		737,571
Bayer AG		4,300		410,058
Daimler AG		9,900		545,053
Deutsche Bank AG		29,700		1,306,653
E.ON AG		12,200		228,825
Freenet AG		13,900		257,617
Fresenius Medical Care AG & Co. KGaA		17,100		1,180,113
Hannover Rueckversicherung AG		6,900		540,437
Merck KgaA		1,300		171,334
Muenchener Rueckversicherungs-Gesellschaft AG		2,400		433,269
Rheinmetall AG		7,400		359,491
RWE AG		6,300		261,309
SAP AG		15,943		1,282,026
Siemens AG		12,600		1,377,825
Volkswagen AG		3,900		846,060
				13,321,336
Hong Kong — 3.9%
AIA Group Ltd.		229,503		910,286
Cheung Kong Holdings Ltd.		15,000		233,391
CNOOC Ltd.		665,289		1,465,640
First Pacific Co. Ltd.		604,000		667,006
Hong Kong Exchanges and Clearing Ltd.		66,533		1,151,432
Kingboard Chemical Holdings Ltd.		120,000		433,331
Solomon Systech International Ltd.*		525,000		12,599
				4,873,685
Ireland — 1.4%
Accenture PLC (Class A Stock)		12,497		831,051
Covidien PLC		15,250		880,535
Permanent TSB Group Holdings PLC*		45,500		1,297
				1,712,883

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Israel — 2.1%
Bank Hapoalim BM*		73,200	$	314,060
Check Point Software Technologies Ltd.*		15,229		725,509
Elbit Systems Ltd.		6,900		276,868
Teva Pharmaceutical Industries Ltd.		11,300		419,902
Teva Pharmaceutical Industries Ltd., ADR		24,349		909,192
				2,645,531
Italy — 1.6%
Banco Popolare Scarl*		23,700		39,465
Enel SpA		132,800		552,382
Eni SpA		38,600		945,609
Finmeccanica SpA*		30,000		173,617
Telecom Italia SpA		277,700		251,894
				1,962,967
Japan — 14.7%
Aoyama Trading Co. Ltd.		18,500		354,582
FANUC Corp.		4,208		782,897
Fukuoka Financial Group, Inc.		77,000		308,367
Fuyo General Lease Co. Ltd.		9,200		299,507
JX Holdings, Inc.		60,600		342,134
K’s Holdings Corp.		13,400		341,106
KDDI Corp.		20,749		1,466,898
Keihin Corp.		11,700		167,816
Keiyo Bank Ltd. (The)		55,000		242,670
Komatsu Ltd.		45,133		1,158,131
Kurabo Industries Ltd.		108,000		184,426
KYORIN Holdings, Inc.		19,900		385,876
Kyowa Exeo Corp.		41,600		418,414
Marubeni Corp.		79,000		566,844
Miraca Holdings, Inc.		4,900		197,572
Mitsubishi Corp.		8,900		171,351
Mitsubishi UFJ Financial Group, Inc.		282,446		1,528,347
Mitsui & Co. Ltd.		19,800		296,780
Mizuho Financial Group, Inc.		287,900		527,861
Nichii Gakkan Co.		18,300		145,367
Nippon Electric Glass Co. Ltd.		23,000		130,962
Nippon Shokubai Co. Ltd.		31,000		317,537
Nippon Telegraph & Telephone Corp.		15,500		652,596
NTT DoCoMo, Inc.		400		576,608
Otsuka Holdings Co. Ltd.		18,000		507,083
Sankyo Co. Ltd.		3,800		150,784
Sankyu, Inc.		91,000		344,586
Seino Holdings Co. Ltd.		43,000		272,797
Shimachu Co. Ltd.		17,400		365,557
Shizuoka Gas Co. Ltd.		38,100		258,101
Sumitomo Corp.		38,400		492,664
Sumitomo Mitsui Financial Group, Inc.		18,800		683,226
Sumitomo Mitsui Trust Holdings, Inc.		41,720		146,992
Toagosei Co. Ltd.		82,000		321,874
Toppan Forms Co. Ltd.		50,100		450,183
Toyota Motor Corp.		28,080		1,311,228
Toyota Tsusho Corp.		24,500		604,728
Tsuruha Holdings, Inc.		6,400		504,728
Yokohama Rubber Co. Ltd. (The)		46,700		338,527
				18,317,707

COMMON STOCKS (continued)	Shares		Value (Note 2)
Liechtenstein — 0.1%
Verwaltungs-und Privat-Bank AG		2,300	$	163,450
Mauritius — 0.3%
Golden Agri-Resources Ltd.		580,900		312,612
Mexico — 0.8%
Wal-Mart de Mexico SAB de CV (Class V Stock)		293,460		957,594
Netherlands — 3.7%
ASML Holding NV		6,522		418,282
ING Groep NV, CVA*		51,900		492,948
Koninklijke Ahold NV		47,900		642,295
Koninklijke DSM NV		9,800		597,271
Koninklijke KPN NV		17,600		87,038
Koninklijke Philips Electronics NV		13,500		357,484
Nutreco NV		3,600		306,048
Schlumberger Ltd.		19,300		1,337,297
Yandex NV*		16,100		347,277
				4,585,940
New Zealand — 0.5%
Air New Zealand Ltd.(g)		580,000		623,585
Norway — 0.7%
DNB ASA		29,200		373,224
Statoil ASA		17,200		433,520
				806,744
South Korea — 1.1%
Hyundai Motor Co.		2,397		494,128
Samsung Electronics Co. Ltd.		638		916,678
				1,410,806
Spain — 1.2%
Banco Bilbao Vizcaya Argentaria SA		32,400		301,024
Banco Espanol de Credito SA		40,600		192,415
Banco Santander SA		57,500		467,306
Repsol YPF SA		27,200		555,229
				1,515,974
Sweden — 1.5%
Boliden AB		29,900		568,130
Hennes & Mauritz AB (Class B Stock)		29,274		1,014,550
NCC AB (Class B Stock)		11,400		239,683
Svenska Handelsbanken AB (Class A Stock)		736		26,461
				1,848,824
Switzerland — 6.3%
Baloise Holding AG		6,800		587,335
Credit Suisse Group AG*		17,100		417,349
Georg Fischer AG*		500		202,053
Julius Baer Group Ltd.*		18,130		645,479
Nestle SA		11,112		724,985
Novartis AG		30,352		1,917,436
Roche Holding AG		2,200		444,799
Swatch Group AG (The)		1,150		583,170
Swiss Life Holding AG*		2,100		280,300
Swiss Re AG*		8,100		587,241
Syngenta AG		2,120		856,451
Zurich Insurance Group AG*		2,400		643,099
				7,889,697

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom — 21.8%
Alent PLC*		51,200	$	256,836
ARM Holdings PLC		48,878		617,271
AstraZeneca PLC		24,200		1,146,837
Aviva PLC		77,400		478,949
BAE Systems PLC		157,100		873,196
Barclays PLC		87,400		379,666
Beazley PLC		111,100		323,408
Berendsen PLC		16,700		161,821
BG Group PLC		21,606		360,386
Bodycote PLC		43,200		323,032
BP PLC		168,600		1,172,267
BP PLC, ADR		8,070		336,035
British American Tobacco PLC		20,927		1,063,829
BT Group PLC		241,900		922,902
Burberry Group PLC		23,411		470,598
Cable & Wireless Communications PLC		369,000		213,191
Carnival PLC		26,471		1,027,934
Dairy Crest Group PLC		40,400		255,958
GlaxoSmithKline PLC		7,700		167,647
Home Retail Group PLC		49,500		103,286
HSBC Holdings PLC		120,402		1,276,175
J Sainsbury PLC		135,800		768,312
Kingfisher PLC		229,687		1,073,235
Legal & General Group PLC		291,300		698,502
Marks & Spencer Group PLC		29,500		185,309
Marston’s PLC		104,410		209,220
Old Mutual PLC		178,500		524,263
Pearson PLC		34,651		675,405
Reckitt Benckiser Group PLC		24,473		1,553,544
Rolls-Royce Holdings PLC*		40,880		586,361
Royal Bank of Scotland Group PLC*		82,921		443,209
Royal Dutch Shell PLC (Class B Stock)		56,300		2,008,587
RSA Insurance Group PLC		195,300		403,330
SABMiller PLC		18,524		859,724
Standard Chartered PLC		52,205		1,351,059
Tesco PLC		136,000		749,170
Thomas Cook Group PLC		150,100		119,072
Tullett Prebon PLC		57,600		239,993
Tullow Oil PLC		15,615		325,534
Vesuvius PLC		51,200		287,776
Vodafone Group PLC		638,640		1,607,634
WM Morrison Supermarkets PLC		146,400		628,595
				27,229,058
United States — 0.8%
Yum! Brands, Inc.		15,160		1,006,624
TOTAL COMMON STOCKS (cost $104,020,915)				119,348,325

PREFERRED STOCKS — 1.7%	Shares		Value (Note 2)
Brazil — 0.7%
Itau Unibanco Holding SA (PRFC), ADR		50,048	$	823,790
Germany — 1.0%
Volkswagen AG (PRFC)		5,631		1,292,035
United Kingdom
Rolls-Royce Holdings PLC (PRFC C)*(g)		3,106,880		5,047
TOTAL PREFERRED STOCKS (cost $1,459,804)				2,120,872
	Units
RIGHTS*
Spain
Repsol SA, expiring 01/11/13 (Spain) (cost $17,263)		27,200		16,587
TOTAL LONG-TERM INVESTMENTS (cost $105,497,982)				121,485,784
	Shares
SHORT-TERM INVESTMENT — 1.0%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $1,258,156) (Note 4)(w)		1,258,156		1,258,156
TOTAL INVESTMENTS — 98.4% (cost $106,756,138)				122,743,940
OTHER ASSETS IN EXCESS OF LIABILITIES(x) — 1.6%				2,010,669
NET ASSETS — 100.0%			$	124,754,609

The following abbreviations are used in the Portfolio descriptions:

ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
PRFC	Preference Shares
EUR	Euro
JPY	Japanese Yen
SEK	Swedish Krona

* Non-income producing security.

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

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

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

Forward foreign currency exchange contracts outstanding at December 31, 2012:

Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date Payable		Current Value		Unrealized Depreciation
Japanese Yen,
Expiring 01/08/13		Brown Brothers Harriman & Co.	JPY	3,338	$	38,825	$	38,530	$	(295	)

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Sale Contracts	Counterparty	Notional Amount (000)			Value at Settlement Date Receivable		Current Value		Unrealized Appreciation (Depreciation)
Euro,
Expiring 05/08/13	State Street Bank	EUR	953		$	1,222,489	$	1,259,397	$	(36,908	)
Japanese Yen,
Expiring 01/07/13	Bank of New York Mellon	JPY	12,061	��		140,208		139,036		1,172
Swedish Krona,
Expiring 01/02/13	Brown Brothers Harriman & Co.	SEK	213			32,512		32,690		(178	)
Expiring 01/03/13	Brown Brothers Harriman & Co.	SEK	146			22,337		22,384		(47	)
Expiring 01/04/13	Brown Brothers Harriman & Co.	SEK	45			6,894		6,912		(18	)
					$	1,424,440	$	1,460,419	$	(35,979	)

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks:
Argentina	$	172,854	$	—	$	—
Australia		—		3,893,318		—
Austria		—		793,247		—
Belgium		148,168		294,037		—
Brazil		1,985,298		—		—
Canada		3,007,887		—		—
Cayman Islands		—		572,598		—
China		910,633		2,262,000		—
Denmark		209,732		1,851,838		—
Finland		—		424,802		—
France		247,864		11,389,032		—
Germany		—		13,321,336		—
Hong Kong		12,599		4,861,086		—
Ireland		1,712,883		—		—
Israel		1,634,701		1,010,830		—
Italy		—		1,962,967		—
Japan		—		18,317,707		—
Liechtenstein		163,450		—		—
Mauritius		—		312,612		—
Mexico		957,594		—		—
Netherlands		1,684,574		2,901,366		—
New Zealand		—		623,585		—

	Level 1		Level 2			Level 3
Norway	$	—	$	806,744		$	—
South Korea		—		1,410,806			—
Spain		—		1,515,974			—
Sweden		—		1,848,824			—
Switzerland		—		7,889,697			—
United Kingdom		1,042,468		26,186,590			—
United States		1,006,624		—			—
Preferred Stocks:
Brazil		823,790		—			—
Germany		—		1,292,035			—
United Kingdom		—		5,047			—
Rights:
Spain		16,587		—			—
Affiliated Money Market Mutual Fund		1,258,156		—			—
Other Financial Instruments*
Foreign Forward Currency Contracts		—		(36,274	)		—
Total	$	16,995,862	$	105,711,804		$	—

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

Fair value of Level 2 investments at 12/31/11 was $4,380. An amount of $94,193,346 was transferred from Level 1 into Level 2 at 12/31/12 as a result fair valuing such foreign securities using third-party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Banks	12.5	%
Oil & Gas	9.8
Pharmaceuticals	7.9
Insurance	7.8
Telecommunications	5.4
Retail	5.3
Chemicals	4.4
Auto Manufacturers	3.8
Food	3.6
Computer Services & Software	2.6
Diversified Financial Services	2.5
Aerospace/Defense	2.3
Auto Parts & Equipment	2.0
Holding Companies – Diversified	1.8
Distribution/Wholesale	1.7
Miscellaneous Manufacturing	1.6
Internet	1.6
Semiconductors	1.5
Household Products/ Wares	1.5
Apparel	1.5
Mining	1.2
Building Materials	1.1
Agriculture	1.1
Transportation	1.1

Affiliated Money Market Mutual Fund	1.0	%
Healthcare – Services	1.0
Hotels, Restaurants & Leisure	0.9
Engineering & Construction	0.9
Advertising	0.9
Beverages	0.9
Electric	0.9
Healthcare Products	0.7
Iron/Steel	0.7
Cosmetics/Personal Care	0.6
Machinery & Equipment	0.6
Commercial Services	0.6
Media	0.5
Real Estate	0.5
Airlines	0.5
Electronics	0.4
Electronic Components & Equipment	0.4
Diversified Machinery	0.3
Trading Companies & Distributors	0.2
Textiles	0.2
Entertainment	0.1
	98.4
Other assets in excess of liabilities	1.6
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk.

The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of December 31, 2012 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
Foreign exchange contracts	Unrealized appreciation on foreign currency forward contracts	$	1,172	Unrealized depreciation on foreign currency forward contracts	$	37,446
Equity contracts	Unaffiliated investments		16,587	—		—
Total		$	17,759		$	37,446

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights			Forward Currency Contracts		Total
Foreign exchange contracts	$	—		$	277,125	$	277,125
Equity contracts		(403,961	)		—		(403,961	)
Total	$	(403,961	)	$	277,125	$	(126,836	)

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights			Forward Currency Contracts			Total
Foreign exchange contracts	$	—		$	(248,446	)	$	(248,446	)
Equity contracts		(676	)		—			(676	)
Total	$	(676	)	$	(248,446	)	$	(249,122	)

For the year ended December 31, 2012, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $554,922 and the average value at settlement date receivable for foreign currency exchange sale contracts was $3,976,957.

SEE NOTES TO FINANCIAL STATEMENTS.

A11

SP INTERNATIONAL VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments at value:
Unaffiliated investments (cost $105,497,982)	$	121,485,784
Affiliated investments (cost $1,258,156)		1,258,156
Cash		22,247
Foreign currency, at value (cost $10,241)		10,358
Receivable for investments sold		1,750,111
Tax reclaim receivable		571,285
Dividends receivable		135,304
Receivable for Series shares sold		45,334
Unrealized appreciation on foreign currency forward contracts		1,172
Prepaid expenses		2,556
Total Assets		125,282,307
LIABILITIES
Payable for investments purchased		266,893
Management fee payable		94,922
Accrued expenses and other liabilities		84,289
Payable for Series shares repurchased		43,222
Unrealized depreciation on foreign currency forward contracts		37,446
Affiliated transfer agent fees payable		926
Total Liabilities		527,698
NET ASSETS	$	124,754,609
Net assets were comprised of:
Paid-in capital	$	143,284,375
Retained earnings		(18,529,766	)
Net assets, December 31, 2012	$	124,754,609
Net asset value and redemption price per share, $124,754,609 / 18,843,021 outstanding shares of beneficial interest	$	6.62

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INVESTMENT INCOME
Unaffiliated dividend income (net of $325,047 foreign withholding tax)	$	4,346,910
Affiliated dividend income		6,530
		4,353,440
EXPENSES
Management fee		1,107,299
Custodian’s fees and expenses		153,000
Shareholders’ reports		39,000
Audit fee		25,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Legal fees and expenses		11,000
Trustees’ fees		10,000
Commitment fee on syndicated credit agreement		5,000
Insurance expenses		2,000
Loan interest expense (Note 8)		325
Miscellaneous		31,145
Total expenses		1,395,769
NET INVESTMENT INCOME		2,957,671
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		662,377
Foreign currency transactions		363,518
		1,025,895
Net change in unrealized appreciation (depreciation) on:
Investments		15,835,913
Foreign currencies		(257,047	)
		15,578,866
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		16,604,761
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	19,562,432

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	2,957,671		$	3,268,018
Net realized gain on investment and foreign currency transactions		1,025,895			12,292,776
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		15,578,866			(28,488,060	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		19,562,432			(12,927,266	)
DISTRIBUTIONS		(3,268,463	)		(3,540,580	)
SERIES SHARE TRANSACTIONS:
Series shares sold [482,817 and 1,383,059 shares, respectively]		2,965,787			9,482,465
Series shares issued in reinvestment of distributions [585,746 and 513,872 shares, respectively]		3,268,463			3,540,580
Series shares repurchased [3,277,534 and 11,625,779 shares, respectively]		(20,546,558	)		(85,250,253	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(14,312,308	)		(72,227,208	)
TOTAL DECREASE IN NET ASSETS		1,981,661			(88,695,054	)
NET ASSETS:
Beginning of year		122,772,948			211,468,002
End of year	$	124,754,609		$	122,772,948

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	SP PRUDENTIAL U.S. EMERGING GROWTH  PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 96.9%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 0.4%
TransDigm Group, Inc.		6,871	$	936,930
Air Freight & Logistics — 0.7%
Expeditors International of Washington, Inc.		40,527		1,602,843
Biotechnology — 2.7%
Alexion Pharmaceuticals, Inc.*		9,211		864,084
BioMarin Pharmaceutical, Inc.*		58,784		2,895,112
Vertex Pharmaceuticals, Inc.*		52,627		2,207,176
				5,966,372
Capital Markets — 1.2%
Eaton Vance Corp.(a)		80,183		2,553,829
Chemicals — 5.5%
Airgas, Inc.		28,143		2,569,174
Albemarle Corp.		57,226		3,554,879
Ecolab, Inc.		42,664		3,067,542
FMC Corp.		50,544		2,957,835
				12,149,430
Commercial Banks — 1.1%
First Republic Bank		74,541		2,443,454
Commercial Services & Supplies — 2.1%
Iron Mountain, Inc.		62,775		1,949,164
Stericycle, Inc.*		27,890		2,601,300
				4,550,464
Communications Equipment — 2.3%
F5 Networks, Inc.*		19,573		1,901,517
Finisar Corp.*(a)		89,148		1,453,112
Juniper Networks, Inc.*		86,364		1,698,780
				5,053,409
Diversified Telecommunication Services — 0.5%
tw telecom, Inc. (Class A Stock)*		40,389		1,028,708
Electrical Equipment — 3.9%
AMETEK, Inc.		118,885		4,466,510
Roper Industries, Inc.		37,844		4,218,849
				8,685,359
Electronic Equipment & Instruments — 1.4%
Amphenol Corp. (Class A Stock)		46,591		3,014,438
Energy Equipment & Services — 2.0%
Cameron International Corp.*		54,468		3,075,263
Core Laboratories NV(a)		12,801		1,399,278
				4,474,541
Food & Staples Retailing — 1.2%
Fresh Market, Inc. (The)*(a)		18,814		904,765
Whole Foods Market, Inc.		18,816		1,718,466
				2,623,231
Food Products — 2.0%
Hain Celestial Group, Inc. (The)*		26,077		1,413,895
J.M. Smucker Co. (The)		8,514		734,247
Mead Johnson Nutrition Co.		33,472		2,205,470
				4,353,612
Healthcare Equipment & Supplies — 1.1%
Hologic, Inc.*		125,995		2,523,680

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 6.7%
Catamaran Corp.*		53,890	$	2,538,758
DaVita, Inc.*		40,763		4,505,534
Henry Schein, Inc.*		50,930		4,097,828
Universal Health Services, Inc. (Class B Stock)		78,176		3,779,810
				14,921,930
Hotels, Restaurants & Leisure — 3.4%
Panera Bread Co. (Class A Stock)*		17,497		2,779,048
Starwood Hotels & Resorts Worldwide, Inc.		33,919		1,945,594
Tim Hortons, Inc.		56,666		2,786,834
				7,511,476
Household Products — 1.4%
Church & Dwight Co., Inc.		59,848		3,206,057
Insurance — 1.0%
W.R. Berkley Corp.		56,581		2,135,367
Internet Software & Services — 4.4%
Akamai Technologies, Inc.*		26,592		1,087,879
LinkedIn Corp. (Class A Stock)*		6,517		748,282
Rackspace Hosting, Inc.*(a)		42,793		3,178,236
VeriSign, Inc.*(a)		119,944		4,656,226
				9,670,623
IT Services — 2.6%
Alliance Data Systems Corp.*(a)		11,213		1,623,194
Gartner, Inc.*		47,464		2,184,293
Teradata Corp.*		30,879		1,911,101
				5,718,588
Life Sciences Tools & Services — 2.5%
Agilent Technologies, Inc.		60,737		2,486,573
Illumina, Inc.*(a)		25,311		1,407,039
Waters Corp.*		19,511		1,699,798
				5,593,410
Machinery — 3.6%
IDEX Corp.		77,066		3,585,881
Pall Corp.(a)		35,877		2,161,948
Xylem, Inc.		83,478		2,262,254
				8,010,083
Metals & Mining — 1.9%
Eldorado Gold Corp.		105,949		1,364,623
Reliance Steel & Aluminum Co.		45,794		2,843,807
				4,208,430
Multiline Retail — 2.4%
Dollar Tree, Inc.*		93,767		3,803,189
Nordstrom, Inc.(a)		29,884		1,598,794
				5,401,983
Oil, Gas & Consumable Fuels — 5.4%
Cobalt International Energy, Inc.*		41,451		1,018,036
Concho Resources, Inc.*		29,454		2,372,814
Denbury Resources, Inc.*		190,725		3,089,745
HollyFrontier Corp.		58,107		2,704,881
Noble Energy, Inc.		27,890		2,837,529
				12,023,005

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Personal Products — 1.1%
Herbalife Ltd.(a)		74,554	$	2,455,809
Pharmaceuticals — 2.7%
Perrigo Co.		20,722		2,155,710
Valeant Pharmaceuticals International, Inc.*		62,503		3,735,804
				5,891,514
Professional Services — 0.7%
IHS, Inc. (Class A Stock)*		16,486		1,582,656
Real Estate Investment Trusts — 1.2%
Annaly Capital Management, Inc.		194,991		2,737,674
Road & Rail — 1.0%
Kansas City Southern		25,584		2,135,752
Semiconductors & Semiconductor Equipment — 3.7%
Altera Corp.		51,386		1,769,734
Broadcom Corp. (Class A Stock)		72,808		2,417,953
Maxim Integrated Products, Inc.		36,260		1,066,044
Xilinx, Inc.		78,732		2,826,479
				8,080,210
Software — 6.5%
Activision Blizzard, Inc.		195,766		2,079,035
Adobe Systems, Inc.*		89,962		3,389,768
Check Point Software Technologies Ltd.*(a)		61,076		2,909,661
Intuit, Inc.		49,437		2,941,501
Red Hat, Inc.*		46,669		2,471,590
Ultimate Software Group, Inc.*		6,927		653,978
				14,445,533
Specialty Retail — 8.2%
Bed Bath & Beyond, Inc.*		43,690		2,442,708
Dick’s Sporting Goods, Inc.		36,804		1,674,214
Limited Brands, Inc.		58,252		2,741,339
O’Reilly Automotive, Inc.*		21,158		1,891,948
PetSmart, Inc.		25,701		1,756,406
Ross Stores, Inc.		70,991		3,844,163
Ulta Salon Cosmetics & Fragrance, Inc.		21,781		2,140,201
Urban Outfitters, Inc.*		42,535		1,674,178
				18,165,157
Textiles, Apparel & Luxury Goods — 2.8%
Coach, Inc.		19,261		1,069,178
Lululemon Athletica, Inc.*(a)		17,274		1,316,797
PVH Corp.		34,882		3,872,251
				6,258,226
Wireless Telecommunication Services — 5.6%
Crown Castle International Corp.*		99,174		7,156,396
NII Holdings, Inc.*		173,975		1,240,442
SBA Communications Corp. (Class A Stock)*(a)		56,920		4,042,458
				12,439,296
TOTAL LONG-TERM INVESTMENTS (cost $159,239,292)				214,553,079

SHORT-TERM INVESTMENT — 13.2%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $29,138,928; includes $22,248,994 of cash collateral received for securities on loan) (Note 4)(b)(c)		29,138,928	$	29,138,928
TOTAL INVESTMENTS — 110.1% (cost $188,378,220)				243,692,007
LIABILITIES IN EXCESS OF OTHER ASSETS — (10.1)%				(22,354,981	)
NET ASSETS — 100.0%			$	221,337,026

* 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 $22,294,775; cash collateral of $22,248,994 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	214,553,079	$	—	$	—
Affiliated Money Market Mutual Fund		29,138,928		—		—
Total	$	243,692,007	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Affiliated Money Market Mutual Fund (including 10.1% of collateral received for securities on loan)	13.2	%
Specialty Retail	8.2
Healthcare Providers & Services	6.7
Software	6.5
Wireless Telecommunication Services	5.6
Chemicals	5.5
Oil, Gas & Consumable Fuels	5.4
Internet Software & Services	4.4
Electrical Equipment	3.9
Semiconductors & Semiconductor Equipment	3.7
Machinery	3.6
Hotels, Restaurants & Leisure	3.4
Textiles, Apparel & Luxury Goods	2.8
Biotechnology	2.7
Pharmaceuticals	2.7
IT Services	2.6
Life Sciences Tools & Services	2.5
Multiline Retail	2.4
Communications Equipment	2.3
Commercial Services & Supplies	2.1

Energy Equipment & Services	2.0	%
Food Products	2.0
Metals & Mining	1.9
Electronic Equipment & Instruments	1.4
Household Products	1.4
Capital Markets	1.2
Food & Staples Retailing	1.2
Real Estate Investment Trusts	1.2
Commercial Banks	1.1
Healthcare Equipment & Supplies	1.1
Personal Products	1.1
Insurance	1.0
Road & Rail	1.0
Air Freight & Logistics	0.7
Professional Services	0.7
Diversified Telecommunication Services	0.5
Aerospace & Defense	0.4
	110.1
Liabilities in excess of other assets	(10.1	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A15

SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES December 31, 2012

ASSETS
Investments, at value including securities on loan of $22,294,775:
Unaffiliated investments (cost $159,239,292)	$	214,553,079
Affiliated investments (cost $29,138,928)		29,138,928
Dividends and interest receivable		146,742
Receivable for Series shares sold		27,139
Prepaid expenses		1,885
Total Assets		243,867,773
LIABILITIES
Collateral for securities on loan		22,248,994
Management fee payable		110,976
Payable for investments purchased		72,880
Accrued expenses and other liabilities		49,037
Payable for Series shares repurchased		44,820
Deferred trustees’ fees		2,980
Affiliated transfer agent fee payable		926
Distribution fee payable		74
Administration fee payable		44
Payable to custodian		16
Total Liabilities		22,530,747
NET ASSETS	$	221,337,026
Net assets were comprised of:
Paid-in capital	$	156,997,354
Retained earnings		64,339,672
Net assets, December 31, 2012	$	221,337,026
Class I:
Net asset value and redemption price per share, $220,984,450 / 26,204,650 outstanding shares of beneficial interest	$	8.43
Class II:
Net asset value and redemption price per share, $352,576 / 43,422 outstanding shares of beneficial interest	$	8.12

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $12,557)	$	3,049,603
Affiliated income from securities loaned, net		57,395
Affiliated dividend income		8,505
		3,115,503
EXPENSES
Management fee		1,339,105
Distribution fee—Class II		789
Administration fee—Class II		473
Custodian’s fees and expenses		53,000
Shareholders’ reports		34,000
Audit fee		20,000
Trustees’ fees		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Legal fees and expenses		8,000
Insurance expenses		2,000
Commitment fee on syndicated credit agreement		2,000
Loan interest expense (Note 8)		17
Miscellaneous		9,032
Total expenses		1,492,416
NET INVESTMENT INCOME		1,623,087
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investment transactions		28,274,398
Net change in unrealized appreciation (depreciation) on investments		4,622,612
NET GAIN ON INVESTMENTS		32,897,010
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	34,520,097

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	1,623,087		$	907,401
Net realized gain on investments		28,274,398			15,648,254
Net change in unrealized appreciation (depreciation) on investments		4,622,612			(11,164,890	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		34,520,097			5,390,765
DISTRIBUTIONS:
Class I		(16,531,764	)		(3,329,895	)
Class II		(21,691	)		(3,362	)
TOTAL DISTRIBUTIONS		(16,553,455	)		(3,333,257	)
SERIES SHARE TRANSACTIONS (NOTE 7):
Series shares sold		9,426,304			8,188,427
Series shares issued in reinvestment of distributions		16,553,455			3,333,257
Series shares repurchased		(33,710,025	)		(45,226,491	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(7,730,266	)		(33,704,807	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		10,236,376			(31,647,299	)
NET ASSETS:
Beginning of year		211,100,650			242,747,949
End of year	$	221,337,026		$	211,100,650

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	SP SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 98.1%
COMMON STOCKS — 97.4%	Shares		Value (Note 2)
Aerospace & Defense — 1.3%
AAR Corp.		12,122	$	226,439
Huntington Ingalls Industries, Inc.		4,640		201,097
Kaman Corp.		21,865		804,632
Teledyne Technologies, Inc.*		8,330		542,033
Triumph Group, Inc.		9,109		594,818
				2,369,019
Auto Components — 0.8%
American Axle & Manufacturing Holdings, Inc.*		52,228		584,953
Dana Holding Corp.		18,360		286,600
Superior Industries International, Inc.		31,940		651,576
				1,523,129
Automotive Parts — 0.3%
Asbury Automotive Group, Inc.*		7,802		249,898
Tenneco, Inc.*		9,665		339,338
				589,236
Banks — 1.5%
Banner Corp.		3,542		108,846
Bridge Capital Holdings*(a)		7,986		124,262
Dime Community Bancshares, Inc.		15,687		217,892
Hancock Holding Co.		10,563		335,270
Independent Bank Corp.		9,628		278,730
Lakeland Financial Corp.		7,714		199,330
Pinnacle Financial Partners, Inc.*		19,927		375,425
Sierra Bancorp		4,679		53,481
Trico Bancshares		10,308		172,659
UMB Financial Corp.		17,172		752,820
				2,618,715
Building Materials — 0.5%
Comfort Systems USA, Inc.		48,616		591,170
Universal Forest Products, Inc.		8,564		325,775
				916,945
Building Products — 0.5%
Gibraltar Industries, Inc.*		55,170		878,306
Capital Markets — 3.7%
Affiliated Managers Group, Inc.*		10,380		1,350,957
Cohen & Steers, Inc.(a)		19,113		582,373
Greenhill & Co., Inc.(a)		23,856		1,240,274
HFF, Inc. (Class A Stock)		56,203		837,425
Raymond James Financial, Inc.		27,200		1,048,016
Stifel Financial Corp.*(a)		20,253		647,488
Waddell & Reed Financial, Inc. (Class AStock)		28,090		978,094
				6,684,627
Chemicals — 3.3%
Cytec Industries, Inc.		5,607		385,930
Fuller (H.B.) Co.		21,183		737,592
Georgia Gulf Corp.		7,521		310,467
Grace, (W.R.) & Co.*		7,723		519,217
Koppers Holdings, Inc.		18,880		720,272
Methanex Corp.		8,316		265,031
Minerals Technologies, Inc.		10,519		419,919
PolyOne Corp.		67,296		1,374,184
Quaker Chemical Corp.		3,963		213,447

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Schulman, (A.), Inc.		18,380	$	531,734
Westlake Chemical Corp.		5,614		445,190
				5,922,983
Commercial Banks — 7.8%
Bancorp, Inc. (The)*		69,209		759,223
BancorpSouth, Inc.		35,035		509,409
BankUnited, Inc.		22,440		548,434
CoBiz Financial, Inc.		19,255		143,835
Community Bank System, Inc.		18,463		505,148
First Midwest Bancorp, Inc.		30,058		376,326
First Republic Bank		14,740		483,177
FirstMerit Corp.		58,180		825,574
FNB Corp.		35,111		372,879
Heritage Financial Corp.		9,901		145,446
Home Loan Servicing Solutions Ltd.		22,087		417,444
IBERIABANK Corp.		24,060		1,181,827
PrivateBancorp, Inc.		38,844		595,090
Sandy Spring Bancorp, Inc.		8,523		165,517
Signature Bank*(a)		31,414		2,241,075
Simmons First National Corp. (Class A Stock)		4,932		125,075
Sterling Financial Corp.		20,524		428,541
SVB Financial Group*		29,860		1,671,264
Tompkins Financial Corp.		8,769		347,603
Umpqua Holdings Corp.		33,110		390,367
Webster Financial Corp.		23,873		490,590
Wintrust Financial Corp.(a)		34,250		1,256,975
				13,980,819
Commercial Services — 1.2%
Convergys Corp.		41,188		675,895
Monro Muffler Brake, Inc.(a)		8,226		287,663
On Assignment, Inc.*		17,361		352,081
Service Corp. International		22,560		311,554
Team Health Holdings, Inc.*		19,221		552,988
				2,180,181
Commercial Services & Supplies — 1.3%
ACCO Brands Corp.*		79,090		580,521
Herman Miller, Inc.		29,970		641,957
TMS International Corp. (Class A Stock)*		49,300		617,236
United Stationers, Inc.		16,620		515,054
				2,354,768
Communication Equipment — 2.0%
Bel Fuse, Inc. (Class B Stock)		11,440		223,652
Black Box Corp.		17,520		426,437
Digi International, Inc.*		69,421		657,417
InterDigital, Inc.		12,950		532,245
Plantronics, Inc.		46,756		1,723,893
				3,563,644
Computer Hardware — 0.4%
Electronics for Imaging, Inc.*		34,582		656,712
Computer Services & Software — 1.2%
Mentor Graphics Corp.*		34,346		584,569
Monotype Imaging Holdings, Inc.		21,456		342,867
NetScout Systems, Inc.*		16,663		433,071

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Computer Services & Software (continued)
Parametric Technology Corp.*		38,482	$	866,230
				2,226,737
Computers & Peripherals — 0.1%
Rimage Corp.*		15,340		102,471
Construction & Engineering — 1.3%
EMCOR Group, Inc.		22,013		761,870
Granite Construction, Inc.		6,190		208,108
Meritage Homes Corp.*		15,536		580,269
Michael Baker Corp.		5,202		129,686
Tutor Perini Corp.*		45,680		625,816
				2,305,749
Consumer Finance — 0.2%
First Cash Financial Services, Inc.*		7,045		349,573
Consumer Products & Services — 0.3%
Elizabeth Arden, Inc.*		11,237		505,777
Distribution/Wholesale — 0.6%
ScanSource, Inc.*		14,644		465,240
Watsco, Inc.		8,235		616,801
				1,082,041
Diversified Consumer Services — 0.4%
Sotheby’s		10,900		366,458
Steiner Leisure Ltd. (Bahamas)*		7,890		380,219
				746,677
Diversified Financial Services — 0.9%
Boston Private Financial Holdings, Inc.		39,295		354,048
KBW, Inc.		8,985		137,471
Manning & Napier, Inc.		7,599		95,747
MarketAxess Holdings, Inc.		14,998		529,429
Walter Investment Management Corp.*		11,799		507,593
				1,624,288
Electric Utilities — 3.5%
Allete, Inc.		7,846		321,529
Black Hills Corp.		4,425		160,805
Cleco Corp.		37,705		1,508,577
IDACORP, Inc.		25,045		1,085,701
MGE Energy, Inc.		3,810		194,119
MYR Group, Inc.*		18,273		406,574
NorthWestern Corp.		6,471		224,738
NRG Energy, Inc.		16,861		387,634
Portland General Electric Co.		27,035		739,678
UNS Energy Corp.		28,127		1,193,147
				6,222,502
Electrical Equipment — 0.3%
Acuity Brands, Inc.		4,800		325,104
GrafTech International Ltd.*(a)		28,180		264,610
				589,714
Electronic Components & Equipment — 1.5%
AVX Corp.		72,970		786,617
Coherent, Inc.		2,994		151,556
Littelfuse, Inc.		8,624		532,187
Park Electrochemical Corp.		44,016		1,132,532
				2,602,892

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronics — 1.3%
Belden, Inc.		22,289	$	1,002,782
Checkpoint Systems, Inc.*		25,335		272,098
Newport Corp.*		42,224		567,913
PerkinElmer, Inc.		17,950		569,733
				2,412,526
Energy Equipment & Services — 2.0%
C&J Energy Services, Inc.*		31,090		666,569
Gulf Island Fabrication, Inc.		17,360		417,161
Matrix Service Co.*		81,310		935,065
Natural Gas Services Group, Inc.*		31,750		521,335
Patterson-UTI Energy, Inc.(a)		11,100		206,793
TETRA Technologies, Inc.*		44,380		336,844
Tidewater, Inc.		11,560		516,501
				3,600,268
Entertainment & Leisure — 1.4%
Brunswick Corp.		13,342		388,119
Marriott Vacations Worldwide Corp.*		16,713		696,431
Polaris Industries, Inc.		4,849		408,043
Six Flags Entertainment Corp.		5,773		353,307
Vail Resorts, Inc.		12,664		684,996
				2,530,896
Environmental Control — 0.3%
Darling International, Inc.*		29,055		466,042
Environmental Services — 0.2%
Waste Connections, Inc.(a)		10,437		352,666
Financial – Bank & Trust — 2.7%
Bank of the Ozarks, Inc.		24,921		834,106
First Financial Bankshares, Inc.(a)		13,225		515,907
Glacier Bancorp, Inc.		29,310		431,150
Northwest Bancshares, Inc.		25,093		304,629
Prosperity Bancshares, Inc.		20,026		841,092
Provident Financial Services, Inc.		25,707		383,548
SCBT Financial Corp.		10,990		441,578
Southcoast Financial Corp.*		5,388		27,371
Summit State Bank		4,986		33,656
Texas Capital Bancshares, Inc.*(a)		20,314		910,474
WSFS Financial Corp.		3,999		168,958
				4,892,469
Financial Services — 1.4%
Brookline Bancorp, Inc.		26,028		221,238
First of Long Island Corp. (The)		5,054		143,129
Home BancShares, Inc.		11,375		375,603
MB Financial, Inc.		26,747		528,253
Ocwen Financial Corp.*		31,399		1,086,091
Piper Jaffray Cos.*		3,407		109,467
				2,463,781
Food & Staples Retailing — 0.9%
Pantry, Inc. (The)*		90,289		1,095,206
Weis Markets, Inc.		14,770		578,541
				1,673,747
Foods — 0.5%
Hain Celestial Group, Inc. (The)*		8,647		468,841
TreeHouse Foods, Inc.*		7,293		380,184
				849,025

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Gas Utilities — 0.7%
Laclede Group, Inc. (The)		7,540	$	291,119
New Jersey Resources Corp.		9,330		369,655
Northwest Natural Gas Co.		9,500		419,900
WGL Holdings, Inc.		6,730		263,749
				1,344,423
Healthcare Equipment & Services — 0.3%
Orthofix International NV (Curacao)*		12,436		489,108
Healthcare Products — 0.2%
West Pharmaceutical Services, Inc.		7,869		430,828
Healthcare Providers & Services — 1.9%
Acadia Healthcare Co., Inc.*		23,411		546,179
Cross Country Healthcare, Inc.*		38,740		185,952
HealthSouth Corp.*(a)		52,659		1,111,632
ICON PLC, ADR (Ireland)*		22,919		636,231
LifePoint Hospitals, Inc.*		25,600		966,400
				3,446,394
Home Builders — 0.1%
Standard Pacific Corp.*(a)		20,548		151,028
Hotels, Restaurants & Leisure — 0.1%
DineEquity, Inc.*		3,002		201,134
Household Durables — 0.5%
Ryland Group, Inc. (The)(a)		24,500		894,250
Household Products — 0.5%
Central Garden & Pet Co. (Class A Stock)*		67,690		707,361
Harman International Industries, Inc.		4,839		216,013
				923,374
Insurance — 5.2%
Allied World Assurance Co. Holdings AG (Switzerland)		25,940		2,044,072
Alterra Capital Holdings Ltd. (Bermuda)		30,555		861,345
American Equity Investment Life Holding Co.(a)		90,850		1,109,278
Arch Capital Group Ltd. (Bermuda)*		25,990		1,144,080
Aspen Insurance Holdings Ltd. (Bermuda)		17,414		558,641
AXIS Capital Holdings Ltd. (Bermuda)		30,530		1,057,559
Enstar Group Ltd. (Bermuda)*		3,310		370,654
Maiden Holdings Ltd. (Bermuda)		12,957		119,075
Meadowbrook Insurance Group, Inc.		77,468		447,765
ProAssurance Corp.		20,052		845,994
RLI Corp.		4,313		278,879
Tower Group, Inc.		29,763		528,889
				9,366,231
Internet & Catalog Retail — 0.3%
HSN, Inc.		8,552		471,044
Investment Companies — 0.3%
New Mountain Finance Corp.		13,058		194,564
Solar Capital Ltd.		9,782		233,888
THL Credit, Inc.		11,522		170,410
				598,862

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services — 0.1%
Unisys Corp.*		8,830	$	152,759
Leisure Equipment & Products — 0.2%
Arctic Cat, Inc.*		8,107		270,693
Machinery — 2.8%
Altra Holdings, Inc.		39,818		877,987
CIRCOR International, Inc.		9,981		395,148
Edwards Group Ltd., ADR (United Kingdom)*		48,868		297,117
Gardner Denver, Inc.		7,630		522,655
Oshkosh Corp.*		13,260		393,159
RBC Bearings, Inc.*		30,793		1,541,806
Snap-on, Inc.		11,160		881,528
Twin Disc, Inc.		11,897		207,365
				5,116,765
Machinery & Equipment — 0.8%
Applied Industrial Technologies, Inc.		13,286		558,145
Graco, Inc.		11,767		605,883
Tennant Co.		5,272		231,704
				1,395,732
Manufacturing — 1.3%
A.O. Smith Corp.		9,254		583,650
Carlisle Cos., Inc.		15,247		895,913
Crane Co.		11,568		535,367
Raven Industries, Inc.		10,155		267,686
				2,282,616
Marine — 0.5%
Diana Shipping, Inc. (Marshall Islands)*		32,030		233,819
Kirby Corp.*(a)		9,960		616,424
				850,243
Metals & Mining — 2.6%
Carpenter Technology Corp.		19,296		996,253
Coeur d’Alene Mines Corp.*		4,787		117,760
Commercial Metals Co.		11,402		169,434
Haynes International, Inc.		7,944		412,055
Horsehead Holding Corp.*		36,130		368,887
Kaiser Aluminum Corp.		14,830		914,863
Metals USA Holdings Corp.		26,633		465,811
Olympic Steel, Inc.		17,164		380,011
RTI International Metals, Inc.*(a)		26,740		736,954
Schnitzer Steel Industries, Inc. (Class A Stock)		5,629		170,728
				4,732,756
Oil & Gas Exploration/Production — 0.2%
Diamondback Energy, Inc.*		14,986		286,532
Oil Field Equipment & Services — 1.2%
Dril-Quip, Inc.*		12,992		949,066
Forum Energy Technologies, Inc.*(a)		34,350		850,163
Thermon Group Holdings, Inc.*		13,865		312,378
				2,111,607
Oil, Gas & Consumable Fuels — 4.1%
Approach Resources, Inc.*		35,949		899,084
Bill Barrett Corp.*(a)		30,390		540,638

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Carrizo Oil & Gas, Inc.*		31,770	$	664,628
Cloud Peak Energy, Inc.*		12,150		234,860
Lufkin Industries, Inc.(a)		7,961		462,773
Newpark Resources, Inc.*(a)		108,055		848,232
Rex Energy Corp.*		90,442		1,177,555
Southwest Gas Corp.		44,909		1,904,591
Western Refining, Inc.		20,697		583,448
				7,315,809
Paper & Forest Products — 0.1%
KapStone Paper and Packaging Corp.		6,019		133,562
Professional Services — 0.8%
Hudson Global, Inc.*		41,920		187,802
Korn/Ferry International*		13,710		217,440
TrueBlue, Inc.*		68,793		1,083,490
				1,488,732
Real Estate Investment Trusts — 10.8%
Acadia Realty Trust		23,527		590,057
American Campus Communities, Inc.		11,238		518,409
BioMed Realty Trust, Inc.		54,520		1,053,872
Campus Crest Communities, Inc.(a)		59,230		726,160
CBL & Associates Properties, Inc.		28,436		603,127
Coresite Realty Corp.		23,712		655,874
Corporate Office Properties Trust		12,020		300,260
Cousins Properties, Inc.		65,873		550,039
CreXus Investment Corp.		22,041		270,002
CubeSmart(a)		39,570		576,535
CYS Investments, Inc.(a)		62,560		738,834
DuPont Fabros Technology, Inc.(a)		15,891		383,927
EastGroup Properties, Inc.		12,600		678,006
EPR Properties		20,709		954,892
Hersha Hospitality Trust		93,900		469,500
Hudson Pacific Properties, Inc.		35,445		746,472
LaSalle Hotel Properties		62,309		1,582,025
LTC Properties, Inc.		15,133		532,530
MFA Financial, Inc.		112,490		912,294
Mid-America Apartment Communities, Inc.(a)		22,198		1,437,320
National Retail Properties, Inc.		17,893		558,262
Omega Healthcare Investors, Inc.(a)		13,177		314,271
Pebblebrook Hotel Trust		76,141		1,758,857
PS Business Parks, Inc.		14,264		926,875
Senior Housing Properties Trust		8,490		200,704
Silver Bay Realty Trust Corp.*		16,769		315,760
Starwood Property Trust, Inc.		9,789		224,755
Two Harbors Investment Corp.		60,797		673,631
Washington Real Estate Investment Trust		6,340		165,791
				19,419,041
Real Estate Management & Development — 0.7%
CBRE Group, Inc.*		23,930		476,207
Jones Lang LaSalle, Inc.		5,540		465,027
Kennedy-Wilson Holdings, Inc.		24,118		337,170
				1,278,404

COMMON STOCKS (continued)	Shares		Value (Note 2)
Retail & Merchandising — 1.7%
Cabela’s, Inc.*(a)		9,186	$	383,515
Casey’s General Stores, Inc.		5,932		314,989
Chico’s FAS, Inc.		21,324		393,641
GNC Holdings, Inc. (Class A Stock)		14,356		477,768
Shoe Carnival, Inc.		17,857		365,890
Susser Holdings Corp.*(a)		11,933		411,569
Vitamin Shoppe, Inc.*		2,680		153,725
World Fuel Services Corp.		13,130		540,562
				3,041,659
Road & Rail — 0.9%
Genesee & Wyoming, Inc. (Class A Stock)*(a)		10,530		801,122
Old Dominion Freight Line, Inc.*		22,377		767,084
				1,568,206
Semiconductors & Semiconductor Equipment — 5.7%
Cabot Microelectronics Corp.*		20,128		714,745
Exar Corp.*		100,320		892,848
Fairchild Semiconductor International, Inc.*		58,395		840,888
Hittite Microwave Corp.*		7,762		482,020
Intersil Corp. (Class A Stock)		68,425		567,243
Micrel, Inc.		23,843		226,509
MKS Instruments, Inc.		24,551		632,925
ON Semiconductor Corp.*		184,500		1,300,725
Rudolph Technologies, Inc.*		55,080		740,826
Semtech Corp.*		31,959		925,213
Teradyne, Inc.*(a)		98,030		1,655,727
Ultratech, Inc.*		8,523		317,908
Veeco Instruments, Inc.*(a)		32,120		948,182
				10,245,759
Software — 0.7%
Interactive Intelligence Group, Inc.*		5,507		184,705
SS&C Technologies Holdings, Inc.*		25,363		586,393
Verint Systems, Inc.*		15,615		458,456
				1,229,554
Specialty Retail — 1.9%
Aaron’s, Inc.		18,495		523,039
ANN, Inc.*		24,590		832,125
Cato Corp. (The) (Class A Stock)		12,430		340,955
Francesca’s Holdings Corp.*(a)		10,230		265,571
Guess?, Inc.		29,580		725,893
MarineMax, Inc.*		61,330		548,290
Mattress Firm Holding Corp.*		8,385		205,684
				3,441,557
Telecommunications — 1.3%
ADTRAN, Inc.(a)		18,434		360,201
Anixter International, Inc.		13,497		863,538
Premiere Global Services, Inc.*		60,317		589,900
SYNNEX Corp.*(a)		12,682		436,007
				2,249,646
Textiles, Apparel & Luxury Goods — 1.2%
Carter’s, Inc.*		6,667		371,019
G & K Services, Inc. (Class A Stock)		17,687		604,011
Hanesbrands, Inc.*		18,905		677,177

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
Steven Madden Ltd.*		12,901	$	545,325
				2,197,532
Thrifts & Mortgage Finance — 0.7%
Flushing Financial Corp.		21,945		336,636
Oritani Financial Corp		9,216		141,189
People’s United Financial, Inc.		42,970		519,507
Westfield Financial, Inc.		45,250		327,158
				1,324,490
Transportation — 0.6%
Forward Air Corp.		19,495		682,520
Heartland Express, Inc.		34,309		448,419
				1,130,939
Utilities — 0.8%
El Paso Electric Co.		47,613		1,519,331
TOTAL COMMON STOCKS (cost $135,726,913)				174,939,525
EXCHANGE TRADED FUND — 0.4%
iShares Nasdaq Biotechnology Index Fund (cost $410,329)		5,410		742,360
UNAFFILIATED MUTUAL FUNDS — 0.3%
Golub Capital BDC, Inc.		10,655		170,267
PennantPark Investment Corp.		27,028		297,173
Solar Senior Capital Ltd.		7,022		131,030
TOTAL UNAFFILIATED MUTUAL FUNDS (cost $667,591)				598,470
WARRANTS*
Oil, Gas & Consumable Fuels
Magnum Hunter Resources Corp., expiring 10/14/13 (cost $0)		4,411		2,250
TOTAL LONG-TERM INVESTMENTS (cost $136,804,833)				176,282,605
SHORT-TERM INVESTMENT — 11.9%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $21,386,146; includes $18,200,266 of cash collateral for securities on loan)(b)(w) (Note 4)		21,386,146		21,386,146
TOTAL INVESTMENTS — 110.0% (cost $158,190,979)				197,668,751
LIABILITIES IN EXCESS OF OTHER ASSETS — (10.0)%				(18,027,591	)
NET ASSETS — 100.0%			$	179,641,160

The following abbreviation is used in the Portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $17,921,248; cash collateral of $18,200,266 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	174,939,525	$	—	$	—
Exchange Traded Fund		742,360		—		—
Unaffiliated Mutual Funds		598,470		—		—
Warrants		2,250		—		—
Affiliated Money Market Mutual Fund		21,386,146		—		—
Total	$	197,668,751	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

Affiliated Money Market Mutual Fund (10.1% represents investments purchased with collateral from securities on loan)	11.9	%
Real Estate Investment Trusts	10.8
Commercial Banks	7.8
Semiconductors & Semiconductor Equipment	5.7
Insurance	5.2
Oil, Gas & Consumable Fuels	4.1
Capital Markets	3.7
Electric Utilities	3.5
Chemicals	3.3
Machinery	2.8
Financial – Bank & Trust	2.7
Metals & Mining	2.6
Energy Equipment & Services	2.0
Communication Equipment	2.0
Healthcare Providers & Services	1.9
Specialty Retail	1.9
Retail & Merchandising	1.7
Banks	1.5
Electronic Components & Equipment	1.5
Entertainment & Leisure	1.4
Financial Services	1.4
Electronics	1.3
Aerospace & Defense	1.3
Commercial Services & Supplies	1.3
Construction & Engineering	1.3
Manufacturing	1.3
Telecommunications	1.3
Computer Services & Software	1.2
Textiles, Apparel & Luxury Goods	1.2
Commercial Services	1.2
Oil Field Equipment & Services	1.2
Food & Staples Retailing	0.9
Diversified Financial Services	0.9
Road & Rail	0.9
Auto Components	0.8
Utilities	0.8

Professional Services	0.8	%
Machinery & Equipment	0.8
Gas Utilities	0.7
Thrifts & Mortgage Finance	0.7
Real Estate Management & Development	0.7
Software	0.7
Transportation	0.6
Distribution/Wholesale	0.6
Household Products	0.5
Building Materials	0.5
Household Durables	0.5
Building Products	0.5
Marine	0.5
Foods	0.5
Diversified Consumer Services	0.4
Exchange Traded Fund	0.4
Computer Hardware	0.4
Investment Companies	0.3
Unaffiliated Mutual Funds	0.3
Electrical Equipment	0.3
Automotive Parts	0.3
Consumer Products & Services	0.3
Healthcare Equipment & Services	0.3
Internet & Catalog Retail	0.3
Environmental Control	0.3
Healthcare Products	0.2
Environmental Services	0.2
Consumer Finance	0.2
Oil & Gas Exploration/Production	0.2
Leisure Equipment & Products	0.2
Hotels, Restaurants & Leisure	0.1
IT Services	0.1
Home Builders	0.1
Paper & Forest Products	0.1
Computers & Peripherals	0.1
	110.0
Liabilities in excess of other assets	(10.0	)
	100.0	%

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

Fair values of derivative instruments as of December 31, 2012 as presented in the Statement of Assets and Liabilities:

Derivatives not 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	$	2,250	—	$	—

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Warrants
Equity contracts	$	2,250

For the year ended December 31, 2012, the Portfolio did not have any realized gain or (loss) on derivatives recognized in income.

SEE NOTES TO FINANCIAL STATEMENTS.

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SP SMALL CAP VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments at value, including securities on loan of $17,921,248:
Unaffiliated investments (cost $136,804,833)	$	176,282,605
Affiliated investments (cost $21,386,146)		21,386,146
Cash		4
Receivable for investments sold		609,375
Dividends receivable		242,498
Prepaid expenses		3,765
Total Assets		198,524,393
LIABILITIES
Collateral for securities on loan		18,200,266
Payable for investments purchased		339,782
Payable for Series shares repurchased		141,534
Management fee payable		137,498
Accrued expenses and other liabilities		62,134
Deferred trustees’ fees		1,093
Affiliated transfer agent fees payable		926
Total Liabilities		18,883,233
NET ASSETS	$	179,641,160
Net assets were comprised of:
Paid-in capital	$	141,885,515
Retained earnings		37,755,645
Net assets, December 31, 2012	$	179,641,160
Net asset value and redemption price per share, $179,641,160 / 13,115,921 outstanding shares of beneficial interest	$	13.70

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INVESTMENT INCOME
Unaffiliated dividend income (net of $299 foreign withholding tax)	$	3,839,859
Affiliated income from securities lending, net		72,624
Affiliated dividend income		5,104
		3,917,587
EXPENSES
Management fee		1,645,668
Custodian’s fees and expenses		84,000
Shareholders’ reports		36,000
Audit fee		23,000
Transfer agent’s fees and expenses (including affiliated expense of 5,600) (Note 4)		12,000
Trustees’ fees		12,000
Legal fees and expenses		10,000
Commitment fee on syndicated credit agreement		3,000
Insurance expenses		2,000
Loan interest expense (Note 8)		401
Miscellaneous		10,834
Total expenses		1,838,903
NET INVESTMENT INCOME		2,078,684
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investment transactions		16,651,841
Net change in unrealized appreciation (depreciation) on investments		8,467,610
NET GAIN ON INVESTMENTS		25,119,451
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	27,198,135

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	2,078,684		$	822,204
Net realized gain on investment transactions		16,651,841			19,724,100
Net change in unrealized appreciation (depreciation) on investments		8,467,610			(23,357,774	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		27,198,135			(2,811,470	)
DISTRIBUTIONS		(822,771	)		(1,316,520	)
SERIES SHARE TRANSACTIONS:
Series shares sold [438,835 and 631,174 shares, respectively]		5,693,146			7,810,364
Series shares issued in reinvestment of distributions [67,220 and 107,471 shares, respectively]		822,771			1,316,520
Series shares repurchased [2,364,511 and 4,714,520 shares, respectively]		(30,783,627	)		(60,179,414	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(24,267,710	)		(51,052,530	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		2,107,654			(55,180,520	)
NET ASSETS:
Beginning of year		177,533,506			232,714,026
End of year	$	179,641,160		$	177,533,506

SEE NOTES TO FINANCIAL STATEMENTS.

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NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

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

SP International Growth Portfolio:    Long-term growth of capital.

SP International Value Portfolio:    Long-term capital appreciation.

SP Prudential U.S. Emerging Growth Portfolio:    Long-term capital appreciation.

SP Small Cap Value Portfolio:    Long-term growth of capital.

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

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.

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

Various inputs are used in determining the value of the Portfolio’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following the Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

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

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

For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Portfolio’s normal pricing time. These securities are valued using pricing vendor services that provide model prices derived using

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adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs to the valuation.

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

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swap agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

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

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

Restricted and Illiquid Securities:    Each Portfolio may hold up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.

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

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

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

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

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (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 investments and foreign currencies.

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable.

Warrants and Rights:    Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Securities Lending:    Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market 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 using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of

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premium and accretion of discount on debt securities, as required, is recorded on an accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management, that may differ from actual. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are charged directly at the Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

When-Issued/Delayed Delivery Securities:    Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Portfolios’ distributions are generally made on an annual basis. Distributions are recorded on the ex-date.

Estimates:    The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Jennison Associates LLC (“Jennison”), Goldman Sachs Asset Management, L.P. (“GSAM”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), William Blair & Company LLC (“William Blair”), Thornburg Investment Management (“Thornburg”), and ClearBridge Advisors LLC (“ClearBridge”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

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

Portfolio	Management Fee			Effective Management Fee
SP International Growth Portfolio		0.85	%		0.85	%
SP International Value Portfolio		0.90			0.90
SP Prudential U.S. Emerging Growth Portfolio		0.60			0.60
SP Small Cap Value Portfolio		0.90			0.90

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At December 31, 2012 the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:

Portfolio	Subadvisor(s)
SP International Growth Portfolio	William Blair, Marsico, Jennison
SP International Value Portfolio	LSV, Thornburg
SP Prudential U.S. Emerging Growth Portfolio	Jennison
SP Small Cap Value Portfolio	GSAM, ClearBridge

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

PIMS, PI, and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

The Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2012, brokerage commission recaptured under these agreements was as follows:

Portfolio	Commission Recaptured
SP International Growth Portfolio	$	610
SP International Value Portfolio		252
SP Prudential U.S. Emerging Growth Portfolio		2,726
SP Small Cap Value Portfolio		2,061

Note 4: Other Transactions with Affiliates

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

Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, is the Series Fund’s security lending agent. For the year ended December 31, 2012, PIM was compensated as follows for these services by the Series Fund Portfolios:

	PIM
SP International Growth Portfolio	$	4,959
SP Prudential U.S. Emerging Growth Portfolio		17,144
SP Small Cap Value Portfolio		21,555

Certain Portfolios invest in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2. The Core Fund is a money market mutual fund registered under 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

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Note 5: Portfolio Securities

Purchases and sales of portfolio securities, other than short-term investments and U.S. Government securities, for the year ended December 31, 2012, were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
SP International Growth Portfolio	$	94,548,598	$	101,851,747
SP International Value Portfolio		20,578,189		32,376,161
SP Prudential U.S. Emerging Growth Portfolio		95,899,955		124,539,857
SP Small Cap Value Portfolio		70,359,690		94,702,273

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions paid by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolio’s tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax would be required in the Portfolio’s financial statements. The Portfolios’ federal and state income tax returns for tax years for which the applicable statues of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2012, the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios have Class II shares outstanding.

Transactions in shares of beneficial interest of the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios were as follows:

SP International Growth Portfolio:

Class I	Shares			Amount
Year ended December 31, 2012:
Series shares sold		856,840		$	4,180,512
Series shares issued in reinvestment of distributions		112,515			507,441
Series shares repurchased		(3,042,664	)		(14,903,764	)
Net increase (decrease) in shares outstanding		(2,073,309	)	$	(10,215,811	)
Year ended December 31, 2011:
Series shares sold		1,440,458		$	7,230,093
Series shares issued in reinvestment of distributions		235,819			1,181,454
Series shares repurchased		(15,563,232	)		(83,117,046	)
Net increase (decrease) in shares outstanding		(13,886,955	)	$	(74,705,499	)

B6

Class II	Shares			Amount
Year ended December 31, 2012:
Series shares sold		330,289		$	1,585,415
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(358,741	)		(1,705,723	)
Net increase (decrease) in shares outstanding		(28,452	)	$	(120,308	)
Year ended December 31, 2011:
Series shares sold		38,157		$	180,953
Series shares issued in reinvestment of distributions		7,961			39,406
Series shares repurchased		(359,810	)		(1,754,273	)
Net increase (decrease) in shares outstanding		(313,692	)	$	(1,533,914	)

SP Prudential U.S. Emerging Growth Portfolio:

Class I	Shares			Amount
Year ended December 31, 2012:
Series shares sold		1,104,011		$	9,377,618
Series shares issued in reinvestment of distributions		2,092,628			16,531,764
Series shares repurchased		(4,021,161	)		(33,669,186	)
Net increase (decrease) in shares outstanding		(824,522	)	$	(7,759,804	)
Year ended December 31, 2011:
Series shares sold		1,028,266		$	8,188,427
Series shares issued in reinvestment of distributions		417,280			3,329,895
Series shares repurchased		(5,737,435	)		(45,214,307	)
Net increase (decrease) in shares outstanding		(4,291,889	)	$	(33,695,985	)
Class II
Year ended December 31, 2012:
Series shares sold		6,155		$	48,686
Series shares issued in reinvestment of distributions		2,846			21,691
Series shares repurchased		(4,930	)		(40,839	)
Net increase (decrease) in shares outstanding		4,071		$	29,538
Year ended December 31, 2011:
Series shares issued in reinvestment of distributions		436		$	3,362
Series shares repurchased		(1,605	)		(12,184	)
Net increase (decrease) in shares outstanding		(1,169	)	$	(8,822	)

Note 8: Borrowings

The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of 0.08% on the unused portion of the SCA. Prior to November 15, 2012, the Funds had another Syndicated Credit Agreement with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

B7

The following Portfolios utilized the line of credit during the year ended December 31, 2012. The average balance is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rate			Outstanding Borrowings at December 31, 2012
SP International Value	$	720,000		11		1.48	%		—
SP International Growth		468,000		19		1.46	%	$	495,000
SP Prudential U.S. Emerging Growth		101,000		4		1.48	%		—
SP Small Cap Value		1,464,000		7		1.46	%		—

Note 9: Ownership and Affiliates

As of December 31, 2012, all of Class I shares of record of each Portfolio were owned by The Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10: New Accounting Pronouncement

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

B8

Financial Highlights

	SP International Growth Portfolio
	Class I
	Year Ended December 31,
	2012(c)			2011(c)			2010(c)			2009(c)			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	4.36		$	5.19		$	4.63		$	3.45		$	8.52
Income (Loss) From Investment Operations:
Net investment income		.08			.02			.04			.05			.10
Net realized and unrealized gain (loss) on investments		.89			(.79	)		.59			1.22			(3.74	)
Total from investment operations		.97			(.77	)		.63			1.27			(3.64	)
Less Distributions:		(.03	)		(.06	)		(.07	)		(.09	)		(1.43	)
Net Asset Value, end of year	$	5.30		$	4.36		$	5.19		$	4.63		$	3.45
Total Return(a)		22.40	%		(14.91	)%		14.01	%		37.15	%		(50.30	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	80.9		$	75.5		$	162.1		$	162.5		$	207.5
Ratios to average net assets(b):
Expenses		1.19	%		1.21	%		1.10	%		.99	%		.99	%
Net investment income		1.59	%		.47	%		.77	%		1.18	%		1.36	%
Portfolio turnover rate		111	%		118	%		141	%		89	%		101	%
	SP International Growth Portfolio
	Class II
	Year Ended December 31,
	2012(c)			2011(c)			2010(c)			2009(c)			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	4.30		$	5.10		$	4.54		$	3.37		$	8.36
Income (Loss) From Investment Operations:
Net investment income (loss)		.06			—	(d)		.02			.03			.07
Net realized and unrealized gain (loss) on investments		.88			(.78	)		.59			1.19			(3.65	)
Total from investment operations		.94			(.78	)		.61			1.22			(3.58	)
Less Distributions:		—			(.02	)		(.05	)		(.05	)		(1.41	)
Net Asset Value, end of year	$	5.24		$	4.30		$	5.10		$	4.54		$	3.37
Total Return(a)		21.86	%		(15.32	)%		13.81	%		36.44	%		(50.49	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	8.6		$	7.2		$	10.1		$	11.1		$	9.4
Ratios to average net assets(b):
Expenses		1.59	%		1.61	%		1.50	%		1.39	%		1.39	%
Net investment income (loss)		1.16	%		(.09	%)		.39	%		.70	%		1.10	%
Portfolio turnover rate		111	%		118	%		141	%		89	%		101	%

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

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

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

(d) Less than $.005.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

	SP International Value Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of year	$	5.83		$	6.87		$	6.35		$	4.95		$	10.63
Income (Loss) From Investment Operations:
Net investment income		.16			.20			.12			.14			.18
Net realized and unrealized gain (loss) on investments		.80			(1.07	)		.54			1.43			(4.27	)
Total from investment operations		.96			(.87	)		.66			1.57			(4.09	)
Less Distributions:		(.17	)		(.17	)		(.14	)		(.17	)		(1.59	)
Net Asset Value, end of year	$	6.62		$	5.83		$	6.87		$	6.35		$	4.95
Total Return(a)		16.92	%		(13.10	)%		10.81	%		32.35	%		(44.06	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	124.8		$	122.8		$	211.5		$	203.3		$	238.5
Ratios to average net assets(b):
Expenses		1.13	%		1.10	%		1.05	%		1.03	%		1.02	%
Net investment income		2.40	%		2.02	%		1.76	%		1.82	%		2.32	%
Portfolio turnover rate		17	%		19	%		25	%		67	%		34	%

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

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

(c) Calculated based upon average shares outstanding during the year.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

	SP Prudential U.S. Emerging Growth Portfolio
	Class I
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	7.80		$	7.74		$	6.45		$	4.58		$	8.41
Income (Loss) From Investment Operations:
Net investment income		.06			.04			.03			.04			.04
Net realized and unrealized gain (loss) on investments		1.21			.13			1.28			1.87			(2.64	)
Total from investment operations		1.27			.17			1.31			1.91			(2.60	)
Less Distributions:		(.64	)		(.11	)		(.02	)		(.04	)		(1.23	)
Net Asset Value, end of year	$	8.43		$	7.80		$	7.74		$	6.45		$	4.58
Total Return(a)		16.88	%		2.22	%		20.43	%		41.89	%		(36.23	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	221.0		$	210.8		$	242.4		$	142.3		$	112.3
Ratios to average net assets(b):
Expenses		.67	%		.64	%		.70	%		.71	%		.68	%
Net investment income		.73	%		.39	%		.69	%		.66	%		.55	%
Portfolio turnover rate		44	%		40	%		73	%		50	%		59	%
	SP Prudential U.S. Emerging Growth Portfolio
	Class II
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	7.53		$	7.48		$	6.25		$	4.44		$	8.17
Income (Loss) From Investment Operations:
Net investment income (loss)		.04			—	(c)		.01			.01			.01
Net realized and unrealized gain (loss) on investments		1.16			.13			1.24			1.81			(2.53	)
Total from investment operations		1.20			.13			1.25			1.82			(2.52	)
Less Distributions:		(.61	)		(.08	)		(.02	)		(.01	)		(1.21	)
Net Asset Value, end of year	$	8.12		$	7.53		$	7.48		$	6.25		$	4.44
Total Return(a)		16.44	%		1.77	%		19.96	%		41.14	%		(36.24	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	.4		$	.3		$	.3		$	.3		$	.2
Ratios to average net assets(b):
Expenses		1.07	%		1.04	%		1.10	%		1.11	%		1.08	%
Net investment income (loss)		.38	%		(.01	)%		.24	%		.25	%		.15	%
Portfolio turnover rate		44	%		40	%		73	%		50	%		59	%

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

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

(c) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

	SP Small Cap Value Portfolio
	Year Ended December 31,
	2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.86		$	12.28		$	9.79		$	7.60		$	12.22
Income (Loss) From Investment Operations:
Net investment income		.16			.07			.07			.07			.12
Net realized and unrealized gain (loss) on investments		1.74			(.41	)		2.49			2.24			(3.47	)
Total from investment operations		1.90			(.34	)		2.56			2.31			(3.35	)
Less Distributions:		(.06	)		(.08	)		(.07	)		(.12	)		(1.27	)
Net Asset Value, end of year	$	13.70		$	11.86		$	12.28		$	9.79		$	7.60
Total Return(a)		16.06	%		(2.77	)%		26.27	%		30.80	%		(30.50	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	179.6		$	177.5		$	232.7		$	208.0		$	202.2
Ratios to average net assets(b):
Expenses		1.01	%		.99	%		1.00	%		1.00	%		.98	%
Net investment income		1.14	%		.41	%		.62	%		.70	%		1.17	%
Portfolio turnover rate		39	%		36	%		39	%		52	%		56	%

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

C4

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of the SP International Growth Portfolio, SP International Value Portfolio, SP Prudential U.S. Emerging Growth Portfolio, and SP Small Cap Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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

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

New York, New York

February 20, 2013

D1

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (45) No. of Portfolios Overseen: 92	Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat (63) No. of Portfolios Overseen: 92	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.).
Kay Ryan Booth (62) No. of Portfolios Overseen: 92	Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold (74) No. of Portfolios Overseen: 92	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
W. Scott McDonald, Jr., Ph.D. (75) No. of Portfolios Overseen: 92	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None.
Thomas T. Mooney (71) No. of Portfolios Overseen: 92	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.
Thomas M. O’Brien (62) No. of Portfolios Overseen: 92	Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.

E1

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
F. Don Schwartz (77) No. of Portfolios Overseen: 92	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.
Interested Trustees(1)
Robert F. O’Donnell (44) No. of Portfolios Overseen: 92	President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008)	None.
Robert F. Gunia (66) No. of Portfolios Overseen: 92	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (47) Number of Portfolios Overseen: 92	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Timothy S. Cronin, 2011; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; F. Don Schwartz, 2003.

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara (57) Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Deborah A. Docs (54) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (54) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (38) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).
Andrew R. French (50) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Amanda S. Ryan (35) Assistant Secretary	Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of PI; Associate at Ropes & Gray (2008-2012).
Valerie M. Simpson (53) Chief Compliance Officer	Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President – Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (50) Deputy Chief Compliance Officer	Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001-2004).

E2

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Richard W. Kinville (44) Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (53) Treasurer and Principal Financial and Accounting Officer	Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.
M. Sadiq Peshimam (49) Assistant Treasurer	Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (54) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (56) Assistant Treasurer	Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. O’Donnell and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

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

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert O’Donnell and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

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

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

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

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.

E3

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios, and the contract and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced above, for variable life insurance contract owners.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (800)778-2255.

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy that you have chosen. Please refer to your variable life insurance prospectus to determine which portfolios are available to you.

Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.

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

Life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

Prudential Investments, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0239311-00001-00    PSF-AR-B-ILI    

THE PRUDENTIAL SERIES FUND

ANNUAL REPORT Ÿ DECEMBER 31, 2012

This report is one of several that provides financial information about certain investment choices available under variable life insurance contracts. Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable life insurance contract prospectus to determine which portfolios are available to you.

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

Please note that this document may include prospectus supplements that are separate from and not a part of the annual report. Please refer to your variable life insurance contract prospectus to determine which supplements are applicable to you.

Make Life Easier with e-Delivery

You can stop receiving printed annual reports and start reviewing them online by using e-Delivery.

To receive your annual reports online, go to www.prudential.com/edelivery, or scan the code below.

Jennison 20/20 Focus Portfolio

The Prudential Series Fund Table of Contents Annual Report December 31, 2012

n LETTER TO CONTRACT OWNERS

n MANAGEMENT REVIEW

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
Section B	Notes to Financial Statements
Section C	Financial Highlights
Section D	Report of Independent Registered Public Accounting Firm
Section E	Information about Trustees and Officers

The Prudential Series Fund Letter to Contract Owners Annual Report December 31, 2012

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund January 31, 2013

The Prudential Series Fund, Jennison 20/20 Focus Portfolio December 31, 2012

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

Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		11.04	%		1.96	%		9.75	%
Portfolio: Class II		10.62			1.58			9.32
Russell 1000® Index		15.26			3.12			7.52
S&P 500 Index		15.99			1.66			7.10

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

Portfolio performance is net of investment fees and fund expenses, but not product charges, which, if included, would significantly lower the performance quoted. The Russell 1000^® Index is a trademark/service mark of the Frank Russell Company. Russell^® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.

$10,000 INVESTED OVER 10 YEARS

For the year ended December 31, 2012, the Jennison 20/20 Focus Portfolio’s Class I shares returned 11.04% and Class II shares returned 10.62%.

The Jennison 20/20 Focus Portfolio is subadvised by Jennison Associates LLC. The Portfolio’s investment objective is long-term growth of capital.

Information technology accounted for the two leading individual contributors overall, with Apple having the greatest positive impact followed by Salesforce.com. Lululemon Athletica and Amazon (consumer discretionary holdings) were also among the largest individual contributors overall. In industrials, another source of relative strength, Precision Castparts, had the largest beneficial impact.

Stock selection in healthcare and financials was the Portfolio’s greatest source of relative weakness. In financials, Goldman Sachs Group weighed on returns the most and was the largest individual detractor. The healthcare company Shire also had a notable negative impact. Although stock picking in information technology was generally strong, several information technology companies were major detractors, including Google, Broadcom, and International Business Machines.

Stock selection in most sectors, and particularly in consumer discretionary, telecommunication services, and materials, had a negative impact on relative returns. An underweight position in financials and an overweight position in materials further weakened relative performance. In financials, it was the absence from the Portfolio of several key index contributors, most notably Bank of America and JPMorgan Chase, that hurt relative performance most.

Positions in Staples and International Game Technology had the largest negative impact in consumer discretionary. In telecommunications services, NII Holdings, which has been converting to 3G services in Latin America and was hurt by price competition and adverse exchange rates, was the main source of weakness.

Stock selection in energy and healthcare helped relative performance the most. Suncor Energy was a major contributor in energy while in healthcare, Mylan was the strongest pick. Despite detrimental stock selection in consumer discretionary, an overweight position in the sector was highly beneficial and the consumer sectors provided the largest share of absolute returns to the value part of the Portfolio. Important contributors in the consumer sectors included media companies Comcast and Liberty Global, and the food products company Bunge. The manager benefited from an underexposure to the utilities sector.

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

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

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

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

The Prudential Series Fund Presentation of Portfolio Holdings — unaudited December 31, 2012

Jennison 20/20 Focus
Five Largest Holdings	(% of Net Assets	)
Mastercard, Inc. (Class A Stock)	3.4%
Apple, Inc.	3.3%
Precision Castparts Corp.	3.1%
Tyson Foods, Inc. (Class A Stock)	3.0%
Liberty Global, Inc. Ser. C	2.9%

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

The Prudential Series Fund Fees and Expenses — unaudited December 31, 2012

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2012 through December 31, 2012.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2012		Ending Account Value December 31, 2012		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Jennison 20/20 Focus (Class I)	Actual	$	1,000.00	$	1,086.60		0.83	%	$	4.35
	Hypothetical	$	1,000.00	$	1,020.96		0.83	%	$	4.22
Jennison 20/20 Focus (Class II)	Actual	$	1,000.00	$	1,085.00		1.23	%	$	6.45
	Hypothetical	$	1,000.00	$	1,018.95		1.23	%	$	6.24

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2012, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2012 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	JENNISON 20/20 FOCUS PORTFOLIO
SCHEDULE OF INVESTMENTS		December 31, 2012

LONG-TERM INVESTMENTS — 98.8%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 7.9%
Boeing Co. (The)		68,835	$	5,187,406
Precision Castparts Corp.		35,362		6,698,270
TransDigm Group, Inc.		36,786		5,016,139
				16,901,815
Biotechnology — 5.9%
Alexion Pharmaceuticals, Inc.*		46,385		4,351,377
Biogen Idec, Inc.*		28,791		4,222,776
Gilead Sciences, Inc.*		55,765		4,095,939
				12,670,092
Capital Markets — 1.5%
Morgan Stanley		171,084		3,271,126
Chemicals — 4.8%
Monsanto Co.		48,653		4,605,006
Mosaic Co. (The)		100,760		5,706,039
				10,311,045
Communications Equipment — 1.8%
JDS Uniphase Corp.*		289,556		3,920,588
Computers & Peripherals — 3.3%
Apple, Inc.		13,277		7,077,039
Electrical Equipment — 1.7%
AMETEK, Inc.		96,589		3,628,849
Electronic Equipment & Instruments — 2.4%
Flextronics International Ltd.*		835,443		5,188,101
Food Products — 8.1%
Bunge Ltd.		83,683		6,082,917
Mondelez International, Inc. (Class A Stock)		196,813		5,012,827
Tyson Foods, Inc. (Class A Stock)		325,264		6,310,122
				17,405,866
Healthcare Providers & Services — 2.6%
UnitedHealth Group, Inc.		100,471		5,449,547
Hotels, Restaurants & Leisure — 5.0%
Carnival Corp.		125,077		4,599,081
International Game Technology		425,334		6,026,983
				10,626,064
Insurance — 2.4%
MetLife, Inc.		155,337		5,116,801
Internet & Catalog Retail — 2.8%
Amazon.com, Inc.*		23,854		5,990,694
Internet Software & Services — 5.6%
Google, Inc. (Class A Stock)*		8,501		6,030,355
LinkedIn Corp. (Class A Stock)*		50,960		5,851,227
				11,881,582
IT Services — 5.8%
International Business Machines Corp.		27,743		5,314,171
Mastercard, Inc. (Class A Stock)		14,585		7,165,319
				12,479,490
Media — 2.9%
Liberty Global, Inc., Ser. C*		105,346		6,189,078

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 2.4%
Kinross Gold Corp.		515,590	$	5,011,535
Oil, Gas & Consumable Fuels — 8.0%
Anadarko Petroleum Corp.		75,464		5,607,730
Cobalt International Energy, Inc.*		221,178		5,432,132
Suncor Energy, Inc.		185,835		6,128,838
				17,168,700
Pharmaceuticals — 7.5%
Allergan, Inc.		52,555		4,820,870
Mylan, Inc.*		205,797		5,655,302
Novo Nordisk A/S (Denmark), ADR		33,802		5,516,824
				15,992,996
Software — 5.4%
Microsoft Corp.		210,459		5,625,569
Salesforce.com, Inc.*(a)		35,164		5,911,068
				11,536,637
Specialty Retail — 5.1%
Inditex SA (Spain), ADR		204,585		5,836,810
TJX Cos., Inc.		120,550		5,117,348
				10,954,158
Textiles, Apparel & Luxury Goods — 4.7%
Lululemon Athletica, Inc.*(a)		60,997		4,649,801
Ralph Lauren Corp.		35,790		5,365,637
				10,015,438
Wireless Telecommunication Services — 1.2%
NII Holdings, Inc.*		361,496		2,577,466
TOTAL LONG-TERM INVESTMENTS (cost $170,222,201)				211,364,707
SHORT-TERM INVESTMENT — 6.5%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $13,933,258; includes $10,479,381 of cash collateral received for securities on loan) (Note 4)(b)(c)		13,933,258		13,933,258
TOTAL INVESTMENTS — 105.3% (cost $184,155,459)				225,297,965
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.3)%				(11,426,009	)
NET ASSETS — 100.0%			$	213,871,956

The following abbreviation is used in portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $10,514,369; cash collateral of $10,479,381 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	JENNISON 20/20 FOCUS PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		December 31, 2012

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

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

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

Level 1— quoted prices generally in active markets for identical securities.

Level 2— other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

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

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

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	211,364,707	$	—	$	—
Affiliated Money Market Mutual Fund		13,933,258		—		—
Total	$	225,297,965	$	—	$	—

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

Food Products	8.1	%
Oil, Gas & Consumable Fuels	8.0
Aerospace & Defense	7.9
Pharmaceuticals	7.5
Affiliated Money Market Mutual Fund (including 4.9% of collateral received for securities on loan)	6.5
Biotechnology	5.9
IT Services	5.8
Internet Software & Services	5.6
Software	5.4
Specialty Retail	5.1
Hotels, Restaurants & Leisure	5.0
Chemicals	4.8
Textiles, Apparel & Luxury Goods	4.7
Computers & Peripherals	3.3

Media	2.9	%
Internet & Catalog Retail	2.8
Healthcare Providers & Services	2.6
Electronic Equipment & Instruments	2.4
Insurance	2.4
Metals & Mining	2.4
Communications Equipment	1.8
Electrical Equipment	1.7
Capital Markets	1.5
Wireless Telecommunication Services	1.2
	105.3
Liabilities in excess of other assets	(5.3	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A2

JENNISON 20/20 FOCUS PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2012

ASSETS
Investments, at value including securities on loan of $10,514,369:
Unaffiliated investments (cost $170,222,201)	$	211,364,707
Affiliated investments (cost $13,933,258)		13,933,258
Cash		83,872
Receivable for Series shares sold		170,372
Foreign tax reclaim receivable		42,854
Dividends and interest receivable		26,611
Prepaid expenses		2,978
Total Assets		225,624,652
LIABILITIES
Collateral for securities on loan		10,479,381
Payable for investments purchased		936,422
Management fee payable		135,342
Payable for Series shares repurchased		106,204
Accrued expenses and other liabilities		42,083
Distribution fee payable		32,630
Administration fee payable		19,708
Affiliated transfer agent fee payable		926
Total Liabilities		11,752,696
NET ASSETS	$	213,871,956
Net assets were comprised of:
Paid-in capital	$	131,325,473
Retained earnings		82,546,483
Net assets, December 31, 2012	$	213,871,956
Class I:
Net asset value and redemption price per share, $59,112,462 / 3,709,836 outstanding shares of beneficial interest	$	15.93
Class II:
Net asset value and redemption price per share, $154,759,494 / 9,937,926 outstanding shares of beneficial interest	$	15.57

STATEMENT OF OPERATIONS

Year Ended December 31, 2012

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $80,285)	$	3,510,286
Affiliated income from securities loaned, net		31,463
Affiliated dividend income		13,726
		3,555,475
EXPENSES
Management fee		2,566,978
Distribution fee—Class II		703,747
Administration fee—Class II		422,252
Shareholders’ reports		55,000
Custodian’s fees and expenses		54,000
Audit fee		20,000
Trustees’ fees		14,000
Legal fees and expenses		12,000
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4)		12,000
Insurance expenses		5,000
Commitment fee on syndicated credit agreement		3,000
Loan interest expense (Note 8)		815
Miscellaneous		11,093
Total expenses		3,879,885
NET INVESTMENT LOSS		(324,410	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		42,405,600
Foreign currency transactions		15
		42,405,615
Net change in unrealized appreciation (depreciation) on investments		(14,083,567	)
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		28,322,048
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	27,997,638

STATEMENT OF CHANGES IN NET ASSETS

	Year Ended December 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment loss	$	(324,410	)	$	(551,756	)
Net realized gain on investment and foreign currency transactions		42,405,615			49,185,693
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(14,083,567	)		(62,861,223	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		27,997,638			(14,227,286	)
DISTRIBUTIONS:
Class I		(2,125,804	)		(53,655	)
Class II		(14,068,043	)		—
TOTAL DISTRIBUTIONS		(16,193,847	)		(53,655	)
SERIES SHARE TRANSACTIONS (NOTE 7):
Series shares sold		41,176,954			121,911,715
Series shares issued in reinvestment of distributions		16,193,847			53,655
Series shares repurchased		(297,038,252	)		(208,992,204	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(239,667,451	)		(87,026,834	)
TOTAL DECREASE IN NET ASSETS		(227,863,660	)		(101,307,775	)
NET ASSETS:
Beginning of year		441,735,616			543,043,391
End of year	$	213,871,956		$	441,735,616

SEE NOTES TO FINANCIAL STATEMENTS.

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NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio.

The Portfolio’s investment objective is long-term growth of capital.

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

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolio in the preparation of its financial statements.

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

Various inputs are used in determining the value of the Series Fund’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following each Portfolio’s Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

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

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

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

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

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swap agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

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

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

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

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

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

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets

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and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) foreign currencies.

Securities Lending:    The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market 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 using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment transactions and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including amortization of premium and accretions of discount on debt securities, is recorded on the accrual basis. Expenses are recorded on the accrual basis which may require the use of certain estimates by management. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are changed directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. Federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Jennison 20/20 Focus Portfolio makes distributions, if any, at least annually. Distributions are recorded on the ex-date.

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.

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolio bears all other costs and expenses.

The management fee paid to PI is computed daily and payable monthly at an annual rate of .75% of the Portfolio’s average daily net assets.

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of

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distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of .25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of .15% of the average daily net assets of the Class II shares.

PIMS, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

The Portfolio has entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2012, brokerage commission recaptured under these agreements was $9,469.

Note 4: Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable. Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s security lending agent. For the year ended December 31, 2012, PIM was compensated $9,398 for these services by the Jennison 20/20 Focus Portfolio.

The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2012 were $242,756,885 and $488,606,364, respectively.

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life

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insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.

Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:

Class I	Shares			Amount
Year ended December 31, 2012:
Series shares sold		237,364		$	3,707,325
Series shares issued in reinvestment of distributions		144,416			2,125,804
Series shares repurchased		(615,968	)		(9,659,767	)
Net increase (decrease) in shares outstanding		(234,188	)	$	(3,826,638	)
Year ended December 31, 2011:
Series shares sold		369,922		$	5,796,412
Series shares issued in reinvestment of distributions		3,407			53,655
Series shares repurchased		(730,650	)		(11,394,573	)
Net increase (decrease) in shares outstanding		(357,321	)	$	(5,544,506	)
Class II
Year ended December 31, 2012:
Series shares sold		2,411,811		$	37,469,629
Series shares issued in reinvestment of distributions		975,593			14,068,043
Series shares repurchased		(19,641,828	)		(287,378,485	)
Net increase (decrease) in shares outstanding		(16,254,424	)	$	(235,840,813	)
Year ended December 31, 2011:
Series shares sold		7,525,972		$	116,115,303
Series shares repurchased		(12,435,137	)		(197,597,631	)
Net increase (decrease) in shares outstanding		(4,909,165	)	$	(81,482,328	)

Note 8: Borrowings

The 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 November 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of .08% of the unused portion of the SCA. Prior to November 15, 2012, the Funds had another Syndicated Credit Agreement with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The Portfolio utilized the SCA during the year ended December 31, 2012. The average daily balance for the 10 days that the Portfolio had loans outstanding during the period was $1,966,000, borrowed at a weighted average interest rate of 1.49%. At December 31, 2012, the Portfolio did not have an outstanding loan amount.

Note 9: Ownership and Affiliates

As of December 31, 2012, all of Class I shares of the Portfolio were owned of record by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

Note 10: New Accounting Pronouncement

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11 regarding “Disclosures about Offsetting Assets and Liabilities”. The amendments, which will be effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within

B5

those annual periods, require an entity to disclose information about offsetting and related arrangements for assets and liabilities, financial instruments and derivatives that are either currently offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements. At this time, management is evaluating the implications of ASU No. 2011-11 and its impact on the financial statements has not yet been determined.

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Financial Highlights

	Class I
	Year Ended December 31,
	2012(c)			2011(c)			2010(c)			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	14.89		$	15.55		$	14.42		$	9.18		$	15.99
Income (Loss) From Investment Operations:
Net investment income		.05			.04			.05			.03			.06
Net realized and unrealized gain (loss) on investments		1.55			(.69	)		1.08			5.26			(5.94	)
Total from investment operations		1.60			(.65	)		1.13			5.29			(5.88	)
Less Distributions		(.56	)		(.01	)		—			(.05	)		(.93	)
Net Asset Value, end of year	$	15.93		$	14.89		$	15.55		$	14.42		$	9.18
Total Return(a)		11.04	%		(4.17	)%		7.84	%		57.83	%		(39.15	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	59.1		$	58.7		$	66.8		$	70.5		$	46.7
Ratios to average net assets(b):
Expenses		.80	%		.80	%		.80	%		.81	%		.82	%
Net investment income		.32	%		.24	%		.36	%		.27	%		.41	%
Portfolio turnover rate		75	%		83	%		112	%		106	%		125	%
	Class II
	Year Ended December 31,
	2012(c)			2011(c)			2010(c)			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of year	$	14.62		$	15.31		$	14.25		$	9.06		$	15.78
Income (Loss) From Investment Operations:
Net investment loss		(.03	)		(.03	)		(.01	)		(.01	)		—	(d)
Net realized and unrealized gain (loss) on investments		1.54			(.66	)		1.07			5.20			(5.87	)
Total from investment operations		1.51			(.69	)		1.06			5.19			(5.87	)
Less Distributions		(.56	)		—			—			—	(d)		(.85	)
Net Asset Value, end of year	$	15.57		$	14.62		$	15.31		$	14.25		$	9.06
Total Return(a)		10.62	%		(4.51	)%		7.44	%		57.29	%		(39.40	)%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	154.8		$	383.0		$	476.2		$	284.9		$	156.3
Ratios to average net assets(b):
Expenses		1.20	%		1.20	%		1.20	%		1.21	%		1.22	%
Net investment loss		(.18	)%		(.16	)%		(.05	)%		(.13	)%		—	%(e)
Portfolio turnover rate		75	%		83	%		112	%		106	%		125	%

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

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

(c) Calculated based upon average shares outstanding.

(d) Less than $0.005 per share.

(e) Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statement of assets and liabilities of the Jennison 20/20 Focus Portfolio (hereafter referred to as the “Portfolio”), including the schedule of investments, as of December 31, 2012, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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

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

New York, New York

February 15, 2013

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INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.

Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Susan Davenport Austin (45) No. of Portfolios Overseen: 92	Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat (63) No. of Portfolios Overseen: 92	Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.).
Kay Ryan Booth (62) No. of Portfolios Overseen: 92	Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold (74) No. of Portfolios Overseen: 92	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
W. Scott McDonald, Jr., Ph.D. (75) No. of Portfolios Overseen: 92	Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd.	None.
Thomas T. Mooney (71) No. of Portfolios Overseen: 92	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976).	None.
Thomas M. O’Brien (62) No. of Portfolios Overseen: 92	Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.

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Independent Trustees(1)
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
F. Don Schwartz (77) No. of Portfolios Overseen: 92	Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute.	None.
Interested Trustees(1)
Robert F. O’Donnell (44) No. of Portfolios Overseen: 92	President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008)	None.
Robert F. Gunia (66) No. of Portfolios Overseen: 92	Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc.	Director (since May 1989) of The Asia Pacific Fund, Inc.
Timothy S. Cronin (47) Number of Portfolios Overseen: 92	Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005).	None.

⁽¹⁾ The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Timothy S. Cronin, 2011; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr., 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; F. Don Schwartz, 2003.

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara (57) Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Deborah A. Docs (54) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain (54) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo (38) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).
Andrew R. French (50) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PI; Vice President and Assistant Secretary (since January 2007) of PMFS.
Amanda S. Ryan (35) Assistant Secretary	Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of PI; Associate at Ropes & Gray (2008-2012).
Valerie M. Simpson (53) Chief Compliance Officer	Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President – Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance.
Theresa C. Thompson (50) Deputy Chief Compliance Officer	Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (2001-2004).

E2

Fund Officers(a)(1)
Name, Address and Age Position with the Fund	Principal Occupation(s) During the Past Five Years
Richard W. Kinville (44) Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ).
Grace C. Torres (53) Treasurer and Principal Financial and Accounting Officer	Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc.
M. Sadiq Peshimam (49) Assistant Treasurer	Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella (54) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Alan Fu (56) Assistant Treasurer	Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).

^(a) Excludes Mr. O’Donnell and Mr. Cronin, interested Board Members who also serve as President and Vice President, respectively.

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

Explanatory Notes to Tables:

Trustees are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert O’Donnell and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.

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

There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.

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

“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.

E3

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios, and the contract and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced above, for variable life insurance contract owners.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (800)778-2255.

This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy that you have chosen. Please refer to your variable life insurance prospectus to determine which portfolios are available to you.

Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.

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

Life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777   Presorted Standard U.S. Postage PAID Prudential

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

Prudential Investments, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0239275-00001-00    PSF-AR-20/20 Focus-ILI

Item 2 – Code of Ethics — See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. Thomas M. O’Brien, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 – Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal years ended December 31, 2012 and December 31, 2011, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $466,000 and $438,000, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

None.

(c) Tax Fees

None.

(d) All Other Fees

None.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

on

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

• a review of the nature of the professional services expected to be provided,

• a review of the safeguards put into place by the accounting firm to safeguard independence, and

• periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

• Annual Fund financial statement audits

• Seed audits (related to new product filings, as required)

• SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

• Accounting consultations

• Fund merger support services

• Agreed Upon Procedure Reports

• Attestation Reports

• Other Internal Control Reports

Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

• Tax compliance services related to the filing or amendment of the following:

• Federal, state and local income tax compliance; and,

• Sales and use tax compliance

• Timely RIC qualification reviews

• Tax distribution analysis and planning

• Tax authority examination services

• Tax appeals support services

• Accounting methods studies

• Fund merger support services

• Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Other Non-audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

• Bookkeeping or other services related to the accounting records or financial statements of the Fund

• Financial information systems design and implementation

• Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

• Actuarial services

• Internal audit outsourcing services

• Management functions or human resources

• Broker or dealer, investment adviser, or investment banking services

• Legal services and expert services unrelated to the audit

• Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –

Not applicable.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2012 and 2011. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2012 and 2011 was $0 and $0, respectively.

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5 – Audit Committee of Listed Registrants – Not applicable.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10  – Submission of Matters to a Vote of Security Holders – Not applicable.

Item 11 – Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12  – Exhibits

(a)  (1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

(3) Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:        The Prudential Series Fund

By:	/s/ Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	February 21, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Robert F. O’Donnell
	Robert F. O’Donnell
	President and Principal Executive Officer
Date:	February 21, 2013
By:	/s/ Grace C. Torres
	Grace C. Torres
	Treasurer and Principal Financial Officer
Date:	February 21, 2013