The Prudential Variable Contract Account-10

CONSERVATIVE BALANCED PORTFOLIO

SCHEDULE OF INVESTMENTS

December 31, 2014

N-CSR 1 d785531dncsr.htm THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10 The Prudential Variable Contract Account-10

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number:		811-03421

Exact name of registrant as specified in charter:		The Prudential Variable Contract Account-10

Address of principal executive offices:		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:		12/31/2014

Date of reporting period:		12/31/2014

Item 1 – Reports to Stockholders –

LOGO

The MEDLEY Program

ANNUAL REPORT Ÿ DECEMBER 31, 2014

The report is for the information of persons participating in The Prudential Variable Contract Account-10 (VCA-10), The Prudential Variable Contract Account-11 (VCA-11), and The Prudential Variable Contract Account-24 (VCA-24) (Collectively known as the “Accounts”) of The MEDLEY Program. VCA-10, VCA-11, and VCA-24 are group annuity insurance products issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, and are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC, Three Gateway Center, 14th Floor, Newark, NJ 07102-4077. Both are Prudential Financial companies.

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

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

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

LOGO

The Prudential MEDLEY Program

Table of Contents

Annual Report

December 31, 2014

LETTER TO PARTICIPANTS

INVESTMENT MANAGER’S REPORT

VCA-10 CAPITAL GROWTH ACCOUNT

Financial Statements

VCA-11 MONEY MARKET ACCOUNT

Financial Statements

VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Stock Index Portfolio

The Prudential MEDLEY Program

Letter to Participants

December 31, 2014

DEAR PARTICIPANT:

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

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

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

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

Sincerely,

Stuart Parker

President,

The Prudential Variable Contract Accounts 10 & 11

Robert F. O’Donnell

President,

The Prudential Series Fund

January 30, 2015


The Prudential MEDLEY Program — VCA-10 Capital Growth Account		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year			Since Inception
Capital Growth Account (VCA-10)¹—Standard Contract		10.85	%		10.97	%		7.32	%		—
Capital Growth Account (VCA-10)¹—0.50% Contract		11.41			11.52			7.86			—
Capital Growth Account (VCA-10)¹—0.45% Contract		11.46			—			—			12.44	%
S&P 500 Index		13.66			15.44			7.67			—

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

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

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2014, the value of the standard contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) returned 10.85%, the value of a contract with annual expenses of 0.50% returned 11.41%, and the value of a contract with annual expenses of 0.45% returned 11.46%.

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

The Account underperformed its benchmark, the S&P 500 Index (the Index) which returned 13.66%. Stock selection in both the consumer staples and consumer discretionary sectors was primarily responsible for the performance shortfall relative to the Index as, faced with a challenging backdrop for consumers, the performance of a number of holdings in both sectors fell short of expectations.

Revenue and sales were disappointing for consumer discretionary holding, Avon Products. Jennison’s investment thesis hinged on Avon’s turnaround efforts which disappointed. Another poor performer, J.C. Penney, was eliminated after the stock price failed to respond favorably to improving fundamentals and an announced restructuring. Amazon.com lagged, as it has been increasing its business investment to drive unit growth not only in its core retail business, but through the proliferation of digital commerce via the mobile market. Jennison continues to like its long-term revenue growth, margin-expansion potential, and Amazon Web Services cloud infrastructure opportunities.

Several energy positions were also among the Account’s detractors; notably Noble Energy and Denbury Resources. Shares of Noble fell alongside the energy sector, but it also reported a quarter that missed oil volume estimates without having previously noted the expectation in its earnings guidance. Jennison continues to view Noble as a multi-year high-growth story with production-growth visibility and upside exploration potential. Noble should see sustained benefits from its balanced portfolio of assets, prudent cost management, and efficient use of capital.

In light of declines in the price of oil, Jennison spent considerable time evaluating the Account’s positions in the sector and made adjustments accordingly. The Account no longer holds a position in Denbury.

Health care positions were the most significant positive contributors to Account return. Meaningful scientific advances over the past decade coupled with increased research and development and clinical trial activity have led to numerous drug introductions and material improvement in the treatment of serious diseases. Account holding Celgene benefited from strong sales of multiple myeloma drugs Revlimid and Pomalyst.

Beyond biotechnology, pharmaceutical name Allergan advanced on a takeover bid and the strength of its business, which has been enhanced by efforts to manage spending more efficiently and redeploy cash in ways that benefit shareholders. Allergan was acquired by Actavis in November. Another holding, Illumina, gained as a result of increasing demand for its next-generation gene-sequencing technology.

United Continental Holdings was a standout performer in the industrials sector. Airlines significantly outperformed the sector and the overall market. United’s earnings, revenue, and guidance were solid as cost cuts and higher pricing took hold. United further announced a share buyback and appears on track to achieve several key revenue initiatives, including improvements to capacity management on Asian flights.

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

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

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

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

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

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

Prudential Variable Contract Account-10 (VCA-10)

Presentation of Portfolio Holdings — unaudited

December 31, 2014


VCA-10
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.0%
Celgene Corp.	2.9%
Facebook, Inc. (Class A Stock)	2.2%
JPMorgan Chase & Co.	2.1%
Wells Fargo & Co.	2.1%

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

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2014


LONG-TERM INVESTMENTS — 96.3%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.3%
Boeing Co. (The)		17,316	$	2,250,734

Airlines — 1.6%
United Continental Holdings, Inc.(a)		44,440		2,972,592

Auto Components — 1.4%
Lear Corp.		25,398		2,491,036

Automobiles — 1.8%
General Motors Co.		48,494		1,692,925
Tesla Motors, Inc.(a)		6,851		1,523,731

				3,216,656

Banks — 8.3%
Bank of America Corp.		152,457		2,727,456
Citigroup, Inc.		54,918		2,971,613
JPMorgan Chase & Co.		58,735		3,675,636
PNC Financial Services Group, Inc.		18,525		1,690,036
Wells Fargo & Co.		66,651		3,653,808

				14,718,549

Biotechnology — 4.6%
Biogen Idec, Inc.(a)		8,790		2,983,765
Celgene Corp.(a)		46,236		5,171,959

				8,155,724

Capital Markets — 2.9%
Goldman Sachs Group, Inc. (The)		14,483		2,807,240
Morgan Stanley		59,896		2,323,965

				5,131,205

Chemicals — 2.0%
FMC Corp.		24,456		1,394,726
Monsanto Co.		17,863		2,134,093

				3,528,819

Communications Equipment — 1.1%
Brocade Communications Systems, Inc.		157,337		1,862,870

Consumer Finance — 3.2%
Capital One Financial Corp.		21,462		1,771,688
Navient Corp.		84,562		1,827,385
SLM Corp.		200,486		2,042,952

				5,642,025

Diversified Financial Services — 0.9%
Voya Financial, Inc.		39,247		1,663,288

Diversified Telecommunication Services — 1.5%
CenturyLink, Inc.		28,207		1,116,433
Vivendi SA, ADR (France)		59,605		1,479,396

				2,595,829

Electric Utilities — 1.7%
FirstEnergy Corp.		76,811		2,994,861

Electrical Equipment — 0.8%
Eaton Corp. PLC		21,699		1,474,664

Electronic Equipment & Instruments — 1.1%
Flextronics International Ltd.(a)		168,960		1,888,973


COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services — 0.9%
Halliburton Co.		39,740	$	1,562,974

Food Products — 2.3%
Bunge Ltd.		18,626		1,693,290
Mondelez International, Inc. (Class A Stock)		63,586		2,309,761

				4,003,051

Food & Staples Retailing — 1.2%
Costco Wholesale Corp.		14,956		2,120,013

Health Care Providers & Services — 1.9%
Cigna Corp.		19,247		1,980,709
HCA Holdings, Inc.(a)		19,049		1,398,006

				3,378,715

Hotels, Restaurants & Leisure — 3.1%
Carnival Corp.		55,778		2,528,417
Hyatt Hotels Corp.(a)		27,702		1,667,937
International Game Technology		72,933		1,258,094

				5,454,448

Independent Power & Renewable Electricity Producers — 1.0%
NRG Energy, Inc.		66,321		1,787,351

Industrial Conglomerates — 1.0%
Siemans AG, ADR (Germany)		15,255		1,708,560

Insurance — 2.5%
MetLife, Inc.		47,920		2,591,993
Travelers Cos, Inc. (The)		16,949		1,794,052

				4,386,045

Internet & Catalog Retail — 1.7%
Amazon.com, Inc.(a)		5,919		1,836,962
Netflix, Inc.(a)		3,484		1,190,169

				3,027,131

Internet Software & Services — 6.9%
Alibaba Group Holding Ltd., ADR (China)(a)		24,826		2,580,414
Facebook, Inc.(Class A Stock)(a)		50,365		3,929,477
Google, Inc.(Class A Stock)(a)		4,091		2,170,930
Google, Inc.(Class C Stock)(a)		2,090		1,100,176
LendingClub Corp.(a)		1,147		29,019
LinkedIn Corp.(a)		10,419		2,393,348

				12,203,364

IT Services — 2.3%
FleetCor Technologies, Inc.(a)		6,026		896,126
MasterCard, Inc.(Class A Stock)		37,211		3,206,100

				4,102,226

Machinery — 1.0%
SPX Corp.		21,038		1,807,585

Media — 4.1%
Comcast Corp.(Class A Stock)		38,673		2,243,421
Liberty Global PLC (Series C) (United Kingdom)		43,616		2,107,089
Walt Disney Co. (The)		31,424		2,959,826

				7,310,336

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2014


COMMON STOCKS (continued)	Shares		Value (Note 2)
Multiline Retail — 1.2%
Target Corp.		27,984	$	2,124,265

Oil, Gas & Consumable Fuels — 6.0%
Anadarko Petroleum Corp.		15,920		1,313,400
Chevron Corp.		14,536		1,630,648
Marathon Oil Corp.		64,135		1,814,379
Marathon Petroleum Corp.		11,584		1,045,572
Noble Energy, Inc.		34,009		1,613,047
Occidental Petroleum Corp.		17,956		1,447,433
Suncor Energy, Inc. (Canada)		56,582		1,798,176

				10,662,655

Personal Products — 0.5%
Avon Products, Inc.		96,780		908,764

Pharmaceuticals — 9.3%
Actavis PLC(a)		9,409		2,421,971
Allergan, Inc.		13,302		2,827,872
Bayer AG, ADR (Germany)		12,706		1,738,689
Merck & Co., Inc.		36,115		2,050,971
Mylan, Inc.(a)		44,983		2,535,692
Shire PLC, ADR (Ireland)		13,501		2,869,502
Teva Pharmaceuticals Industries Ltd., ADR (Israel)		36,813		2,117,116

				16,561,813

Road & Rail — 2.7%
Canadian Pacific Railway Ltd. (Canada)		8,355		1,609,925
Hertz Global Holdings, Inc.(a)		68,763		1,714,949
Union Pacific Corp.		12,838		1,529,391

				4,854,265

Semiconductors & Semiconductor Equipment — 1.3%
Applied Materials, Inc.		95,284		2,374,477

Software — 2.8%
Microsoft Corp.		48,750		2,264,437
Salesforce.com, Inc.(a)		46,207		2,740,537

				5,004,974

Specialty Retail — 0.9%
Inditex SA, ADR (Spain)		111,108		1,577,734

Technology Hardware, Storage & Peripherals — 6.3%
Apple, Inc.		47,561		5,249,783
EMC Corp.		63,055		1,875,256
Hewlett Packard Co.		65,745		2,638,347
NCR Corp.(a)		49,697		1,448,171

				11,211,557

Textiles, Apparel & Luxury Goods — 1.2%
Under Armour, Inc. (Class A Stock)(a)		31,904		2,166,282

TOTAL COMMON STOCKS (cost $125,507,315)				170,886,410


RIGHTS	Units		Value (Note 2)
Oil, Gas & Consumable Fuels
Trident Resources Corp., CVR, Private Placement, (Canada), expiring 6/30/15 (original cost $0; purchased 6/30/10)(a)(b)(c)		1,512	$	—

TOTAL LONG-TERM INVESTMENTS (cost $125,507,315)				170,886,410


	Shares
SHORT-TERM INVESTMENT — 3.6%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $6,450,889)(d)		6,450,889		6,450,889

TOTAL INVESTMENTS — 99.9% (cost $131,958,204)			$	177,337,299

OTHER ASSETS, LESS LIABILITIES — 0.1%
Receivable for Securities Sold			$	1,206,233
Cash				209,087
Interest and Dividends Receivable				144,025
Tax Reclaim Receivable				5,845
Payable Pending Capital Transactions				(136,773	)
Payable for Securities Purchased				(1,297,451	)

OTHER ASSETS IN EXCESS OF LIABILITIES				130,966

NET ASSETS — 100%			$	177,468,265

NET ASSETS, representing:
Equity of Participants —			$	177,485,879
Equity of The Prudential Insurance Company of America				(17,614	)

			$	177,468,265

The following abbreviations are used in the portfolio descriptions:


ADR		American Depositary Receipt
CVR		Contingent Value Rights

(a)	Non-income producing security.

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

(c)	Indicates a security restricted to resale.

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2014

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

The following is a summary of the inputs used as of December 31, 2014 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	2,250,734	$	—	$	—
Airlines		2,972,592		—		—
Auto Components		2,491,036		—		—
Automobiles		3,216,656		—		—
Banks		14,718,549		—		—
Biotechnology		8,155,724		—		—
Capital Markets		5,131,205		—		—
Chemicals		3,528,819		—		—
Communications Equipment		1,862,870		—		—
Consumer Finance		5,642,025		—		—
Diversified Financial Services		1,663,288		—		—
Diversified Telecommunication Services		2,595,829		—		—
Electric Utilities		2,994,861		—		—
Electrical Equipment		1,474,664		—		—
Electronic Equipment & Instruments		1,888,973		—		—
Energy Equipment & Services		1,562,974		—		—
Food Products		4,003,051		—		—
Food & Staples Retailing		2,120,013
Health Care Providers & Services		3,378,715		—		—
Hotels, Restaurants & Leisure		5,454,448		—		—
Independent Power & Renewable Electricity Producers		1,787,351		—		—
Industrial Conglomerates		1,708,560		—		—
Insurance		4,386,045		—		—
Internet & Catalog Retail		3,027,131		—		—
Internet Software & Services		12,203,364		—		—
IT Services		4,102,226		—		—
Machinery		1,807,585		—		—
Media		7,310,336		—		—
Multiline Retail		2,124,265		—		—
Oil, Gas & Consumable Fuels		10,662,655		—		—
Personal Products		908,764		—		—
Pharmaceuticals		16,561,813		—		—
Road & Rail		4,854,265		—		—
Semiconductors & Semiconductor Equipment		2,374,477		—		—
Software		5,004,974		—		—
Specialty Retail		1,577,734
Technology Hardware, Storage & Peripherals		11,211,557		—		—
Textiles, Apparel & Luxury Goods		2,166,282		—		—
Rights		—		—		—
Affiliated Money Market Mutual Fund		6,450,889		—		—

Total	$	177,337,299	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF NET ASSETS*

December 31, 2014

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


Pharmaceuticals	9.3	%
Banks	8.3
Internet Software & Services	6.9
Technology Hardware, Storage & Peripherals	6.3
Oil, Gas & Consumable Fuels	6.0
Biotechnology	4.6
Media	4.1
Affiliated Money Market Mutual Fund	3.6
Consumer Finance	3.2
Hotels, Restaurants & Leisure	3.1
Capital Markets	2.9
Software	2.8
Road & Rail	2.7
Insurance	2.5
Food Products	2.3
IT Services	2.3
Chemicals	2.0
Health Care Providers & Services	1.9
Automobiles	1.8
Internet & Catalog Retail	1.7
Electric Utilities	1.7
Airlines	1.6


Diversified Telecommunication Services	1.5	%
Auto Components	1.4
Semiconductors & Semiconductor Equipment	1.3
Aerospace & Defense	1.3
Textiles, Apparel & Luxury Goods	1.2
Multiline Retail	1.2
Food & Staples Retailing	1.2
Electronic Equipment & Instruments	1.1
Communications Equipment	1.1
Machinery	1.0
Independent Power & Renewable Electricity Producers	1.0
Industrial Conglomerates	1.0
Diversified Financial Services	0.9
Energy Equipment & Services	0.9
Specialty Retail	0.9
Electrical Equipment	0.8
Personal Products	0.5

	99.9
Other assets in excess of liabilities	0.1

	100.0	%

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

At December 31, 2014, the Account held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at December 31, 2014 of $0 and are presented in the Statement of Net Assets as such.

For the year ended December 31, 2014, the Account did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in income on the Statement of Operations.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-10


		*STATEMENT OF OPERATIONS*

Year Ended December 31, 2014



INVESTMENT INCOME
Unaffiliated Dividend Income (net of $27,165 foreign withholding tax)	$	2,271,221
Affiliated Dividend Income		6,178
Total Income		2,277,399
EXPENSES
Fees Charged to Participants for Investment Management Services		(449,960	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(1,214,163	)
0.50% Contract		(9,435	)
0.45% Contract		(22,449	)
Total Expenses .		(1,696,007	)
NET INVESTMENT INCOME		581,392
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions		17,000,496
Net Change in Unrealized Appreciation (Depreciation) on Investments		711,791
NET GAIN ON INVESTMENTS		17,712,287
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	18,293,679


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2014			2013
OPERATIONS
Net Investment Income	$	581,392		$	857,502
Net Realized Gain on Investment Transactions		17,000,496			24,415,833
Net Change In Unrealized Appreciation (Depreciation) on Investments		711,791			19,029,731
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		18,293,679			44,303,066
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		2,800,566			23,423,935
Withdrawals and Transfers Out		(19,564,364	)		(43,223,694	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(16,763,798	)		(19,799,759	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(3,501	)		(2,471	)
TOTAL INCREASE IN NET ASSETS		1,526,380			24,500,836
NET ASSETS
Beginning of year		175,941,885			151,441,049
End of year	$	177,468,265		$	175,941,885

Accumulation Unit Values and Equity of Participants as of December 31, 2014


Standard Contract:
Accumulation Unit Value and Equity of Participants, $162,419,333 / 10,646,183 outstanding Accumulation Units	$	15.2561


0.50% Contract:
Accumulation Unit Value and Equity of Participants, $4,052,185 / 242,164 outstanding Accumulation Units	$	16.7332


0.45% Contract:
Accumulation Unit Value and Equity of Participants, $11,014,361 / 656,948 outstanding Accumulation Units	$	16.7660

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10


		INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)


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

*	Calculated by accumulating the actual per unit amounts daily.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS FOR VCA-10


		**INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT (Unaudited)***

(For an Accumulation Unit outstanding throughout the period)


	Year Ended December 31, 2012									Year/Period Ended December 31, 2011									Year Ended December 31, 2010
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract†			Year Ended December 31, 2010
Investment Income	$	.1825		$	.1975		$	.1976		$	.1448		$	.1559		$	.1203		$	.1531
Expenses
Investment management fee		(.0251	)		(.0272	)		(.0272	)		(.0250	)		(.0270	)		(.0200	)		(.0227	)
Administrative expenses		(.0752	)		(.0272	)		(.0218	)		(.0749	)		(.0270	)		(.0160	)		(.0678	)
Net Investment Income		.0822			.1431			.1486			.0449			.1019			.0843			.0626
Capital Changes
Net realized and unrealized gain (loss) on investment transactions		1.0786			1.1677			1.1686			(.7945	)		(.8579	)		(1.5558	)		.9846
Net Increase (Decrease) in Accumulation Unit Value		1.1608			1.3108			1.3172			(.7496	)		(.7560	)		(1.4715	)		1.0472
Accumulation Unit Value
Beginning of period		9.3598			10.1145			10.1190			10.1094			10.8705			11.5905			9.0708
End of period	$	10.5206		$	11.4253		$	11.4362		$	9.3598		$	10.1145		$	10.1190		$	10.1180
Total Return**		12.40	%		12.96	%		13.02	%		(7.41	%)		(6.95	%)		(12.70	%)		11.54	%
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%††		1.00	%
Ratio of Net Investment Income To Average Net Assets***		.82	%		1.32	%		1.37	%		.44	%		.94	%		1.03	%††		.69	%
Portfolio Turnover Rate		44	%		44	%		44	%		56	%		56	%		56	%†††		70	%
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		13,204			205			891			15,386			205			1,001			18,330

*	Calculated by accumulating the actual per unit amounts daily.

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

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

†	Inception Date — April 1, 2011.

††	Annualized.

†††	Not Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-10

Note 1:

General

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

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

Note 2:

Accounting Policies

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

Security Valuation: The Account holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

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

Common and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price; they are classified as Level 1 in the fair value hierarchy except for exchange-traded and cleared swaps which are classified as Level 2 in the fair value hierarchy, as the prices marked at the official settle are not public.

In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant 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 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

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

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

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

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

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

Restricted and Illiquid Securities: The Account may hold up to 15% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements are valued pursuant to the valuation procedures noted above.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized and unrealized gains or losses on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Net investment income and realized and unrealized gain or losses (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.

Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Federal Income Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.

Note 3:

Investment Management Agreement and Charges

The Account has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PI pays for the services of Jennison.

VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.

0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.

PICA, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

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

Note 4:

Other Transactions with Affiliates

During the year ended December 31, 2014, the Account invested in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5:

Purchases and Sales of Portfolio Securities

For the year ended December 31, 2014, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $120,518,553 and $141,494,334, respectively.

Note 6:

Unit Transactions

The number of Accumulation Units issued and redeemed for the years ended December 31, 2014 and December 31, 2013, respectively, are as follows:


Standard Contracts	Units			Amount
Year ended December 31, 2014:
Account units issued		172,446		$	2,481,094
Account units redeemed		(1,246,510	)		(18,029,348	)

Net increase (decrease) in units outstanding		(1,074,064	)	$	(15,548,254	)

Year ended December 31, 2013:
Account units issued		1,756,379		$	23,105,504
Account units redeemed		(3,240,015	)		(41,295,579	)

Net increase (decrease) in units outstanding		(1,483,636	)	$	(18,190,075	)


0.50% Contracts
Year ended December 31, 2014:
Account units issued		20,355		$	319,472
Account units redeemed		(2,392	)		(37,293	)

Net increase (decrease) in units outstanding		17,963		$	282,179

Year ended December 31, 2013:
Account units issued		23,969		$	318,431
Account units redeemed		(4,812	)		(61,635	)

Net increase (decrease) in units outstanding		19,157		$	256,796


0.45% Contracts
Year ended December 31, 2014:
Account units issued		—		$	—
Account units redeemed		(93,613	)		(1,497,723	)

Net increase (decrease) in units outstanding		(93,613	)	$	(1,497,723	)

Year ended December 31, 2013:
Account units issued		—		$	—
Account units redeemed		(140,775	)		(1,866,480	)

Net increase (decrease) in units outstanding		(140,775	)	$	(1,866,480	)

Note 7:

Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

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

Note 8:

Participant Loans

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

For the year ended December 31, 2014, $95,927 in participant loans were withdrawn from VCA-10 and $155,348 of principal and interest was repaid to VCA-10. For the year ended December 31, 2013, $185,603 in participant loans were withdrawn from VCA-10 and $107,576 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the year ended December 31, 2014, PICA has advised the Account that it received $1,156 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE COMMITTEE AND PARTICIPANTS OF

THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (hereafter referred to as the “Account”) as of December 31, 2014, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2014, the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 20, 2015


The Prudential MEDLEY Program — VCA-11 Money Market Account		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	7-Day Current Net Yield			1-Year			5-Year			10-Year			Since Inception
VCA-11 Money Market Account¹— Standard Contract		-0.83	%		-0.83	%		-0.77	%		0.86	%		—
VCA-11 Money Market Account¹— 0.50% Contract		-0.33			-0.34			-0.28			1.36			—
VCA-11 Money Market Account¹— 0.45% Contract		-0.28			-0.29			—			—			-0.25	%
Citigroup 3-Month Treasury Bill Index		—			0.03			0.07			1.46			—

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

MONEY MARKET ACCOUNT

ONE-YEAR TOTAL RETURN FOR THE

PAST 10 YEARS²

LOGO

For the year ended December 31, 2014, the value of the standard contract for the Prudential Variable Contract Account 11 (“VCA-11” or the “Account”) returned -0.83%, the value of a contract with annual expenses of 0.50% returned -0.34%, and the value of a contract with annual expenses of 0.45% returned -0.29%.

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

The seven-day current yield and total return of the Account remained near zero during the period. Throughout the year, the yields on all money market funds in the United States stayed at historically low levels, as the Federal Reserve (“Fed”) maintained its efforts to keep rates low in support of its dual mandate of maximum employment and price stability.

During the year, the U.S. economy was a beacon of hope, as global economies struggled with lower demand and disinflationary forces. Despite a soft patch during the first quarter due to harsh winter weather, the U.S. economy expanded in the second and third quarters, driven by an increase in business investment and a rise in consumer confidence resulting from steady improvement in the labor markets as well as lower energy prices.

As the U.S. economy strengthened, the Fed began slowly reducing the pace of its asset purchases, known as quantitative easing, and ended the program in October. In the fourth quarter, the Fed altered its forward guidance to suggest that monetary policy would remain highly accommodative and said it would keep the federal funds target rate between 0% and 0.25% for the foreseeable future. However, toward the end of the year, the Fed appeared more confident in the broad economic expansion and indicated the normalization of monetary policy could happen sooner rather than later, leading to speculation that the Fed would start raising interest rates in mid 2015.

The three-month London Interbank offered rate (“LIBOR”), the rate that banks pay one another to borrow in U.S. dollars, remained low during the year, averaging 0.23% and moving in an extremely narrow range of between 0.22% and 0.26%. However, one-year LIBOR rose, reflecting expectations of higher interest rates, and peaked at 0.63% at the end of 2014.

A flat yield curve and scarce supply of eligible securities provided few investment opportunities. Corporations took advantage of low interest rates to issue debt with maturities of longer than one year. Furthermore, regulatory forces compelled borrowers to avoid short term funding. Meanwhile, demand was strong for a limited number of shorter-term issues, which pushed yields lower. As corporate spreads (the difference in yield between corporate bonds and government bonds of similar maturities) remained narrow, the Account favored government-issued debt, agency securities, and repurchase agreements. The Account maintained a conservative investment approach by limiting the majority of its investments to less than three months and utilizing LIBOR-based securities to add relative value when appropriate. It kept its exposure to financial issuers in relatively short maturities as yields fell with the return of investor confidence to this sector.

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

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

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

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

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

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

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

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

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2014


SHORT-TERM INVESTMENTS — 100%	Principal Amount (000)#		Value (Note 2)
Certificates of Deposit — 22.7%
Bank of America NA 0.260%, 02/02/2015	$	450	$	450,000
Bank of Montreal 0.245%, 06/03/2015		300		300,000
Bank of Nova Scotia 0.480%, 01/14/2015		250		250,023
0.679%, 09/11/2015		60		60,000
Bank of Nova Scotia Houston 0.378%, 07/17/2015		350		350,246
Bank of Tokyo-Mitsubishi UFJ Ltd. 0.210%, 02/25/2015		300		300,000
BNP Paribas SA 0.482%, 04/10/2015(b)		250		250,000
Branch Banking & Trust Co. 0.160%, 01/28/2015		400		400,000
Citibank NA 0.250%, 03/03/2015		250		250,000
0.250%, 05/05/2015		300		300,000
Nordea Bank AB 0.210%, 04/23/2015		275		274,996
Rabobank Nederland 0.280%, 04/14/2015(b)		275		275,000
Royal Bank of Canada 0.268%, 12/11/2015(b)		275		275,000
Skandinaviska Enskilda Banken AB 0.269%, 07/10/2015(b)		275		275,000
Standard Chartered Bank 0.290%, 03/03/2015		275		275,000
State Street Bank & Trust Co. 0.281%, 10/01/2015(b)		300		300,000
Sumitomo Mitsui Banking Corp. 0.220%, 02/05/2015		400		400,002
0.210%, 02/24/2015		300		300,000
Svenska Handelsbanken AB 0.205%, 02/27/2015		300		300,005
U.S. Bank NA 0.175%, 02/26/2015(b)		300		300,000
Wells Fargo Bank NA 0.215%, 02/20/2015(b)		350		350,006

				6,235,278

Commercial Paper — 21.4%
Caisse Centrale Desjardins du Quebec, 144A 0.231%, 10/22/2015(b)		450		450,000
Commonwealth Bank of Australia, 144A 0.244%, 04/23/2015(b)		290		290,000
DNB Bank ASA, 144A 0.244%, 01/16/2015(b)		300		300,000
Eli Lilly & Co., 144A 0.200%, 03/25/2015(a)		500		499,769
General Electric Capital Corp. 0.200%, 04/20/2015(a)		400		399,758
HSBC Bank PLC, 144A 0.239%, 07/10/2015(b)		275		275,000
ING (U.S.) Funding LLC, 0.210%, 02/27/2015(a)		500		499,834


SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)#		Value (Note 2)
Commercial Paper (continued)
JPMorgan Securities LLC 0.200%, 02/02/2015(a)	$	400	$	399,929
JPMorgan Securities LLC, 144A 0.357%, 08/07/2015(b)		280		280,000
PNC Bank NA 0.310%, 03/27/2015		275		275,000
Province of Ontario 0.110%, 01/30/2015(a)		400		399,965
Schlumberger Investment SA, 144A 0.200%, 03/16/2015(a)		440		439,819
State Street Corp. 0.170%, 03/09/2015(a)		400		399,873
Sumitomo Mitsui Banking Corp., 144A 0.250%, 01/29/2015		285		284,945
Swedbank AB 0.245%, 01/22/2015(a)		290		289,958
Toyota Motor Credit Corp. 0.150%, 02/24/2015(a)		400		399,910

				5,883,760

Other Corporate Obligations — 6.6%
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes 0.161%, 01/14/2015(b)		250		250,000
MetLife Institutional Funding II, Sec’d. Notes, 144A 0.601%, 01/06/2015(b)		300		300,015
Metropolitan Life Global Funding I, Sr. Sec’d. Notes, 144A 2.000%, 01/09/2015		300		300,114
Toronto Dominion Bank (The) Sr. Unsec’d. Notes, MTN 0.432%, 11/06/2015(b)		300		300,505
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN 0.234%, 08/26/2015(b)		300		300,000
Wells Fargo Bank NA, Sr. Unsec’d. Notes 0.511%, 07/20/2015(b)		350		350,488

				1,801,122

Time Deposit — 2.8%
U.S. Bank National Association 0.130%, 01/02/2015		760		760,000

U.S. Government Agency Obligations — 41.5%
Federal Home Loan Bank 0.065%, 01/21/2015(a)		700		699,975
0.070%, 01/07/2015(a)		500		499,994
0.070%, 01/23/2015(a)		1,000		999,957
0.075%, 01/30/2015(a)		500		499,970
0.075%, 02/04/2015(a)		325		324,977
0.080%, 01/16/2015(a)		500		499,983
0.080%, 02/06/2015(a)		500		499,960
0.088%, 02/06/2015(a)		380		379,967

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2014


SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)#		Value (Note 2)
U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (cont’d.)
0.097%, 02/20/2015(a)	$	250	$	249,966
0.098%, 02/11/2015(a)		230		229,974
0.104%, 04/02/2015(b)		500		499,997
0.106%, 05/12/2015(b)		500		499,988
0.110%, 03/04/2015(a)		600		599,886
0.117%, 03/11/2015(a)		500		499,888
0.120%, 05/28/2015(b)		400		399,997
0.122%, 07/10/2015(b)		300		300,000
0.125%, 02/11/2015(a)		250		249,964
0.125%, 06/25/2015(b)		500		499,990
0.127%, 08/10/2015(b)		250		249,996
0.132%, 09/30/2015(a)		300		300,002
0.138%, 12/24/2015(b)		300		299,932
0.177%, 03/20/2015(a)		350		349,866
Federal Home Loan Mortgage Corp. 0.122%, 02/18/2016(a)		500		499,914
0.141%, 10/16/2015(a)		590		590,099
Federal National Mortgage Association 0.075%, 01/05/2015(a)		660		659,994

				11,384,236

U.S. Treasury Obligations — 4.9%
U.S. Treasury Bills(a) 0.046%, 01/08/2015		250		249,998
U.S. Treasury Notes 2.500%, 03/31/2015		650		653,854
2.500%, 04/30/2015		450		453,565

				1,357,417


SHORT-TERM INVESTMENTS (continued)	Value (Note 2)
TOTAL INVESTMENTS — 99.9% (amortized cost $27,421,813)	$	27,421,813

OTHER ASSETS, LESS LIABILITIES — 0.1%
Interest Receivable		14,562
Receivable for Pending Capital Transactions		788
Cash		413

OTHER ASSETS IN EXCESS OF LIABILITIES		15,763

NET ASSETS — 100%	$	27,437,576

NET ASSETS, representing:
Equity of Participants	$	27,437,332
Equity of The Prudential Insurance Company of America		244

	$	27,437,576

The following abbreviations are used in the portfolio descriptions:


144A		Security was purchased pursuant to Rule 144A under the Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.

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

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

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2014.

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

The following is a summary of the inputs used as of December 31, 2014 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	6,235,278	$	—
Commercial Paper		—		5,883,760		—
Other Corporate Obligations		—		1,801,122		—
Time Deposit		—		760,000		—
U.S. Government Agency Obligations		—		11,384,236		—
U.S. Treasury Obligations		—		1,357,417

Total	$	—	$	27,421,813	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF NET ASSETS*

December 31, 2014

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage on net assets as of December 31, 2014 was as follows (Unaudited):


U.S. Government Agency Obligations	41.5	%
Certificates of Deposit	22.7
Commercial Paper	21.4
Other Corporate Obligations	6.6
U.S. Treasury Obligations	4.9


Time Deposit	2.8	%

	99.9
Other assets in excess of liabilities	0.1

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		*STATEMENT OF OPERATIONS*

Year Ended December 31, 2014



INVESTMENT INCOME
Unaffiliated Interest Income	$	45,738
EXPENSES
Fees Charged to Participants for Investment Management Services		(72,069	)
Fees Charged to Participants for Administrative Expenses:
Standard Contract		(194,138	)
0.50% Contract		(4,167	)
0.45% Contract		(2,551	)
Total Expenses		(272,925	)
NET INVESTMENT LOSS		(227,187	)
Realized Gain on Investment Transactions		385
NET DECREASE IN NET ASSETS FROM OPERATIONS	$	(226,802	)


		*STATEMENT OF CHANGES IN NET ASSETS*


	Year Ended December 31,
	2014			2013
OPERATIONS
Net Investment Loss	$	(227,187	)	$	(244,658	)
Net Realized Gain on Investment Transactions		385			629
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(226,802	)		(244,029	)
CAPITAL TRANSACTIONS
Purchase Payments and Transfers In		2,323,349			4,925,495
Withdrawals and Transfers Out		(5,249,447	)		(8,285,654	)
NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS		(2,926,098	)		(3,360,159	)
NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS		(21	)		(89	)
TOTAL DECREASE IN NET ASSETS		(3,152,921	)		(3,604,277	)
NET ASSETS
Beginning of year		30,590,497			34,194,774
End of year	$	27,437,576		$	30,590,497

Accumulation Unit Values and Equity of Participants as of December 31, 2014


Standard Contract:
Accumulation Unit Value and Equity of Participants, $24,656,541 / 7,652,688 outstanding Accumulation Units	$	3.2219


0.50% Contract:
Accumulation Unit Value and Equity of Participants, $1,604,891 / 457,985 outstanding Accumulation Units	$	3.5042


0.45% Contract:
Accumulation Unit Value and Equity of Participants, $1,175,900 / 334,909 outstanding Accumulation Units	$	3.5111

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		INCOME PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the year)


	Year Ended December 31, 2014									Year Ended December 31, 2013
	Standard Contract			0.50% Contarct			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract
Investment Income	$	.0052		$	.0056		$	.0056		$	.0060		$	.0063		$	.0064
Expenses
Investment management fee		(.0081	)		(.0088	)		(.0088	)		(.0081	)		(.0087	)		(.0087	)
Administrative expenses		(.0242	)		(.0088	)		(.0070	)		(.0244	)		(.0087	)		(.0071	)
Net Investment Loss		(.0271	)		(.0120	)		(.0102	)		(.0265	)		(.0111	)		(.0094	)
Capital Changes
Net realized gain (loss) on investment transactions		.0000	††		.0000	††		.0000	††		.0001			.0001			.0001
Net Decrease in Accumulation Unit Value		(.0271	)		(.0120	)		(.0102	)		(.0264	)		(.0110	)		(.0093	)
Accumulation Unit Value
Beginning of year		3.2490			3.5162			3.5213			3.2754			3.5272			3.5306
End of year	$	3.2219		$	3.5042		$	3.5111		$	3.2490		$	3.5162		$	3.5213
Total Return**		(.83	%)		(.34	%)		(.29	%)		(.81	%)		(.31	%)		(.26	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%
Ratio of Net Investment Loss To Average Net Assets***		(.84	%)		(.34	%)		(.29	%)		(.81	%)		(.32	%)		(.27	%)
Number of Accumulation Units Outstanding For Participants at end of year (000’s omitted)		7,653			458			335			8,446			502			393

*	Calculated by accumulating the actual per unit amounts daily.

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

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

††	Less than $.00005.

SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL STATEMENTS OF VCA-11


		INCOME PER ACCUMULATION UNIT*

(For an Accumulation Unit outstanding throughout the period)


	Year Ended December 31, 2012									Year/Period Ended December 31, 2011									Year Ended December 31,
	Standard Contract			0.50% Contract			0.45% Contract			Standard Contract			0.50% Contract			0.45% Contract†			2010
Investment Income	$	.0081		$	.0085		$	.0086		$	.0070		$	.0073		$	.0051		$	.0136
Expenses
Investment management fee		(.0083	)		(.0088	)		(.0088	)		(.0083	)		(.0088	)		(.0067	)		(.0083	)
Administrative expenses		(.0246	)		(.0088	)		(.0071	)		(.0248	)		(.0088	)		(.0053	)		(.0249	)
Net Investment Income (Loss)		(.0248	)		(.0091	)		(.0073	)		(.0261	)		(.0103	)		(.0069	)		(.0196	)
Capital Changes
Net realized gain (loss) on investment transactions		.0001			.0001			.0001			.0001			.0001			.0000	††		—
Net Increase (Decrease) in Accumulation Unit Value		(.0247	)		(.0090	)		(.0072	)		(.0260	)		(.0102	)		(.0069	)		(.0196	)
Accumulation Unit Value
Beginning of period		3.3001			3.5362			3.5378			3.3261			3.5464			3.5447			3.3520
End of period	$	3.2754		$	3.5272		$	3.5306		$	3.3001		$	3.5362		$	3.5378		$	3.3324
Total Return**		(.75	%)		(.25	%)		(.20	%)		(.78	%)		(.29	%)		(.19	%)		(.58	%)
Ratio of Expenses To Average Net Assets***		1.00	%		.50	%		.45	%		1.00	%		.50	%		.45	%†††		1.00	%
Ratio of Net Investment Income (Loss) To Average Net Assets***		(.75	%)		(.26	%)		(.21	%)		(.79	%)		(.29	%)		(.23	%)†††		(.71	%)
Number of Accumulation Units Outstanding For Participants at end of period (000’s omitted)		9,435			500			433			10,650			495			458			12,886

*	Calculated by accumulating the actual per unit amounts daily.

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

†	Inception Date — April 1, 2011.

††	Less than $.00005.

†††	Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO THE FINANCIAL STATEMENTS OF

VCA-11

Note 1:

General

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

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

Note 2:

Accounting Policies

The Account values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost at the time of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy. If the amortized cost method is determined not to represent fair value, the fair value shall be determined by or under the direction of the Accounts’ Committee Members.

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

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

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

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from security transactions are calculated on the identified cost basis. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Net investment income (other than administration fees) is allocated to the Participants and PICA on a daily basis in proportion to their respective ownership or investment in VCA-11.

Federal Income Taxes: The operations of VCA-11 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-11 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-11 has not been reduced by federal income taxes.

Note 3:

Investment Management Agreement and Charges

The Account has a management agreement with Prudential Investments LLC (“PI”). Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). The subadvisory agreement provides that PIM will furnish investment advisory services in connection with management of the Account. PI pays for the services of PIM.

VCA-11 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.

Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.

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

Note 4:

Unit Transactions

The number of Accumulation Units issued and redeemed for the years ended December 31, 2014 and December 31, 2013, respectively, are as follows:


Standard Contract	Units			Amount
Year ended December 31, 2014:
Account units issued		661,807		$	2,141,745
Account units redeemed		(1,454,946	)		(4,708,132	)

Net increase (decrease) in units outstanding		(793,139	)	$	(2,566,387	)

Year ended December 31, 2013:
Account units issued		1,450,518		$	4,724,481
Account units redeemed		(2,439,487	)		(7,952,323	)

Net increase (decrease) in units outstanding		(988,969	)	$	(3,227,842	)


0.50% Contract
Year ended December 31, 2014:
Account units issued		51,736		$	181,605
Account units redeemed		(95,589	)		(335,583	)

Net increase (decrease) in units outstanding		(43,853	)	$	(153,978	)

Year ended December 31, 2013:
Account units issued		57,072		$	201,014
Account units redeemed		(54,758	)		(192,943	)

Net increase (decrease) in units outstanding		2,314		$	8,071


0.45% Contract
Year ended December 31, 2014:
Account units issued		—		$	—
Account units redeemed		(58,508	)		(205,731	)

Net increase (decrease) in units outstanding		(58,508	)	$	(205,731	)

Year ended December 31, 2013:
Account units issued		—		$	—
Account units redeemed		(39,796	)		(140,388	)

Net increase (decrease) in units outstanding		(39,796	)	$	(140,388	)

Note 5:

Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers

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

Note 6:

Participant Loans

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

For the year ended December 31, 2014, $56,132 in participant loans were withdrawn from VCA-11 and $77,068 of principal and interest was repaid to VCA-11. For the year ended December 31, 2013, $70,867 in participant loans were withdrawn from VCA-11 and $138,908 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the year ended December 31, 2014, PICA has advised the Account that it received $783 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE COMMITTEE AND PARTICIPANTS OF

THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-11:

We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-11 (hereafter referred to as the “Account”) as of December 31, 2014, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

LOGO

New York, New York

February 20, 2015

THE VCA 10 AND VCA 11 COMMITTEES AND OFFICERS (Unaudited)

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


Independent Committee Members⁽¹⁾
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Ellen S. Alberding (56) Committee Member Portfolios Overseen: 69	President and Board Member, The Joyce Foundation (charitable foundation) (since 2002); Vice Chair, City Colleges of Chicago (community college system) (since 2011); Trustee, Skills for America’s Future (national initiative to connect employers to community colleges) (since 2011); Trustee, National Park Foundation (charitable foundation for national park system) (since 2009); Trustee, Economic Club of Chicago (since 2009).	None.
Kevin J. Bannon (62) Committee Member Portfolios Overseen: 70	Managing Director (since April 2008) and Chief Investment Officer (October 2008-November 2013) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May 2003-May 2007) of BNY Hamilton Family of Mutual Funds.	Director of Urstadt Biddle Properties (equity real estate investment trust) (since September 2008).
Linda W. Bynoe (62) Committee Member Portfolios Overseen: 70	President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co. (broker-dealer).	Director of Simon Property Group, Inc. (retail real estate) (May 2003-May 2012); Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009).
Keith F. Hartstein (58) Committee Member Portfolios Overseen: 70	Retired; Member (since November 2014) of the Governing Council of the Independent Directors Council (organization of independent mutual fund directors); formerly President and Chief Executive Officer (2005-2012), Senior Vice President (2004-2005), Senior Vice President of Sales and Marketing (1997-2004), and various executive management positions (1990-1997), John Hancock Funds, LLC (asset management); Chairman, Investment Company Institute’s Sales Force Marketing Committee (2003-2008).	None.
Michael S. Hyland, CFA (69) Committee Member Portfolios Overseen: 69	Retired (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999).	None.
Stephen P. Munn (72) Committee Member Portfolios Overseen: 70	Lead Director (since 2007) and formerly Chairman (1993-2007) of Carlisle Companies Incorporated (manufacturer of industrial products).	Lead Director (since 2007) of Carlisle Companies Incorporated (manufacturer of industrial products).
James E. Quinn (62) Committee Member Portfolios Overseen: 69	Retired; formerly President (2003-2012) and Director (2003-2008), and Vice Chairman and Director (1998-2003), Tiffany & Company (jewelry retailing); Director, Mutual of America Capital Management Corporation (asset management) (since 1996); Director, Hofstra University (since 2008); Vice Chairman, Museum of the City of New York (since 1994).	Director of Deckers Outdoor Corporation (footwear manufacturer) (since 2011).
Richard A. Redeker (71) Committee Member & Independent Chair Portfolios Overseen: 70	Retired Mutual Fund Senior Executive (44 years); Management Consultant; Director, Mutual Fund Directors Forum (since 2014); Independent Directors Council (organization of independent mutual fund directors)-Executive Committee, Chair of Policy Steering Committee, Governing Council.	None.
Stephen G. Stoneburn (71) Committee Member Portfolios Overseen: 70	Chairman, (since July 2011), President and Chief Executive Officer (since June 1996) of Quadrant Media Corp. (publishing company); formerly President (June 1995-June 1996) of Argus Integrated Media, Inc.; Senior Vice President and Managing Director (January 1993-1995) of Cowles Business Media; Senior Vice President of Fairchild Publications, Inc. (1975-1989).	None.


Interested Committee Members⁽¹⁾
Name, Address, Age Position(s) Portfolios Overseen	Principal Occupation(s) During Past Five Years	Other Directorships Held
Stuart S. Parker (52) Committee Member & President Portfolios Overseen: 64	President of Prudential Investments LLC (since January 2012); Executive Vice President of Prudential Investment Management Services LLC (since December 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of Prudential Investments LLC (June 2005-December 2011).
Scott E. Benjamin (41) Committee Member & Vice President Portfolios Overseen: 70	Executive Vice President (since June 2009) of Prudential Investments LLC; Executive Vice President (June 2009-June 2012) and Vice President (since June 2012) of Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, Prudential Investments (since February 2006); Vice President of Product Development and Product Management, Prudential Investments (2003-2006).

⁽¹⁾The year in which each individual joined the VCA 10 and VCA 11 Committees is as follows: Ellen S. Alberding, 2013; Kevin J. Bannon, 2008; Linda W. Bynoe, 2005; Keith F. Hartstein, 2013; Michael S. Hyland, 2008; Stephen P. Munn, 2008; James E. Quinn, 2013; Richard A. Redeker, 2003; Stephen G. Stoneburn, 2003; Stuart S. Parker, Committee Member and President since 2012; Scott E. Benjamin, Committee Member since 2010 and Vice President since 2009.


VCA 10 & VCA 11 Officers^(a)
Name, Address and Age Position with Account	Principal Occupation(s) During Past Five Years	Length of Service as Officer
Raymond A. O’Hara (59) Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988–August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).	Since 2012
Chad A. Earnst (39) Chief Compliance Officer	Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006–December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission.	Since 2014
Deborah A. Docs (57) Secretary	Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since 2004
Jonathan D. Shain (56) Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since 2005
Claudia DiGiacomo (40) Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).	Since 2005
Andrew R. French (52) Assistant Secretary	Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since 2006
Amanda S. Ryan (37) Assistant Secretary	Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray LLP (2008-2012).	Since 2012
Theresa C. Thompson (52) Deputy Chief Compliance Officer	Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).	Since 2008
Richard W. Kinville (46) 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).	Since 2011


VCA 10 & VCA 11 Officers^(a)
Name, Address and Age Position with Account	Principal Occupation(s) During Past Five Years	Length of Service as Officer
M. Sadiq Peshimam (51) Treasurer and Principal Financial and Accounting Officer	Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC.	Since 2006
Peter Parrella (56) Assistant Treasurer	Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).	Since 2007
Lana Lomuti (47) Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since 2014
Linda McMullin (53) Assistant Treasurer	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.	Since 2014

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

Explanatory Notes to Tables:

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

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

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

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

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

The Prudential Series Fund

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

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

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

Important Note

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

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

The Prudential Series Fund, Conservative Balanced Portfolio

December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		8.77	%		10.43	%		6.50	%
Blended Index		9.21			9.61			6.14
S&P 500 Index		13.66			15.44			7.67

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

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

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2014, the Conservative Balanced Portfolio returned 8.77%.

The net assets of the Portfolio at December 31, 2014 were $2,574.4 million.

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

The Portfolio’s custom blended Index (the Index) returned 9.21%. Despite many investors’ expectation of a correction in stock prices in 2014, periodic chaos in global affairs, and a scare related to the Ebola virus, the S&P 500 Index delivered returns above 13%. The Barclays U.S. Aggregate Bond Index gained more than 5%, led by a strong and unexpected performance by long duration U.S. Treasury bonds.

The U.S. economy finally gained some traction, moving above the 2% average annual growth rate that had prevailed since 2009. Reduced fiscal drag; recovery in housing, autos, and other consumer goods; a highly stimulative Federal Reserve policy; contributions from a revived U.S. energy sector; and inventory accumulation resulted in a robust annualized 5.0% rate of growth in the third quarter of the year.

Strong U.S. stock market gains drove the Portfolio’s return, despite a weak year for international stocks. On average, it held major overweights of U.S. stocks, with less aggressive positions in international markets. Stock returns were driven by rising price-earnings (P/E) multiples and solid earnings growth. Investors cannot count on multiples increasing indefinitely, but today’s levels are roughly in line with historical averages and well below levels that have led to bear markets.

The Portfolio’s performance was driven by an overweight allocation of U.S. equities versus bonds and solid returns from holdings in its active equity and fixed income segments. In the equity segment, QMA emphasized U.S. stocks. The Portfolio held only 1% in emerging markets, which declined in 2014. In bonds the Portfolio outperformed due to solid asset selection rather than large macro positions.

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

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 advisers and are Prudential Financial companies.


The Prudential Series Fund, Diversified Bond Portfolio		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		7.09	%		6.95	%		6.43	%
Barclays U.S. Aggregate Bond Index		5.97			4.45			4.71

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2014, the Diversified Bond Portfolio returned 7.09%.

The net assets of the Portfolio at December 31, 2014 were $1,067.9 million.

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

The fixed income markets recorded positive returns overall during 2014, as long-term interest rates declined. After cresting in early January on fears of the Federal Reserve’s (“Fed”) taper and eventual rate hikes, yields on longer-term Treasuries trended down for the rest of the year. The 30-year Treasury yield fell 122 basis points (bps) to 2.75% (a basis point is one hundredth of a percentage point), while the bellwether 10-year Treasury yield fell 86 bps to 2.17%. Meanwhile, the Treasury yield curve flattened, as shorter-term yields edged up. By the end of the period, the yield on a two-year Treasury had risen 28 bps to 0.67%.

During the first half of the year, the fixed income markets posted modest gains, despite mixed U.S. economic data, weaker economic growth in China, and geopolitical turmoil in the Middle East and Russia/Ukraine. Divergence between central bank policy in the U.S. and the rest of the world, combined with a rising tide of geopolitical risk, contributed to a growing sense of unease during the second half of the year. U.S. economic growth strengthened, while growth outside the U.S. generally flagged as commodity prices fell and inflationary pressures dissipated. At the same time, the value of the U.S. dollar surged relative to most world currencies. Risk aversion increased and spreads widened on investment-grade corporate bonds, high-yield corporate bonds, and emerging markets debt, causing them to underperform U.S. Treasury securities of comparable maturity. (Spreads are the amount of extra yield that bonds provide over similar-duration Treasuries.) Energy was the key story within investment-grade corporate bonds, as oil field services investment-grade issues dropped significantly in price. Midstream investment-grade bonds also lost ground. Meanwhile, municipal securities recorded solid gains, with BBB-rated municipals generating a double-digit return.

For the year, the Barclays U.S. Aggregate Bond Index (the “Index”) gained 5.97%. Relative to the Index, issue selection was the largest contributor to Portfolio performance. More specifically, the Portfolio benefited from its holdings of commercial mortgage-backed securities (CMBS), asset-backed securities, and emerging markets debt. Sector allocations also boosted returns, with the Portfolio’s overweight relative to the Index in CMBS being the primary contributor. An underweight in energy was advantageous, as many energy names weakened amid the drop in crude oil prices. In addition, the Portfolio’s duration and yield curve strategy added significantly to performance, driven by a longer duration bias and a yield curve flattening position.

Detracting slightly was an underweight relative to the Index in mortgage-backed securities and an overweight position in corporate credit. The Portfolio was also hurt by issue selection among high yield bonds.

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

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.

Prudential Investment Management, Inc. is a registered investment adviser and a Prudential Financial company.


The Prudential Series Fund, Equity Portfolio		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio: Class I		7.71	%		12.05	%		7.55	%
Portfolio: Class II		7.27			11.60			7.12
Russell 1000^® Index		13.24			15.64			7.96
S&P 500 Index		13.66			15.44			7.67

$10,000 INVESTED OVER 10 YEARS¹

LOGO

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

For the year ended December 31, 2014, the Equity Portfolio Class I returned 7.71% and Class II returned 7.27%.

The net assets of the Portfolio at December 31, 2014 were $4,019.8 million.

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

The Portfolio underperformed the 13.24% return of the Russell 1000 Index.

Faced with a challenging backdrop for consumers, stock selection in both staples and discretionary was mostly responsible for the performance shortfall relative to the S&P 500. A number of holdings in those areas fell short of expectations.

In staples, Avon and Whole Foods were notable detractors. Revenue and sales were disappointing for Avon Products. Whole Foods was eliminated, as its investment in more competitive pricing was limiting upside profit.

In consumer discretionary, JC Penney and ASOS drove underperformance. JC Penney did not respond favorably to improving fundamentals and an announced restructuring. London-based global online apparel retailer ASOS experienced disappointing financial results. The pound sterling’s appreciation against the US dollar also created currency-translation issues for the UK-based company. Both positions were eliminated.

Security choices in information technology (IT) also detracted from relative return. Amazon.com lagged, as it has been increasing its business investment to drive unit growth not only in its core retail business but through the proliferation of digital commerce via the mobile market. Jennison continues to like its long-term revenue growth, margin-expansion potential, and Amazon Web Services cloud infrastructure opportunities.

Despite relative underperformance in the sector, IT positions Apple and Facebook were strong contributors. Apple’s fundamental strength reflects expanding global acceptance of its platform. Jennison expects that product updates will sustain attractive revenue growth in the medium term. Jennison believes that as Facebook solidifies its dominant position, it will continue to increase its appeal to both users and advertisers.

In aggregate, health care positions were the most significant contributors to Portfolio return. Pharmaceutical name Allergan advanced on a takeover bid and the strength of its business, which has been enhanced by efforts to manage spending more efficiently and redeploy cash in ways that benefit shareholders. (Allergan was acquired by Actavis in November.)

Stock selection in the telecom services and industrials sectors added to relative gain. United Continental Holdings was a standout in the latter group. Airlines overall outperformed the industrials sector and the overall market. Earnings, revenue, and guidance were solid as cost cuts and higher pricing took hold. United further announced a share buyback and appears on track to achieve several key revenue initiatives, including improvements to capacity management on Asian flights.

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

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 adviser and a Prudential Financial company.


The Prudential Series Fund, Flexible Managed Portfolio		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		11.05	%		12.07	%		7.08	%
Blended Index		10.29			10.94			6.59
S&P 500 Index		13.66			15.44			7.67

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ending December 31, 2014, the Flexible Managed Portfolio returned 11.05%.

The net assets of the Portfolio at December 31, 2014 were $3,943.8 million.

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

The Portfolio’s Blended Index (the Index) returned 10.29%. Despite many investors’ expectation of a correction in stock prices in 2014, periodic chaos in global affairs, and a scare related to the Ebola virus, the S&P 500 Index delivered returns above 13%. The Barclays U.S. Aggregate Bond Index gained more than 5%, led by an unexpectedly strong performance by long duration U.S. Treasury bonds.

Strong U.S. stock market gains drove the Portfolio’s return, despite a weak year for international stocks. On average, it held major overweights of U.S. stocks, with less aggressive positions in international markets. Stock returns were driven by rising price-to-earnings (P/E) multiples and solid earnings growth. Investors cannot count on multiples increasing indefinitely, but today’s levels are roughly in line with historical averages and well below levels that have led to bear markets.

The Portfolio’s outperformance of the Index was driven by an overweight allocation to U.S. stocks versus bonds and solid returns from holdings in its active stock and bond segments. In the stock segment, QMA emphasized domestic stocks. The Portfolio held only 1% in emerging markets, which declined in 2014. The Portfolio’s bonds outperformed their target due to solid selection of individual issues rather than from large macro positions.

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

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.

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


The Prudential Series Fund, Global Portfolio		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		3.25	%		10.13	%		6.42	%
MSCI World Index (GD)		5.50			10.81			6.61

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2014, the Global Portfolio returned 3.25%.

The net assets of the Portfolio at December 31, 2014 were $719.2 million.

The Portfolio’s investment objective is long-term growth of capital by investing in stocks, with about half of its assets invested in companies in the United States and half in companies located abroad. The Portfolio’s subadvisers are: Brown Advisory (Brown), LLC, (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), LSV Asset Management (international value stocks), and Quantitative Management Associates LLC.

The MSCI World Index (GD) (the Index) rose by 5.50%.The domestic market had a strong year, supported by accelerating economic growth, falling unemployment, and reviving manufacturing. Among shares of larger firms, the difference between growth and value returns was not great. The returns on foreign stocks were reduced for U.S. dollar-based investors by the rise of the dollar against most major foreign currencies. Japan benefited from continued economic stimulus, whereas the euro zone was late to appreciate the need for stimulus.

The Brown Domestic Large-Cap Growth segment had the largest negative impact on Portfolio performance in 2014 due to weak stock selection in the technology and consumer discretionary sectors. An underweight in Apple was among the largest detractors from performance relative to its benchmark, partially caused by Brown’s risk guideline limiting its exposure in any one security to 5% of its portfolio. Apple performed well for the year and now makes up more than 6% of the benchmark.

On the positive side, the International Growth segment of the Portfolio, managed by William Blair & Company, outperformed its benchmark. Results were driven primarily by strong stock selection in the consumer staples and financial sectors. The Portfolio also benefited from its underweight in the materials and energy sectors, both of which declined even in local currencies when the price of oil fell significantly.

None of the five subadvisers use derivative instruments as a principal investment strategy. The types of derivatives employed most often are stock futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of the Portfolio’s currency exposure). Derivatives were used, none of which had a material impact on performance.

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

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.

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


The Prudential Series Fund, Government Income Portfolio		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		5.86	%		4.29	%		4.53	%
Barclays Government Bond Index		4.92			3.70			4.29

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2014, the Government Income Portfolio returned 5.86%.

The net assets of the Portfolio at December 31, 2014 were $339.2 million.

The Portfolio’s investment objective is a high level of income over the long term consistent with the preservation of capital. The Portfolio’s subadviser is Prudential Investment Management, Inc.

The fixed income markets overall recorded positive returns during 2014. The U.S. economy performed much as expected, with economic growth continuing for the year overall and the Federal Reserve (“Fed”) tapering its quantitative easing bond-buying program. After cresting in early January on fears of the Fed taper and eventual rate hikes, yields on longer-term Treasuries trended down for the rest of the year. The 30-year Treasury yield fell 122 basis points (bps) (a basis point is one hundredth of a percentage point) to 2.75%, while the bellwether 10-year Treasury yield fell 86 bps to 2.17%. Meanwhile, the Treasury yield curve flattened, as shorter-term yields edged up. By the end of the period, the yield on a two-year Treasury had risen 28 bps to 0.67%.

The Portfolio outperformed its benchmark, the Barclays Government Bond Index (the Index). Sector allocation was a strong driver of performance. Although U.S. Treasuries performed well during the period, the high-quality commercial mortgage-backed securities (“CMBS”) in which the Fund invests contributed positively.

Security selection also added to returns, most notably within mortgage-backed securities and, to a lesser extent, CMBS.

The Portfolio’s investment in the Prudential Core Short-Term Bond Fund also benefited performance, as the Fund’s net asset value rose throughout much of the year.

While the impact of the Portfolio’s duration strategy was largely neutral, its yield curve positioning helped performance. More specifically, the Portfolio benefited from its curve flattening position as yields of five years and less rose and yields beyond five years fell.

These positive factors were modestly offset by security selection within non-agency mortgage-backed securities and municipal bonds.

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.)

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

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.

Prudential Investment Management, Inc. is a registered investment adviser and a Prudential Financial company.


The Prudential Series Fund, Stock Index Portfolio		December 31, 2014

Investment Manager’s Report - As of December 31, 2014 (Unaudited)


Average Annual Total Returns	1-Year			5-Year			10-Year
Portfolio		13.31	%		15.09	%		7.38	%
S&P 500 Index		13.66			15.44			7.67

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2014, the Stock Index Portfolio returned 13.31%.

The net assets of the Portfolio at December 31, 2014 were $3,312.7 million.

The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks. Quantitative Management Associates LLC (QMA) subadvises the Portfolio, which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of its benchmark, the S&P 500 Index (the Index). While Prudential Financial, Inc. (Prudential) is one of the components to the S&P 500, the Portfolio cannot hold shares of Prudential because of compliance restrictions.

Potential tracking error (the difference between the return of the portfolio and the return of benchmark) differences, brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the Index. In 2014, the Portfolio underperformed the Index, which returned 13.66%.

Stocks performed strongly during the year. Investors were decidedly cautious, focusing on geopolitical concerns, such as Russia’s conflict in the Ukraine and terrorism in the Middle East, slowing economies in Europe and China, and the prospect of rising interest rates in the U.S. Due to reduced investor risk tolerance, high quality, lower risk names generally outperformed. Large-cap stocks outperformed small-caps, low beta (a measure of the risk of the portfolio that comes from its exposure to a specific benchmark. Low beta stocks are considered to be less risky than high beta stocks) outperformed high beta, and companies exhibiting higher quality characteristics and strong and improving earnings trends outperformed lower quality companies. Investors did not overpay for these characteristics as valuations remained attractive.

The Portfolio uses derivative instruments, though not as a principal investment strategy. The Portfolio had a small position in futures contracts on the S&P 500 Index to help enhance liquidity. This exposure slightly detracted from the Portfolio’s performance.

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

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.

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

The Prudential Series Funds

Presentation of Portfolio Holdings — unaudited

December 31, 2014


Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	1.9%
Exxon Mobil Corp.	1.2%
Microsoft Corp.	1.1%
U.S. Treasury Notes, 1.500%, 01/31/19	1.0%
Johnson & Johnson	0.9%


Diversified Bond
Allocation	(% of Net Assets	)
Banking	12.2%
Commercial Mortgage-Backed Securities	10.0%
Residential Mortgage-Backed Securities	5.7%
Sovereign Bonds	5.1%
Collateralized Loan Obiligations	4.5%


Equity
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.4%
Facebook, Inc., (Class A Stock)	2.8%
Celgene Corp.	2.6%
Actavis PLC	2.4%
Applied Materials, Inc.	2.3%


Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	2.0%
Microsoft Corp.	1.6%
Exxon Mobil Corp.	1.4%
General Electric Co.	1.3%
JPMorgan Chase & Co.	1.2%


Global
Top Five Countries	(% of Net Assets	)
United States	55.7%
Japan	8.7%
United Kingdom	6.1%
Switzerland	3.2%
France	3.1%


Government Income
Allocation	(% of Net Assets	)
U.S. Government Agency Obligations	47.2%
U.S. Treasury Obligations	22.7%
Commercial Mortgage-Backed Securities	20.2%
Collateralized Loan Obiligations	3.1%
Foregin Government Agencies	0.8%


Stock Index
Five Largest Holdings	(% of Net Assets	)
Apple, Inc.	3.4%
Exxon Mobil Corp.	2.1%
Microsoft Corp.	2.0%
Johnson & Johnson	1.6%
Berkshire Hathaway, Inc.	1.4%

The Prudential Series Fund

Fees and Expenses — unaudited

December 31, 2014

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, 2014 through December 31, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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


The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2014		Ending Account Value December 31, 2014		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,033.10		0.58	%	$	2.97
	Hypothetical	$	1,000.00	$	1,022.28		0.58	%	$	2.96
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,015.70		0.44	%	$	2.24
	Hypothetical	$	1,000.00	$	1,022.99		0.44	%	$	2.24
Equity (Class I)	Actual	$	1,000.00	$	1,025.30		0.47	%	$	2.40
	Hypothetical	$	1,000.00	$	1,022.84		0.47	%	$	2.40
Equity (Class II)	Actual	$	1,000.00	$	1,023.00		0.87	%	$	4.44
	Hypothetical	$	1,000.00	$	1,020.82		0.87	%	$	4.43
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,037.60		0.62	%	$	3.18
	Hypothetical	$	1,000.00	$	1,022.08		0.62	%	$	3.16
Global (Class I)	Actual	$	1,000.00	$	987.30		0.81	%	$	4.06
	Hypothetical	$	1,000.00	$	1,021.12		0.81	%	$	4.13
Government Income (Class I)	Actual	$	1,000.00	$	1,019.70		0.47	%	$	2.39
	Hypothetical	$	1,000.00	$	1,022.84		0.47	%	$	2.40
Stock Index (Class I)	Actual	$	1,000.00	$	1,059.50		0.32	%	$	1.66
	Hypothetical	$	1,000.00	$	1,023.59		0.32	%	$	1.63

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2014, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2014 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.


LONG-TERM INVESTMENTS — 88.6%
COMMON STOCKS — 57.7%	Shares		Value (Note 2)
Aerospace & Defense — 1.5%
BAE Systems PLC (United Kingdom)		22,952	$	167,853
Boeing Co. (The)		51,200		6,654,976
General Dynamics Corp.		24,100		3,316,642
Honeywell International, Inc.		59,812		5,976,415
L-3 Communications Holdings, Inc.		6,800		858,228
Lockheed Martin Corp.		20,500		3,947,685
Northrop Grumman Corp.		15,962		2,352,639
Precision Castparts Corp.		11,000		2,649,680
Raytheon Co.		23,600		2,552,812
Rockwell Collins, Inc.		10,500		887,040
Safran SA (France)		3,993		246,348
Textron, Inc.		21,500		905,365
Thales SA (France)		687		37,172
United Technologies Corp.		64,900		7,463,500

				38,016,355

Air Freight & Logistics — 0.4%
C.H. Robinson Worldwide, Inc.		11,500		861,235
Deutsche Post AG (Germany)		7,040		228,532
Expeditors International of Washington, Inc.		15,200		678,072
FedEx Corp.		20,200		3,507,932
Royal Mail PLC (United Kingdom)		4,839		32,247
United Parcel Service, Inc. (Class B Stock)		53,700		5,969,829

				11,277,847

Airlines — 0.3%
Delta Air Lines, Inc.		63,900		3,143,241
Deutsche Lufthansa AG (Germany)		25,980		430,515
easyJet PLC (United Kingdom)		1,145		29,632
International Consolidated Airlines Group SA (United Kingdom)*		7,130		53,113
Ryanair Holdings PLC (Ireland) ADR*		9,900		705,573
Southwest Airlines Co.		52,600		2,226,032

				6,588,106

Auto Components — 0.2%
BorgWarner, Inc.		17,500		961,625
Bridgestone Corp. (Japan)		4,700		163,005
Continental AG (Germany)		817		172,325
Delphi Automotive PLC (United Kingdom)		23,100		1,679,832
Goodyear Tire & Rubber Co. (The)		19,900		568,543
Johnson Controls, Inc.		50,500		2,441,170
Koito Manufacturing Co. Ltd. (Japan)		1,300		39,769
NGK Spark Plug Co. Ltd. (Japan)		1,300		39,501
NOK Corp. (Japan)		5,900		150,176
Sumitomo Electric Industries Ltd. (Japan)		5,500		68,691
Sumitomo Rubber Industries Ltd. (Japan)		2,300		34,192
Toyota Industries Corp. (Japan)		1,200		61,502

				6,380,331


COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles — 0.5%
Bayerische Motoren Werke AG (Germany)		3,734	$	402,968
Daimler AG (Germany)		7,564		628,222
Fiat Chrysler Automobiles NV (United Kingdom)*		6,368		73,995
Ford Motor Co.		293,885		4,555,217
Fuji Heavy Industries Ltd. (Japan)		17,500		619,255
General Motors Co.		102,500		3,578,275
Harley-Davidson, Inc.		16,700		1,100,697
Isuzu Motors Ltd. (Japan)		4,500		54,811
Mazda Motor Corp. (Japan)		4,000		96,062
Nissan Motor Co. Ltd. (Japan)		17,800		155,248
Peugeot SA (France)*		51,647		632,801
Renault SA (France)		1,421		103,501
Toyota Motor Corp. (Japan)		20,800		1,296,202
Volkswagen AG (Germany)		212		45,962

				13,343,216

Banks — 3.8%
Aozora Bank Ltd. (Japan)		153,000		473,618
Australia & New Zealand Banking Group Ltd. (Australia)		20,417		531,249
Banco Santander SA (Spain)		159,262		1,336,708
Bank Hapoalim BM (Israel)		131,802		619,750
Bank of America Corp.		803,021		14,366,046
Bank of Queensland Ltd. (Australia)		6,514		64,175
BB&T Corp.		54,900		2,135,061
BNP Paribas SA (France)		2,155		127,219
Citigroup, Inc.		231,785		12,541,886
Comerica, Inc.		14,200		665,128
Commonwealth Bank of Australia (Australia)		18,612		1,293,139
Credit Agricole SA (France)		54,118		698,585
Danske Bank A/S (Denmark)		8,801		237,943
DBS Group Holdings Ltd. (Singapore)		12,363		191,396
DNB ASA (Norway)		35,326		521,080
Fifth Third Bancorp		62,321		1,269,790
HSBC Holdings PLC (United Kingdom)		137,639		1,300,658
Huntington Bancshares, Inc.		59,636		627,371
JPMorgan Chase & Co.		285,745		17,881,922
KeyCorp		66,500		924,350
Lloyds Banking Group PLC (United Kingdom)*		35,216		41,423
M&T Bank Corp.(a)		10,100		1,268,762
Mitsubishi UFJ Financial Group, Inc. (Japan)		192,200		1,055,991
Mizuho Financial Group, Inc. (Japan)		165,100		276,758
Natixis SA (France)		104,922		692,342
Oversea-Chinese Banking Corp. Ltd. (Singapore)		21,499		169,154
PNC Financial Services Group, Inc. (The)		41,033		3,743,441
Regions Financial Corp.		103,603		1,094,048
Resona Holdings, Inc. (Japan)		15,800		79,814

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		58,333	$	740,745
Sumitomo Mitsui Financial Group, Inc. (Japan)		21,300		770,053
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		24,000		91,927
SunTrust Banks, Inc.		40,800		1,709,520
Svenska Handelsbanken AB (Sweden) (Class A Stock)		13,463		629,905
Swedbank AB (Sweden) (Class A Stock)		6,481		160,800
U.S. Bancorp		136,585		6,139,496
United Overseas Bank Ltd. (Singapore)		11,000		202,995
Wells Fargo & Co.		361,264		19,804,492
Westpac Banking Corp. (Australia)		5,742		154,436
Zions Bancorporation		14,650		417,671

				97,050,847

Beverages — 1.2%
Anheuser-Busch InBev NV (Belgium)		8,118		913,613
Brown-Forman Corp. (Class B Stock)		12,350		1,084,824
Carlsberg A/S (Denmark) (Class B Stock)		1,776		136,397
Coca-Cola Co. (The)		299,901		12,661,820
Coca-Cola Enterprises, Inc.		16,900		747,318
Constellation Brands, Inc. (Class A Stock)*		12,800		1,256,576
Diageo PLC (United Kingdom)		3,087		88,434
Dr. Pepper Snapple Group, Inc.		14,900		1,068,032
Heineken Holding NV (Netherlands)		609		38,124
Molson Coors Brewing Co. (Class B Stock)		12,200		909,144
Monster Beverage Corp.*		11,000		1,191,850
PepsiCo, Inc.		114,707		10,846,694
Pernod Ricard SA (France)		1,556		172,931

				31,115,757

Biotechnology — 1.6%
Actelion Ltd. (Switzerland)*		4,803		552,927
Alexion Pharmaceuticals, Inc.*		15,300		2,830,959
Amgen, Inc.		58,187		9,268,607
Biogen Idec, Inc.*		18,190		6,174,595
Celgene Corp.*		61,000		6,823,460
CSL Ltd. (Australia)		2,686		188,680
Gilead Sciences, Inc.*		115,000		10,839,900
Regeneron Pharmaceuticals, Inc.*		5,700		2,338,425
Vertex Pharmaceuticals, Inc.*		18,200		2,162,160

				41,179,713

Building Products — 0.1%
Allegion PLC		7,933		439,964
Assa Abloy AB (Sweden) (Class B Stock)		2,450		129,401
Daikin Industries Ltd. (Japan)		1,700		109,011
Geberit AG (Switzerland)		271		91,680
Masco Corp.		25,800		650,160

				1,420,216


COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets — 1.3%
3i Group PLC (United Kingdom)		6,935	$	48,356
Aberdeen Asset Management PLC (United Kingdom)		6,669		44,562
Affiliated Managers Group, Inc.*		4,400		933,856
Ameriprise Financial, Inc.		14,220		1,880,595
Bank of New York Mellon Corp. (The)		85,758		3,479,202
BlackRock, Inc.		9,750		3,486,210
Charles Schwab Corp. (The)		86,950		2,625,020
ETRADE Financial Corp.		21,120		512,266
Franklin Resources, Inc.		30,400		1,683,248
Goldman Sachs Group, Inc. (The)		31,400		6,086,262
Invesco Ltd.		32,600		1,288,352
Investec PLC (South Africa)		79,426		665,454
Legg Mason, Inc.		8,100		432,297
Macquarie Group Ltd. (Australia)		2,050		96,672
Morgan Stanley		117,380		4,554,344
Northern Trust Corp.		16,800		1,132,320
Partners Group Holding AG (Switzerland)		126		36,658
State Street Corp.		32,200		2,527,700
T. Rowe Price Group, Inc.		20,300		1,742,958

				33,256,332

Chemicals — 1.4%
Air Products & Chemicals, Inc.		14,700		2,120,181
Airgas, Inc.		5,500		633,490
Asahi Kasei Corp. (Japan)		21,000		191,571
BASF SE (Germany)		1,528		128,170
CF Industries Holdings, Inc.		3,900		1,062,906
Daicel Corp. (Japan)		64,000		747,551
Dow Chemical Co. (The)		85,131		3,882,825
E.I. du Pont de Nemours & Co.		69,120		5,110,733
Eastman Chemical Co.		11,500		872,390
Ecolab, Inc.		20,500		2,142,660
FMC Corp.		10,600		604,518
Givaudan SA (Switzerland)*		49		87,899
International Flavors & Fragrances, Inc.		6,600		668,976
K+S AG (Germany)		24,671		680,802
Kuraray Co. Ltd. (Japan)		2,500		28,405
LyondellBasell Industries NV (Class A Stock)		32,300		2,564,297
Monsanto Co.		36,994		4,419,673
Mosaic Co. (The)		24,800		1,132,120
Nitto Denko Corp. (Japan)		1,100		61,463
PPG Industries, Inc.		10,600		2,450,190
Praxair, Inc.		22,200		2,876,232
Sherwin-Williams Co. (The)		6,400		1,683,456
Sigma-Aldrich Corp.		9,000		1,235,430
Sumitomo Chemical Co. Ltd. (Japan)		12,000		47,241
Yara International ASA (Norway)		15,101		672,484

				36,105,663

Commercial Services & Supplies — 0.3%
ADT Corp. (The)(a)		13,500		489,105
Cintas Corp.		7,500		588,300
Dai Nippon Printing Co. Ltd. (Japan)		4,000		36,026

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies (continued)
Pitney Bowes, Inc.		15,200	$	370,424
Republic Services, Inc.		19,565		787,491
Secom Co. Ltd. (Japan)		1,500		86,182
Securitas AB (Sweden) (Class B Stock)		20,463		247,555
Stericycle, Inc.*		6,600		865,128
Toppan Printing Co. Ltd. (Japan)		7,000		45,482
Tyco International PLC		33,300		1,460,538
Waste Management, Inc.		33,442		1,716,244

				6,692,475

Communications Equipment — 0.9%
Cisco Systems, Inc.		389,400		10,831,161
F5 Networks, Inc.*		6,200		808,883
Harris Corp.		7,800		560,196
Juniper Networks, Inc.		31,700		707,544
Motorola Solutions, Inc.		16,889		1,132,914
Nokia OYJ (Finland)		13,848		109,522
QUALCOMM, Inc.		127,700		9,491,941

				23,642,161

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		7,520		262,111
Ferrovial SA (Spain)		3,030		59,898
Fluor Corp.		12,200		739,686
Hochtief AG (Germany)		9,493		669,717
Jacobs Engineering Group, Inc.*		10,600		473,714
Leighton Holdings Ltd. (Australia)		27,923		508,436
Quanta Services, Inc.*		17,100		485,469
Skanska AB (Sweden) (Class B Stock)		2,746		58,958
Taisei Corp. (Japan)		8,000		45,376

				3,303,365

Construction Materials — 0.1%
HeidelbergCement AG (Germany)		1,014		71,568
Martin Marietta Materials, Inc.		4,900		540,568
Taiheiyo Cement Corp. (Japan)		9,000		28,237
Vulcan Materials Co.		10,400		683,592

				1,323,965

Consumer Finance — 0.5%
American Express Co.		68,700		6,391,848
Capital One Financial Corp.		42,761		3,529,920
Discover Financial Services		35,040		2,294,770
Navient Corp.		31,000		669,910

				12,886,448

Containers & Packaging — 0.1%
Avery Dennison Corp.		7,400		383,912
Ball Corp.		10,400		708,968
MeadWestvaco Corp.		12,614		559,935
Owens-Illinois, Inc.*		12,600		340,074
Sealed Air Corp.		16,400		695,852

				2,688,741

Distributors — 0.1%
Genuine Parts Co.		12,000		1,278,840


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Consumer Services
H&R Block, Inc.		21,300	$	717,384

Diversified Financial Services — 1.2%
Berkshire Hathaway, Inc. (Class B Stock)*		139,500		20,945,925
CME Group, Inc.		24,200		2,145,330
Industrivarden AB (Sweden) (Class C Stock)		15,408		267,454
Intercontinental Exchange, Inc.		8,771		1,923,393
Investment AB Kinnevik (Sweden) (Class B Stock)		18,816		611,882
Investor AB (Sweden) (Class B Stock)		8,535		310,314
Leucadia National Corp.		22,900		513,418
McGraw Hill Financial, Inc.		20,900		1,859,682
Moody’s Corp.		14,200		1,360,502
NASDAQ OMX Group, Inc. (The)		9,200		441,232
ORIX Corp. (Japan)		9,500		119,537

				30,498,669

Diversified Telecommunication Services — 1.4%
AT&T, Inc.		396,368		13,314,001
Belgacom SA (Belgium)		2,066		74,962
BT Group PLC (United Kingdom)		57,227		355,956
CenturyLink, Inc.		43,836		1,735,029
Frontier Communications Corp.		71,890		479,506
Koninklijke KPN NV (Netherlands)		37,893		119,642
Level 3 Communications, Inc.*		20,400		1,007,352
Nippon Telegraph & Telephone Corp. (Japan)		12,000		612,992
Orange SA (France)		54,037		918,994
PCCW Ltd. (Hong Kong)		875,000		595,779
Spark New Zealand Ltd. (New Zealand)		13,409		32,506
Telecom Italia SpA (Italy)		103,104		86,200
Telefonica SA (Spain)		69,721		1,001,023
Telekom Austria AG (Austria)		2,889		19,294
Verizon Communications, Inc.		316,076		14,786,035
Windstream Holdings, Inc.		41,957		345,726

				35,484,997

Electric Utilities — 1.1%
American Electric Power Co., Inc.		37,260		2,262,427
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		49,000		360,335
Chubu Electric Power Co., Inc. (Japan)*		4,800		56,405
Chugoku Electric Power Co., Inc. (The) (Japan)		2,200		28,764
Duke Energy Corp.		54,361		4,541,318
Edison International		25,200		1,650,096
EDP-Energias de Portugal SA (Portugal)		16,785		65,087
Electricite de France SA (France)		3,109		85,586
Entergy Corp.		13,800		1,207,224
Exelon Corp.		65,113		2,414,390
FirstEnergy Corp.		31,906		1,244,015
Fortum OYJ (Finland)		31,609		686,282
Hokuriku Electric Power Co. (Japan)		2,200		28,095

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Kansai Electric Power Co., Inc. (The) (Japan)*		5,300	$	50,419
Kyushu Electric Power Co., Inc. (Japan)*		3,200		32,049
NextEra Energy, Inc.		33,300		3,539,457
Northeast Utilities		24,000		1,284,480
Pepco Holdings, Inc.		18,300		492,819
Pinnacle West Capital Corp.		8,700		594,297
Power Assets Holdings Ltd. (Hong Kong)		19,000		183,692
PPL Corp.		51,000		1,852,830
Red Electrica Corp. SA (Spain)		785		69,199
Shikoku Electric Power Co., Inc. (Japan)*		2,300		27,898
Southern Co. (The)		67,900		3,334,569
SSE PLC (United Kingdom)		7,068		178,588
Tohoku Electric Power Co., Inc. (Japan)		3,300		38,400
Tokyo Electric Power Co., Inc. (Japan)*		10,900		44,334
Xcel Energy, Inc.		38,310		1,376,095

				27,729,150

Electrical Equipment — 0.3%
AMETEK, Inc.		18,800		989,444
Eaton Corp. PLC		36,137		2,455,871
Emerson Electric Co.		52,900		3,265,517
Fuji Electric Co. Ltd. (Japan)		7,000		27,908
Mitsubishi Electric Corp. (Japan)		52,000		617,659
Rockwell Automation, Inc.		10,600		1,178,720

				8,535,119

Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		24,000		1,291,440
Corning, Inc.		97,800		2,242,554
FLIR Systems, Inc.		10,800		348,948
Hitachi Ltd. (Japan)		35,000		258,327
Hoya Corp. (Japan)		3,200		108,239
Keyence Corp. (Japan)		300		133,678
Murata Manufacturing Co. Ltd. (Japan)		1,500		163,682
Omron Corp. (Japan)		16,700		747,083
TDK Corp. (Japan)		1,600		94,233
TE Connectivity Ltd. (Switzerland)		31,400		1,986,050

				7,374,234

Energy Equipment & Services — 0.7%
Baker Hughes, Inc.		32,998		1,850,198
Cameron International Corp.*		15,600		779,220
Diamond Offshore Drilling, Inc.(a)		4,700		172,537
Ensco PLC (Class A Stock)		18,200		545,090
FMC Technologies, Inc.*		18,000		843,120
Halliburton Co.		64,500		2,536,785
Helmerich & Payne, Inc.		8,600		579,812
Nabors Industries Ltd.		21,900		284,262
National Oilwell Varco, Inc.		32,600		2,136,278
Noble Corp. PLC		18,800		311,516
Schlumberger Ltd.		98,818		8,440,045
Transocean Ltd.(a)		26,300		482,079
Transocean Ltd. (SWX)		2,615		47,985

				19,008,927


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing — 1.4%
Carrefour SA (France)		4,565	$	138,920
Casino Guichard Perrachon SA (France)		3,866		355,536
Costco Wholesale Corp.		33,700		4,776,975
CVS Health Corp.		88,348		8,508,796
Delhaize Group SA (Belgium)		2,703		196,847
J. Sainsbury PLC (United Kingdom)(a)		161,327		616,058
Koninklijke Ahold NV (Netherlands)		6,712		119,292
Kroger Co. (The)		37,346		2,397,987
Lawson, Inc. (Japan)		900		54,385
Safeway, Inc.		17,900		628,648
Sysco Corp.		45,000		1,786,050
Wal-Mart Stores, Inc.		120,300		10,331,364
Walgreens Boots Alliance, Inc.		66,700		5,082,540
Wesfarmers Ltd. (Australia)		8,099		274,213
Whole Foods Market, Inc.		27,400		1,381,508
WM Morrison Supermarkets PLC (United Kingdom)		172,713		492,797

				37,141,916

Food Products — 1.0%
Archer-Daniels-Midland Co.		48,926		2,544,152
Campbell Soup Co.		14,200		624,800
Chocoladefabriken Lindt & Sprungli AG (Switzerland)		1		57,702
ConAgra Foods, Inc.		32,100		1,164,588
General Mills, Inc.		46,400		2,474,512
Golden Agri-Resources Ltd. (Singapore)		50,000		17,305
Hershey Co. (The)		11,400		1,184,802
Hormel Foods Corp.		10,700		557,470
J.M. Smucker Co. (The)		8,000		807,840
Kellogg Co.		19,400		1,269,536
Keurig Green Mountain, Inc.		9,500		1,257,752
Kraft Foods Group, Inc.		45,017		2,820,765
McCormick & Co., Inc.		10,300		765,290
Mead Johnson Nutrition Co.		15,267		1,534,944
Mondelez International, Inc. (Class A Stock)		127,753		4,640,628
Nestle SA (Switzerland)		19,945		1,454,011
NH Foods Ltd. (Japan)		1,000		21,878
Tate & Lyle PLC (United Kingdom)		3,418		32,025
Tyson Foods, Inc. (Class A Stock)		22,500		902,025
Unilever NV (United Kingdom)		28,299		1,106,996
Unilever PLC (United Kingdom)		9,426		382,962
Wilmar International Ltd. (Singapore)		301,000		733,427

				26,355,410

Gas Utilities
AGL Resources, Inc.		8,939		487,265
Enagas SA (Spain)		4,075		128,530
Snam SpA (Italy)		26,639		131,843

				747,638

Health Care Equipment & Supplies — 1.2%
Abbott Laboratories		114,000		5,132,280
Baxter International, Inc.		41,100		3,012,219

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Equipment & Supplies (continued)
Becton, Dickinson & Co.		14,700	$	2,045,652
Boston Scientific Corp.*		100,567		1,332,513
C.R. Bard, Inc.		5,900		983,058
CareFusion Corp.*		15,775		936,088
Covidien PLC		34,300		3,508,204
DENTSPLY International, Inc.		11,200		596,624
Edwards Lifesciences Corp.*		8,200		1,044,516
Intuitive Surgical, Inc.*		2,800		1,481,032
Medtronic, Inc.		74,300		5,364,460
St. Jude Medical, Inc.		21,500		1,398,145
Stryker Corp.		23,000		2,169,590
Varian Medical Systems, Inc.*(a)		8,200		709,382
Zimmer Holdings, Inc.		13,300		1,508,486

				31,222,249

Health Care Providers & Services — 1.3%
Aetna, Inc.		27,069		2,404,539
Alfresa Holdings Corp. (Japan)		1,200		14,491
AmerisourceBergen Corp.		16,400		1,478,624
Anthem, Inc.		20,800		2,613,936
Cardinal Health, Inc.		25,750		2,078,798
Cigna Corp.		20,400		2,099,364
DaVita HealthCare Partners, Inc.*		13,200		999,768
Express Scripts Holding Co.*		56,549		4,788,004
Fresenius SE & Co. KGaA (Germany)		2,724		141,632
Humana, Inc.		11,700		1,680,471
Laboratory Corp. of America Holdings*		6,700		722,930
McKesson Corp.		17,630		3,659,635
Medipal Holdings Corp. (Japan)		38,900		454,340
Patterson Cos., Inc.		6,500		312,650
Quest Diagnostics, Inc.(a)		11,300		757,778
Sonic Healthcare Ltd. (Australia)		2,778		41,794
Suzuken Co. Ltd. (Japan)		900		24,861
Tenet Healthcare Corp.*(a)		7,550		382,559
UnitedHealth Group, Inc.		74,200		7,500,878
Universal Health Services, Inc. (Class B Stock)		7,100		789,946

				32,946,998

Health Care Technology — 0.1%
Cerner Corp.*		22,900		1,480,714

Hotels, Restaurants & Leisure — 1.0%
Carnival Corp.		34,000		1,541,220
Chipotle Mexican Grill, Inc.*		2,450		1,677,049
Darden Restaurants, Inc.(a)		9,850		577,506
Marriott International, Inc. (Class A Stock)		16,628		1,297,483
McDonald’s Corp.		74,900		7,018,130
Merlin Entertainments PLC (United Kingdom)		71,641		443,290
Oriental Land Co. Ltd. (Japan)		1,800		415,105
Royal Caribbean Cruises Ltd.		12,500		1,030,375
Sodexo SA (France)		698		68,323
Starbucks Corp.		57,000		4,676,850
Starwood Hotels & Resorts Worldwide, Inc.		14,000		1,134,980


COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure (continued)
Tabcorp Holdings Ltd. (Australia)		84,990	$	286,902
Tatts Group Ltd. (Australia)		10,669		30,007
Whitbread PLC (United Kingdom)		767		56,763
Wyndham Worldwide Corp.		9,620		825,011
Wynn Resorts Ltd.		6,200		922,312
Yum! Brands, Inc.		33,300		2,425,905

				24,427,211

Household Durables — 0.3%
D.R. Horton, Inc.		24,000		606,960
Garmin Ltd.(a)		9,300		491,319
Harman International Industries, Inc.		5,500		586,905
Leggett & Platt, Inc.		10,500		447,405
Lennar Corp. (Class A Stock)		14,100		631,821
Mohawk Industries, Inc.*		4,900		761,264
Newell Rubbermaid, Inc.		21,114		804,232
Panasonic Corp. (Japan)		72,400		852,759
Persimmon PLC (United Kingdom)*		4,080		99,650
PulteGroup, Inc.		25,222		541,264
Sekisui Chemical Co. Ltd. (Japan)		3,000		36,093
Sony Corp. (Japan)		29,400		600,032
Whirlpool Corp.		6,026		1,167,477

				7,627,181

Household Products — 1.1%
Clorox Co. (The)		10,000		1,042,100
Colgate-Palmolive Co.		65,900		4,559,621
Henkel AG & Co. KGaA (Germany)		8,150		789,480
Kimberly-Clark Corp.		28,400		3,281,336
Procter & Gamble Co. (The)		206,425		18,803,253
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		4,247		91,560

				28,567,350

Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		51,100		703,647
Electric Power Development Co. Ltd. (Japan)		900		30,412
NRG Energy, Inc.		26,100		703,395

				1,437,454

Industrial Conglomerates — 1.3%
3M Co.		49,400		8,117,408
Danaher Corp.		46,300		3,968,373
General Electric Co.		767,700		19,399,779
Hopewell Holdings Ltd. (Hong Kong)		106,000		385,854
Hutchison Whampoa Ltd. (Hong Kong)		13,000		148,610
Keppel Corp. Ltd. (Singapore)		61,000		406,588
NWS Holdings Ltd. (Hong Kong)		11,000		20,177
Roper Industries, Inc.		7,700		1,203,895
Siemens AG (Germany)		5,816		652,579

				34,303,263

Insurance — 1.6%
ACE Ltd.		25,500		2,929,440
Aflac, Inc.		34,700		2,119,823
AIA Group Ltd. (Hong Kong)		5,200		28,680
Allianz SE (Germany)		3,336		552,531
Allstate Corp. (The)		33,300		2,339,325

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
American International Group, Inc.		108,139	$	6,056,865
Aon PLC		22,200		2,105,226
Assurant, Inc.		5,500		376,365
AXA SA (France)		32,922		758,625
Baloise Holding AG (Switzerland)		3,970		507,412
Chubb Corp. (The)		18,600		1,924,542
Cincinnati Financial Corp.		11,237		582,414
CNP Assurances (France)		1,259		22,320
Genworth Financial, Inc. (Class A Stock)*		37,200		316,200
Hannover Rueck SE (Germany)		1,811		163,373
Hartford Financial Services Group, Inc. (The)		33,900		1,413,291
Insurance Australia Group Ltd. (Australia)		17,358		88,136
Legal & General Group PLC (United Kingdom)		163,963		633,087
Lincoln National Corp.		19,918		1,148,671
Loews Corp.		23,275		978,015
Marsh & McLennan Cos., Inc.		41,400		2,369,736
MetLife, Inc.		86,400		4,673,376
Muenchener Rueckversicherungs AG (Germany)		1,062		211,485
NN Group NV (Netherlands)*		895		26,719
Principal Financial Group, Inc.		20,800		1,080,352
Progressive Corp. (The)		40,800		1,101,192
Prudential PLC (United Kingdom)		18,497		427,642
Suncorp Group Ltd. (Australia)		45,247		516,892
Swiss Life Holding AG (Switzerland)*		1,871		442,214
Swiss Re AG (Switzerland)*		1,279		107,144
Tokio Marine Holdings, Inc. (Japan)		5,000		162,388
Torchmark Corp.		9,725		526,803
Travelers Cos., Inc. (The)		25,735		2,724,050
UnipolSai SpA (Italy)		7,610		20,489
Unum Group		21,410		746,781
XL Group PLC (Ireland)		19,800		680,526

				40,862,130

Internet & Catalog Retail — 0.6%
Amazon.com, Inc.*		28,900		8,969,115
Expedia, Inc.		7,950		678,612
Netflix, Inc.*		4,650		1,588,487
Priceline Group, Inc. (The)*		4,010		4,572,242
TripAdvisor, Inc.*(a)		8,450		630,877

				16,439,333

Internet Software & Services — 1.8%
Akamai Technologies, Inc.*		13,800		868,848
eBay, Inc.*		85,600		4,803,872
Facebook, Inc. (Class A Stock)*		159,200		12,420,784
Google, Inc. (Class A Stock)*		21,750		11,541,855
Google, Inc. (Class C Stock)*		21,770		11,459,728
VeriSign, Inc.*(a)		8,500		484,500
Yahoo!, Inc.*		68,900		3,480,139

				45,059,726


COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services — 1.8%
Accenture PLC (Class A Stock)		47,900	$	4,277,949
Alliance Data Systems Corp.*(a)		4,600		1,315,830
Automatic Data Processing, Inc.		36,500		3,043,005
Cap Gemini SA (France)		10,878		777,966
Cognizant Technology Solutions Corp. (Class A Stock)*		46,300		2,438,158
Computer Sciences Corp.		11,400		718,770
Fidelity National Information Services, Inc.		21,700		1,349,740
Fiserv, Inc.*		18,900		1,341,333
International Business Machines Corp.		70,700		11,343,108
MasterCard, Inc. (Class A Stock)		75,100		6,470,616
Paychex, Inc.		24,800		1,145,016
Teradata Corp.*(a)		11,400		497,952
Total System Services, Inc.		12,096		410,780
Visa, Inc. (Class A Stock)(a)		37,400		9,806,280
Western Union Co. (The)(a)		39,210		702,251
Xerox Corp.		80,663		1,117,989

				46,756,743

Leisure Products — 0.1%
Bandai Namco Holdings, Inc. (Japan)		13,500		285,812
Hasbro, Inc.(a)		8,600		472,914
Mattel, Inc.		26,151		809,243
Shimano, Inc. (Japan)		600		77,713

				1,645,682

Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc.		25,114		1,028,167
PerkinElmer, Inc.		8,600		376,078
QIAGEN NV*		1,701		39,622
Thermo Fisher Scientific, Inc.		30,300		3,796,287
Waters Corp.*		6,700		755,224

				5,995,378

Machinery — 0.9%
Amada Co. Ltd. (Japan)		2,600		22,279
Atlas Copco AB (Sweden) (Class B Stock)		2,796		71,572
Caterpillar, Inc.		47,600		4,356,828
Cummins, Inc.		13,200		1,903,044
Deere & Co.		27,300		2,415,231
Dover Corp.		12,800		918,016
FANUC Corp. (Japan)		1,400		230,833
Flowserve Corp.		10,700		640,181
IHI Corp. (Japan)		11,000		55,709
Illinois Tool Works, Inc.		28,000		2,651,600
Ingersoll-Rand PLC		20,300		1,286,817
Joy Global, Inc.		7,400		344,248
Kawasaki Heavy Industries Ltd. (Japan)		10,000		45,475
Kone OYJ (Finland) (Class B Stock)		13,529		615,946
MAN SE (Germany)		473		52,678
NSK Ltd. (Japan)		35,000		413,236
PACCAR, Inc.		27,343		1,859,597
Pall Corp.		8,100		819,801
Parker Hannifin Corp.		11,665		1,504,202

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Pentair PLC (United Kingdom)		14,777	$	981,488
Snap-on, Inc.		4,700		642,678
Stanley Black & Decker, Inc.		11,897		1,143,064
Sumitomo Heavy Industries Ltd. (Japan)		36,000		193,643
THK Co. Ltd. (Japan)		1,500		36,048
Vallourec SA (France)		4,842		131,226
Wartsila OYJ Abp (Finland)		2,017		90,278
Xylem, Inc.		13,500		513,945
Yangzijiang Shipbuilding Holdings Ltd. (China)		25,000		22,655

				23,962,318

Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		28		53,582
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)		325		646,409
Kuehne + Nagel International AG (Switzerland)		388		52,704
Mitsui OSK Lines Ltd. (Japan)		8,000		23,702
Nippon Yusen K.K. (Japan)		12,000		33,894

				810,291

Media — 2.0%
Altice SA (Luxembourg)*		948		74,862
Cablevision Systems Corp. (Class A Stock)(a)		14,900		307,536
CBS Corp. (Class B Stock)		37,034		2,049,462
Comcast Corp. (Class A Stock)		196,990		11,427,390
Dentsu, Inc. (Japan)		1,500		63,062
DIRECTV*		38,100		3,303,270
Discovery Communications, Inc. (Class A Stock)*		11,200		385,840
Discovery Communications, Inc. (Class C Stock)*(a)		21,300		718,236
Gannett Co., Inc.		16,600		530,038
Hakuhodo DY Holdings, Inc. (Japan)		3,100		29,667
Interpublic Group of Cos., Inc. (The)		30,731		638,283
Lagardere SCA (France)		1,567		40,808
News Corp. (Class A Stock)*		35,775		561,310
Omnicom Group, Inc.		19,000		1,471,930
Publicis Groupe SA (France)		2,912		208,836
Reed Elsevier NV (United Kingdom)		2,200		52,537
Reed Elsevier PLC (United Kingdom)		8,468		144,650
RTL Group SA (Germany)		287		27,367
Scripps Networks Interactive, Inc. (Class A Stock)(a)		8,000		602,160
Sky PLC (United Kingdom)		7,608		106,180
Time Warner Cable, Inc.		21,414		3,256,213
Time Warner, Inc.		65,366		5,583,564
Twenty-First Century Fox, Inc. (Class A Stock)		142,700		5,480,393
Viacom, Inc. (Class B Stock)		28,934		2,177,283
Walt Disney Co. (The)		120,200		11,321,638
Wolters Kluwer NV (Netherlands)		2,201		67,164

				50,629,679


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.4%
Alcoa, Inc.		88,140	$	1,391,731
Allegheny Technologies, Inc.		7,700		267,729
Anglo American PLC (United Kingdom)		3,215		59,492
Antofagasta PLC (United Kingdom)		26,301		306,459
BHP Billiton Ltd. (Australia)		23,042		544,774
BHP Billiton PLC (Australia)		29,888		640,541
Fortescue Metals Group Ltd. (Australia)(a)		117,795		258,636
Freeport-McMoRan, Inc.		78,788		1,840,488
JFE Holdings, Inc. (Japan)		6,300		140,496
Kobe Steel Ltd. (Japan)		404,000		695,889
Maruichi Steel Tube Ltd. (Japan)		700		14,898
Mitsubishi Materials Corp. (Japan)		15,000		49,761
Newmont Mining Corp.		36,100		682,290
Nippon Steel & Sumitomo Metal Corp. (Japan)		54,000		133,954
Nucor Corp.		24,100		1,182,105
Rio Tinto PLC (United Kingdom)		8,804		405,839
Sumitomo Metal Mining Co. Ltd. (Japan)		4,000		59,660
Voestalpine AG (Austria)		12,686		501,264

				9,176,006

Multi-Utilities — 0.7%
AGL Energy Ltd. (Australia)		4,844		52,834
Ameren Corp.		18,800		867,244
CenterPoint Energy, Inc.		31,100		728,673
Centrica PLC (United Kingdom)		36,698		158,955
CMS Energy Corp.		21,500		747,125
Consolidated Edison, Inc.		22,100		1,458,821
Dominion Resources, Inc.		44,232		3,401,441
DTE Energy Co.		13,500		1,165,995
E.ON SE (Germany)		5,537		94,637
Integrys Energy Group, Inc.		6,120		476,442
National Grid PLC (United Kingdom)		72,609		1,030,272
NiSource, Inc.		23,600		1,001,112
PG&E Corp.		36,300		1,932,612
Public Service Enterprise Group, Inc.		38,000		1,573,580
SCANA Corp.		11,300		682,520
Sempra Energy		17,719		1,973,188
TECO Energy, Inc.		17,200		352,428
Wisconsin Energy Corp.(a)		17,400		917,676

				18,615,555

Multiline Retail — 0.4%
Dollar General Corp.*		22,900		1,619,030
Dollar Tree, Inc.*		15,800		1,112,004
Family Dollar Stores, Inc.		7,400		586,154
Kohl’s Corp.		15,700		958,328
Macy’s, Inc.		27,374		1,799,840
Nordstrom, Inc.		11,100		881,229
Target Corp.		48,000		3,643,680

				10,600,265

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels — 4.0%
Anadarko Petroleum Corp.		38,354	$	3,164,205
Apache Corp.		29,114		1,824,574
BP PLC (United Kingdom)		109,674		696,165
Cabot Oil & Gas Corp.		31,900		944,559
Chesapeake Energy Corp.		37,600		735,832
Chevron Corp.		144,822		16,246,132
Cimarex Energy Co.		6,800		720,800
ConocoPhillips		93,177		6,434,804
CONSOL Energy, Inc.		17,400		588,294
Denbury Resources, Inc.(a)		26,600		216,258
Devon Energy Corp.		29,500		1,805,695
Eni SpA (Italy)		45,369		794,708
EOG Resources, Inc.		41,500		3,820,905
EQT Corp.		11,600		878,120
Exxon Mobil Corp.		324,099		29,962,953
Hess Corp.		20,200		1,491,164
Kinder Morgan, Inc.		128,298		5,428,288
Marathon Oil Corp.		51,682		1,462,084
Marathon Petroleum Corp.		21,841		1,971,369
Murphy Oil Corp.		13,300		671,916
Newfield Exploration Co.*		10,200		276,624
Noble Energy, Inc.		27,800		1,318,554
Occidental Petroleum Corp.		59,100		4,764,051
ONEOK, Inc.		15,900		791,661
Phillips 66		42,338		3,035,635
Pioneer Natural Resources Co.		11,350		1,689,447
QEP Resources, Inc.		13,000		262,860
Range Resources Corp.		13,000		694,850
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		46,602		1,555,246
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		32,840		1,134,659
Showa Shell Sekiyu K.K. (Japan)		2,500		24,626
Southwestern Energy Co.*		27,200		742,288
Spectra Energy Corp.		51,162		1,857,181
Statoil ASA (Norway)		8,169		143,830
Tesoro Corp.		9,600		713,760
Total SA (France)		16,650		853,015
Valero Energy Corp.		40,400		1,999,800
Williams Cos., Inc. (The)		50,100		2,251,494
Woodside Petroleum Ltd. (Australia)		5,323		164,626

				104,133,032

Paper & Forest Products — 0.1%
International Paper Co.		32,173		1,723,829
UPM-Kymmene OYJ (Finland)		3,925		64,324

				1,788,153

Personal Products — 0.1%
Avon Products, Inc.		32,200		302,358
Estee Lauder Cos., Inc. (The) (Class A Stock)		17,000		1,295,400

				1,597,758

Pharmaceuticals — 3.7%
AbbVie, Inc.		121,400		7,944,416
Actavis PLC*		20,089		5,171,109
Allergan, Inc.		22,900		4,868,311
AstraZeneca PLC (United Kingdom)		9,362		661,246


COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Bayer AG (Germany)		3,490	$	475,718
Bristol-Myers Squibb Co.		126,370		7,459,621
Eli Lilly & Co.		75,100		5,181,149
GlaxoSmithKline PLC (United Kingdom)		47,462		1,018,233
Hospira, Inc.*		13,260		812,175
Johnson & Johnson		214,248		22,403,913
Mallinckrodt PLC*		8,800		871,464
Merck & Co., Inc.		219,333		12,455,921
Merck KGaA (Germany)		916		86,203
Mylan, Inc.*		28,900		1,629,093
Novartis AG (Switzerland)		24,132		2,238,086
Novo Nordisk A/S (Denmark) (Class B Stock)		4,633		195,975
Otsuka Holdings Co. Ltd. (Japan)		22,000		659,587
Perrigo Co. PLC		10,400		1,738,464
Pfizer, Inc.		481,870		15,010,250
Roche Holding AG (Switzerland)		6,720		1,820,732
Sanofi (France)		8,625		786,347
Shire PLC (Ireland)		525		37,223
Teva Pharmaceutical Industries Ltd. (Israel)		13,487		773,141
Zoetis, Inc.		37,700		1,622,231

				95,920,608

Professional Services — 0.1%
Adecco SA (Switzerland)*		671		46,124
Capita PLC (United Kingdom)		4,883		81,877
Dun & Bradstreet Corp. (The)		2,900		350,784
Equifax, Inc.		9,500		768,265
Nielsen NV(a)		24,600		1,100,358
Robert Half International, Inc.		11,000		642,180

				2,989,588

Real Estate Investment Trusts (REITs) — 1.4%
American Tower Corp.		30,100		2,975,385
Apartment Investment & Management Co. (Class A Stock)		10,833		402,446
AvalonBay Communities, Inc.		10,175		1,662,493
Boston Properties, Inc.		11,600		1,492,804
CapitaCommercial Trust (Singapore)		27,000		35,647
CapitaMall Trust (Singapore)		18,000		27,637
Crown Castle International Corp.		25,600		2,014,720
Equity Residential		27,800		1,997,152
Essex Property Trust, Inc.		4,900		1,012,340
Federation Centres (Australia)		310,281		722,416
General Growth Properties, Inc.		47,500		1,336,175
GPT Group (The) (Australia)		12,319		43,598
HCP, Inc.		35,700		1,571,871
Health Care REIT, Inc.		25,100		1,899,317
Host Hotels & Resorts, Inc.		57,382		1,363,970
Intu Properties PLC (United Kingdom)		133,377		689,552
Iron Mountain, Inc.		13,602		525,853
Kimco Realty Corp.		31,300		786,882
Land Securities Group PLC (United Kingdom)		5,791		104,097
Link REIT (The) (Hong Kong)		108,500		679,292

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Macerich Co. (The)		11,000	$	917,510
Plum Creek Timber Co., Inc.		13,300		569,107
Prologis, Inc.		38,777		1,668,574
Public Storage		11,200		2,070,320
Simon Property Group, Inc.		23,843		4,342,049
Ventas, Inc.(a)		22,418		1,607,371
Vornado Realty Trust		13,625		1,603,799
Weyerhaeuser Co.		39,998		1,435,528

				35,557,905

Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		21,100		722,675
Cheung Kong Holdings Ltd. (Hong Kong)		17,000		284,696
Daiwa House Industry Co. Ltd. (Japan)		4,300		81,232
Deutsche Wohnen AG (Germany)		3,763		88,768
Henderson Land Development Co. Ltd. (Hong Kong)		15,400		107,034
Hysan Development Co. Ltd. (Hong Kong)		148,000		656,825
Lend Lease Group (Australia)		4,503		59,975
New World Development Co. Ltd. (Hong Kong)		155,000		177,942
Sino Land Co. Ltd. (Hong Kong)		22,000		35,317
Swire Properties Ltd. (Hong Kong)		8,800		25,893
Wheelock & Co. Ltd. (Hong Kong)		6,000		27,858

				2,268,215

Road & Rail — 0.6%
Asciano Ltd. (Australia)		7,275		35,628
Central Japan Railway Co. (Japan)		1,000		149,876
ComfortDelGro Corp. Ltd. (Singapore)		15,000		29,354
CSX Corp.		75,800		2,746,234
DSV A/S (Denmark)		1,318		40,132
Hankyu Hanshin Holdings, Inc. (Japan)		9,000		48,277
Kansas City Southern		8,500		1,037,255
MTR Corp. Ltd. (Hong Kong)		10,500		42,958
Norfolk Southern Corp.		23,500		2,575,835
Ryder System, Inc.		4,100		380,685
Union Pacific Corp.		68,400		8,148,492
West Japan Railway Co. (Japan)		3,900		184,385

				15,419,111

Semiconductors & Semiconductor Equipment — 1.3%
Altera Corp.		24,000		886,560
Analog Devices, Inc.		23,900		1,326,928
Applied Materials, Inc.		91,300		2,275,196
Avago Technologies Ltd. (Singapore)		19,500		1,961,505
Broadcom Corp. (Class A Stock)		41,350		1,791,695
First Solar, Inc.*		6,000		267,570
Infineon Technologies AG (Germany)		8,178		86,539
Intel Corp.		372,800		13,528,912
KLA-Tencor Corp.		12,700		893,064
Lam Research Corp.		12,450		987,783


COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Linear Technology Corp.		18,500	$	843,600
Microchip Technology, Inc.		15,700		708,227
Micron Technology, Inc.*		81,200		2,842,812
NVIDIA Corp.		37,150		744,858
Rohm Co. Ltd. (Japan)		700		42,177
Texas Instruments, Inc.		80,900		4,325,318
Xilinx, Inc.		20,600		891,774

				34,404,518

Software — 2.1%
Adobe Systems, Inc.*		35,800		2,602,660
Autodesk, Inc.*		17,400		1,045,044
CA, Inc.		24,164		735,794
Citrix Systems, Inc.*		12,700		810,260
Electronic Arts, Inc.*		23,900		1,123,659
Intuit, Inc.		21,900		2,018,961
Microsoft Corp.		630,200		29,272,790
Nexon Co. Ltd. (Japan)		21,000		195,764
Oracle Corp.		246,500		11,085,105
Red Hat, Inc.*		14,600		1,009,444
salesforce.com, inc.*		43,700		2,591,847
Symantec Corp.		52,278		1,341,192

				53,832,520

Specialty Retail — 1.3%
ABC-Mart, Inc. (Japan)		400		19,355
AutoNation, Inc.*		6,174		372,971
AutoZone, Inc.*(a)		2,550		1,578,731
Bed Bath & Beyond, Inc.*		15,000		1,142,550
Best Buy Co., Inc.		22,525		878,025
CarMax, Inc.*(a)		16,800		1,118,544
Dixons Carphone PLC (United Kingdom)		80,040		576,847
GameStop Corp. (Class A Stock)(a)		8,800		297,440
Gap, Inc. (The)		21,200		892,732
Hennes & Mauritz AB (Sweden) (Class B Stock)		1,714		71,208
Home Depot, Inc. (The)		101,850		10,691,195
L Brands, Inc.		18,606		1,610,349
Lowe’s Cos., Inc.		74,800		5,146,240
Nitori Holdings Co. Ltd. (Japan)		500		26,864
O’Reilly Automotive, Inc.*		7,900		1,521,698
PetSmart, Inc.		7,600		617,842
Ross Stores, Inc.		15,900		1,498,734
Staples, Inc.		46,749		847,092
Tiffany & Co.		8,800		940,368
TJX Cos., Inc. (The)		52,500		3,600,450
Tractor Supply Co.		10,700		843,374
Urban Outfitters, Inc.*		8,000		281,040

				34,573,649

Technology Hardware, Storage & Peripherals — 2.6%
Apple, Inc.		449,940		49,664,377
Brother Industries Ltd. (Japan)		15,900		288,225
EMC Corp.		155,650		4,629,031
FUJIFILM Holdings Corp. (Japan)		6,900		210,544
Hewlett-Packard Co.		142,748		5,728,477
NEC Corp. (Japan)		19,000		55,214
NetApp, Inc.		24,400		1,011,380

SEE NOTES TO FINANCIAL STATEMENTS.


COMMON STOCKS (continued)	Shares		Value (Note 2)
Technology Hardware, Storage & Peripherals (continued)
Ricoh Co. Ltd. (Japan)		5,100	$	51,556
SanDisk Corp.(a)		17,400		1,704,852
Seagate Technology PLC		24,700		1,642,550
Seiko Epson Corp. (Japan)		15,400		644,401
Western Digital Corp.		17,100		1,892,970

				67,523,577

Textiles, Apparel & Luxury Goods — 0.5%
Burberry Group PLC (United Kingdom)		3,265		82,839
Coach, Inc.		21,400		803,784
Fossil Group, Inc.*		3,500		387,590
Luxottica Group SpA (Italy)		1,233		67,592
Michael Kors Holdings Ltd.*		15,600		1,171,560
NIKE, Inc. (Class B Stock)		53,800		5,172,870
Pandora A/S (Denmark)		9,001		729,595
PVH Corp.		6,300		807,471
Ralph Lauren Corp.		4,800		888,768
Swatch Group AG (The) (Switzerland)		363		31,400
Under Armour, Inc. (Class A Stock)*(a)		13,000		882,700
VF Corp.		26,600		1,992,340

				13,018,509

Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		34,300		347,116
People’s United Financial, Inc.(a)		22,000		333,960

				681,076

Tobacco — 0.9%
Altria Group, Inc.		151,200		7,449,624
British American Tobacco PLC (United Kingdom)		13,676		741,117
Imperial Tobacco Group PLC (United Kingdom)		17,347		763,607
Japan Tobacco, Inc. (Japan)		17,100		470,640
Lorillard, Inc.		27,841		1,752,313
Philip Morris International, Inc.		118,900		9,684,405
Reynolds American, Inc.		23,200		1,491,064

				22,352,770


COMMON STOCKS (continued)	Shares		Value (Note 2)
Trading Companies & Distributors — 0.2%
Bunzl PLC (United Kingdom)		2,739	$	74,877
Fastenal Co.(a)		21,000		998,760
ITOCHU Corp. (Japan)		8,600		91,806
Marubeni Corp. (Japan)		11,800		70,604
Mitsubishi Corp. (Japan)		42,800		783,245
Mitsui & Co. Ltd. (Japan)		11,200		150,003
Sumitomo Corp. (Japan)		8,100		83,193
United Rentals, Inc.*		7,500		765,075
W.W. Grainger, Inc.		4,700		1,197,983

				4,215,546

Transportation Infrastructure
Hutchison Port Holdings Trust (Singapore)		42,000		28,980

Water Utilities
Severn Trent PLC (United Kingdom)		5,743		179,120

Wireless Telecommunication Services
KDDI Corp. (Japan)		4,200		263,861
Millicom International Cellular SA (Luxembourg) SDR		485		35,936
Vodafone Group PLC (United Kingdom)		191,822		657,688

				957,485

TOTAL COMMON STOCKS (cost $704,927,077)				1,485,151,468

EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund(a) (cost $1,028,152)		16,250		988,650

PREFERRED STOCKS
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		392		32,027
Volkswagen AG (Germany) (PRFC)		2,197		488,296

				520,323

Banking
Citigroup Capital XIII 7.875%, (Capital Security, fixed to floating preferred)(b)		20,000		531,600

TOTAL PREFERRED STOCKS (cost $1,108,715)				1,051,923


ASSET-BACKED SECURITIES — 2.1%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.494%	(b)	04/25/19		388	$	384,317

Collateralized Loan Obligations — 1.3%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.411%	(b)	04/20/25		2,100		2,064,439
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		250		241,526
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.419%	(b)	07/13/25		2,400		2,358,497
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.766%	(b)	04/28/26		400		397,030
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.833%		10/15/26		2,000		1,993,387

SEE NOTES TO FINANCIAL STATEMENTS.

A10


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.796%	(b)	10/15/26		600	$	596,249
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.800%	(b)	10/17/26		250		249,135
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.431%	(b)	07/15/24		1,000		982,819
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.378%	(b)	04/17/25		2,200		2,160,458
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.781%	(b)	04/20/26		1,650		1,641,778
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.780%	(b)	10/18/26		250		248,071
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.482%	(b)	07/22/20		262		260,262
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.711%	(b)	03/15/20		1,000		995,796
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.704%	(b)	10/15/26		750		742,829
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		750		738,075
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.371%	(b)	04/15/24		1,500		1,473,007
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.822%	(b)	05/15/26		250		249,117
Magnetite Ltd. (Cayman Islands), Series 2012-6A, Class A, 144A		1.741%	(b)	09/15/23		300		299,286
Magnetite Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.711%	(b)	04/15/26		1,750		1,735,491
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.700%	(b)	07/25/26		3,000		2,965,031
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.685%	(b)	01/18/27		500		494,517
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A		1.702%	(b)	05/18/23		500		498,156
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A		0.483%	(b)	02/22/20		1		1,428
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.382%	(b)	07/22/25		1,000		980,862
Seneca Park CLO Ltd. (Cayman Islands), Series 2014- 1A, Class A, 144A		1.704%	(b)	07/17/26		500		498,631
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		503,092
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.281%	(b)	04/15/25		2,600		2,545,177
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.882%	(b)	08/17/22		500		501,395
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.931%	(b)	10/20/23		900		903,586
THL Credit Wind River Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.863%	(b)	01/22/27		1,750		1,743,000
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.351%	(b)	07/15/25		2,200		2,155,467
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.731%	(b)	04/20/26		1,300		1,290,239
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		503,086

								35,010,919

Non-Residential Mortgage-Backed Securities — 0.5%
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.961%	(b)	05/15/20		2,700		2,715,204
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A		2.260%		11/15/25		1,500		1,508,007
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A		2.310%		04/15/26		2,400		2,406,182
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		954		949,045
Synchrony Credit Card Master Note Trust, Series 2012-4, Class B		1.011%	(b)	06/15/18		4,500		4,501,453

								12,079,891

Residential Mortgage-Backed Securities — 0.3%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.820%	(b)	03/25/33		307		290,592
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		4.123%	(b)	07/25/35		375		363,840
CWABS, Inc., Series 2004-1, Class M1		0.920%	(b)	03/25/34		2,703		2,577,328
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		5.037%	(b)	07/25/34		460		440,198
Fremont Home Loan Trust, Series 2004-2, Class M1		1.025%	(b)	07/25/34		506		454,965
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.965%	(b)	06/25/34		657		633,573
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.370%	(b)	05/25/33		160		150,460
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.220%	(b)	12/25/33		920		888,743
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.070%	(b)	07/25/32		403		385,953

SEE NOTES TO FINANCIAL STATEMENTS.

A11


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.445%	(b)	09/25/32		609	$	599,946
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.935%	(b)	02/25/34		1,006		944,391

								7,729,989

TOTAL ASSET-BACKED SECURITIES (cost $54,784,572)								55,205,116

BANK LOANS(b) — 0.3%
Automotive
Schaeffler AG (Germany)		4.250%		05/15/20		600		597,000

Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/07/20		1,000		981,250

Foods — 0.1%
ARAMARK Corp.		3.250%		09/07/19		437		429,589
Big Heart Pet Brands, Inc.		3.500%		03/09/20		767		733,973

								1,163,562

Healthcare & Pharmaceutical — 0.1%
Biomet, Inc.		3.733%		07/25/17		750		745,625
Grifols Worldwide Operations USA, Inc.		3.255%		02/26/21		248		244,403
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		875		872,045

								1,862,073

Technology — 0.1%
Avago Technologies Finance Pte Ltd.		3.750%		05/06/21		821		816,428
First Data Corp.		3.755%		03/26/18		1,055		1,031,773
Trans Union LLC		4.000%		04/09/21		397		390,549

								2,238,750

TOTAL BANK LOANS (cost $6,897,918)								6,842,635

COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6%
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,400		3,449,960
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.561%	(b)	04/10/49		3,016		3,226,564
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.710%	(b)	12/10/49		800		867,508
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		900		888,991
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,090		2,174,981
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		918		967,339
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		971,095
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		1,400		1,401,816
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2		2.928%		02/10/47		2,000		2,058,624
Commercial Mortgage Pass-Through Certificates, Series 2014-CR18, Class A4		3.550%		07/15/47		2,100		2,174,592
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class A4		3.648%		10/10/47		5,000		5,221,290
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3, Class A2		2.844%		06/10/47		1,700		1,748,768
Commercial Mortgage Trust, Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		1,400		1,415,141
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		3,500		3,576,307
Commercial Mortgage Trust, Series 2007-GG9, Class A2		5.381%		03/10/39		1,116		1,119,335
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.467%	(b)	02/15/39		2,810		2,890,984
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(b)	02/15/39		530		551,289
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4		4.832%		04/15/37		769		770,523

SEE NOTES TO FINANCIAL STATEMENTS.

A12


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		1,925	$	2,051,831
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500		3,606,148
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		1,000		995,267
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(b)	05/25/22		20,995		1,808,434
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(b)	06/25/22		5,797		515,611
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%	(b)	02/25/23		5,300		5,578,685
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		1,800		1,921,869
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(b)	08/25/16		4,986		94,192
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(b)	05/25/19		16,694		1,103,917
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(b)	07/25/19		17,278		1,108,915
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,100		1,127,734
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3		4.697%		07/15/42		1		1,290
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM		4.780%		07/15/42		1,000		1,007,794
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,170		1,193,473
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		572		585,616
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2		5.772%	(b)	06/15/49		29		29,043
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,691		1,748,467
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,500		1,470,684
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,200		3,189,360
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		1,700		1,761,999
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,100		1,075,330
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5		4.739%		07/15/30		352		353,717
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,390		1,433,656
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.677%	(b)	05/12/39		780		818,919
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.517%	(b)	02/12/39		440		458,237
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		5.869%	(b)	06/12/46		2,137		2,242,343
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,732		1,753,154
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,200		1,190,281
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4		5.656%	(b)	10/15/42		2,136		2,194,672
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		1,698		1,708,543
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB		5.651%	(b)	06/11/42		234		234,210
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,400		1,386,020
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,200		3,199,235
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,500		1,503,116
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4		5.723%	(b)	05/15/43		3,075		3,189,474
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		4,211		4,483,641

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $93,325,081)								93,599,984

SEE NOTES TO FINANCIAL STATEMENTS.

A13


CORPORATE BONDS — 8.8%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines — 0.1%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		103	$	106,250
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1(d)		6.703%		06/15/21		124		134,321
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		562		648,674
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A(a)		4.750%		01/12/21		610		649,530
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%		10/29/24		383		389,184
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		315		364,844
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		471		504,396
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		776		844,004

								3,641,203

Automotive — 0.2%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.207%		04/15/16		1,890		1,956,235
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,065		1,272,249
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		380		389,369
Jaguar Land Rover Automotive Plc (United Kingdom), Gtd. Notes, 144A		4.250%		11/15/19		535		539,012
Johnson Controls, Inc., Sr. Unsec’d. Notes		5.500%		01/15/16		235		246,098

								4,402,963

Banking — 2.6%
American Express Co., Jr. Sub. Notes(a)		5.200%	(b)	12/31/49		475		482,406
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A		3.875%		09/20/22		530		524,426
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	12/29/49		2,100		2,254,875
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,290		1,494,384
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,330		1,466,528
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		360		360,028
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.000%		04/01/24		745		775,713
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a)		4.125%		01/22/24		2,740		2,877,425
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.500%		04/01/15		185		186,738
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.650%		05/01/18		105		116,652
Bank of America NA, Sub. Notes		5.300%		03/15/17		850		913,040
Bank of America NA, Sub. Notes		6.000%		10/15/36		805		1,008,312
Bank of Nova Scotia (Canada), Covered Bonds, 144A		1.650%		10/29/15		1,265		1,275,975
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		5.300%		10/30/15		550		570,160
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		6.400%		10/02/17		270		302,376
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes		7.250%		02/01/18		1,135		1,308,144
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,170		2,216,870
Citigroup, Inc., Sr. Unsec’d. Notes(a)		3.875%		10/25/23		1,730		1,798,165
Citigroup, Inc., Sr. Unsec’d. Notes(a)		4.500%		01/14/22		1,125		1,229,353
Citigroup, Inc., Sr. Unsec’d. Notes		6.875%		03/05/38		36		49,048
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		850		1,301,294
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,195		1,489,050
Citigroup, Inc., Sub. Notes		6.125%		08/25/36		725		864,251
Compass Bank, Sr. Unsec’d. Notes		1.850%		09/29/17		1,050		1,045,522
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		595		616,776
Discover Bank, Sub. Notes		7.000%		04/15/20		485		571,593
Discover Financial Services, Sr. Unsec’d. Notes		3.850%		11/21/22		900		915,662
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.250%		07/27/21		2,305		2,601,566
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		5.750%		01/24/22		1,250		1,445,984
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		220		278,112
Goldman Sachs Group, Inc. (The), Sub. Notes		5.625%		01/15/17		765		820,537
Goldman Sachs Group, Inc. (The), Sub. Notes(a)		6.750%		10/01/37		1,100		1,383,112

SEE NOTES TO FINANCIAL STATEMENTS.

A14


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		4.875%		01/14/22		1,230	$	1,371,018
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes		5.100%		04/05/21		920		1,039,966
Huntington Bancshares, Inc., Sub. Notes(a)		7.000%		12/15/20		150		180,530
Intesa Sanpaolo SpA (Italy), Gtd. Notes		3.125%		01/15/16		1,145		1,163,097
JPMorgan Chase & Co., Jr. Sub. Notes(a)		6.100%	(b)	12/31/49		1,175		1,172,062
JPMorgan Chase & Co., Jr. Sub. Notes		7.900%	(b)	04/29/49		2,000		2,152,600
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		1,660		1,784,666
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		185		215,137
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A		5.800%		01/13/20		1,770		2,045,315
Morgan Stanley, Jr. Sub. Notes(a)		5.450%	(b)	12/31/49		640		641,152
Morgan Stanley, Sr. Unsec’d. Notes(a)		6.375%		07/24/42		640		849,942
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.450%		01/09/17		1,530		1,642,782
Morgan Stanley, Sr. Unsec’d. Notes, MTN		5.500%		07/28/21		1,535		1,742,042
Morgan Stanley, Sr. Unsec’d. Notes, MTN(a)		5.625%		09/23/19		2,110		2,381,755
Morgan Stanley, Sr. Unsec’d. Notes, MTN		6.625%		04/01/18		100		113,904
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes		6.346%	(b)	07/29/49		800		852,130
Northern Trust Corp., Sub. Notes		3.950%		10/30/25		750		780,568
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,195		1,204,662
PNC Bank NA, Sub. Notes		3.800%		07/25/23		480		494,783
PNC Funding Corp., Gtd. Notes		6.700%		06/10/19		390		461,771
Royal Bank of Canada (Canada), Covered Bonds(a)		2.200%		09/23/19		2,240		2,256,397
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		780		789,349
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes		2.450%		01/10/19		925		929,187
US Bancorp, Sub. Notes, MTN		2.950%		07/15/22		915		901,983
Wells Fargo & Co., Sub. Notes, MTN(a)		4.650%		11/04/44		910		938,994
Westpac Banking Corp. (Australia), Covered Bonds, 144A		2.000%		05/21/19		4,105		4,090,238

								66,740,107

Brokerage — 0.1%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		465		474,338
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		5.250%		02/06/12		1,850		270,562
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e)		6.875%		05/02/18		700		104,125
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		680		685,486

								1,534,511

Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $635,000; purchased 10/27/14)(c)(d)		5.375%		11/15/24		635		633,412
D.R. Horton, Inc., Gtd. Notes(a)		3.625%		02/15/18		375		379,688
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $530,000; purchased 06/19/14)(c)(d)		5.250%		06/27/29		530		463,485

								1,476,585

Cable — 0.3%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%		09/15/17		900		1,001,250
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(a)		7.250%		10/30/17		1,150		1,196,575
Comcast Cable Holdings LLC, Gtd. Notes		9.875%		06/15/22		1,440		1,991,748
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%		03/01/16		605		620,781
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.550%		03/15/15		165		165,979
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes(a)		5.150%		03/15/42		520		537,347
Time Warner Cable, Inc., Gtd. Notes		5.850%		05/01/17		1,240		1,353,521
Videotron Ltd. (Canada), Gtd. Notes		5.000%		07/15/22		850		864,875

								7,732,076

Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%		06/15/22		1,040		1,079,000
Case New Holland Industrial, Inc., Gtd. Notes		7.875%		12/01/17		1,100		1,210,000
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,195,904; purchased 10/10/07)(c)(d)		6.375%		10/15/17		1,198		1,345,117

SEE NOTES TO FINANCIAL STATEMENTS.

A15


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $386,623; purchased 10/10/07)(c)(d)		7.000%		10/15/37		390	$	525,569
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		180		186,338
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		260		285,798
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $419,593; purchased 05/08/12)(c)(d)		3.125%		05/11/15		420		423,402
SPX Corp., Gtd. Notes(a)		6.875%		09/01/17		810		884,925
United Rentals North America, Inc., Gtd. Notes		7.375%		05/15/20		725		783,000
Xylem, Inc., Sr. Unsec’d. Notes		4.875%		10/01/21		1,060		1,145,161

								7,868,310

Chemicals — 0.2%
CF Industries, Inc., Gtd. Notes(a)		5.375%		03/15/44		445		480,108
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%		10/01/44		5		5,063
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%		05/15/39		30		48,676
Koppers, Inc., Gtd. Notes		7.875%		12/01/19		1,050		1,077,563
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%		04/15/19		800		872,611
Monsanto Co., Sr. Unsec’d. Notes		4.200%		07/15/34		150		156,300
Monsanto Co., Sr. Unsec’d. Notes		4.400%		07/15/44		180		186,758
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%		11/15/33		265		299,823
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%		11/15/43		860		985,573
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%		06/01/25		500		647,178

								4,759,653

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%		04/15/18		1,600		1,804,254

Electric — 0.5%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%		08/01/16		170		184,113
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes(a)		6.350%		10/01/36		530		723,542
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%		04/01/36		340		427,153
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2		6.950%		03/15/33		300		418,793
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%		12/01/39		145		174,046
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes(a)		4.800%		11/01/43		45		48,495
Duke Energy Carolinas LLC, First Mortgage		6.050%		04/15/38		530		689,179
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		6.750%		11/01/19		345		351,038
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		7.375%		11/01/22		255		259,463
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%		05/15/35		845		1,058,997
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%		08/01/15		1,160		1,206,610
Exelon Corp., Sr. Unsec’d. Notes		4.900%		06/15/15		195		198,487
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(a)		6.250%		10/01/39		1,375		1,651,473
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		265		285,634
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		380		501,182
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		140		173,689
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		545		602,769
Northeast Utilities, Sr. Unsec’d. Notes		4.500%		11/15/19		605		657,962
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes		6.375%		01/15/15		465		465,668
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		135		158,876
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN		5.800%		05/01/37		515		666,681
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		535,392
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		263		287,020

								11,726,262

Energy – Integrated
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		650		704,150

Energy – Other — 0.2%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		1,000		379,274
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		305		366,517
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		225		262,879
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		890		836,192

SEE NOTES TO FINANCIAL STATEMENTS.

A16


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Newfield Exploration Co., Sr. Sub. Notes(a)		6.875%	02/01/20		225	$	228,375
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%	01/26/19		350		301,525
Phillips 66, Gtd. Notes		2.950%	05/01/17		415		428,605
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%	05/01/18		1,450		1,623,166
Transocean, Inc., Gtd. Notes		2.500%	10/15/17		510		450,863
Weatherford International Ltd., Gtd. Notes		5.125%	09/15/20		685		672,984

							5,550,380

Foods — 0.2%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%	11/15/39		1,160		1,774,110
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%	06/15/19		860		1,053,964
Constellation Brands, Inc., Gtd. Notes		4.750%	11/15/24		925		936,563
Delhaize Group SA (Belgium), Gtd. Notes		6.500%	06/15/17		460		507,447
Tyson Foods, Inc., Gtd. Notes		6.600%	04/01/16		785		836,813

							5,108,897

Gaming
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a)		4.875%	11/01/20		800		810,000

Healthcare & Pharmaceutical — 0.7%
Actavis Funding SCS, Gtd. Notes		4.850%	06/15/44		445		451,558
Actavis, Inc., Gtd. Notes		6.125%	08/15/19		440		499,066
Amgen, Inc., Sr. Unsec’d. Notes		5.150%	11/15/41		1,365		1,538,560
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes		6.450%	09/15/37		480		646,799
Bayer US Finance LLC (Germany), Gtd. Notes, 144A		3.375%	10/08/24		390		396,853
Becton Dickinson & Co., Sr. Unsec’d. Notes		3.734%	12/15/24		805		828,808
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)		5.125%	08/15/18		900		931,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%	10/15/20		535		537,675
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%	02/01/25		1,145		1,175,228
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%	12/01/41		140		173,345
HCA, Inc., Sr. Sec’d. Notes(a)		4.250%	10/15/19		445		451,675
HCA, Inc., Sr. Sec’d. Notes(a)		5.000%	03/15/24		900		924,750
HCA, Inc., Sr. Sec’d. Notes(a)		5.250%	04/15/25		350		365,750
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)		3.750%	08/23/22		150		153,462
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%	12/15/15		560		582,550
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%	03/15/25		2,515		2,572,770
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%	03/15/35		1,065		1,129,812
Mylan, Inc., Gtd. Notes		1.800%	06/24/16		355		357,141
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%	05/06/44		1,010		1,131,848
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A		2.875%	09/29/21		4,385		4,439,786
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%	02/01/43		90		91,600

							19,380,536

Healthcare Insurance — 0.2%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%	06/15/36		480		639,714
Anthem, Inc., Sr. Unsec’d. Notes		4.625%	05/15/42		330		346,288
Anthem, Inc., Sr. Unsec’d. Notes		4.650%	01/15/43		260		270,598
Cigna Corp., Sr. Unsec’d. Notes		5.875%	03/15/41		540		672,300
Cigna Corp., Sr. Unsec’d. Notes		6.150%	11/15/36		640		797,692
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%	06/15/17		115		127,510
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%	06/15/37		400		535,993
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%	11/15/37		410		559,951

							3,950,046

Insurance — 0.8%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%	11/15/20		480		535,401
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%	06/15/43		125		137,919
American International Group, Inc., Sr. Unsec’d. Notes		4.500%	07/16/44		670		707,862
American International Group, Inc., Sr. Unsec’d. Notes		6.400%	12/15/20		910		1,085,148
Axis Specialty Finance LLC, Gtd. Notes(a)		5.875%	06/01/20		990		1,121,452

SEE NOTES TO FINANCIAL STATEMENTS.

A17


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Chubb Corp. (The), Jr. Sub. Notes		6.375%	(b)	03/29/67		1,260	$	1,350,783
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		375		390,469
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes		5.125%		04/15/22		635		713,796
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		215		262,909
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		910		1,156,020
Lincoln National Corp., Jr. Sub. Notes		6.050%	(b)	04/20/67		250		250,000
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		476		603,920
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		660		915,308
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		505		631,013
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		165		175,213
MetLife, Inc., Sr. Unsec’d. Notes(a)		5.700%		06/15/35		960		1,196,340
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		85		113,266
MetLife, Inc., Sr. Unsec’d. Notes		6.750%		06/01/16		270		291,086
New York Life Insurance Co., Sub. Notes, 144A(a)		6.750%		11/15/39		650		904,723
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)		5.100%	(b)	10/16/44		1,505		1,572,725
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		350		452,417
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		640		734,780
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		695		1,093,237
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		105		110,215
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(b)	06/15/37		715		773,451
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,430		1,953,135
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		315		354,704
W.R. Berkley Corp., Sr. Unsec’d. Notes		5.600%		05/15/15		705		717,335
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		575		648,978

								20,953,605

Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		955		1,024,238
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		490		502,999
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		805		808,234
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)		6.750%		05/15/18		2,700		3,073,302
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.500%		03/01/18		405		404,308

								5,813,081

Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		250		313,327
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		35		47,449
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,265		1,677,333
CBS Corp., Gtd. Notes (original cost $120,159; purchased 07/16/12)(c)(d)		4.850%		07/01/42		115		116,553
DISH DBS Corp., Gtd. Notes(a)		7.125%		02/01/16		850		893,563
Historic TW, Inc., Gtd. Notes		9.150%		02/01/23		625		850,066
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS		6.375%		07/28/17		750		817,500
Time Warner, Inc., Gtd. Notes		6.200%		03/15/40		175		213,047
Time Warner, Inc., Gtd. Notes		6.250%		03/29/41		495		614,661
Time Warner, Inc., Gtd. Notes		7.625%		04/15/31		75		104,560
Viacom, Inc., Sr. Unsec’d. Notes (original cost $44,077; purchased 07/25/13)(c)(d)		4.500%		02/27/42		50		48,746
Viacom, Inc., Sr. Unsec’d. Notes (original cost $141,597; purchased 02/11/14)(c)(d)		4.875%		06/15/43		150		146,597
Viacom, Inc., Sr. Unsec’d. Notes (original cost $322,897; purchased 08/12/13)(c)(d)		5.850%		09/01/43		325		361,423

								6,204,825

Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes(a)		5.000%		09/30/43		700		793,465
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A		2.050%		10/23/15		905		910,889
Newmont Mining Corp., Gtd. Notes		6.250%		10/01/39		15		15,215
Southern Copper Corp., Sr. Unsec’d. Notes		7.500%		07/27/35		370		416,247

								2,135,816

Non-Captive Finance — 0.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A		3.750%		05/15/19		600		594,000

SEE NOTES TO FINANCIAL STATEMENTS.

A18


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance (continued)
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a)		5.875%	01/14/38		580	$	733,909
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN		6.000%	08/07/19		3,010		3,501,151
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN		6.875%	01/10/39		1,085		1,534,740
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%	05/15/16		230		238,625
Navient Corp., Sr. Unsec’d. Notes, MTN		8.450%	06/15/18		295		328,925

							6,931,350

Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes		4.500%	01/15/23		1,000		970,000

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $273,386; purchased 10/27/10)(c)(d)		5.400%	11/01/20		275		309,441
International Paper Co., Sr. Unsec’d. Notes		6.000%	11/15/41		1,270		1,486,827
International Paper Co., Sr. Unsec’d. Notes		7.950%	06/15/18		460		542,300
Rock-Tenn Co., Gtd. Notes		4.900%	03/01/22		675		725,078

							3,063,646

Pipelines & Other — 0.1%
Energy Transfer Partners LP, Sr. Unsec’d. Notes		4.650%	06/01/21		610		637,655
Enterprise Products Operating LLC, Gtd. Notes		3.750%	02/15/25		1,055		1,059,017
Kinder Morgan Energy Partners LP, Gtd. Notes		5.950%	02/15/18		530		585,122
NiSource Finance Corp., Gtd. Notes		5.450%	09/15/20		500		562,656
ONEOK Partners LP, Gtd. Notes		6.650%	10/01/36		130		149,614
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A		4.125%	11/15/19		650		625,625

							3,619,689

Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		3.450%	09/15/21		1,180		1,231,325
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		735		931,124
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		690		892,445
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		120		142,645

							3,197,539

Real Estate Investment Trusts — 0.2%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		685		809,984
Prologis LP, Gtd. Notes		6.875%	03/15/20		68		79,873
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		235		241,992
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		190		195,591
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		2,925		3,328,922

							4,656,362

Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes		5.300%	12/05/43		170		203,222
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%	03/15/45		565		617,498
L Brands, Inc., Gtd. Notes(a)		5.625%	02/15/22		1,300		1,397,500
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		345		437,089
Macy’s Retail Holdings, Inc., Gtd. Notes(a)		3.875%	01/15/22		300		311,811
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		265		275,116

							3,242,236

Technology — 0.1%
Arrow Electronics, Inc., Sr. Unsec’d. Notes		3.375%	11/01/15		370		376,670
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		700		749,470
Seagate HDD Cayman, Gtd. Notes, 144A		3.750%	11/15/18		455		466,944

							1,593,084

Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		400		473,284
AT&T Corp., Gtd. Notes		8.000%	11/15/31		18		26,523
AT&T, Inc., Sr. Unsec’d. Notes(a)		4.800%	06/15/44		400		407,582

SEE NOTES TO FINANCIAL STATEMENTS.

A19


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Telecommunications (continued)
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		1,133	$	1,226,836
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		350		549,518
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(c)(d)		7.082%	06/01/16		325		350,225
Embarq Corp., Sr. Unsec’d. Notes (original cost $364,974; purchased 05/12/06)(c)(d)		7.995%	06/01/36		365		407,888
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		950		993,724
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,220		1,198,649
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.400%	02/15/38		55		67,862
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		6.400%	09/15/33		701		863,480
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		6.550%	09/15/43		1,935		2,479,023
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		4.862%	08/21/46		1,053		1,081,670
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		5.012%	08/21/54		2,349		2,430,156

							12,556,420

Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes		4.000%	01/31/24		1,585		1,652,491
Altria Group, Inc., Gtd. Notes		9.700%	11/10/18		354		449,512
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		42		71,847
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		274		477,073
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		1,680		1,670,587
Lorillard Tobacco Co., Gtd. Notes		8.125%	06/23/19		290		351,575

							4,673,085

TOTAL CORPORATE BONDS (cost $208,640,435)							226,800,671

MUNICIPAL BONDS — 0.6%
California — 0.2%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,305		1,841,524
State of California, GO, BABs		7.300%	10/01/39		1,250		1,834,175
State of California, GO, BABs		7.500%	04/01/34		350		523,775
State of California, GO, BABs		7.550%	04/01/39		245		377,653
State of California, GO, BABs		7.625%	03/01/40		205		314,665

							4,891,792

Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		565		785,599

Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		970		1,312,216
State of Illinois, GO, Taxable Series		4.421%	01/01/15		630		630,000

							1,942,216

New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,000		1,507,980

New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,100		1,378,498

Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		415		506,599
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		275		308,651

							815,250

Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		425		551,599

Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		505		623,190

SEE NOTES TO FINANCIAL STATEMENTS.

A20


MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Tennessee — 0.1%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		945	$	1,270,458

Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%		04/01/26		305		355,542

TOTAL MUNICIPAL BONDS (cost $10,635,438)								14,122,124

NON-CORPORATE FOREIGN AGENCIES — 0.8%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		1,300		1,325,419
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%		01/15/24		490		512,050
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%		06/29/20		365		411,348
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%		04/23/19		695		708,553
International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d. Notes(a)		2.250%		06/24/21		3,295		3,321,854
KFW (Germany), Gov’t. Gtd. Notes, MTN(a)		2.750%		10/01/20		2,645		2,762,808
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%		05/23/18		2,634		2,604,947
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%		05/20/16		1,400		1,337,210
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%		01/30/23		795		760,417
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%		01/18/24		425		441,575
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%		01/21/21		2,240		2,424,800
Petroleos Mexicanos (Mexico), Gtd. Notes		6.625%		06/15/35		513		592,515
Petroleos Mexicanos (Mexico), Gtd. Notes		8.625%		12/01/23		350		433,650
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%		05/15/17		760		671,840
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%		04/10/17		1,235		1,229,109
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%		05/07/19		500		502,101

TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $20,204,225)								20,040,196

NON-CORPORATE SOVEREIGNS — 0.4%
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes		4.250%		01/07/25		970		970,000
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		1,120		1,145,200
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.000%		03/25/19		442		454,155
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a)		5.875%		03/13/20		870		963,525
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		6.875%		01/17/18		845		954,850
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		3.625%		03/15/22		600		612,900
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		846		881,955
Panama Government International Bond (Panama), Sr. Unsec’d. Notes		4.000%		09/22/24		395		405,863
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(a)		5.200%		01/30/20		475		523,688
Province of British Columbia (Canada), Sr. Unsec’d. Notes		2.000%		10/23/22		1,975		1,931,921
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%		01/22/24		140		152,600
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A(a)		4.125%		02/18/19		200		209,504
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%		06/05/20		610		709,276

TOTAL NON-CORPORATE SOVEREIGNS (cost $9,552,987)								9,915,437

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.4%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		349		356,882
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,547		1,309,549
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.720%	(b)	02/25/35		355		343,226
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		2.656%	(b)	03/25/35		404		366,067
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.535%	(b)	02/25/37		782		761,069
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1		2.105%		11/25/24		3,893		3,897,236

SEE NOTES TO FINANCIAL STATEMENTS.

A21


RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M1		1.570%		10/25/24		922	$	921,902
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.489%	(b)	07/25/35		426		428,627
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		86		87,421
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.573%	(b)	02/25/34		473		471,925
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		233		233,993

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $9,456,281)								9,177,897

U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.9%
Federal Home Loan Banks		0.375%		08/28/15		375		375,325
Federal Home Loan Banks(g)		5.500%		07/15/36		950		1,302,855
Federal Home Loan Mortgage Corp.		0.750%		01/12/18		455		448,470
Federal Home Loan Mortgage Corp.		2.125%	(b)	06/01/36		299		319,261
Federal Home Loan Mortgage Corp.		2.348%	(b)	12/01/35		350		373,456
Federal Home Loan Mortgage Corp.(a)		2.375%		01/13/22		4,140		4,182,617
Federal Home Loan Mortgage Corp.		2.500%		TBA		1,000		1,017,078
Federal Home Loan Mortgage Corp.		3.000%		10/01/28-01/01/43		4,221		4,356,438
Federal Home Loan Mortgage Corp.		3.000%		TBA		2,000		2,015,234
Federal Home Loan Mortgage Corp.		3.500%		TBA		500		527,813
Federal Home Loan Mortgage Corp.		3.500%		TBA		7,500		7,779,492
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		4,422		4,727,730
Federal Home Loan Mortgage Corp.		4.000%		TBA		4,500		4,784,678
Federal Home Loan Mortgage Corp.		4.500%		02/01/19-10/01/41		12,162		13,170,749
Federal Home Loan Mortgage Corp.		5.000%		07/01/18-05/01/39		3,854		4,193,480
Federal Home Loan Mortgage Corp.		5.500%		12/01/33-07/01/38		3,451		3,860,022
Federal Home Loan Mortgage Corp.		6.000%		03/01/32-08/01/39		1,360		1,549,496
Federal Home Loan Mortgage Corp.		6.500%		09/01/16		2		2,182
Federal Home Loan Mortgage Corp.		7.000%		05/01/31-10/01/31		331		377,922
Federal National Mortgage Assoc.		1.750%		06/20/19		1,180		1,185,815
Federal National Mortgage Assoc.(a)		1.750%		11/26/19		1,345		1,345,807
Federal National Mortgage Assoc.		1.784%	(b)	07/01/33		432		455,393
Federal National Mortgage Assoc.		1.809%	(b)	06/01/37		74		74,864
Federal National Mortgage Assoc.		1.875%		02/19/19		175		177,655
Federal National Mortgage Assoc.		1.917%	(b)	07/01/37		585		622,757
Federal National Mortgage Assoc.		2.500%		01/01/28		1,736		1,770,988
Federal National Mortgage Assoc.		2.500%		TBA		6,000		6,097,032
Federal National Mortgage Assoc.		2.625%		09/06/24		2,110		2,136,841
Federal National Mortgage Assoc.		3.000%		TBA		10,500		10,913,848
Federal National Mortgage Assoc.		3.000%		TBA		20,500		20,685,382
Federal National Mortgage Assoc.		3.500%		TBA		500		528,203
Federal National Mortgage Assoc.		3.500%		06/01/39-03/01/43		18,107		18,915,738
Federal National Mortgage Assoc.		3.500%		TBA		7,500		7,818,165
Federal National Mortgage Assoc.		4.000%		TBA		11,000		11,739,793
Federal National Mortgage Assoc.		4.000%		TBA		7,000		7,451,637
Federal National Mortgage Assoc.		4.500%		11/01/18-03/01/41		8,784		9,574,319
Federal National Mortgage Assoc.		4.500%		TBA		4,000		4,341,875
Federal National Mortgage Assoc.		4.500%		TBA		3,000		3,250,781
Federal National Mortgage Assoc.		5.000%		10/01/18-05/01/36		2,767		3,052,110
Federal National Mortgage Assoc.		5.000%		TBA		3,500		3,866,885
Federal National Mortgage Assoc.		5.500%		03/01/16-04/01/37		5,158		5,776,375
Federal National Mortgage Assoc.		6.000%		09/01/17-06/01/38		5,835		6,645,360
Federal National Mortgage Assoc.		6.500%		07/01/17-01/01/37		2,190		2,501,440
Federal National Mortgage Assoc.		7.000%		02/01/32-07/01/32		229		265,677
Federal National Mortgage Assoc.		7.500%		05/01/32		42		44,031
Government National Mortgage Assoc.		3.000%		TBA		2,000		2,045,250
Government National Mortgage Assoc.		3.000%		TBA		2,000		2,045,250
Government National Mortgage Assoc.		3.500%		TBA		500		524,844

SEE NOTES TO FINANCIAL STATEMENTS.

A22


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Government National Mortgage Assoc.		3.500%		TBA		10,500	$	11,021,719
Government National Mortgage Assoc.		3.500%		05/20/43		1,000		1,051,178
Government National Mortgage Assoc.		4.000%		06/15/40-05/20/41		496		533,112
Government National Mortgage Assoc.		4.000%		TBA		10,500		11,257,846
Government National Mortgage Assoc.		4.500%		TBA		1,000		1,092,617
Government National Mortgage Assoc.		4.500%		01/20/41-03/20/41		5,362		5,886,278
Government National Mortgage Assoc.		5.500%		08/15/33-04/15/36		2,551		2,873,780
Government National Mortgage Assoc.		6.000%		11/15/23-07/15/34		938		1,079,467
Government National Mortgage Assoc.		6.500%		10/15/23-09/15/36		1,761		2,025,041
Government National Mortgage Assoc.		8.000%		01/15/24-07/15/24		26		29,009
Hashemite Kingdom of Jordan, USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		566		575,430
Tennessee Valley Authority, Sr. Unsec’d. Notes		5.880%		04/01/36		85		115,947
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.844%		05/16/19		1,230		1,238,303

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $224,225,269)								229,998,140

U.S. TREASURY OBLIGATIONS — 5.0%
U.S. Treasury Bonds		2.875%		05/15/43		1,175		1,201,804
U.S. Treasury Bonds		3.375%		05/15/44		3,470		3,906,460
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/19		17,977		17,779,147
U.S. Treasury Inflation Indexed Bonds, TIPS		1.375%		01/15/20		9,471		9,940,693
U.S. Treasury Notes		0.875%		07/31/19		4,980		4,825,540
U.S. Treasury Notes		1.000%		12/15/17-09/30/19		11,670		11,408,192
U.S. Treasury Notes		1.250%		11/30/18		6,845		6,796,873
U.S. Treasury Notes		1.375%		02/28/19		2,030		2,019,056
U.S. Treasury Notes(h)		1.500%		12/31/18		2,320		2,323,081
U.S. Treasury Notes		1.500%		01/31/19-10/31/19		47,835		47,748,451
U.S. Treasury Notes(a)		1.500%		11/30/19		3,045		3,025,731
U.S. Treasury Notes		1.625%		04/30/19-12/31/19		3,150		3,147,417
U.S. Treasury Notes		1.750%		05/15/23		1,560		1,518,928
U.S. Treasury Notes		2.875%		03/31/18		8,335		8,768,679
U.S. Treasury Notes		3.125%		05/15/19-05/15/21		2,105		2,245,954
U.S. Treasury Strips Principal(a)		3.470%	(f)	05/15/44		5,180		2,240,708

TOTAL U.S. TREASURY OBLIGATIONS (cost $127,465,366)								128,896,714

TOTAL LONG-TERM INVESTMENTS (cost $1,472,251,516)								2,281,790,955

SHORT-TERM INVESTMENTS — 19.1%

					Shares
AFFILIATED MUTUAL FUNDS — 18.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $99,814,390)(Note 4)(j)						10,420,082		97,323,569
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $386,939,168; includes $80,403,099 of cash collateral for securities on loan)(Note 4)(j)(k)						386,939,168		386,939,168

TOTAL AFFILIATED MUTUAL FUNDS (cost $486,753,558)								484,262,737


					Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bill(g) (cost $6,549,511)		0.046%	(i)	03/19/15		6,550		6,549,725

SEE NOTES TO FINANCIAL STATEMENTS.

A23


OPTIONS PURCHASED*				Notional Amount (000)#		Value (Note 2)
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38					42,000	$	32,813
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00					42,000		3,281

TOTAL OPTIONS PURCHASED (cost $59,806)							36,094

TOTAL SHORT-TERM INVESTMENTS (cost $493,362,875)							490,848,556

TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT & OPTION WRITTEN — 107.7% (cost $1,965,614,391)							2,772,639,511


	Interest Rate		Maturity Date	Principal Amount (000)#
SECURITY SOLD SHORT — (0.1)%
U.S. GOVERNMENT AGENCY OBLIGATION
Federal National Mortgage Assoc., (proceeds received $3,629,336)		3.500%	TBA		3,500		(3,639,044	)


				Notional Amount (000)#
OPTION WRITTEN*
Call Option
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63 (premiums received $38,632)					84,000		(13,125	)

TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT & OPTION WRITTEN — 107.6% (cost $1,961,946,423)							2,768,987,342
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (7.6)%							(194,632,116	)

NET ASSETS — 100.0%						$	2,574,355,226

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

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

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $78,183,937; cash collateral of $80,403,099 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2014.

(c)	Indicates a restricted security; the aggregate original cost of the restricted securities is $4,801,590. The aggregate value of $5,131,858 is approximately 0.2% of net assets.

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

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

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A24

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

Futures contracts outstanding at December 31, 2014:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
Long Positions:
430	2 Year U.S. Treasury Notes		Mar. 2015	$	94,000,860	$	93,995,312	$	(5,548	)
154	10 Year U.S. Treasury Notes		Mar. 2015		19,513,784		19,526,719		12,935
13	MSCI EAFE Mini Futures		Mar. 2015		1,132,071		1,142,635		10,564
865	S&P 500 E-Mini Futures		Mar. 2015		85,743,205		88,766,300		3,023,095
79	S&P 500 Index Futures		Mar. 2015		38,990,454		40,534,900		1,544,446
131	U.S. Ultra Bonds		Mar. 2015		20,998,889		21,639,562		640,673

									5,226,165

Short Positions:
116	5 Year U.S. Treasury Notes		Mar. 2015		13,844,601		13,795,844		48,757
73	U.S. Long Bonds		Mar. 2015		10,474,295		10,553,062		(78,767	)

									(30,010	)

								$	5,196,155

(1)	A U.S. Treasury obligation with a market value of $6,549,725 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency obligation with a market value of $699,427 has been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2014.

Interest rate swap agreements outstanding at December 31, 2014:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
	Over-the-counter swap agreements:
	2,634		05/17/18		0.989%	3 Month LIBOR(2)	$	33,052	$	—	$	33,052	Credit Suisse First Boston Corp.


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	1,945		06/30/16		0.618%	3 Month LIBOR(2)	$	155		$	973		$	818
	11,110		06/30/16		0.655%	3 Month LIBOR(2)		(849	)		(581	)		268
	3,220		06/30/16		0.655%	3 Month LIBOR(2)		158			(175	)		(333	)
	28,410		08/29/16		0.710%	3 Month LIBOR(2)		158			8,945			8,787
	21,970		05/31/19		1.730%	3 Month LIBOR(2)		1,708			22,081			20,373
	22,550		08/29/19		1.804%	3 Month LIBOR(1)		189			93,742			93,553
	7,270		10/31/21		2.152%	3 Month LIBOR(2)		194			(26,776	)		(26,970	)
	6,130		08/29/24		2.560%	3 Month LIBOR(2)		137			(159,687	)		(159,824	)

							$	1,850		$	(61,478	)	$	(63,328	)

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

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

Credit default swap agreements outstanding at December 31, 2014:


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2014(4)			Unrealized Appreciation (Depreciation)
Exchange-Traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.HY.22.V2		06/20/19		5.000%		6,930	$	(492,332	)	$	(472,106	)	$	20,226
CDX.NA.IG.22.V1		06/20/19		1.000%		41,000		(626,651	)		(739,551	)		(112,900	)
CDX.NA.IG.23.V1		12/20/19		1.000%		19,000		(302,121	)		(303,362	)		(1,241	)

							$	(1,421,104	)	$	(1,515,019	)	$	(93,915	)

SEE NOTES TO FINANCIAL STATEMENTS.

A25

Credit default swap agreements outstanding at December 31, 2014 (continued):



Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V6		12/20/16		5.000%		1,188	$	61,352	$	49,486	$	11,866	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V6		12/20/16		5.000%		3,088		159,514		132,523		26,991	Deutsche Bank AG
CDX.NA.HY.17.V6		12/20/16		5.000%		4,275		220,865		187,328		33,537	Deutsche Bank AG

							$	441,731	$	369,337		$72,394

A U.S. Treasury obligation with a market value of $1,652,191 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at December 31, 2014.

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

(1)

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

(2)

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

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

(4)

The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

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, 2014 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,397,364,979	$	87,786,489	$	—
Exchange Traded Fund		988,650		—		—
Preferred Stocks		531,600		520,323		—
Asset-Backed Securities
Collateralized Debt Obligation		—		384,317		—
Collateralized Loan Obligations		—		32,529,844		2,481,075
Non-Residential Mortgage-Backed Securities		—		12,079,891		—
Residential Mortgage-Backed Securities		—		7,729,989		—
Bank Loans		—		6,842,635		—
Commercial Mortgage-Backed Securities		—		93,599,984		—
Corporate Bonds		—		223,159,468		3,641,203
Municipal Bonds		—		14,122,124		—
Non-Corporate Foreign Agencies		—		20,040,196		—

SEE NOTES TO FINANCIAL STATEMENTS.

A26


	Level 1			Level 2			Level 3
Investments in Securities (continued)
Non-Corporate Sovereigns	$	—		$	9,915,437		$	—
Residential Mortgage-Backed Securities		—			9,177,897			—
U.S. Government Agency Obligations		—			229,998,140			—
U.S. Treasury Obligations		—			135,446,439			—
Affiliated Mutual Funds		484,262,737			—			—
Options Purchased		36,094			—			—
U.S. Government Agency Obligation Security Sold Short		—			(3,639,044	)		—
Option Written		(13,125	)		—			—
Other Financial Instruments*
Futures Contracts		5,196,155			—			—
Over-the-counter interest rate swaps		—			33,052			—
Exchange-traded interest rate swaps		—			(63,328	)		—
Exchange-traded credit default swaps		—			(93,915	)		—
Over-the-counter credit default swaps		—			441,731			—

Total	$	1,888,367,090		$	880,011,669		$	6,122,278

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

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


Affiliated Mutual Funds (including 3.1% of collateral for securities on loan)	18.8	%
U.S. Government Agency Obligations	8.9
U.S. Treasury Obligations	5.3
Oil, Gas & Consumable Fuels	4.0
Banks	3.8
Pharmaceuticals	3.7
Commercial Mortgage-Backed Securities	3.6
Technology Hardware, Storage & Peripherals	2.6
Banking	2.6
Insurance	2.4
Software	2.1
Media	2.0
IT Services	1.8
Internet Software & Services	1.8
Biotechnology	1.6
Chemicals	1.6
Real Estate Investment Trusts (REITs)	1.6
Aerospace & Defense	1.5
Food & Staples Retailing	1.4
Diversified Telecommunication Services	1.4
Collateralized Loan Obligations	1.3
Specialty Retail	1.3
Semiconductors & Semiconductor Equipment	1.3
Industrial Conglomerates	1.3
Capital Markets	1.3
Health Care Providers & Services	1.3
Health Care Equipment & Supplies	1.2
Beverages	1.2
Diversified Financial Services	1.2
Household Products	1.1
Electric Utilities	1.1
Tobacco	1.1
Food Products	1.0
Hotels, Restaurants & Leisure	1.0
Machinery	0.9
Communications Equipment	0.9


Healthcare & Pharmaceutical	0.8	%
Non-Corporate Foreign Agencies	0.8
Energy Equipment & Services	0.7
Multi-Utilities	0.7
Residential Mortgage-Backed Securities	0.7
Internet & Catalog Retail	0.6
Road & Rail	0.6
Municipal Bonds	0.6
Automobiles	0.5
Textiles, Apparel & Luxury Goods	0.5
Consumer Finance	0.5
Telecommunications	0.5
Non-Residential Mortgage-Backed Securities	0.5
Electric	0.5
Air Freight & Logistics	0.4
Multiline Retail	0.4
Airlines	0.4
Non-Corporate Sovereigns	0.4
Metals & Mining	0.4
Cable	0.3
Electrical Equipment	0.3
Capital Goods	0.3
Household Durables	0.3
Electronic Equipment, Instruments & Components	0.3
Non-Captive Finance	0.3
Commercial Services & Supplies	0.3
Foods	0.3
Auto Components	0.2
Media & Entertainment	0.2
Life Sciences Tools & Services	0.2
Lodging	0.2
Energy – Other	0.2
Automotive	0.2
Trading Companies & Distributors	0.2
Healthcare Insurance	0.2
Technology	0.2
Pipelines & Other	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A27


Industry table (cont.)
Construction & Engineering	0.1	%
Retailers	0.1
Railroads	0.1
Paper	0.1
Professional Services	0.1
Containers & Packaging	0.1
Real Estate Management & Development	0.1
Metals	0.1
Consumer	0.1
Paper & Forest Products	0.1
Leisure Products	0.1
Personal Products	0.1


Brokerage	0.1	%
Health Care Technology	0.1
Building Materials & Construction	0.1
Independent Power & Renewable Electricity Producers	0.1
Building Products	0.1
Construction Materials	0.1
Distributors	0.1

	107.7
Security Sold Short	(0.1	)
Liabilities in excess of other assets	(7.6	)

	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, 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, 2014 as presented in the Statement of Assets and Liabilities:


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Balance Sheet Location	Fair Value			Balance Sheet Location	Fair Value
Credit contracts	Premiums paid for swap agreements	$	369,337		—	$	—
Credit contracts	Due from/to broker — variation margin swaps		20,226	*	Due from/to broker — variation margin swaps		114,141	*
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		72,394		—		—
Equity Contracts	Due from/to broker — variation margin futures		4,578,105	*	—		—
Interest rate contracts	Due from/to broker — variation margin futures		702,365	*	Due from/to broker — variation margin futures		84,315	*
Interest rate contracts	Due from/to broker — variation margin swaps		123,799	*	Due from/to broker —variation margin swaps		187,127	*
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		33,052		—		—
Interest rate contracts	Unaffiliated investments		36,094		Option written outstanding, at value		13,125

Total		$	5,935,372			$	398,708

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2014 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written			Futures		Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—	$	(684,351	)	$	(684,351	)
Equity contracts		13,236		—			—			12,605,835		—			12,619,071
Interest rate contracts		—		(211,635	)		(74,983	)		149,183		292,479			155,044

	$	13,236	$	(211,635	)	$	(74,983	)	$	12,755,018	$	(391,872	)	$	12,089,764

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

SEE NOTES TO FINANCIAL STATEMENTS.

A28



Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased*		Options Written		Futures		Swaps		Total
Credit contracts	$	—	$	—	$	—	$	11,244	$	11,244
Equity contracts		—		—		1,972,196		—		1,972,196
Interest rate contracts		58,325		25,507		1,233,867		134,970		1,452,669

Total	$	58,325	$	25,507	$	3,206,063	$	146,214	$	3,436,109

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

For the year ended December 31, 2014, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased (Cost)	Options Written (Notional Amount in USD (000))	Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$323,375	$56,136	$199,358,384	$26,996,591


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))
$75,875	$49,704	$8,809

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

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


Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	94,404	$	—	$	—		$	94,404
Deutsche Bank AG		380,379		—		(518,142	)		—

	$	474,783

Counterparty

Gross amounts of
recognized liabilities(2)

Gross amounts
available for offset

Collateral
Pledged(3)

Net Amount

Credit Suisse First Boston Corp.

—

Deutsche Bank AG

—

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A29


		*CONSERVATIVE BALANCED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014


ASSETS
Investments at value, including securities on loan of $78,183,937:
Unaffiliated investments (cost $1,478,860,833)	$	2,288,376,774
Affiliated investments (cost $486,753,558)		484,262,737
Foreign currency, at value (cost $502,187)		495,000
Receivable for investments sold		113,491,435
Dividends and interest receivable		6,962,384
Premium paid for swap agreements		369,337
Tax reclaim receivable		252,957
Unrealized appreciation on over-the-counter swap agreements		105,446
Due from broker—variation margin futures		58,010
Receivable for Series shares sold		11,844
Prepaid expenses		18,360

Total Assets		2,894,404,284

LIABILITIES
Payable for investments purchased		231,133,318
Payable to broker for collateral for securities on loan		80,403,099
Securities sold short, at value (proceeds received $3,629,336)		3,639,044
Due to broker—variation margin futures		1,537,855
Management fee payable		1,204,527
Payable to custodian		1,103,005
Payable for Series shares repurchased		687,373
Accrued expenses and other liabilities		303,910
Due to broker—variation margin swaps		22,876
Options written outstanding, at value (premiums received $38,632)		13,125
Affiliated transfer agent fee payable		926

Total Liabilities		320,049,058

NET ASSETS	$	2,574,355,226

Net assets were comprised of:
Paid-in capital	$	1,436,989,603
Retained earnings		1,137,365,623

Net assets, December 31, 2014	$	2,574,355,226

Net asset value and redemption price per share $2,574,355,226 / 114,690,795 outstanding shares of beneficial interest	$	22.45

STATEMENT OF OPERATIONS

Year Ended December 31, 2014


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $529,667)	$	32,168,877
Interest income		22,736,691
Affiliated dividend income		1,773,351
Affiliated income from securities loaned, net		181,272

Total income		56,860,191

EXPENSES
Management fee		13,915,506
Custodian’s fees and expenses		444,000
Shareholders’ reports		200,000
Audit fee		44,000
Insurance expenses		34,000
Trustees’ fees		30,000
Legal fees and expenses		16,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		4,000
Miscellaneous		48,873

Total expenses		14,748,379

NET INVESTMENT INCOME		42,111,812

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		108,285,865
Futures transactions		12,755,018
Options written transactions		(74,983	)
Swap agreement transactions		(391,872	)
Foreign currency transactions		(85,034	)

		120,488,994

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated $307,770)		47,128,881
Futures		3,206,063
Securities sold short		(1,231	)
Options written		25,507
Swap agreements		146,214
Foreign currencies		(48,845	)

		50,456,589

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		170,945,583

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	213,057,395

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	42,111,812		$	44,219,234
Net realized gain on investment and foreign currency transactions		120,488,994			99,020,902
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		50,456,589			214,601,177

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		213,057,395			357,841,313

SERIES SHARE TRANSACTIONS
Series shares sold [657,128 and 937,002 shares, respectively]		14,068,708			18,092,234
Series shares repurchased [7,335,062 and 8,251,336 shares, respectively]		(157,169,187	)		(158,563,701	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(143,100,479	)		(140,471,467	)

TOTAL INCREASE		69,956,916			217,369,846
NET ASSETS:
Beginning of year		2,504,398,310			2,287,028,464

End of year	$	2,574,355,226		$	2,504,398,310

SEE NOTES TO FINANCIAL STATEMENTS.

A30


LONG-TERM INVESTMENTS — 84.8% ASSET-BACKED SECURITIES — 10.5%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 4.5%
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.684%	(a)	07/15/26		500	$	494,914
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.411%	(a)	04/20/25		3,300		3,244,119
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500		483,052
Anchorage Capital CLO Ltd., Series 2014-5A, 144A		1.833%	(a)	10/15/26		1,750		1,744,214
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.632%	(a)	10/22/25		1,300		1,286,681
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.800%	(a)	10/17/26		2,750		2,740,481
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.431%	(a)	07/15/24		900		884,537
Benefit Street Partners CLO V Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A		1.600%	(a)	10/20/26		1,250		1,245,749
Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A		0.517%	(a)	06/20/17		852		850,531
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.711%	(a)	01/15/26		700		694,752
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.378%	(a)	04/17/25		2,600		2,553,268
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A		1.694%	(a)	07/27/26		250		249,048
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A		1.685%	(a)	07/15/26		1,500		1,484,483
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.701%	(a)	01/20/26		2,500		2,479,109
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.628%	(a)	01/17/26		1,250		1,236,436
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.482%	(a)	07/22/20		654		650,656
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.711%	(a)	03/15/20		1,500		1,493,694
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.370%	(a)	04/15/24		4,200		4,124,420
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A		1.781%	(a)	07/15/26		250		248,623
Magnetite VIII Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.700%	(a)	07/25/26		1,250		1,235,429
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A		1.713%	(a)	11/22/23		500		499,251
OCP CLO Ltd. (Cayman Islands), Series 2013-4A, Class A2, 144A		2.033%	(a)	10/24/25		2,200		2,101,675
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A		1.793%	(a)	10/25/26		4,000		3,977,594
Shackleton CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A		3.440%		04/15/25		700		679,358
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.281%	(a)	04/15/25		7,300		7,146,074
Sound Point CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A		1.593%	(a)	10/20/26		750		738,594
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A		1.681%	(a)	01/18/26		3,300		3,270,869
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.351%	(a)	07/15/25		300		293,927

								48,131,538

Non-Residential Mortgage-Backed Securities — 0.3%
GE Business Loan Trust, Series 2006-1A, Class D, 144A		1.161%	(a)	05/15/34		156		131,598
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A		3.540%		10/20/32		2,278		2,356,822
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		1,306		1,298,693

								3,787,113

Residential Mortgage-Backed Securities — 5.7%
ABFC Trust, Series 2004-OPT1, Class M1		1.220%	(a)	08/25/33		1,321		1,250,661
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1		1.070%	(a)	09/25/33		1,393		1,306,242

SEE NOTES TO FINANCIAL STATEMENTS.

A31


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		432	$	441,407
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1		1.130%	(a)	09/25/34		950		947,299
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3		3.095%	(a)	10/25/31		416		394,932
Argent Securities, Inc., Series 2003-W2, Class M4		5.795%	(a)	09/25/33		2,400		2,250,187
Argent Securities, Inc., Series 2004-W10, Class A2		0.950%	(a)	10/25/34		1,802		1,750,384
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1		0.995%	(a)	05/25/34		1,676		1,631,137
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1		1.406%	(a)	06/15/33		1,202		1,144,990
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1		1.211%	(a)	01/15/34		211		203,071
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1		1.070%	(a)	08/25/34		1,847		1,785,307
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1		1.070%	(a)	03/25/34		3,974		3,750,227
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2		1.895%	(a)	04/25/34		1,935		1,764,831
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2		3.545%	(a)	03/25/33		189		23,846
Centex Home Equity Loan Trust, Series 2004-B, Class AF6		4.686%		03/25/34		1,094		1,119,453
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2		2.420%	(a)	08/25/32		67		58,631
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		5.037%		07/25/34		582		556,878
FBR Securitization Trust, Series 2005-2, Class M1		0.890%	(a)	09/25/35		3,600		3,575,351
Fremont Home Loan Trust, Series 2003-B, Class M1		1.220%	(a)	12/25/33		205		195,436
GSAMP Trust, Series 2004-FM1, Class M1		1.145%	(a)	11/25/33		1,942		1,882,511
HSBC Home Equity Loan Trust, Series 2006-1, Class M1		0.446%	(a)	01/20/36		420		417,332
HSBC Home Equity Loan Trust, Series 2006-2, Class A1		0.316%	(a)	03/20/36		110		109,192
HSBC Home Equity Loan Trust, Series 2006-2, Class A2		0.346%	(a)	03/20/36		134		132,607
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1		0.920%	(a)	02/25/34		4,250		4,039,158
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		86		87,421
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1		0.950%	(a)	02/25/34		2,104		1,999,644
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1		1.370%	(a)	08/25/35		664		634,924
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A		0.690%	(a)	06/25/35		1,776		1,683,149
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.370%	(a)	05/25/33		1,196		1,120,928
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1		1.190%	(a)	10/25/33		939		876,653
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.220%	(a)	12/27/33		748		722,103
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1		1.040%	(a)	11/25/34		3,688		3,311,021
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1		1.100%	(a)	06/25/34		2,111		1,977,031
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1		1.085%	(a)	07/25/34		1,674		1,596,574
New Century Home Equity Loan Trust, Series 2003-4, Class M1		1.295%	(a)	10/25/33		2,930		2,816,644
New Century Home Equity Loan Trust, Series 2004-4, Class M1		0.935%	(a)	02/25/35		3,048		2,818,389
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2		1.370%	(a)	12/25/34		259		256,573
Residential Asset Securities Corp., Series 2004-KS1, Class AI5		5.221%		02/25/34		1,000		1,039,831
Saxon Asset Securities Trust, Series 2002-3, Class M1		1.295%	(a)	12/25/32		199		184,973
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1		0.950%	(a)	02/25/34		3,221		2,988,304
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1		0.935%	(a)	02/25/35		76		70,037
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.573%	(a)	02/25/34		1,324		1,321,390
Structured Asset Investment Loan Trust, Series 2004-2, Class A4		0.875%	(a)	03/25/34		2,297		2,120,688

SEE NOTES TO FINANCIAL STATEMENTS.

A32


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Structured Asset Investment Loan Trust, Series 2004-7, Class A8		1.370%	(a)	08/25/34		1,400	$	1,276,983
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3		3.170%	(a)	07/25/32		827		769,115
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		358		358,966

								60,762,411

TOTAL ASSET-BACKED SECURITIES (cost $105,060,919)								112,681,062

BANK LOANS(a) — 3.6%
Automotive — 0.1%
Chrysler Group LLC		3.500%		05/24/17		1,342		1,336,339

Chemicals — 0.2%
Axalta Coating Systems US Holdings		3.750%		02/01/20		713		693,511
CeramTec GmbH (Germany)		4.750%		08/30/20	EUR	900		1,089,502

								1,783,013

Financials — 0.2%
Scandlines GmbH (Germany)		4.522%		11/04/20	EUR	2,000		2,422,459

Foods — 0.2%
Pinnacle Foods Finance LLC		3.000%		04/29/20		697		674,762
US Foods, Inc. (original cost $993,706; purchased 08/15/14)(b)(c)		4.500%		03/29/19		995		987,985

								1,662,747

Gaming — 0.2%
CCM Merger, Inc. (original cost $2,375,921; purchased 07/30/14)(b)(c)		4.500%		08/06/21		2,394		2,357,967

Healthcare & Pharmaceutical — 1.3%
Alere, Inc.		3.200%		06/30/16		441		436,885
Biomet, Inc., Term Loan		3.733%		07/25/17		2,800		2,783,668
Capsugel Holdings US, Inc.		3.500%		08/01/18		933		912,371
Davita Healthcare Partners, Inc.		3.500%		06/24/21		1,493		1,473,577
Grifols SA		3.255%		02/26/21		1,492		1,469,726
Mallinckrodt International Finance		3.500%		03/19/21		1,521		1,494,092
Endo Luxembourg Finance		3.250%		03/01/21		1,687		1,632,414
Ortho Clinical Diagnostics		4.750%		06/30/21		498		488,275
Quintiles Transnational Corp.		3.750%		06/08/18		1,451		1,430,514
RPI Finance Trust (Luxembourg)		3.250%		05/09/18		2,316		2,306,440

								14,427,962

Leisure
Activision Blizzard, Inc.		3.250%		10/12/20		500		498,375

Media & Entertainment — 0.1%
CBS Outdoor Americas CAP Co.		3.000%		02/01/21		1,000		974,000

Retailers — 0.3%
Alliance Boots Holdings Ltd. (United Kingdom)		3.985%		07/09/17	GBP	2,000		3,113,310

Technology — 0.9%
Avago Technologies Finance Pte Ltd.		3.750%		05/06/21		398		395,844
BMC Software Finance, Inc.		5.000%		09/10/20		497		481,542
First Data Corp.		3.755%		03/26/18		2,411		2,357,399
First Data Corp.		4.255%		03/24/21		183		180,036
Freescale Semiconductor, Inc.		4.250%		02/28/20		1,720		1,673,080
Interactive Data Corp.		4.750%		05/03/21		1,194		1,183,552
RBS WorldPay, Inc. (United Kingdom)		5.750%		11/29/19	GBP	900		1,395,229
TransUnion LLC/TransUnion Financing Corp.		4.000%		04/09/21		199		195,274

SEE NOTES TO FINANCIAL STATEMENTS.

A33


BANK LOANS(a) (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Technology (continued)
Vantiv LLC		2.255%		06/13/19		1,463	$	1,435,078

								9,297,034

Telecommunications — 0.1%
SBA SNR Fin Li LLC		3.250%		03/24/21		1,144		1,117,646

TOTAL BANK LOANS (cost $39,613,801)								38,990,852

COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.0%
Banc of America Commercial Mortgage Trust, Series 2006-3, Class A4		5.889%		07/10/44		1,493		1,571,688
Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2		5.317%		09/10/47		1,239		1,238,377
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2		5.309%		10/10/45		334		333,745
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4		5.356%		10/10/45		800		837,282
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.561%	(a)	04/10/49		1,367		1,462,709
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3		5.620%		02/10/51		58		57,784
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.710%	(a)	12/10/49		1,590		1,724,172
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		2,800		2,765,750
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		3,200		3,330,115
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class AAB		5.329%	(a)	01/15/46		176		175,821
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		235		236,622
COMM Mortgage Trust, Series 2014-UBS4, Class A4		3.420%		08/10/47		3,200		3,281,235
Commercial Mortgage Pass-Through Certificates, Series 2007-GG9, Class A2		5.381%		03/10/39		1,398		1,401,967
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		2,000		1,942,190
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		3,900		3,905,058
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(a)	02/15/39		970		1,008,963
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.654%	(a)	06/25/20		9,470		641,486
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(a)	05/25/22		28,808		2,481,340
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(a)	06/25/22		16,408		1,459,441
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		0.900%	(a)	10/25/22		11,205		628,576
FHLMC Multifamily Structured Pass-Through Certificates, Series K036, Class X1, I/O		0.800%	(a)	10/25/23		13,171		742,775
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(a)	08/25/16		9,737		183,969
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(a)	05/25/19		23,076		1,526,003
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(a)	07/25/19		27,645		1,774,263
GS Mortgage Securities Trust, Series 2013-GC12, Class A3		2.860%		06/10/46		4,600		4,560,109
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(a)	10/15/42		1,820		1,856,513
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2		5.772%	(a)	06/15/49		154		153,784

SEE NOTES TO FINANCIAL STATEMENTS.

A34


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3		5.939%	(a)	02/15/51		490	$	490,440
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		2,000		1,960,912
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		4,600		4,584,705
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		4,600		4,496,836
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C21, Class A4		3.493%		08/15/47		3,200		3,283,530
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(a)	11/15/40		2,100		2,165,955
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2		5.300%		11/15/38		880		891,752
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3		5.835%	(a)	06/12/50		198		198,338
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,700		1,686,232
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3		2.834%		05/15/46		2,300		2,271,498
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3		3.968%	(a)	07/15/46		4,800		5,173,829
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A3		3.973%		10/15/46		3,600		3,868,988
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3		3.766%		11/15/46		4,000		4,218,420
Morgan Stanley Capital I Trust, Series 2006-T23, Class A3		5.807%	(a)	08/12/41		1,002		1,001,275
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB		5.654%	(a)	04/15/49		2,835		2,901,453
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		2,300		2,277,032
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		4,600		4,598,901
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		3,800		3,807,893
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		3,145		3,211,438
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(d)		5.509%		04/15/47		5,150		5,424,212
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A		5.716%	(a)	06/15/49		2,710		2,912,561
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4		3.548%		08/15/50		4,300		4,458,825

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $108,867,974)								107,166,762

CORPORATE BONDS — 45.2%
Aerospace & Defense — 0.3%
Textron, Inc., Sr. Unsec’d. Notes		7.250%		10/01/19		2,350		2,789,567

Airlines — 0.6%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1		6.703%		06/15/21		2		2,534
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B		7.373%		12/15/15		394		414,817
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A		5.983%		04/19/22		1,527		1,676,272
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A(d)		4.750%		01/12/21		465		494,880
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates., Series 2007-1 Class A		6.821%		08/10/22		1,167		1,353,571
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates., Series 2010-2, Class A		4.950%		05/23/19		546		584,228
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates., Series 2011-1, Class A		5.300%		04/15/19		579		629,301

SEE NOTES TO FINANCIAL STATEMENTS.

A35


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines (continued)
United Airlines Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A		6.636%		07/02/22		853	$	921,247

								6,076,850

Automotive — 1.1%
Ford Motor Co., Sr. Unsec’d. Notes		4.750%		01/15/43		750		791,340
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		1.700%		05/09/16		4,620		4,636,355
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		2.375%		01/16/18		2,225		2,237,894
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		3.984%		06/15/16		375		388,275
General Motors Co., Sr. Unsec’d. Notes		4.875%		10/02/23		1,350		1,444,500
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,885		2,251,821

								11,750,185

Banking — 12.1%
American Express Co., Jr. Sub. Notes(d)		5.200%	(a)	05/29/49		655		665,213
Bank of America Corp., Jr. Sub Notes, Series K		8.000%	(a)	12/29/49		3,500		3,758,125
Bank of America Corp., Sr. Unsec’d. Notes		4.000%		04/01/24		1,150		1,197,409
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,775		2,056,226
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		4,590		5,061,177
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		4,275		4,275,329
Bank of America Corp., Sr. Unsec’d. Notes, MTN(d)		4.125%		01/22/24		3,750		3,938,081
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		1,340		1,387,917
Bank of America NA, Sub. Notes		5.300%		03/15/17		790		848,590
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(d)		3.750%		05/15/24		3,375		3,478,785
Branch Banking & Trust Co., Sr. Unsec’d. Notes		2.850%		04/01/21		3,700		3,721,527
Capital One Financial Corp., Sr. Unsec’d. Notes		3.750%		04/24/24		2,400		2,451,838
Capital One Financial Corp., Sr. Unsec’d. Notes		5.250%		02/21/17		2,460		2,649,452
Capital One Financial Corp., Sub. Notes		6.150%		09/01/16		700		752,246
Citigroup, Inc., Sr. Unsec’d. Notes		6.125%		11/21/17		2,050		2,285,922
Citigroup, Inc., Sr. Unsec’d. Notes(d)		8.125%		07/15/39		4,120		6,307,448
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,375		1,713,342
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN(d)(e)		3.625%		09/09/24		1,050		1,068,101
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes		3.700%		05/30/24		1,650		1,674,366
Discover Bank, Sr. Unsec’d. Notes		4.250%		03/13/26		1,150		1,192,089
Discover Bank, Sub. Notes		7.000%		04/15/20		2,005		2,362,979
Fifth Third Bank, Sr. Unsec’d. Notes		1.450%		02/28/18		3,275		3,238,271
Fifth Third Bank, Sr. Unsec’d. Notes		2.375%		04/25/19		425		426,935
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)		5.750%		01/24/22		4,200		4,858,505
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d)		6.150%		04/01/18		1,355		1,520,878
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		09/01/17		3,195		3,554,917
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes		6.250%		02/01/41		2,195		2,774,796
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D		6.000%		06/15/20		2,420		2,797,588
Goldman Sachs Group, Inc. (The), Sub. Notes		6.750%		10/01/37		440		553,245
Huntington Bancshares, Inc., Sub. Notes(d)		7.000%		12/15/20		260		312,918
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A		7.250%	(a)	08/29/49		2,380		2,388,925
ING Bank NV (Netherlands), Unsec’d. Notes, 144A		2.000%		09/25/15		770		776,012
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes		3.125%		01/15/16		1,625		1,650,683
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1		7.900%	(a)	04/29/49		6,130		6,597,719
JPMorgan Chase & Co., Jr. Sub. Notes, Series X(d)		6.100%	(a)	10/29/49		1,450		1,446,375
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.150%		07/05/16		2,245		2,307,719
JPMorgan Chase & Co., Sr. Unsec’d. Notes		3.250%		09/23/22		500		502,912
JPMorgan Chase & Co., Sr. Unsec’d. Notes		4.250%		10/15/20		600		645,060
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)		4.400%		07/22/20		5,100		5,528,283
JPMorgan Chase & Co., Sub. Notes		5.625%		08/16/43		675		784,959
KeyCorp, Sr. Unsec’d. Notes, MTN(d)		5.100%		03/24/21		1,155		1,303,531
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A		5.800%		01/13/20		2,650		3,062,194
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A		1.850%		03/21/18		1,125		1,118,882

SEE NOTES TO FINANCIAL STATEMENTS.

A36


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Morgan Stanley, Jr. Sub. Notes, Series H(d)		5.450%	(a)	12/31/49		975	$	976,755
Morgan Stanley, Sr. Unsec’d. Notes		5.750%		01/25/21		1,920		2,204,066
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.450%		01/09/17		4,035		4,332,436
Morgan Stanley, Sr. Unsec’d. Notes, GMTN		5.500%		07/28/21		3,830		4,346,594
Morgan Stanley, Sr. Unsec’d. Notes, MTN(d)		5.625%		09/23/19		2,635		2,974,372
Morgan Stanley, Sub. Notes, GMTN		4.350%		09/08/26		750		754,481
Northern Trust Corp., Sub. Notes		3.950%		10/30/25		3,025		3,148,290
People’s United Bank, Sub. Notes		4.000%		07/15/24		550		557,091
People’s United Financial, Inc., Sr. Unsec’d. Notes		3.650%		12/06/22		1,675		1,688,542
PNC Financial Services Group, Inc. (The), Sub. Notes(d)		3.900%		04/29/24		975		990,960
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes		2.550%		09/18/15		625		631,257
Santander Holdings USA, Inc., Sr. Unsec’d. Notes		3.000%		09/24/15		950		961,387
Santander Holdings USA, Inc., Sr. Unsec’d. Notes(d)		4.625%		04/19/16		525		546,893
State Street Corp., Jr. Sub. Debs.		4.956%		03/15/18		3,025		3,276,223
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes		2.450%		01/10/19		625		627,829

								129,014,645

Brokerage — 0.2%
Jefferies Group LLC, Sr. Unsec’d. Notes		6.500%		01/20/43		650		663,053
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)		6.875%		05/02/18		2,740		407,575
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN		2.000%		09/13/16		950		957,663

								2,028,291

Building Materials & Construction — 0.9%
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, RegS		9.875%		04/30/19		1,233		1,353,217
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A		9.875%		04/30/19		1,360		1,492,600
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A		4.750%		01/11/22	EUR	900		1,065,906
Mohawk Industries, Inc., Sr. Unsec’d. Notes		3.850%		02/01/23		294		294,118
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $1,275,000; purchased 06/19/14)(b)(c)		5.250%		06/27/29		1,275		1,114,988
Toll Brothers Finance Corp., Gtd. Notes		5.150%		05/15/15		4,695		4,741,950

								10,062,779

Cable — 1.7%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A		6.100%		02/15/18		210		233,713
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.000%		01/15/19		2,000		2,075,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		7.375%		06/01/20		1,100		1,166,000
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes		8.125%		04/30/20		1,000		1,052,500
CSC Holdings LLC, Sr. Unsec’d. Notes		6.750%		11/15/21		2,225		2,458,625
CSC Holdings LLC, Sr. Unsec’d. Notes		8.625%		02/15/19		1,610		1,871,625
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%		03/01/16		2,825		2,898,687
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.550%		03/15/15		275		276,632
NBCUniversal Media LLC, Gtd. Notes		4.450%		01/15/43		290		307,288
TCI Communications, Inc., Sr. Unsec’d. Notes		7.875%		02/15/26		750		1,046,106
Time Warner Cable, Inc., Gtd. Notes		6.750%		07/01/18		2,620		3,004,818
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A		6.000%		04/15/21	GBP	1,050		1,722,452

								18,113,446

Capital Goods — 1.7%
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A		6.500%		07/15/22		1,375		1,460,937
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,098,609; purchased 05/30/13)(b)(c)		6.700%		06/01/34		920		1,183,482
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $996,365; purchased 05/14/13)(b)(c)		7.000%		10/15/37		770		1,037,662
General Electric Co., Sr. Unsec’d. Notes		4.125%		10/09/42		500		517,606
General Electric Co., Sr. Unsec’d. Notes		4.500%		03/11/44		740		813,424

SEE NOTES TO FINANCIAL STATEMENTS.

A37


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
Hertz Corp. (The), Gtd. Notes		6.750%	04/15/19		1,500	$	1,545,000
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes		5.750%	06/15/43		425		500,915
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $2,022,003; purchased 09/24/12)(b)(c)		2.500%	03/15/16		2,025		2,052,868
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $674,345; purchased 05/08/12)(b)(c)		3.125%	05/11/15		675		680,467
Pentair Finance SA, Gtd. Notes		1.875%	09/15/17		625		624,244
Rockwell Automation, Inc., Sr. Unsec’d. Notes		5.200%	01/15/98		1,100		1,164,830
United Rentals North America, Inc., Gtd. Notes(d)		7.625%	04/15/22		2,700		2,968,650
United Technologies Corp., Sr. Unsec’d. Notes(d)		4.500%	06/01/42		1,675		1,823,722
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,960		2,117,468

							18,491,275

Chemicals — 1.6%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		4.900%	06/01/43		870		901,185
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		5.250%	01/15/45		420		453,648
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		6.125%	01/15/41		450		533,886
Ashland, Inc., Gtd. Notes(d)		4.750%	08/15/22		875		875,000
CF Industries, Inc., Gtd. Notes		4.950%	06/01/43		675		672,870
CF Industries, Inc., Gtd. Notes		5.375%	03/15/44		700		755,227
CF Industries, Inc., Gtd. Notes		6.875%	05/01/18		380		431,995
CF Industries, Inc., Gtd. Notes		7.125%	05/01/20		300		357,410
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%	10/01/44		125		126,587
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		1,002		1,625,778
LyondellBasell Industries NV, Sr. Unsec’d. Notes		6.000%	11/15/21		3,550		4,085,904
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A		6.750%	09/19/42		1,065		1,104,938
Monsanto Co., Sr. Unsec’d. Notes		4.200%	07/15/34		225		234,450
Monsanto Co., Sr. Unsec’d. Notes		4.400%	07/15/44		275		285,324
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		465		526,104
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%	11/15/43		155		177,632
Union Carbide Corp., Sr. Unsec’d. Notes		7.875%	04/01/23		3,058		3,854,673

							17,002,611

Consumer — 0.2%
Service Corp. International, Sr. Unsec’d. Notes		7.625%	10/01/18		2,000		2,230,800

Electric — 3.5%
AES Corp. (The), Sr. Unsec’d. Notes		8.000%	10/15/17		4,000		4,490,000
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes		3.350%	07/01/23		550		563,751
Calpine Corp., Sr. Unsec’d. Notes(d)		5.375%	01/15/23		800		808,000
Calpine Corp., Sr. Unsec’d. Notes		5.750%	01/15/25		850		860,625
Covanta Holding Corp., Sr. Unsec’d. Notes		7.250%	12/01/20		2,500		2,656,250
Duke Energy Corp., Sr. Unsec’d. Notes		2.100%	06/15/18		3,775		3,809,485
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35		2,325		2,913,809
Enel Finance International NV (Netherlands), Gtd. Notes, 144A		6.000%	10/07/39		1,450		1,703,789
Exelon Corp., Sr. Unsec’d. Notes		4.900%	06/15/15		500		508,942
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(d)		6.200%	10/01/17		1,930		2,144,664
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%	10/01/39		1,900		2,282,035
FirstEnergy Corp., Series A, Sr. Unsec’d. Notes		2.750%	03/15/18		1,800		1,813,912
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%	07/15/44		400		431,146
Iberdrola International BV (Spain), Gtd. Notes		6.750%	09/15/33		1,150		1,426,729
NRG Energy, Inc., Gtd. Notes(d)		6.625%	03/15/23		2,750		2,860,000
Pacific Gas & Electric Co., Sr. Unsec’d. Notes		4.600%	06/15/43		1,950		2,080,225
South Carolina Electric & Gas Co., First Mortgage		4.600%	06/15/43		2,025		2,204,617
TransAlta Corp. (Canada), Sr. Unsec’d. Notes		6.650%	05/15/18		1,953		2,191,430
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%	04/01/17		1,947		2,124,820

							37,874,229

SEE NOTES TO FINANCIAL STATEMENTS.

A38


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Integrated — 0.7%
Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A		7.250%		11/05/19		1,300	$	1,229,740
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A(d)		5.375%		01/26/19		870		749,505
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		7.250%		12/12/21		1,040		904,800
Pacific Rubiales Energy Corp. (Colombia), Sr. Unsec’d. Notes, RegS		7.250%		12/12/21		1,540		1,339,800
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		510		552,487
Rosneft Finance SA (Russia), Gtd. Notes, 144A		6.625%		03/20/17		585		544,050
Sasol Financing International PLC (South Africa), Gtd. Notes		4.500%		11/14/22		2,725		2,702,928

								8,023,310

Energy – Other — 1.3%
Afren PLC (United Kingdom), Sr. Sec’d. Notes, RegS		11.500%		02/01/16		600		498,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(g)	10/10/36		2,000		758,548
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		3,265		3,630,033
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		340		408,576
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		292,088
Cameron International Corp., Sr. Unsec’d. Notes		7.000%		07/15/38		450		552,476
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,650		1,550,244
Noble Energy, Inc., Sr. Unsec’d. Notes		6.000%		03/01/41		1,530		1,681,525
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,750		1,958,994
Precision Drilling Corp. (Canada), Gtd. Notes		6.625%		11/15/20		1,000		900,000
Transocean, Inc., Gtd. Notes		2.500%		10/15/17		725		640,932
Weatherford International Ltd., Gtd. Notes		5.125%		09/15/20		1,165		1,144,565

								14,015,981

Foods — 0.9%
Aramark Corp., Gtd. Notes		5.750%		03/15/20		1,350		1,393,875
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		3.950%		05/22/23		1,655		1,530,047
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A		4.750%		05/22/24		775		752,719
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A		4.750%		10/01/18		375		399,229
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A		9.000%		02/10/17		1,000		990,000
JBS Finance II Ltd. (Brazil), Gtd. Notes, 144A		8.250%		01/29/18		1,200		1,227,000
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(b)(c)		7.250%		06/01/21		1,330		1,369,900
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A		12.250%		02/10/22		725		834,475
Tyson Foods, Inc., Gtd. Notes		6.600%		04/01/16		1,000		1,066,004

								9,563,249

Gaming — 0.2%
Pinnacle Entertainment, Inc., Gtd. Notes		7.500%		04/15/21		1,550		1,615,859

Healthcare & Pharmaceutical — 2.5%
Actavis Funding SSC, Gtd. Notes		4.850%		06/15/44		680		690,021
Amgen, Inc., Sr. Unsec’d. Notes		5.150%		11/15/41		2,635		2,970,040
CHS/Community Health Systems, Inc., Gtd. Notes		8.000%		11/15/19		3,400		3,629,500
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, 144A		8.250%		01/15/19		2,300		2,334,500
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		250		309,545
HCA, Inc., Gtd. Notes		8.000%		10/01/18		2,250		2,576,250
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(d)		3.750%		08/23/22		225		230,193
LifePoint Hospitals, Inc., Gtd. Notes		6.625%		10/01/20		1,000		1,055,000
Medtronic, Inc., 144A		4.375%		03/15/35		1,450		1,538,241
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%		03/15/25		3,435		3,513,902
Merck & Co, Inc., Sr. Unsec’d. Notes(d)		4.150%		05/18/43		2,075		2,207,615
Pfizer, Inc., Sr. Unsec’d. Notes(d)		4.300%		06/15/43		1,550		1,659,962
Tenet Healthcare Corp., Sr. Unsec’d. Notes(d)		8.000%		08/01/20		1,570		1,656,350
Valeant Pharmaceuticals International, Gtd. Notes, 144A		6.750%		08/15/18		2,000		2,127,540

								26,498,659

SEE NOTES TO FINANCIAL STATEMENTS.

A39


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance — 1.3%
Aetna, Inc., Sr. Unsec’d. Notes		6.750%		12/15/37		1,900	$	2,505,860
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		385		400,693
Cigna Corp., Sr. Unsec’d. Notes		4.375%		12/15/20		745		800,125
Cigna Corp., Sr. Unsec’d. Notes		5.375%		03/15/17		2,125		2,295,557
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		750		933,750
Coventry Health Care, Inc., Sr. Unsec’d. Notes		6.125%		01/15/15		4,025		4,030,639
UnitedHealth Group, Inc., Sr. Unsec’d. Notes(d)		4.250%		03/15/43		1,200		1,258,038
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%		06/15/37		760		1,018,387
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		195		266,318

								13,509,367

Insurance — 3.5%
Allied World Assurance Co. Ltd., Gtd. Notes		5.500%		11/15/20		430		479,630
Allied World Assurance Co. Ltd., Gtd. Notes		7.500%		08/01/16		2,475		2,701,844
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		1,075		1,135,749
American International Group, Inc., Sr. Unsec’d. Notes		5.050%		10/01/15		315		324,558
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		950		1,132,847
American International Group, Inc., Sr. Unsec’d. Notes, MTN		5.850%		01/16/18		3,700		4,136,970
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(d)		3.000%		02/11/23		1,850		1,867,390
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(d)		4.500%		02/11/43		1,350		1,476,375
Chubb Corp. (The), Jr. Sub. Notes(d)		6.375%	(a)	03/29/67		1,775		1,902,889
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Sub. Notes, 144A		5.100%	(a)	10/29/49		515		536,244
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes		7.000%		07/15/34		1,350		1,683,007
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		500		562,044
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		6.500%		03/15/35		1,030		1,258,419
Lincoln National Corp., Jr. Sub. Notes		6.050%	(a)	04/20/67		350		350,000
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		1,265		1,754,340
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		1,265		1,580,655
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		350		371,663
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A		8.875%		06/01/39		1,200		1,936,196
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A		5.100%	(a)	10/16/44		2,075		2,168,375
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		500		646,311
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		850		975,879
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		150		157,450
Progressive Corp. (The), Jr. Sub. Notes		6.700%	(a)	06/15/37		1,015		1,097,976
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		2,310		3,155,065
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		500		563,022
Willis Group Holdings PLC, Gtd. Notes		4.125%		03/15/16		1,280		1,319,236
XLIT Ltd. (Ireland), Jr. Sub. Notes, Series E		6.500%	(a)	10/29/49		1,880		1,795,400

								37,069,534

Lodging — 0.4%
Marriott International, Inc., Sr. Unsec’d. Notes		3.250%		09/15/22		1,325		1,330,324
Wyndham Worldwide Corp., Sr. Unsec’d. Notes		2.950%		03/01/17		2,420		2,471,386

								3,801,710

Media & Entertainment — 1.9%
21st Century Fox America, Inc., Gtd. Notes		6.150%		03/01/37		460		576,521
21st Century Fox America, Inc., Gtd. Notes		6.900%		08/15/39		65		88,119
21st Century Fox America, Inc., Gtd. Notes		7.625%		11/30/28		1,415		1,876,226
AMC Networks, Inc., Gtd. Notes		7.750%		07/15/21		3,750		4,012,500
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes, 144A(d)		5.375%		06/01/24		425		422,875
Gannett Co., Inc., Gtd. Notes, 144A(d)		4.875%		09/15/21		475		471,438
Historic TW, Inc., Gtd. Notes		6.625%		05/15/29		1,837		2,328,708
Liberty Interactive LLC, Sr. Unsec’d. Notes(d)		8.250%		02/01/30		2,250		2,430,000
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A		6.000%		07/18/20		1,035		1,130,738
RR Donnelley & Sons Co., Sr. Unsec’d. Notes		8.600%		08/15/16		4,750		5,201,250

SEE NOTES TO FINANCIAL STATEMENTS.

A40


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Time Warner Cos., Inc., Gtd. Notes		7.250%		10/15/17		1,440	$	1,650,243
Viacom, Inc., Sr. Unsec’d. Notes (original cost $82,665; purchased 07/25/13-11/25/13)(b)(c)		4.500%		02/27/42		95		92,617
Viacom, Inc., Sr. Unsec’d. Notes (original cost $432,485; purchased 08/06/13-02/11/14)(b)(c)		4.875%		06/15/43		475		464,224

								20,745,459

Metals — 1.0%
Alcoa, Inc., Sr. Unsec’d. Notes		5.125%		10/01/24		425		450,402
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes		5.000%		09/30/43		1,250		1,416,901
CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, MTN		6.875%		01/21/18		1,100		1,214,774
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(d)		6.000%		04/01/17		1,000		956,250
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes		3.625%		06/09/21		825		826,327
Newmont Mining Corp., Gtd. Notes		6.250%		10/01/39		75		76,077
Peabody Energy Corp., Gtd. Notes(d)		6.000%		11/15/18		4,075		3,698,063
Southern Copper Corp., Sr. Unsec’d. Notes(d)		6.750%		04/16/40		990		1,038,510
Southern Copper Corp., Sr. Unsec’d. Notes		7.500%		07/27/35		550		618,746
Vedanta Resources PLC (India), Sr. Unsec’d. Notes, 144A		6.000%		01/31/19		400		390,000

								10,686,050

Non-Captive Finance — 1.4%
CIT Group, Inc., Sr. Unsec’d. Notes		5.000%		08/15/22		1,350		1,387,125
CIT Group, Inc., Sr. Unsec’d. Notes, 144A		5.500%		02/15/19		4,000		4,220,000
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(d)		5.875%		01/14/38		675		854,119
General Electric Capital Corp., Sub. Notes(d)		5.300%		02/11/21		1,185		1,353,255
HSBC Finance Corp., Sub. Notes		6.676%		01/15/21		295		350,005
International Lease Finance Corp., Sr. Unsec’d. Notes		5.750%		05/15/16		1,125		1,167,187
International Lease Finance Corp., Sr. Unsec’d. Notes		6.250%		05/15/19		1,400		1,529,500
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(c)		0.955%	(a)	07/03/33		568		534,001
Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A (original cost $1,741,109; purchased 03/27/12-07/24/12)(b)(c)(d)		5.875%		09/25/22		1,709		1,373,394
SLM Corp., Sr. Unsec’d. Notes, MTN		6.000%		01/25/17		1,075		1,126,062
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A		5.250%		12/15/24		1,235		1,272,173

								15,166,821

Packaging — 0.4%
Ball Corp., Gtd. Notes(d)		6.750%		09/15/20		345		358,800
Greif Luxembourg Finance, Sr. Unsec’d. Notes, MTN, 144A		7.375%		07/15/21	EUR	1,470		2,098,958
Greif, Inc., Sr. Unsec’d. Notes		7.750%		08/01/19		1,815		2,050,950

								4,508,708

Paper — 0.5%
International Paper Co., Sr. Unsec’d. Notes		6.000%		11/15/41		675		790,243
International Paper Co., Sr. Unsec’d. Notes		7.300%		11/15/39		1,000		1,325,910
International Paper Co., Sr. Unsec’d. Notes		7.950%		06/15/18		1,640		1,933,419
Rock-Tenn Co., Gtd. Notes		4.450%		03/01/19		1,165		1,240,057

								5,289,629

Pipelines & Other — 0.7%
AGL Capital Corp., Gtd. Notes		4.400%		06/01/43		1,050		1,106,436
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A (original cost $455,119; purchased 07/22/14)(b)(c)		6.375%		03/30/38		435		442,612
NiSource Finance Corp., Gtd. Notes		4.800%		02/15/44		300		319,634
NiSource Finance Corp., Gtd. Notes		5.450%		09/15/20		1,345		1,513,545
ONEOK Partners LP, Gtd. Notes		2.000%		10/01/17		750		745,813
Sempra Energy, Sr. Unsec’d. Notes		6.500%		06/01/16		2,275		2,443,054
Western Gas Partners LP, Sr. Unsec’d. Notes		5.450%		04/01/44		575		605,528

								7,176,622

SEE NOTES TO FINANCIAL STATEMENTS.

A41


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Real Estate Investment Trusts — 0.2%
ProLogis LP, Gtd. Notes		6.875%	03/15/20		8	$	9,397
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		325		334,563
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		40		45,523
Simon Property Group LP, Sr. Unsec’d. Notes		10.350%	04/01/19		1,685		2,203,960

							2,593,443

Retailers — 0.2%
Limited Brands, Inc., Gtd. Notes		5.625%	02/15/22		2,200		2,365,000

Technology — 1.5%
Arrow Electronics, Inc., Sr. Unsec’d. Notes		3.375%	11/01/15		600		610,817
Avaya, Inc., Sec’d. Notes, 144A(d)		10.500%	03/01/21		200		171,000
Brightstar Corp., Gtd. Notes, 144A (original cost $2,126,719; purchased 08/06/14)(b)(c)		9.500%	12/01/16		2,000		2,097,500
CDW LLC/CDW Finance Corp., Gtd. Notes		8.500%	04/01/19		1,222		1,287,682
First Data Corp., Gtd. Notes		11.250%	01/15/21		1,750		1,986,250
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		3.750%	06/01/18		1,925		1,925,000
Oracle Corp., Sr. Unsec’d. Notes		4.300%	07/08/34		1,070		1,145,619
Seagate HDD Cayman, Gtd. Notes		6.875%	05/01/20		2,610		2,740,500
SunGard Data Systems, Inc., Gtd. Notes(d)		7.625%	11/15/20		1,700		1,802,000
Xerox Corp., Sr. Unsec’d. Notes		4.250%	02/15/15		2,000		2,007,902

							15,774,270

Telecommunications — 2.2%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		655		775,003
AT&T Corp., Gtd. Notes		8.000%	11/15/31		103		151,772
AT&T, Inc., Sr. Unsec’d. Notes(d)		4.800%	06/15/44		1,975		2,012,438
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		483		523,003
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.125%	03/11/23		1,305		1,392,800
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A		5.350%	05/20/24		690		746,525
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		328		514,977
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS		11.750%	01/31/20	EUR	1,400		1,931,245
Embarq Corp., Sr. Unsec’d. Notes (original cost $584,102; purchased 04/22/10)(b)(c)		7.995%	06/01/36		560		625,800
Sprint Capital Corp., Gtd. Notes(d)		6.900%	05/01/19		1,300		1,326,000
Sprint Communications, Inc., Gtd. Notes, 144A		9.000%	11/15/18		1,575		1,791,405
Verizon Communications, Inc., Sr. Unsec’d. Notes		4.750%	11/01/41		745		763,752
Verizon Communications, Inc., Sr. Unsec’d. Notes(d)		6.400%	09/15/33		1,228		1,512,629
Verizon Communications, Inc., Sr. Unsec’d. Notes(d)		6.550%	09/15/43		2,365		3,029,917
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(d)		4.862%	08/21/46		1,679		1,724,714
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A		5.012%	08/21/54		3,362		3,478,154
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		7.748%	02/02/21		1,300		1,080,300
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A		9.125%	04/30/18		200		188,000

							23,568,434

Tobacco — 0.5%
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		873		1,493,400
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,375		2,361,693
Lorillard Tobacco Co., Gtd. Notes		3.500%	08/04/16		515		530,175
Lorillard Tobacco Co., Gtd. Notes		8.125%	06/23/19		895		1,085,033

							5,470,301

TOTAL CORPORATE BONDS (cost $453,608,895)							482,877,084

SEE NOTES TO FINANCIAL STATEMENTS.

A42


FOREIGN AGENCIES — 2.3%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
CNOOC Finance 2013 Ltd. (China), Gtd. Notes		3.000%	05/09/23		750	$	709,805
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		875		914,375
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes		4.125%	01/16/25		100		95,000
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes(d)		5.875%	05/28/45		525		485,625
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A		5.375%	11/04/16		790		826,435
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS		9.250%	04/23/19		1,080		1,101,060
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.510%	03/07/22		975		872,869
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A		5.750%	04/30/43		1,075		903,000
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A		7.000%	05/05/20		475		493,644
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A		9.125%	07/02/18		1,835		2,007,582
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes		4.625%	11/16/21		600		664,849
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS(d)		4.250%	11/02/20		1,750		1,900,843
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A		4.750%	07/13/21		1,650		1,851,603
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	10/17/16		2,500		2,740,625
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS		7.750%	01/20/20		1,500		1,736,250
Petrobras International Finance Co. (Brazil), Gtd. Notes(d)		5.375%	01/27/21		345		319,667
Petroleos Mexicanos (Mexico), Gtd. Notes(d)		3.500%	01/30/23		1,125		1,076,062
Petroleos Mexicanos (Mexico), Gtd. Notes(d)		4.875%	01/24/22		2,100		2,199,561
Petroleos Mexicanos (Mexico), Gtd. Notes		6.500%	06/02/41		745		854,887
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS		7.390%	12/02/24		1,000		1,303,000
Westpac Banking Corp. (Australia), 144A		2.000%	05/21/19		1,750		1,743,707

TOTAL FOREIGN AGENCIES (cost $24,910,136)							24,800,449

MUNICIPAL BONDS — 2.0%
California — 0.7%
Bay Area Toll Authority, Revenue Bonds, BABs		6.907%	10/01/50		1,125		1,660,792
State of California, General Obligation Unlimited, BABs		7.300%	10/01/39		2,280		3,345,535
State of California, General Obligation Unlimited, BABs		7.625%	03/01/40		725		1,112,839
University of California, Revenue Bonds, BABs		5.770%	05/15/43		1,400		1,795,430

							7,914,596

Colorado — 0.1%
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		770		1,070,639

Illinois — 0.2%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,380		1,866,864

New Jersey — 0.5%
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs		7.102%	01/01/41		1,175		1,716,769
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		2,050		3,091,359

							4,808,128

Ohio — 0.1%
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		695		848,400
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		450		505,067

							1,353,467

Oregon — 0.1%
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs		5.834%	11/15/34		615		798,196

SEE NOTES TO FINANCIAL STATEMENTS.

A43


MUNICIPAL BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Pennsylvania — 0.1%
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%		12/01/45		800	$	987,232

Tennessee — 0.2%
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%		07/01/43		1,375		1,848,550

Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%		04/01/26		425		495,427

TOTAL MUNICIPAL BONDS (cost $15,299,109)								21,143,099

SOVEREIGNS — 5.1%
Brazilian Government International Bond (Brazil), Unsec’d. Notes		11.000%		06/26/17	EUR	2,200		3,211,312
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes		4.000%		02/26/24		2,000		2,045,000
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes		4.750%		04/17/19	EUR	800		770,794
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9BR		5.800%		07/14/15	JPY	76,200		601,177
Hellenic Republic Government Bond (Greece), Sr. Unsec’d. Notes, Series 9RG		5.800%		07/14/15	JPY	107,100		844,962
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, MTN		3.800%		08/08/17	JPY	680,000		4,664,699
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		4.125%		02/19/18		2,020		2,094,902
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		5.375%		02/21/23		436		469,790
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.000%		01/11/19	EUR	715		1,003,791
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes		6.375%		03/29/21		776		887,066
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes(d)		7.625%		03/29/41		462		614,229
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		2.875%		07/08/21	EUR	825		1,010,773
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS		5.875%		03/13/20		2,245		2,486,337
Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d Notes		6.500%		11/01/27	EUR	3,545		6,249,840
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		3.450%		03/24/17	JPY	170,000		1,498,451
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS		4.500%		06/08/15	JPY	130,000		1,099,527
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes		2.750%		04/22/23	EUR	2,350		2,961,067
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN		4.750%		03/08/44		1,062		1,107,135
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(d)		5.200%		01/30/20		1,115		1,229,288
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A		3.975%	(g)	05/31/18		692		655,474
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes		6.250%		03/15/16	EUR	850		1,093,508
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, RegS		3.500%		03/25/15		2,200		2,215,930
Portugal Government International Bond (Portugal), Unsec’d. Notes, 144A		5.125%		10/15/24		800		840,414
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes, RegS		4.750%		06/14/19	EUR	4,410		6,077,572

SEE NOTES TO FINANCIAL STATEMENTS.

A44


SOVEREIGNS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A		5.750%	01/20/42			900	$	1,059,750
Republic of Brazil (Brazil), Sr. Unsec’d. Notes		8.250%	01/20/34			510		699,975
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS		4.875%	05/05/21			1,600		1,690,000
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A		4.875%	01/22/24			1,370		1,493,300
Slovenia Government International Bond (Slovenia), Bonds, 144A		4.125%	02/18/19			300		314,256
Slovenia Government International Bond (Slovenia), Sr. Unsec’d Notes, RegS		4.750%	05/10/18			1,300		1,391,000
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes		7.000%	06/05/20			1,510		1,755,749

TOTAL SOVEREIGNS (cost $54,927,644)								54,137,068

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8%
Federal Home Loan Mortgage Corp.		5.000%	07/01/19			121		128,152
Federal Home Loan Mortgage Corp.		5.500%	10/01/33-06/01/34			1,614		1,817,561
Federal Home Loan Mortgage Corp.		6.000%	11/01/33-06/01/34			1,164		1,322,296
Federal Home Loan Mortgage Corp.		6.500%	07/01/32-09/01/32			852		988,268
Federal Home Loan Mortgage Corp.		7.000%	10/01/32			111		121,195
Federal National Mortgage Assoc.		4.000%	05/01/19			81		85,742
Federal National Mortgage Assoc.		4.500%	12/01/18-02/01/35			592		624,102
Federal National Mortgage Assoc.		5.500%	03/01/17-06/01/34			2,447		2,677,494
Federal National Mortgage Assoc.		6.000%	09/01/17-11/01/36			2,148		2,457,383
Federal National Mortgage Assoc.		6.500%	07/01/15-11/01/33			1,614		1,854,052
Federal National Mortgage Assoc.		7.000%	05/01/32-06/01/32			177		202,145
Government National Mortgage Assoc.		5.500%	01/15/33-07/15/35			1,954		2,191,681
Government National Mortgage Assoc.		6.000%	12/15/32-11/15/34			2,276		2,636,268
Government National Mortgage Assoc.		6.500%	09/15/32-11/15/33			1,552		1,774,902
Government National Mortgage Assoc.		7.500%	10/15/25-02/15/26			58		67,649

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $17,103,818)								18,948,890

U.S. TREASURY OBLIGATIONS — 4.2%
U.S. Treasury Bonds(d)		2.250%	11/15/24			4,680		4,711,445
U.S. Treasury Bonds		2.875%	05/15/43			2,670		2,730,908
U.S. Treasury Notes(d)		1.000%	09/15/17			4,450		4,452,434
U.S. Treasury Notes(e)		1.500%	05/31/19			6,340		6,324,150
U.S. Treasury Notes		1.500%	10/31/19			250		248,477
U.S. Treasury Notes(d)		1.500%	11/30/19			990		983,735
U.S. Treasury Notes		1.625%	12/31/19			885		883,687
U.S. Treasury Notes(h)		1.750%	09/30/19			14,385		14,469,282
U.S. Treasury Notes		3.375%	05/15/44			9,290		10,458,505

TOTAL U.S. TREASURY OBLIGATIONS (cost $44,154,336)								45,262,623


					Shares
PREFERRED STOCK — 0.1%
Banking
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred) (cost $1,125,000)						45,000		1,196,100

TOTAL LONG-TERM INVESTMENTS (cost $864,671,632)								907,203,989

SHORT-TERM INVESTMENTS — 19.6%
AFFILIATED MUTUAL FUNDS — 19.5%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $104,944,786)(Note 4)(i)						10,735,681		100,271,259

SEE NOTES TO FINANCIAL STATEMENTS.

A45


SHORT-TERM INVESTMENTS (continued)	Shares		Value (Note 2)
AFFILIATED MUTUAL FUNDS (continued)
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $107,580,283; includes $66,800,717 of cash collateral for securities on loan)(Note 4)(i)(j)		107,580,283	$	107,580,283

TOTAL AFFILIATED MUTUAL FUNDS (cost $212,525,069)				207,851,542


	Notional Amount (000)#
*OPTIONS PURCHASED — 0.1%**
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38		196,600		153,594
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00		196,600		15,359
10 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $127.00		4,100		21,141
10 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $131.00		4,100		641
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $165.00		2,800		52,937
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $171.00		800		2,375
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $175.00		2,000		1,250

				247,297

Put Options — 0.1%
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.75		17,250		18,544
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.88		17,250		23,719
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.13		17,250		40,106
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.25		17,250		51,750
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.50		86,500		34,600
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.88		86,500		144,887

				313,606

TOTAL OPTIONS PURCHASED (cost $636,464)				560,903

TOTAL SHORT-TERM INVESTMENTS (cost $213,161,533)				208,412,445

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.4% (cost $1,077,833,165)				1,115,616,434

OPTIONS WRITTEN*
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63		393,200		(61,438	)
10 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $129.00		8,200		(7,687	)
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $168.00		1,600		(12,750	)
30 Year U.S. Ultra Treasury Bonds, expiring 01/23/15, Strike Price $170.00		4,000		(16,875	)

				(98,750	)

Put Options
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.00		69,000		(124,200	)
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.63		86,500		(58,388	)
Eurodollars 1 Year Mid-Curve Futures, expiring 03/13/15, Strike Price $98.75		86,500		(95,150	)

				(277,738	)

TOTAL OPTIONS WRITTEN (premiums received $455,618)				(376,488	)

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.4% (cost $1,077,377,547)				1,115,239,946
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (4.4)%				(47,367,933	)

NET ASSETS — 100.0%			$	1,067,872,013

SEE NOTES TO FINANCIAL STATEMENTS.

A46

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2014.

(b)	Indicates a restricted security; the aggregate original cost of the restricted securities is $16,085,073. The aggregate value of $15,881,466 is approximately 1.5% of net assets.

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

(d)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $65,304,385; cash collateral of $66,800,717 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

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

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

Futures contracts outstanding at December 31, 2014:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
Long Positions:
26	2 Year U.S. Treasury Notes		Mar. 2015	$	5,684,694	$	5,683,438	$	(1,256	)
2,070	5 Year U.S. Treasury Notes		Mar. 2015		246,185,367		246,184,453		(914	)
521	10 Year U.S. Treasury Notes		Mar. 2015		65,673,951		66,061,172		387,221
184	U.S. Ultra Treasury Bonds		Mar. 2015		29,419,464		30,394,500		975,036

								$	1,360,087

(1)	A U.S. Treasury obligation with a market value of $3,218,749 has been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2014.

Forward foreign currency exchange contracts outstanding at December 31, 2014:


Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Payable		Current Value		Unrealized Appreciation (Depreciation)
Australian Dollar,
Expiring 01/16/15	BNP Paribas	AUD	1,235	$	1,079,000	$	1,006,794	$	(72,206	)
Expiring 01/16/15	JPMorgan Chase	AUD	1,222		1,075,400		996,836		(78,564	)
Brazilian Real,
Expiring 03/11/15	Barclays Capital Group	BRL	4,104		1,561,441		1,514,509		(46,932	)
Expiring 03/11/15	Citigroup Global Markets	BRL	1,178		426,200		434,828		8,628
British Pound,
Expiring 01/28/15	JPMorgan Chase	GBP	670		1,072,700		1,043,743		(28,957	)
Expiring 01/28/15	UBS AG	GBP	998		1,613,001		1,555,686		(57,315	)
Canadian Dollar,
Expiring 01/16/15	Citigroup Global Markets	CAD	2,988		2,654,776		2,570,747		(84,029	)
Expiring 01/16/15	Citigroup Global Markets	CAD	1,204		1,075,400		1,035,816		(39,584	)
Expiring 01/16/15	JPMorgan Chase	CAD	1,226		1,068,300		1,054,957		(13,343	)
Expiring 01/16/15	UBS AG	CAD	1,210		1,078,500		1,040,949		(37,551	)
Chilean Peso,
Expiring 01/12/15	Citigroup Global Markets	CLP	633,382		1,079,200		1,042,128		(37,072	)
Expiring 01/15/15	Citigroup Global Markets	CLP	628,012		1,075,400		1,032,918		(42,482	)
Expiring 01/15/15	Citigroup Global Markets	CLP	623,470		1,074,300		1,025,447		(48,853	)

SEE NOTES TO FINANCIAL STATEMENTS.

A47

Forward foreign currency exchange contracts outstanding at December 31, 2014 (continued):


Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Payable		Current Value		Unrealized Appreciation (Depreciation)
Chinese Renminbi,
Expiring 01/15/15	Citigroup Global Markets	CNH	18,969	$	3,065,860	$	3,051,683	$	(14,177	)
Expiring 01/15/15	Citigroup Global Markets	CNH	9,919		1,613,000		1,595,795		(17,205	)
Expiring 01/15/15	Citigroup Global Markets	CNH	6,655		1,079,200		1,070,714		(8,486	)
Expiring 01/15/15	Hong Kong & Shanghai Bank	CNH	18,798		3,038,380		3,024,111		(14,269	)
Expiring 01/15/15	JPMorgan Chase	CNH	37,956		6,135,243		6,106,232		(29,011	)
Expiring 01/15/15	UBS AG	CNH	22,618		3,655,659		3,638,726		(16,933	)
Euro,
Expiring 01/28/15	Bank of America	EUR	13,427		17,041,210		16,251,735		(789,475	)
Indian Rupee,
Expiring 01/28/15	Barclays Capital Group	INR	197,575		3,177,629		3,110,951		(66,678	)
Malaysian Ringgit,
Expiring 01/09/15	Citigroup Global Markets	MYR	2,131		645,312		608,925		(36,387	)
Expiring 01/09/15	Goldman Sachs & Co.	MYR	3,196		967,911		913,388		(54,523	)
Mexican Peso,
Expiring 01/22/15	Citigroup Global Markets	MXN	3,113		213,900		210,696		(3,204	)
Expiring 01/22/15	JPMorgan Chase	MXN	674		49,308		45,642		(3,666	)
Expiring 01/22/15	JPMorgan Chase	MXN	4,611		320,500		312,109		(8,391	)
Expiring 01/22/15	Toronto Dominion	MXN	51,542		3,787,117		3,488,694		(298,423	)
New Zealand Dollar,
Expiring 01/16/15	Barclays Capital Group	NZD	2,790		2,211,024		2,172,552		(38,472	)
Norwegian Krone,
Expiring 01/26/15	JPMorgan Chase	NOK	210		31,625		28,126		(3,499	)
Philippine Peso,
Expiring 02/12/15	Barclays Capital Group	PHP	95,137		2,114,164		2,122,100		7,936
Polish Zloty,
Expiring 01/26/15	Deutsche Bank AG	PLN	2,072		608,134		584,447		(23,687	)
Russian Ruble,
Expiring 02/09/15	Credit Suisse First Boston Corp.	RUB	34,831		622,309		559,755		(62,554	)
Singapore Dollar,
Expiring 01/23/15	Deutsche Bank AG	SGD	1,372		1,079,199		1,034,902		(44,297	)
Expiring 01/23/15	Goldman Sachs & Co.	SGD	1,369		1,078,400		1,032,918		(45,482	)
Expiring 01/23/15	Toronto Dominion	SGD	2,790		2,185,490		2,105,171		(80,319	)
South African Rand,
Expiring 01/23/15	Deutsche Bank AG	ZAR	1,070		94,622		92,152		(2,470	)
Turkish Lira,
Expiring 01/20/15	Barclays Capital Group	TRY	2,424		1,070,800		1,033,264		(37,536	)
Expiring 01/20/15	Citigroup Global Markets	TRY	8,106		3,583,544		3,455,266		(128,278	)
Expiring 01/20/15	JPMorgan Chase	TRY	3,460		1,508,159		1,474,845		(33,314	)

				$	76,911,317	$	74,480,257	$	(2,431,060	)


Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Receivable		Current Value		Unrealized Appreciation (Depreciation)
Australian Dollar,
Expiring 01/16/15	Citigroup Global Markets	AUD	339	$	294,285	$	276,677	$	17,608
Expiring 01/16/15	Citigroup Global Markets	AUD	1,239		1,071,800		1,010,624		61,176
Expiring 01/16/15	Citigroup Global Markets	AUD	1,253		1,070,100		1,021,331		48,769
Brazilian Real,
Expiring 03/11/15	Citigroup Global Markets	BRL	1,143		427,800		421,857		5,943
British Pound,
Expiring 01/28/15	Bank of America	GBP	1,274		2,053,628		1,985,662		67,966
Expiring 01/28/15	JPMorgan Chase	GBP	1,690		2,669,000		2,633,554		35,446
Expiring 01/28/15	JPMorgan Chase	GBP	4,250		6,830,287		6,621,884		208,403

SEE NOTES TO FINANCIAL STATEMENTS.

A48

Forward foreign currency exchange contracts outstanding at December 31, 2014 (continued):


Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Receivable		Current Value		Unrealized Appreciation (Depreciation)
Canadian Dollar,
Expiring 01/16/15	Goldman Sachs & Co.	CAD	1,102	$	963,700	$	948,011	$	15,689
Expiring 01/16/15	JPMorgan Chase	CAD	1,220		1,071,800		1,049,730		22,070
Expiring 01/16/15	JPMorgan Chase	CAD	1,226		1,068,300		1,054,804		13,496
Expiring 01/16/15	UBS AG	CAD	3,066		2,697,400		2,637,760		59,640
Chilean Peso,
Expiring 01/15/15	Citigroup Global Markets	CLP	902,980		1,498,100		1,485,169		12,931
Expiring 01/15/15	Citigroup Global Markets	CLP	955,396		1,605,600		1,571,380		34,220
Chinese Renminbi,
Expiring 01/15/15	Barclays Capital Group	CNH	3,513		567,797		565,204		2,593
Expiring 01/15/15	Citigroup Global Markets	CNH	16,559		2,678,400		2,663,908		14,492
Expiring 01/15/15	Deutsche Bank AG	CNH	6,698		1,082,598		1,077,566		5,032
Expiring 01/15/15	Deutsche Bank AG	CNH	15,906		2,563,900		2,558,969		4,931
Expiring 01/15/15	Deutsche Bank AG	CNH	72,232		11,672,500		11,620,581		51,919
Hungarian Forint,
Expiring 01/22/15	JPMorgan Chase	HUF	219,665		913,338		839,137		74,201
Indian Rupee,
Expiring 01/28/15	UBS AG	INR	100,273		1,606,300		1,578,866		27,434
Expiring 01/28/15	UBS AG	INR	100,388		1,607,100		1,580,665		26,435
Japanese Yen,
Expiring 01/28/15	Toronto Dominion	JPY	162,438		1,503,292		1,356,471		146,821
Malaysian Ringgit,
Expiring 01/09/15	UBS AG	MYR	5,402		1,606,200		1,543,953		62,247
Mexican Peso,
Expiring 01/22/15	Citigroup Global Markets	MXN	13,704		968,100		927,565		40,535
Expiring 01/22/15	Deutsche Bank AG	MXN	14,947		1,076,100		1,011,725		64,375
Expiring 01/22/15	Deutsche Bank AG	MXN	39,457		2,891,200		2,670,697		220,503
New Zealand Dollar,
Expiring 01/16/15	Deutsche Bank AG	NZD	1,398		1,070,100		1,088,702		(18,602	)
Expiring 01/16/15	UBS AG	NZD	1,397		1,071,800		1,087,626		(15,826	)
Philippine Peso,
Expiring 02/12/15	UBS AG	PHP	96,057		2,142,700		2,142,617		83
Polish Zloty,
Expiring 01/26/15	Barclays Capital Group	PLN	4,386		1,310,665		1,237,187		73,478
Singapore Dollar,
Expiring 01/23/15	Deutsche Bank AG	SGD	1,383		1,070,800		1,043,260		27,540
Expiring 01/23/15	Goldman Sachs & Co.	SGD	4,152		3,215,400		3,132,357		83,043
South African Rand,
Expiring 01/23/15	Citigroup Global Markets	ZAR	3,953		354,792		340,415		14,377
Turkish Lira,
Expiring 01/20/15	Credit Suisse First Boston Corp.	TRY	55,105		24,125,975		23,488,804		637,171
Expiring 01/23/15	JPMorgan Chase	TRY	4,127		1,819,201		1,757,957		61,244

				$	90,240,058	$	88,032,675	$	2,207,383

								$	(223,677	)

Interest rate swap agreements outstanding at December 31, 2014:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements:
AUD	1,270		12/19/32		4.423%	6 Month BBSW(2)	$	124,091		$	—	$	124,091		Barclays Capital Group
AUD	1,620		12/20/32		4.420%	6 Month BBSW(2)		157,594			—		157,594		Citigroup Global Markets
BRL	7,942		01/01/17		8.330%	1 Day Brazil Interbank Rate(2)		(355,302	)		—		(355,302	)	Citigroup Global Markets
BRL	13,135		01/01/17		9.130%	1 Day Brazil Interbank Rate(2)		(397,175	)		—		(397,175	)	Barclays Capital Group

SEE NOTES TO FINANCIAL STATEMENTS.

A49

Interest rate swap agreements outstanding at December 31, 2014 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements (cont’d):
BRL	37,393		01/02/17		10.580%	1 Day Brazil Interbank Rate(2)	$	(579,307	)	$	—	$	(579,307	)	Hong Kong & Shanghai Bank
BRL	18,086		01/01/18		11.770%	1 Day Brazil Interbank Rate(2)		(152,761	)		—		(152,761	)	Deutsche Bank AG
BRL	7,343		01/01/21		12.640%	1 Day Brazil Interbank Rate(2)		156,747			—		156,747		Deutsche Bank AG
BRL	7,360		01/01/21		11.300%	1 Day Brazil Interbank Rate(2)		(115,793	)		—		(115,793	)	Barclays Bank PLC
MXN	76,000		06/20/18		6.020%	28 Day Mexican Interbank Rate(2)		200,106			—		200,106		Credit Suisse First Boston Corp.
MXN	73,100		11/09/18		5.410%	28 Day Mexican Interbank Rate(2)		77,488			—		77,488		Deutsche Bank AG
MXN	20,100		04/28/23		5.100%	28 Day Mexican Interbank Rate(2)		(79,609	)		—		(79,609	)	Barclays Capital Group
	RUB 65,000		05/20/23		7.250%	3 Month MOSPRIME(2)		(269,140	)		—		(269,140	)	Credit Suisse First Boston Corp.
	25,690		11/15/19		1.334%	3 Month LIBOR(1)		458,998			—		458,998		Citigroup Global Markets
ZAR	10,000		09/03/33		8.970%	3 Month JIBAR(2)		48,632			—		48,632		Hong Kong & Shanghai Bank

							$	(725,431	)	$	—	$	(725,431	)


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
AUD	2,300		03/07/29		4.743%	6 Month BBSW(2)	$	(23,575	)	$	289,388		$	312,963
EUR	8,050		08/04/16		0.078%	1 Day EUROIS(1)		2,317			(28,404	)		(30,721	)
EUR	6,100		08/01/19		0.346%	1 Day EUROIS(1)		8,259			(125,330	)		(133,589	)
EUR	8,050		08/04/24		1.054%	1 Day EUROIS(1)		(38,513	)		(605,467	)		(566,954	)
GBP	1,490		11/03/24		1.960%	6 Month GBP LIBOR(1)		868			(112,780	)		(113,648	)
MXN	65,000		12/02/15		5.080%	28 Day Mexican Interbank Rate(2)		(8,519	)		57,201			65,720
MXN	70,000		04/18/19		5.480%	28 Day Mexican Interbank Rate(2)		(15,163	)		56,968			72,131
MXN	48,200		05/25/22		6.370%	28 Day Mexican Interbank Rate(2)		(20,475	)		112,161			132,636
MXN	38,000		08/13/24		6.120%	28 Day Mexican Interbank Rate(2)		(3,150	)		11,478			14,628
MXN	13,900		07/27/34		6.720%	28 Day Mexican Interbank Rate(2)		1,499			(18,998	)		(20,497	)
	27,365		06/30/16		0.618%	3 Month LIBOR(1)		218			13,691			13,473
	124,560		06/30/16		0.655%	3 Month LIBOR(1)		(15,650	)		(6,520	)		9,130
	34,630		06/30/16		0.655%	3 Month LIBOR(1)		236			(1,880	)		(2,116	)
	15,400		08/27/16		0.698%	3 Month LIBOR(1)		188			8,081			7,893
	5,000		09/30/16		0.711%	6 Month LIBOR(1)		162			5,152			4,990
	32,800		09/30/16		0.759%	3 Month LIBOR(1)		232			6,713			6,481
	10,050		09/30/16		0.877%	3 Month LIBOR(1)		175			(18,082	)		(18,257	)
	13,200		11/10/16		0.739%	6 Month LIBOR(1)		183			20,844			20,661
	6,815		12/24/17		1.384%	3 Month LIBOR(1)		995			(19,638	)		(20,633	)
	5,150		02/28/19		1.625%	6 Month LIBOR(1)		173			(3,004	)		(3,177	)
	19,300		02/28/19		1.806%	3 Month LIBOR(1)		42,047			(152,617	)		(194,664	)
	7,450		11/06/19		1.753%	6 Month LIBOR(1)		184			(1,418	)		(1,602	)
	9,010		12/02/19		1.639%	6 Month LIBOR(1)		191			52,291			52,100
	16,250		07/31/21		2.290%	3 Month LIBOR(1)		247			(299,837	)		(300,084	)
ZAR	20,000		10/22/23		7.625%	3 Month JIBAR(2)		318			(21,875	)		(22,193	)
ZAR	38,300		11/14/23		8.190%	3 Month JIBAR(2)		(17,452	)		76,961			94,413

							$	(84,005	)	$	(704,921	)	$	(620,916	)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A50

Credit default swap agreements outstanding at December 31, 2014:


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Implied Credit Spread at December 31, 2014(5)			Fair Value			Upfront Premiums Paid (Received)		Unrealized Depreciation			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
American International Group, Inc.		03/20/18		3.700%		3,700		0.289	%	$	(408,094	)	$	—	$	(408,094	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		0.658	%		(36,179	)		229,661		(265,840	)	JPMorgan Chase
Toll Brothers Financial Corp.		03/20/15		1.000%		4,695		0.578	%		(9,906	)		8,900		(18,806	)	Credit Suisse First Boston Corp.
Westvaco Corp.		09/20/19		1.000%		4,400		0.190	%		(70,278	)		49,517		(119,795	)	JPMorgan Chase

										$	(524,457	)	$	288,078	$	(812,535	)


Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Fair Value(3)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V5		12/20/16		5.000%		6,650	$	343,569	$	278,931	$	64,638	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V5		12/20/16		5.000%		12,825		662,597		586,032		76,565	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		18,525		957,084		800,177		156,907	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		11,875		613,515		520,355		93,160	Deutsche Bank AG

							$	2,576,765	$	2,185,495	$	391,270


Reference Entity/ Obligation	Termination Date		Fixed Rate			Notional Amount (000)#(4)		Value at Trade Date			Value at December 31, 2014(3)			Unrealized Appreciation (Depreciation)
Exchange-Traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.22.V1		06/20/19		1.000	%		140,000	$	(2,140,293	)	$	(2,525,295	)	$	(385,002	)
ITRAXX.XO.22.V1		12/20/19		5.000	%		EUR 10,700		(984,857	)		(866,607	)		118,250

								$	(3,125,150	)	$	(3,391,902	)	$	(266,752	)

A U.S. Treasury obligation with a market value of $4,578,525 has been segregated with Citigroup Global Markets to cover requirements for open exchanged-traded interest rate and credit default swap contracts at December 31, 2014.

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

(1)

(2)

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

(3)

The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A51

(5)

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

Currency swap agreements outstanding at December 31, 2014:


Notional Amount (000)#		Fund Receives		Notional Amount (000)#			Fund Pays	Counterparty	Termination Date	Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
	Over-the-counter swap agreements:
	22,206		3 Month LIBOR		EUR	16,740	3 Month EURIBOR minus 26.25 bps	Barclays Capital Group	01/25/15	$	1,966,201		$	—		$	1,966,201
	502		3 Month LIBOR		JPY	50,000	3 Month JPY LIBOR minus 54.00 bps	Barclays Capital Group	10/12/16		86,286			—			86,286
	18,547		3 Month LIBOR		EUR	13,940	3 Month EURIBOR minus 26.00 bps	Citigroup Global Markets	01/25/15		1,693,003			—			1,693,003
	956		3 Month LIBOR		JPY	93,235	3 Month JPY LIBOR minus 32.75 bps	Citigroup Global Markets	05/02/15		179,168			—			179,168
	384		3 Month LIBOR plus 333 bps		JPY	30,000	4.500%	Citigroup Global Markets	06/08/15		128,713			(15,095	)		143,808
	1,284		3 Month LIBOR plus 313 bps		JPY	100,000	4.500%	Citigroup Global Markets	06/08/15		431,867			(56,202	)		488,069
	1,541		3 Month LIBOR plus 432 bps		JPY	120,000	3.450%	Citigroup Global Markets	03/24/17		582,302			7,475			574,827
	5,882		3 Month LIBOR		JPY	600,000	3 Month JPY LIBOR minus 31.25 bps	Deutsche Bank AG	05/14/17		871,363			—			871,363
	1,040		3 Month LIBOR		EUR	780	3 Month EURIBOR minus 25.75 bps	Hong Kong & Shanghai Bank	01/17/15		96,229			—			96,229
	8,984		3 Month LIBOR		EUR	6,770	3 Month EURIBOR minus 26.00 bps	Hong Kong & Shanghai Bank	01/25/15		798,504			—			798,504
TRY	20,000		8.68%			9,749	3 Month LIBOR	Hong Kong & Shanghai Bank	09/05/15		(940,132	)		—			(940,132	)
TRY	23,640		8.69%			11,376	3 Month LIBOR	Hong Kong & Shanghai Bank	09/09/15		(971,920	)		—			(971,920	)
	1,157		3 Month LIBOR		EUR	900	3 Month EURIBOR minus 31.75 bps	Hong Kong & Shanghai Bank	09/28/17		73,805			—			73,805
JPY	265,000		3 Month JPY LIBOR minus 43.35 bps		USD	2,250	3 Month LIBOR	JPMorgan Chase	11/26/16		(40,980	)		—			(40,980	)
JPY	1,060,000		3 Month JPY LIBOR minus 42.10 bps		USD	8,979	3 Month LIBOR	JPMorgan Chase	11/28/16		(142,535	)		—			(142,535	)
	2,250		3 Month LIBOR		JPY	265,000	3 Month JPY LIBOR minus 69.88 bps	JPMorgan Chase	11/26/24		44,578			—			44,578
	8,979		3 Month LIBOR		JPY	1,060,000	3 Month JPY LIBOR minus 67.32 bps	JPMorgan Chase	11/28/24		134,808			—			134,808

										$	4,991,260		$	(63,822	)	$	5,055,082

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A52

The following is a summary of the inputs used as of December 31, 2014 in valuing such portfolio securities:


	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	48,131,538		$	—
Non-Residential Mortgage-Backed Securities		—			3,787,113			—
Residential Mortgage-Backed Securities		—			60,762,411			—
Bank Loans		—			34,245,128			4,745,724
Commercial Mortgage-Backed Securities		—			107,166,762			—
Corporate Bonds		—			476,266,233			6,610,851
Foreign Agencies		—			24,800,449			—
Municipal Bonds		—			21,143,099			—
Sovereigns		—			54,137,068			—
U.S. Government Agency Obligations		—			18,948,890			—
U.S. Treasury Obligations		—			45,262,623			—
Preferred Stock		1,196,100			—			—
Affiliated Mutual Funds		207,851,542			—			—
Options Purchased		560,903			—			—
Options Written		(376,488	)		—			—
Other Financial Instruments*
Futures Contracts		1,360,087			—			—
Forward Foreign Currency Exchange Contracts		—			(223,677	)		—
Over-the-counter interest rate swaps		—			(725,431	)		—
Exchange-traded interest rate swaps		—			(620,916	)		—
Over-the-counter credit default swaps		—			2,052,308			—
Exchange-traded credit default swaps		—			(266,752	)		—
Currency Swap Agreements		—			4,991,260			—

Total	$	210,592,144		$	899,858,106		$	11,356,575

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


	Collateralized Loan Obligations			Bank Loans			Corporate Bonds			Credit Default Swaps
Balance as of 12/31/13	$	2,490,000		$	3,303,636		$	7,438,596		$	(5,934	)
Realized gain (loss)		—			5,249			—			—	**
Change in unrealized appreciation (depreciation)***		—			(283,791	)		180,205			5,934
Purchases		—			1,695,750			—			—
Sales		—			(13,749	)		(1,007,163	)		—
Accrued discount/premium		—			38,629			(787	)		—
Transfer into Level 3		—			—			—			—
Transfer out of Level 3		(2,490,000	)		—			—			—

Balance as of 12/31/14	$	—		$	4,745,724		$	6,610,851		$	—

**	The realized loss incurred during the period for other financial instruments was $(6,016).

***	Of which, $(103,586) was 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, 1 Collateralized Loan Obligation transferred out of Level 3 as a result of being valued by an independent pricing source.

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board of Trustees, which contain unobservable inputs. Such methodologies include, but are 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A53

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


Affiliated Mutual Funds (including 6.3% of collateral for securities on loan)	19.5	%
Banking	12.2
Commercial Mortgage-Backed Securities	10.0
Residential Mortgage-Backed Securities	5.7
Sovereigns	5.1
Collateralized Loan Obligations	4.5
U.S. Treasury Obligations	4.2
Healthcare & Pharmaceutical	3.8
Electric	3.5
Insurance	3.5
Technology	2.4
Foreign Agencies	2.3
Telecommunications	2.3
Media & Entertainment	2.0
Municipal Bonds	2.0
U.S. Government Agency Obligations	1.8
Chemicals	1.8
Capital Goods	1.7
Cable	1.7
Non-Captive Finance	1.4
Energy – Other	1.3
Healthcare Insurance	1.3
Automotive	1.2
Foods	1.1


Metals	1.0	%
Building Materials & Construction	0.9
Energy – Integrated	0.7
Pipelines & Other	0.7
Airlines	0.6
Retailers	0.5
Tobacco	0.5
Paper	0.5
Packaging	0.4
Gaming	0.4
Lodging	0.4
Non-Residential Mortgage-Backed Securities	0.3
Aerospace & Defense	0.3
Real Estate Investment Trusts	0.2
Financials	0.2
Consumer	0.2
Brokerage	0.2
Options Purchased	0.1
Options Written	—	**

	104.4
Liabilities in excess of other assets	(4.4	)

	100.0	%

**	Less than 0.05%

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

Fair values of derivative instruments as of December 31, 2014 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Credit contracts

Due from/to broker — variation margin swaps

118,250

Due from/to broker — variation margin swaps

385,002

Credit contracts

Premiums paid for swap agreements

2,473,573

—

Credit contracts

Unrealized appreciation on swap agreements

391,270

Unrealized depreciation on swap agreements

812,535

Foreign exchange contracts

Unrealized appreciation on forward currency contracts

2,258,375

Unrealized depreciation on forward currency contracts

2,482,052

Interest rate contracts

Due from/to broker — variation margin futures

1,362,257

Due from/to broker — variation margin futures

2,170

Interest rate contracts

Due from/to broker — variation margin swaps

807,219

Due from/to broker — variation margin swaps

1,428,135

Interest rate contracts

Premiums paid for swap agreements

7,475

Premiums received for swap agreements

71,297

Interest rate contracts

Unaffiliated investments

560,903

Options written outstanding, at value

376,488

Interest rate contracts

Unrealized appreciation on swap agreements

8,374,305

Unrealized depreciation on swap agreements

4,044,654

Total

16,353,627

9,602,333

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

SEE NOTES TO FINANCIAL STATEMENTS.

A54

The effects of derivative instruments on the Statement of Operations for the period ended December 31, 2014 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	$	—	$	—	$	—	$	—		$	(3,820,533	)	$	(3,820,533	)
Foreign exchange contracts		—		—		—		(4,275,385	)		—			(4,275,385	)
Interest rate contracts		227,647		1,330,804		11,798,002		—			7,569,203			20,925,656

Total	$	227,647	$	1,330,804	$	11,798,002	$	(4,275,385	)	$	3,748,670		$	12,829,738

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

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


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*			Options Written		Futures		Forward and Cross Currency Contracts**			Swaps		Total
Credit contracts	$	—		$	—	$	—	$	—		$	1,054,334	$	1,054,334
Foreign exchange contracts		—			—		—		(1,264,115	)		—		(1,264,115	)
Interest rate contracts		(75,561	)		79,130		7,035,847		—			4,828,759		11,868,175

Total	$	(75,561	)	$	79,130	$	7,035,847	$	(1,264,115	)	$	5,883,093	$	11,658,394

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

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

For the year ended December 31, 2014, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased (Cost)	Options Written (Notional Amount in USD (000))	Futures Long Positions (Value at Trade Date)	Futures Short Positions (Value at Trade Date)	Forward Currency Contracts—Purchased (Value at Settlement Date Payable)
$1,049,812	$336,092	$334,902,652	$36,931,563	$179,113,300


Forward Currency Contracts—Sold (Value at Settlement Date Receivable)	Cross Currency Exchange Contracts (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))
$150,491,222	$5,564	$402,655	$231,179	$50,085

Currency Swaps
(Notional Amount in USD (000))

$95,016

SEE NOTES TO FINANCIAL STATEMENTS.

A55

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


Counterparty	Gross amounts of recognized assets(1)		Gross amounts available for offset			Collateral Received(3)			Net Amount
Bank of America	$	67,966	$	(67,966	)	$	—		$	—
Barclays Capital Group		2,260,585		(782,195	)		(1,314,051	)		164,339
BNP Paribas		—		—			—			—
Citigroup Global Markets		3,961,621		(886,356	)		(2,854,000	)		221,265
Credit Suisse First Boston Corp.		1,189,746		(350,500	)		(612,529	)		226,717
Deutsche Bank AG		3,713,094		(649,911	)		(3,476,748	)		—
Goldman Sachs & Co.		98,732		(98,732	)		—			—
Hong Kong & Shanghai Bank		1,017,170		(1,017,170	)		—			—
JPMorgan Chase		873,424		(767,895	)		—			105,529
Toronto Dominion		146,821		(146,821	)		—			—
UBS AG		175,839		(127,625	)		—			48,214

	$	13,504,998


Counterparty	Gross amounts of recognized liabilities(2)			Gross amounts available for offset		Collateral Pledged(3)		Net Amount
Bank of America	$	(789,475	)	$	67,966	$	652,308	$	(69,201	)
Barclays Capital Group		(782,195	)		782,195		—		—
BNP Paribas		(72,206	)		—		308,537		—
Citigroup Global Markets		(886,356	)		886,356		—		—
Credit Suisse First Boston Corp.		(350,500	)		350,500		—		—
Deutsche Bank AG		(649,911	)		649,911		—		—
Goldman Sachs & Co.		(100,005	)		98,732		—		(1,273	)
Hong Kong & Shanghai Bank		(2,505,628	)		1,017,170		1,734,381		—
JPMorgan Chase		(767,895	)		767,895		—		—
Toronto Dominion		(378,742	)		146,821		—		(231,921	)
UBS AG		(127,625	)		127,625		—		—

	$	(7,410,538	)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A56


		*DIVERSIFIED BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014


ASSETS
Investments at value, including securities on loan of $65,304,385:
Unaffiliated investments (cost $865,308,096)	$	907,764,892
Affiliated investments (cost $212,525,069)		207,851,542
Cash		375,987
Foreign currency, at value (cost $3,237,737)		3,237,206
Dividends and interest receivable		9,737,023
Unrealized appreciation on over-the-counter swap agreements		8,765,575
Premium paid for swap agreements		2,481,048
Unrealized appreciation on forward foreign currency exchange contracts		2,258,375
Receivable for Series shares sold		505,324
Due from broker-variation margin futures		495,062
Receivable for investments sold		45,842
Tax reclaim receivable		2,300
Prepaid expenses		8,448

Total Assets		1,143,528,624

LIABILITIES
Payable to broker for collateral for securities on loan		66,800,717
Unrealized depreciation on over-the-counter swap agreements		4,857,189
Unrealized depreciation on forward foreign currency exchange contracts		2,482,052
Options written outstanding, at value (premiums received $455,618)		376,488
Management fee payable		362,628
Payable for investments purchased		330,175
Accrued expenses		182,130
Payable for Series shares repurchased		161,884
Premium received for swap agreements		71,297
Due to broker-variation margin swaps		28,692
Deferred trustees’ fees		2,433
Affiliated transfer agent fee payable		926

Total Liabilities		75,656,611

NET ASSETS	$	1,067,872,013

Net assets were comprised of:
Paid-in capital	$	967,430,105
Retained earnings		100,441,908

Net assets, December 31, 2014	$	1,067,872,013

Net asset value and redemption price per share $1,067,872,013 / 91,577,056 outstanding shares of beneficial interest	$	11.66

STATEMENT OF OPERATIONS

Year Ended December 31, 2014


NET INVESTMENT INCOME
INCOME
Interest income (net of foreign withholding taxes of $23,111)	$	43,932,870
Affiliated dividend income		1,311,372
Affiliated income from securities loaned, net		87,801
Unaffiliated dividend income		86,067

Total income		45,418,110

EXPENSES
Management fee		4,356,571
Custodian’s fees and expenses		221,000
Shareholders’ reports		104,000
Audit fee		50,000
Insurance expenses		17,000
Trustees’ fees		15,000
Commitment fee on syndicated credit agreement		15,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		12,000
Loan interest expense		4,216
Miscellaneous		14,611

Total expenses		4,821,398

NET INVESTMENT INCOME		40,596,712

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		7,354,116
Futures transactions		11,798,002
Options written transactions		1,330,804
Swap agreement transactions		3,748,670
Foreign currency transactions		(4,861,173	)

		19,370,419

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $1,442,452)		4,381,251
Futures		7,035,847
Options written		79,130
Swap agreements		5,883,093
Foreign currencies		(1,345,527	)

		16,033,794

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		35,404,213

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	76,000,925

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	40,596,712		$	51,213,022
Net realized gain (loss) on investment and foreign currency transactions		19,370,419			(9,582,132	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		16,033,794			(51,666,169	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		76,000,925			(10,035,279	)

DISTRIBUTIONS		(11,827,554	)		(84,677,590	)

SERIES SHARE TRANSACTIONS
Series shares sold [2,077,773 and 2,523,548 shares, respectively]		23,745,718			29,114,479
Series shares issued in reinvestment of distributions [1,060,767 and 7,523,922 shares, respectively]		11,827,554			84,677,590
Series shares repurchased [20,335,487 and 11,154,465 shares, respectively]		(229,380,709	)		(127,474,174	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(193,807,437	)		(13,682,105	)

TOTAL DECREASE		(129,634,066	)		(108,394,974	)
NET ASSETS:
Beginning of year		1,197,506,079			1,305,901,053

End of year	$	1,067,872,013		$	1,197,506,079

SEE NOTES TO FINANCIAL STATEMENTS.

A57


LONG-TERM INVESTMENTS — 97.4%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 1.7%
Boeing Co. (The)		526,863	$	68,481,653

Airlines — 1.6%
United Continental Holdings, Inc.*		962,224		64,363,163

Auto Components — 1.2%
Lear Corp.		507,344		49,760,300

Automobiles — 1.6%
General Motors Co.		923,660		32,244,971
Tesla Motors, Inc.*(a)		151,223		33,633,507

				65,878,478

Banks — 6.3%
Bank of America Corp.		2,415,132		43,206,712
Citigroup, Inc.		975,066		52,760,821
JPMorgan Chase & Co.		869,336		54,403,047
PNC Financial Services Group, Inc. (The)		451,475		41,188,064
Wells Fargo & Co.		1,093,957		59,970,723

				251,529,367

Biotechnology — 6.1%
Alexion Pharmaceuticals, Inc.*		204,893		37,911,352
Biogen Idec, Inc.*		193,219		65,588,190
Celgene Corp.*		918,312		102,722,380
Gilead Sciences, Inc.*		393,529		37,094,043

				243,315,965

Capital Markets — 3.0%
Goldman Sachs Group, Inc. (The)		207,328		40,186,386
Morgan Stanley		2,114,441		82,040,311

				122,226,697

Chemicals — 1.2%
FMC Corp.		532,322		30,358,323
Monsanto Co.		134,042		16,013,998

				46,372,321

Communications Equipment — 0.8%
Brocade Communications Systems, Inc.		2,772,634		32,827,987

Consumer Finance — 1.9%
Capital One Financial Corp.		464,458		38,341,008
SLM Corp.		3,725,236		37,960,155

				76,301,163

Diversified Financial Services — 0.7%
Voya Financial, Inc.		622,810		26,394,688

Diversified Telecommunication Services — 0.6%
CenturyLink, Inc.		580,271		22,967,126

Electric Utilities — 1.2%
FirstEnergy Corp.		1,224,023		47,724,657

Electrical Equipment — 1.0%
Eaton Corp. PLC		578,802		39,335,384

Electronic Equipment, Instruments & Components — 0.8%
Flextronics International Ltd.*		2,704,678		30,238,300

Energy Equipment & Services — 1.5%
Halliburton Co.		717,100		28,203,543


COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
Schlumberger Ltd.		351,539	$	30,024,946

				58,228,489

Food & Staples Retailing — 1.2%
Costco Wholesale Corp.		342,759		48,586,088

Food Products — 3.0%
Bunge Ltd.		425,616		38,692,750
Mondelez International, Inc. (Class A Stock)		2,238,738		81,322,158

				120,014,908

Hotels, Restaurants & Leisure — 3.4%
Carnival Corp.		1,075,377		48,746,840
Marriott International, Inc. (Class A Stock)		540,209		42,152,508
Starbucks Corp.		543,281		44,576,206

				135,475,554

Independent Power & Renewable Electricity Producers — 0.7%
NRG Energy, Inc.		1,056,845		28,481,973

Industrial Conglomerates — 0.8%
Siemens AG (Germany), ADR(a)		303,416		33,982,592

Insurance — 1.7%
MetLife, Inc.		855,760		46,288,058
Travelers Cos., Inc. (The)		223,666		23,675,046

				69,963,104

Internet & Catalog Retail — 4.1%
Amazon.com, Inc.*		184,080		57,129,228
Netflix, Inc.*		107,201		36,620,934
Priceline Group, Inc. (The)*		43,052		49,088,321
TripAdvisor, Inc.*		303,125		22,631,312

				165,469,795

Internet Software & Services — 7.7%
Alibaba Group Holding Ltd. (China), ADR*(a)		618,967		64,335,430
Facebook, Inc. (Class A Stock)*		1,424,115		111,109,452
Google, Inc. (Class A Stock)*		58,977		31,296,735
Google, Inc. (Class C Stock)*		59,398		31,267,107
LendingClub Corp.*(a)		43,935		1,111,556
LinkedIn Corp. (Class A Stock)*(a)		190,737		43,814,196
Twitter, Inc*		730,787		26,213,330

				309,147,806

IT Services — 2.9%
FleetCor Technologies, Inc.*		267,564		39,789,442
MasterCard, Inc. (Class A Stock)		879,235		75,754,888

				115,544,330

Life Sciences Tools & Services — 0.9%
Illumina, Inc.*		206,378		38,093,251

Machinery — 1.0%
SPX Corp.		478,749		41,134,114

Media — 3.0%
Comcast Corp. (Class A Stock)		852,659		49,462,749
Walt Disney Co. (The)		756,470		71,251,909

				120,714,658

SEE NOTES TO FINANCIAL STATEMENTS.

A58


COMMON STOCKS (continued)	Shares		Value (Note 2)
Multiline Retail — 1.2%
Target Corp.		628,113	$	47,680,058

Oil, Gas & Consumable Fuels — 5.9%
Chevron Corp.		357,838		40,142,267
Concho Resources, Inc.*		269,601		26,892,700
Marathon Oil Corp.		1,177,401		33,308,674
Marathon Petroleum Corp.		334,175		30,162,636
Noble Energy, Inc.		666,719		31,622,482
Occidental Petroleum Corp.		410,422		33,084,117
Suncor Energy, Inc. (Canada)		1,262,075		40,084,840

				235,297,716

Personal Products — 0.5%
Avon Products, Inc.		2,311,950		21,709,211

Pharmaceuticals — 6.8%
Actavis PLC*		379,024		97,564,568
Bayer AG (Germany), ADR		310,713		42,517,967
Bristol-Myers Squibb Co.		871,686		51,455,625
Shire PLC (Ireland), ADR		140,369		29,834,027
Teva Pharmaceutical Industries Ltd. (Israel), ADR		873,714		50,247,292

				271,619,479

Road & Rail — 2.0%
Canadian Pacific Railway Ltd. (Canada)		277,016		53,378,213
Hertz Global Holdings, Inc.*		1,134,552		28,295,727

				81,673,940

Semiconductors & Semiconductor Equipment — 2.3%
Applied Materials, Inc.		3,737,875		93,147,845

Software — 5.6%
Adobe Systems, Inc.*		525,404		38,196,871
Microsoft Corp.		1,027,543		47,729,372
Red Hat, Inc.*		507,601		35,095,533
salesforce.com, Inc.*		860,932		51,061,877
Splunk, Inc.*(a)		471,387		27,788,264
Workday, Inc. (Class A Stock)*(a)		286,207		23,357,353

				223,229,270

Specialty Retail — 1.8%
Inditex SA (Spain), ADR		2,909,759		41,318,578
Tiffany & Co.		306,838		32,788,708

				74,107,286

Technology Hardware, Storage & Peripherals — 6.3%
Apple, Inc.		1,223,254		135,022,777
EMC Corp.		1,423,673		42,340,035
Hewlett-Packard Co.		1,334,678		53,560,628
NCR Corp.*		791,732		23,071,070

				253,994,510

Textiles, Apparel & Luxury Goods — 2.5%
Burberry Group PLC (United Kingdom)		1,110,620		28,178,403
NIKE, Inc. (Class B Stock)		757,417		72,825,644

				101,004,047


COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services — 0.9%
SBA Communications Corp. (Class A Stock)*		337,009	$	37,327,117

TOTAL LONG-TERM INVESTMENTS (cost $2,720,111,496)				3,913,344,390

SHORT-TERM INVESTMENT — 6.5%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund(cost $262,415,177; includes $166,375,351 of cash collateral for securities on loan) (Note 4)(b)(c)		262,415,177		262,415,177

TOTAL INVESTMENTS — 103.9% (cost $2,982,526,673)				4,175,759,567
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.9)%				(155,961,644	)

NET ASSETS — 100.0%			$	4,019,797,923

See the Glossary for abbreviations used in the Portfolio descriptions.

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $160,971,207; cash collateral of $166,375,351 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

Level 3—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A59

The following is a summary of the inputs used as of December 31, 2014 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	68,481,653	$	—	$	—
Airlines		64,363,163		—		—
Auto Components		49,760,300		—		—
Automobiles		65,878,478		—		—
Banks		251,529,367		—		—
Biotechnology		243,315,965		—		—
Capital Markets		122,226,697		—		—
Chemicals		46,372,321		—		—
Communications Equipment		32,827,987		—		—
Consumer Finance		76,301,163		—		—
Diversified Financial Services		26,394,688		—		—
Diversified Telecommunication Services		22,967,126		—		—
Electric Utilities		47,724,657		—		—
Electrical Equipment		39,335,384		—		—
Electronic Equipment, Instruments & Components		30,238,300		—		—
Energy Equipment & Services		58,228,489		—		—
Food & Staples Retailing		48,586,088		—		—
Food Products		120,014,908		—		—
Hotels, Restaurants & Leisure		135,475,554		—		—
Independent Power & Renewable Electricity Producers		28,481,973		—		—
Industrial Conglomerates		33,982,592		—		—
Insurance		69,963,104		—		—
Internet & Catalog Retail		165,469,795		—		—
Internet Software & Services		309,147,806		—		—
IT Services		115,544,330		—		—
Life Sciences Tools & Services		38,093,251		—		—
Machinery		41,134,114		—		—
Media		120,714,658		—		—
Multiline Retail		47,680,058		—		—
Oil, Gas & Consumable Fuels		235,297,716		—		—
Personal Products		21,709,211		—		—
Pharmaceuticals		271,619,479		—		—
Road & Rail		81,673,940		—		—
Semiconductors & Semiconductor Equipment		93,147,845		—		—
Software		223,229,270		—		—
Specialty Retail		74,107,286		—		—
Technology Hardware, Storage & Peripherals		253,994,510		—		—
Textiles, Apparel & Luxury Goods		72,825,644		28,178,403		—
Wireless Telecommunication Services		37,327,117		—		—
Affiliated Money Market Mutual Fund		262,415,177		—		—

Total	$	4,147,581,164	$	28,178,403	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A60

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


Internet Software & Services	7.7	%
Pharmaceuticals	6.8
Affiliated Money Market Mutual Fund (including 4.1% of collateral for securities on loan)	6.5
Technology Hardware, Storage & Peripherals	6.3
Banks	6.3
Biotechnology	6.1
Oil, Gas & Consumable Fuels	5.9
Software	5.6
Internet & Catalog Retail	4.1
Hotels, Restaurants & Leisure	3.4
Capital Markets	3.0
Media	3.0
Food Products	3.0
IT Services	2.9
Textiles, Apparel & Luxury Goods	2.5
Semiconductors & Semiconductor Equipment	2.3
Road & Rail	2.0
Consumer Finance	1.9
Specialty Retail	1.8
Insurance	1.7
Aerospace & Defense	1.7


Automobiles	1.6	%
Airlines	1.6
Energy Equipment & Services	1.5
Auto Components	1.2
Food & Staples Retailing	1.2
Electric Utilities	1.2
Multiline Retail	1.2
Chemicals	1.2
Machinery	1.0
Electrical Equipment	1.0
Life Sciences Tools & Services	0.9
Wireless Telecommunication Services	0.9
Industrial Conglomerates	0.8
Communications Equipment	0.8
Electronic Equipment, Instruments & Components	0.8
Independent Power & Renewable Electricity Producers	0.7
Diversified Financial Services	0.7
Diversified Telecommunication Services	0.6
Personal Products	0.5

	103.9
Liabilities in excess of other assets	(3.9	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A61


		*EQUITY PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014


ASSETS
Investments at value, including securities on loan of $160,971,207:
Unaffiliated investments (cost $2,720,111,496)	$	3,913,344,390
Affiliated investments (cost $262,415,177)		262,415,177
Cash		20,954
Receivable for investments sold		12,726,871
Dividends receivable		3,295,048
Tax reclaim receivable		1,893,059
Receivable for Series shares sold		1,424
Prepaid expenses		32,029

Total Assets		4,193,728,952

LIABILITIES
Payable to broker for collateral for securities on loan		166,375,351
Payable for investments purchased		5,243,514
Management fee payable		1,536,457
Payable for Series shares reacquired		487,209
Accrued expenses		286,499
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		604
Distribution fee payable		469

Total Liabilities		173,931,029

NET ASSETS	$	4,019,797,923

Net assets were comprised of:
Paid-in capital	$	2,153,051,496
Retained earnings		1,866,746,427

Net assets, December 31, 2014	$	4,019,797,923

Class I:
Net asset value and redemption price per share, $4,017,593,708 / 104,202,346 outstanding shares of beneficial interest	$	38.56

Class II:
Net asset value and redemption price per share, $2,204,215 / 57,015 outstanding shares of beneficial interest	$	38.66

STATEMENT OF OPERATIONS

Year Ended December 31, 2014


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of $1,113,394 foreign withholding tax)	$	38,807,187
Affiliated income from securities lending, net		589,730
Affiliated dividend income		118,263

Total income		39,515,180

EXPENSES
Management fee		17,908,918
Distribution fee—Class II		5,984
Administration fee—Class II		3,590
Custodian’s fees and expenses		441,000
Reports to shareholders		207,000
Insurance fees		49,000
Trustees’ fees		42,000
Audit fee		25,000
Legal fees and expenses		19,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Miscellaneous		21,110

Total expenses		18,734,602

NET INVESTMENT INCOME		20,780,578

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		365,924,279
Foreign currency transactions		(34,946	)

		365,889,333

Net change in unrealized appreciation (depreciation) on:
Investments		(92,042,018	)
Foreign currencies		(146,844	)

		(92,188,862	)

NET GAIN ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS		273,700,471

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	294,481,049

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	20,780,578		$	30,516,315
Net realized gain on investment and foreign currency transactions		365,889,333			417,610,720
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(92,188,862	)		579,405,992

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		294,481,049			1,027,533,027

SERIES SHARE TRANSACTIONS (Note 7)
Series shares sold		12,816,469			15,823,185
Series shares repurchased		(260,744,091	)		(238,940,216	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(247,927,622	)		(223,117,031	)

TOTAL INCREASE		46,553,427			804,415,996
NET ASSETS:
Beginning of year		3,973,244,496			3,168,828,500

End of year	$	4,019,797,923		$	3,973,244,496

SEE NOTES TO FINANCIAL STATEMENTS.

A62


LONG-TERM INVESTMENTS — 95.1%
COMMON STOCKS — 69.6%	Shares		Value (Note 2)
Aerospace & Defense — 1.3%
BAE Systems PLC (United Kingdom)		33,033	$	241,577
General Dynamics Corp.		138,100		19,005,322
Honeywell International, Inc.		23,300		2,328,136
L-3 Communications Holdings, Inc.		7,200		908,712
Safran SA (France)		3,828		236,169
Spirit AeroSystems Holdings, Inc. (Class A Stock)*		115,200		4,958,208
Thales SA (France)		12,856		695,604
United Technologies Corp.		196,300		22,574,500

				50,948,228

Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		80,300		6,013,667
Deutsche Post AG (Germany)		10,295		334,196
FedEx Corp.		121,100		21,030,226
Royal Mail PLC (United Kingdom)		6,986		46,555

				27,424,644

Airlines — 0.8%
Deutsche Lufthansa AG (Germany)		21,319		353,277
easyJet PLC (United Kingdom)		6,381		165,135
International Consolidated Airlines Group SA (United Kingdom)*		10,892		81,138
Ryanair Holdings PLC (Ireland) ADR*		11,200		798,224
Southwest Airlines Co.		433,900		18,362,648
United Continental Holdings, Inc.*		179,500		12,006,755

				31,767,177

Auto Components — 0.7%
Bridgestone Corp. (Japan)		6,800		235,837
Continental AG (Germany)		1,160		244,671
Delphi Automotive PLC (United Kingdom)		121,000		8,799,120
Johnson Controls, Inc.		309,700		14,970,898
Koito Manufacturing Co. Ltd. (Japan)		1,000		30,592
NGK Spark Plug Co. Ltd. (Japan)		2,000		60,771
NOK Corp. (Japan)		4,700		119,631
Sumitomo Electric Industries Ltd. (Japan)		8,000		99,914
Sumitomo Rubber Industries Ltd. (Japan)		1,800		26,759
Tenneco, Inc.*		46,300		2,621,043
Toyota Industries Corp. (Japan)		6,600		338,262

				27,547,498

Automobiles — 0.3%
Bayerische Motoren Werke AG (Germany)		5,907		637,475
Daimler AG (Germany)		12,168		1,010,604
Fiat Chrysler Automobiles NV (United Kingdom)*		9,150		106,321
Ford Motor Co.		167,800		2,600,900
Fuji Heavy Industries Ltd. (Japan)		32,900		1,164,199
Isuzu Motors Ltd. (Japan)		6,000		73,082
Mazda Motor Corp. (Japan)		2,000		48,031


COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Nissan Motor Co. Ltd. (Japan)		26,100	$	227,638
Peugeot SA (France)*		57,600		705,740
Renault SA (France)		1,999		145,600
Thor Industries, Inc.		54,900		3,067,263
Toyota Motor Corp. (Japan)		30,000		1,869,522
Volkswagen AG (Germany)		301		65,258

				11,721,633

Banks — 4.5%
Aozora Bank Ltd. (Japan)		220,000		681,020
Australia & New Zealand Banking Group Ltd. (Australia)		29,473		766,886
Banco Santander SA (Spain)		209,701		1,760,050
Bank Hapoalim BM (Israel)		150,172		706,128
Bank of America Corp.		1,149,500		20,564,555
Bank of Queensland Ltd. (Australia)		20,761		204,536
BNP Paribas SA (France)		3,281		193,691
CIT Group, Inc.		87,600		4,189,908
Citigroup, Inc.		677,350		36,651,408
Commonwealth Bank of Australia (Australia)		22,626		1,572,027
Credit Agricole SA (France)		60,134		776,243
Danske Bank A/S (Denmark)		21,008		567,969
DBS Group Holdings Ltd. (Singapore)		18,284		283,061
DNB ASA (Norway)		50,843		749,966
Fulton Financial Corp.		99,500		1,229,820
HSBC Holdings PLC (United Kingdom)		201,268		1,901,938
Intesa Sanpaolo SpA (Italy)		9,749		24,021
JPMorgan Chase & Co.		751,594		47,034,753
KeyCorp		1,006,400		13,988,960
Lloyds Banking Group PLC (United Kingdom)*		27,715		32,600
Mitsubishi UFJ Financial Group, Inc. (Japan)		257,800		1,416,412
Mizuho Financial Group, Inc. (Japan)		244,000		409,018
Natixis (France)		113,436		748,523
Oversea-Chinese Banking Corp. Ltd. (Singapore)		31,000		243,907
PNC Financial Services Group, Inc. (The)		83,100		7,581,213
Regions Financial Corp.		631,000		6,663,360
Resona Holdings, Inc. (Japan)		91,200		460,697
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		63,024		800,314
Sumitomo Mitsui Financial Group, Inc. (Japan)		30,700		1,109,889
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		35,000		134,060
Svenska Handelsbanken AB (Sweden) (Class A Stock)		19,910		931,547
Swedbank AB (Sweden) (Class A Stock)		9,663		239,748
United Overseas Bank Ltd. (Singapore)		33,000		608,984

SEE NOTES TO FINANCIAL STATEMENTS.

A63


COMMON STOCKS (continued)	Shares		Value (Note 2)
Banks (continued)
Wells Fargo & Co.		394,112	$	21,605,220
Westpac Banking Corp. (Australia)		8,263		222,240
Yamaguchi Financial Group, Inc. (Japan)		2,000		20,554

				177,075,226

Beverages — 1.7%
Anheuser-Busch InBev NV (Belgium)		13,999		1,575,471
Carlsberg A/S (Denmark) (Class B Stock)		1,092		83,865
Coca-Cola Enterprises, Inc.		228,800		10,117,536
Diageo PLC (United Kingdom)		2,432		69,670
Monster Beverage Corp.*		159,200		17,249,320
PepsiCo, Inc.		378,420		35,783,395
Pernod Ricard SA (France)		2,247		249,727

				65,128,984

Biotechnology — 2.4%
Actelion Ltd. (Switzerland)		4,955		570,425
Alexion Pharmaceuticals, Inc.*		100,300		18,558,509
Amgen, Inc.		115,708		18,431,128
Biogen Idec, Inc.*		84,700		28,751,415
Celgene Corp.*		30,700		3,434,102
CSL Ltd. (Australia)		4,901		344,274
Gilead Sciences, Inc.*		269,200		25,374,792

				95,464,645

Building Products
Assa Abloy AB (Sweden) (Class B Stock)		3,537		186,812
Daikin Industries Ltd. (Japan)		4,400		282,146
Geberit AG (Switzerland)		1,256		424,908

				893,866

Capital Markets — 1.7%
3i Group PLC (United Kingdom)		10,246		71,443
Aberdeen Asset Management PLC (United Kingdom)		52,251		349,139
Bank of New York Mellon Corp. (The)		376,800		15,286,776
Daiwa Securities Group, Inc. (Japan)		11,000		86,132
Franklin Resources, Inc.		229,800		12,724,026
Goldman Sachs Group, Inc. (The)		130,300		25,256,049
Investec PLC (South Africa)		83,607		700,484
Macquarie Group Ltd. (Australia)		3,790		178,725
Partners Group Holding AG (Switzerland)		584		169,907
State Street Corp.		143,000		11,225,500
UBS Group AG (Switzerland)		797		13,700
Waddell & Reed Financial, Inc. (Class A Stock)		51,500		2,565,730

				68,627,611

Chemicals — 1.9%
Asahi Kasei Corp. (Japan)		26,000		237,183
BASF SE (Germany)		2,199		184,455
Cabot Corp.		57,200		2,508,792
Celanese Corp. Series A		196,700		11,794,132


COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Daicel Corp. (Japan)		87,000	$	1,016,202
Dow Chemical Co. (The)		269,900		12,310,139
Eastman Chemical Co.		16,100		1,221,346
Givaudan SA (Switzerland)		25		44,846
K+S AG (Germany)		27,359		754,978
Kaneka Corp. (Japan)		3,000		16,075
Kuraray Co. Ltd. (Japan)		3,600		40,902
LyondellBasell Industries NV (Netherlands) (Class A Stock)		231,800		18,402,602
Nitto Denko Corp. (Japan)		1,600		89,401
Novozymes A/S (Denmark)		317		13,344
Sherwin-Williams Co. (The)		53,700		14,125,248
Westlake Chemical Corp.		173,800		10,617,442
Yara International ASA (Norway)		18,067		804,567

				74,181,654

Commercial Services & Supplies — 0.1%
Dai Nippon Printing Co. Ltd. (Japan)		6,000		54,039
Pitney Bowes, Inc.		86,400		2,105,568
Secom Co. Ltd. (Japan)		2,200		126,400
Securitas AB (Sweden) (Class B Stock)		27,965		338,312
Toppan Printing Co. Ltd. (Japan)		6,000		38,985

				2,663,304

Communications Equipment — 1.6%
Cisco Systems, Inc.		963,900		26,810,879
F5 Networks, Inc.*		18,000		2,348,370
QUALCOMM, Inc.		430,600		32,006,498

				61,165,747

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		20,089		700,205
Ferrovial SA (Spain)		999		19,749
Hochtief AG (Germany)		9,818		692,646
Leighton Holdings Ltd. (Australia)		40,305		733,895
Obayashi Corp. (Japan)		7,000		45,123
Quanta Services, Inc.*		87,500		2,484,125
Skanska AB (Sweden) (Class B Stock)		2,906		62,393
Taisei Corp. (Japan)		11,000		62,392

				4,800,528

Construction Materials
HeidelbergCement AG (Germany)		3,959		279,427
Taiheiyo Cement Corp. (Japan)		12,000		37,648

				317,075

Consumer Finance — 0.5%
Capital One Financial Corp.		232,700		19,209,385
Synchrony Financial*		64,800		1,927,800

				21,137,185

Diversified Consumer Services — 0.1%
H&R Block, Inc.		95,700		3,223,176

Diversified Financial Services — 1.4%
Berkshire Hathaway, Inc. (Class B Stock)*		289,500		43,468,425

SEE NOTES TO FINANCIAL STATEMENTS.

A64


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
CME Group, Inc.		101,000	$	8,953,650
Industrivarden AB (Sweden) (Class C Stock)		31,730		550,775
Investment AB Kinnevik (Sweden)		21,448		697,472
Investor AB (Sweden) (Class B Stock)		19,476		708,105
ORIX Corp. (Japan)		14,000		176,159

				54,554,586

Diversified Telecommunication Services — 1.2%
AT&T, Inc.		630,947		21,193,510
Belgacom SA (Belgium)		1,626		58,997
BT Group PLC (United Kingdom)		140,631		874,736
Koninklijke KPN NV (Netherlands)		34,210		108,013
Nippon Telegraph & Telephone Corp. (Japan)		16,900		863,296
Orange SA (France)		66,947		1,138,552
PCCW Ltd. (Hong Kong)		942,000		641,399
Spark New Zealand Ltd. (New Zealand)		82,292		199,489
Telecom Italia SpA (Italy)		853,845		713,855
Telefonica SA (Spain)		43,853		629,622
Telekom Austria AG (Austria)		7,232		48,297
Verizon Communications, Inc.		412,188		19,282,155
Vivendi SA (France)		11,168		277,978

				46,029,899

Electric Utilities — 0.8%
American Electric Power Co., Inc.		77,500		4,705,800
AusNet Services (Australia)		18,046		19,496
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		52,000		382,396
Chubu Electric Power Co., Inc. (Japan)*		6,300		74,032
Chugoku Electric Power Co., Inc. (The) (Japan)		3,000		39,223
Contact Energy Ltd. (New Zealand)		3,837		19,055
EDP-Energias de Portugal SA (Portugal)		116,565		451,999
Electricite de France (France)		2,447		67,362
Fortum OYJ (Finland)		34,195		742,428
Hokuriku Electric Power Co. (Japan)		1,700		21,710
Kansai Electric Power Co., Inc. (The) (Japan)*		7,000		66,592
Kyushu Electric Power Co., Inc. (Japan)*		4,400		44,067
Power Assets Holdings Ltd. (Hong Kong)		18,000		174,024
PPL Corp.		467,200		16,973,376
Red Electrica Corp. SA (Spain)		1,128		99,435
Shikoku Electric Power Co., Inc. (Japan)*		1,800		21,833
Southern Co. (The)		138,200		6,787,002
SSE PLC (United Kingdom)		10,001		252,697
Tohoku Electric Power Co., Inc. (Japan)		4,600		53,528


COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Tokyo Electric Power Co., Inc. (Japan)*		14,900	$	60,603

				31,056,658

Electrical Equipment — 0.6%
Acuity Brands, Inc.		15,800		2,213,106
AMETEK, Inc.		103,600		5,452,468
Babcock & Wilcox Co. (The)		29,000		878,700
Eaton Corp. PLC		140,700		9,561,972
Emerson Electric Co.		101,100		6,240,903
Fuji Electric Co. Ltd. (Japan)		6,000		23,921
Mitsubishi Electric Corp. (Japan)		76,000		902,733

				25,273,803

Electronic Equipment, Instruments & Components — 0.4%
Arrow Electronics, Inc.*		62,800		3,635,492
Citizen Holdings Co. Ltd. (Japan)		2,700		20,775
Hexagon AB (Sweden) (Class B Stock)		2,669		82,338
Hitachi Ltd. (Japan)		51,000		376,419
Hoya Corp. (Japan)		4,400		148,829
Ingram Micro, Inc. (Class A Stock)*		158,700		4,386,468
Jabil Circuit, Inc.		144,900		3,163,167
Keyence Corp. (Japan)		500		222,797
Murata Manufacturing Co. Ltd. (Japan)		3,300		360,099
Omron Corp. (Japan)		18,000		805,239
TDK Corp. (Japan)		1,300		76,564
Tech Data Corp.*		37,500		2,371,125

				15,649,312

Energy Equipment & Services — 0.9%
Helmerich & Payne, Inc.		103,400		6,971,228
National Oilwell Varco, Inc.		201,200		13,184,636
Noble Corp. PLC(a)		831,700		13,781,269
Transocean Ltd.		3,652		67,014

				34,004,147

Food & Staples Retailing — 2.2%
Carrefour SA (France)		5,959		181,341
Casino Guichard Perrachon SA (France)		4,192		385,516
Costco Wholesale Corp.		92,000		13,041,000
CVS Health Corp.		200,600		19,319,786
Delhaize Group SA (Belgium)		1,068		77,778
J. Sainsbury PLC (United Kingdom)		145,840		556,918
Koninklijke Ahold NV (Netherlands)		45,084		801,274
Kroger Co. (The)		356,700		22,903,707
Lawson, Inc. (Japan)		700		42,300
Metcash Ltd. (Australia)		6,319		9,523
Olam International Ltd. (Singapore)		8,000		12,141
Wal-Mart Stores, Inc.		344,500		29,585,660
Wesfarmers Ltd. (Australia)		11,657		394,679
WM Morrison Supermarkets PLC (United Kingdom)		269,123		767,880

				88,079,503

Food Products — 1.6%
Archer-Daniels-Midland Co.		345,800		17,981,600
Bunge Ltd.		54,600		4,963,686

SEE NOTES TO FINANCIAL STATEMENTS.

A65


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
ConAgra Foods, Inc.		96,400	$	3,497,392
Golden Agri-Resources Ltd. (Singapore)		1,172,000		405,627
Hormel Foods Corp.		19,800		1,031,580
Kellogg Co.		129,800		8,494,112
Kraft Foods Group, Inc.		73,400		4,599,244
Lindt & Spruengli AG (Switzerland)		1		57,702
Nestle SA (Switzerland)		24,764		1,805,321
Nippon Meat Packers, Inc. (Japan)		12,000		262,539
Pilgrim’s Pride Corp.*(a)		148,300		4,862,757
Sanderson Farms, Inc.(a)		12,900		1,083,922
Tate & Lyle PLC (United Kingdom)		8,075		75,659
Tyson Foods, Inc. (Class A Stock)		244,200		9,789,978
Unilever NV (United Kingdom)		31,430		1,229,474
Unilever PLC (United Kingdom)		13,566		551,163
Wilmar International Ltd. (Singapore)		299,000		728,554

				61,420,310

Gas Utilities — 0.3%
AGL Resources, Inc.		175,900		9,588,309
Enagas SA (Spain)		1,942		61,253
Snam SpA (Italy)		22,558		111,645

				9,761,207

Health Care Equipment & Supplies — 1.0%
Abbott Laboratories		372,100		16,751,942
Baxter International, Inc.		21,700		1,590,393
Boston Scientific Corp.*		288,700		3,825,275
C.R. Bard, Inc.		89,500		14,912,490
Intuitive Surgical, Inc.*		3,200		1,692,608
Sonova Holding AG (Switzerland)		202		29,676

				38,802,384

Health Care Providers & Services — 2.1%
Aetna, Inc.		206,000		18,298,980
Alfresa Holdings Corp. (Japan)		1,900		22,944
Anthem, Inc.		97,100		12,202,557
Cigna Corp.		85,100		8,757,641
Express Scripts Holding Co.*		130,700		11,066,369
Fresenius Medical Care AG & Co. KGaA (Germany)		941		70,234
Fresenius SE & Co. KGaA (Germany)		3,983		207,093
Medipal Holdings Corp. (Japan)		50,700		592,160
Sonic Healthcare Ltd. (Australia)		3,921		58,990
Suzuken Co. Ltd. (Japan)		700		19,336
UnitedHealth Group, Inc.		271,500		27,445,935
Universal Health Services, Inc. (Class B Stock)		19,600		2,180,696

				80,922,935

Health Care Technology — 0.2%
Cerner Corp.*(a)		142,500		9,214,050

Hotels, Restaurants & Leisure — 1.6%
Chipotle Mexican Grill, Inc.*		6,100		4,175,511
Las Vegas Sands Corp.		248,600		14,458,576
Marriott Vacations Worldwide Corp.		41,300		3,078,502
McDonald’s Corp.		282,000		26,423,400


COMMON STOCKS (continued)	Shares		Value (Note 2)
Hotels, Restaurants & Leisure (continued)
Merlin Entertainments PLC (United Kingdom)		117,113	$	724,655
Oriental Land Co. Ltd. (Japan)		2,000		461,228
Sodexo SA (France)		3,939		385,567
Tabcorp Holdings Ltd. (Australia)		7,837		26,456
Tatts Group Ltd. (Australia)		15,401		43,315
Whitbread PLC (United Kingdom)		1,821		134,766
Wyndham Worldwide Corp.		56,300		4,828,288
Yum! Brands, Inc.		91,600		6,673,060

				61,413,324

Household Durables — 0.1%
Panasonic Corp. (Japan)		91,800		1,081,261
Persimmon PLC (United Kingdom)		11,131		271,863
Sekisui Chemical Co. Ltd. (Japan)		5,000		60,155
Sony Corp. (Japan)		41,200		840,861
Whirlpool Corp.		16,500		3,196,710

				5,450,850

Household Products — 0.9%
Colgate-Palmolive Co.		191,500		13,249,885
Henkel AG & Co. KGaA (Germany)		8,575		830,650
Kimberly-Clark Corp.		97,900		11,311,366
Procter & Gamble Co. (The)		87,405		7,961,721
Svenska Cellulosa AB SCA (Sweden) (Class B Stock)		6,210		133,880

				33,487,502

Independent Power & Renewable Electricity Producers — 0.2%
AES Corp.		612,300		8,431,371
Electric Power Development Co. Ltd. (Japan)		1,200		40,549

				8,471,920

Industrial Conglomerates — 1.5%
Carlisle Cos., Inc.		57,900		5,224,896
General Electric Co.		2,046,700		51,720,109
Hopewell Holdings Ltd. (Hong Kong)		136,000		495,057
Hutchison Whampoa Ltd. (Hong Kong)		22,000		251,495
Keppel Corp. Ltd. (Singapore)		46,000		306,607
NWS Holdings Ltd. (Hong Kong)		16,000		29,348
Roper Industries, Inc.		8,600		1,344,610
Siemens AG (Germany)		8,036		901,673

				60,273,795

Insurance — 1.8%
Aflac, Inc.		289,000		17,655,010
AIA Group Ltd. (Hong Kong)		7,400		40,814
Allianz SE (Germany)		4,823		798,817
American Financial Group, Inc.		55,800		3,388,176
American International Group, Inc.		230,600		12,915,906
AXA SA (France)		48,141		1,109,318
Baloise Holding AG (Switzerland)		5,739		733,511
CNP Assurances (France)		1,812		32,124
Genworth Financial, Inc. (Class A Stock)*		951,300		8,086,050
Hannover Rueck SE (Germany)		3,503		316,011

SEE NOTES TO FINANCIAL STATEMENTS.

A66


COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance (continued)
Insurance Australia Group Ltd. (Australia)		24,982	$	126,847
Legal & General Group PLC (United Kingdom)		243,947		941,918
Lincoln National Corp.		17,400		1,003,458
MetLife, Inc.		118,500		6,409,665
NN Group NV (Netherlands)*		8,274		247,008
PartnerRe Ltd.		20,100		2,294,013
Prudential PLC (United Kingdom)		27,111		626,793
Suncorp Group Ltd. (Australia)		66,408		758,631
Swiss Life Holding AG (Switzerland)		3,295		778,779
Swiss Re AG (Switzerland)		2,399		200,968
Tokio Marine Holdings, Inc. (Japan)		1,900		61,708
UnipolSai SpA (Italy)		32,183		86,648
Unum Group		345,300		12,044,064

				70,656,237

Internet & Catalog Retail — 0.3%
Priceline Group, Inc. (The)*		6,100		6,955,281
TripAdvisor, Inc.*(a)		64,900		4,845,434

				11,800,715

Internet Software & Services — 1.6%
Akamai Technologies, Inc.*		18,400		1,158,464
Facebook, Inc. (Class A Stock)*		62,300		4,860,646
Google, Inc. (Class A Stock)*		43,600		23,136,776
Google, Inc. (Class C Stock)*		65,700		34,584,480
Mixi, Inc. (Japan)		400		14,748
United Internet AG (Germany)		1,291		58,153

				63,813,267

IT Services — 2.0%
Broadridge Financial Solutions, Inc.		124,400		5,744,792
Cap Gemini SA (France)		11,638		832,319
Cognizant Technology Solutions Corp. (Class A Stock)*		330,500		17,404,130
Computer Sciences Corp.		20,600		1,298,830
DST Systems, Inc.		68,300		6,430,445
Fiserv, Inc.*		161,100		11,433,267
Fujitsu Ltd. (Japan)		20,000		106,633
iGATE Corp.*		27,700		1,093,596
International Business Machines Corp.		84,100		13,493,004
MasterCard, Inc. (Class A Stock)		112,500		9,693,000
Nomura Research Institute Ltd. (Japan)		1,200		36,702
Syntel, Inc.*		49,400		2,222,012
Visa, Inc. (Class A Stock)		35,200		9,229,440

				79,018,170

Leisure Products — 0.2%
Namco Bandai Holdings, Inc. (Japan)		16,800		355,678
Polaris Industries, Inc.		36,900		5,580,756
Sankyo Co. Ltd. (Japan)		500		17,152
Shimano, Inc. (Japan)		800		103,617

				6,057,203


COMMON STOCKS (continued)	Shares		Value (Note 2)
Life Sciences Tools & Services
QIAGEN NV*		2,456	$	57,208

Machinery — 1.2%
Amada Co. Ltd. (Japan)		3,800		32,561
Atlas Copco AB (Sweden) (Class B Stock)		4,036		103,313
Cummins, Inc.		25,800		3,719,586
Dover Corp.		79,800		5,723,256
FANUC Corp. (Japan)		2,100		346,249
IHI Corp. (Japan)		10,000		50,645
Illinois Tool Works, Inc.		107,700		10,199,190
Kone OYJ (Class B Stock) (Finland)		20,242		921,575
Kubota Corp. (Japan)		12,000		174,177
Lincoln Electric Holdings, Inc.		40,600		2,805,054
MAN SE (Germany)		372		41,429
Minebea Co. Ltd. (Japan)		3,000		44,304
NSK Ltd. (Japan)		12,000		141,681
Oshkosh Corp.		106,200		5,166,630
Parker Hannifin Corp.		106,900		13,784,755
Sumitomo Heavy Industries Ltd. (Japan)		39,000		209,780
THK Co. Ltd. (Japan)		1,200		28,838
Timken Co. (The)		92,100		3,930,828
Vallourec SA (France)		5,452		147,759
Wartsila OYJ Abp (Finland)		3,164		141,615
Yangzijiang Shipbuilding Holdings Ltd. (China)		307,000		278,208

				47,991,433

Marine
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock)		41		78,458
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock)		337		670,277
Kuehne + Nagel International AG (Switzerland)		2,071		281,315
Mitsui OSK Lines Ltd. (Japan)		11,000		32,590
Nippon Yusen K.K. (Japan)		17,000		48,017

				1,110,657

Media — 2.0%
Altice SA (Luxembourg)*		922		72,809
Comcast Corp. (Class A Stock)		451,473		26,189,949
Dentsu, Inc. (Japan)		2,300		96,695
DIRECTV*		187,800		16,282,260
Discovery Communications, Inc. (Class C Stock)*		230,200		7,762,344
Hakuhodo DY Holdings, Inc. (Japan)		2,400		22,968
Lagardere SCA (France)		1,236		32,188
Publicis Groupe SA (France)		5,001		358,649
Reed Elsevier PLC (United Kingdom)		12,188		208,196
RTL Group SA (Germany)		397		37,856
Sky PLC (United Kingdom)		10,982		153,269
Thomson Reuters Corp.		34,700		1,399,798
Walt Disney Co. (The)		269,300		25,365,367
Wolters Kluwer NV (Netherlands)		5,359		163,531

				78,145,879

SEE NOTES TO FINANCIAL STATEMENTS.

A67


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.5%
Antofagasta PLC (United Kingdom)		54,958	$	640,370
BHP Billiton Ltd. (Australia)		46,427		1,097,657
BHP Billiton PLC (Australia)		31,175		668,123
Century Aluminum Co.*		39,100		954,040
Fortescue Metals Group Ltd. (Australia)(a)		200,628		440,507
Freeport-McMoRan, Inc.		285,200		6,662,272
JFE Holdings, Inc. (Japan)		3,100		69,133
Kobe Steel Ltd. (Japan)		339,000		583,927
Mitsubishi Materials Corp. (Japan)		11,000		36,492
Nippon Steel & Sumitomo Metal Corp. (Japan)		80,000		198,451
Rio Tinto PLC (United Kingdom)		5,358		246,988
Southern Copper Corp.		240,800		6,790,560
Sumitomo Metal Mining Co. Ltd. (Japan)		58,000		865,064
Voestalpine AG (Austria)		18,095		714,991
Worthington Industries, Inc.		40,200		1,209,618

				21,178,193

Multi-Utilities — 0.6%
AGL Energy Ltd. (Australia)		6,971		76,033
Centrica PLC (United Kingdom)		51,880		224,715
Consolidated Edison, Inc.		43,800		2,891,238
E.ON SE (Germany)		18,473		315,736
National Grid PLC (United Kingdom)		88,696		1,258,536
Public Service Enterprise Group, Inc.		355,900		14,737,819
SCANA Corp.		48,700		2,941,480

				22,445,557

Multiline Retail — 0.2%
Big Lots, Inc.(a)		57,900		2,317,158
Dollar Tree, Inc.*		96,000		6,756,480
Takashimaya Co. Ltd. (Japan)		3,000		23,954

				9,097,592

Oil, Gas & Consumable Fuels — 4.4%
Anadarko Petroleum Corp.		202,100		16,673,250
Apache Corp.		95,700		5,997,519
BP PLC (United Kingdom)		191,288		1,214,217
California Resources Corp.*		59,840		329,719
Chevron Corp.		180,956		20,299,644
ConocoPhillips(a)		225,734		15,589,190
Continental Resources, Inc.*(a)		60,200		2,309,272
Devon Energy Corp.		41,000		2,509,610
Eni SpA (Italy)		32,382		567,221
EQT Corp.		48,700		3,686,590
Exxon Mobil Corp.		575,116		53,169,474
ONEOK, Inc.		120,700		6,009,653
Phillips 66		265,600		19,043,520
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		61,506		2,052,637
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		39,136		1,352,193
Showa Shell Sekiyu K.K. (Japan)		2,000		19,701
SM Energy Co.		39,400		1,520,052


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Statoil ASA (Norway)		29,923	$	526,849
Targa Resources Corp.		10,700		1,134,735
Total SA (France)		33,527		1,717,660
Valero Energy Corp.		344,900		17,072,550
Western Refining, Inc.		38,800		1,465,864
Woodside Petroleum Ltd. (Australia)		7,835		242,316

				174,503,436

Paper & Forest Products
UPM-Kymmene OYJ (Finland)		31,584		517,605

Personal Products
Avon Products, Inc.		181,800		1,707,102

Pharmaceuticals — 4.6%
AbbVie, Inc.		376,400		24,631,616
Allergan, Inc.		41,700		8,865,003
AstraZeneca PLC (United Kingdom)		13,228		934,305
Bayer AG (Germany)		6,588		898,002
Bristol-Myers Squibb Co.		402,500		23,759,575
Eli Lilly & Co.		62,900		4,339,471
GlaxoSmithKline PLC (United Kingdom)		79,961		1,715,454
Johnson & Johnson		273,098		28,557,858
Merck & Co., Inc.		517,800		29,405,862
Merck KGaA (Germany)		2,282		214,756
Mylan, Inc.*		111,200		6,268,344
Novartis AG (Switzerland)		32,251		2,991,070
Novo Nordisk A/S (Denmark) (Class B Stock)		4,080		172,583
Otsuka Holdings Co. Ltd. (Japan)		28,100		842,472
Pfizer, Inc.		1,339,397		41,722,217
Roche Holding AG (Switzerland)		9,700		2,628,140
Sanofi (France)		9,630		877,974
Shire PLC (Ireland)		2,088		148,040
Teva Pharmaceutical Industries Ltd. (Israel)		22,458		1,287,402

				180,260,144

Professional Services
Capita PLC (United Kingdom)		7,028		117,844

Real Estate Investment Trusts (REITs) — 1.1%
American Capital Agency Corp.		300,000		6,549,000
Annaly Capital Management, Inc.		1,110,100		12,000,181
CapitaCommercial Trust (Singapore)		21,000		27,725
CapitaMall Trust (Singapore)		25,000		38,384
Chambers Street Properties(a)		249,900		2,014,194
Federation Centres Ltd. (Australia)		316,717		737,401
Fonciere Des Regions (France)		298		27,543
Franklin Street Properties Corp.		89,800		1,101,846
GPT Group (Australia)		17,850		63,172
Hospitality Properties Trust		201,500		6,246,500
Intu Properties PLC (United Kingdom)		144,554		747,337
Invesco Mortgage Capital, Inc.		198,000		3,061,080
Land Securities Group PLC (United Kingdom)		8,020		144,165

SEE NOTES TO FINANCIAL STATEMENTS.

A68


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Link REIT (The) (Hong Kong)		161,000	$	1,007,982
Prologis, Inc.		183,400		7,891,702
Resource Capital Corp.		186,300		938,952
Simon Property Group, Inc.		11,900		2,167,109

				44,764,273

Real Estate Management & Development — 0.6%
CBRE Group, Inc. (Class A Stock)*		371,800		12,734,150
Cheung Kong Holdings Ltd. (Hong Kong)		37,000		619,632
Deutsche Wohnen AG (Germany)		21,280		501,991
Henderson Land Development Co. Ltd. (Hong Kong)		73,100		508,065
Hysan Development Co. Ltd. (Hong Kong)		152,000		674,577
Jones Lang LaSalle, Inc.		57,700		8,650,961
Kerry Properties Ltd. (Hong Kong)		7,000		25,252
Lend Lease Group (Australia)		5,666		75,465
New World Development Co. Ltd. (Hong Kong)		342,000		392,619
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		6,500		84,373
Swire Properties Ltd. (Hong Kong)		12,400		36,486
Swiss Prime Site AG (Switzerland)		605		44,423

				24,347,994

Road & Rail — 1.2%
Asciano Ltd. (Australia)		10,266		50,275
Aurizon Holdings Ltd. (Australia)		20,678		77,383
Central Japan Railway Co. (Japan)		1,500		224,815
ComfortDelGro Corp. Ltd. (Singapore)		21,000		41,095
CSX Corp.		141,400		5,122,922
Hankyu Hanshin Holdings, Inc. (Japan)		12,000		64,369
MTR Corp. Ltd. (Hong Kong)		14,500		59,323
Norfolk Southern Corp.		138,100		15,137,141
Union Pacific Corp.		233,000		27,757,290
West Japan Railway Co. (Japan)		1,700		80,373

				48,614,986

Semiconductors & Semiconductor Equipment — 2.1%
ASM Pacific Technology Ltd. (Hong Kong)		2,500		23,804
Broadcom Corp. (Class A Stock)		119,500		5,177,935
Infineon Technologies AG (Germany)		27,184		287,658
Integrated Device Technology, Inc.*		117,300		2,299,080
Intel Corp.		1,165,400		42,292,366
Rohm Co. Ltd. (Japan)		1,000		60,253
Skyworks Solutions, Inc.		161,600		11,749,936
Texas Instruments, Inc.		415,700		22,225,400

				84,116,432

Software — 3.1%
Manhattan Associates, Inc.*		59,900		2,439,128


COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Microsoft Corp.		1,386,100	$	64,384,345
Nexon Co. Ltd. (Japan)		17,700		165,001
Oracle Corp.		796,400		35,814,108
Solera Holdings, Inc.		28,700		1,468,866
Symantec Corp.		555,400		14,248,787
Synopsys, Inc.*		47,900		2,082,213

				120,602,448

Specialty Retail — 2.1%
ABC-Mart, Inc. (Japan)		300		14,517
Dixons Carphone PLC (United Kingdom)		115,538		832,680
DSW, Inc. (Class A Stock)		58,700		2,189,510
Finish Line, Inc. (The) (Class A Stock)		32,800		797,368
Gap, Inc. (The)		359,000		15,117,490
Hennes & Mauritz AB (Class B Stock) (Sweden)		10,100		419,605
Home Depot, Inc. (The)		160,000		16,795,200
Lowe’s Cos., Inc.		262,800		18,080,640
Nitori Holdings Co. Ltd. (Japan)		700		37,610
Ross Stores, Inc.		187,500		17,673,750
TJX Cos., Inc. (The)		168,500		11,555,730

				83,514,100

Technology Hardware, Storage & Peripherals — 2.9%
Apple, Inc.		716,500		79,087,270
Brother Industries Ltd. (Japan)		28,300		513,004
EMC Corp.		159,400		4,740,556
FUJIFILM Holdings Corp. (Japan)		11,300		344,803
Hewlett-Packard Co.		741,900		29,772,447
NEC Corp. (Japan)		28,000		81,368
Nokia OYJ (Finland)		16,587		131,184
Ricoh Co. Ltd. (Japan)		7,500		75,818
Seiko Epson Corp. (Japan)		22,100		924,757

				115,671,207

Textiles, Apparel & Luxury Goods — 0.6%
Luxottica Group SpA (Italy)		1,775		97,303
Michael Kors Holdings Ltd.*		207,400		15,575,740
NIKE, Inc. (Class B Stock)		46,400		4,461,360
Pandora A/S (Denmark)		10,759		872,094
Steven Madden Ltd.*		47,900		1,524,657
Swatch Group AG (The) (Switzerland)		438		37,888

				22,569,042

Tobacco — 0.9%
Altria Group, Inc.		218,600		10,770,422
British American Tobacco PLC (United Kingdom)		19,617		1,063,066
Imperial Tobacco Group PLC (United Kingdom)		25,924		1,141,163
Japan Tobacco, Inc. (Japan)		32,100		883,482
Philip Morris International, Inc.		247,800		20,183,310

				34,041,443

Trading Companies & Distributors — 0.2%
Bunzl PLC (United Kingdom)		3,549		97,020
ITOCHU Corp. (Japan)		15,800		168,667

SEE NOTES TO FINANCIAL STATEMENTS.

A69


COMMON STOCKS (continued)	Shares		Value (Note 2)
Trading Companies & Distributors (continued)
Marubeni Corp. (Japan)		17,000	$	101,718
Mitsubishi Corp. (Japan)		45,200		827,166
Mitsui & Co. Ltd. (Japan)		18,300		245,094
MRC Global, Inc.*		137,100		2,077,065
Sumitomo Corp. (Japan)		57,100		586,456
United Rentals, Inc.*		33,300		3,396,933
Wolseley PLC (United Kingdom)		1,340		76,610

				7,576,729

Transportation Infrastructure
Hutchison Port Holdings Trust (Singapore)		61,000		42,090
Kamigumi Co. Ltd. (Japan)		2,000		17,816

				59,906

Water Utilities
Severn Trent PLC (United Kingdom)		21,263		663,178

Wireless Telecommunication Services
KDDI Corp. (Japan)		6,200		389,509
Millicom International Cellular SA, (Luxembourg), SDR		681		50,459


COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services (continued)
Vodafone Group PLC (United Kingdom)		282,414	$	968,294

				1,408,262

TOTAL COMMON STOCKS (cost $2,120,222,134)				2,744,382,608

EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund(a) (cost $1,507,469)		25,300		1,539,252

PREFERRED STOCKS
Automobiles
Bayerische Motoren Werke AG (Germany) (PRFC)		548		44,772
Volkswagen AG (Germany) (PRFC)		2,540		564,530

				609,302

Banks
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b)		22,000		584,760

TOTAL PREFERRED STOCKS (cost $1,184,178)				1,194,062


ASSET-BACKED SECURITIES — 1.7%	Interest Rate			Maturity Date	Principal Amount (000)#
Collateralized Debt Obligation
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A		0.494%	(b)	04/25/19		465	461,180

Collateralized Loan Obligations — 1.5%
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A		1.411%	(b)	04/20/25		2,550	2,506,819
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A		3.360%		04/20/25		500	483,052
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A		0.961%	(b)	05/15/20		3,900	3,921,961
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.419%	(b)	07/13/25		2,700	2,653,309
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A		1.766%	(b)	04/28/26		1,500	1,488,862
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A		1.833%	(b)	10/15/26		2,500	2,491,734
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A		1.796%	(b)	10/15/26		750	745,311
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A		1.800%	(b)	10/17/26		250	249,135
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A		1.431%	(b)	07/15/24		1,200	1,179,382
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.378%	(b)	04/17/25		2,100	2,062,255
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.781%	(b)	04/20/26		2,200	2,189,037
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A		2.031%	(b)	04/20/26		450	431,691
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A		1.780%	(b)	10/18/26		500	496,143
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A		1.701%	(b)	01/20/26		2,300	2,280,781
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A		0.482%	(b)	07/22/20		393	390,393
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A		0.711%	(b)	03/15/20		1,000	995,796
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A		1.704%	(b)	10/15/26		1,250	1,238,048
GE Capital Credit Card Master Note Trust, Series 2012-4, Class B		1.011%	(b)	06/15/18		5,500	5,501,777
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A		3.320%		01/25/27		1,000	984,100
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.371%	(b)	04/15/24		1,850	1,816,709

SEE NOTES TO FINANCIAL STATEMENTS.

A70


ASSET-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.822%	(b)	05/15/26		300	$	298,941
Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A		1.700%	(b)	07/25/26		3,750		3,706,288
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A		1.711%	(b)	04/15/26		2,300		2,280,932
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A		1.685%	(b)	01/18/27		500		494,517
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A		1.702%	(b)	05/18/23		600		597,787
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A		0.483%	(b)	02/22/20		2		1,784
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A		1.382%	(b)	07/22/25		1,200		1,177,034
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A		1.704%	(b)	07/17/26		800		797,810
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.350%		07/17/26		500		503,092
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.281%	(b)	04/15/25		3,200		3,132,525
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A		2.882%	(b)	08/17/22		500		501,395
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A		2.931%	(b)	10/20/23		1,100		1,104,383
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A		2.000%		09/20/29		1,155		1,148,844
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A		1.863%	(b)	01/22/27		2,250		2,241,000
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A		1.351%	(b)	07/15/25		2,700		2,645,346
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A		1.731%	(b)	04/20/26		1,850		1,836,109
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A		4.250%		04/20/26		500		503,086

								57,077,168

Non-Residential Mortgage-Backed Securities — 0.1%
Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A		2.260%		11/15/25		2,000		2,010,676
Ford Credit Auto Owner Trust, Series 2014-REV2, Class A, 144A		2.310%		04/15/26		3,200		3,208,243

								5,218,919

Residential Mortgage-Backed Securities — 0.1%
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1		1.820%	(b)	03/25/33		244		230,657
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3		4.123%	(b)	07/25/35		302		292,745
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1		5.037%	(b)	07/25/34		355		339,430
GSAMP Trust, Series 2004-HE2, Class A3C		1.330%	(b)	09/25/34		674		655,953
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1		0.965%	(b)	06/25/34		657		633,573
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1		1.370%	(b)	05/25/33		401		376,150
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1		1.115%	(b)	06/25/34		884		829,318
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1		1.220%	(b)	12/27/33		748		722,104
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1		1.070%	(b)	07/25/32		372		355,484
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1		1.445%	(b)	09/25/32		464		457,102
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1		0.935%	(b)	02/25/34		802		753,360

								5,645,876

TOTAL ASSET-BACKED SECURITIES (cost $68,297,256)								68,403,143

BANK LOANS(b) — 0.2%
Automotive
Schaeffler AG		4.250%		05/15/20		750		746,250

Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)		3.500%		06/07/20		1,000		981,250

Foods
ARAMARK Corp.		3.250%		09/07/19		534		525,053
Big Heart Pet Brands, Inc.		3.500%		03/09/20		852		815,922

								1,340,975

SEE NOTES TO FINANCIAL STATEMENTS.

A71


BANK LOANS(b) (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical — 0.1%
Biomet, Inc.		3.733%		07/25/17		1,000	$	994,167
Grifols Worldwide Operations USA, Inc.		3.255%		02/26/21		248		244,403
RPI Finance Trust (Luxembourg)		3.250%		11/09/18		1,037		1,033,535

								2,272,105

Technology — 0.1%
Avago Technologies Finance Pte Ltd.		3.750%		05/06/21		1,095		1,088,571
First Data Corp.		3.755%		03/26/18		1,134		1,109,064
TransUnion LLC		4.000%		04/09/21		496		488,186

								2,685,821

TOTAL BANK LOANS (cost $8,088,020)								8,026,401

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Alternative Loan Trust, Series 2004-18CB, Class 3A1		5.250%		09/25/19		276		281,749
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1		6.000%		01/25/36		1,857		1,571,458
Bank of America Mortgage Trust, Series 2005-A, Class 2A1		2.720%	(b)	02/25/35		388		375,261
Bank of America Mortgage Trust, Series 2005-B, Class 2A1		2.656%	(b)	03/25/35		334		302,615
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5		2.535%	(b)	02/25/37		810		788,250
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1		2.105%	(b)	11/25/24		4,866		4,871,545
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN4, Class M1		1.570%	(b)	10/25/24		996		995,852
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1		2.489%	(b)	07/25/35		460		462,622
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1		5.000%		04/25/19		86		87,421
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.573%	(b)	02/25/34		378		377,540
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A		5.000%		03/25/20		119		119,655

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $10,410,433)								10,233,968

COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.2%
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3		5.369%		10/10/45		3,900		3,957,307
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A		5.561%	(b)	04/10/49		5,307		5,678,753
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3		5.585%	(b)	04/10/49		1,500		1,520,496
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3		5.620%		02/10/51		45		45,377
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4		5.710%	(b)	12/10/49		1,000		1,084,385
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3		2.815%		04/10/46		1,100		1,086,545
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4		3.575%		05/10/47		2,750		2,861,818
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3		3.356%		07/10/47		2,800		2,869,362
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,107		1,166,497
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		971,095
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3		2.929%		03/10/46		1,700		1,702,205
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2		2.928%		02/10/47		2,700		2,779,142
Commercial Mortgage Trust, Series 2005-GG5, Class A5		5.224%	(b)	04/10/37		8,050		8,137,061
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(b)	04/10/37		4,500		4,598,109
Commercial Mortgage Trust, Series 2007-GG9, Class A2		5.381%		03/10/39		1,116		1,119,335
Commercial Mortgage Trust, Series 2014-CCRE20, Class A3		3.326%		11/10/47		5,000		5,075,255
Commercial Mortgage Trust, Series 2014-CR18, Class A4		3.550%		07/15/47		2,800		2,899,456
Commercial Mortgage Trust, Series 2014-UBS3, Class A2		2.844%		06/10/47		2,300		2,365,980
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4		5.467%	(b)	02/15/39		2,700		2,777,814
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(b)	02/15/39		640		665,708
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4		4.832%		04/15/37		1,624		1,626,660
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%	(b)	12/25/23		2,515		2,680,703

SEE NOTES TO FINANCIAL STATEMENTS.

A72


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.873%		12/25/21		3,500	$	3,606,148
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2		2.373%		05/25/22		2,000		1,990,534
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(b)	05/25/22		25,390		2,186,944
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(b)	06/25/22		7,173		637,959
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%	(b)	02/25/23		5,800		6,104,976
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%	(b)	07/25/23		2,400		2,562,492
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(b)	08/25/16		6,154		116,268
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(b)	05/25/19		19,640		1,298,726
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(b)	07/25/19		20,734		1,330,697
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4		5.313%	(b)	11/10/45		2,585		2,625,137
GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4		5.274%	(b)	03/10/44		1,980		2,029,060
GS Mortgage Securities Trust, Series 2006-GG6, Class AAB		5.553%	(b)	04/10/38		1,232		1,243,834
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1		3.408%		11/15/47		1,400		1,435,298
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3		4.697%		07/15/42		2		1,547
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM		4.780%		07/15/42		1,000		1,007,794
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM		4.999%	(b)	10/15/42		1,270		1,295,479
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB		5.523%		05/12/45		1,116		1,141,952
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3		3.139%		06/15/45		1,973		2,039,878
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4		2.611%		12/15/47		1,700		1,666,775
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4		2.875%		12/15/47		3,900		3,887,032
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2		3.070%		12/15/46		2,700		2,798,469
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,400		1,368,602
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM		5.263%	(b)	11/15/40		1,510		1,557,425
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM		5.677%	(b)	05/12/39		930		976,403
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM		5.517%	(b)	02/12/39		530		551,967
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4		5.869%	(b)	06/12/46		1,736		1,821,270
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2		5.331%		03/12/51		1,925		1,947,949
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3		2.863%		12/15/48		1,500		1,487,852
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4		5.656%	(b)	10/15/42		2,136		2,194,672
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31		5.439%		02/12/44		212		213,054
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB		5.444%		02/12/44		1,775		1,786,204
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB		5.651%	(b)	06/11/42		249		248,848
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,700		1,683,024
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3		2.920%		03/10/46		3,900		3,899,068
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3		2.971%		04/10/46		1,800		1,803,739
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4		5.723%	(b)	05/15/43		584		605,459
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a)		5.509%		04/15/47		4,500		4,739,602

SEE NOTES TO FINANCIAL STATEMENTS.

A73


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A		5.608%	(b)	05/15/46		1,321	$	1,406,633

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $127,802,592)								126,967,833

CORPORATE BONDS — 7.6%
Airlines — 0.1%
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A		6.648%		09/15/17		112		116,423
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A		7.250%		11/10/19		612		706,831
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A(a)		4.750%		01/12/21		709		755,575
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A		4.000%		10/29/24		667		677,469
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A		6.821%		08/10/22		327		379,438
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A		4.950%		05/23/19		519		555,199
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A		5.300%		04/15/19		1,011		1,099,426

								4,290,361

Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes		4.207%		04/15/16		2,090		2,163,244
General Motors Co., Sr. Unsec’d. Notes		6.250%		10/02/43		1,395		1,666,467
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A		2.700%		03/15/17		450		461,095
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250%		11/15/19		715		720,362
Johnson Controls, Inc., Sr. Unsec’d. Notes		5.500%		01/15/16		245		256,570

								5,267,738

Banking — 2.4%
American Express Co., Jr. Sub. Notes(a)		5.200%	(b)	12/31/49		605		614,433
American Express Co., Sr. Unsec’d. Notes		2.650%		12/02/22		2,213		2,170,468
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A		3.875%		09/20/22		645		638,217
Bank of America Corp., Series K, Jr. Sub. Notes		8.000%	(b)	12/29/49		2,200		2,362,250
Bank of America Corp., Sr. Unsec’d. Notes, MTN		3.300%		01/11/23		780		780,060
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a)		4.125%		01/22/24		3,820		4,011,592
Bank of America Corp., Sr. Unsec’d. Notes, MTN		4.500%		04/01/15		595		600,591
Bank of America Corp., Sr. Unsec’d. Notes, MTN		5.000%		05/13/21		630		702,987
Bank of America Corp., Sr. Unsec’d. Notes		5.700%		01/24/22		1,770		2,050,434
Bank of America Corp., Sr. Unsec’d. Notes		6.000%		09/01/17		1,075		1,185,352
Bank of America Corp., Sr. Unsec’d. Notes,		4.000%		04/01/24		975		1,015,194
Bank of America Corp., Sr. Unsec’d. Notes, Series 1		3.750%		07/12/16		870		901,110
Bank of America Corp., Sub. Notes		5.750%		08/15/16		1,775		1,889,647
Bank of America NA, Sub. Notes		5.300%		03/15/17		930		998,973
Bank of America NA, Sub. Notes		6.000%		10/15/36		410		513,550
Bank of Nova Scotia (Canada), Covered Notes, 144A		1.650%		10/29/15		1,535		1,548,318
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		5.300%		10/30/15		515		533,877
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		6.400%		10/02/17		330		369,570
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes		7.250%		02/01/18		1,175		1,354,246
Capital One Bank USA NA, Sub. Notes		3.375%		02/15/23		1,560		1,551,328
Capital One Financial Corp., Sr. Unsec’d. Notes(a)		3.750%		04/24/24		2,590		2,645,941
Citigroup, Inc., Sr. Unsec’d. Notes		3.875%		10/25/23		1,900		1,974,864
Citigroup, Inc., Sr. Unsec’d. Notes		3.953%		06/15/16		1,010		1,048,452
Citigroup, Inc., Sr. Unsec’d. Notes(a)		4.500%		01/14/22		2,450		2,677,257
Citigroup, Inc., Sr. Unsec’d. Notes		6.875%		03/05/38		24		32,699
Citigroup, Inc., Sr. Unsec’d. Notes		8.125%		07/15/39		710		1,086,963
Citigroup, Inc., Sr. Unsec’d. Notes		8.500%		05/22/19		1,895		2,361,297
Citigroup, Inc., Sub. Notes		6.125%		08/25/36		570		679,481

SEE NOTES TO FINANCIAL STATEMENTS.

A74


CORPORATE BONDS (continued)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Compass Bank, Sr. Unsec’d. Notes	1.850%	09/29/17		1,270	$	1,264,583
Discover Bank, Sr. Unsec’d. Notes	4.250%	03/13/26		970		1,005,501
Discover Bank, Sub. Notes	7.000%	04/15/20		570		671,770
Discover Financial Services, Sr. Unsec’d. Notes	3.850%	11/21/22		900		915,662
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	3.625%	02/07/16		2,000		2,052,116
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	5.250%	07/27/21		2,055		2,319,400
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	5.750%	01/24/22		3,620		4,187,569
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	6.250%	02/01/41		270		341,319
Goldman Sachs Group, Inc. (The), Sub. Notes	5.625%	01/15/17		1,190		1,276,390
Goldman Sachs Group, Inc. (The), Sub. Notes(a)	6.750%	10/01/37		104		130,767
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	4.875%	01/14/22		1,910		2,128,980
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	5.100%	04/05/21		1,025		1,158,658
Huntington Bancshares, Inc., Sub. Notes(a)	7.000%	12/15/20		170		204,600
Intesa Sanpaolo SpA (Italy), Gtd. Notes	3.125%	01/15/16		1,395		1,417,048
JPMorgan Chase & Co., Jr. Sub. Notes(a)	6.100%(b)	12/31/49		1,275		1,271,813
JPMorgan Chase & Co., Jr. Sub. Notes	7.900%(b)	04/29/49		2,000		2,152,600
JPMorgan Chase & Co., Sr. Unsec’d. Notes	4.250%	10/15/20		2,930		3,150,043
JPMorgan Chase & Co., Sub. Notes	5.625%	08/16/43		490		569,823
Lloyds Bank PLC (United Kingdom), Gtd. Notes	6.375%	01/21/21		1,400		1,682,796
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A	5.800%	01/13/20		1,870		2,160,869
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN	6.400%	08/28/17		20		22,283
Morgan Stanley, Jr. Sub. Notes(a)	5.450%(b)	12/31/49		840		841,512
Morgan Stanley, Sr. Unsec’d. Notes, MTN	5.450%	01/09/17		1,345		1,444,145
Morgan Stanley, Sr. Unsec’d. Notes, MTN	5.500%	07/28/21		2,360		2,678,319
Morgan Stanley, Sr. Unsec’d. Notes, MTN(a)	5.625%	09/23/19		1,415		1,597,244
Morgan Stanley, Sr. Unsec’d. Notes	5.750%	01/25/21		1,400		1,607,131
Morgan Stanley, Sr. Unsec’d. Notes(a)	6.375%	07/24/42		780		1,035,867
Morgan Stanley, Sr. Unsec’d. Notes, MTN	6.625%	04/01/18		105		119,599
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes	6.346%(b)	07/29/49		800		852,130
Northern Trust Corp., Sub. Notes	3.950%	10/30/25		990		1,030,349
People’s United Bank, Sub. Notes	4.000%	07/15/24		465		470,995
People’s United Financial, Inc., Sr. Unsec’d. Notes	3.650%	12/06/22		1,455		1,466,764
PNC Bank NA, Sub. Notes	3.800%	07/25/23		270		278,315
PNC Funding Corp., Gtd. Notes	6.700%	06/10/19		440		520,972
Royal Bank of Canada (Canada), Covered Notes(a)	2.200%	09/23/19		2,940		2,961,521
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes	2.550%	09/18/15		455		459,555
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	3.000%	09/24/15		955		966,447
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes	2.450%	01/10/19		1,210		1,215,478
US Bancorp, Sub. Notes, MTN	2.950%	07/15/22		1,120		1,104,067
Wells Fargo & Co., Sub. Notes(a)	4.650%	11/04/44		1,165		1,202,118
Westpac Banking Corp. (Australia), Covered Notes, 144A	2.000%	05/21/19		5,315		5,295,887

						95,532,156

Brokerage
Jefferies Group LLC, Sr. Unsec’d. Notes	6.500%	01/20/43		560		571,245
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c)	6.875%	02/06/12		1,715		250,819
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c)	6.875%	05/02/18		700		104,125
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN	2.000%	09/13/16		820		826,615

						1,752,804

Building Materials & Construction — 0.1%
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A (original cost $800,000; purchased 10/27/14)(d)	5.375%	11/15/24		800		798,000
D.R. Horton, Inc., Gtd. Notes(a)	3.625%	02/15/18		450		455,625
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A (original cost $740,000; purchased 06/19/14)(d)(e)	5.250%	06/27/29		740		647,130
Owens Corning, Inc., Gtd. Notes	4.200%	12/15/22		775		786,531

						2,687,286

SEE NOTES TO FINANCIAL STATEMENTS.

A75


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 0.2%
Cablevision Systems Corp., Sr. Unsec’d. Notes		8.625%	09/15/17		1,000	$	1,112,500
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(a)		7.250%	10/30/17		1,400		1,456,700
Comcast Cable Communications Holdings, Inc., Gtd. Notes		9.455%	11/15/22		255		366,599
Comcast Corp., Gtd. Notes		6.400%	05/15/38		530		707,659
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.500%	03/01/16		920		943,997
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		3.550%	03/15/15		165		165,979
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes		5.150%	03/15/42		860		888,690
DISH DBS Corp., Gtd. Notes(a)		7.125%	02/01/16		1,000		1,051,250
Time Warner Cable, Inc., Gtd. Notes		5.850%	05/01/17		1,710		1,866,549
Videotron Ltd. (Canada), Gtd. Notes		5.000%	07/15/22		1,040		1,058,200

							9,618,123

Capital Goods — 0.3%
Actuant Corp., Gtd. Notes		5.625%	06/15/22		1,205		1,250,187
Case New Holland Industrial, Inc., Gtd. Notes		7.875%	12/01/17		1,255		1,380,500
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,299,722; purchased 10/10/07)(d)(e)		6.375%	10/15/17		1,302		1,461,888
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $501,539; purchased 05/30/13)(d)(e)		6.700%	06/01/34		420		540,285
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $376,709; purchased 10/10/07)(d)(e)		7.000%	10/15/37		380		512,093
General Electric Co., Sr. Unsec’d. Notes		4.125%	10/09/42		190		196,690
General Electric Co., Sr. Unsec’d. Notes		4.500%	03/11/44		280		307,782
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(d)(e)		2.500%	03/15/16		1,890		1,916,010
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $499,515; purchased 05/08/12)(d)(e)		3.125%	05/11/15		500		504,050
SPX Corp., Gtd. Notes(a)		6.875%	09/01/17		950		1,037,875
United Rentals North America, Inc., Gtd. Notes		7.375%	05/15/20		1,000		1,080,000
United Technologies Corp., Sr. Unsec’d. Notes(a)		4.500%	06/01/42		1,445		1,573,300
Xylem, Inc., Sr. Unsec’d. Notes		4.875%	10/01/21		1,260		1,361,230

							13,121,890

Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes		3.150%	10/01/22		780		761,412
CF Industries, Inc., Gtd. Notes(a)		5.375%	03/15/44		585		631,154
Dow Chemical Co. (The), Sr. Unsec’d. Notes		4.625%	10/01/44		45		45,571
Dow Chemical Co. (The), Sr. Unsec’d. Notes		9.400%	05/15/39		347		563,019
Koppers, Inc., Gtd. Notes		7.875%	12/01/19		1,300		1,334,125
LyondellBasell Industries NV, Sr. Unsec’d. Notes		5.000%	04/15/19		1,000		1,090,764
Monsanto Co., Sr. Unsec’d. Notes		4.200%	07/15/34		195		203,190
Monsanto Co., Sr. Unsec’d. Notes		4.400%	07/15/44		235		243,823
Mosaic Co. (The), Sr. Unsec’d. Notes		5.450%	11/15/33		345		390,335
Mosaic Co. (The), Sr. Unsec’d. Notes		5.625%	11/15/43		1,135		1,300,727
Union Carbide Corp., Sr. Unsec’d. Notes		7.500%	06/01/25		460		595,404

							7,159,524

Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes		6.250%	04/15/18		1,700		1,917,020

Electric — 0.4%
Arizona Public Service Co., Sr. Unsec’d. Notes		6.250%	08/01/16		175		189,528
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes(a)		6.350%	10/01/36		550		750,846
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes		6.125%	04/01/36		310		389,463
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge.		6.950%	03/15/33		590		823,627
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C		5.500%	12/01/39		220		264,069
Duke Energy Carolinas LLC, First Mortgage		6.050%	04/15/38		550		715,185
Duke Energy Carolinas LLC, First Ref. Mortgage		4.000%	09/30/42		570		584,906
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		7.375%	11/01/22		345		351,038
Dynegy Finance I, Inc./Dynegy Finance II, Inc., Sr. Sec’d. Notes, 144A		6.750%	11/01/19		455		462,963
El Paso Electric Co., Sr. Unsec’d. Notes		6.000%	05/15/35		670		839,678

SEE NOTES TO FINANCIAL STATEMENTS.

A76


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Electric (continued)
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes		8.625%		08/01/15		1,295	$	1,347,034
Exelon Corp., Sr. Unsec’d. Notes		4.900%		06/15/15		155		157,772
Exelon Generation Co. LLC, Sr. Unsec’d. Notes		6.250%		10/01/39		1,425		1,711,526
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A		5.450%		07/15/44		355		382,642
Florida Power & Light Co., First Mortgage		5.950%		10/01/33		295		389,076
Iberdrola International BV (Spain), Gtd. Notes		6.750%		09/15/33		145		179,892
Nevada Power Co., Gen. Ref. Mtge.		6.500%		05/15/18		1,260		1,451,548
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A		4.881%		08/15/19		610		674,659
Northeast Utilities, Sr. Unsec’d. Notes		4.500%		11/15/19		615		668,837
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes		6.375%		01/15/15		345		345,495
Public Service Co. of New Mexico, Sr. Unsec’d. Notes		7.950%		05/15/18		140		164,761
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN		5.800%		05/01/37		535		692,572
Xcel Energy, Inc., Sr. Unsec’d. Notes		4.800%		09/15/41		480		535,392
Xcel Energy, Inc., Sr. Unsec’d. Notes		5.613%		04/01/17		199		217,175

								14,289,684

Energy – Integrated
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A		5.375%		01/26/19		460		396,290
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A		5.400%		02/14/22		800		866,646

								1,262,936

Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		4.677%	(f)	10/10/36		2,000		758,548
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.375%		09/15/17		1,195		1,328,603
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.450%		09/15/36		325		390,551
Anadarko Petroleum Corp., Sr. Unsec’d. Notes		6.950%		06/15/19		250		292,088
Cameron International Corp., Sr. Unsec’d. Notes		4.500%		06/01/21		2,200		2,328,304
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes(a)		4.800%		11/01/43		65		70,049
Nabors Industries, Inc., Gtd. Notes		4.625%		09/15/21		1,070		1,005,310
Newfield Exploration Co., Sr. Sub. Notes(a)		6.875%		02/01/20		375		380,625
Phillips 66, Gtd. Notes		2.950%		05/01/17		490		506,064
Pioneer Natural Resources Co., Sr. Unsec’d. Notes		6.875%		05/01/18		1,500		1,679,137
Transocean, Inc., Gtd. Notes		2.500%		10/15/17		620		548,107
Weatherford International Ltd., Gtd. Notes		5.125%		09/15/20		810		795,792

								10,083,178

Foods — 0.2%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.000%		11/15/39		1,285		1,965,285
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes		8.200%		01/15/39		250		385,955
Bunge Ltd. Finance Corp., Gtd. Notes		8.500%		06/15/19		985		1,207,157
Constellation Brands, Inc., Gtd. Notes		4.250%		05/01/23		1,400		1,389,500
Delhaize Group SA (Belgium), Gtd. Notes		6.500%		06/15/17		480		529,510
Tyson Foods, Inc., Gtd. Notes		6.600%		04/01/16		735		783,513

								6,260,920

Gaming
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a)		4.375%		11/01/18		1,000		1,022,500

Healthcare & Pharmaceutical — 0.6%
Actavis Funding SCS, Gtd. Notes		4.850%		06/15/44		545		553,031
Actavis, Inc., Gtd. Notes		6.125%		08/15/19		445		504,738
Amgen, Inc., Sr. Unsec’d. Notes		5.150%		11/15/41		1,640		1,848,526
Bayer U.S. Finance LLC (Germany), Gtd. Notes, 144A		3.375%		10/08/24		500		508,786
Becton Dickinson and Co., Sr. Unsec’d. Notes		3.734%		12/15/24		1,025		1,055,314
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)		5.125%		08/15/18		1,100		1,138,500
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A		4.125%		10/15/20		665		668,325
Gilead Sciences, Inc., Sr. Unsec’d. Notes		3.500%		02/01/25		1,460		1,498,544
Gilead Sciences, Inc., Sr. Unsec’d. Notes		5.650%		12/01/41		185		229,063
HCA, Inc., Sr. Sec’d. Notes(a)		4.250%		10/15/19		555		563,325
HCA, Inc., Sr. Sec’d. Notes(a)		5.000%		03/15/24		1,100		1,130,250

SEE NOTES TO FINANCIAL STATEMENTS.

A77


CORPORATE BONDS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
HCA, Inc., Sr. Sec’d. Notes(a)		5.250%		04/15/25		400	$	418,000
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a)		3.750%		08/23/22		180		184,154
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes		5.625%		12/15/15		580		603,355
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		3.500%		03/15/25		3,205		3,278,619
Medtronic, Inc., Sr. Unsec’d. Notes, 144A		4.375%		03/15/35		1,355		1,437,460
Mylan, Inc., Gtd. Notes		1.800%		06/24/16		425		427,563
Novartis Capital Corp. (Switzerland), Gtd. Notes		4.400%		05/06/44		1,325		1,484,851
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A(a)		2.875%		09/29/21		5,305		5,371,281
Wyeth LLC, Gtd. Notes		6.450%		02/01/24		60		75,277
Zoetis, Inc., Sr. Unsec’d. Notes		4.700%		02/01/43		120		122,133

								23,101,095

Healthcare Insurance — 0.1%
Aetna, Inc., Sr. Unsec’d. Notes		6.625%		06/15/36		515		686,360
Anthem, Inc., Sr. Unsec’d. Notes		4.625%		05/15/42		390		409,250
Anthem, Inc., Sr. Unsec’d. Notes		4.650%		01/15/43		360		374,674
Cigna Corp., Sr. Unsec’d. Notes		5.875%		03/15/41		650		809,250
Cigna Corp., Sr. Unsec’d. Notes		6.150%		11/15/36		670		835,084
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		3.950%		10/15/42		260		258,443
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.000%		06/15/17		195		216,213
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.500%		06/15/37		420		562,793
UnitedHealth Group, Inc., Sr. Unsec’d. Notes		6.625%		11/15/37		420		573,608

								4,725,675

Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd., Gtd. Notes		5.500%		11/15/20		525		585,595
Allstate Corp. (The), Sr. Unsec’d. Notes		4.500%		06/15/43		150		165,503
American International Group, Inc., Sr. Unsec’d. Notes		4.500%		07/16/44		570		602,211
American International Group, Inc., Sr. Unsec’d. Notes		6.400%		12/15/20		2,425		2,891,740
Aon Corp. (United Kingdom), Gtd. Notes		3.125%		05/27/16		2,655		2,724,367
Axis Specialty Finance LLC, Gtd. Notes		5.875%		06/01/20		1,030		1,166,763
Chubb Corp. (The), Jr. Sub. Notes		6.375%	(b)	03/29/67		1,300		1,393,665
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A		5.100%	(b)	12/29/49		480		499,800
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes		5.125%		04/15/22		755		848,686
Liberty Mutual Group, Inc., Gtd. Notes, 144A		6.500%		05/01/42		365		446,334
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A		7.000%		03/15/34		850		1,079,799
Lincoln National Corp., Jr. Sub. Notes		6.050%	(b)	04/20/67		260		260,000
Lincoln National Corp., Sr. Unsec’d. Notes		6.300%		10/09/37		492		624,220
Lincoln National Corp., Sr. Unsec’d. Notes		7.000%		06/15/40		705		977,715
Lincoln National Corp., Sr. Unsec’d. Notes		8.750%		07/01/19		605		755,966
Markel Corp., Sr. Unsec’d. Notes		5.000%		03/30/43		200		212,379
MetLife, Inc., Sr. Unsec’d. Notes(a)		5.700%		06/15/35		835		1,040,567
MetLife, Inc., Sr. Unsec’d. Notes		6.375%		06/15/34		400		533,016
New York Life Insurance Co., Sub. Notes, 144A(a)		6.750%		11/15/39		660		918,642
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)		5.100%	(b)	10/16/44		1,925		2,011,625
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A		6.063%		03/30/40		370		478,270
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A		6.375%		04/30/20		680		780,703
Pacific Life Insurance Co., Sub. Notes, 144A		9.250%		06/15/39		910		1,431,433
Principal Financial Group, Inc., Gtd. Notes		4.625%		09/15/42		130		136,457
Progressive Corp. (The), Jr. Sub. Notes		6.700%(b)		06/15/37		735		795,086
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A		6.850%		12/16/39		1,450		1,980,452
Unum Group, Sr. Unsec’d. Notes		5.625%		09/15/20		350		394,115
W.R. Berkley Corp., Sr. Unsec’d. Notes		5.600%		05/15/15		555		564,711
W.R. Berkley Corp., Sr. Unsec’d. Notes		6.150%		08/15/19		460		519,182

								26,819,002

Lodging — 0.2%
Choice Hotels International, Inc., Gtd. Notes		5.750%		07/01/22		1,000		1,072,500
Marriott International, Inc., Sr. Unsec’d. Notes		3.000%		03/01/19		580		595,386

SEE NOTES TO FINANCIAL STATEMENTS.

A78


CORPORATE BONDS (continued)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Lodging (continued)
Marriott International, Inc., Sr. Unsec’d. Notes	3.250%	09/15/22		980	$	983,938
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	6.750%	05/15/18		2,800		3,187,128
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	2.500%	03/01/18		490		489,162

						6,328,114

Media & Entertainment — 0.2%
21st Century Fox America, Inc., Gtd. Notes	6.150%	03/01/37		515		645,453
21st Century Fox America, Inc., Gtd. Notes	6.150%	02/15/41		1,315		1,673,535
21st Century Fox America, Inc., Gtd. Notes	6.900%	08/15/39		90		122,011
CBS Corp., Gtd. Notes (original cost $161,953; purchased 07/16/12)(d)(e)	4.850%	07/01/42		155		157,093
Historic TW, Inc., Gtd. Notes	9.150%	02/01/23		505		686,853
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS	6.375%	07/28/17		1,300		1,417,000
Time Warner, Inc., Gtd. Notes	6.200%	03/15/40		210		255,657
Time Warner, Inc., Gtd. Notes	6.250%	03/29/41		1,465		1,819,148
Time Warner, Inc., Gtd. Notes	7.625%	04/15/31		90		125,472
Viacom, Inc., Sr. Unsec’d. Notes (original cost $44,077; purchased 07/25/13)(d)(e)	4.500%	02/27/42		50		48,746
Viacom, Inc., Sr. Unsec’d. Notes (original cost $188,796; purchased 02/11/14)(d)(e)	4.875%	06/15/43		200		195,463
Viacom, Inc., Sr. Unsec’d. Notes (original cost $422,250; purchased 08/12/13)(d)(e)	5.850%	09/01/43		425		472,630

						7,619,061

Metals — 0.1%
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes	5.000%	09/30/43		920		1,042,839
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A	2.050%	10/23/15		1,110		1,117,223
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A	2.700%	10/25/17		1,220		1,234,283
Newmont Mining Corp., Gtd. Notes	6.250%	10/01/39		35		35,502
Southern Copper Corp., Sr. Unsec’d. Notes	7.500%	07/27/35		425		478,122

						3,907,969

Non-Captive Finance — 0.2%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A	3.750%	05/15/19		775		767,250
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a)	5.875%	01/14/38		1,040		1,315,975
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	6.000%	08/07/19		920		1,070,119
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	6.875%	01/10/39		2,270		3,210,931
International Lease Finance Corp., Sr. Unsec’d. Notes	5.750%	05/15/16		375		389,063
Navient LLC, Sr. Unsec’d. Notes, MTN	8.450%	06/15/18		240		267,600

						7,020,938

Packaging
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes	4.500%	01/15/23		1,100		1,067,000

Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(d)(e)	5.400%	11/01/20		290		326,319
International Paper Co., Sr. Unsec’d. Notes	6.000%	11/15/41		1,595		1,867,315
International Paper Co., Sr. Unsec’d. Notes	7.950%	06/15/18		510		601,246
Rock-Tenn Co., Gtd. Notes	4.900%	03/01/22		800		859,351

						3,654,231

Pipelines & Other — 0.1%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	4.650%	06/01/21		675		705,602
Enterprise Products Operating LLC, Gtd. Notes	3.750%	02/15/25		1,345		1,350,122
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	5.950%	02/15/18		510		563,042
NiSource Finance Corp., Gtd. Notes	5.250%	09/15/17		245		267,912
NiSource Finance Corp., Gtd. Notes	5.450%	09/15/20		350		393,859
ONEOK Partners LP, Gtd. Notes	6.650%	10/01/36		145		166,877
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A	4.125%	11/15/19		775		745,937

						4,193,351

SEE NOTES TO FINANCIAL STATEMENTS.

A79


CORPORATE BONDS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Railroads
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes		6.700%	08/01/28		670	$	848,780
CSX Corp., Sr. Unsec’d. Notes		6.150%	05/01/37		715		924,780
Norfolk Southern Corp., Sr. Unsec’d. Notes		5.590%	05/17/25		100		118,870

							1,892,430

Real Estate Investment Trusts (REITs) — 0.1%
Mack-Cali Realty LP, Sr. Unsec’d. Notes		7.750%	08/15/19		765		904,583
ProLogis LP, Gtd. Notes		6.875%	03/15/20		72		84,572
Simon Property Group LP, Sr. Unsec’d. Notes		2.800%	01/30/17		295		303,777
Simon Property Group LP, Sr. Unsec’d. Notes		3.375%	03/15/22		230		236,767
Simon Property Group LP, Sr. Unsec’d. Notes		6.125%	05/30/18		3,080		3,505,326

							5,035,025

Retailers — 0.1%
CVS Health Corp., Sr. Unsec’d. Notes		5.300%	12/05/43		225		268,970
Home Depot, Inc. (The), Sr. Unsec’d. Notes		4.400%	03/15/45		755		825,152
L Brands, Inc., Gtd. Notes(a)		5.625%	02/15/22		1,450		1,558,750
Lowe’s Cos., Inc., Sr. Unsec’d. Notes		6.500%	03/15/29		385		487,766
Macy’s Retail Holdings, Inc., Gtd. Notes(a)		3.875%	01/15/22		360		374,173
Target Corp., Sr. Unsec’d. Notes		3.500%	07/01/24		345		358,170

							3,872,981

Technology — 0.1%
Arrow Electronics, Inc., Sr. Unsec’d. Notes		3.375%	11/01/15		400		407,211
Fiserv, Inc., Gtd. Notes		3.125%	06/15/16		2,410		2,474,338
Oracle Corp., Sr. Unsec’d. Notes(a)		4.300%	07/08/34		920		985,018
Seagate HDD Cayman, Gtd. Notes, 144A		3.750%	11/15/18		605		620,881

							4,487,448

Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes		6.125%	03/30/40		480		567,941
AT&T Corp., Gtd. Notes		8.000%	11/15/31		7		10,315
AT&T, Inc., Sr. Unsec’d. Notes(a)		4.800%	06/15/44		1,305		1,329,738
AT&T, Inc., Sr. Unsec’d. Notes		5.350%	09/01/40		815		882,499
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes		9.625%	12/15/30		400		628,020
Embarq Corp., Sr. Unsec’d. Notes (original cost $367,380; purchased 05/04/11-05/11/11)(d)(e)		7.082%	06/01/16		325		350,225
Embarq Corp., Sr. Unsec’d. Notes (original cost $479,966; purchased 05/12/06)(d)(e)		7.995%	06/01/36		480		536,400
Sprint Communications, Inc., Sr. Unsec’d. Notes		6.000%	12/01/16		1,075		1,124,477
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		6.400%	09/15/33		930		1,145,558
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.550%	09/15/43		1,740		2,229,199
Verizon Communications, Inc., Sr. Unsec’d. Notes(a)		3.500%	11/01/24		1,270		1,247,774
Verizon Communications, Inc., Sr. Unsec’d. Notes		6.350%	04/01/19		3,165		3,667,485
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		4.862%	08/21/46		1,256		1,290,197
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A(a)		5.012%	08/21/54		3,127		3,235,035

							18,244,863

Tobacco — 0.1%
Altria Group, Inc., Gtd. Notes(a)		4.000%	01/31/24		1,500		1,563,871
Altria Group, Inc., Gtd. Notes		9.950%	11/10/38		46		78,690
Altria Group, Inc., Gtd. Notes		10.200%	02/06/39		254		442,250
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A		2.050%	02/11/18		2,050		2,038,514
Lorillard Tobacco Co., Gtd. Notes		3.500%	08/04/16		465		478,702
Lorillard Tobacco Co., Gtd. Notes		8.125%	06/23/19		325		394,006

							4,996,033

TOTAL CORPORATE BONDS (cost $279,703,191)							301,231,336

SEE NOTES TO FINANCIAL STATEMENTS.

A80


FOREIGN AGENCIES — 0.6%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%	07/24/24		800	$	815,642
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A		4.875%	01/15/24		645		674,025
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes		5.125%	06/29/20		400		450,792
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A		9.250%	04/23/19		930		948,135
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes		2.503%	10/30/20		1,378		1,400,959
KFW (Germany), Gov’t. Gtd. Notes, GMTN		2.750%	10/01/20		3,525		3,682,003
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		3,158		3,123,167
Pemex Project Funding Master Trust (Mexico), Gtd. Notes		6.625%	06/15/35		1,624		1,875,720
Pemex Project Funding Master Trust (Mexico), Sr. Unsec’d. Notes		8.625%	12/01/23		350		433,650
Petrobras Global Finance BV (Brazil), Gtd. Notes		2.000%	05/20/16		1,665		1,590,325
Petroleos Mexicanos (Mexico), Gtd. Notes(a)		3.500%	01/30/23		970		927,805
Petroleos Mexicanos (Mexico), Gtd. Notes		4.875%	01/18/24		510		529,890
Petroleos Mexicanos (Mexico), Gtd. Notes		5.500%	01/21/21		2,730		2,955,225
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A		6.299%	05/15/17		1,030		910,520
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A		1.750%	04/10/17		1,620		1,612,273
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A		2.750%	05/07/19		665		667,794
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.844%	05/16/19		1,605		1,615,834

TOTAL FOREIGN AGENCIES (cost $24,401,801)							24,213,759

MUNICIPAL BONDS — 0.4%
California — 0.1%
Bay Area Toll Authority, Revenue Bonds, BABs		6.263%	04/01/49		1,325		1,869,747
State of California, GO, BABs		7.300%	10/01/39		1,270		1,863,522
State of California, GO, BABs		7.500%	04/01/34		475		710,837
State of California, GO, BABs		7.550%	04/01/39		245		377,653
State of California, GO, BABs		7.625%	03/01/40		215		330,014

							5,151,773

Colorado
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs		5.844%	11/01/50		680		945,499

Illinois — 0.1%
Chicago O’Hare International Airport, Revenue Bonds, BABs		6.395%	01/01/40		1,030		1,393,384
State of Illinois, GO, Taxable Series		4.421%	01/01/15		740		740,000

							2,133,384

New Jersey — 0.1%
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs		7.414%	01/01/40		1,070		1,613,539

New York — 0.1%
New York City Transitional Finance Authority, Revenue Bonds, BABs		5.767%	08/01/36		1,130		1,416,093

Ohio
Ohio State University (The), Revenue Bonds, BABs		4.910%	06/01/40		455		555,428
Ohio State Water Development Authority, Revenue Bonds, BABs		4.879%	12/01/34		300		336,711

							892,139

Oregon
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs		5.834%	11/15/34		445		577,557

Pennsylvania
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs		5.511%	12/01/45		550		678,722

Tennessee
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs		6.731%	07/01/43		1,000		1,344,400

Texas
Texas State Transportation Commission, Revenue Bonds, Series B, BABs		5.028%	04/01/26		335		390,513

TOTAL MUNICIPAL BONDS (cost $11,417,427)							15,143,619

SEE NOTES TO FINANCIAL STATEMENTS.

A81


SOVEREIGN BONDS — 0.3%	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes	4.250%	01/07/25		1,275	$	1,275,000
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes	4.000%	02/26/24		1,475		1,508,187
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes	4.000%	03/25/19		580		595,950
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A	5.875%	03/13/20		1,135		1,257,012
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A	6.875%	01/17/18		1,120		1,265,600
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes	3.625%	03/15/22		700		715,050
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN	4.750%	03/08/44		1,006		1,048,755
Panama Government International Bond (Panama), Sr. Unsec’d. Notes	4.000%	09/22/24		515		529,163
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(a)	5.200%	01/30/20		620		683,550
Province of British Columbia (Canada), Sr. Unsec’d. Notes	2.000%	10/23/22		1,620		1,584,665
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A	4.875%	01/22/24		190		207,100
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A(a)	4.125%	02/18/19		200		209,504
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	7.000%	06/05/20		810		941,826

TOTAL SOVEREIGN BONDS (cost $11,396,337)						11,821,362

U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.4%
Federal Home Loan Bank	0.375%	08/28/15		460		460,399
Federal Home Loan Bank	5.500%	07/15/36		1,080		1,481,140
Federal Home Loan Mortgage Corp.(g)	0.750%	01/12/18		685		675,170
Federal Home Loan Mortgage Corp.	2.125%(b)	06/01/36		449		478,892
Federal Home Loan Mortgage Corp.	2.348%(b)	12/01/35		325		346,899
Federal Home Loan Mortgage Corp.	2.375%	01/13/22		6,020		6,081,970
Federal Home Loan Mortgage Corp.	2.500%	01/20/30		1,000		1,017,078
Federal Home Loan Mortgage Corp.	3.000%	10/01/28-01/01/43		5,154		5,314,455
Federal Home Loan Mortgage Corp.	3.500%	TBA		1,000		1,055,625
Federal Home Loan Mortgage Corp.	3.500%	02/12/43		9,500		9,854,023
Federal Home Loan Mortgage Corp.	4.000%	06/01/26-12/01/40		5,536		5,918,382
Federal Home Loan Mortgage Corp.	4.000%	TBA		6,000		6,379,570
Federal Home Loan Mortgage Corp.	4.500%	02/01/19-10/01/41		14,617		15,838,927
Federal Home Loan Mortgage Corp.	5.000%	07/01/18-06/01/39		4,571		4,995,487
Federal Home Loan Mortgage Corp.	5.500%	12/01/33-07/01/38		4,797		5,366,859
Federal Home Loan Mortgage Corp.	6.000%	03/01/32-08/01/39		2,288		2,597,609
Federal Home Loan Mortgage Corp.	7.000%	01/01/31-10/01/32		322		370,171
Federal National Mortgage Assoc.	1.750%	06/20/19		1,930		1,939,511
Federal National Mortgage Assoc.(a)	1.750%	11/26/19		2,525		2,526,515
Federal National Mortgage Assoc.	1.784%(b)	07/01/33		354		373,145
Federal National Mortgage Assoc.	1.809%(b)	06/01/37		139		139,225
Federal National Mortgage Assoc.(g)	1.875%	02/19/19		230		233,490
Federal National Mortgage Assoc.	2.500%	01/01/28		2,604		2,656,481
Federal National Mortgage Assoc.	2.500%	TBA		7,500		7,621,290
Federal National Mortgage Assoc.(h)	2.625%	09/06/24		2,485		2,516,612
Federal National Mortgage Assoc.	3.000%	TBA		16,000		16,630,626
Federal National Mortgage Assoc.	3.000%	12/01/42		2,259		2,289,583
Federal National Mortgage Assoc.	3.000%	TBA		24,500		24,721,553
Federal National Mortgage Assoc.	3.500%	TBA		8,500		8,860,587
Federal National Mortgage Assoc.	3.500%	06/01/39-03/01/43		22,146		23,134,698
Federal National Mortgage Assoc.	4.000%	TBA		14,500		15,475,182
Federal National Mortgage Assoc.	4.000%	TBA		10,500		11,177,455
Federal National Mortgage Assoc.	4.500%	11/01/18-07/01/42		11,621		12,670,127
Federal National Mortgage Assoc.	4.500%	TBA		4,000		4,341,875
Federal National Mortgage Assoc.	4.500%	TBA		5,000		5,417,969
Federal National Mortgage Assoc.	5.000%	10/01/18-02/01/36		8,555		9,456,149
Federal National Mortgage Assoc.	5.500%	03/01/16-08/01/37		6,454		7,235,830
Federal National Mortgage Assoc.	6.000%	09/01/17-05/01/38		5,737		6,528,384

SEE NOTES TO FINANCIAL STATEMENTS.

A82


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate	Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal National Mortgage Assoc.	6.500%	07/01/17-09/01/37		2,115	$	2,422,566
Federal National Mortgage Assoc.	7.000%	02/01/32-07/01/32		218		252,387
Federal National Mortgage Assoc.	7.500%	05/01/32		42		44,031
Financing Corp., Strips Principal, Series A-P	1.280%(f)	10/06/17		1,570		1,514,637
Financing Corp., Strips Principal, Series B-P	1.280%(f)	10/06/17		2,140		2,069,078
Government National Mortgage Assoc.	3.000%	TBA		2,500		2,556,562
Government National Mortgage Assoc.	3.000%	TBA		3,000		3,067,875
Government National Mortgage Assoc.	3.500%	TBA		14,000		14,695,625
Government National Mortgage Assoc.	3.500%	05/20/43		1,000		1,051,178
Government National Mortgage Assoc.	4.000%	06/15/40-05/20/41		1,515		1,628,944
Government National Mortgage Assoc.	4.000%	TBA		12,500		13,402,197
Government National Mortgage Assoc.	4.500%	TBA		2,000		2,185,234
Government National Mortgage Assoc.	4.500%	TBA		2,000		2,185,234
Government National Mortgage Assoc.	4.500%	01/20/41-02/20/41		5,092		5,589,189
Government National Mortgage Assoc.	5.500%	11/15/32-02/15/36		2,819		3,174,922
Government National Mortgage Assoc.	6.000%	02/15/33-10/15/34		1,288		1,477,484
Government National Mortgage Assoc.	6.500%	10/15/23-07/15/35		1,543		1,770,413
Government National Mortgage Assoc.	8.000%	01/15/24-04/15/25		42		47,876

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $286,432,883)						293,314,375

U.S. TREASURY OBLIGATIONS — 3.7%
U.S. Treasury Bonds	2.875%	05/15/43		1,085		1,109,751
U.S. Treasury Bonds	3.375%	05/15/44		3,145		3,540,581
U.S. Treasury Inflation Indexed Bonds, TIPS	1.375%	01/15/20		6,105		6,408,146
U.S. Treasury Inflation Indexed Bonds, TIPS	0.125%	04/15/19		26,844		26,548,456
U.S. Treasury Notes	1.000%	12/15/17-09/30/19		14,205		13,885,051
U.S. Treasury Notes	1.250%	11/30/18		3,455		3,430,708
U.S. Treasury Notes	1.375%	06/30/18		6,900		6,913,476
U.S. Treasury Notes	1.500%	12/31/18-10/31/19		53,890		53,822,529
U.S. Treasury Notes(a)	1.500%	11/30/19		2,180		2,166,205
U.S. Treasury Notes	1.625%	04/30/19-12/31/19		2,910		2,910,406
U.S. Treasury Notes	1.750%	05/15/23		1,000		973,672
U.S. Treasury Notes	2.250%	03/31/21		110		112,303
U.S. Treasury Notes	2.375%	05/31/18		9,210		9,546,736
U.S. Treasury Notes	2.875%	03/31/18		6,430		6,764,559
U.S. Treasury Notes	3.125%	05/15/21		130		139,506
U.S. Treasury Strips Principal(a)	3.470%(f)	05/15/44		14,555		6,296,042

TOTAL U.S. TREASURY OBLIGATIONS (cost $142,902,270)						144,568,127

TOTAL LONG-TERM INVESTMENTS (cost $3,093,765,991)						3,751,039,845


SHORT-TERM INVESTMENTS — 10.8%			Shares
AFFILIATED MUTUAL FUNDS — 10.7%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $133,374,308) (Note 4)(i)				13,562,345		126,672,300
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $294,529,119; includes $86,514,898 of cash collateral for securities on loan) (Note 4)(i)(j)				294,529,119		294,529,119

TOTAL AFFILIATED MUTUAL FUNDS (cost $427,903,427)						421,201,419

SEE NOTES TO FINANCIAL STATEMENTS.

A83


OPTIONS PURCHASED*			Notional Amount (000)#		Value (Note 2)
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38				54,400	$	42,500
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00				54,400		4,250

TOTAL OPTIONS PURCHASED (cost $77,463)						46,750


U.S. TREASURY OBLIGATION — 0.1%	Interest Rate	Maturity Date	Principal Amount (000)#
U.S. Treasury Bill (cost $4,949,665)(g)	0.032%(k)	03/19/15		4,950		4,949,792

TOTAL SHORT-TERM INVESTMENTS (cost $432,930,555)						426,197,961

TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT & OPTION WRITTEN — 105.9% (cost $3,526,696,546)						4,177,237,806

SECURITY SOLD SHORT
U.S. GOVERNMENT AGENCY OBLIGATION
Federal National Mortgage Assoc. (proceeds received $1,555,430)	3.500%	TBA		1,500		(1,559,590	)


OPTION WRITTEN*			Notional Amount (000)#
Call Option
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63 (premiums received $50,037)				108,800		(17,000	)

TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT & OPTION WRITTEN — 105.9% (cost $3,525,091,079)						4,175,661,216
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (5.9)%						(231,849,606	)

NET ASSETS — 100.0%					$	3,943,811,610

See the Glossary for abbreviations used in the Portfolio descriptions.

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

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $84,082,109; cash collateral of $86,514,898 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(b)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2014.

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

(d)	Indicates a restricted security; the aggregate original cost of the restricted securities is $8,057,408. The aggregate value of $8,466,332 is approximately 0.2% of net assets.

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

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A84

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

Futures contracts outstanding at December 31, 2014:


Number of Contracts		Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
	Long Positions:
	532	2 Year U.S. Treasury Notes		Mar. 2015	$	116,293,418	$	116,291,875	$	(1,543	)
	189	10 Year U.S. Treasury Notes		Mar. 2015		23,942,711		23,964,610		21,899
	13	MSCI EAFE Index Mini		Mar. 2015		1,132,070		1,142,635		10,565
	970	S&P 500 E-Mini Futures		Mar. 2015		96,199,071		99,541,400		3,342,329
	132	U.S. Ultra Bonds		Mar. 2015		21,198,211		21,804,750		606,539

										3,979,789

	Short Positions:
	20	5 Year U.S. Treasury Notes		Mar. 2015		2,374,503		2,378,594		(4,091	)
	30	U.S. Long Bonds		Mar. 2015		4,303,611		4,336,875		(33,264	)

										(37,355	)

									$	3,942,434

(1)

A U.S. Treasury Obligation with a market value of $4,949,792 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $827,446 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2014.

Interest rate swap agreements outstanding at December 31, 2014:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
	Over-the-counter swap agreements:
	3,158		05/17/18		0.989%	3 Month LIBOR(1)	$	39,627	$	—	$	39,627	Credit Suisse First Boston Corp.


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	3,670		06/30/16		0.618%	3 Month LIBOR(1)	$	159		$	1,836		$	1,677
	20,700		06/30/16		0.655%	3 Month LIBOR(1)		(2,123	)		(1,083	)		1,040
	5,800		06/30/16		0.655%	3 Month LIBOR(1)		164			(315	)		(479	)
	37,290		08/29/16		0.710%	3 Month LIBOR(1)		181			11,742			11,561
	28,000		05/31/19		1.730%	3 Month LIBOR(1)		2,095			28,141			26,046
	29,600		08/29/19		1.804%	3 Month LIBOR(2)		221			123,050			122,829
	9,270		10/31/21		2.152%	3 Month LIBOR(1)		205			(34,143	)		(34,348	)
	8,040		08/29/24		2.560%	3 Month LIBOR(1)		152			(209,443	)		(209,595	)

							$	1,054		$	(80,215	)	$	(81,269	)

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

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

Credit default swap agreements outstanding at December 31, 2014:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
Exchange-traded credit default swaps on credit indices—Buy Protection(1):
CDX.NA.HY.22.V2		06/20/19		5.000%		8,910	$	(632,898	)	$	(606,994	)	$	25,904
CDX.NA.IG.22.V1		06/20/19		1.000%		40,000		(611,363	)		(721,513	)		(110,150	)
CDX.NA.IG.23.V1		12/20/19		1.000%		18,500		(293,896	)		(295,379	)		(1,483	)

													$	(85,729	)

SEE NOTES TO FINANCIAL STATEMENTS.

A85

Credit default swap agreements outstanding at December 31, 2014 (continued):


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)		Upfront Premiums Paid (Received)		Unrealized Appreciation		Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NA.HY.17.V5		12/20/16		5.000%		1,425	$	73,622	$	59,771	$	13,851	Credit Suisse First Boston Corp.
CDX.NA.HY.17.V5		12/20/16		5.000%		3,800		196,325		164,139		32,186	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		5,225		269,946		228,956		40,990	Deutsche Bank AG

							$	539,893	$	452,866	$	87,027

A U.S. Government Agency Obligation with a market value of $1,792,516 has been segregated with Citigroup Global Markets to cover requirements for open interest rate and credit default exchange-traded swap contracts at December 31, 2014.

(1)

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

(2)

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

(4)

The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

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, 2014 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,617,521,334	$	126,861,274	$	—
Exchange Traded Fund		1,539,252		—		—
Preferred Stocks		584,760		609,302		—
Asset-Backed Securities
Collateralized Debt Obligation		—		461,180		—
Collateralized Loan Obligations		—		53,852,068		3,225,100
Non-Residential Mortgage-Backed Securities		—		5,218,919		—
Residential Mortgage-Backed Securities		—		5,645,876		—
Bank Loans		—		8,026,401		—
Collateralized Mortgage Obligations		—		10,233,968		—
Commercial Mortgage-Backed Securities		—		126,967,833		—
Corporate Bonds		—		296,940,975		4,290,361
Foreign Agencies		—		24,213,759		—

SEE NOTES TO FINANCIAL STATEMENTS.

A86


	Level 1			Level 2			Level 3
Investments in Securities (continued)
Municipal Bonds	$	—		$	15,143,619		$	—
Sovereign Bonds		—			11,821,362			—
U.S. Government Agency Obligations		—			293,314,375			—
U.S. Treasury Obligations		—			149,517,919			—
Affiliated Mutual Funds		421,201,419			—			—
Options Purchased		46,750			—			—
U.S. Government Agency Obligation Security Sold Short		—			(1,559,590	)		—
Option Written		(17,000	)		—			—
Other Financial Instruments*
Futures Contracts		3,942,434			—			—
Over-the-counter interest rate swaps		—			39,627			—
Exchange-traded interest rate swaps		—			(81,269	)		—
Exchange-traded credit default swaps		—			(85,729	)		—
Over-the-counter credit default swaps		—			539,893			—

Total	$	3,044,818,949		$	1,127,681,762		$	7,515,461

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


Affiliated Mutual Funds (including 2.2% of collateral for securities on loan)	10.7	%
U.S. Government Agency Obligations	7.4
Pharmaceuticals	4.6
Banks	4.5
Oil, Gas & Consumable Fuels	4.4
U.S. Treasury Obligations	3.8
Commercial Mortgage-Backed Securities	3.2
Software	3.1
Technology Hardware, Storage & Peripherals	2.9
Insurance	2.5
Banking	2.4
Biotechnology	2.4
Food & Staples Retailing	2.2
Semiconductors & Semiconductor Equipment	2.1
Specialty Retail	2.1
Chemicals	2.1
Health Care Providers & Services	2.1
IT Services	2.0
Media	2.0
Capital Markets	1.7
Beverages	1.7
Internet Software & Services	1.6
Food Products	1.6
Hotels, Restaurants & Leisure	1.6
Communications Equipment	1.6
Industrial Conglomerates	1.5
Collateralized Loan Obligations	1.5
Diversified Financial Services	1.4
Aerospace & Defense	1.3
Real Estate Investment Trusts (REITs)	1.2
Road & Rail	1.2
Machinery	1.2
Diversified Telecommunication Services	1.2
Tobacco	1.0
Health Care Equipment & Supplies	1.0


Airlines	0.9	%
Energy Equipment & Services	0.9
Household Products	0.9
Electric Utilities	0.8
Auto Components	0.7
Air Freight & Logistics	0.7
Healthcare & Pharmaceutical	0.7
Electrical Equipment	0.6
Real Estate Management & Development	0.6
Foreign Agencies	0.6
Textiles, Apparel & Luxury Goods	0.6
Multi-Utilities	0.6
Metals & Mining	0.5
Consumer Finance	0.5
Telecommunications	0.5
Electronic Equipment, Instruments & Components	0.4
Municipal Bonds	0.4
Electric	0.4
Capital Goods	0.3
Automobiles	0.3
Sovereign Bonds	0.3
Internet & Catalog Retail	0.3
Collateralized Mortgage Obligations	0.3
Energy – Other	0.3
Gas Utilities	0.3
Cable	0.2
Health Care Technology	0.2
Multiline Retail	0.2
Independent Power & Renewable Electricity Producers	0.2
Media & Entertainment	0.2
Foods	0.2
Trading Companies & Distributors	0.2
Technology	0.2
Non-Captive Finance	0.2
Lodging	0.2
Leisure Products	0.2

SEE NOTES TO FINANCIAL STATEMENTS.

A87


Industry table (cont.)
Automotive	0.1	%
Residential Mortgage-Backed Securities	0.1
Household Durables	0.1
Non-Residential Mortgage-Backed Securities	0.1
Construction & Engineering	0.1
Healthcare Insurance	0.1
Pipelines & Other	0.1
Metals	0.1
Retailers	0.1


Paper	0.1	%
Diversified Consumer Services	0.1
Building Materials & Construction	0.1
Commercial Services & Supplies	0.1
Consumer	0.1
Exchange Traded Fund	0.1

	105.9
Liabilities in excess of other assets	(5.9	)

	100.0	%

Fair values of derivative instruments as of December 31, 2014 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	$	452,866		—	$	—
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		87,027		—		—
Credit contracts	Due from/to broker — variation margin swaps		25,904	*	Due from/to broker — variation margin swaps		111,633	*
Equity contracts	Due from/to broker — variation margin futures		3,352,894	*	—		—
Interest rate contracts	Due from/to broker — variation margin futures		628,438	*	Due from/to broker — variation margin futures		38,898	*
Interest rate contracts	Unaffiliated Investments		46,750		Options written outstanding, at value		17,000
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		39,627		—		—
Interest rate contracts	Due from/to broker — variation margin swaps		163,153	*	Due from/to broker — variation margin swaps		244,422	*

Total		$	4,796,659			$	411,953

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2014 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted as hedging instruments, carried at fair value	Rights*		Options Purchased*			Options Written			Futures		Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—	$	(498,124	)	$	(498,124	)
Equity contracts		10,630		—			—			8,522,142		—			8,532,772
Interest rate contracts		—		(284,568	)		(94,855	)		684,241		153,039			457,857

Total	$	10,630	$	(284,568	)	$	(94,855	)	$	9,206,383	$	(345,085	)	$	8,492,505

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

SEE NOTES TO FINANCIAL STATEMENTS.

A88


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted as hedging instruments, carried at fair value	Option Purchased**		Options Written		Futures		Swaps			Total
Credit contracts	$	—	$	—	$	—	$	(88,942	)	$	(88,942	)
Equity Contracts		—		—		2,047,031		—			2,047,031
Interest rate contracts		77,030		33,037		1,333,973		169,210			1,613,250

Total	$	77,030	$	33,037	$	3,381,004	$	80,268		$	3,571,339

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

For the year ended December 31, 2014, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased (Cost)	Options Written (Notional Amount in USD (000))	Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$424,315	$73,264	$196,651,922	$25,540,894


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))
$100,772	$49,224	$10,494

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


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts Available for Offset		Collateral Received(3)			Net Amount
Credit Suisse First Boston Corp.	$	113,249	$	—	$	(477,602	)	$	—
Deutsche Bank AG		466,271		—		(605,895	)		—

	$	579,520


Counterparty	Gross Amounts of Recognized Liabilities(2)		Gross Amounts Available for Offset		Collateral Pledged(3)			Net Amount
Credit Suisse First Boston Corp.	$	—	$	—	$	—		$	—
Deutsche Bank AG		—		—		—			—

	$	—

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A89


		*FLEXIBLE MANAGED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014


ASSETS
Investments at value, including securities on loan of $84,082,109:
Unaffiliated investments (cost $3,098,793,119)	$	3,756,036,387
Affiliated investments (cost $427,903,427)		421,201,419
Cash		176,311
Foreign currency, at value (cost $634,047)		626,816
Receivable for investments sold		136,037,749
Dividends receivable		10,252,706
Premium paid for swap agreements		452,866
Tax reclaim receivable		235,747
Unrealized appreciation on over-the-counter swap agreements		126,654
Due from broker—variation margin futures		92,258
Receivable for Series shares sold		705
Prepaid expenses		30,376

Total Assets		4,325,269,994

LIABILITIES
Payable for investments purchased		289,345,427
Payable to broker for collateral for securities on loan		86,514,898
Management fee payable		2,011,041
Securities sold short, at value (proceeds received $1,555,430)		1,559,590
Due to broker—variation margin futures		1,185,505
Payable for Series shares repurchased		469,030
Accrued expenses		326,939
Due to broker—variation margin swaps		28,028
Options written outstanding, at value (premiums received $50,037)		17,000
Affiliated transfer agent fee payable		926

Total Liabilities		381,458,384

NET ASSETS	$	3,943,811,610

Net assets were comprised of:
Paid-in capital	$	2,450,598,698
Retained earnings		1,493,212,912

Net assets, December 31, 2014	$	3,943,811,610

Net asset value and redemption price per share $3,943,811,610 / 166,337,144 outstanding shares of beneficial interest	$	23.71

STATEMENT OF OPERATIONS

Year Ended December 31, 2014


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $482,253)	$	56,509,785
Interest income		29,095,335
Affiliated dividend income		1,960,207
Affiliated income from securities loaned, net		199,487

Total income		87,764,814

EXPENSES
Management fee		23,006,041
Custodian’s fees and expenses		544,000
Shareholders’ reports		196,000
Insurance expenses		51,000
Trustees’ fees		41,000
Audit fee		39,000
Legal fees and expenses		19,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		53,745

Total expenses		23,966,786

NET INVESTMENT INCOME		63,798,028

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		387,662,375
Futures transactions		9,206,383
Options written transactions		(94,855	)
Swap agreement transactions		(345,085	)
Foreign currency transactions		(69,788	)

		396,359,030

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $400,580)		(60,892,589	)
Futures		3,381,004
Securities Sold Short		9,161
Options written		33,037
Swap agreements		80,268
Foreign currencies		(45,012	)

		(57,434,131	)

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		338,924,899

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	402,722,927

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	63,798,028		$	65,087,964
Net realized gain on investment and foreign currency transactions		396,359,030			322,966,584
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(57,434,131	)		253,490,603

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		402,722,927			641,545,151

SERIES SHARE TRANSACTIONS
Series shares sold [562,392 and 651,459 shares, respectively]		12,588,751			12,747,246
Series shares repurchased [8,998,418 and 9,694,842 shares, respectively]		(202,125,849	)		(189,432,596	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(189,537,098	)		(176,685,350	)

TOTAL INCREASE		213,185,829			464,859,801
NET ASSETS:
Beginning of year		3,730,625,781			3,265,765,980

End of year	$	3,943,811,610		$	3,730,625,781

SEE NOTES TO FINANCIAL STATEMENTS.

A90


LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS	Shares		Value (Note 2)
Australia — 1.0%
Arrium Ltd.		894,400	$	154,767
Ausdrill Ltd.		123,200		39,187
Bendigo & Adelaide Bank Ltd.		67,200		698,742
Bradken Ltd.		98,900		378,137
Challenger Ltd.		150,800		796,607
Downer EDI Ltd.		182,200		696,277
Fortescue Metals Group Ltd.		188,800		414,537
Lend Lease Group		114,600		1,526,343
Metcash Ltd.		276,300		416,408
Mineral Resources Ltd.		49,900		305,372
National Australia Bank Ltd.		31,100		848,106
Pacific Brands Ltd.		460,600		202,497
Primary Health Care Ltd.		139,400		533,382

				7,010,362

Austria — 0.2%
OMV AG		24,300		645,246
Voestalpine AG		14,500		572,941

				1,218,187

Belgium — 0.2%
AGFA-Gevaert NV*		86,100		217,748
Delhaize Group SA		21,500		1,565,749

				1,783,497

Brazil — 0.2%
Kroton Educacional SA		196,700		1,146,960

Canada — 2.0%
Alimentation Couche-Tard, Inc. Series B		80,861		3,388,812
Brookfield Asset Management, Inc. (Class A Stock)		70,288		3,523,537
Canadian Natural Resources Ltd.		17,750		548,120
Canadian Pacific Railway Ltd.		16,450		3,169,751
CI Financial Corp.		56,490		1,570,031
Suncor Energy, Inc.		72,300		2,296,325

				14,496,576

China — 1.6%
Alibaba Group Holding Ltd., ADR*(a)		16,888		1,755,339
Baidu, Inc., ADR*		9,235		2,105,303
China Overseas Land & Investment Ltd.		510,000		1,508,698
Lenovo Group Ltd.		1,630,000		2,128,150
NetEase, Inc., ADR		14,824		1,469,651
Poly Property Group Co. Ltd.		846,000		344,883
Shougang Fushan Resources Group Ltd.		1,160,000		252,803
Tencent Holdings Ltd.		139,300		2,015,522

				11,580,349

Denmark — 0.8%
A.P. Moeller – Maersk A/S (Class B Stock)		400		795,581
Coloplast A/S (Class B Stock)		30,211		2,528,192
Novo Nordisk A/S (Class B Stock)		57,372		2,426,823

				5,750,596

Finland — 0.5%
Sampo OYJ (Class A Stock)		55,384		2,592,776


COMMON STOCKS (continued)	Shares		Value (Note 2)
Finland (continued)
Tieto OYJ		25,300	$	655,650

				3,248,426

France — 3.1%
Alstom SA*		26,800		864,372
Arkema SA		7,200		476,186
AXA SA		37,000		852,595
BNP Paribas SA		16,000		944,548
Cap Gemini SA		41,279		2,952,165
Cie Generale des Etablissements Michelin		12,000		1,083,203
CNP Assurances		34,000		602,759
Credit Agricole SA		78,500		1,013,322
Electricite de France SA		53,100		1,461,762
Renault SA		12,300		895,889
Sanofi		18,100		1,650,190
SCOR SE		22,000		666,609
Societe Generale SA		16,000		669,604
Thales SA		27,900		1,509,595
Total SA		82,104		4,206,365
Valeo SA		17,694		2,201,674

				22,050,838

Germany — 2.7%
Allianz SE		9,800		1,623,141
Aurubis AG		6,200		346,582
BASF SE		8,700		729,766
Bayerische Motoren Werke AG		26,231		2,830,811
Continental AG		15,643		3,299,474
Daimler AG		23,700		1,968,386
Deutsche Bank AG		13,700		410,239
E.ON SE		46,000		786,220
Freenet AG		29,700		844,441
Hannover Rueck SE		9,800		884,074
Merck KGaA		9,000		846,978
Muenchener Rueckversicherungs AG		5,700		1,135,087
Rational AG		3,191		999,854
Rheinmetall AG		13,300		579,071
Stada Arzneimittel AG		14,500		439,971
Volkswagen AG		7,400		1,604,350

				19,328,445

Hong Kong — 1.0%
AIA Group Ltd.		454,600		2,507,332
Cheung Kong Holdings Ltd.		46,000		770,354
China Resources Cement Holdings Ltd.		739,000		476,261
First Pacific Co. Ltd.		528,000		521,400
Huabao International Holdings Ltd.		1,045,000		851,611
Kingboard Chemical Holdings Ltd.		216,000		362,690
Singamas Container Holdings Ltd.		2,676,000		443,883
Skyworth Digital Holdings Ltd.		1,072,000		580,122
Yue Yuen Industrial Holdings Ltd.		220,500		792,875

				7,306,528

India — 0.9%
HDFC Bank Ltd., ADR		77,974		3,957,181
Tata Motors Ltd., ADR		62,361		2,636,623

				6,593,804

SEE NOTES TO FINANCIAL STATEMENTS.

A91


COMMON STOCKS (continued)	Shares		Value (Note 2)
Indonesia — 0.4%
PT Bank Rakyat Indonesia (Persero) Tbk		2,938,800	$	2,762,415

Ireland — 0.7%
Permanent TSB Group Holdings PLC*		51,300		3,849
Ryanair Holdings PLC, ADR*		36,610		2,609,195
Smurfit Kappa Group PLC		35,200		791,594
XL Group PLC		57,352		1,971,188

				5,375,826

Israel — 1.1%
Bank Hapoalim BM		128,000		601,873
Check Point Software Technologies Ltd.*(a)		25,690		2,018,463
Elbit Systems Ltd.		11,400		694,812
Teva Pharmaceutical Industries Ltd., ADR		61,795		3,553,830
Teva Pharmaceutical Industries Ltd.		16,300		934,396

				7,803,374

Italy — 0.7%
Enel SpA		242,800		1,082,288
Eni SpA		70,800		1,240,171
Intesa Sanpaolo SpA		1,036,787		3,007,625

				5,330,084

Japan — 8.7%
Alfresa Holdings Corp.		33,600		405,752
Alpine Electronics, Inc.		22,700		372,672
Aoyama Trading Co. Ltd.		39,100		854,332
Aozora Bank Ltd.		231,000		715,071
Asahi Kasei Corp.		76,000		693,305
Astellas Pharma, Inc.		203,200		2,828,971
Autobacs Seven Co. Ltd.		42,000		594,251
Bank of Yokohama Ltd. (The)		96,000		521,403
Calsonic Kansei Corp.		105,000		581,982
Daihatsu Motor Co. Ltd.		47,500		620,390
Daikin Industries Ltd.		44,800		2,872,759
Daito Trust Construction Co. Ltd.		12,300		1,395,286
FANUC Corp.		15,300		2,522,670
Fuji Heavy Industries Ltd.		80,274		2,840,574
Fukuoka Financial Group, Inc.		85,700		441,824
Heiwa Corp.		24,700		492,145
Hogy Medical Co. Ltd.		11,400		519,899
Hoya Corp.		59,900		2,026,108
ITOCHU Corp.		76,300		814,510
JX Holdings, Inc.		101,400		394,609
Kao Corp.		61,400		2,421,282
KDDI Corp.		13,200		829,277
Keihin Corp.		37,200		552,146
Keyence Corp.		5,100		2,272,533
KYORIN Holdings, Inc.		37,400		693,070
Kyowa Exeo Corp.		66,900		713,468
Marubeni Corp.		109,700		656,376
Medipal Holdings Corp.		21,900		255,785
Mitsubishi Corp.		50,200		918,666
Mitsubishi UFJ Financial Group, Inc.		243,500		1,337,845


COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Mitsui & Co. Ltd.		59,300	$	794,213
Mizuho Financial Group, Inc.		597,700		1,001,926
Murata Manufacturing Co. Ltd.		16,800		1,833,233
Nippon Telegraph & Telephone Corp.		37,000		1,890,057
Nishi-Nippon City Bank Ltd. (The)		167,000		480,517
Nissan Motor Co. Ltd.		101,600		886,132
Nitori Holdings Co. Ltd.		25,500		1,370,077
NTT DOCOMO, Inc.		64,300		936,405
ORIX Corp.		189,400		2,383,182
Otsuka Holdings Co. Ltd.		20,400		611,617
Recruit Holdings Co. Ltd.*		14,600		419,302
Resona Holdings, Inc.		266,300		1,345,215
Ricoh Co. Ltd.		42,700		431,657
Sankyu, Inc.		151,000		612,897
Secom Co. Ltd.		31,700		1,821,311
Seino Holdings Co. Ltd.		65,000		655,174
Shimachu Co. Ltd.		30,700		744,052
SKY Perfect JSAT Holdings, Inc.		107,500		634,342
SMC Corp.		7,500		1,966,681
Sumitomo Corp.		84,300		865,819
Sumitomo Metal Mining Co. Ltd.		38,000		566,766
Sumitomo Mitsui Financial Group, Inc.		102,086		3,690,687
Toagosei Co. Ltd.		147,000		583,121
Toho Holdings Co. Ltd.		41,200		599,898
Toyo Tire & Rubber Co. Ltd.		35,200		690,755
Tsumura & Co.		22,900		506,391
West Japan Railway Co.		9,800		463,327
Yokohama Rubber Co. Ltd. (The)		90,000		819,480

				62,763,195

Liechtenstein
Verwaltungs-und Privat-Bank AG		2,100		179,541

Macau — 0.2%
MGM China Holdings Ltd.		623,200		1,573,527

Netherlands — 1.7%
Aegon NV		95,000		714,019
ING Groep NV, CVA*		58,400		754,510
Koninklijke Ahold NV		78,461		1,394,481
Koninklijke Philips NV		28,400		823,205
NXP Semiconductors NV*		21,625		1,652,150
Royal Dutch Shell PLC (Class A Stock), ADR		26,250		1,757,437
Royal Dutch Shell PLC (Class A Stock)		42,408		1,413,427
Royal Dutch Shell PLC (Class B Stock)		106,900		3,693,515

				12,202,744

New Zealand — 0.2%
Air New Zealand Ltd.		737,900		1,417,332

Norway — 0.7%
DNB ASA		50,500		744,907
Fred Olsen Energy ASA		17,100		156,474
Marine Harvest ASA		85,500		1,173,951
Statoil ASA		36,600		644,410
Telenor ASA		80,749		1,633,440

SEE NOTES TO FINANCIAL STATEMENTS.

A92


COMMON STOCKS (continued)	Shares		Value (Note 2)
Norway (continued)
Yara International ASA		23,200	$	1,033,152

				5,386,334

Singapore — 0.3%
DBS Group Holdings Ltd.		119,000		1,842,278

South Africa — 0.7%
Bidvest Group Ltd.		70,608		1,845,967
Discovery Ltd.		243,150		2,328,046
Mondi PLC		49,500		804,153

				4,978,166

Spain — 0.7%
ACS Actividades de Construccion y Servicios SA		11,500		400,834
Amadeus IT Holding SA (Class A Stock)		50,848		2,025,145
Banco Santander SA		94,600		793,991
Gas Natural SDG SA		13,900		349,177
Repsol SA		57,200		1,070,835
Telefonica SA		25,100		360,375

				5,000,357

Sweden — 1.2%
Atlas Copco AB (Class A Stock)		86,484		2,406,475
Boliden AB		45,100		720,915
Hexagon AB (Class B Stock)		22,142		683,071
Nordea Bank AB		86,400		1,000,148
Oriflame Cosmetics SA, SDR		13,600		188,437
Securitas AB (Class B Stock)		46,500		562,543
Swedbank AB (Class A Stock)		40,800		1,012,286
Telefonaktiebolaget LM Ericsson (Class B Stock)		77,900		943,221
TeliaSonera AB		154,700		994,623

				8,511,719

Switzerland — 3.2%
Actelion Ltd.*		19,369		2,229,780
Adecco SA*		18,031		1,239,438
Baloise Holding AG		11,400		1,457,052
Credit Suisse Group AG*		62,600		1,572,590
Geberit AG		7,971		2,696,612
Georg Fischer AG*		2,000		1,261,861
Helvetia Holding AG		1,400		665,209
Novartis AG		7,200		667,753
Partners Group Holding AG		8,755		2,547,156
Roche Holding AG		3,644		987,314
Sika AG Series BR		81		238,945
Swiss Life Holding AG*		7,800		1,843,544
Swiss Re AG*		23,900		2,002,144
TE Connectivity Ltd.		27,300		1,726,725
Zurich Insurance Group AG*		5,800		1,812,514

				22,948,637

Taiwan — 0.2%
MediaTek, Inc.		105,000		1,526,430

United Kingdom — 6.1%
3i Group PLC		94,600		659,626
Alent PLC		54		269
Anglo American PLC		47,800		884,515


COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
ARM Holdings PLC		46,659	$	716,795
AstraZeneca PLC		43,667		3,084,239
Aviva PLC		129,800		975,239
BAE Systems PLC		227,200		1,661,561
Barclays PLC		287,100		1,079,306
Beazley PLC		129,500		576,527
Bellway PLC		25,400		761,790
BG Group PLC		93,162		1,246,669
BP PLC		395,000		2,507,297
BT Group PLC		198,000		1,231,575
Carillion PLC		145,900		755,999
Centrica PLC		220,400		954,650
Compass Group PLC		236,341		4,039,758
Debenhams PLC		301,400		351,644
GlaxoSmithKline PLC		64,600		1,385,905
Home Retail Group PLC		107,200		345,479
HSBC Holdings PLC		167,100		1,579,058
IG Group Holdings PLC		2,288		25,567
InterContinental Hotels Group PLC		53,638		2,158,202
Intermediate Capital Group PLC		108,800		777,258
J. Sainsbury PLC		259,000		989,042
National Express Group PLC		163,900		630,315
Old Mutual PLC		282,100		831,397
Petrofac Ltd.		34,000		370,395
Premier Foods PLC*		357,756		176,650
Reckitt Benckiser Group PLC		10,285		833,024
Reed Elsevier PLC		176,989		3,023,328
Rio Tinto Ltd.		23,400		1,097,014
St. James’s Place PLC		173,843		2,191,972
Tate & Lyle PLC		81,200		760,802
Tesco PLC		272,000		793,072
Vesuvius PLC		81,100		560,908
WM Morrison Supermarkets PLC		380,500		1,085,669
Wolseley PLC		2,906		166,142
WPP PLC		109,674		2,280,309

				43,548,967

United States — 55.7%
3M Co.		25,175		4,136,756
AES Corp.		214,000		2,946,780
Allstate Corp. (The)		40,100		2,817,025
American Express Co.		26,550		2,470,212
Ameriprise Financial, Inc.		15,650		2,069,713
Amgen, Inc.		18,050		2,875,184
Amphenol Corp. (Class A Stock)		119,622		6,436,860
Anadarko Petroleum Corp.		5,150		424,875
ANSYS, Inc.*		44,428		3,643,096
Apache Corp.		53,800		3,371,646
Apple, Inc.		65,834		7,266,757
AT&T, Inc.		56,250		1,889,438
Avon Products, Inc.		81,600		766,224
Baker Hughes, Inc.		25,600		1,435,392
Bank of America Corp.		303,200		5,424,248
Boeing Co. (The)		16,600		2,157,668
Bristol-Myers Squibb Co.		67,062		3,958,670
Carnival Corp.		100,700		4,564,731
Celanese Corp., Series A		73,800		4,425,048
Charles Schwab Corp. (The)		375,039		11,322,427

SEE NOTES TO FINANCIAL STATEMENTS.

A93


COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Chevron Corp.		28,850	$	3,236,393
Cisco Systems, Inc.		86,100		2,394,871
Cognizant Technology Solutions Corp. (Class A Stock)*		83,863		4,416,226
Colfax Corp.*		27,809		1,434,110
Comcast Corp. (Class A Stock)		39,250		2,276,893
CONSOL Energy, Inc.		23,900		808,059
Core Laboratories NV		37,493		4,511,908
Costco Wholesale Corp.		36,188		5,129,649
Covance, Inc.*		30,406		3,157,359
Covidien PLC		13,150		1,344,982
Danaher Corp.		87,019		7,458,398
DaVita HealthCare Partners, Inc.*		79,394		6,013,302
Discovery Communications, Inc. (Class A Stock)*		62,940		2,168,283
Discovery Communications, Inc. (Class C Stock)*		96,978		3,270,098
Ecolab, Inc.		58,036		6,065,923
Emerson Electric Co.		17,600		1,086,448
Entergy Corp.		30,800		2,694,384
EQT Corp.		20,050		1,517,785
Estee Lauder Cos., Inc. (The) (Class A Stock)		85,375		6,505,575
Exelon Corp.		62,750		2,326,770
Express Scripts Holding Co.*		115,858		9,809,697
Exxon Mobil Corp.		38,600		3,568,570
Fastenal Co.(a)		127,539		6,065,755
Fifth Third Bancorp		62,100		1,265,288
FirstEnergy Corp.		24,400		951,356
FMC Technologies, Inc.*		122,876		5,755,512
Fossil Group, Inc.*		15,375		1,702,628
General Electric Co.		209,350		5,290,274
General Motors Co.		65,650		2,291,842
Genpact Ltd.*		231,640		4,384,945
Gilead Sciences, Inc.*		72,126		6,798,597
Google, Inc. (Class A Stock)*		7,460		3,958,724
Google, Inc. (Class C Stock)*		7,460		3,926,944
Hess Corp.		27,800		2,052,196
Honeywell International, Inc.		24,700		2,468,024
Illinois Tool Works, Inc.		19,750		1,870,325
Ingersoll-Rand PLC		19,200		1,217,088
International Paper Co.		39,150		2,097,657
Intuitive Surgical, Inc.*		15,638		8,271,564
Invesco Ltd.		45,500		1,798,160
Johnson & Johnson		37,950		3,968,431
JPMorgan Chase & Co.		116,450		7,287,441
Kellogg Co.		21,600		1,413,504
Kohl’s Corp.		46,450		2,835,308
Lockheed Martin Corp.		5,100		982,107
Lowe’s Cos., Inc.		72,250		4,970,800
Marsh & McLennan Cos., Inc.		72,700		4,161,348
Mead Johnson Nutrition Co.		72,894		7,328,763
Medtronic, Inc.		22,700		1,638,940
Merck & Co., Inc.		82,900		4,707,891
MetLife, Inc.		58,750		3,177,787
Microsoft Corp.		89,400		4,152,630
Morgan Stanley		131,550		5,104,140
National Instruments Corp.		103,259		3,210,322


COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Navient Corp.		25,200	$	544,572
NetSuite, Inc.*(a)		24,735		2,700,320
News Corp. (Class A Stock)*		50,500		792,345
NRG Energy, Inc.		117,150		3,157,192
PepsiCo, Inc.		30,750		2,907,720
Pfizer, Inc.		163,350		5,088,352
PG&E Corp.		78,400		4,174,016
Philip Morris International, Inc.		25,600		2,085,120
PNC Financial Services Group, Inc.		20,900		1,906,707
Procter & Gamble Co. (The)		36,950		3,365,775
QUALCOMM, Inc.		119,216		8,861,325
Raytheon Co.		20,450		2,212,077
Republic Services, Inc.		26,300		1,058,575
salesforce.com, inc.*		98,313		5,830,944
Schlumberger Ltd.		75,698		6,465,366
Southwest Airlines Co.		103,450		4,378,004
Spectra Energy Corp.		27,000		980,100
Starbucks Corp.		93,312		7,656,250
Stericycle, Inc.*		57,913		7,591,236
T-Mobile U.S., Inc.*		12,100		325,974
Texas Instruments, Inc.		44,450		2,376,519
Thermo Fisher Scientific, Inc.		30,200		3,783,758
Time Warner Cable, Inc.		16,650		2,531,799
Time Warner, Inc.		42,250		3,608,995
TripAdvisor, Inc.*		39,688		2,963,106
U.S. Bancorp		75,450		3,391,477
Union Pacific Corp.		21,500		2,561,295
United Technologies Corp.		45,300		5,209,500
Viacom, Inc. (Class B Stock)		10,800		812,700
Visa, Inc. (Class A Stock)(a)		35,400		9,281,880
Vulcan Materials Co.		24,750		1,626,818
Wal-Mart Stores, Inc.		10,100		867,388
Wells Fargo & Co.		67,400		3,694,868
Western Union Co. (The)		125,300		2,244,123
Weyerhaeuser Co.		77,350		2,776,091
Whole Foods Market, Inc.		164,264		8,282,191

				400,799,202

TOTAL LONG-TERM INVESTMENTS (cost $556,988,871)				695,464,696

SHORT-TERM INVESTMENT — 6.1%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $43,801,082; includes $19,928,813 of cash collateral for securities on loan) (Note 4)(b)(c)		43,801,082		43,801,082

TOTAL INVESTMENTS — 102.8% (cost $600,789,953)				739,265,778
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.8)%				(20,092,707	)

NET ASSETS — 100.0%			$	719,173,071

See the Glossary for abbreviations used in the Portfolio descriptions.

SEE NOTES TO FINANCIAL STATEMENTS.

A94

*	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 $19,352,676; cash collateral of $19,928,813 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

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, 2014 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	7,010,362	$	—
Austria		—		1,218,187		—
Belgium		217,748		1,565,749		—
Brazil		1,146,960		—		—
Canada		14,496,576		—		—
China		5,583,096		5,997,253		—
Denmark		—		5,750,596		—
Finland		—		3,248,426		—
France		—		22,050,838		—
Germany		—		19,328,445		—
Hong Kong		—		7,306,528		—
India		6,593,804		—		—
Indonesia		—		2,762,415		—
Ireland		4,580,383		795,443		—
Israel		5,572,293		2,231,081		—
Italy		—		5,330,084		—
Japan		419,302		62,343,893		—
Liechtenstein		179,541		—		—
Macau		—		1,573,527		—
Netherlands		3,409,587		8,793,157		—
New Zealand		—		1,417,332		—
Norway		—		5,386,334		—
Singapore		—		1,842,278		—
South Africa		—		4,978,166		—
Spain		—		5,000,357		—
Sweden		—		8,511,719		—
Switzerland		1,726,725		21,221,912		—
Taiwan		—		1,526,430		—
United Kingdom		—		43,548,967		—
United States		400,799,202		—		—
Affiliated Money Market Mutual Fund		43,801,082		—		—

Total	$	488,526,299	$	250,739,479	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A95

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


Banks	7.8	%
Affiliated Money Market Mutual Fund (including 2.8% of collateral for securities on loan)	6.1
Insurance	5.3
Pharmaceuticals	5.3
Oil, Gas & Consumable Fuels	5.1
Capital Markets	3.9
IT Services	3.6
Food & Staples Retailing	3.3
Media	3.0
Hotels, Restaurants & Leisure	2.8
Industrial Conglomerates	2.8
Electronic Equipment, Instruments & Components	2.6
Energy Equipment & Services	2.6
Software	2.5
Health Care Providers & Services	2.5
Aerospace & Defense	2.3
Automobiles	2.3
Chemicals	2.1
Internet Software & Services	2.1
Machinery	2.1
Health Care Equipment & Supplies	2.0
Biotechnology	1.7
Communications Equipment	1.7
Commercial Services & Supplies	1.7
Food Products	1.5
Personal Products	1.4
Technology Hardware, Storage & Peripherals	1.4
Trading Companies & Distributors	1.4
Auto Components	1.3
Real Estate Management & Development	1.3
Airlines	1.2
Electric Utilities	1.2
Specialty Retail	1.2


Diversified Telecommunication Services	1.1	%
Road & Rail	1.1
Life Sciences Tools & Services	1.0
Semiconductors & Semiconductor Equipment	0.9
Building Products	0.8
Independent Power & Renewable Electricity Producers	0.8
Multi-Utilities	0.8
Metals & Mining	0.7
Household Products	0.6
Diversified Financial Services	0.5
Internet & Catalog Retail	0.5
Beverages	0.4
Consumer Finance	0.4
Multiline Retail	0.4
Paper & Forest Products	0.4
Real Estate Investment Trusts (REITs)	0.4
Wireless Telecommunication Services	0.4
Construction & Engineering	0.3
Construction Materials	0.3
Electrical Equipment	0.3
Textiles, Apparel & Luxury Goods	0.3
Tobacco	0.3
Diversified Consumer Services	0.2
Household Durables	0.2
Professional Services	0.2
Containers & Packaging	0.1
Leisure Products	0.1
Marine	0.1
Oil & Gas Exploration & Production	0.1

	102.8
Liabilities in excess of other assets	(2.8	)

	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:

The Portfolio did not hold any derivative instruments as of December 31, 2014 accordingly, no derivative positions were presented in the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2014 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*
Equity contracts	$	22,194

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


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights*
Equity contracts	$	(1,657	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

A96


		*GLOBAL PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014


ASSETS
Investments at value, including securities on loan of $19,352,676:
Unaffiliated investments (cost $556,988,871)	$	695,464,696
Affiliated investments (cost $43,801,082)		43,801,082
Cash		360
Foreign currency, at value (cost $1,393,454)		1,329,521
Receivable for investments sold		2,173,998
Tax reclaim receivable		1,180,584
Dividends receivable		593,920
Receivable for Series shares sold		2,417
Prepaid expenses		6,030

Total Assets		744,552,608

LIABILITIES
Payable to broker for collateral for securities on loan		19,928,813
Payable for investments purchased		4,673,910
Management fee payable		454,204
Accrued expenses		188,781
Payable for Series shares repurchased		132,903
Affiliated transfer agent fee payable		926

Total Liabilities		25,379,537

NET ASSETS	$	719,173,071

Net assets were comprised of:
Paid-in capital	$	538,510,059
Retained earnings		180,663,012

Net assets, December 31, 2014	$	719,173,071

Net asset value and redemption price per share $719,173,071 / 27,964,466 outstanding shares of beneficial interest	$	25.72

STATEMENT OF OPERATIONS

Year Ended December 31, 2014


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $962,474)	$	16,794,078
Affiliated dividend income		24,175
Affiliated income from securities loaned, net		21,635

Total income		16,839,888

EXPENSES
Management fee		5,578,237
Custodian’s fees and expenses		323,000
Shareholders’ reports		85,000
Audit fee		26,000
Trustees’ fees		16,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		11,000
Insurance expenses		10,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		47,648

Total expenses		6,110,885
Less: Management fee waiver		(74,376	)

Net expenses		6,036,509

NET INVESTMENT INCOME		10,803,379

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions		38,780,578
Foreign currency transactions		(310,017	)

		38,470,561

Net change in unrealized appreciation (depreciation) on:
Investments		(25,239,765	)
Foreign currencies		(265,179	)

		(25,504,944	)

NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		12,965,617

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	23,768,996

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income	$	10,803,379		$	8,723,957
Net realized gain on investment and foreign currency transactions		38,470,561			65,395,026
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(25,504,944	)		88,778,751

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		23,768,996			162,897,734

SERIES SHARE TRANSACTIONS
Series shares sold [941,874 and 782,060 shares, respectively]		23,729,047			17,649,736
Series shares repurchased [2,863,482 and 2,132,268 shares, respectively]		(72,868,700	)		(47,193,527	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(49,139,653	)		(29,543,791	)

TOTAL INCREASE (DECREASE)		(25,370,657	)		133,353,943
NET ASSETS:
Beginning of year		744,543,728			611,189,785

End of year	$	719,173,071		$	744,543,728

SEE NOTES TO FINANCIAL STATEMENTS.

A97


LONG-TERM INVESTMENTS — 96.0% ASSET-BACKED SECURITIES — 4.2%	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 3.1%
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A		1.833%	(a)	10/15/26		750	$	747,520
Ares CLO Ltd., Series 2014-31A, Class A1, 144A		1.678%	(a)	08/28/25		1,000		995,318
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A		1.800%	(a)	10/17/26		750		747,404
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A		1.704%	(a)	10/15/26		3,250		3,218,925
Magnetite VIII Ltd., Series 2014-8A, Class A, 144A		1.711%	(a)	04/15/26		260		257,844
Silver Spring Ltd., Series 2014-1A, Class A, 144A		1.721%	(a)	10/15/26		1,500		1,483,925
Voya CLO Ltd., Series 2014-3A, Class A1, 144A		1.649%	(a)	07/25/26		3,000		2,965,204

								10,416,140

Collateralized Mortgage Obligations — 0.4%
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM		5.500%		09/15/17		299		313,730
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC		5.500%		09/15/17		97		100,800
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC		5.000%		10/15/17		596		622,366
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND		5.500%		09/25/17		115		119,535
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1		0.790%	(a)	10/25/28		49		48,562
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3		2.573%	(a)	02/25/34		218		217,086

								1,422,079

Non-Residential Mortgage-Backed Securities — 0.7%
Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8		5.650%		09/20/19		1,500		1,663,770
Small Business Administration Participation Certificates, Series 1996-20J, Class 1		7.200%		10/01/16		241		249,627
Small Business Administration Participation Certificates, Series 1997-20A, Class 1		7.150%		01/01/17		181		187,967
Small Business Administration Participation Certificates, Series 1997-20G, Class 1		6.850%		07/01/17		106		109,913
Small Business Administration Participation Certificates, Series 1998-20I, Class 1		6.000%		09/01/18		309		322,717

								2,533,994

TOTAL ASSET-BACKED SECURITIES (cost $14,198,400)								14,372,213

COMMERCIAL MORTGAGE-BACKED SECURITIES — 20.2%
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3		5.293%		12/11/49		168		169,352
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4		5.223%		08/15/48		1,800		1,896,743
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3		2.540%		12/10/45		1,000		971,095
Commercial Mortgage Trust, Series 2005-GG5, Class AM		5.277%	(a)	04/10/37		1,500		1,532,703
Commercial Mortgage Trust, Series 2007-GG9, Class A2		5.381%		03/10/39		674		675,799
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM		5.467%	(a)	02/15/39		200		208,034
Federal National Mortgage Assoc., Series 2012-M13, Class A2		2.377%		05/25/22		1,850		1,831,261
Federal National Mortgage Assoc., Series 2012-M2, Class A2		2.717%		02/25/22		200		203,045
Federal National Mortgage Assoc., Series 2014-M2, Class A2		3.513%		12/25/23		2,650		2,824,598
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5		5.085%		03/25/19		250		280,661
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2		4.186%		08/25/19		4,825		5,269,489
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2		4.317%		11/25/19		1,100		1,209,960
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O		1.654%	(a)	06/25/20		18,941		1,282,972
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, I/O		1.732%	(a)	03/25/22		18,489		1,837,460
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O		1.465%	(a)	05/25/22		9,277		799,075
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O		1.506%	(a)	06/25/22		9,825		873,917

SEE NOTES TO FINANCIAL STATEMENTS.

A98


COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2		2.573%		09/25/22		2,000	$	2,005,802
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O		0.900%	(a)	10/25/22		27,665		1,551,972
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2		2.510%		11/25/22		3,600		3,590,986
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.320%		02/25/23		3,600		3,789,295
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2		3.310%	(a)	05/25/23		2,730		2,869,519
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2		3.060%		07/25/23		3,600		3,716,381
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2		3.531%		07/25/23		5,200		5,552,066
FHLMC Multifamily Structured Pass-Through Certificates, Series K036, Class X1, I/O		0.800%	(a)	10/25/23		27,958		1,576,645
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O		1.685%	(a)	08/25/16		3,350		63,285
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O		1.778%	(a)	05/25/19		8,347		551,958
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O		1.707%	(a)	07/25/19		7,898		506,932
FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2		2.615%		01/25/23		3,600		3,601,073
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3		5.787%	(a)	06/15/49		1,000		1,013,024
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4		2.694%		04/15/46		1,700		1,661,874
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C23, Class A3		3.368%		09/15/47		1,700		1,756,397
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B		5.252%	(a)	09/15/42		800		818,871
NCUA Guaranteed Notes, Series 2010-C1, Class A2		2.900%		10/29/20		2,600		2,669,688
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4		2.792%		12/10/45		1,300		1,287,018
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX		5.179%	(a)	07/15/42		1,800		1,838,025
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5		5.416%	(a)	01/15/45		1,500		1,553,997
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5		5.723%	(a)	05/15/43		2,000		2,094,274
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3		5.765%	(a)	07/15/45		2,333		2,444,008

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $68,392,446)								68,379,254


CORPORATE BOND — 0.7%
Province of British Columbia, Sr. Unsec’d. Notes (cost $2,239,253)(b)		2.000%		10/23/22		2,405		2,352,542

FOREIGN GOVERNMENT AGENCIES — 0.8%
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A		3.150%		07/24/24		1,410		1,437,570
KFW, Gov’t. Gtd., GMTN(b)		2.750%		10/01/20		1,320		1,378,793

TOTAL FOREIGN GOVERNMENT AGENCIES (cost $2,768,198)								2,816,363

MUNICIPAL BOND — 0.2%
Utah
State of Utah, BABs, Series D (cost $630,000)		4.554%		07/01/24		630		708,315

U.S. GOVERNMENT AGENCY OBLIGATIONS — 47.2%
Federal Home Loan Mortgage Corp.		0.750%		01/12/18		1,380		1,360,196
Federal Home Loan Mortgage Corp.		2.354%	(a)	05/01/34		423		451,946
Federal Home Loan Mortgage Corp.(c)		2.500%		TBA		500		508,539

SEE NOTES TO FINANCIAL STATEMENTS.

A99


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.		3.000%		06/01/29		948	$	986,764
Federal Home Loan Mortgage Corp.(c)		3.000%		TBA		2,000		2,015,234
Federal Home Loan Mortgage Corp.(c)		3.500%		TBA		1,000		1,055,625
Federal Home Loan Mortgage Corp.(c)		3.500%		TBA		4,000		4,149,062
Federal Home Loan Mortgage Corp.		4.000%		06/01/26-12/01/40		3,651		3,899,738
Federal Home Loan Mortgage Corp.		4.500%		09/01/39		3,609		3,912,448
Federal Home Loan Mortgage Corp.		5.000%		06/01/33-05/01/34		1,620		1,794,486
Federal Home Loan Mortgage Corp.		5.500%		05/01/37-05/01/38		1,068		1,194,220
Federal Home Loan Mortgage Corp.		6.000%		09/01/34-08/01/39		776		878,957
Federal Home Loan Mortgage Corp.		6.500%		09/01/32		108		124,063
Federal National Mortgage Assoc.(b)		0.875%		05/21/18		580		570,356
Federal National Mortgage Assoc.		1.750%		06/20/19		3,690		3,708,184
Federal National Mortgage Assoc.(b)		1.750%		11/26/19		745		745,447
Federal National Mortgage Assoc.		1.875%		02/19/19		90		91,366
Federal National Mortgage Assoc.		1.988%	(a)	04/01/34		170		180,513
Federal National Mortgage Assoc.		2.183%	(a)	07/01/33		1,202		1,273,028
Federal National Mortgage Assoc.		2.195%	(a)	04/01/34		316		336,780
Federal National Mortgage Assoc.		2.225%	(a)	06/01/34		287		304,291
Federal National Mortgage Assoc.		2.392%	(a)	08/01/33		833		880,889
Federal National Mortgage Assoc.(c)		2.500%		TBA		5,500		5,588,946
Federal National Mortgage Assoc.		2.625%		09/06/24		1,950		1,974,806
Federal National Mortgage Assoc.(c)		3.000%		TBA		4,000		4,157,656
Federal National Mortgage Assoc.		3.000%		08/01/28		2,166		2,255,116
Federal National Mortgage Assoc.(c)		3.000%		TBA		9,000		9,081,387
Federal National Mortgage Assoc.		3.500%		03/01/27-06/01/39		1,615		1,701,566
Federal National Mortgage Assoc.(c)		3.500%		TBA		6,000		6,238,361
Federal National Mortgage Assoc.(c)		3.500%		TBA		12,500		13,030,275
Federal National Mortgage Assoc.(c)		4.000%		TBA		13,000		13,874,301
Federal National Mortgage Assoc.(c)		4.000%		TBA		2,500		2,661,299
Federal National Mortgage Assoc.		4.000%		09/01/40		3,694		3,949,391
Federal National Mortgage Assoc.(c)		4.500%		TBA		6,000		6,512,813
Federal National Mortgage Assoc.(c)		4.500%		TBA		6,500		7,043,360
Federal National Mortgage Assoc.		4.500%		05/01/40		4,128		4,513,285
Federal National Mortgage Assoc.		5.000%		07/01/18-05/01/36		2,856		3,124,663
Federal National Mortgage Assoc.(c)		5.000%		TBA		3,500		3,866,885
Federal National Mortgage Assoc.		5.500%		01/01/17-11/01/35		6,984		7,865,473
Federal National Mortgage Assoc.		6.000%		05/01/21-05/01/38		1,488		1,693,087
Federal National Mortgage Assoc.		6.500%		01/01/15-10/01/37		1,591		1,845,856
Federal National Mortgage Assoc.		7.000%		12/01/31-01/01/36		235		274,101
Federal National Mortgage Assoc.		8.000%		03/01/22-02/01/26		10		10,520
Federal National Mortgage Assoc.		9.000%		02/01/25-04/01/25		35		40,124
Financing Corp. Strips Principal, Series 4-P		1.390%	(d)	10/06/17		2,700		2,604,790
Financing Corp. Strips Principal, Series D-P		2.224%	(d)	09/26/19		1,370		1,249,777
Government National Mortgage Assoc.(c)		3.000%		TBA		3,000		3,067,875
Government National Mortgage Assoc.(c)		3.500%		TBA		3,000		3,149,063
Government National Mortgage Assoc.		3.500%		10/20/43		1,977		2,077,533
Government National Mortgage Assoc.		4.000%		06/15/40-06/20/44		2,478		2,660,630
Government National Mortgage Assoc.(c)		4.000%		TBA		3,000		3,216,527
Government National Mortgage Assoc.(c)		4.500%		TBA		2,000		2,185,234
Government National Mortgage Assoc.		4.500%		02/20/41-03/20/41		2,877		3,156,956
Government National Mortgage Assoc.		5.000%		07/15/33-04/15/34		847		941,237
Government National Mortgage Assoc.		5.500%		03/15/34-03/15/36		767		865,031
Government National Mortgage Assoc.		6.500%		07/15/32-08/15/32		241		279,581
Government National Mortgage Assoc.		7.000%		03/15/23-08/15/28		533		593,472
Government National Mortgage Assoc.		7.500%		12/15/25-02/15/26		83		94,434
Government National Mortgage Assoc.		8.500%		09/15/24-04/15/25		173		197,932
Hashemite Kingdom of Jordan, USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes		2.503%		10/30/20		937		952,611
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes		1.844%		05/16/19		565		568,814

SEE NOTES TO FINANCIAL STATEMENTS.

A100


U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)	Interest Rate			Maturity Date	Principal Amount (000)#		Value (Note 2)
Westpac Banking Corp., 144A(b)		2.000%		05/21/19		610	$	607,806

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $156,858,203)								160,194,706

U.S. TREASURY OBLIGATIONS — 22.7%
U.S. Treasury Bonds		2.250%		11/15/24		655		659,401
U.S. Treasury Bonds		2.875%		05/15/43		415		424,467
U.S. Treasury Bonds		3.000%		11/15/44		2,100		2,206,970
U.S. Treasury Inflation Indexed Bonds, TIPS		0.125%		04/15/19		10,417		10,302,685
U.S. Treasury Notes		1.250%		11/30/18		8,865		8,802,670
U.S. Treasury Notes(e)		1.500%		12/31/18		16,585		16,607,025
U.S. Treasury Notes		1.500%		01/31/19-05/31/19		2,465		2,464,244
U.S. Treasury Notes(b)		1.500%		11/30/19		1,015		1,008,577
U.S. Treasury Notes		1.625%		12/31/19		910		908,650
U.S. Treasury Notes		2.375%		05/31/18-08/15/24		6,270		6,478,401
U.S. Treasury Notes		2.875%		03/31/18		6,660		7,006,526
U.S. Treasury Notes		3.125%		08/15/44		350		376,797
U.S. Treasury Notes		3.375%		05/15/44		155		174,496
U.S. Treasury Strips Coupon		1.863%	(d)	05/15/22		8,820		7,542,555
U.S. Treasury Strips Coupon		2.037%	(d)	02/15/22		2,280		1,963,522
U.S. Treasury Strips Coupon(f)		2.404%	(d)	08/15/21		3,370		2,947,190
U.S. Treasury Strips Coupon(b)		4.138%	(d)	02/15/42		5,000		2,297,816
U.S. Treasury Strips Principal(b)		3.591%	(d)	05/15/44		3,515		1,520,480
U.S. Treasury Strips Principal		3.874%	(d)	02/15/44		7,565		3,298,453

TOTAL U.S. TREASURY OBLIGATIONS (cost $75,110,578)								76,990,925

TOTAL LONG-TERM INVESTMENTS (cost $320,197,078)								325,814,318


SHORT-TERM INVESTMENTS — 33.8%					Shares
AFFILIATED MUTUAL FUNDS — 33.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $55,240,720)(Note 4)(g)						5,613,042		52,425,815
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $62,007,278; includes $9,678,833 of cash collateral for securities on loan) (Note 4)(g)(h)						62,007,278		62,007,278

TOTAL AFFILIATED MUTUAL FUNDS (cost $117,247,998)								114,433,093


					Notional Amount (000)#
OPTIONS PURCHASED*
Call Options
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.38						38,200		29,844
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $110.00						38,200		2,984

TOTAL OPTIONS PURCHASED (cost $54,395)								32,828

TOTAL SHORT-TERM INVESTMENTS (cost $117,302,393)								114,465,921

TOTAL INVESTMENTS, BEFORE OPTION WRITTEN — 129.8% (cost $437,499,471)								440,280,239

SEE NOTES TO FINANCIAL STATEMENTS.

A101


OPTION WRITTEN*	Notional Amount (000)#		Value (Note 2)
Call Option
2 Year U.S. Treasury Notes Futures, expiring 01/23/15, Strike Price $109.63 (Premiums received $35,136)		76,400	$	(11,937	)

TOTAL INVESTMENTS, NET OF OPTION WRITTEN — 129.8% (cost $437,464,335)				440,268,302
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (29.8)%				(101,087,771	)

NET ASSETS — 100.0%			$	339,180,531

See the Glossary for abbreviations used in the Portfolio descriptions.

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

(a)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2014.

(b)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $9,495,771; cash collateral of $9,678,833 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

(c)	All or partial principal amount of $87,000,000 represents to-be announced (“TBA”) securities acquired under mortgage dollar roll agreement.

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

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

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

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

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

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

Futures contracts outstanding at December 31, 2014:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation (Depreciation)(1)
Long Positions:
343	2 Year U.S. Treasury Notes		Mar. 2015	$	74,996,918	$	74,977,656	$	(19,262	)
70	5 Year U.S. Treasury Notes		Mar. 2015		8,323,302		8,325,078		1,776
85	10 Year U.S. Treasury Notes		Mar. 2015		10,775,593		10,777,734		2,141
67	U.S. Ultra Bonds		Mar. 2015		10,817,611		11,067,563		249,952

									234,607

Short Position:
71	U.S. Long Bonds		Mar. 2015		10,261,490		10,263,937		(2,447	)

								$	232,160

(1)	A U.S. Treasury security with a market value of $493,239 has been segregated with Citigroup Global Markets to cover requirements for open contracts at December 31, 2014.

Interest rate swap agreements outstanding at December 31, 2014:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	Over-the-counter swap agreements:
	1,360		11/30/16		0.945%	3 Month LIBOR(1)	$	(3,404	)	$	—	$	(3,404	)	Citigroup Global Markets
	4,700		02/15/19		1.656%	3 Month LIBOR(1)		(39,903	)		—		(39,903	)	Citigroup Global Markets
	4,700		02/15/19		1.794%	3 Month LIBOR(2)		68,402			—		68,402		JPMorgan Chase

							$	25,095		$	—	$	25,095

SEE NOTES TO FINANCIAL STATEMENTS.

A102

Interest rate swap agreements outstanding at December 31, 2014 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2014			Unrealized Appreciation (Depreciation)
	Exchange-traded swap agreements:
	100		02/21/16		0.429%	3 Month LIBOR(1)	$	150		$	71		$	(79	)
	5,820		06/30/16		0.618%	3 Month LIBOR(1)		165			2,912			2,747
	22,440		06/30/16		0.655%	3 Month LIBOR(1)		(2,351	)		(1,175	)		1,176
	6,240		06/30/16		0.655%	3 Month LIBOR(1)		165			(339	)		(504	)
	13,540		08/29/16		0.710%	3 Month LIBOR(1)		121			4,263			4,142
	19,075		05/31/19		1.730%	3 Month LIBOR(1)		1,517			19,171			17,654
	10,750		08/29/19		1.804%	3 Month LIBOR(2)		136			44,689			44,553
	7,855		09/17/21		2.358%	3 Month LIBOR(2)		197			172,206			172,009
	6,285		10/31/21		2.152%	3 Month LIBOR(1)		187			(23,149	)		(23,336	)
	5,100		01/13/22		2.351%	3 Month LIBOR(1)		181			(102,421	)		(102,602	)
	4,850		01/13/22		2.480%	3 Month LIBOR(1)		180			(139,180	)		(139,360	)
	1,710		01/22/22		2.467%	3 Month LIBOR(1)		160			(47,427	)		(47,587	)
	8,720		12/20/23		2.932%	3 Month LIBOR(1)		220			(516,814	)		(517,034	)
	11,725		08/18/24		2.750%	3 Month LIBOR(2)		168			502,899			502,731
	2,920		08/29/24		2.560%	3 Month LIBOR(1)		112			(76,066	)		(76,178	)
	11,600		09/17/24		2.732%	3 Month LIBOR(1)		243			(476,432	)		(476,675	)
	4,230		09/17/29		3.070%	3 Month LIBOR(2)		192			304,782			304,590

							$	1,743		$	(332,010	)	$	(333,753	)

A U.S. Treasury security with a market value of $690,916 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate swap contracts at December 31, 2014.

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

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

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

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, 2014 in valuing such portfolio securities:


	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—		$	10,416,140		$	—
Collateralized Mortgage Obligations		—			1,422,079			—
Non-Residential Mortgage-Backed Securities		—			2,533,994			—
Commercial Mortgage-Backed Securities		—			68,379,254			—
Corporate Bond		—			2,352,542			—
Foreign Government Agencies		—			2,816,363			—
Municipal Bond		—			708,315			—
U.S. Government Agency Obligations		—			160,194,706			—
U.S. Treasury Obligations		—			76,990,925			—
Affiliated Mutual Funds		114,433,093			—			—
Options Purchased		32,828			—			—
Option Written		(11,937	)		—			—
Other Financial Instruments*
Futures Contracts		232,160			—			—
Over-the-counter interest rate swaps		—			25,095			—
Exchange-traded interest rate swaps		—			(333,753	)		—

Total	$	114,686,144		$	325,505,660		$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A103

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


U.S. Government Agency Obligations	47.2	%
Affiliated Mutual Funds	33.8
U.S. Treasury Obligations	22.7
Commercial Mortgage-Backed Securities	20.2
Collateralized Loan Obligations	3.1
Foreign Government Agencies	0.8
Non-Residential Mortgage-Backed Securities	0.7
Corporate Bond	0.7
Collateralized Mortgage Obligations	0.4


Municipal Bond	0.2	%
Options Purchased	—	**
Option Written	—	**

	129.8
Liabilities in excess of other assets	(29.8	)

	100.0	%

**	Less than 0.05%

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, 2014 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Interest rate contracts

Due from broker —
variation margin futures

253,869

Due from broker —
variation margin futures

21,709

Interest rate contracts

Due from broker —
variation margin swaps

1,049,602

Due from broker —
variation margin swaps

1,383,355

Interest rate contracts

Unrealized appreciation on
swap agreements

68,402

Unrealized depreciation on
swap agreements

43,307

Interest rate contracts

Unaffiliated investments

32,828

Option written outstanding, at value

11,937

Total

1,404,701

1,460,308

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2014 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*			Option Written		Futures		Swaps			Total
Interest rate contracts	$	(232,641	)	$	(60,430)	$	411,559	$	(896,250	)	$	(777,762	)

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



Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased*		Option Written		Futures		Swaps			Total
Interest rate contracts	$	62,526	$	23,199	$	1,067,196	$	(1,624,660	)	$	(471,739	)

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

For the year ended December 31, 2014, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased (Cost)	Options Written (Notional Amount in USD (000))	Futures Long Position (Value at Trade Date)
$314,548	$52,436	$89,304,834


Futures Short Position (Value at Trade Date)		Interest Rate Swaps (Notional Amount in USD (000))
$17,730,843		$135,097

SEE NOTES TO FINANCIAL STATEMENTS.

A104

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


Counterparty	Gross Amounts of Recognized Assets(1)			Gross Amounts Available for Offset		Collateral Received(3)		Net Amount
Citigroup Global Markets	$	—		$	—	$	—	$	—
JPMorgan Chase		68,402			—		—		68,402

	$	68,402


Counterparty	Gross Amounts of Recognized Liabilities(2)			Gross Amounts Available for Offset		Collateral Pledged(3)		Net Amount
Citigroup Global Markets	$	(43,307	)	$	—	$	—	$	(43,307	)
JPMorgan Chase		—			—		—		—

	$	(43,307	)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A105


		*GOVERNMENT INCOME PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014


ASSETS
Investments at value, including securities on loan of $9,495,771:
Unaffiliated investments (cost $320,251,473)	$	325,847,146
Affiliated investments (cost $117,247,998)		114,433,093
Receivable for investments sold		117,464,769
Dividends receivable		1,012,785
Unrealized appreciation on over-the-counter swap agreements		68,402
Due from broker—variation margin swaps		31,838
Receivable for Series shares sold		769
Prepaid expenses		2,657

Total Assets		558,861,459

LIABILITIES
Payable for investments purchased		208,639,349
Payable to broker for collateral for securities on loan		9,678,833
Payable to custodian		1,005,806
Management fee payable		115,275
Accrued expenses		108,163
Payable for Series shares repurchased		72,779
Unrealized depreciation on over-the-counter swap agreements		43,307
Option written outstanding, at value (premiums received $35,136)		11,937
Due to broker—variation margin futures		4,553
Affiliated transfer agent fee payable		926

Total Liabilities		219,680,928

NET ASSETS	$	339,180,531

Net assets were comprised of:
Paid-in capital	$	326,291,161
Retained earnings		12,889,370

Net assets, December 31, 2014	$	339,180,531

Net asset value and redemption price per share $339,180,531 / 28,454,702 outstanding shares of beneficial interest	$	11.92

STATEMENT OF OPERATIONS

Year Ended December 31, 2014


NET INVESTMENT INCOME
INCOME
Interest income	$	6,759,710
Affiliated dividend income		722,747
Affiliated income from securities loaned, net		35,816

Total income		7,518,273

EXPENSES
Management fee		1,363,330
Custodian’s fees and expenses		85,000
Shareholders’ reports		84,000
Audit fee		33,000
Trustees’ fees		13,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Legal fees and expenses		11,000
Insurance expenses		5,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		8,580

Total expenses		1,616,910

NET INVESTMENT INCOME		5,901,363

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		8,017,354
Futures transactions		411,559
Options written transactions		(60,430	)
Swap agreement transactions		(896,250	)

		7,472,233

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated $166,788)		6,529,006
Futures		1,067,196
Options written		23,199
Swap agreements		(1,624,660	)

		5,994,741

NET GAIN ON INVESTMENT TRANSACTIONS		13,466,974

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	19,368,337

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	5,901,363		$	6,413,372
Net realized gain (loss) on investment transactions		7,472,234			(2,399,719	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		5,994,740			(12,420,842	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		19,368,337			(8,407,189	)

DIVIDENDS FROM NET INVESTMENT INCOME		(1,210,720	)		(17,437,795	)

SERIES SHARE TRANSACTIONS
Series shares sold [449,768 and 353,311 shares, respectively]		5,246,081			4,141,803
Series shares issued in reinvestment of distributions [105,280 and 1,506,594 shares, respectively]		1,210,720			17,437,795
Series shares repurchased [2,279,485 and 3,202,620 shares, respectively]		(26,512,995	)		(37,560,842	)

NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		(20,056,194	)		(15,981,244	)

TOTAL DECREASE		(1,898,577	)		(41,826,228	)
NET ASSETS:
Beginning of year		341,079,108			382,905,336

End of year	$	339,180,531		$	341,079,108

SEE NOTES TO FINANCIAL STATEMENTS.

A106


LONG-TERM INVESTMENTS — 96.8%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.6%
Boeing Co. (The)		117,136	$	15,225,337
General Dynamics Corp.		56,200		7,734,244
Honeywell International, Inc.		137,050		13,694,036
L-3 Communications Holdings, Inc.		15,200		1,918,392
Lockheed Martin Corp.		47,298		9,108,176
Northrop Grumman Corp.		36,726		5,413,045
Precision Castparts Corp.		25,300		6,094,264
Raytheon Co.		54,318		5,875,578
Rockwell Collins, Inc.		24,000		2,027,520
Textron, Inc.		49,400		2,080,234
United Technologies Corp.		149,000		17,135,000

				86,305,826

Air Freight & Logistics — 0.8%
C.H. Robinson Worldwide, Inc.		26,100		1,954,629
Expeditors International of Washington, Inc.		35,600		1,588,116
FedEx Corp.		47,140		8,186,332
United Parcel Service, Inc. (Class B Stock)		123,300		13,707,261

				25,436,338

Airlines — 0.4%
Delta Air Lines, Inc.		147,300		7,245,687
Southwest Airlines Co.		120,037		5,079,966

				12,325,653

Auto Components — 0.4%
BorgWarner, Inc.		40,000		2,198,000
Delphi Automotive PLC (United Kingdom)		52,400		3,810,528
Goodyear Tire & Rubber Co. (The)		50,000		1,428,500
Johnson Controls, Inc.		116,900		5,650,946

				13,087,974

Automobiles — 0.6%
Ford Motor Co.		677,459		10,500,615
General Motors Co.		231,900		8,095,629
Harley-Davidson, Inc.		38,100		2,511,171

				21,107,415

Banks — 5.9%
Bank of America Corp.		1,837,082		32,865,397
BB&T Corp.(a)		126,100		4,904,029
Citigroup, Inc.		532,622		28,820,176
Comerica, Inc.		31,850		1,491,854
Fifth Third Bancorp		145,649		2,967,598
Huntington Bancshares, Inc.		144,675		1,521,981
JPMorgan Chase & Co.		656,845		41,105,360
KeyCorp		152,900		2,125,310
M&T Bank Corp.(a)		23,400		2,939,508
PNC Financial Services Group, Inc. (The)		94,393		8,611,473
Regions Financial Corp.		241,312		2,548,255
SunTrust Banks, Inc.		92,900		3,892,510
U.S. Bancorp		316,381		14,221,326
Wells Fargo & Co.		829,636		45,480,646
Zions Bancorporation		35,400		1,009,254

				194,504,677


COMMON STOCKS (continued)	Shares		Value (Note 2)
Beverages — 2.1%
Brown-Forman Corp. (Class B Stock)		28,550	$	2,507,832
Coca-Cola Co. (The)		689,850		29,125,467
Coca-Cola Enterprises, Inc.		40,700		1,799,754
Constellation Brands Inc. (Class A Stock)*		29,300		2,876,381
Dr. Pepper Snapple Group, Inc.		34,600		2,480,128
Molson Coors Brewing Co. (Class B Stock)		28,200		2,101,464
Monster Beverage Corp.*		25,200		2,730,420
PepsiCo, Inc.		263,614		24,927,340

				68,548,786

Biotechnology — 2.8%
Alexion Pharmaceuticals, Inc.*		34,600		6,402,038
Amgen, Inc.		133,794		21,312,046
Biogen Idec, Inc.*		41,375		14,044,744
Celgene Corp.*		140,200		15,682,772
Gilead Sciences, Inc.*		265,300		25,007,178
Regeneron Pharmaceuticals, Inc.*		13,100		5,374,275
Vertex Pharmaceuticals, Inc.*		40,600		4,823,280

				92,646,333

Building Products — 0.1%
Allegion PLC		16,833		933,558
Masco Corp.		62,200		1,567,440

				2,500,998

Capital Markets — 2.2%
Affiliated Managers Group, Inc.*		9,800		2,079,952
Ameriprise Financial, Inc.		32,700		4,324,575
Bank of New York Mellon Corp. (The)		198,089		8,036,471
BlackRock, Inc.		22,200		7,937,832
Charles Schwab Corp. (The)		202,800		6,122,532
ETRADE Financial Corp.		51,810		1,256,652
Franklin Resources, Inc.		69,500		3,848,215
Goldman Sachs Group, Inc. (The)		72,200		13,994,526
Invesco Ltd.		75,600		2,987,712
Legg Mason, Inc.		18,000		960,660
Morgan Stanley		267,510		10,379,388
Northern Trust Corp.		39,400		2,655,560
State Street Corp.		74,525		5,850,212
T. Rowe Price Group, Inc.		46,500		3,992,490

				74,426,777

Chemicals — 2.3%
Air Products & Chemicals, Inc.		34,100		4,918,243
Airgas, Inc.		11,800		1,359,124
CF Industries Holdings, Inc.		9,000		2,452,860
Dow Chemical Co. (The)		196,211		8,949,184
E.I. du Pont de Nemours & Co.		159,991		11,829,734
Eastman Chemical Co.		26,100		1,979,946
Ecolab, Inc.		47,100		4,922,892
FMC Corp.		24,000		1,368,720
International Flavors & Fragrances, Inc.		14,200		1,439,312
LyondellBasell Industries NV (Class A Stock)		74,800		5,938,372

SEE NOTES TO FINANCIAL STATEMENTS.

A107


COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Monsanto Co.		84,596	$	10,106,684
Mosaic Co. (The)		56,400		2,574,660
PPG Industries, Inc.		24,100		5,570,715
Praxair, Inc.		51,000		6,607,560
Sherwin-Williams Co. (The)		14,800		3,892,992
Sigma-Aldrich Corp.		21,100		2,896,397

				76,807,395

Commercial Services & Supplies — 0.4%
ADT Corp. (The)(a)		31,400		1,137,622
Cintas Corp.		17,200		1,349,168
Pitney Bowes, Inc.		37,800		921,186
Republic Services, Inc.		45,635		1,836,809
Stericycle, Inc.*		14,800		1,939,984
Tyco International PLC		74,200		3,254,412
Waste Management, Inc.		76,830		3,942,915

				14,382,096

Communications Equipment — 1.6%
Cisco Systems, Inc.		891,275		24,790,814
F5 Networks, Inc.*		13,000		1,696,045
Harris Corp.		18,300		1,314,306
Juniper Networks, Inc.		74,000		1,651,680
Motorola Solutions, Inc.		39,527		2,651,471
QUALCOMM, Inc.		292,950		21,774,974

				53,879,290

Construction & Engineering — 0.1%
Fluor Corp.		27,500		1,667,325
Jacobs Engineering Group, Inc.*		23,500		1,050,215
Quanta Services, Inc.*		42,900		1,217,931

				3,935,471

Construction Materials — 0.1%
Martin Marietta Materials, Inc.		10,200		1,125,264
Vulcan Materials Co.		23,200		1,524,936

				2,650,200

Consumer Finance — 0.9%
American Express Co.		157,500		14,653,800
Capital One Financial Corp.		98,969		8,169,891
Discover Financial Services		80,605		5,278,821
Navient Corp.		77,000		1,663,970

				29,766,482

Containers & Packaging — 0.2%
Avery Dennison Corp.		16,900		876,772
Ball Corp.		24,300		1,656,531
MeadWestvaco Corp.		29,889		1,326,773
Owens-Illinois, Inc.*		30,300		817,797
Sealed Air Corp.		37,020		1,570,758

				6,248,631

Distributors — 0.1%
Genuine Parts Co.		26,825		2,858,740

Diversified Consumer Services — 0.1%
H&R Block, Inc.		49,200		1,657,056

Diversified Financial Services — 2.0%
Berkshire Hathaway, Inc. (Class B Stock)*		319,300		47,942,895


COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Financial Services (continued)
CME Group, Inc.		55,200	$	4,893,480
Intercontinental Exchange, Inc.		19,698		4,319,575
Leucadia National Corp.		55,900		1,253,278
McGrawHill Financial, Inc.		47,400		4,217,652
Moody’s Corp.		33,320		3,192,389
NASDAQ OMX Group, Inc. (The)		21,100		1,011,956

				66,831,225

Diversified Telecommunication Services — 2.2%
AT&T, Inc.		906,311		30,442,986
CenturyLink, Inc.		100,285		3,969,280
Frontier Communications Corp.		172,916		1,153,350
Level 3 Communications, Inc.*(a)		46,600		2,301,108
Verizon Communications, Inc.		723,638		33,851,786
Windstream Holdings, Inc.		96,265		793,224

				72,511,734

Electric Utilities — 1.8%
American Electric Power Co., Inc.		86,040		5,224,349
Duke Energy Corp.		124,048		10,362,970
Edison International		56,900		3,725,812
Entergy Corp.		31,400		2,746,872
Exelon Corp.		150,073		5,564,707
FirstEnergy Corp.		73,480		2,864,985
NextEra Energy, Inc.		76,375		8,117,899
Northeast Utilities		55,200		2,954,304
Pepco Holdings, Inc.		43,800		1,179,534
Pinnacle West Capital Corp.		19,300		1,318,383
PPL Corp.		118,800		4,316,004
Southern Co. (The)		156,500		7,685,715
Xcel Energy, Inc.		88,295		3,171,556

				59,233,090

Electrical Equipment — 0.6%
AMETEK, Inc.		43,200		2,273,616
Eaton Corp. PLC		84,761		5,760,358
Emerson Electric Co.		122,300		7,549,579
Rockwell Automation, Inc.		24,300		2,702,160

				18,285,713

Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		55,200		2,970,312
Corning, Inc.		224,800		5,154,664
FLIR Systems, Inc.		25,100		810,981
TE Connectivity Ltd. (Switzerland)		71,500		4,522,375

				13,458,332

Energy Equipment & Services — 1.3%
Baker Hughes, Inc.		76,048		4,264,011
Cameron International Corp.*		35,400		1,768,230
Diamond Offshore Drilling, Inc.(a)		11,900		436,849
Ensco PLC (Class A Stock)		41,600		1,245,920
FMC Technologies, Inc.*		41,800		1,957,912
Halliburton Co.		150,000		5,899,500
Helmerich & Payne, Inc.		20,000		1,348,400
Nabors Industries Ltd.		50,600		656,788
National Oilwell Varco, Inc.		75,700		4,960,621
Noble Corp. PLC		46,700		773,819
Schlumberger Ltd.		226,472		19,342,974
Transocean Ltd.(a)		61,000		1,118,130

				43,773,154

SEE NOTES TO FINANCIAL STATEMENTS.

A108


COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		76,622	$	10,861,168
CVS Health Corp.		202,938		19,544,959
Kroger Co. (The)		86,100		5,528,481
Safeway, Inc.		40,200		1,411,824
Sysco Corp.		102,500		4,068,225
Wal-Mart Stores, Inc.		276,100		23,711,468
Walgreens Boots Alliance, Inc.		153,700		11,711,940
Whole Foods Market, Inc.		63,600		3,206,712

				80,044,777

Food Products — 1.6%
Archer-Daniels-Midland Co.		115,238		5,992,376
Campbell Soup Co.		31,300		1,377,200
ConAgra Foods, Inc.		73,900		2,681,092
General Mills, Inc.		107,800		5,748,974
Hershey Co. (The)		26,300		2,733,359
Hormel Foods Corp.		23,600		1,229,560
J.M. Smucker Co. (The)		18,200		1,837,836
Kellogg Co.		44,700		2,925,168
Keurig Green Mountain, Inc.		21,800		2,886,211
Kraft Foods Group, Inc.		104,537		6,550,289
McCormick & Co., Inc.		23,000		1,708,900
Mead Johnson Nutrition Co.		35,593		3,578,520
Mondelez International, Inc. (Class A Stock)		295,511		10,734,437
Tyson Foods, Inc. (Class A Stock)		51,100		2,048,599

				52,032,521

Gas Utilities
AGL Resources, Inc.		20,937		1,141,276

Health Care Equipment & Supplies — 2.2%
Abbott Laboratories		263,350		11,856,017
Baxter International, Inc.		94,600		6,933,234
Becton, Dickinson and Co.		33,800		4,703,608
Boston Scientific Corp.*		231,299		3,064,712
C.R. Bard, Inc.		13,500		2,249,370
CareFusion Corp.*		35,837		2,126,567
Covidien PLC		78,900		8,069,892
DENTSPLY International, Inc.		24,800		1,321,096
Edwards Lifesciences Corp.*		18,600		2,369,268
Intuitive Surgical, Inc.*		6,550		3,464,557
Medtronic, Inc.		171,500		12,382,300
St. Jude Medical, Inc.		50,400		3,277,512
Stryker Corp.		52,400		4,942,892
Varian Medical Systems, Inc.*(a)		18,100		1,565,831
Zimmer Holdings, Inc.		29,586		3,355,644

				71,682,500

Health Care Providers & Services — 2.2%
Aetna, Inc.		62,257		5,530,289
AmerisourceBergen Corp.		38,700		3,489,192
Anthem, Inc.		48,300		6,069,861
Cardinal Health, Inc.		58,975		4,761,052
Cigna Corp.		47,200		4,857,352
DaVita HealthCare Partners, Inc.*		30,600		2,317,644
Express Scripts Holding Co.*		130,826		11,077,038
Humana, Inc.		27,000		3,878,010
Laboratory Corp. of America Holdings*		15,100		1,629,290


COMMON STOCKS (continued)	Shares		Value (Note 2)
Health Care Providers & Services (continued)
McKesson Corp.		40,507	$	8,408,443
Patterson Cos., Inc.		15,200		731,120
Quest Diagnostics, Inc.(a)		25,500		1,710,030
Tenet Healthcare Corp.*(a)		17,200		871,524
UnitedHealth Group, Inc.		170,700		17,256,063
Universal Health Services, Inc. (Class B Stock)		17,000		1,891,420

				74,478,328

Health Care Technology — 0.1%
Cerner Corp.*		53,100		3,433,446

Hotels, Restaurants & Leisure — 1.6%
Carnival Corp.		77,700		3,522,141
Chipotle Mexican Grill, Inc.*		5,500		3,764,805
Darden Restaurants, Inc.(a)		23,150		1,357,284
Marriott International, Inc. (Class A Stock)		38,603		3,012,192
McDonald’s Corp.		172,600		16,172,620
Royal Caribbean Cruises Ltd.		26,200		2,159,666
Starbucks Corp.		130,400		10,699,320
Starwood Hotels & Resorts Worldwide, Inc.		31,800		2,578,026
Wyndham Worldwide Corp.		22,863		1,960,731
Wynn Resorts Ltd.		14,300		2,127,268
Yum! Brands, Inc.		77,600		5,653,160

				53,007,213

Household Durables — 0.4%
D.R. Horton, Inc.		57,900		1,464,291
Garmin Ltd.(a)		21,200		1,119,996
Harman International Industries, Inc.		12,100		1,291,191
Leggett & Platt, Inc.		23,800		1,014,118
Lennar Corp. (Class A Stock)		31,100		1,393,591
Mohawk Industries, Inc.*		10,900		1,693,424
Newell Rubbermaid, Inc.		47,749		1,818,760
PulteGroup, Inc.		61,385		1,317,322
Whirlpool Corp.		14,107		2,733,090

				13,845,783

Household Products — 1.9%
Clorox Co. (The)		22,500		2,344,725
Colgate-Palmolive Co.		150,300		10,399,257
Kimberly-Clark Corp.		65,388		7,554,929
Procter & Gamble Co. (The)		472,906		43,077,008

				63,375,919

Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		116,200		1,600,074
NRG Energy, Inc.		59,000		1,590,050

				3,190,124

Industrial Conglomerates — 2.3%
3M Co.		113,200		18,601,024
Danaher Corp.		107,000		9,170,970
General Electric Co.		1,756,975		44,398,758
Roper Industries, Inc.		17,500		2,736,125

				74,906,877

SEE NOTES TO FINANCIAL STATEMENTS.

A109


COMMON STOCKS (continued)	Shares		Value (Note 2)
Insurance — 2.5%
ACE Ltd.		59,100	$	6,789,408
Aflac, Inc.		79,700		4,868,873
Allstate Corp. (The)		76,888		5,401,382
American International Group, Inc.		249,829		13,992,922
Aon PLC		51,525		4,886,116
Assurant, Inc.		14,400		985,392
Chubb Corp. (The)		42,900		4,438,863
Cincinnati Financial Corp.		27,428		1,421,593
Genworth Financial, Inc. (Class A Stock)*		98,200		834,700
Hartford Financial Services Group, Inc. (The)		79,600		3,318,524
Lincoln National Corp.		47,563		2,742,958
Loews Corp.		54,226		2,278,577
Marsh & McLennan Cos., Inc.		96,500		5,523,660
MetLife, Inc.		198,300		10,726,047
Principal Financial Group, Inc.		49,700		2,581,418
Progressive Corp. (The)		97,800		2,639,622
Torchmark Corp.		24,175		1,309,560
Travelers Cos., Inc. (The)		60,198		6,371,958
Unum Group		47,456		1,655,265
XL Group PLC (Ireland)		47,200		1,622,264

				84,389,102

Internet & Catalog Retail — 1.1%
Amazon.com, Inc.*		65,900		20,452,065
Expedia, Inc.		17,400		1,485,264
Netflix, Inc.*		10,300		3,518,583
Priceline Group, Inc. (The)*		9,170		10,455,726
TripAdvisor, Inc.*		20,200		1,508,132

				37,419,770

Internet Software & Services — 3.1%
Akamai Technologies, Inc.*		33,300		2,096,568
eBay, Inc.*		197,800		11,100,536
Facebook, Inc. (Class A Stock)*		364,600		28,446,092
Google, Inc. (Class A Stock)*		50,085		26,578,106
Google, Inc. (Class C Stock)*		49,985		26,312,104
VeriSign, Inc.*(a)		21,500		1,225,500
Yahoo!, Inc.*		156,900		7,925,019

				103,683,925

IT Services — 3.2%
Accenture PLC (Class A Stock)		110,300		9,850,893
Alliance Data Systems Corp.*(a)		10,400		2,974,920
Automatic Data Processing, Inc.		84,300		7,028,091
Cognizant Technology Solutions Corp. (Class A Stock)*		107,600		5,666,216
Computer Sciences Corp.		25,900		1,632,995
Fidelity National Information Services, Inc.		50,600		3,147,320
Fiserv, Inc.*		43,600		3,094,292
International Business Machines Corp.		162,225		26,027,379
MasterCard, Inc. (Class A Stock)		172,400		14,853,984
Paychex, Inc.		57,050		2,633,999
Teradata Corp.*(a)		27,500		1,201,200
Total System Services, Inc.		29,893		1,015,166
Visa, Inc. (Class A Stock)(a)		86,000		22,549,200


COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Western Union Co. (The)		93,704	$	1,678,239
Xerox Corp.		190,511		2,640,482

				105,994,376

Leisure Products — 0.1%
Hasbro, Inc.(a)		19,450		1,069,556
Mattel, Inc.		59,381		1,837,545

				2,907,101

Life Sciences Tools & Services — 0.4%
Agilent Technologies, Inc.		58,282		2,386,065
PerkinElmer, Inc.		20,000		874,600
Thermo Fisher Scientific, Inc.		69,900		8,757,771
Waters Corp.*		15,000		1,690,800

				13,709,236

Machinery — 1.5%
Caterpillar, Inc.		108,500		9,931,005
Cummins, Inc.		30,100		4,339,517
Deere & Co.		62,450		5,524,952
Dover Corp.		29,300		2,101,396
Flowserve Corp.		24,600		1,471,818
Illinois Tool Works, Inc.		63,975		6,058,432
Ingersoll-Rand PLC		46,800		2,966,652
Joy Global, Inc.		17,700		823,404
PACCAR, Inc.		62,028		4,218,524
Pall Corp.		18,800		1,902,748
Parker Hannifin Corp.		26,087		3,363,919
Pentair PLC (United Kingdom)		34,107		2,265,387
Snap-on, Inc.		10,200		1,394,748
Stanley Black & Decker, Inc.		27,435		2,635,955
Xylem, Inc.		33,000		1,256,310

				50,254,767

Media — 3.5%
Cablevision Systems Corp. (Class A Stock)(a)		35,900		740,976
CBS Corp. (Class B Stock)		84,768		4,691,061
Comcast Corp. (Class A Stock)		452,146		26,228,989
DIRECTV*		87,825		7,614,428
Discovery Communications, Inc. (Class A Stock)*		28,800		992,160
Discovery Communications, Inc. (Class C Stock)*(a)		47,800		1,611,816
Gannett Co., Inc.		43,300		1,382,569
Interpublic Group of Cos., Inc. (The)		75,162		1,561,115
News Corp. (Class A Stock)*		88,525		1,388,957
Omnicom Group, Inc.		44,200		3,424,174
Scripps Networks Interactive, Inc. (Class A Stock)(a)		18,800		1,415,076
Time Warner Cable, Inc.		49,026		7,454,894
Time Warner, Inc.		150,215		12,831,365
Twenty-First Century Fox, Inc. (Class A Stock)		329,000		12,635,245
Viacom, Inc. (Class B Stock)		66,943		5,037,461
Walt Disney Co. (The)		275,776		25,975,341

				114,985,627

SEE NOTES TO FINANCIAL STATEMENTS.

A110


COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining — 0.4%
Alcoa, Inc.		207,276	$	3,272,888
Allegheny Technologies, Inc.		20,940		728,084
Freeport-McMoRan, Inc.		184,912		4,319,544
Newmont Mining Corp.		87,603		1,655,697
Nucor Corp.		56,800		2,786,040

				12,762,253

Multiline Retail — 0.7%
Dollar General Corp.*		53,600		3,789,520
Dollar Tree, Inc.*		36,400		2,561,832
Family Dollar Stores, Inc.		16,800		1,330,728
Kohl’s Corp.		35,800		2,185,232
Macy’s, Inc.		63,320		4,163,290
Nordstrom, Inc.		25,000		1,984,750
Target Corp.		111,268		8,446,354

				24,461,706

Multi-Utilities — 1.2%
Ameren Corp.		43,200		1,992,816
CenterPoint Energy, Inc.		79,210		1,855,890
CMS Energy Corp.		48,100		1,671,475
Consolidated Edison, Inc.		51,200		3,379,712
Dominion Resources, Inc.		102,084		7,850,260
DTE Energy Co.		30,900		2,668,833
Integrys Energy Group, Inc.		12,550		977,018
NiSource, Inc.		54,900		2,328,858
PG&E Corp.		83,900		4,466,836
Public Service Enterprise Group, Inc.		89,500		3,706,195
SCANA Corp.		25,600		1,546,240
Sempra Energy		40,454		4,504,957
TECO Energy, Inc.		40,700		833,943
Wisconsin Energy Corp.(a)		39,600		2,088,504

				39,871,537

Oil, Gas & Consumable Fuels — 6.9%
Anadarko Petroleum Corp.		89,326		7,369,395
Apache Corp.		67,150		4,208,290
Cabot Oil & Gas Corp.		73,900		2,188,179
Chesapeake Energy Corp.		90,600		1,773,042
Chevron Corp.		331,942		37,237,254
Cimarex Energy Co.		15,700		1,664,200
ConocoPhillips		215,529		14,884,433
CONSOL Energy, Inc.		40,200		1,359,162
Denbury Resources, Inc.(a)		60,900		495,117
Devon Energy Corp.		68,200		4,174,522
EOG Resources, Inc.		95,900		8,829,513
EQT Corp.		27,100		2,051,470
Exxon Mobil Corp.		744,804		68,857,130
Hess Corp.		46,375		3,423,402
Kinder Morgan, Inc.		294,543		12,462,114
Marathon Oil Corp.		119,194		3,371,998
Marathon Petroleum Corp.		50,447		4,553,346
Murphy Oil Corp.		29,500		1,490,340
Newfield Exploration Co.*		23,700		642,744
Noble Energy, Inc.		62,900		2,983,347
Occidental Petroleum Corp.		137,000		11,043,570
ONEOK, Inc.		36,240		1,804,390
Phillips 66		99,164		7,110,059


COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Pioneer Natural Resources Co.		25,000	$	3,721,250
QEP Resources, Inc.		29,800		602,556
Range Resources Corp.		29,500		1,576,775
Southwestern Energy Co.*		61,700		1,683,793
Spectra Energy Corp.		117,142		4,252,255
Tesoro Corp.		22,600		1,680,310
Valero Energy Corp.		94,600		4,682,700
Williams Cos., Inc. (The)		118,200		5,311,908

				227,488,564

Paper & Forest Products — 0.1%
International Paper Co.		75,567		4,048,880

Personal Products — 0.1%
Avon Products, Inc.		76,700		720,213
Estee Lauder Cos., Inc. (The) (Class A Stock)		39,300		2,994,660

				3,714,873

Pharmaceuticals — 6.1%
AbbVie, Inc.		279,600		18,297,024
Actavis PLC*		46,521		11,974,971
Allergan, Inc.		52,550		11,171,605
Bristol-Myers Squibb Co.		289,540		17,091,546
Eli Lilly & Co.		173,100		11,942,169
Hospira, Inc.*		29,820		1,826,475
Johnson & Johnson		492,596		51,510,764
Mallinckrodt PLC*		19,800		1,960,794
Merck & Co., Inc.		504,203		28,633,688
Mylan, Inc.*		66,800		3,765,516
Perrigo Co. PLC		23,400		3,911,544
Pfizer, Inc.		1,108,523		34,530,491
Zoetis, Inc.		87,600		3,769,428

				200,386,015

Professional Services — 0.2%
Dun & Bradstreet Corp. (The)		6,500		786,240
Equifax, Inc.		21,500		1,738,705
Nielsen NV(a)		56,500		2,527,245
Robert Half International, Inc.		24,000		1,401,120

				6,453,310

Real Estate Investment Trusts (REITs) — 2.3%
American Tower Corp.		69,600		6,879,960
Apartment Investment & Management Co. (Class A Stock)		25,574		950,074
AvalonBay Communities, Inc.		23,018		3,760,911
Boston Properties, Inc.		26,800		3,448,892
Crown Castle International Corp.		58,300		4,588,210
Equity Residential		63,300		4,547,472
Essex Property Trust, Inc.		11,500		2,375,900
General Growth Properties, Inc.		109,600		3,083,048
HCP, Inc.		80,200		3,531,206
Health Care REIT, Inc.		56,700		4,290,489
Host Hotels & Resorts, Inc.		132,326		3,145,389
Iron Mountain, Inc.		32,730		1,265,342
Kimco Realty Corp.		72,100		1,812,594
Macerich Co. (The)		25,600		2,135,296
Plum Creek Timber Co., Inc.		30,900		1,322,211

SEE NOTES TO FINANCIAL STATEMENTS.

A111


COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (REITs) (continued)
Prologis, Inc.		89,128	$	3,835,178
Public Storage		25,400		4,695,190
Simon Property Group, Inc.		54,701		9,961,599
Ventas, Inc.(a)		51,404		3,685,667
Vornado Realty Trust		30,557		3,596,864
Weyerhaeuser Co.		92,110		3,305,828

				76,217,320

Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		49,300		1,688,525

Road & Rail — 1.0%
CSX Corp.		175,672		6,364,597
Kansas City Southern		19,700		2,403,991
Norfolk Southern Corp.		54,100		5,929,901
Ryder System, Inc.		9,400		872,790
Union Pacific Corp.		156,800		18,679,584

				34,250,863

Semiconductors & Semiconductor Equipment — 2.4%
Altera Corp.		54,000		1,994,760
Analog Devices, Inc.		54,900		3,048,048
Applied Materials, Inc.		210,800		5,253,136
Avago Technologies Ltd. (Singapore)		45,200		4,546,668
Broadcom Corp. (Class A Stock)		96,150		4,166,179
First Solar, Inc.*		13,400		597,573
Intel Corp.		857,100		31,104,159
KLA-Tencor Corp.		29,500		2,074,440
Lam Research Corp.		28,750		2,281,025
Linear Technology Corp.		41,700		1,901,520
Microchip Technology, Inc.(a)		35,100		1,583,361
Micron Technology, Inc.*		189,200		6,623,892
NVIDIA Corp.		96,450		1,933,823
Texas Instruments, Inc.		187,400		10,019,341
Xilinx, Inc.		46,900		2,030,301

				79,158,226

Software — 3.7%
Adobe Systems, Inc.*		82,175		5,974,122
Autodesk, Inc.*		39,700		2,384,382
CA, Inc.		56,873		1,731,783
Citrix Systems, Inc.*		28,900		1,843,820
Electronic Arts, Inc.*		54,600		2,567,019
Intuit, Inc.		49,600		4,572,624
Microsoft Corp.		1,445,000		67,120,250
Oracle Corp.		568,495		25,565,220
Red Hat, Inc.*		33,300		2,302,362
salesforce.com, inc.*		100,700		5,972,517
Symantec Corp.		122,711		3,148,151

				123,182,250

Specialty Retail — 2.3%
AutoNation, Inc.*		13,689		826,952
AutoZone, Inc.*		5,700		3,528,927
Bed Bath & Beyond, Inc.*		34,400		2,620,248
Best Buy Co., Inc.		50,625		1,973,362
CarMax, Inc.*(a)		38,200		2,543,356


COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
GameStop Corp. (Class A Stock)(a)		19,800	$	669,240
Gap, Inc. (The)		47,887		2,016,522
Home Depot, Inc. (The)		233,669		24,528,235
L. Brands, Inc.		43,396		3,755,924
Lowe’s Cos., Inc.		173,025		11,904,120
O’Reilly Automotive, Inc.*		18,500		3,563,470
PetSmart, Inc.		17,800		1,447,051
Ross Stores, Inc.		36,800		3,468,768
Staples, Inc.		110,800		2,007,696
Tiffany & Co.		18,700		1,998,282
TJX Cos., Inc. (The)		121,600		8,339,328
Tractor Supply Co.		24,600		1,938,972
Urban Outfitters, Inc.*		19,000		667,470

				77,797,923

Technology Hardware, Storage & Peripherals — 4.6%
Apple, Inc.		1,033,305		114,056,206
EMC Corp.		357,274		10,625,329
Hewlett-Packard Co.		325,966		13,081,015
NetApp, Inc.		56,400		2,337,780
SanDisk Corp.(a)		39,200		3,840,816
Seagate Technology PLC		57,100		3,797,150
Western Digital Corp.		38,500		4,261,950

				152,000,246

Textiles, Apparel & Luxury Goods — 0.8%
Coach, Inc.		49,000		1,840,440
Fossil Group, Inc.*		8,300		919,142
Michael Kors Holdings Ltd.*		35,800		2,688,580
NIKE, Inc. (Class B Stock)		123,300		11,855,295
PVH Corp.		14,400		1,845,648
Ralph Lauren Corp.		10,600		1,962,696
Under Armour, Inc. (Class A Stock)*(a)		29,000		1,969,100
VF Corp.		60,244		4,512,276

				27,593,177

Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.		81,400		823,768
People’s United Financial, Inc.(a)		56,100		851,598

				1,675,366

Tobacco — 1.4%
Altria Group, Inc.		347,500		17,121,325
Lorillard, Inc.		63,593		4,002,543
Philip Morris International, Inc.		272,800		22,219,560
Reynolds American, Inc.		53,800		3,457,726

				46,801,154

Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		47,600		2,263,856
United Rentals, Inc.*		16,800		1,713,768
W.W. Grainger, Inc.		10,700		2,727,323

				6,704,947

TOTAL LONG-TERM INVESTMENTS (cost $1,155,566,742)				3,207,909,189

SEE NOTES TO FINANCIAL STATEMENTS.

A112


SHORT-TERM INVESTMENTS — 5.1%	Shares		Value (Note 2)
AFFILIATED MONEY MARKET MUTUAL FUND — 4.9%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $161,927,049; includes $65,419,511 of cash collateral for securities on loan) (Note 4)(b)(c)		161,927,049	$	161,927,049


	Principal Amount (000)#
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills, 0.020%, 03/19/15 (cost $5,999,434)(d)(e)		6,000		5,999,748

TOTAL SHORT-TERM INVESTMENTS
(cost $167,926,483)				167,926,797

TOTAL INVESTMENTS — 101.9%
(cost $1,323,493,225)				3,375,835,986
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (1.9)%				(63,162,188	)

NET ASSETS — 100.0%			$	3,312,673,798

See the Glossary for abbreviations used in the Portfolio descriptions.

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

*	Non-income producing security.

(a)

All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $63,204,983; cash collateral of $65,419,511 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements.

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

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

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

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

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

Futures contracts outstanding at December 31, 2014:


Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at December 31, 2014		Unrealized Appreciation(1)
Long Positions:
21	S&P 500 E-mini		Mar. 2015	$	2,072,733	$	2,155,020	$	82,287
200	S&P 500 Index		Mar. 2015		98,684,431		102,620,000		3,935,569

								$	4,017,856

(1)	A U.S. Treasury Obligation security with a market value of $5,999,748 has been segregated with UBS AG to cover requirements for open contracts at December 31, 2014.

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

Level 1—

quoted prices generally in active markets for identical securities.

Level 2—

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

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, 2014 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	86,305,826	$	—	$	—
Air Freight & Logistics		25,436,338		—		—
Airlines		12,325,653		—		—
Auto Components		13,087,974		—		—
Automobiles		21,107,415		—		—
Banks		194,504,677		—		—
Beverages		68,548,786		—		—
Biotechnology		92,646,333		—		—
Building Products		2,500,998		—		—
Capital Markets		74,426,777		—		—
Chemicals		76,807,395		—		—
Commercial Services & Supplies		14,382,096		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A113


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Communications Equipment	$	53,879,290	$	—	$	—
Construction & Engineering		3,935,471		—		—
Construction Materials		2,650,200		—		—
Consumer Finance		29,766,482		—		—
Containers & Packaging		6,248,631		—		—
Distributors		2,858,740		—		—
Diversified Consumer Services		1,657,056		—		—
Diversified Financial Services		66,831,225		—		—
Diversified Telecommunication Services		72,511,734		—		—
Electric Utilities		59,233,090		—		—
Electrical Equipment		18,285,713		—		—
Electronic Equipment, Instruments & Components		13,458,332		—		—
Energy Equipment & Services		43,773,154		—		—
Food & Staples Retailing		80,044,777		—		—
Food Products		52,032,521		—		—
Gas Utilities		1,141,276		—		—
Health Care Equipment & Supplies		71,682,500		—		—
Health Care Providers & Services		74,478,328		—		—
Health Care Technology		3,433,446		—		—
Hotels, Restaurants & Leisure		53,007,213		—		—
Household Durables		13,845,783		—		—
Household Products		63,375,919		—		—
Independent Power & Renewable Electricity Producers		3,190,124		—		—
Industrial Conglomerates		74,906,877		—		—
Insurance		84,389,102		—		—
Internet & Catalog Retail		37,419,770		—		—
Internet Software & Services		103,683,925		—		—
IT Services		105,994,376		—		—
Leisure Products		2,907,101		—		—
Life Sciences Tools & Services		13,709,236		—		—
Machinery		50,254,767		—		—
Media		114,985,627		—		—
Metals & Mining		12,762,253		—		—
Multiline Retail		24,461,706		—		—
Multi-Utilities		39,871,537		—		—
Oil, Gas & Consumable Fuels		227,488,564		—		—
Paper & Forest Products		4,048,880		—		—
Personal Products		3,714,873		—		—
Pharmaceuticals		200,386,015		—		—
Professional Services		6,453,310		—		—
Real Estate Investment Trusts (REITs)		76,217,320		—		—
Real Estate Management & Development		1,688,525		—		—
Road & Rail		34,250,863		—		—
Semiconductors & Semiconductor Equipment		79,158,226		—		—
Software		123,182,250		—		—
Specialty Retail		77,797,923		—		—
Technology Hardware, Storage & Peripherals		152,000,246		—		—
Textiles, Apparel & Luxury Goods		27,593,177		—		—
Thrifts & Mortgage Finance		1,675,366		—		—
Tobacco		46,801,154		—		—
Trading Companies & Distributors		6,704,947		—		—
Affiliated Money Market Mutual Fund		161,927,049		—		—
U.S. Treasury Obligation		—		5,999,748		—
Other Financial Instruments*
Futures Contracts		4,017,856		—		—

Total	$	3,373,854,094	$	5,999,748	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A114

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2014 was as follows (Unaudited):


Oil, Gas & Consumable Fuels	6.9	%
Pharmaceuticals	6.1
Banks	5.9
Affiliated Money Market Mutual Fund (including 2.0% of collateral for securities on loan)	4.9
Technology Hardware, Storage & Peripherals	4.6
Software	3.7
Media	3.5
IT Services	3.2
Internet Software & Services	3.1
Biotechnology	2.8
Aerospace & Defense	2.6
Insurance	2.5
Food & Staples Retailing	2.4
Semiconductors & Semiconductor Equipment	2.4
Specialty Retail	2.3
Chemicals	2.3
Real Estate Investment Trusts (REITs)	2.3
Industrial Conglomerates	2.3
Health Care Providers & Services	2.2
Capital Markets	2.2
Diversified Telecommunication Services	2.2
Health Care Equipment & Supplies	2.2
Beverages	2.1
Diversified Financial Services	2.0
Household Products	1.9
Electric Utilities	1.8
Communications Equipment	1.6
Hotels, Restaurants & Leisure	1.6
Food Products	1.6
Machinery	1.5
Tobacco	1.4
Energy Equipment & Services	1.3
Multi-Utilities	1.2
Internet & Catalog Retail	1.1


Road & Rail	1.0	%
Consumer Finance	0.9
Textiles, Apparel & Luxury Goods	0.8
Air Freight & Logistics	0.8
Multiline Retail	0.7
Automobiles	0.6
Electrical Equipment	0.6
Commercial Services & Supplies	0.4
Household Durables	0.4
Life Sciences Tools & Services	0.4
Electronic Equipment, Instruments & Components	0.4
Auto Components	0.4
Metals & Mining	0.4
Airlines	0.4
Trading Companies & Distributors	0.2
Professional Services	0.2
Containers & Packaging	0.2
U.S. Treasury Obligation	0.2
Paper & Forest Products	0.1
Construction & Engineering	0.1
Personal Products	0.1
Health Care Technology	0.1
Independent Power & Renewable Electricity Producers	0.1
Leisure Products	0.1
Distributors	0.1
Construction Materials	0.1
Building Products	0.1
Real Estate Management & Development	0.1
Thrifts & Mortgage Finance	0.1
Diversified Consumer Services	0.1

	101.9
Liabilities in excess of other assets	(1.9	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A115

Fair values of derivative instruments as of December 31, 2014 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Equity contracts

Due from/to broker — variation margin futures

4,017,856

—

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

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2014 are as follows:


Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	12,948,593


Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	1,339,538

For the year ended December 31, 2014, the Fund’s average value at trade date for futures long positions was $95,195,846.

SEE NOTES TO FINANCIAL STATEMENTS.

A116


		*STOCK INDEX PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014


ASSETS
Investments at value, including securities on loan of $63,204,983:
Unaffiliated investments (cost $1,161,566,176)	$	3,213,908,937
Affiliated investments (cost $161,927,049)		161,927,049
Dividends and interest receivable		4,316,297
Receivable for investments sold		583,775
Receivable for Series shares sold		63,878
Tax reclaim receivable		2,435
Prepaid expenses		23,918

Total Assets		3,380,826,289

LIABILITIES
Payable to broker for collateral for securities on loan		65,419,511
Due to broker—variation margin futures		1,240,515
Management fee payable		843,238
Payable for Series shares repurchased		242,819
Accrued expenses		192,089
Payable for investments purchased		155,159
Payable to custodian		58,234
Affiliated transfer agent fee payable		926

Total Liabilities		68,152,491

NET ASSETS	$	3,312,673,798

Net assets were comprised of:
Paid-in capital	$	1,212,702,596
Retained earnings		2,099,971,202

Net assets, December 31, 2014	$	3,312,673,798

Net asset value and redemption price per share $3,312,673,798 / 67,151,072 outstanding shares of beneficial interest	$	49.33

STATEMENT OF OPERATIONS

Year Ended December 31, 2014


NET INVESTMENT INCOME
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $6,110)	$	60,919,160
Affiliated income from securities loaned, net		217,848
Affiliated dividend income		142,886
Interest income		2,308

Total income		61,282,202

EXPENSES
Management fee		10,765,929
Custodian’s fees and expenses		311,000
Shareholders’ reports		100,000
Insurance expenses		39,000
Trustees’ fees		33,000
Audit fee		26,000
Legal fees and expenses		17,000
Transfer agent’s fees and expenses (including affiliated expense of $5,600)		12,000
Commitment fee on syndicated credit agreement		5,000
Miscellaneous		15,817

Total expenses		11,324,746
Less: Management fee waiver		(1,537,990	)

Net expenses		9,786,756

NET INVESTMENT INCOME		51,495,446

REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investment transactions		28,994,342
Futures transactions		12,948,593

		41,942,935

Net change in unrealized appreciation (depreciation) on:
Investments		294,385,967
Futures		1,339,538

		295,725,505

NET GAIN ON INVESTMENT TRANSACTIONS		337,668,440

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	389,163,886

STATEMENT OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2014			2013
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	51,495,446		$	46,538,020
Net realized gain on investment transactions		41,942,935			77,667,845
Net change in unrealized appreciation (depreciation) on investments		295,725,505			599,872,780

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		389,163,886			724,078,645

DISTRIBUTIONS		(225,034,357	)		—

SERIES SHARE TRANSACTIONS
Series shares sold [5,571,572 and 952,181 shares, respectively]		260,144,327			39,860,195
Series shares issued in reinvestment of distributions [4,895,244 and 0 shares, respectively]		225,034,357			—
Series shares repurchased [4,786,716 and 5,120,314 shares, respectively]		(227,184,200	)		(213,653,470	)

NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS		257,994,484			(173,793,275	)

TOTAL INCREASE		422,124,013			550,285,370
NET ASSETS:
Beginning of year		2,890,549,785			2,340,264,415

End of year	$	3,312,673,798		$	2,890,549,785

SEE NOTES TO FINANCIAL STATEMENTS.

A117

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

Currency


AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
CLP		Chilean Peso
CNH		Chinese Renminbi
EUR		Euro
GBP		British Pound
HUF		Hungarian Forint
INR		Indian Rupee
JPY		Japanese Yen
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
NZD		New Zealand Dollar
PHP		Philippine Peso
PLN		Polish Zloty
RUB		Russian Ruble
SGD		Singapore Dollar
TRY		Turkish Lira
USD		United States Dollar
ZAR		South African Rand

Index


CDX		Credit Derivative Index

Other


144A		Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
RegS		Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
ABS		Asset-Backed Security
ADR		American Depositary Receipt
BABs		Build America Bonds
BBSW		Australian Bank Bill Swap Reference Rate
bps		Basis Points
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
CMBS		Collateralized Mortgage-Backed Security
CVA		Certificate Van Aandelen (Bearer)
EAFE		Europe, Australasia and Far East
EURIBOR		Euro Interbank Offered Rate
EUROIS		Euro Overnight Index Swap
FHLMC		Federal Home Loan Mortgage Corp.
GMTN		Global Medium Term Note
GO		General Obligation
I/O		Interest Only
JIBAR		Johannesburg Interbank Agreed Rate
LIBOR		London Interbank Offered Rate
MOSPRIME		Moscow Prime Offered Rate
MSCI		Morgan Stanley Capital International
MTN		Medium Term Note
PRFC		Preference Shares
REIT		Real Estate Investment Trust

SEE NOTES TO FINANCIAL STATEMENTS.

A118


REMICS		Real Estate Mortgage Investment Conduit Service
SDR		Swedish Depositary Receipt
SWX		Swiss Exchange
TBA		To Be Announced
TIPS		Treasury Inflation Protected Securities
USAID		United States Agency for International Development

SEE NOTES TO FINANCIAL STATEMENTS.

A119

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 the seven Portfolios which are listed below along with each Portfolio’s investment objective.

Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio: Long-term growth of capital.

Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio: Long-term growth of capital.

Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.

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

Note 2:

Accounting Policies

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

Securities Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

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

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

Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

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

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

Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

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

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

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

Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

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

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

Forward Currency Contracts: A forward currency contract is a commitment between two parties to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

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

Short Sales: Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

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

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

Options: Certain Portfolios purchased and wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. The Portfolio, as a purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options, and guarantees the options contracts against default.

Swap Agreements: Certain Portfolios entered into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange-traded”). Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Exchange-traded swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.

Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.

Credit Default Swaps: Credit default swaps (“CDS”) involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.

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

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

The maximum amount of the payment that 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 which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.

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

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

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

Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s

custodian, and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.

As of December 31, 2014, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.

Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights: Certain Portfolios hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Securities Lending: Each Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls: Certain Portfolios enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement

date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations.

Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.

Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from 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”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, cost of compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

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


Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.74	*
Government Income Portfolio	0.40		0.40
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion		0.30	**

PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio.

PI had voluntarily agreed, through June 30, 2014, 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. Effective July 1, 2014, PI has contractually agreed, through June 30, 2015, 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, 2014, 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		Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio		PIM
Stock Index Portfolio		QMA

The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2014, brokerage commission recaptured under these agreements was as follows:


Portfolio	Amount
Equity Portfolio		$437,725
Global Portfolio		20,640

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, 2014, PIM was compensated for these services as follows:


Portfolio	Amount
Conservative Balanced Portfolio	$	54,146
Diversified Bond Portfolio		26,226
Equity Portfolio		175,533
Flexible Managed Portfolio		59,587
Global Portfolio		6,447
Government Income Portfolio		10,484
Stock Index Portfolio		65,071

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, 2014 were as follows:


Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	2,472,277,634	$	2,516,413,550
Diversified Bond Portfolio		215,829,643		441,314,280
Equity Portfolio		1,985,014,118		2,192,706,456
Flexible Managed Portfolio		5,285,342,776		5,406,609,988
Global Portfolio		268,094,938		304,352,638
Government Income Portfolio		2,582,450,103		2,584,443,780
Stock Index Portfolio		200,276,711		135,614,691

Options written transactions, during the year ended December 31, 2014, were as follows:


Conservative Balanced Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		389,400			608,279
Options terminated in closing purchase transactions		(203,100	)		(371,827	)
Options expired		(102,300	)		(197,820	)

Balance as of December 31, 2014		84,000		$	38,632


Diversified Bond Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		1,653,280			2,431,026
Options terminated in closing purchase transactions		(266,980	)		(345,091	)
Options expired		(737,300	)		(1,630,317	)

Balance as of December 31, 2014		649,000		$	455,618


Flexible Managed Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		507,440			791,646
Options terminated in closing purchase transactions		(265,640	)		(484,762	)
Options expired		(133,000	)		(256,847	)

Balance as of December 31, 2014		108,800		$	50,037


Government Income Portfolio	Notional Amount (000)			Premiums
Balance as of December 31, 2013		—		$	—
Options written		364,080			567,303
Options terminated in closing purchase transactions		(192,380	)		(348,297	)
Options expired		(95,300	)		(183,870	)

Balance as of December 31, 2014		76,400		$	35,136

Note 6:

Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7:

Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2014, the Equity Portfolio has Class II shares outstanding.

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

Equity Portfolio:


Class I	Shares			Amount
Year ended December 31, 2014:
Series shares sold		334,797		$	12,282,548
Series shares repurchased		(7,032,156	)		(259,927,615	)

Net increase (decrease) in shares outstanding		(6,697,359	)	$	(247,645,067	)

Year ended December 31, 2013:
Series shares sold		497,608		$	15,342,872
Series shares repurchased		(7,725,116	)		(238,388,587	)

Net increase (decrease) in shares outstanding		(7,227,508	)	$	(223,045,715	)


Class II
Year ended December 31, 2014:
Series shares sold		14,613		$	533,921
Series shares repurchased		(21,926	)		(816,476	)

Net increase (decrease) in shares outstanding		(7,313	)	$	(282,555	)

Year ended December 31, 2013:
Series shares sold		14,609		$	480,313
Series shares repurchased		(17,287	)		(551,629	)

Net increase (decrease) in shares outstanding		(2,678	)	$	(71,316	)

B10

Note 8:

Borrowings

The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of the unused portion of the SCA. Prior to October 9, 2014, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .08% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolio utilized the SCA during the year ended December 31, 2014. 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			Maximum Balance Outstanding		Amount Outstanding at December 31, 2014
Diversified Bond Portfolio	$	12,017,889		9		1.40	%	$	20,171,000	$	—

Note 9:

Ownership and Affiliates

As of December 31, 2014, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.

B11

Financial Highlights


	Conservative Balanced Portfolio
	Year Ended December 31,
	2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	20.63		$	17.77		$	16.32		$	15.96		$	14.65

Income (Loss) From Investment Operations:
Net investment income		.36			.35			.38			.36			.37
Net realized and unrealized gain on investments		1.46			2.51			1.43			.37			1.31

Total from investment operations		1.82			2.86			1.81			.73			1.68

Less Distributions		—			—			(.36	)		(.37	)		(.37	)

Net Asset Value, end of year	$	22.45		$	20.63		$	17.77		$	16.32		$	15.96

Total Return(b)		8.82	%		16.09	%		11.23	%		4.60	%		11.74	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2,574.4		$	2,504.4		$	2,287.0		$	2,191.6		$	2,234.7
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.58	%		.58	%		.58	%		.59	%		.59	%
Expenses before waivers and/or expense reimbursement		.58	%		.58	%		.58	%		.59	%		.59	%
Net investment income		1.66	%		1.84	%		2.11	%		2.12	%		2.32	%
Portfolio turnover rate		134	%		196	%		188	%		215	%		185	%

	Diversified Bond Portfolio
	Year Ended December 31,
	2014(a)			2013			2012(a)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.01		$	11.88		$	11.74		$	11.67		$	11.16

Income (Loss) From Investment Operations:
Net investment income		.43			.48			.54			.56			.52
Net realized and unrealized gain (loss) on investments		.34			(.56	)		.66			.30			.63

Total from investment operations		.77			(.08	)		1.20			.86			1.15

Less Distributions		(.12	)		(.79	)		(1.06	)		(.79	)		(.64	)

Net Asset Value, end of year	$	11.66		$	11.01		$	11.88		$	11.74		$11.67

Total Return(b)		7.09	%		(.71	)%		10.68	%		7.51	%		10.57	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	1,067.9		$	1,197.5		$	1,305.9		$	1,556.9		$	1,522.9
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.44	%		.44	%		.44	%		.42	%		.46	%
Expenses before waivers and/or expense reimbursement		.44	%		.44	%		.44	%		.42	%		.46	%
Net investment income		3.73	%		4.10	%		4.57	%		4.76	%		4.46	%
Portfolio turnover rate		50	%		111	%		144	%		167	%		191	%

(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

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

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Equity Portfolio
	Class I
	Year Ended December 31,
	2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	35.81		$	26.81		$	23.73		$	24.75		$	22.30

Income (Loss) From Investment Operations:
Net investment income		.19			.27			.27			.13			.15
Net realized and unrealized gain (loss) on investments		2.56			8.73			2.96			(.98	)		2.48

Total from investment operations		2.75			9.00			3.23			(.85	)		2.63

Less Distributions:		—			—			(.15	)		(.17	)		(.18	)

Net Asset Value, end of year	$	38.56		$	35.81		$	26.81		$	23.73		$	24.75

Total Return(a)		7.68	%		33.57	%		13.69	%		(3.47	)%		11.90	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	4,017.6		$	3,970.9		$	3,167.0		$	2,997.5		$	3,324.3
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.47	%		.47	%		.47	%		.48	%		.48	%
Expenses before waivers and/or expense reimbursements		.47	%		.47	%		.47	%		.48	%		.48	%
Net investment income		.52	%		.86	%		1.04	%		.58	%		.71	%
Portfolio turnover rate		51	%		45	%		48	%		49	%		68	%

	Equity Portfolio
	Class II
	Year Ended December 31,
	2014(c)			2013			2012(c)			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	36.05		$	27.10		$	23.99		$	25.00		$	22.46

Income (Loss) From Investment Operations:
Net investment income		.04			.13			.17			.06			.04
Net realized and unrealized gain (loss) on investments		2.57			8.82			3.00			(1.03	)		2.54

Total from investment operations		2.61			8.95			3.17			(.97	)		2.58

Less Distributions:		—			—			(.06	)		(.04	)		(.04	)

Net Asset Value, end of year	$	38.66		$	36.05		$	27.10		$	23.99		$	25.00

Total Return(a)		7.24	%		33.03	%		13.23	%		(3.87	)%		11.50	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	2.2		$	2.3		$	1.8		$	2.0		$	1.9
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.87	%		.87	%		.87	%		.88	%		.88	%
Expenses before waivers and/or expense reimbursements		.87	%		.87	%		.87	%		.88	%		.88	%
Net investment income		.11	%		.47	%		.63	%		.19	%		.34	%
Portfolio turnover rate		51	%		45	%		48	%		49	%		68	%

(a)

Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each 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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Flexible Managed Portfolio
	Year Ended December 31,
	2014(a)			2013(a)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	21.35		$	17.77		$	15.99		$	15.63		$	14.28

Income (Loss) From Investment Operations:
Net investment income		.37			.36			.37			.33			.31
Net realized and unrealized gain on investments		1.99			3.22			1.74			.34			1.37

Total from investment operations		2.36			3.58			2.11			.67			1.68

Less Distributions		—			—			(.33	)		(.31	)		(.33	)

Net Asset Value, end of year	$	23.71		$	21.35		$	17.77		$	15.99		$	15.63

Total Return(b)		11.05	%		20.15	%		13.37	%		4.34	%		12.03	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,943.8		$	3,730.6		$	3,265.8		$	3,036.8		$	3,077.3
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.63	%		.64	%
Expenses before waivers and/or expense reimbursement		.63	%		.63	%		.63	%		.63	%		.64	%
Net investment income		1.66	%		1.86	%		2.05	%		2.01	%		2.06	%
Portfolio turnover rate(d)		161	%		210	%		214	%		246	%		205	%

	Global Portfolio
	Year Ended December 31,
	2014(a)			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	24.91		$	19.57		$	16.94		$	18.49		$	16.68

Income (Loss) From Investment Operations:
Net investment income		.37			.31			.36			.29			.28
Net realized and unrealized gain (loss) on investments		.44			5.03			2.57			(1.56	)		1.79

Total from investment operations		.81			5.34			2.93			(1.27	)		2.07

Less Distributions		—			—			(.30	)		(.28	)		(.26	)

Net Asset Value, end of year	$	25.72		$	24.91		$	19.57		$	16.94		$	18.49

Total Return(b)		3.25	%		27.29	%		17.52	%		(6.97	)%		12.74	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	719.2		$	744.5		$	611.2		$	564.2		$	648.5
Ratios to average net assets(c):
Expenses after waivers and/or expense reimbursements		.81	%		.84	%		.84	%		.84	%		.87	%
Expenses before waivers and/or expense reimbursements		.82	%		.84	%		.84	%		.84	%		.87	%
Net investment income		1.45	%		1.29	%		1.82	%		1.54	%		1.60	%
Portfolio turnover rate		37	%		70	%		57	%		69	%		69	%

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

(b)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights


	Government Income Portfolio
	Year Ended December 31,
	2014			2013			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	11.30		$	12.15		$	12.37		$	12.03		$	11.86

Income (Loss) From Investment Operations:
Net investment income		.21			.21			.25			.30			.35
Net realized and unrealized gain (loss) on investments		.45			(.49	)		.19			.60			.47

Total from investment operations		.66			(.28	)		.44			.90			.82

Less Distributions		(.04	)		(.57	)		(.66	)		(.56	)		(.65	)

Net Asset Value, end of year	$	11.92		$	11.30		$	12.15		$	12.37		$	12.03

Total Return(a)		5.86	%		(2.34	)%		3.63	%		7.63	%		6.99	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	339.2		$	341.1		$	382.9		$	416.7		$	399.2
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.47	%		.49	%		.48	%		.46	%		.50	%
Expenses before waivers and/or expense reimbursement		.47	%		.49	%		.48	%		.46	%		.50	%
Net investment income		1.73	%		1.78	%		1.96	%		2.48	%		2.87	%
Portfolio turnover rate(c)		830	%		1135	%		1154	%		1554	%		1122	%

	Stock Index Portfolio
	Year Ended December 31,
	2014(d)			2013(d)			2012			2011			2010
Per Share Operating Performance:
Net Asset Value, beginning of year	$	47.02		$	35.65		$	31.47		$	31.37		$	27.89

Income (Loss) From Investment Operations:
Net investment income		.79			.73			.68			.54			.48
Net realized and unrealized gain on investments		5.20			10.64			4.19			.07			3.51

Total from investment operations		5.99			11.37			4.87			.61			3.99

Less Distributions		(3.68	)		—			(.69	)		(.51	)		(.51	)

Net Asset Value, end of year	$	49.33		$	47.02		$	35.65		$	31.47		$	31.37

Total Return(a)		13.31	%		31.89	%		15.68	%		1.95	%		14.59	%
Ratios/Supplemental Data:
Net assets, end of year (in millions)	$	3,312.7		$	2,890.5		$	2,340.3		$	2,162.4		$	2,277.6
Ratios to average net assets(b):
Expenses after waivers and/or expense reimbursements		.32	%		.32	%		.32	%		.33	%		.36	%
Expenses before waivers and/or expense reimbursements		.37	%		.37	%		.37	%		.38	%		.38	%
Net investment income		1.67	%		1.77	%		1.97	%		1.74	%		1.70	%
Portfolio turnover rate		5	%		3	%		2	%		2	%		4	%

(a)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

THE BOARD OF TRUSTEES AND SHAREHOLDERS

THE PRUDENTIAL SERIES FUND:

We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2014, 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, 2014, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2014, and the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.

LOGO

New York, New York

February 17, 2015

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.


Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Susan Davenport Austin* (47) Trustee Since 2011 No. of Portfolios Overseen: 111	Senior Managing Director of Brock Capital (Since 2014); 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; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Presiding Director (Since 2014) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	None.
Sherry S. Barrat* (65) Trustee Since 2013 No. of Portfolios Overseen: 111	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.) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).
Kay Ryan Booth* (64) Trustee Since 2013 No. of Portfolios Overseen: 111	Partner of Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-May 2014); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.
Delayne Dedrick Gold* (76) Trustee Since 2001 No. of Portfolios Overseen: 111	Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc.	None.
Robert F. Gunia* (68) Trustee Since 2001 No. of Portfolios Overseen: 111	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.
W. Scott McDonald, Jr., PhD* (77) Trustee Since 1983 No. of Portfolios Overseen: 111	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.


Independent Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Thomas T. Mooney* (73) Trustee Since 2001 No. of Portfolios Overseen: 111	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* (64) Trustee Since 2003 No. of Portfolios Overseen: 111	Director, Sun Bancorp, Inc. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York.	Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.


Interested Trustees
Name, Age Number of Portfolios in Fund Complex† Overseen by Trustee	Principal Occupation(s) During Past Five Years	Other Directorships Held by Trustee**
Robert F. O’Donnell* (46) Trustee & President Since 2012 No. of Portfolios Overseen: 111	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.
Timothy S. Cronin* (49) Trustee Since 2011 No. of Portfolios Overseen: 111	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.
Bruce W. Ferris* (59) Trustee Since 2013 No. of Portfolios Overseen: 111	Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (Since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994).	None.

* The address of each Trustee is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.

** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.

† The Fund Complex consists of all investment companies managed by PI. The Funds for which PI serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.


Fund Officers⁽¹⁾
Name, Age Position with the Fund		Principal Occupation(s) During the Past Five Years
Raymond A. O’Hara* (59) Chief Legal Officer Since 2012		Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).
Chad A. Earnst* (39) Chief Compliance Officer Since 2014		Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission.


Fund Officers⁽¹⁾
Name, Age Position with the Fund		Principal Occupation(s) During the Past Five Years
Bradley C. Tobin* (40) Vice President Since 2014		Vice President of Prudential Annuities (since March 2012), Vice President of AST Investment Services, Inc. (since April 2011).
Deborah A. Docs* (56) Secretary Since 2005		Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Jonathan D. Shain* (56) Assistant Secretary Since 2005		Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.
Claudia DiGiacomo* (40) Assistant Secretary Since 2005		Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004).
Andrew R. French* (52) Assistant Secretary Since 2006		Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.
Amanda S. Ryan (36) Assistant Secretary Since 2012		Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray LLP (2008-2012).
Kathleen DeNicholas* (40) Assistant Secretary Since 2013		Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).
M. Sadiq Peshimam* (50) Treasurer and Principal Financial & Accounting Officer Since 2014		Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC.
Peter Parrella* (56) Assistant Treasurer Since 2007		Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004).
Lana Lomuti* (47) Assistant Treasurer Since 2014		Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.
Linda McMullin* (53) Assistant Treasurer Since 2014		Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.
Alan Fu* (58) Assistant Treasurer Since 2006		Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003).
Theresa C. Thompson* (52) Deputy Chief Compliance Officer Since 2008		Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004).
Richard W. Kinville* (46) Anti-Money Laundering Compliance Officer Since 2011		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).

* The address for each officer is c/o Prudential Investments LLC, 100 Mulberry Street, Gateway Center Three, Newark, New Jersey 07102.

⁽¹⁾ Excludes Messrs. O’Donnell and Cronin, interested Trustees who serve as President and Vice President, respectively. Biographical and other information with respect to Messrs. O’Donnell and Cronin appears under “Interested Trustees,” above.

The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.

(800) 458-6333

This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus for The MEDLEY Program. Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.

This report includes the financial statements of VCA-10, VCA-11, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-24.

This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.

Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

A description of each Account’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call 800-458-6333 to obtain a description of the Account’s proxy voting policies and procedures. Information regarding how the Account’s voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on the Account’s website.

The Account’s Statement of Additional Information contains additional information about the Accounts’ Committee Members and is available without charge upon request by calling 800-458-6333.

Each Account files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call 1-800-732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling 800-458-6333.


The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777				Presorted Standard U.S. Postage PAID Prudential

^©2015 Prudential Financial, Inc. and its related entities. Prudential Retirement, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0239747-00003-00 MD.RS.011

Item 2 – Code of Ethics — See Exhibit (a)

As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.

The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.

Item 3 – Audit Committee Financial Expert –

The registrant’s Board has determined that Mr. Stephen P. Munn, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.

Item 4 – Principal Accountant Fees and Services –

(a) Audit Fees

For the fiscal years ended December 31, 2014 and December 31, 2013, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $19,570 and $19,000, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.

(b) Audit-Related Fees

None.

(d) All Other Fees

None.

(e) (1) Audit Committee Pre-Approval Policies and Procedures

THE PRUDENTIAL MUTUAL FUNDS

AUDIT COMMITTEE POLICY

Pre-Approval of Services Provided by the Independent Accountants

The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:

•

a review of the nature of the professional services expected to be provided,

•

a review of the safeguards put into place by the accounting firm to safeguard independence, and

•

periodic meetings with the accounting firm.

Policy for Audit and Non-Audit Services Provided to the Funds

On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.

The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.

Audit Services

The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:

•

Annual Fund financial statement audits

•

Seed audits (related to new product filings, as required)

•

SEC and regulatory filings and consents

Audit-related Services

The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:

•

Accounting consultations

•

Fund merger support services

•

Agreed Upon Procedure Reports

•

Attestation Reports

•

Other Internal Control Reports

Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Tax Services

The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:

•

Tax compliance services related to the filing or amendment of the following:

•

Federal, state and local income tax compliance; and,

•

Sales and use tax compliance

•

Timely RIC qualification reviews

•

Tax distribution analysis and planning

•

Tax authority examination services

•

Tax appeals support services

•

Accounting methods studies

•

Fund merger support services

•

Tax consulting services and related projects

Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.

Other Non-audit Services

Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Proscribed Services

The Fund’s independent accountants will not render services in the following categories of non-audit services:

•

Bookkeeping or other services related to the accounting records or financial statements of the Fund

•

Financial information systems design and implementation

•

Appraisal or valuation services, fairness opinions, or contribution-in-kind reports

•

Actuarial services

•

Internal audit outsourcing services

•

Management functions or human resources

•

Broker or dealer, investment adviser, or investment banking services

•

Legal services and expert services unrelated to the audit

•

Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex

Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.

Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.

(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –

Not applicable.

(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.

The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) Non-Audit Fees

Not applicable to Registrant for the fiscal years 2014 and 2013. 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 2014 and 2013 was $0 and $0, respectively.

(h) Principal Accountant’s Independence

Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

Item 5 – Audit Committee of Listed Registrants – Not applicable.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.

Item 11 – Controls and Procedures

(a)

It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b)

There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits

(a)

(1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH

(2)

Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

(3)

Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.

(b)

Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Registrant:		The Prudential Variable Contract Account-10


By:		/s/ Deborah A. Docs
		Deborah A. Docs
		Secretary

Date:		February 19, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ Stuart S. Parker
		Stuart S. Parker
		President and Principal Executive Officer

Date:		February 19, 2015

By:		/s/ M. Sadiq Peshimam
		M. Sadiq Peshimam
		Treasurer and Principal Financial and Accounting Officer

Date:		February 19, 2015