UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-03623
Exact name of registrant as specified in charter:	The Prudential Series Fund
Address of principal executive offices:	Gateway Center 3,
	100 Mulberry Street,
	Newark, New Jersey 07102
Name and address of agent for service:	Deborah A. Docs
	Gateway Center 3,
	100 Mulberry Street,
	Newark, New Jersey 07102
Registrant’s telephone number, including area code:	973-367-7521
Date of fiscal year end:	12/31/2013
Date of reporting period:	6/30/2013

Item 1 – Reports to Stockholders

THE PRUDENTIAL SERIES FUND

SEMIANNUAL REPORT Ÿ JUNE 30, 2013

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

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

The accompanying financial statements as of June 30, 2013, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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

For information regarding enrollment in the e-Delivery program, please see the inside front cover of this report.

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

High Yield Bond Portfolio

Jennison Portfolio

Money Market Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

Stock Index Portfolio

Value Portfolio

For information about enrolling in e-Delivery, please refer to the instructions below. Thank you.

Individual Annuity Contract Owners - To receive your reports online, go to www.annuities.prudential.com/investor/edelivery, or scan the code below.

Individual Life Insurance Contract Owners - To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.

Group Variable Universal Life Contract Owners - To receive your reports online, go to www.prudential.com/gulgvul, or scan the code below.

The Prudential Series Fund   Table of Contents Semiannual Report June 30, 2013

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	Conservative Balanced Portfolio	A1
	Diversified Bond Portfolio	A32
	Equity Portfolio	A65
	Flexible Managed Portfolio	A69
	Global Portfolio	A98
	Government Income Portfolio	A106
	High Yield Bond Portfolio	A114
	Jennison Portfolio	A133
	Money Market Portfolio	A137
	Natural Resources Portfolio	A143
	Small Capitalization Stock Portfolio	A148
	Stock Index Portfolio	A159
	Value Portfolio	A169
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

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

The Prudential Series Fund   Letter to Contract Owners Semiannual Report June 30, 2013

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund July 31, 2013

The Prudential Series Fund Presentation of Portfolio Holdings — unaudited June 30, 2013

Conservative Balanced
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	1.6%
Apple, Inc.	1.4%
Microsoft Corp.	1.0%
General Electric Co.	0.9%
Johnson & Johnson	0.9%

Diversified Bond
Allocation	(% of Net Assets	)
Corporate Bonds	46.7%
Commercial Mortgage-Backed Securities	14.5%
Sovereigns	5.6%
Residential Mortgage-Backed Securities	5.3%
Collateralized Loan Obligations	3.8%

Equity
Five Largest Holdings	(% of Net Assets	)
MasterCard, Inc. (Class A Stock)	2.7%
Google, Inc. (Class A Stock)	2.6%
Morgan Stanley	2.4%
Amazon.com, Inc.	2.0%
Microsoft Corp.	1.8%

Flexible Managed
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	2.2%
Apple, Inc.	2.0%
Chevron Corp.	1.3%
JPMorgan Chase & Co.	1.3%
AT&T, Inc.	1.2%

Global
Top Five Countries	(% of Net Assets	)
United States	53.4%
United Kingdom	9.9%
Japan	8.2%
Switzerland	4.1%
France	3.8%

Government Income
Allocation	(% of Net Assets	)
Mortgage-Backed Securities	41.3%
U.S. Treasury Securities	34.1%
Commercial Mortgage-Backed Securities	15.8%
U.S. Government Agency Obligations	1.9%
Corporate Bonds	1.0%

High Yield Bond
Allocation	(% of Net Assets	)
Corporate Bonds	92.2%
Bank Loans	2.3%
Asset-Backed Securities	0.5%
Collateralized Mortgage Obligations	0.1%
Common Stocks	0.1%

Jennison
Five Largest Holdings	(% of Net Assets	)
Google, Inc.	4.4%
MasterCard, Inc.	3.9%
Amazon.com, Inc.	3.6%
Apple, Inc.	3.2%
priceline.com, Inc.	2.7%

Natural Resources
Five Largest Holdings	(% of Net Assets	)
Noble Energy, Inc.	3.9%
Cameron International Corp.	3.8%
Dril-Quip, Inc.	3.3%
Halliburton Co.	3.1%
Schlumberger Ltd.	3.1%

Small Capitalization Stock
Five Largest Holdings	(% of Net Assets	)
Salix Pharmaceuticals Ltd.	0.6%
Gulfport Energy Corp.	0.5%
ProAssurance Corp.	0.5%
Tanger Factory Outlet Centers	0.5%
Cubist Pharmaceuticals, Inc.	0.5%

Stock Index
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	2.7%
Apple, Inc.	2.5%
Microsoft Corp.	1.8%
General Electric Co.	1.6%
Johnson & Johnson	1.6%

Value
Five Largest Holdings	(% of Net Assets	)
Wells Fargo & Co.	3.0%
Liberty Global PLC, Ser. C	2.8%
Flextronics International Ltd.	2.8%
Morgan Stanley	2.5%
Goldman Sachs Group, Inc. (The)	2.3%

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

The Prudential Series Fund   Fees and Expenses — unaudited June 30, 2013

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2013 through June 30, 2013.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2013		Ending Account Value June 30, 2013		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	1,061.90		0.58	%	$	2.97
	Hypothetical	$	1,000.00	$	1,021.92		0.58	%	$	2.91
Diversified Bond (Class I)	Actual	$	1,000.00	$	974.30		0.44	%	$	2.15
	Hypothetical	$	1,000.00	$	1,022.61		0.44	%	$	2.21
Equity (Class I)	Actual	$	1,000.00	$	1,114.90		0.47	%	$	2.46
	Hypothetical	$	1,000.00	$	1,022.46		0.47	%	$	2.36
Equity (Class II)	Actual	$	1,000.00	$	1,112.50		0.87	%	$	4.56
	Hypothetical	$	1,000.00	$	1,020.48		0.87	%	$	4.36
Flexible Managed (Class I)	Actual	$	1,000.00	$	1,078.80		0.63	%	$	3.25
	Hypothetical	$	1,000.00	$	1,021.67		0.63	%	$	3.16
Global (Class I)	Actual	$	1,000.00	$	1,089.40		0.84	%	$	4.35
	Hypothetical	$	1,000.00	$	1,020.63		0.84	%	$	4.21
Government Income (Class I)	Actual	$	1,000.00	$	977.80		0.48	%	$	2.35
	Hypothetical	$	1,000.00	$	1,022.41		0.48	%	$	2.41
High Yield Bond (Class I)	Actual	$	1,000.00	$	1,013.50		0.57	%	$	2.85
	Hypothetical	$	1,000.00	$	1,021.97		0.57	%	$	2.86
Jennison (Class I)	Actual	$	1,000.00	$	1,095.60		0.64	%	$	3.33
	Hypothetical	$	1,000.00	$	1,021.62		0.64	%	$	3.21
Jennison (Class II)	Actual	$	1,000.00	$	1,093.60		1.04	%	$	5.40
	Hypothetical	$	1,000.00	$	1,019.64		1.04	%	$	5.21
Money Market (Class I)	Actual	$	1,000.00	$	1,000.00		0.18	%	$	0.89
	Hypothetical	$	1,000.00	$	1,023.90		0.18	%	$	0.90

The Prudential Series Fund   Fees and Expenses — unaudited (continued) June 30, 2013

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2013		Ending Account Value June 30, 2013		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Natural Resources (Class I)	Actual	$	1,000.00	$	968.40		0.50	%	$	2.44
	Hypothetical	$	1,000.00	$	1,022.32		0.50	%	$	2.51
Natural Resources (Class II)	Actual	$	1,000.00	$	966.30		0.90	%	$	4.39
	Hypothetical	$	1,000.00	$	1,020.33		0.90	%	$	4.51
Small Capitalization Stock (Class I)	Actual	$	1,000.00	$	1,160.60		0.46	%	$	2.46
	Hypothetical	$	1,000.00	$	1,022.51		0.46	%	$	2.31
Stock Index (Class I)	Actual	$	1,000.00	$	1,136.30		0.32	%	$	1.69
	Hypothetical	$	1,000.00	$	1,023.21		0.32	%	$	1.61
Value (Class I)	Actual	$	1,000.00	$	1,156.10		0.43	%	$	2.30
	Hypothetical	$	1,000.00	$	1,022.66		0.43	%	$	2.16
Value (Class II)	Actual	$	1,000.00	$	1,153.80		0.83	%	$	4.43
	Hypothetical	$	1,000.00	$	1,020.68		0.83	%	$	4.16

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2013, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2013 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	CONSERVATIVE BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 95.3%
COMMON STOCKS — 57.8%	Shares		Value (Note 2)
Aerospace & Defense — 1.5%
BAE Systems PLC (United Kingdom)		54,472	$	317,219
Boeing Co. (The)		60,900		6,238,596
European Aeronautic Defense and Space Co. NV (Netherlands)		7,737		413,933
General Dynamics Corp.		31,700		2,483,061
Honeywell International, Inc.		70,512		5,594,422
L-3 Communications Holdings, Inc.		9,000		771,660
Lockheed Martin Corp.		24,000		2,603,040
Meggitt PLC (United Kingdom)		4,146		32,665
Northrop Grumman Corp.		22,962		1,901,254
Precision Castparts Corp.		12,900		2,915,529
Raytheon Co.		28,700		1,897,644
Rockwell Collins, Inc.		14,000		887,740
Safran SA (France)		1,207		63,013
Textron, Inc.		23,100		601,755
Thales SA (France)		8,280		386,375
United Technologies Corp.		76,200		7,082,028
				34,189,934
Air Freight & Logistics — 0.4%
C.H. Robinson Worldwide, Inc.		14,600		822,126
Deutsche Post AG (Germany)		4,765		118,257
Expeditors International of Washington, Inc.		18,600		706,986
FedEx Corp.		27,500		2,710,950
United Parcel Service, Inc. (Class B Stock)		66,400		5,742,272
				10,100,591
Airlines — 0.1%
Deutsche Lufthansa AG (Germany)*		1,160		23,499
easyJet PLC (United Kingdom)		13,645		268,957
International Consolidated Airlines Group SA (United Kingdom)*		4,783		19,203
Ryanair Holdings PLC (Ireland), ADR		8,300		427,699
Southwest Airlines Co.		67,800		873,942
				1,613,300
Auto Components — 0.2%
Aisin Seiki Co. Ltd. (Japan)		1,000		38,182
BorgWarner, Inc.*(a)		10,200		878,730
Bridgestone Corp. (Japan)		3,300		112,531
CIE Generale des Etablissements Michelin (Class B Stock) (France)		940		84,050
Delphi Automotive PLC		26,100		1,323,009
Denso Corp. (Japan)		2,600		122,234
Goodyear Tire & Rubber Co. (The)*		28,000		428,120
Johnson Controls, Inc.		62,000		2,218,980
Koito Manufacturing Co. Ltd. (Japan)		1,000		19,063
Sumitomo Rubber Industries Ltd. (Japan)		900		14,692
Toyoda Gosei Co. Ltd. (Japan)		3,400		83,129
Toyota Boshoku Corp. (Japan)		22,200		319,207
				5,641,927
Automobiles — 0.5%
Bayerische Motoren Werke AG (Germany)		2,802		244,547
Daihatsu Motor Co. Ltd. (Japan)		1,000		18,941

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Daimler AG (Germany)		265	$	15,998
Fiat SpA (Italy)*(a)		61,401		428,210
Ford Motor Co.		355,585		5,500,900
Fuji Heavy Industries Ltd. (Japan)		20,000		493,885
General Motors Co.*(a)		69,700		2,321,707
Harley-Davidson, Inc.		19,800		1,085,436
Honda Motor Co. Ltd. (Japan)		600		22,290
Isuzu Motors Ltd. (Japan)		7,000		47,852
Mazda Motor Corp. (Japan)*		14,000		55,348
Nissan Motor Co. Ltd. (Japan)		1,300		13,029
Peugeot SA (France)*		2,075		17,114
Renault SA (France)		2,419		162,937
Suzuki Motor Corp. (Japan)		14,600		336,535
Toyota Motor Corp. (Japan)		14,100		850,481
Volkswagen AG (Germany)		152		29,552
				11,644,762
Beverages — 1.4%
Anheuser-Busch InBev NV (Belgium)		830		74,727
Asahi Group Holdings Ltd. (Japan)		1,800		44,589
Beam, Inc.		14,000		883,540
Brown-Forman Corp. (Class B Stock)		13,650		922,058
Carlsberg A/S (Denmark) (Class B Stock)		528		47,212
Coca-Cola Co. (The)		349,500		14,018,445
Coca-Cola Enterprises, Inc.		28,400		998,544
Constellation Brands, Inc. (Class A Stock)*		13,000		677,560
Diageo PLC (United Kingdom)		11,409		327,170
Dr Pepper Snapple Group, Inc.		19,900		914,007
Heineken Holding NV (Netherlands)		5,808		325,517
Heineken NV (Netherlands)		1,193		75,936
Kirin Holdings Co. Ltd. (Japan)		5,000		78,321
Molson Coors Brewing Co. (Class B Stock)		13,300		636,538
Monster Beverage Corp.*(a)		13,200		802,164
PepsiCo, Inc.		139,107		11,377,562
				32,203,890
Biotechnology — 1.1%
Actelion Ltd. (Switzerland)		5,706		343,716
Alexion Pharmaceuticals, Inc.*		17,700		1,632,648
Amgen, Inc.		68,587		6,766,794
Biogen Idec, Inc.*		21,390		4,603,128
Celgene Corp.*		39,900		4,664,709
CSL Ltd. (Australia)		4,312		242,844
Gilead Sciences, Inc.*(a)		137,600		7,046,496
Regeneron Pharmaceuticals, Inc.*		6,600		1,484,208
				26,784,543
Building Products
Geberit AG (Switzerland)		170		42,113
Masco Corp.		33,500		652,915
TOTO Ltd. (Japan)		2,000		20,336
				715,364
Capital Markets — 1.2%
3i Group PLC (United Kingdom)		5,049		25,925
Aberdeen Asset Management PLC (United Kingdom)		57,478		334,504

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets (continued)
Ameriprise Financial, Inc.		19,320	$	1,562,602
Bank of New York Mellon Corp. (The)		108,158		3,033,832
BlackRock, Inc.		11,400		2,928,090
Charles Schwab Corp. (The)(a)		95,250		2,022,158
Daiwa Securities Group, Inc. (Japan)		9,000		75,374
E*TRADE Financial Corp.*		25,520		323,083
Franklin Resources, Inc.		12,500		1,700,250
Goldman Sachs Group, Inc. (The)		40,900		6,186,125
Hargreaves Lansdown PLC (United Kingdom)		1,262		17,046
Invesco Ltd.		39,400		1,252,920
Legg Mason, Inc.(a)		10,200		316,302
Morgan Stanley		129,780		3,170,525
Nomura Holdings, Inc. (Japan)		19,600		144,271
Northern Trust Corp.		20,700		1,198,530
Partners Group Holding AG (Switzerland)		91		24,632
Schroders PLC (United Kingdom)		5,829		193,506
State Street Corp.		43,200		2,817,072
T. Rowe Price Group, Inc.		23,100		1,689,765
UBS AG (Switzerland)		2,991		50,769
				29,067,281
Chemicals — 1.4%
Air Products & Chemicals, Inc.		19,000		1,739,830
Air Water, Inc. (Japan)		1,000		14,058
Airgas, Inc.		6,700		639,582
Asahi Kasei Corp. (Japan)		7,000		46,187
BASF SE (Germany)		7,899		704,536
CF Industries Holdings, Inc.		5,700		977,550
Daicel Corp. (Japan)		37,000		323,379
Denki Kagaku Kogyo KK (Japan)		2,000		7,240
Dow Chemical Co. (The)		108,131		3,478,574
E.I. du Pont de Nemours & Co.		84,420		4,432,050
Eastman Chemical Co.		13,500		945,135
Ecolab, Inc.		23,600		2,010,484
EMS-Chemie Holding AG (Switzerland)		44		13,032
FMC Corp.		11,500		702,190
International Flavors & Fragrances, Inc.		8,200		616,312
JSR Corp. (Japan)		1,000		20,234
K+S AG (Germany)		5,361		198,126
Kaneka Corp. (Japan)		1,000		6,594
Kansai Paint Co. Ltd. (Japan)		1,000		12,765
Kuraray Co. Ltd. (Japan)		23,100		323,751
LyondellBasell Industries NV (Class A Stock)		33,700		2,232,962
Mitsubishi Chemical Holdings Corp. (Japan)		7,500		35,150
Mitsubishi Gas Chemical Co., Inc. (Japan)		2,000		14,663
Monsanto Co.		48,094		4,751,687
Mosaic Co. (The)		26,100		1,404,441
Nitto Denko Corp. (Japan)		900		57,722
PPG Industries, Inc.		13,600		1,991,176
Praxair, Inc.		26,600		3,063,256
Sherwin-Williams Co. (The)		7,600		1,342,160

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Shin-Etsu Chemical Co. Ltd. (Japan)		1,700	$	112,515
Showa Denko KK (Japan)		8,000		10,551
Sigma-Aldrich Corp.		10,700		859,852
Syngenta AG (Switzerland)		951		370,851
Yara International ASA (Norway)		7,921		315,882
				33,774,477
Commercial Banks — 1.9%
Aozora Bank Ltd. (Japan)		114,000		356,030
Australia & New Zealand Banking Group Ltd. (Australia)		26,164		679,203
Banco Santander SA (Spain)		17,304		110,732
Bank Hapoalim BM (Israel)*		71,422		322,327
Bank of East Asia Ltd. (Hong Kong)		6,600		23,624
Bank of Yokohama Ltd. (The) (Japan)		6,000		30,952
BB&T Corp.		62,800		2,127,664
BNP Paribas SA (France)		827		45,274
Chiba Bank Ltd. (The) (Japan)		4,000		27,292
Comerica, Inc.		17,400		693,042
Commonwealth Bank of Australia (Australia).		12,921		813,330
DBS Group Holdings Ltd. (Singapore)		1,000		12,168
DNB ASA (Norway)		5,288		76,711
Fifth Third Bancorp		81,621		1,473,259
Fukuoka Financial Group, Inc. (Japan)		2,000		8,506
HSBC Holdings PLC (United Kingdom)		68,098		704,965
Huntington Bancshares, Inc.		78,236		616,500
Iyo Bank Ltd. (The) (Japan)		1,000		9,558
KeyCorp		89,100		983,664
M&T Bank Corp.(a)		11,400		1,273,950
Mitsubishi UFJ Financial Group, Inc. (Japan)		104,100		642,908
Mizuho Financial Group, Inc. (Japan)		200,100		415,546
National Australia Bank Ltd. (Australia)		12,372		334,663
Nordea Bank AB (Sweden)		14,475		161,646
Oversea-Chinese Banking Corp. Ltd. (Singapore)		14,000		110,056
PNC Financial Services Group, Inc.		46,733		3,407,770
Regions Financial Corp.		129,603		1,235,117
Resona Holdings, Inc. (Japan)		9,900		48,215
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		22,465		214,474
Standard Chartered PLC (United Kingdom)		1,107		24,034
Sumitomo Mitsui Financial Group, Inc. (Japan)		13,600		622,513
SunTrust Banks, Inc.		48,500		1,531,145
Suruga Bank Ltd. (Japan)		1,000		18,134
Svenska Handelsbanken AB (Sweden) (Class A Stock)		6,570		263,223
Swedbank AB (Sweden) (Class A Stock)		18,751		429,483
U.S. Bancorp		169,985		6,144,958
Wells Fargo & Co.		447,164		18,454,458
Westpac Banking Corp. (Australia)		27,859		731,438
Yamaguchi Financial Group, Inc. (Japan)		1,000		9,839

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
Zions Bancorporation(a)		15,550	$	449,084
				45,637,455
Commercial Services & Supplies — 0.3%
ADT Corp. (The)(a)		21,000		836,850
Avery Dennison Corp.		10,200		436,152
Cintas Corp.(a)		8,900		405,306
DAI Nippon Printing Co. Ltd. (Japan)		32,000		291,993
Iron Mountain, Inc.		15,685		417,378
Pitney Bowes, Inc.(a)		20,700		303,876
Republic Services, Inc.		28,565		969,496
Secom Co. Ltd. (Japan)		1,100		59,808
Stericycle, Inc.*		6,900		761,967
Toppan Printing Co. Ltd. (Japan)		3,000		20,811
Tyco International Ltd.		42,000		1,383,900
Waste Management, Inc.		40,342		1,626,993
				7,514,530
Communications Equipment — 1.1%
AAC Technologies Holdings, Inc. (Hong Kong)		34,500		193,561
Cisco Systems, Inc.		482,600		11,732,006
F5 Networks, Inc.*		7,000		481,600
Harris Corp.		9,400		462,950
JDS Uniphase Corp.*		21,475		308,811
Juniper Networks, Inc.*		48,100		928,811
Motorola Solutions, Inc.		25,389		1,465,707
QUALCOMM, Inc.		155,900		9,522,372
				25,095,818
Computers & Peripherals — 2.1%
Apple, Inc.		85,120		33,714,330
Dell, Inc.		136,900		1,827,615
EMC Corp.		188,250		4,446,465
Hewlett-Packard Co.		179,848		4,460,230
NEC Corp. (Japan)		131,000		286,871
NetApp, Inc.*		34,000		1,284,520
SanDisk Corp.*		22,100		1,350,310
Seagate Technology PLC		32,100		1,439,043
Western Digital Corp.		21,200		1,316,308
				50,125,692
Construction & Engineering — 0.1%
Bouygues SA (France)		1,016		25,889
Ferrovial SA (Spain)		21,394		341,554
Fluor Corp.		15,700		931,167
Hochtief AG (Germany)		162		10,553
Jacobs Engineering Group, Inc.*		12,700		700,151
JGC Corp. (Japan)		1,000		36,013
Koninklijke Boskalis Westminster NV (Netherlands)		397		14,462
Quanta Services, Inc.*		16,700		441,882
Vinci SA (France)		9,112		457,061
				2,958,732
Construction Materials
HeidelbergCement AG (Germany)		722		48,374
Imerys SA (France)		173		10,622
Vulcan Materials Co.		11,600		561,556
				620,552

COMMON STOCKS (continued)	Shares		Value (Note 2)
Consumer Finance — 0.6%
American Express Co.		88,300	$	6,601,308
Capital One Financial Corp.		51,561		3,238,546
Discover Financial Services		46,940		2,236,222
SLM Corp.		43,000		982,980
				13,059,056
Containers & Packaging — 0.1%
Ball Corp.		13,200		548,328
Bemis Co., Inc.		11,300		442,282
MeadWestvaco Corp.		16,514		563,293
Owens-Illinois, Inc.*		13,500		375,165
Sealed Air Corp.		17,100		409,545
				2,338,613
Distributors — 0.1%
Genuine Parts Co.		14,200		1,108,594
Diversified Consumer Services
Apollo Group, Inc. (Class A Stock)*(a)		8,800		155,936
H&R Block, Inc.		27,100		752,025
				907,961
Diversified Financial Services — 2.2%
Bank of America Corp.		975,721		12,547,772
Citigroup, Inc.		275,585		13,219,812
CME Group, Inc.		29,200		2,218,616
Industrivarden AB (Sweden) (Class C Stock)		17,104		285,610
IntercontinentalExchange, Inc.*(a)		6,500		1,155,440
Investor AB (Sweden) (Class B Stock)		13,747		368,981
Japan Exchange Group, Inc. (Japan)		2,600		262,618
JPMorgan Chase & Co.		347,245		18,331,064
Leucadia National Corp.		23,400		613,548
McGraw Hill Financial, Inc.		24,000		1,276,560
Moody’s Corp.		17,000		1,035,810
NASDAQ OMX Group, Inc. (The)		11,600		380,364
NYSE Euronext		24,000		993,600
ORIX Corp. (Japan)		11,900		162,396
				52,852,191
Diversified Telecommunication Services — 1.5%
AT&T, Inc.		497,568		17,613,907
Bezeq The Israeli Telecommunication Corp. Ltd. (Israel)		10,063		13,379
BT Group PLC (United Kingdom)		79,584		373,629
CenturyLink, Inc.		56,036		1,980,873
Deutsche Telekom AG (Germany)		41,969		488,960
Frontier Communications Corp.		78,990		319,910
Koninklijke KPN NV (Netherlands)		17,213		35,713
Nippon Telegraph & Telephone Corp. (Japan)		9,200		479,512
Orange SA (France)		9,735		92,184
TDC A/S (Denmark)		23,436		189,939
Telecom Italia SpA-RSP (Italy)		272,577		151,963
Telenor ASA (Norway)		3,563		70,772
Telstra Corp. Ltd. (Australia)		22,399		97,379
Verizon Communications, Inc.		260,376		13,107,328
Windstream Corp.		57,357		442,223
Ziggo NV (Netherlands)		894		35,909
				35,493,580

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities — 1.1%
American Electric Power Co., Inc.		43,960	$	1,968,529
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		3,000		19,990
Chubu Electric Power Co., Inc. (Japan)		3,400		48,161
Chugoku Electric Power Co., Inc. (The) (Japan)		1,500		23,520
Duke Energy Corp.		64,261		4,337,618
Edison International		30,000		1,444,800
Electricite de France SA (France)		7,749		179,827
Energias de Portugal SA (Portugal)		106,591		343,835
Entergy Corp.		16,600		1,156,688
Exelon Corp.		76,513		2,362,722
FirstEnergy Corp.		37,406		1,396,740
Fortum OYJ (Finland)		2,354		44,098
Hokkaido Electric Power Co., Inc. (Japan)*		900		12,282
Hokuriku Electric Power Co. (Japan)		900		14,122
Iberdrola SA (Spain)		36,056		190,541
Kansai Electric Power Co., Inc. (The) (Japan)*		3,600		49,278
Kyushu Electric Power Co., Inc. (Japan)*		2,200		33,157
NextEra Energy, Inc.		38,200		3,112,536
Northeast Utilities		28,700		1,205,974
Pepco Holdings, Inc.(a)		20,000		403,200
Pinnacle West Capital Corp.		10,500		582,435
PPL Corp.		52,100		1,576,546
Shikoku Electric Power Co., Inc. (Japan)*		900		16,252
Southern Co.		78,400		3,459,792
Tohoku Electric Power Co., Inc. (Japan)*		2,400		29,966
Tokyo Electric Power Co., Inc. (Japan)*		7,800		40,266
Xcel Energy, Inc.		44,310		1,255,745
				25,308,620
Electrical Equipment — 0.4%
Alstom SA (France)		1,114		36,543
Eaton Corp. PLC		41,137		2,707,226
Emerson Electric Co.		64,200		3,501,468
Fuji Electric Co. Ltd. (Japan)		10,000		35,161
Rockwell Automation, Inc.		11,800		981,052
Roper Industries, Inc.		8,700		1,080,714
Schneider Electric SA (France)		1,463		106,252
				8,448,416
Electronic Equipment, Instruments & Components — 0.3%
Amphenol Corp. (Class A Stock)		13,600		1,059,984
Corning, Inc.		138,500		1,970,855
FLIR Systems, Inc.		15,600		420,732
FUJIFILM Holdings Corp. (Japan)		2,400		52,785
Hoya Corp. (Japan)		2,300		47,307
Jabil Circuit, Inc.		13,900		283,282
Keyence Corp. (Japan)		200		63,722
Molex, Inc.		13,000		381,420
Murata Manufacturing Co. Ltd. (Japan)		1,100		83,671
Omron Corp. (Japan)		1,100		32,794

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronic Equipment, Instruments & Components (continued)
TE Connectivity Ltd.		38,100	$	1,735,074
Yaskawa Electric Corp. (Japan)		1,000		12,137
				6,143,763
Energy Equipment & Services — 1.0%
Baker Hughes, Inc.		38,798		1,789,751
Cameron International Corp.*		22,500		1,376,100
Diamond Offshore Drilling, Inc.		6,000		412,740
Ensco PLC (Class A Stock)		20,500		1,191,460
FMC Technologies, Inc.*		21,800		1,213,824
Halliburton Co.		83,300		3,475,276
Helmerich & Payne, Inc.		10,700		668,215
Nabors Industries Ltd.		27,700		424,087
National Oilwell Varco, Inc.		37,900		2,611,310
Noble Corp.		22,100		830,518
Rowan Cos. PLC (Class A Stock)*		9,600		327,072
Schlumberger Ltd.		121,318		8,693,648
Transocean Ltd. (Switzerland)		1,865		89,552
				23,103,553
Food & Staples Retailing — 1.4%
Carrefour SA (France)		3,194		87,728
Casino Guichard Perrachon SA (France)		3,513		329,187
Costco Wholesale Corp.		39,000		4,312,230
CVS Caremark Corp.		113,048		6,464,085
Delhaize Group SA (Belgium)		7,504		463,913
J Sainsbury PLC (United Kingdom)		64,401		348,080
Kesko OYJ (Finland) (Class B Stock)		338		9,389
Koninklijke Ahold NV (Netherlands)		5,309		78,960
Kroger Co. (The)		50,746		1,752,767
Safeway, Inc.(a)		22,300		527,618
Seven & I Holdings Co. Ltd. (Japan)		600		21,974
Sysco Corp.		53,200		1,817,312
Walgreen Co.		76,100		3,363,620
Wal-Mart Stores, Inc.		152,200		11,337,378
Whole Foods Market, Inc.		29,600		1,523,808
WM Morrison Supermarkets PLC (United Kingdom)		85,386		339,877
Woolworths Ltd. (Australia)		1,027		30,765
				32,808,691
Food Products — 1.0%
Archer-Daniels-Midland Co.		60,226		2,042,264
Associated British Foods PLC (United Kingdom)		13,755		362,860
Campbell Soup Co.(a)		15,000		671,850
ConAgra Foods, Inc.		38,600		1,348,298
Danone SA (France)		2,978		224,148
General Mills, Inc.		58,500		2,839,005
Golden Agri-Resources Ltd. (Singapore)		39,000		17,169
Hershey Co. (The)		13,900		1,240,992
Hormel Foods Corp.(a)		12,700		489,966
J.M. Smucker Co. (The)		10,600		1,093,390
Kellogg Co.		21,900		1,406,637
Kraft Foods Group, Inc.		52,117		2,911,777
Lindt & Spruengli AG (Switzerland)		4		15,015
McCormick & Co., Inc.(a)		11,400		802,104

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products (continued)
Mead Johnson Nutrition Co.		17,667	$	1,399,757
Mondelez International, Inc. (Class A Stock)		162,053		4,623,372
Nestle SA (Switzerland)		16,989		1,114,825
Nippon Meat Packers, Inc. (Japan)		1,000		15,296
Suedzucker AG (Germany)		7,759		240,212
Tate & Lyle PLC (United Kingdom)		2,452		30,765
Tyson Foods, Inc. (Class A Stock)		26,300		675,384
Unilever NV (Netherlands), CVA		3,850		151,552
Wilmar International Ltd. (Singapore)		10,000		24,732
				23,741,370
Gas Utilities — 0.1%
AGL Resources, Inc.(a)		11,339		485,989
Enagas (Spain)		13,421		331,713
Gas Natural SDG SA (Spain)		9,550		192,408
ONEOK, Inc.(a)		18,600		768,366
				1,778,476
Healthcare Equipment & Supplies — 1.2%
Abbott Laboratories		140,300		4,893,664
Baxter International, Inc.		48,600		3,366,522
Becton Dickinson and Co.		17,400		1,719,642
Boston Scientific Corp.*		135,267		1,253,925
C.R. Bard, Inc.(a)		7,700		836,836
CareFusion Corp.*		20,175		743,449
Covidien PLC		41,800		2,626,712
DENTSPLY International, Inc.		11,200		458,752
Edwards Lifesciences Corp.*		10,300		692,160
Intuitive Surgical, Inc.*		3,500		1,773,030
Medtronic, Inc.		91,600		4,714,652
Smith & Nephew PLC (United Kingdom)		4,646		52,035
St. Jude Medical, Inc.		27,500		1,254,825
Stryker Corp.		27,800		1,798,104
Terumo Corp. (Japan)		800		39,765
Varian Medical Systems, Inc.*(a)		10,100		681,245
Zimmer Holdings, Inc.		15,300		1,146,582
				28,051,900
Healthcare Providers & Services — 1.2%
Aetna, Inc.		36,769		2,336,302
Alfresa Holdings Corp. (Japan)		200		10,709
AmerisourceBergen Corp.		21,400		1,194,762
Cardinal Health, Inc.		29,750		1,404,200
CIGNA Corp.		26,400		1,913,736
DaVita HealthCare Partners, Inc.*		7,900		954,320
Express Scripts Holding Co.*		72,949		4,500,224
Fresenius Se & Co. KGaA (Germany)		558		68,679
Humana, Inc.		14,900		1,257,262
Laboratory Corp. of America Holdings*(a)		8,200		820,820
McKesson Corp.		20,730		2,373,585
Medipal Holdings Corp. (Japan)		800		10,846
Miraca Holdings, Inc. (Japan)		300		13,786
Patterson Cos., Inc.		9,000		338,400
Quest Diagnostics, Inc.		14,200		860,946
Ramsay Health Care Ltd. (Australia)		1,320		43,145
Sonic Healthcare Ltd. (Australia)		546		7,418

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services (continued)
Tenet Healthcare Corp.*(a)		11,150	$	514,015
UnitedHealth Group, Inc.		93,500		6,122,380
WellPoint, Inc.		28,500		2,332,440
				27,077,975
Healthcare Technology — 0.1%
Cerner Corp.*(a)		13,300		1,277,997
Hotels, Restaurants & Leisure — 1.0%
Accor SA (France)		2,482		87,244
Carnival Corp.		40,200		1,378,458
Chipotle Mexican Grill, Inc.*		2,850		1,038,397
Darden Restaurants, Inc.		10,750		542,660
Flight Centre Ltd. (Australia)		8,618		308,592
Galaxy Entertainment Group Ltd. (Hong Kong)*		25,000		121,436
International Game Technology		28,200		471,222
Marriott International, Inc. (Class A Stock)		22,628		913,492
McDonald’s Corp.		90,500		8,959,500
OPAP SA (Greece)		1,047		8,762
Oriental Land Co. Ltd. (Japan)		300		46,427
Starbucks Corp.		67,400		4,414,026
Starwood Hotels & Resorts Worldwide, Inc.		17,600		1,112,144
TUI Travel PLC (United Kingdom)		67,150		364,074
Wyndham Worldwide Corp.		12,320		705,074
Wynn Resorts Ltd.		7,100		908,800
Yum! Brands, Inc.		40,600		2,815,204
				24,195,512
Household Durables — 0.2%
D.R. Horton, Inc.(a)		22,400		476,672
Garmin Ltd.(a)		8,900		321,824
Harman International Industries, Inc.		6,400		346,880
Leggett & Platt, Inc.(a)		11,700		363,753
Lennar Corp. (Class A Stock)(a)		12,900		464,916
Newell Rubbermaid, Inc.		27,314		716,993
Panasonic Corp. (Japan)*		9,700		78,105
Persimmon PLC (United Kingdom)		1,594		28,614
PulteGroup, Inc.*		33,522		635,912
Sekisui Chemical Co. Ltd. (Japan)		2,000		21,237
Sekisui House Ltd. (Japan)		3,000		43,345
Sony Corp. (Japan)		5,400		114,082
Whirlpool Corp.		7,326		837,801
				4,450,134
Household Products — 1.2%
Clorox Co. (The)		11,800		981,052
Colgate-Palmolive Co.		81,800		4,686,322
Henkel AG & Co. KGaA (Germany)		2,219		173,791
Kimberly-Clark Corp.		35,300		3,429,042
Procter & Gamble Co. (The)		247,625		19,064,649
Reckitt Benckiser Group PLC (United Kingdom)		7,738		547,362
				28,882,218
Independent Power Producers & Energy Traders — 0.1%
AES Corp. (The)		61,100		732,589
Electric Power Development Co. Ltd. (Japan)		600		18,759

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Independent Power Producers & Energy Traders (continued)
NRG Energy, Inc.		28,500	$	760,950
				1,512,298
Industrial Conglomerates — 1.4%
3M Co.		57,000		6,232,950
Danaher Corp.		51,200		3,240,960
General Electric Co.		944,300		21,898,317
Hopewell Holdings Ltd. (Hong Kong)		18,500		61,401
Hutchison Whampoa Ltd. (Hong Kong)		40,000		418,490
Siemens AG (Germany)		1,506		152,502
				32,004,620
Insurance — 2.5%
ACE Ltd.		30,700		2,747,036
Aegon NV (Netherlands)		58,752		394,168
Aflac, Inc.		41,200		2,394,544
Ageas (Belgium)		9,724		341,198
Allianz SE (Germany)		2,351		343,153
Allstate Corp. (The)		43,300		2,083,596
American International Group, Inc.*		132,439		5,920,023
Aon PLC		30,500		1,962,675
Assurant, Inc.		8,400		427,644
AXA SA (France)		9,062		178,636
Berkshire Hathaway, Inc. (Class B Stock)*		164,400		18,399,648
Chubb Corp.		24,700		2,090,855
Cincinnati Financial Corp.		15,537		713,148
Genworth Financial, Inc. (Class A Stock)*		47,000		536,270
Hannover Rueckversicherung AG (Germany)		4,509		324,228
Hartford Financial Services Group, Inc. (The)		42,700		1,320,284
Legal & General Group PLC (United Kingdom)		95,956		250,097
Lincoln National Corp.		28,918		1,054,639
Loews Corp.		29,275		1,299,810
Marsh & McLennan Cos., Inc.		50,600		2,019,952
MetLife, Inc.		99,100		4,534,816
Muenchener Rueckversicherungs AG (Germany)		2,543		467,179
Principal Financial Group, Inc.		29,200		1,093,540
Progressive Corp. (The)		54,200		1,377,764
Prudential PLC (United Kingdom)		26,796		437,388
Sampo OYJ (Finland) (Class A Stock)		5,393		210,002
Standard Life PLC (United Kingdom)		12,127		63,821
Swiss Re AG (Switzerland)		6,022		448,042
Torchmark Corp.		9,750		635,115
Travelers Cos., Inc. (The)		35,735		2,855,941
Tryg A/S (Denmark)		127		10,463
Unum Group		29,810		875,520
XL Group PLC		28,700		870,184
				58,681,379
Internet & Catalog Retail — 0.6%
Amazon.com, Inc.*		32,700		9,080,463
Expedia, Inc.		8,150		490,222
Netflix, Inc.*(a)		4,600		971,014
priceline.com, Inc.*		4,600		3,804,798

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet & Catalog Retail (continued)
TripAdvisor, Inc.*(a)		8,250	$	502,178
				14,848,675
Internet Software & Services — 1.3%
Akamai Technologies, Inc.*(a)		16,100		685,055
eBay, Inc.*		104,700		5,415,084
Google, Inc. (Class A Stock)*		24,210		21,313,758
VeriSign, Inc.*(a)		13,900		620,774
Yahoo! Japan Corp. (Japan)		965		475,180
Yahoo!, Inc.*		95,800		2,405,538
				30,915,389
IT Services — 2.0%
Accenture PLC (Class A Stock)(a)		58,400		4,202,464
Amadeus IT Holding SA (Spain) (Class A Stock)		2,003		64,106
Automatic Data Processing, Inc.		42,400		2,919,664
Cap Gemini SA (France)		7,454		361,978
Cognizant Technology Solutions Corp. (Class A Stock)*		26,900		1,684,209
Computer Sciences Corp.		12,500		547,125
Fidelity National Information Services, Inc.		25,800		1,105,272
Fiserv, Inc.*		11,600		1,013,956
International Business Machines Corp.		95,500		18,251,005
MasterCard, Inc. (Class A Stock)		9,550		5,486,475
Paychex, Inc.(a)		29,800		1,088,296
SAIC, Inc.(a)		29,000		403,970
Teradata Corp.*(a)		15,200		763,496
Total System Services, Inc.		15,596		381,790
Visa, Inc. (Class A Stock)		46,800		8,552,700
Western Union Co. (The)		57,110		977,152
				47,803,658
Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		9,900		443,817
Mattel, Inc.		29,951		1,357,080
Namco Bandai Holdings, Inc. (Japan)		22,600		366,288
Yamaha Corp. (Japan)		800		9,166
				2,176,351
Life Sciences Tools & Services — 0.3%
Agilent Technologies, Inc.		31,614		1,351,815
Life Technologies Corp.*		15,501		1,147,229
Lonza Group AG (Switzerland)		262		19,686
PerkinElmer, Inc.		10,100		328,250
Thermo Fisher Scientific, Inc.(a)		33,300		2,818,179
Waters Corp.*		7,300		730,365
				6,395,524
Machinery — 1.0%
Atlas Copco AB (Sweden) (Class B Stock)		2,019		43,208
Caterpillar, Inc.(a)		57,900		4,776,171
Cummins, Inc.		16,100		1,746,206
Deere & Co.		35,100		2,851,875
Dover Corp.		15,900		1,234,794
Flowserve Corp.		13,800		745,338
Hino Motors Ltd. (Japan)		31,000		454,892

SEE NOTES TO FINANCIAL STATEMENTS.

A6

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Hitachi Construction Machinery Co. Ltd. (Japan)		600	$	12,102
IHI Corp. (Japan)		7,000		26,485
Illinois Tool Works, Inc.		39,600		2,739,132
Ingersoll-Rand PLC		27,100		1,504,592
Joy Global, Inc.		10,300		499,859
JTEKT Corp. (Japan)		1,200		13,451
Kone OYJ (Finland) (Class B Stock)		2,205		174,899
Kubota Corp. (Japan)		6,000		87,320
Makita Corp. (Japan)		600		32,257
Mitsubishi Heavy Industries Ltd. (Japan)		54,000		300,216
PACCAR, Inc.		31,043		1,665,767
Pall Corp.		9,600		637,728
Parker Hannifin Corp.		12,865		1,227,321
Pentair Ltd.		18,077		1,042,862
Snap-on, Inc.		4,800		429,024
Stanley Black & Decker, Inc.		15,397		1,190,188
Wartsila OYJ Abp (Finland)		583		25,328
Xylem, Inc.		15,200		409,488
				23,870,503
Marine
A.P. Moller-Maersk A/S (Denmark) (Class A Stock)		17		114,460
A.P. Moller Maersk A/S (Denmark) (Class B Stock)		7		50,075
				164,535
Media — 2.1%
Cablevision Systems Corp. (Class A Stock)		23,500		395,270
CBS Corp. (Class B Stock)		56,334		2,753,043
Comcast Corp. (Class A Stock)		239,790		10,042,405
DIRECTV*		53,300		3,284,346
Discovery Communications, Inc. (Class A Stock)*(a)		21,700		1,675,457
Gannett Co., Inc.		16,800		410,928
Hakuhodo DY Holdings, Inc. (Japan)		130		9,105
Interpublic Group of Cos., Inc. (The)		37,731		548,986
ITV PLC (United Kingdom)		185,899		396,349
Omnicom Group, Inc.		23,500		1,477,445
Publicis Groupe SA (France)		5,410		385,293
Scripps Networks Interactive, Inc. (Class A Stock)		9,200		614,192
Time Warner Cable, Inc.		27,114		3,049,783
Time Warner, Inc.		84,666		4,895,388
Twenty-First Century Fox Inc. (Class A Stock)		181,900		5,929,940
Viacom, Inc. (Class B Stock)		42,434		2,887,634
Walt Disney Co. (The)		162,200		10,242,930
Washington Post Co. (The) (Class B Stock)		400		193,508
WPP PLC (United Kingdom)		3,764		64,338
				49,256,340
Metals & Mining — 0.4%
Alcoa, Inc.(a)		90,540		708,023
Allegheny Technologies, Inc.		9,900		260,469

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Anglo American PLC (United Kingdom)		3,488	$	67,216
BHP Billiton Ltd. (Australia)		17,408		501,053
BHP Billiton PLC (United Kingdom)		11,109		283,257
Boliden AB (Sweden)		1,393		17,267
Cliffs Natural Resources, Inc.(a)		12,700		206,375
Fortescue Metals Group Ltd. (Australia)(a)		109,680		301,933
Freeport-McMoRan Copper & Gold, Inc.		93,188		2,572,921
Glencore Xstrata PLC (United Kingdom)		20,452		84,661
Hitachi Metals Ltd. (Japan)		1,000		11,201
JFE Holdings, Inc. (Japan)		2,600		56,961
Mitsubishi Materials Corp. (Japan)		6,000		21,124
Newmont Mining Corp.		44,700		1,338,765
Nucor Corp.		29,200		1,264,944
OZ Minerals Ltd. (Australia)		1,593		5,978
Sumitomo Metal Mining Co. Ltd. (Japan)		29,000		323,021
United States Steel Corp.(a)		14,700		257,691
Voestalpine AG (Austria)		592		20,935
				8,303,795
Multiline Retail — 0.5%
Dollar General Corp.*		27,400		1,381,782
Dollar Tree, Inc.*		21,200		1,077,808
Family Dollar Stores, Inc.(a)		10,600		660,486
J.C. Penney Co., Inc.*(a)		14,400		245,952
Kohl’s Corp.		21,100		1,065,761
Macy’s, Inc.		36,974		1,774,752
Next PLC (United Kingdom)		3,173		219,796
Nordstrom, Inc.		14,700		881,118
Takashimaya Co. Ltd. (Japan)		9,000		91,218
Target Corp.		58,300		4,014,538
				11,413,211
Multi-Utilities — 0.7%
Ameren Corp.		21,900		754,236
CenterPoint Energy, Inc.(a)		38,100		894,969
CMS Energy Corp.		23,000		624,910
Consolidated Edison, Inc.		26,700		1,556,877
Dominion Resources, Inc.		52,432		2,979,186
DTE Energy Co.		16,200		1,085,562
E.ON SE (Germany)		28,506		467,173
Integrys Energy Group, Inc.		6,620		387,469
National Grid PLC (United Kingdom)		33,505		379,802
NiSource, Inc.		24,800		710,272
PG&E Corp.		39,500		1,806,335
Public Service Enterprise Group, Inc.		46,100		1,505,626
SCANA Corp.		14,200		697,220
Sempra Energy		20,519		1,677,633
TECO Energy, Inc.(a)		20,500		352,395
Wisconsin Energy Corp.		20,100		823,899
				16,703,564
Office Electronics — 0.1%
Brother Industries Ltd. (Japan)		1,300		14,587
Canon, Inc. (Japan)		5,300		173,699

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Office Electronics (continued)
Konica Minolta, Inc. (Japan)		2,500	$	18,817
Ricoh Co. Ltd. (Japan)		31,000		367,360
Xerox Corp.		127,463		1,156,089
				1,730,552
Oil, Gas & Consumable Fuels — 5.0%
Anadarko Petroleum Corp.		45,054		3,871,490
Apache Corp.		35,014		2,935,224
BG Group PLC (United Kingdom)		467		7,936
BP PLC (United Kingdom)		144,266		1,001,204
Cabot Oil & Gas Corp.		19,800		1,406,196
Caltex Australia Ltd. (Australia)		690		11,349
Chesapeake Energy Corp.(a)		51,500		1,049,570
Chevron Corp.		176,522		20,889,613
ConocoPhillips		111,277		6,732,259
CONSOL Energy, Inc.		19,500		528,450
Denbury Resources, Inc.*		37,200		644,304
Devon Energy Corp.		35,700		1,852,116
Eni SpA (Italy)		26,358		540,968
EOG Resources, Inc.		24,400		3,212,992
EQT Corp.		13,900		1,103,243
Exxon Mobil Corp.		406,899		36,763,325
Hess Corp.		27,500		1,828,475
Idemitsu Kosan Co. Ltd. (Japan)		100		7,666
JX Holdings, Inc. (Japan)		12,300		59,389
Kinder Morgan, Inc.		56,798		2,166,844
Marathon Oil Corp.		62,682		2,167,544
Marathon Petroleum Corp.		30,141		2,141,819
Murphy Oil Corp.		17,300		1,053,397
Neste Oil OYJ (Finland)		657		9,587
Newfield Exploration Co.*		13,900		332,071
Noble Energy, Inc.		32,000		1,921,280
Occidental Petroleum Corp.		72,600		6,478,098
OMV AG (Austria)		8,388		378,390
Peabody Energy Corp.		23,300		341,112
Phillips 66		56,138		3,307,090
Pioneer Natural Resources Co.		11,500		1,664,625
QEP Resources, Inc.		15,500		430,590
Range Resources Corp.		15,000		1,159,800
Repsol SA (Spain)		4,229		89,252
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		19,046		608,409
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		20,788		688,481
Southwestern Energy Co.*		31,600		1,154,348
Spectra Energy Corp.		59,562		2,052,507
Tesoro Corp.		13,200		690,624
Total SA (France)		17,259		842,980
Valero Energy Corp.		48,800		1,696,776
Williams Cos., Inc. (The)		59,300		1,925,471
WPX Energy, Inc.*(a)		20,033		379,425
				118,126,289
Paper & Forest Products — 0.1%
International Paper Co.		39,573		1,753,480
Oji Holdings Corp. (Japan)		4,000		16,123
Stora Enso OYJ (Finland) (Class R Stock)		43,673		292,444
				2,062,047

COMMON STOCKS (continued)	Shares		Value (Note 2)
Personal Products — 0.1%
Avon Products, Inc.		39,200	$	824,376
Estee Lauder Cos., Inc. (The) (Class A Stock)		21,200		1,394,324
				2,218,700
Pharmaceuticals — 3.5%
AbbVie, Inc.		142,600		5,895,084
Actavis, Inc.*		11,200		1,413,664
Allergan, Inc.		27,700		2,333,448
AstraZeneca PLC (United Kingdom)		12,477		589,902
Bayer AG (Germany)		2,918		310,680
Bristol-Myers Squibb Co.		148,970		6,657,469
Eli Lilly & Co.		91,500		4,494,480
Forest Laboratories, Inc.*		22,300		914,300
GlaxoSmithKline PLC (United Kingdom)		27,581		689,425
Hospira, Inc.*		14,860		569,287
Johnson & Johnson		254,648		21,864,077
Merck & Co., Inc.		273,633		12,710,253
Mylan, Inc.*		39,400		1,222,582
Novartis AG (Switzerland)		12,107		857,545
Novo Nordisk A/S (Denmark) (Class B Stock)		2,116		328,959
Orion OYJ (Finland) (Class B Stock)		12,375		289,970
Otsuka Holdings Co. Ltd. (Japan)		1,900		62,736
Perrigo Co.(a)		8,800		1,064,800
Pfizer, Inc.		618,170		17,314,942
Roche Holding AG (Switzerland)		4,982		1,236,519
Sanofi (France)		3,864		399,460
Shionogi & Co. Ltd. (Japan)		1,500		31,280
Teva Pharmaceutical Industries Ltd. (Israel)		13,140		514,270
Tsumura & Co. (Japan)		300		8,841
Zoetis, Inc.		33,500		1,034,815
				82,808,788
Professional Services — 0.1%
Capita PLC (United Kingdom)		25,795		379,163
Dun & Bradstreet Corp. (The)		4,400		428,780
Equifax, Inc.		10,100		595,193
Robert Half International, Inc.		11,200		372,176
				1,775,312
Real Estate Investment Trusts — 1.2%
American Tower Corp.		35,100		2,568,267
Apartment Investment & Management Co. (Class A Stock)		13,033		391,511
AvalonBay Communities, Inc.		10,475		1,413,182
Boston Properties, Inc.		13,500		1,423,845
CFS Retail Property Trust Group (Australia)		10,464		19,078
Equity Residential		28,900		1,677,934
GPT Group (Australia)		7,435		26,107
HCP, Inc.		40,600		1,844,864
Health Care REIT, Inc.		24,000		1,608,720
Host Hotels & Resorts, Inc.(a)		66,682		1,124,925
Japan Retail Fund Investment Corp. (Japan)		11		22,981
Kimco Realty Corp.		35,000		750,050

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Link REIT (The) (Hong Kong)		69,000	$	338,630
Macerich Co. (The)		11,400		695,058
Mirvac Group (Australia)		17,325		25,364
Nippon ProLogis REIT, Inc. (Japan)		1		8,677
Plum Creek Timber Co., Inc.(a)		12,700		592,709
ProLogis, Inc.		44,177		1,666,356
Public Storage		13,000		1,993,290
Simon Property Group, Inc.		28,543		4,507,511
Ventas, Inc.		26,818		1,862,778
Vornado Realty Trust		16,825		1,393,951
Westfield Retail Trust (Australia)		124,108		350,990
Weyerhaeuser Co.		48,598		1,384,557
				27,691,335
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		29,600		691,456
Hang Lung Properties Ltd. (Hong Kong)		50,000		173,191
Hysan Development Co. Ltd. (Hong Kong)		67,000		289,248
New World Development Co. Ltd. (Hong Kong)		19,000		26,098
Sino Land Co. Ltd. (Hong Kong)		16,000		22,371
UOL Group Ltd. (Singapore)		39,000		206,169
Wharf Holdings Ltd. (Hong Kong)		43,000		358,896
Wheelock & Co. Ltd. (Hong Kong)		65,000		324,309
				2,091,738
Road & Rail — 0.5%
Central Japan Railway Co. (Japan)		4,300		524,084
ComfortDelGro Corp. Ltd. (Singapore)		32,000		45,987
CSX Corp.		91,600		2,124,204
Kansas City Southern		9,000		953,640
Nippon Express Co. Ltd. (Japan)		5,000		23,743
Norfolk Southern Corp.		29,500		2,143,175
Odakyu Electric Railway Co. Ltd. (Japan)		3,000		29,297
Ryder System, Inc.		4,900		297,871
Tokyu Corp. (Japan)		6,000		39,287
Union Pacific Corp.		42,600		6,572,328
West Japan Railway Co. (Japan)		900		38,169
				12,791,785
Semiconductors & Semiconductor Equipment — 1.2%
Advanced Micro Devices, Inc.*(a)		55,700		227,256
Altera Corp.		29,700		979,803
Analog Devices, Inc.		27,200		1,225,632
Applied Materials, Inc.		114,700		1,710,177
ARM Holdings PLC (United Kingdom)		29,169		352,862
Broadcom Corp. (Class A Stock)		47,050		1,588,408
First Solar, Inc.*(a)		4,000		178,920
Intel Corp.		448,200		10,855,404
KLA-Tencor Corp.		14,700		819,231
Lam Research Corp.*		16,050		711,657
Linear Technology Corp.		20,500		755,220
LSI Corp.*		57,100		407,694
Mellanox Technologies Ltd. (Israel)*		184		9,148
Microchip Technology, Inc.(a)		15,700		584,825
Micron Technology, Inc.*(a)		87,900		1,259,607

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
NVIDIA Corp.(a)		52,550	$	737,276
ROHM Co. Ltd. (Japan)		500		20,306
Teradyne, Inc.*(a)		19,800		347,886
Texas Instruments, Inc.		99,900		3,483,513
Xilinx, Inc.		23,400		926,874
				27,181,699
Software — 1.9%
Adobe Systems, Inc.*		44,200		2,013,752
Autodesk, Inc.*		19,700		668,618
BMC Software, Inc.*		13,400		604,876
CA, Inc.		32,364		926,581
Citrix Systems, Inc.*		16,500		995,445
Electronic Arts, Inc.*		26,400		606,408
Intuit, Inc.		26,800		1,635,604
Microsoft Corp.		683,900		23,615,067
NICE Systems Ltd. (Israel)		302		11,104
Oracle Corp.		340,500		10,460,160
Red Hat, Inc.*		16,600		793,812
Salesforce.com, Inc.*(a)		48,000		1,832,640
SAP AG (Germany)		813		59,368
Symantec Corp.		61,478		1,381,411
				45,604,846
Specialty Retail — 1.3%
Abercrombie & Fitch Co. (Class A Stock)		8,300		375,575
AutoNation, Inc.*		3,874		168,093
AutoZone, Inc.*		3,150		1,334,623
Bed Bath & Beyond, Inc.*(a)		21,300		1,510,170
Best Buy Co., Inc.		22,025		601,943
CarMax, Inc.*		20,100		927,816
Fast Retailing Co. Ltd. (Japan)		300		101,251
GameStop Corp. (Class A Stock)(a)		13,600		571,608
Gap, Inc. (The)		30,000		1,251,900
Groupe FNAC (France)*		4		85
Home Depot, Inc. (The)		134,950		10,454,577
L Brands, Inc.		20,306		1,000,071
Lowe’s Cos., Inc.		103,800		4,245,420
O’Reilly Automotive, Inc.*		11,100		1,250,082
PetSmart, Inc.		9,700		649,803
Ross Stores, Inc.		20,800		1,348,048
Shimamura Co. Ltd. (Japan)		100		12,139
Staples, Inc.		56,449		895,281
Tiffany & Co.		11,100		808,524
TJX Cos., Inc.		67,300		3,369,038
Urban Outfitters, Inc.*		11,100		446,442
				31,322,489
Textiles, Apparel & Luxury Goods — 0.4%
Adidas AG (Germany)		1,070		115,665
Burberry Group PLC (United Kingdom)		2,296		47,235
Cie Financiere Richemont SA (Switzerland)		2,682		236,521
Coach, Inc.		26,100		1,490,049
Fossil Group, Inc.*		5,300		547,543
Kering (France)		34		6,918
NIKE, Inc. (Class B Stock)		65,800		4,190,144
PVH Corp.		6,500		812,825

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
Ralph Lauren Corp.		5,800	$	1,007,692
V.F. Corp.		8,000		1,544,480
				9,999,072
Thrifts & Mortgage Finance
Hudson City Bancorp, Inc.		49,900		457,084
People’s United Financial, Inc.(a)		26,300		391,870
				848,954
Tobacco — 1.0%
Altria Group, Inc.		180,600		6,319,194
British American Tobacco PLC (United Kingdom)		13,507		692,773
Japan Tobacco, Inc. (Japan)		15,000		529,463
Lorillard, Inc.(a)		35,841		1,565,535
Philip Morris International, Inc.		150,400		13,027,648
Reynolds American, Inc.		29,000		1,402,730
Swedish Match AB (Sweden)		1,009		35,814
				23,573,157
Trading Companies & Distributors — 0.1%
Bunzl PLC (United Kingdom)		1,742		33,976
Fastenal Co.(a)		25,900		1,187,515
ITOCHU Corp. (Japan)		34,600		400,111
Marubeni Corp. (Japan)		20,000		133,667
Mitsui & Co. Ltd. (Japan)		9,300		116,624
Sojitz Corp. (Japan)		6,700		11,117
Sumitomo Corp. (Japan)		5,600		69,796
W.W. Grainger, Inc.		5,200		1,311,336
				3,264,142
Transportation Infrastructure
Auckland International Airport Ltd. (New Zealand)		36,811		84,664
Wireless Telecommunication Services — 0.2%
Crown Castle International Corp.*		25,200		1,824,228
KDDI Corp. (Japan)		2,900		151,013
Millicom International Cellular SA (Luxembourg)		316		22,759
NTT DOCOMO, Inc. (Japan)		82		127,568

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services (continued)
Softbank Corp. (Japan)		3,200	$	186,272
Sprint Nextel Corp.*		265,477		1,863,648
Vodafone Group PLC (United Kingdom)		148,468		425,464
				4,600,952
TOTAL COMMON STOCKS (cost $721,645,124)				1,360,543,831
EXCHANGE TRADED FUND — 0.1%
iShares MSCI EAFE Index Fund (cost $1,120,015)		20,750		1,190,635
PREFERRED STOCKS
Automobiles
Bayerische Motoren Werke AG (Germany)		279		19,055
Volkswagen AG (Germany)		168		33,933
				52,988
Banking
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		20,000		557,000
TOTAL PREFERRED STOCKS (cost $547,413)				609,988
RIGHTS
	Units
Oil, Gas & Consumable Fuels
Repsol SA (Spain)*		4,229		2,356
Real Estate Management & Development
New World Development Co. Ltd. (Hong Kong)*		237		—
Specialty Retail Groupe
FNAC (France)*		2		5
TOTAL RIGHTS (cost $2,487)				2,361

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

ASSET-BACKED SECURITIES — 2.5%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligations
Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, Class A1, 144A(b)	Aaa		0.536%	04/25/19	$	443	$	435,235
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.516%	10/19/20		525		520,663
								955,898
Collateralized Loan Obligations — 1.5%
ACAS CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A, 144A(b)	Aaa		1.668%	04/20/25		2,100		2,061,734
ACAS CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class B2, 144A	AA(c)		3.360%	04/20/25		250		236,066
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.526%	10/20/19		1,611		1,579,705
Anchorage Capital CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.466%	07/13/25		2,400		2,386,080
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.536%	01/26/20		989		974,008
Benefit Street Partners CLO Ltd. (Cayman Islands), Ser. 2013-IIA, Class A1, 144A(b)	Aaa		1.475%	07/15/24		1,000		996,500
Brookside Mill CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.375%	04/17/25		2,200		2,158,488
Fortress Credit BSL Ltd. (Cayman Islands), Ser. 2013-1A, Class A, 144A(b)	Aaa		1.536%	01/19/25		900		884,701
Fortress Credit BSL Ltd. (Cayman Islands), Ser. 2013-1A, Class B, 144A(b)	AA(c)		2.256%	01/19/25		300		297,173
Four Corners CLO Ltd. (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.526%	07/22/20		427		421,501
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aaa		0.743%	03/15/20		1,000		971,683
ING Investment Management CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.450%	04/15/24		2,200		2,199,965
Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A, 144A(b)	AAA(c)		1.674%	09/06/22		436		435,070
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.535%	06/01/17		325		322,207
LightPoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.533%	09/15/17		489		480,525
Magnetite CLO Ltd. (Cayman Islands), Ser. 2012-6A, Class A, 144A(b)	AAA(c)		1.773%	09/15/23		300		299,891
Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A1A, 144A(b)	Aaa		1.744%	05/18/23		1,100		1,102,952
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.523%	03/15/18		105		103,653
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(b)	Aaa		1.676%	11/22/23		1,000		998,845
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(b)	AA(c)		2.396%	11/22/23		900		879,743
OHA Intrepid Leveraged Loan Fund Ltd. (Cayman Islands), Ser. 2013-1AR, Class AR, 144A(b)	Aaa		1.196%	04/20/21		1,800		1,797,300
OZLM Funding Ltd. (Cayman Islands), Ser. 2013-4A, Class A1, 144A(b)	Aaa		1.470%	07/22/25		1,000		992,300
Sheridan Square CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.327%	04/15/25		2,600		2,606,508
Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.924%	08/17/22		500		502,208
Sound Point CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.976%	10/20/23		900		904,680
Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b)	Aaa		0.533%	05/27/20		1,173		1,156,324
Stanfield Daytona CLO Ltd. (Cayman Islands), Ser. 2007-1A, Class A1L, 144A(b)	Aaa		0.526%	04/27/21		3,155		3,102,825
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.524%	11/01/18		1,298		1,285,017
Tyron Park CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.393%	07/15/25		2,200		2,195,380
								34,333,032
Non-Residential Mortgage-Backed Securities — 0.6%
American Express Credit Account Master Trust, Ser. 2012-4, Class C, 144A(b)	AA-(c)		0.993%	05/15/20		2,700		2,703,459
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.593%	01/15/16		4,159		4,157,062
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(b)	Baa2		0.663%	03/24/17		1,000		989,071
GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b)	A2		1.043%	06/15/18		4,500		4,469,782

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(b)	A3		1.093%	11/15/16	$	1,000	$	998,256
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		1,509		1,498,447
								14,816,077
Residential Mortgage-Backed Securities — 0.4%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.843%	03/25/33		398		339,121
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(b)	Ba1		0.943%	03/25/34		3,240		3,003,217
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3(b)	B3		4.640%	07/25/35		375		334,514
Equity One ABS, Inc., Ser. 2004-3, Class M1(d)	B1		5.238%	07/25/34		542		465,441
Fremont Home Loan Trust, Ser. 2004-2, Class M1(b)	A3		1.048%	07/25/34		506		460,154
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.682%	01/20/35		295		280,717
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.723%	06/25/34		848		779,713
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.393%	05/25/33		209		199,808
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.243%	12/27/33		1,175		1,124,060
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.093%	07/25/32		568		510,328
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.468%	09/25/32		758		688,186
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(b)	Ba3		0.958%	02/25/34		1,176		1,060,808
								9,246,067
TOTAL ASSET-BACKED SECURITIES (cost $58,820,626)								59,351,074
BANK LOANS(b) — 0.4%
Automotive
Schaeffller AG (Germany)	Ba3		4.250%	01/27/17		600		599,813
Cable — 0.1%
Virgin Media Investment Holdings Ltd. (United Kingdom)	Ba3		3.500%	06/08/20		1,000		988,906
Foods — 0.1%
ARAMARK Corp.	B1		4.000%	08/22/19		900		901,350
Del Monte Foods Co.	B1		4.000%	03/08/18		958		952,901
								1,854,251
Gaming
Scientific Games Corp.	Ba1		3.450%	06/30/15		419		416,994
Healthcare & Pharmaceutical — 0.1%
Community Health System, Inc.	Ba2		2.776%	10/25/16		478		478,329
HCA, Inc.	Ba3		3.026%	03/31/17		886		886,619
HCA, Inc.,	Ba3		3.026%	05/01/18		370		369,506
RPI Finance Trust	Baa2		4.000%	11/09/18		897		895,669
Universal Health Services, Inc.	Ba2		2.023%	08/15/16		86		86,292
								2,716,415
Technology — 0.1%
First Data Corp.	B1		4.193%	03/24/17		156		152,519
First Data Corp.	B1		4.193%	03/26/18		2,055		2,000,808
Flextronics International Ltd. (Singapore)	Ba1		2.445%	10/01/14		60		59,621
Flextronics International Ltd. (Singapore)	Ba1		2.445%	10/01/14		17		17,132
Sensata Technologies, Inc. (Netherands)	Baa3		3.750%	05/12/18		153		154,357
								2,384,437
TOTAL BANK LOANS (cost $8,963,596)								8,960,816
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,008		1,555,384
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		2.945%	02/25/35		474		460,515
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		2.853%	03/25/35		502		469,082
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	B2		2.914%	02/25/37		1,079		1,060,744

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1(b)	Ba3		5.250%	09/25/19	$	553	$	564,980
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.882%	07/25/35		628		617,556
MASTR Alternative Loan Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		147		151,027
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa3		2.578%	02/25/34		617		609,535
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		378		385,926
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $6,366,402)								5,874,749
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.7%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		1,890		1,896,800
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		2,000		2,001,168
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.857%	06/10/49		405		405,132
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,400		3,480,311
Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, Class A4(b)	AAA(c)		5.611%	03/11/39		1,200		1,308,635
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a)(b)	Aaa		5.885%	12/10/49		800		905,702
Citigroup Commercial Mortgage Trust, Ser. 2013-GC11, Class A3	Aaa		2.815%	04/10/46		900		830,533
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.484%	01/15/46		1,000		1,080,838
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%	10/15/48		480		529,868
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(c)		5.440%	09/15/30		26		26,403
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C7, Class A4(b)	AAA(c)		5.940%	06/10/46		4,000		4,396,680
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		756		757,886
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, Class A2	Aaa		1.765%	10/15/45		2,600		2,577,645
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR5, Class A3	Aaa		2.540%	12/10/45		1,000		915,963
Commercial Mortgage Trust, Ser. 2013-CR7, Class A3	Aaa		2.929%	03/10/46		1,400		1,307,036
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(c)		5.569%	02/15/39		4,330		4,730,127
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AAA(c)		5.569%	02/15/39		530		568,810
CS First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	A1		4.832%	04/15/37		900		945,253
CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4	AAA(c)		5.100%	08/15/38		3,000		3,199,236
CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA+(c)		5.223%	08/15/48		1,020		1,105,415
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(c)		5.985%	05/15/46		34		35,101
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b)	AA+(c)		1.612%	05/25/22		21,364		2,131,640
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b)	AA+(c)		1.646%	06/25/22		5,882		611,501
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b)	AA+(c)		1.876%	08/25/16		6,292		253,901
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b)	AA+(c)		1.914%	05/25/19		16,938		1,475,589
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1(b)	AA+(c)		1.833%	07/25/19		17,467		1,484,757
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(c)		4.697%	05/10/43		2,610		2,736,661
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(b)	Aa2		5.224%	04/10/37		1,400		1,499,970
Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(a)(b)	Aaa		6.056%	07/10/38		970		1,075,199
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		2,439		2,511,785
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		898		908,725
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB	Aaa		4.853%	03/15/46		936		954,483

SEE NOTES TO FINANCIAL STATEMENTS.

A13

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42	$	157	$	157,200
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,051,294
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		1,833		1,878,776
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%	10/15/42		1,170		1,238,816
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		1,236		1,298,345
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class A4(b)	Aaa		5.475%	04/15/43		2,339		2,559,477
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A2(b)	Aaa		5.988%	06/15/49		1,019		1,044,643
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%	06/15/45		1,800		1,803,861
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		1,500		1,367,580
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2013-C10, Class A4	AAA(c)		2.875%	12/15/47		3,200		2,944,134
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2013-LC11, Class A4	Aaa		2.694%	04/15/46		1,100		1,018,294
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5	AAA(c)		4.826%	08/15/29		1,371		1,389,740
LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5	Aaa		4.739%	07/15/30		695		730,572
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(c)		5.263%	11/15/40		1,390		1,483,380
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(c)		5.084%	02/15/31		60		60,207
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		271		271,248
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(b)	AAA(c)		5.872%	05/12/39		3,400		3,753,535
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	AA(c)		5.872%	05/12/39		780		847,890
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	AA-(c)		5.715%	02/12/39		440		473,543
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		6.086%	06/12/46		2,210		2,454,716
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5, Class A3	Aaa		5.364%	08/12/48		408		414,935
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		2,091		2,095,715
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2013-C8, Class A3	Aaa		2.863%	12/15/48		1,200		1,131,847
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2013-C10, Class A3(b)	Aaa		3.734%	07/15/46		1,400		1,413,132
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.597%	03/12/44		1,500		1,613,549
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(c)		5.851%	10/15/42		2,363		2,575,096
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		2,480		2,729,262
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		3,209		3,320,020
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(c)		5.816%	06/11/42		651		662,629
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	Aaa		2.792%	12/10/45		1,400		1,309,854
UBS-Barclays Commercial Mortgage Trust, Ser. 2013-C5, Class A3	Aaa		2.920%	03/10/46		3,200		3,009,110
UBS-Barclays Commercial Mortgage Trust,, Ser. 2013-C6, Class A3	Aaa		2.971%	04/10/46		1,500		1,406,166
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(b)	Aaa		5.418%	01/15/45		1,194		1,284,924
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.919%	05/15/43		3,688		4,045,497
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4(a)	Aa2		5.509%	04/15/47		3,800		4,177,355
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		6.122%	02/15/51		2,900		3,226,050
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $106,978,798)								110,891,145

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS — 10.4%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Aerospace & Defense
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		6.300%	05/01/14	$	900	$	927,000
Airlines — 0.2%
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 1998-11, Class A	Baa2		6.648%	09/15/17		146		154,138
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2001-1. Class A-1(e)	Baa2		6.703%	06/15/21		127		134,873
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2009-2, Class A	Baa2		7.250%	11/10/19		617		722,165
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2010-A(a)	Baa2		4.750%	01/12/21		679		726,044
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2012-2, Class A	Baa2		4.000%	10/29/24		405		403,987
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa1		6.821%	08/10/22		344		388,933
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2011-1, Class A	Baa1		5.300%	04/15/19		916		985,005
Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2A(a)	Baa1		4.950%	05/23/19		571		606,490
								4,121,635
Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16		1,890		1,974,385
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%	03/15/17		380		385,049
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		495		528,521
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		235		258,191
								3,146,146
Banking — 2.6%
American Express Co., Sr. Unsec’d. Notes	A3		2.650%	12/02/22		2,300		2,123,629
American Express Credit Corp., Sr. Unsec’d. Notes, MTN(f)	A2		2.800%	09/19/16		1,210		1,256,247
Banco Bradesco SA (Brazil), Sub. Notes	Baa2		8.750%	10/24/13		1,690		1,719,744
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		530		492,751
Bangkok Bank PCL/Hong Kong (Thailand), Sr. Unsec’d. Notes, 144A	A3		2.750%	03/27/18		1,115		1,094,890
Bank of America Corp., Jr. Sub. Notes, Ser. K(b)	B1		8.000%	12/29/49		2,100		2,338,875
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%	04/01/15		185		194,051
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,290		1,431,958
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		1,330		1,490,868
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a)	Baa2		3.300%	01/11/23		1,360		1,285,400
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		790		828,144
Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN	Baa2		5.650%	05/01/18		105		116,653
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		850		921,896
Bank of America NA, Sub. Notes(a)	Baa1		6.000%	10/15/36		805		895,130
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		5.300%	10/30/15		550		600,450
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes	A2		6.400%	10/02/17		270		311,430
Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes(a)	A2		7.250%	02/01/18		1,135		1,351,491
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%	01/14/22		2,125		2,213,887
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		745		852,830
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%	03/05/38		320		388,042
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39		850		1,122,628
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,195		1,505,732
Citigroup, Inc., Sub. Notes	Baa3		6.125%	08/25/36		725		709,840
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		485		566,009
Discover Financial Services, Sr. Unsec’d. Notes	Ba1		3.850%	11/21/22		900		845,178
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.250%	07/27/21		2,305		2,466,117
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.750%	01/24/22		1,250		1,378,766
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		700		786,536
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	A3		6.250%	02/01/41		220		248,817
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%	01/15/17		765		829,096
Goldman Sachs Group, Inc. (The), Sub. Notes(a)	Baa1		6.450%	05/01/36		1,020		1,026,323

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37	$	113	$	115,753
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa3		4.875%	01/14/22		1,730		1,867,248
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21		920		1,010,767
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		150		178,973
Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes	Baa2		3.125%	01/15/16		1,145		1,125,830
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)(b)	Ba1		7.900%	04/29/49		2,000		2,260,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		1,935		2,009,691
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.250%	10/15/20		2,360		2,453,071
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN(f)	A2		5.800%	01/13/20		1,770		1,991,627
Morgan Stanley, Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		2,530		2,734,293
Morgan Stanley, Notes, Ser. G, MTN	Baa1		6.625%	04/01/18		100		113,346
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		6.375%	07/24/42		640		714,021
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,110		2,267,893
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		495		549,223
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		635		678,071
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b)	Ba1		6.346%	07/29/49		800		870,000
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,195		1,122,182
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		925		962,701
PNC Funding Corp., Gtd. Notes.(a)	A3		6.700%	06/10/19		390		467,624
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN(a)	Baa1		6.400%	10/21/19		1,775		1,972,188
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	09/24/15		780		799,759
US Bancorp, Sub. Notes, MTN	A2		2.950%	07/15/22		915		848,798
								60,506,467
Brokerage — 0.1%
Jefferies Group LLC, Sr. Unsec’d. Notes	Baa3		6.500%	01/20/43		465		445,200
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, Ser. MTN(g)	NR		6.875%	02/06/12		1,850		450,938
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, Ser. MTN(g)	NR		6.875%	05/02/18		700		172,375
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN	Baa3		2.000%	09/13/16		680		672,412
								1,740,925
Building Materials & Construction — 0.1%
D.R. Horton, Inc., Gtd. Notes	Ba2		3.625%	02/15/18		900		884,250
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		500		490,000
								1,374,250
Cable — 0.3%
Cablevision Systems Corp., Sr. Unsec’d. Notes	B1		8.625%	09/15/17		900		1,021,500
Comcast Cable Holdings LLC, Gtd. Notes	A3		9.875%	06/15/22		1,440		1,940,475
Comcast Corp., Gtd. Notes	A3		6.400%	05/15/38		310		370,009
Comcast Corp., Gtd. Notes	A3		6.950%	08/15/37		290		365,031
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		605		635,561
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		171,299
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		4.750%	10/01/14		1,755		1,836,565
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,020		909,915
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		361,841
								7,612,196
Capital Goods — 0.4%
Actuant Corp., Gtd. Notes	Ba2		5.625%	06/15/22		1,040		1,053,000
Case New Holland, Inc., Gtd. Notes(a)	Ba2		7.875%	12/01/17		1,100		1,245,750
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		635		576,830
ERAC USA Finance LLC, Gtd. Notes, 144A (cost $1,195,904; purchased 10/10/07)(e)(h)	Baa1		6.375%	10/15/17		1,198		1,391,078
ERAC USA Finance LLC, Gtd. Notes, 144A (cost $386,623; purchased 10/10/07)(e)(h)	Baa1		7.000%	10/15/37		390		459,225
General Electric Co., Sr. Unsec’d. Notes(a)	Aa3		4.125%	10/09/42		455		423,375
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17		320		361,327

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (cost $319,875; purchased 07/10/12)(e)(h)	Baa3		2.500%	07/11/14	$	320	$	324,560
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (cost $419,593; purchased 05/08/12)(e)(h)	Baa3		3.125%	05/11/15		420		433,987
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		1,210		1,193,185
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,060		1,125,431
								8,587,748
Chemicals — 0.2%
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		35		51,224
E.I. du Pont de Nemours & Co., Sr. Unsec’d. Notes	A2		4.150%	02/15/43		180		172,957
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		780		794,322
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes	Baa2		5.000%	04/15/19		800		870,477
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		900		914,300
Rhodia SA (France), Sr. Unsec’d. Notes, 144A	Baa2		6.875%	09/15/20		950		1,065,735
Union Carbide Corp., Sr. Unsec’d. Notes	Baa2		7.500%	06/01/25		500		585,157
								4,454,172
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,600		1,851,437
Electric — 0.7%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		170		195,059
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		530		632,813
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.250%	10/15/17		250		260,625
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.500%	02/15/21		825		880,688
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		300		395,942
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		145		161,566
Duke Energy Carolinas LLC, First Mtge. Bonds	A1		6.050%	04/15/38		530		623,913
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		845		922,481
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes	Baa2		8.625%	08/01/15		1,160		1,300,632
ENEL Finance International NV (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		870		803,447
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		195		208,699
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(a)	Baa2		6.250%	10/01/39		1,375		1,495,588
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		380		462,004
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		470		538,675
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		140		142,510
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		575		605,780
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		325		361,081
Nevada Power Co., Genl. Ref. Mtge., Ser. O	A3		6.500%	05/15/18		1,210		1,443,745
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		545		606,628
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		605		673,434
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa3		6.375%	01/15/15		465		501,953
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		135		162,245
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		515		621,855
Southern California Edison Co., Ser. 04-F	A1		4.650%	04/01/15		610		652,889
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		4.800%	09/15/41		480		477,247
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		263		295,461
								15,426,960
Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		480		520,746
BP Capital Markets PLC (United Kingdom), Gtd. Notes(a)	A2		5.250%	11/07/13		960		975,969
Chevron Corp., Sr. Unsec’d. Notes	Aa1		2.427%	06/24/20		270		268,461
Chevron Corp., Sr. Unsec’d. Notes	Aa1		3.191%	06/24/23		535		532,406
								2,297,582
Energy – Other — 0.4%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		1,070		1,230,478
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		305		353,417

SEE NOTES TO FINANCIAL STATEMENTS.

A17

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19	$	225	$	270,343
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		900		840,136
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		890		874,857
Phillips 66, Gtd. Notes	Baa1		2.950%	05/01/17		415		427,706
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,450		1,711,950
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		755		746,122
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		685		717,979
Weatherford International Ltd. (Bermuda), Gtd. Notes	Baa2		6.500%	08/01/36		25		25,307
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,660		1,684,236
								8,882,531
Foods — 0.5%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		2.500%	07/15/22		1,030		961,606
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39		1,160		1,669,486
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		230		337,363
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		708		744,705
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,000		1,030,863
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		860		1,061,414
Cargill, Inc., Sr. Unsec’d. Notes, 144A (cost $646,913; purchased 11/19/07)(e)(h)	A2		6.000%	11/27/17		650		756,512
Darling International, Inc., Gtd. Notes	Ba2		8.500%	12/15/18		1,000		1,106,250
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		460		516,757
Kraft Foods Group, Inc., Sr. Unsec’d. Notes(a)	Baa2		5.000%	06/04/42		575		582,298
TreeHouse Foods, Inc., Gtd. Notes	Ba2		7.750%	03/01/18		1,200		1,270,500
Tyson Foods, Inc., Gtd. Notes	Baa3		6.600%	04/01/16		785		886,686
								10,924,440
Healthcare & Pharmaceutical — 0.5%
AbbVie, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.400%	11/06/42		605		561,962
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,365		1,359,458
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		995		1,029,096
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes	A2		6.450%	09/15/37		480		589,671
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)	Ba2		5.125%	08/15/18		900		913,500
Express Scripts Holding Co., Gtd. Notes	Baa3		2.750%	11/21/14		2,060		2,105,316
Genentech, Inc., Sr. Unsec’d. Notes	AA(c)		4.750%	07/15/15		270		291,283
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		470		522,748
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		3.750%	08/23/22		150		143,286
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		560		613,482
Merck & Co., Inc., Sr. Unsec’d. Notes	A1		5.950%	12/01/28		205		244,405
Mylan, Inc., Gtd. Notes, 144A(a)	Baa3		7.625%	07/15/17		900		996,490
Mylan, Inc., Sr. Unsec’d. Notes, 144A	Baa3		1.800%	06/24/16		355		354,035
Valeant Pharmaceuticals International, Gtd. Notes, 144A(a)	B1		6.500%	07/15/16		850		875,500
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		460		410,501
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a)	Baa3		6.125%	08/15/19		440		506,935
Zoetis, Inc., Sr. Unsec’d. Notes, 144A(a)	Baa2		3.250%	02/01/23		135		128,266
Zoetis, Inc., Sr. Unsec’d. Notes, 144A	Baa2		4.700%	02/01/43		155		144,749
								11,790,683
Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa2		6.625%	06/15/36		480		576,340
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		540		602,794
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		640		728,523
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	01/15/15		1,200		1,287,952
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		115		132,563
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		400		478,982
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		410		498,786
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		330		306,098
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.650%	01/15/43		775		722,367
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		5.000%	12/15/14		1,085		1,147,280
								6,481,685

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance — 0.8%
Allied World Assurance Co. Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20	$	480	$	519,848
Allstate Corp. (The), Sr. Unsec’d. Notes	A3		4.500%	06/15/43		125		123,233
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		910		1,055,314
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		900		1,116,129
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20		990		1,098,039
Chubb Corp. (The), Jr. Sub. Notes(a)(b)	A3		6.375%	03/29/67		1,260		1,348,200
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a)	Baa3		5.125%	04/15/22		635		690,954
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		215		230,035
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		7.000%	03/15/34		910		1,036,094
Lincoln National Corp., Jr. Sub. Notes(b)	Baa3		6.050%	04/20/67		250		244,920
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		6.300%	10/09/37		476		547,166
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		7.000%	06/15/40		660		820,303
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		8.750%	07/01/19		505		647,477
Markel Corp., Sr. Unsec’d. Notes	Baa2		5.000%	03/30/43		165		155,723
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		960		1,064,330
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		85		102,728
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		270		309,023
New York Life Insurance Co., Sub. Notes, 144A(a)	Aa2		6.750%	11/15/39		650		805,926
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b)	A2		5.000%	10/18/42		610		596,657
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A	Aa2		6.063%	03/30/40		350		394,045
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		640		730,852
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		870		1,156,226
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		105		100,738
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		715		772,200
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A(a)	Aa2		6.850%	12/16/39		1,430		1,746,377
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		315		347,179
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		705		750,692
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		575		642,695
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		110		115,422
								19,268,525
Lodging — 0.2%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		369		398,520
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	03/01/19		490		494,333
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		805		749,547
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	Baa2		6.750%	05/15/18		2,700		3,192,385
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		2.500%	03/01/18		405		397,756
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		890		866,774
								6,099,315
Media & Entertainment — 0.3%
Belo Corp., Gtd. Notes	Ba1		8.000%	11/15/16		1,000		1,060,000
CBS Corp., Gtd. Notes (cost $355,252; purchased 07/16/12)(e)(h)	Baa2		4.850%	07/01/42		340		314,298
Globo Comunicacao E Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(d)	Baa2		5.307%	05/11/22		500		513,750
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		250		271,094
News America, Inc., Gtd. Notes	Baa1		6.150%	02/15/41		475		527,475
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		35		41,164
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,265		1,542,075
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		1,100		1,166,000
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		175		192,624
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		495		546,178
Time Warner, Inc., Gtd. Notes(a)	Baa2		7.250%	10/15/17		745		892,462
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		155		195,386
Time Warner, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		625		848,600
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43		278		235,799
								8,346,905

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Metals — 0.2%
Barrick Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A(a)	Baa2		4.100%	05/01/23	$	470	$	392,664
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		75		71,854
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		575		576,437
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		370		395,513
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.050%	10/23/15		905		905,286
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.700%	10/25/17		1,000		969,781
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		995		1,012,930
								4,324,465
Non-Captive Finance — 0.3%
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		970		1,067,732
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.000%	08/07/19		3,010		3,494,411
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.875%	01/10/39		730		899,653
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		230		236,356
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		365		386,900
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		295		327,450
								6,412,502
Packaging — 0.1%
Ball Corp., Gtd. Notes	Ba1		4.000%	11/15/23		1,710		1,581,750
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes, 144A	Ba2		4.500%	01/15/23		1,000		942,500
								2,524,250
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (cost $273,386; purchased 10/27/10)(e)(h)	Baa2		5.400%	11/01/20		275		306,653
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		1,270		1,351,031
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		615		753,018
Rock Tenn Co., Gtd. Notes	Ba1		4.000%	03/01/23		360		346,874
Rock Tenn Co., Gtd. Notes	Ba1		4.900%	03/01/22		675		695,702
								3,453,278
Pipelines & Other — 0.2%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		610		631,275
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes(a)	Baa2		5.950%	02/15/18		530		614,190
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		500		557,570
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		130		144,401
Spectra Energy Capital LLC, Gtd. Notes(a)	Baa2		6.200%	04/15/18		2,800		3,262,473
								5,209,909
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		735		885,525
CSX Corp., Sr. Unsec’d. Notes	Baa2		6.150%	05/01/37		690		793,701
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		2.903%	02/15/23		590		556,430
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		120		135,363
								2,371,019
Real Estate Investment Trusts — 0.2%
HCP, Inc., Sr. Unsec’d. Notes	Baa1		2.700%	02/01/14		670		676,690
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		685		839,250
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		68		78,903
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		235		241,919
Simon Property Group LP, Sr. Unsec’d. Notes	A3		3.375%	03/15/22		190		186,431
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		2,925		3,436,562
								5,459,755
Retailers — 0.2%
CVS Caremark Corp., Sr. Unsec’d. Notes(a)	Baa2		5.750%	05/15/41		960		1,082,138
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		335		391,473
Home Depot, Inc. (The), Sr. Unsec’d. Notes	A3		4.200%	04/01/43		730		693,440
L Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		1,300		1,319,500

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers (continued)
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29	$	345	$	410,951
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		300		300,783
Nordstrom, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.000%	10/15/21		220		232,887
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		650		751,930
								5,183,102
Technology — 0.3%
Apple, Inc., Sr. Unsec’d. Notes	Aa1		2.400%	05/03/23		1,950		1,808,555
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		370		382,944
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		2,030		2,116,797
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,650		2,768,444
								7,076,740
Telecommunications — 0.5%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		400		432,575
AT&T Corp., Gtd. Notes	A3		8.000%	11/15/31		18		25,067
AT&T, Inc., Sr. Unsec’d. Notes	A3		4.300%	12/15/42		830		722,838
AT&T, Inc., Sr. Unsec’d. Notes	A3		5.350%	09/01/40		1,378		1,394,314
AT&T, Inc., Sr. Unsec’d. Notes	A3		6.550%	02/15/39		1,115		1,280,310
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		350		526,905
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		1,830		2,376,799
Embarq Corp., Sr. Unsec’d. Notes (cost $367,380; purchased 05/04/11-05/11/11)(e)(h)	Baa3		7.082%	06/01/16		325		364,174
Embarq Corp., Sr. Unsec’d. Notes (cost $1,667,844; purchased 05/12/06-04/10/07)(e)(h)	Baa3		7.995%	06/01/36		1,645		1,735,715
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		880		947,198
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa3		5.250%	11/15/13		170		172,130
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa3		7.200%	07/18/36		475		467,791
Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A	BBB(c)		3.875%	10/12/22		345		315,054
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.400%	02/15/38		55		64,042
Windstream Corp., Gtd. Notes	B1		8.125%	08/01/13		700		702,754
								11,527,666
Tobacco — 0.3%
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		3,040		4,041,397
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		130		192,402
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		850		1,279,311
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A	Baa3		2.050%	02/11/18		1,680		1,651,413
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		290		355,360
Reynolds American, Inc., Gtd. Notes	Baa2		7.250%	06/15/37		285		339,077
								7,858,960
TOTAL CORPORATE BONDS (cost $231,633,116)								245,242,248
COVERED BONDS — 0.2%
DEPFA ACS Bank (Ireland), Covered Notes, 144A	A3		5.125%	03/16/37		630		542,421
DNB Boligkreditt AS (Norway), Covered Notes, 144A	Aaa		1.450%	03/21/18		1,190		1,155,371
Stadshypotek AB (Sweden), Covered Notes, 144A(a)	Aaa		1.250%	05/23/18		2,130		2,046,291
TOTAL COVERED BONDS (cost $3,926,085)								3,744,083
MORTGAGE-BACKED SECURITIES — 10.5%
Federal Home Loan Mortgage Corp.(b)			2.478%	06/01/36		372		393,728
Federal Home Loan Mortgage Corp.(b)			2.621%	12/01/35		520		552,363
Federal Home Loan Mortgage Corp.			3.000%	TBA 30 YR		500		487,344
Federal Home Loan Mortgage Corp.			3.500%	TBA 15 YR		1,000		1,038,125

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Federal Home Loan Mortgage Corp.			3.500%	TBA 30 YR	$	5,000	$	5,064,063
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		6,393		6,715,688
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		16,423		17,366,041
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-05/01/39		6,830		7,285,753
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		6,597		7,108,860
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-08/01/39		2,147		2,353,639
Federal Home Loan Mortgage Corp.			6.500%	12/01/14-09/01/16		29		29,818
Federal Home Loan Mortgage Corp.			7.000%	05/01/31-10/01/31		405		469,943
Federal National Mortgage Association(b)			2.074%	07/01/33		490		517,850
Federal National Mortgage Association(b)			2.177%	06/01/37		75		79,026
Federal National Mortgage Association(b)			2.373%	07/01/37		654		692,407
Federal National Mortgage Association			2.500%	TBA 15 YR		8,000		8,028,750
Federal National Mortgage Association			2.500%	TBA 15 YR		2,000		2,011,562
Federal National Mortgage Association			3.000%	TBA 15 YR		10,000		10,264,063
Federal National Mortgage Association			3.000%	TBA 30 YR		1,000		977,031
Federal National Mortgage Association			3.500%	06/01/39-03/01/43		11,873		12,076,195
Federal National Mortgage Association			3.500%	TBA 15 YR		1,000		1,041,563
Federal National Mortgage Association			3.500%	TBA 30 YR		20,000		20,303,124
Federal National Mortgage Association			3.500%	TBA 30 YR		19,500		19,743,749
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		12,062		12,965,394
Federal National Mortgage Association			4.500%	TBA 30 YR		7,000		7,393,750
Federal National Mortgage Association			5.000%	10/01/18-05/01/36		4,726		5,091,996
Federal National Mortgage Association			5.000%	TBA 30 YR		7,500		8,071,289
Federal National Mortgage Association			5.500%	03/01/16-04/01/37		8,681		9,493,899
Federal National Mortgage Association			6.000%	05/01/14-06/01/38		9,300		10,263,359
Federal National Mortgage Association			6.500%	07/01/17-01/01/37		3,534		3,951,358
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		347		399,376
Federal National Mortgage Association			7.500%	05/01/32		61		70,651
Government National Mortgage Association			3.000%	TBA 30 YR		5,000		4,942,969
Government National Mortgage Association			3.000%	TBA 30 YR		3,000		2,966,719
Government National Mortgage Association			3.000%	TBA 30 YR		2,500		2,465,625
Government National Mortgage Association			3.500%	TBA 30 YR		11,500		11,796,484
Government National Mortgage Association			4.000%	06/15/40-05/20/41		1,917		2,025,465
Government National Mortgage Association			4.000%	TBA 30 YR		19,500		20,465,858
Government National Mortgage Association			4.500%	01/20/41-02/20/41		5,542		5,935,162
Government National Mortgage Association			4.500%	TBA 30 YR		3,000		3,183,164
Government National Mortgage Association			4.500%	TBA 30 YR		1,750		1,864,229
Government National Mortgage Association			5.500%	08/15/33-04/15/36		3,503		3,892,820
Government National Mortgage Association			6.000%	11/15/23-07/15/34		1,262		1,422,640
Government National Mortgage Association			6.500%	10/15/23-09/15/36		2,359		2,667,300
Government National Mortgage Association			8.000%	01/15/24-07/15/24		43		48,919
TOTAL MORTGAGE-BACKED SECURITIES (cost $242,880,946)								245,979,111
MUNICIPAL BONDS — 0.5%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,305		1,534,706
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		970		1,146,724
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		945		1,098,581
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,000		1,335,900
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,100		1,276,330
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		415		410,925
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		275		284,993
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		425		504,267
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	A1		5.511%	12/01/45		505		546,183

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

MUNICIPAL BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50	$	625	$	745,213
State of California, GO, BABs(a)	A1		7.300%	10/01/39		1,250		1,623,525
State of California, GO, BABs	A1		7.500%	04/01/34		350		456,225
State of California, GO, BABs	A1		7.550%	04/01/39		245		327,901
State of California, GO, BABs	A1		7.625%	03/01/40		205		275,169
State of Illinois, GO, Taxable Series	A3		4.421%	01/01/15		630		657,537
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		305		338,980
TOTAL MUNICIPAL BONDS (cost $10,719,136)								12,563,159
NON-CORPORATE FOREIGN AGENCIES — 1.0%
CNOOC Finance 2013 Ltd. (Virgin Islands (BR)), Gtd. Notes	Aa3		3.000%	05/09/23		370		334,242
Commonwealth Bank of Australia (Australia), Gov’t Gtd. Notes, 144A(a)	Aaa		2.700%	11/25/14		7,220		7,444,975
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		4.000%	01/29/21		460		456,186
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		5.125%	06/29/20		365		386,437
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A	Aaa		1.125%	05/23/18		2,634		2,541,810
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		800		834,722
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes(a)	Aaa		2.375%	08/25/21		730		718,612
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		416,500
Petrobras Global Finance BV (Netherlands), Gtd. Notes	A3		2.000%	05/20/16		1,400		1,370,930
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		1,260		1,265,914
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A(a)	Baa1		3.500%	01/30/23		795		733,388
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		5.500%	01/21/21		2,240		2,385,600
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,100		2,228,520
Russian Foreign Bond – Eurobond (Russia), Sr. Unsec’d. Notes, 144A	Baa1		3.250%	04/04/17		2,200		2,262,986
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $23,363,654)								23,380,822
NON-CORPORATE SOVEREIGNS — 0.1%
Italy Government International Bond (Italy), Sr. Unsec’d. Notes	BBB+(c)		3.125%	01/26/15		300		307,560
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN	Baa1		3.625%	03/15/22		600		588,000
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a)	Baa1		4.750%	03/08/44		846		752,940
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23		1,155		1,042,388
TOTAL NON-CORPORATE SOVEREIGNS (cost $2,913,236)								2,690,888
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.5%
Federal Home Loan Banks(a)			0.250%	02/20/15		2,320		2,316,722
Federal Home Loan Banks			5.500%	07/15/36		950		1,168,015
Federal Home Loan Mortgage Corp.(a)			0.750%	01/12/18		455		440,535
Federal Home Loan Mortgage Corp.(a)			0.875%	03/07/18		765		740,274
Federal Home Loan Mortgage Corp.(a)			1.375%	05/01/20		2,105		1,994,605
Federal Home Loan Mortgage Corp.(a)			2.375%	01/13/22		6,185		6,010,441
Tennessee Valley Authority			5.880%	04/01/36		85		105,395
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $12,996,707)								12,775,987

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.3%	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
U.S. Treasury Bonds		2.750%		11/15/42	$	1,025	$	883,743
U.S. Treasury Bonds		2.875%		05/15/43		2,785		2,464,725
U.S. Treasury Bonds		3.125%		02/15/43		9,370		8,746,314
U.S. Treasury Bonds		11.250%		02/15/15		9,860		11,605,526
U.S. Treasury Inflation Indexed Notes		0.125%		04/15/18		8,908		9,138,154
U.S. Treasury Inflation Indexed Notes		0.125%		01/15/23		1,481		1,436,029
U.S. Treasury Inflation Indexed Notes		1.375%		01/15/20		9,275		10,105,942
U.S. Treasury Notes		0.250%		12/15/14		140		140,033
U.S. Treasury Notes(a)		0.250%		05/31/15		3,630		3,623,618
U.S. Treasury Notes		0.500%		06/15/16		890		886,245
U.S. Treasury Notes		0.500%		07/31/17		745		727,132
U.S. Treasury Notes		0.750%		12/31/17		7,485		7,323,017
U.S. Treasury Notes		0.875%		01/31/18		7,690		7,553,026
U.S. Treasury Notes		1.000%		08/31/16		3,780		3,809,234
U.S. Treasury Notes		1.000%		03/31/17		365		365,342
U.S. Treasury Notes		1.375%		06/30/18		19,915		19,904,106
U.S. Treasury Notes(a)		1.750%		05/15/23		2,800		2,622,374
U.S. Treasury Notes		2.375%		02/28/15		1,140		1,179,410
U.S. Treasury Notes		2.375%		07/31/17		4,975		5,229,969
U.S. Treasury Notes(a)		3.125%		04/30/17		5,890		6,359,822
U.S. Treasury Notes(a)		3.125%		05/15/21		1,620		1,739,601
U.S. Treasury Notes(a)		4.250%		11/15/17		6,475		7,324,844
U.S. Treasury Notes(i)		4.500%		11/15/15		12,950		14,177,220
U.S. Treasury Strips Coupon(j)		3.690%		02/15/26		4,035		2,740,181
U.S. Treasury Strips Coupon(j)		4.050%		08/15/27		7,495		4,742,626
U.S. Treasury Strips Coupon(j)		4.160%		02/15/28		14,530		8,984,800
U.S. Treasury Strips Coupon(j)		5.090%		08/15/33		5,985		2,933,338
U.S. Treasury Strips Principal(k)		0.500%		11/15/15		1,190		1,175,791
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $149,420,486)								147,922,162
TOTAL LONG-TERM INVESTMENTS (cost $1,582,297,827)								2,241,723,059
SHORT-TERM INVESTMENTS — 16.8%
U.S. GOVERNMENT TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill (cost $2,159,784)(i)(l)		0.045%		09/19/13		2,160		2,159,832
					Shares
AFFILIATED MUTUAL FUNDS — 16.7%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $127,465,281)(m)						13,169,481		122,344,475
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $271,715,896; includes $138,852,174 of cash collateral received for securities on loan)(m)(n)						271,715,896		271,715,896
TOTAL AFFILIATED MUTUAL FUNDS (cost $399,181,177)								394,060,371

SEE NOTES TO FINANCIAL STATEMENTS.

A24

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

	Counterparty	Notional Amount (000)#		Value (Note 2)
OPTION PURCHASED*
Call Option
Interest Rate Swap Options, Receive a fixed rate of 2.000% and pay a floating rate based on 3-month LIBOR, expiring 08/16/13 (cost $143,565)	Deutsche Bank AG	$	16,890	$	2,256
TOTAL SHORT-TERM INVESTMENTS (cost $401,484,526)					396,222,459
TOTAL INVESTMENTS — 112.1% (cost $1,983,782,353)					2,637,945,518
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (12.1)%					(285,062,703	)
NET ASSETS — 100.0%				$	2,352,882,815

The following abbreviations are used in portfolio descriptions:

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

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

† The ratings reflected are as of June 30, 2013. Ratings of certain bonds may have changed subsequent to that date. The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings.

* 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 $134,885,885; cash collateral of $138,852,174 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2013.

(c) Standard & Poor’s Rating.

(d) Represents a step bond. Rate shown reflects the rate in effect at June 30, 2013.

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

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

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

(h) Indicates a restricted security; the aggregate original cost of such securities is $5,632,770. The aggregate value of $6,086,202 is approximately 0.3% of net assets.

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

(j) Rate shown reflects the effective yield at June 30, 2013.

(k) Represents zero coupon bond. Rate shown reflects the effective yield at June 30, 2013.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A25

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

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

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

Open futures contracts outstanding at June 30, 2013:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Long Positions:
1057	5 Year U.S. Treasury Notes		Sept. 2013	$	128,412,320	$	127,946,547	$	(465,773	)
155	10 Year U.S. Treasury Notes		Sept. 2013		19,576,417		19,617,187		40,770
62	S&P 500 E-mini		Sept. 2013		5,062,116		4,957,830		(104,286	)
101	S&P 500 Index		Sept. 2013		41,130,641		40,382,325		(748,316	)
28	U.S. Ultra Bond		Sept. 2013		4,121,945		4,124,750		2,805
									(1,274,800	)
Short Positions:
120	2 Year U.S. Treasury Notes		Sept. 2013		26,396,397		26,400,000		(3,603	)
94	U.S. Long Bond		Sept. 2013		13,180,933		12,769,313		411,620
									408,017
								$	(866,783	)

Interest rate swap agreements outstanding at June 30, 2013:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
	12,680		06/07/16		0.654%	3 month LIBOR(1)	$	(45,446	)	$	—	$	(45,446	)	JPMorgan Chase Bank
	20,110		08/31/16		0.934%	3 month LIBOR(1)		98,968			—		98,968		Credit Suisse International
	6,255		08/31/16		0.975%	3 month LIBOR(2)		(39,658	)		—		(39,658	)	JPMorgan Chase Bank
	6,255		08/31/16		0.978%	3 month LIBOR(2)		(40,419	)		—		(40,419	)	JPMorgan Chase Bank
	1,900		09/14/16		1.206%	3 month LIBOR(2)		(26,031	)		—		(26,031	)	Deutsche Bank AG
	18,335		11/30/16		0.945%	3 month LIBOR(2)		751			—		751		Citibank, NA
	11,150		02/28/17		0.680%	3 month LIBOR(1)		(129,652	)		—		(129,652	)	Citibank, NA
	6,325		08/31/17		0.751%	3 month LIBOR(2)		127,861			—		127,861		Bank of Nova Scotia
	10,875		11/30/17		1.107%	3 month LIBOR(2)		132,687			—		132,687		Barclays Bank PLC
	8,930		11/30/17		1.155%	3 month LIBOR(2)		91,401			—		91,401		Morgan Stanley Capital Services
	2,940		03/15/18		0.885%	3 month LIBOR(2)		68,106			—		68,106		Bank of Nova Scotia
	2,940		03/18/18		1.049%	3 month LIBOR(1)		(45,463	)		—		(45,463	)	Bank of Nova Scotia
	2,634		05/17/18		0.989%	3 month LIBOR(2)		62,373			—		62,373		Credit Suisse International
	4,350		11/15/19		1.443%	3 month LIBOR(1)		(132,205	)		—		(132,205	)	Morgan Stanley Capital Services
	6,910		02/15/20		1.355%	3 month LIBOR(1)		(295,680	)		—		(295,680	)	Morgan Stanley Capital Services
	4,350		02/15/20		1.505%	3 month LIBOR(2)		144,841			—		144,841		Morgan Stanley Capital Services
							$	(27,566	)	$	—	$	(27,566	)

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2013			Unrealized Depreciation
	Exchange-traded swap agreements:
	11,035		11/30/17		1.457%	3 month LIBOR(2)	$	—	$	(19,265	)	$	(19,265	)
	11,005		11/30/17		1.417%	3 month LIBOR(2)		—		(1,359	)		(1,359	)
	10,905		11/30/17		1.418%	3 month LIBOR(2)		—		(1,807	)		(1,807	)
							$	—	$	(22,431	)	$	(22,431	)

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A26

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Credit default swap agreements outstanding at June 30, 2013:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Depreciation			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
Bunge Ltd. Finance Corp.		06/20/14		0.650%		1,110	$	(5,280	)	$	—	$	(5,280	)	JPMorgan Chase Bank
Newell Rubbermaid, Inc.		06/20/18		1.000%		1,600		(15,866	)		—		(15,866	)	Morgan Stanley Capital Services, Inc.
Simon Property Group L.P.		06/20/18		0.970%		2,700		(24,868	)		—		(24,868	)	Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		06/20/18		1.150%		2,800		(350	)		—		(350	)	Deutsche Bank AG
							$	(46,364	)	$	—	$	(46,364	)

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swaps on credit indices—Buy Protection(1):
CDX.NA.IG.19.V1		12/20/17		1.000%		19,000	$	(199,876	)	$	(221,358	)	$	21,482		Citibank, NA
CDX.NA.IG.19.V1		12/20/17		1.000%		11,000		(115,718	)		(49,814	)		(65,904	)	Deutsche Bank AG
CDX.NA.IG.19.V1		12/20/17		1.000%		8,000		(84,158	)		(34,065	)		(50,093	)	Citibank, NA
CDX.NA.IG.19.V1		12/20/17		1.000%		3,000		(31,559	)		(13,423	)		(18,136	)	Citibank, NA
							$	(431,311	)	$	(318,660	)	$	(112,651	)

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%		4,320	$	271,417	$	189,300	$	82,117	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		3,120		196,023		133,918		62,105	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		1,200		75,394		50,007		25,387	Credit Suisse International
							$	542,834	$	373,225	$	169,609

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

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

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

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

(4) 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, 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.

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A27

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Common Stocks	$	1,302,177,365		$	58,366,466		$	—
Exchange Traded Fund		1,190,635			—			—
Preferred Stocks		557,000			52,988			—
Rights		2,361			—			—
Asset-Backed Securities
Collateralized Debt Obligations		—			955,898			—
Collateralized Loan Obligations		—			25,965,472			8,367,560
Non-Residential Mortgage-Backed Securities		—			14,816,077			—
Residential Mortgage-Backed Securities		—			9,246,067			—
Bank Loans		—			8,874,524			86,292
Collateralized Mortgage Obligations		—			5,874,749			—
Commercial Mortgage-Backed Securities		—			108,647,480			2,243,665
Corporate Bonds		—			241,120,613			4,121,635
Covered Bonds		—			3,744,083			—
Mortgage-Backed Securities		—			245,979,111			—
Municipal Bonds		—			12,563,159			—
Non-Corporate Foreign Agencies		—			23,380,822			—
Non-Corporate Sovereigns		—			2,690,888			—
U.S. Government Agency Obligations		—			12,775,987			—
U.S. Government Treasury Obligations		—			150,081,994			—
Affiliated Mutual Funds		394,060,371			—			—
Options Purchased		—			2,256			—
Other Financial Instruments*
Futures Contracts		(866,783	)		—			—
Interest Rate Swap Agreements		(22,431	)		(27,566	)		—
Credit Default Swap Agreements		—			10,594			—
Total	$	1,697,098,518		$	925,121,662		$	14,819,152

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Affiliated Mutual Funds (including 5.9% of collateral received for securities on loan)	16.7	%
Mortgage-Backed Securities	10.5
U.S. Government Treasury Obligations	6.4
Oil, Gas & Consumable Fuels	5.0
Commercial Mortgage-Backed Securities	4.7
Pharmaceuticals	3.5
Insurance	3.3
Banking	2.6
Diversified Financial Services	2.2
Computers & Peripherals	2.1
Media	2.1
IT Services	2.0
Commercial Banks	1.9
Software	1.9
Chemicals	1.6
Aerospace & Defense	1.5
Collateralized Loan Obligations	1.5
Diversified Telecommunication Services	1.5
Beverages	1.4
Food & Staples Retailing	1.4
Industrial Conglomerates	1.4
Real Estate Investment Trusts	1.4

Internet Software & Services	1.3	%
Specialty Retail	1.3
Tobacco	1.3
Capital Markets	1.2
Healthcare Equipment & Supplies	1.2
Healthcare Providers & Services	1.2
Household Products	1.2
Semiconductors & Semiconductor Equipment	1.2
Biotechnology	1.1
Communications Equipment	1.1
Electric Utilities	1.1
Energy Equipment & Services	1.0
Food Products	1.0
Hotels, Restaurants & Leisure	1.0
Machinery	1.0
Non-Corporate Foreign Agencies	1.0
Electric	0.7
Multi-Utilities	0.7
Consumer Finance	0.6
Foods	0.6
Healthcare & Pharmaceutical	0.6
Internet & Catalog Retail	0.6
Non-Residential Mortgage-Backed Securities	0.6

SEE NOTES TO FINANCIAL STATEMENTS.

A28

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Automobiles	0.5	%
Multiline Retail	0.5
Municipal Bonds	0.5
Road & Rail	0.5
Telecommunications	0.5
U.S. Government Agency Obligations	0.5
Air Freight & Logistics	0.4
Cable	0.4
Capital Goods	0.4
Electrical Equipment	0.4
Energy – Other	0.4
Metals & Mining	0.4
Residential Mortgage-Backed Securities	0.4
Technology	0.4
Textiles, Apparel & Luxury Goods	0.4
Airlines	0.3
Collateralized Mortgage Obligations	0.3
Commercial Services & Supplies	0.3
Electronic Equipment, Instruments & Components	0.3
Healthcare Insurance	0.3
Life Sciences Tools & Services	0.3
Media & Entertainment	0.3
Non-Captive Finance	0.3
Auto Components	0.2
Covered Bonds	0.2
Household Durables	0.2
Lodging	0.2
Metals	0.2
Pipelines & Other	0.2
Retailers	0.2

Wireless Telecommunication Services	0.2	%
Automotive	0.1
Brokerage	0.1
Building Materials & Construction	0.1
Construction & Engineering	0.1
Consumer	0.1
Containers & Packaging	0.1
Distributors	0.1
Energy – Integrated	0.1
Exchange Traded Fund	0.1
Gas Utilities	0.1
Healthcare Technology	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Non-Corporate Sovereigns	0.1
Office Electronics	0.1
Packaging	0.1
Paper	0.1
Paper & Forest Products	0.1
Personal Products	0.1
Professional Services	0.1
Railroads	0.1
Real Estate Management & Development	0.1
Trading Companies & Distributors	0.1
	112.1
Liabilities in excess of other assets	(12.1	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2013 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	$	373,225		Premiums received for swap agreements	$	318,660
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		191,091		Unrealized depreciation on over-the-counter swap agreements		180,497
Equity contracts	—		—		Due to broker — variation margin		852,602	*
Equity contracts	Unaffiliated investments		2,361		—		—
Interest rate contracts	Unaffiliated investments		2,256		—		—
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		726,988		Unrealized depreciation on over-the-counter swap agreements		754,554
Interest rate contracts	Due to broker — variation margin		455,195	*	Due to broker — variation margin		491,807	*
Total		$	1,751,116			$	2,598,120

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

SEE NOTES TO FINANCIAL STATEMENTS.

A29

	CONSERVATIVE BALANCED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Options Purchased		Options Written			Futures			Swaps		Total
Credit contracts	$	—	$	—	$	—		$	—		$	138,859	$	138,859
Equity contracts		3,999		—		—			5,782,293			—		5,786,292
Interest rate contracts		—		73,980		(7,992	)		(1,925,550	)		529,119		(1,330,443	)
Total	$	3,999	$	73,980	$	(7,992	)	$	3,856,743		$	667,978	$	4,594,708

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Options Purchased			Futures			Swaps		Total
Credit contracts	$	—	$	—		$	—		$	13,697	$	13,697
Equity contracts		816		—			(502,555	)		—		(501,739	)
Interest rate contracts		—		(141,309	)		(329,229	)		505,024		34,486
Total	$	816	$	(141,309	)	$	(831,784	)	$	518,721	$	(453,556	)

For the six months ended June 30, 2013, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased (Cost)	Options Written (Premiums Received)	Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$146,537	$17,083	$158,716,132	$29,778,167

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))
$123,721	$35,540	$5,760

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

Offsetting of financial instrument and derivative assets and liabilities:

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	134,885,885		$	—	$	—	$	134,885,885
Over-the-counter Derivatives		920,335			—		—		920,335
									135,806,220
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Exchange-traded and cleared Derivatives		(125,008	)		—		—		(125,008	)
Over-the-counter Derivatives		(935,051	)		—		—		(935,051	)
									(1,060,059	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(134,885,885	)
Exchange-traded and cleared Derivatives									125,008
Over-the-counter Derivatives									14,716
Net Amount								$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A30

CONSERVATIVE BALANCED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $134,885,885:
Unaffiliated investments (cost $1,584,601,176)	$	2,243,885,147
Affiliated investments (cost $399,181,177)		394,060,371
Cash		53,021
Foreign currency, at value (cost $307,809)		304,651
Receivable for investments sold		82,461,090
Dividends and interest receivable		7,604,582
Unrealized appreciation on over-the-counter swap agreements		918,079
Premiums paid for swap agreements		373,225
Foreign tax reclaim receivable		111,928
Prepaid expenses		2,286
Receivable for Series shares sold		215
Total Assets		2,729,774,595
LIABILITIES
Payable for investments purchased		234,674,181
Collateral for securities on loan		138,852,174
Management fee payable		1,075,930
Unrealized depreciation on over-the-counter swap agreements		935,051
Payable for Series shares repurchased		539,741
Accrued expenses and other liabilities		370,109
Premiums received for swap agreements		318,660
Due to broker-variation margin		125,008
Affiliated transfer agent fee payable		926
Total Liabilities		376,891,780
NET ASSETS	$	2,352,882,815
Net assets were comprised of:
Paid-in capital	$	1,646,239,908
Retained earnings		706,642,907
Net assets, June 30, 2013	$	2,352,882,815
Net asset value and redemption price per share, $2,352,882,815 / 124,709,675 outstanding shares of beneficial interest	$	18.87

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $131,066)	$	14,901,511
Interest income		14,524,548
Affiliated dividend income		969,753
Affiliated income from securities loaned, net		108,966
		30,504,778
EXPENSES
Management fee		6,466,882
Custodian’s fees and expenses		175,000
Shareholders’ reports		134,000
Audit fee		18,000
Trustees’ fees		17,000
Insurance expenses		13,000
Legal fees and expenses		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		22,253
Total expenses		6,861,135
NET INVESTMENT INCOME		23,643,643
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		5,870,380
Futures transactions		3,856,743
Swap agreement transactions		667,978
Foreign currency transactions		(12,378	)
Options written transactions		(7,992	)
		10,374,731
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $782,947)		106,474,539
Securities sold short		7,656
Futures		(831,784	)
Swap agreements		518,721
Foreign currencies		(11,514	)
		106,157,618
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		116,532,349
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	140,175,992

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	23,643,643		$	48,100,637
Net realized gain on investment and foreign currency transactions		10,374,731			40,776,625
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		106,157,618			152,480,681
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		140,175,992			241,357,943
DISTRIBUTIONS		—			(47,221,872	)
SERIES SHARE TRANSACTIONS:
Series shares sold [349,715 and 580,731 shares, respectively]		6,540,705			10,042,436
Series shares issued in reinvestment of distributions [0 and 2,817,534 shares, respectively]		—			47,221,872
Series shares repurchased [4,323,103 and 8,997,150 shares, respectively]		(80,862,346	)		(155,986,711	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(74,321,641	)		(98,722,403	)
TOTAL INCREASE IN NET ASSETS		65,854,351			95,413,668
NET ASSETS:
Beginning of period		2,287,028,464			2,191,614,796
End of period	$	2,352,882,815		$	2,287,028,464

SEE NOTES TO FINANCIAL STATEMENTS.

A31

	DIVERSIFIED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 90.1% ASSET-BACKED SECURITIES — 11.4%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Debt Obligations — 0.7%
Apidos CDO (Cayman Islands), Ser. 2011-8A, Class A1, 144A(a)	Aaa		1.778%	10/17/21	$	4,000	$	3,999,512
Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, Class A1A, 144A(a)(c)	Aaa		0.486%	04/20/19		737		733,111
Highlander Euro CDO Cayman Ltd. (Netherlands), Ser. 2008-4A, Class C, 144A(a)	Baa1		4.820%	08/01/16	EUR	2,000		2,478,867
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(a)	Aaa		0.516%	10/19/20		656		650,829
								7,862,319
Collateralized Loan Obligations — 3.8%
ACAS CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A, 144A(a)	Aaa		1.668%	04/20/25		3,300		3,239,867
ACAS CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class B2, 144A	AA(b)		3.360%	04/20/25		500		472,132
Benefit Street Partners CLO Ltd. (Cayman Islands), Ser. 2013-IIA, Class A1, 144A(a)	Aaa		1.475%	07/15/24		900		896,850
Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a)	Aaa		0.542%	06/20/17		1,696		1,687,281
Brookside Mill CLO Ltd. 2013-1 (Cayman Islands), Ser. 2013-1A, Class A1, 144A(a)	Aaa		1.375%	04/17/25		2,600		2,550,941
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(a)	Aaa		0.526%	07/22/20		1,067		1,053,753
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(a)	Aaa		0.743%	03/15/20		1,500		1,457,524
Hewett’s Island CLO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a)	Aaa		0.535%	05/09/18		472		470,967
ING Investment Management Co. CLO (Cayman Islands), Ser. 2013-1A, Class A1, 144A(a)	Aaa		1.450%	04/15/24		6,200		6,199,901
LCM CLO LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(a)	Aaa		0.535%	06/01/17		406		402,759
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(a)	Aaa		0.533%	09/15/17		1,902		1,868,707
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(a)	Aaa		0.523%	03/15/18		784		777,398
North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a)	Aaa		0.706%	09/14/19	EUR	3,583		4,545,739
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(a)	Aaa		1.676%	11/22/23		2,800		2,796,766
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(a)	AA(b)		2.396%	11/22/23		2,700		2,639,228
OHA Intrepid Leveraged Loan Fund CLO Ltd. (Cayman Islands), Ser. 2013-1AR, Class AR, 144A(a)	Aaa		1.196%	04/20/21		5,000		4,992,500
Shackleton CLO Ltd. (Cayman Islands), Ser. 2013-3A, Class B2, 144A	AA(b)		3.440%	04/15/25		700		662,663
Sheridan Square CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(a)	Aaa		1.327%	04/15/25		7,300		7,318,272
Stanfield Daytona CLO Ltd. (Cayman Islands), Ser. 2007-1A, Class A1L, 144A(a)	Aaa		0.526%	04/27/21		493		484,816
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(a)	Aaa		0.524%	11/01/18		2,011		1,991,777
Tyron Park CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(a)	Aaa		1.393%	07/15/25		300		299,370
								46,809,211
Non-Residential Mortgage-Backed Securities — 1.6%
Bank One Issuance Trust, Ser. 2004-C2, Class C2(a)	Baa2		0.993%	02/15/17		2,100		2,099,958

SEE NOTES TO FINANCIAL STATEMENTS.

A32

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Residential Mortgage-Backed Securities (continued)
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(a)	Baa2		0.663%	03/24/17	$	2,320	$	2,294,645
GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a)	B1		1.193%	05/15/34		200		139,311
Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A	A(b)		3.540%	10/20/32		3,380		3,473,768
MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(a)	A3		1.093%	11/15/16		9,800		9,782,909
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(b)		2.000%	09/20/29		2,065		2,050,506
								19,841,097
Residential Mortgage-Backed Securities — 5.3%
ACE Securities Corp., Ser. 2004-FM1, Class M1(a)	B2		1.093%	09/25/33		1,588		1,437,844
Ameriquest Mortgage Securities, Inc. Ser. 2001-2, Class M3(a)	Caa2		3.118%	10/25/31		506		385,720
Ser. 2004-R8, Class M1(a)	Baa1		1.153%	09/25/34		950		907,930
Argent Securities, Inc. Ser. 2003-W2, Class M4(a)	B2		5.818%	09/25/33		2,400		1,925,645
Ser. 2004-W6, Class M1(a)	Baa1		0.743%	05/25/34		2,518		2,441,609
Ser. 2004-W10, Class A2(a)	Aaa		0.973%	10/25/34		1,802		1,697,612
Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a)	Ba3		1.243%	08/25/33		1,736		1,598,072
Asset Backed Securities Corp. Home Equity Ser. 2003-HE3, Class M1(a)	Ba2		1.438%	06/15/33		1,412		1,315,655
Ser. 2004-HE1, Class M1(a)	Ba1		1.243%	01/15/34		253		240,901
Ser. 2004-HE5, Class M1(a)	Baa3		1.093%	08/25/34		2,264		2,155,088
Bear Stearns Asset Backed Securities Trust Ser. 2004-HE2, Class M1(a)	Ba1		1.093%	03/25/34		4,784		4,337,676
Ser. 2004-HE3, Class M2(a)	B1		1.918%	04/25/34		1,935		1,760,888
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a)	C		3.568%	03/25/33		224		24,006
Centex Home Equity, Ser. 2004-B, Class AF6	Aa3		4.686%	03/25/34		1,300		1,301,284
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, Class M2(a)	C		2.443%	08/25/32		90		73,870
Equity One ABS, Inc., Ser. 2004-3, Class M1	B1		5.238%	07/25/34		686		588,811
FBR Securitization Trust, Ser. 2005-2, Class M1(a)	B1		0.913%	09/25/35		3,600		3,073,252
Fremont Home Loan Trust, Ser. 2003-B, Class M1(a)	Ba1		1.243%	12/25/33		255		243,401
GSAMP Trust, Ser. 2004-FM1, Class M1(a)	Ba1		1.168%	11/25/33		2,598		2,507,962
HSBC Home Equity Loan Trust Ser. 2006-1, Class M1(a)	Aa1		0.472%	01/20/36		669		637,240
Ser. 2006-2, Class A1(a)	Aaa		0.342%	03/20/36		178		176,390
Ser. 2006-2, Class A2(a)	Aaa		0.372%	03/20/36		216		214,187
Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a)	A3		0.943%	02/25/34		4,250		3,880,310
Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a)	B1		0.973%	02/25/34		2,582		2,486,638
Merrill Lynch Mortgage Investors, Inc. Ser. 2004-HE2, Class M1(a)	BB+(b)		0.993%	08/25/35		861		749,594
Ser. 2004-OPT1, Class A1A(a)	A+(b)		0.453%	06/25/35		2,383		2,201,976
Morgan Stanley ABS Capital I Ser. 2002-NC6, Class M2(a)	C		3.343%	11/25/32		140		51,180
Ser. 2003-HE1, Class M1(a)	Ba2		1.393%	05/25/33		1,558		1,488,566
Ser. 2003-HE3, Class M1(a)	Ba3		1.213%	10/25/33		1,154		1,050,923
Ser. 2004-NC1, Class M1(a)	Baa2		1.243%	12/27/33		955		913,298
Ser. 2004-OP1, Class M1(a)	A3		1.063%	11/25/34		3,688		3,159,500
Ser. 2004-WMC1, Class M1(a)	Ba1		1.123%	06/25/34		2,504		2,375,114

SEE NOTES TO FINANCIAL STATEMENTS.

A33

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Ser. 2004-WMC2, Class M1(a)	Ba3		1.108%	07/25/34	$	2,065	$	1,934,287
New Century Home Equity Loan Trust Ser. 2003-4, Class M1(a)	Baa3		1.318%	10/25/33		3,462		3,335,288
Ser. 2004-4, Class M1(a)	Ba1		0.958%	02/25/35		3,048		2,648,180
Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a)	Aa3		1.393%	12/25/34		601		581,452
Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5	Baa3		5.221%	02/25/34		1,000		1,059,874
Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a)	B2		1.318%	12/25/32		270		244,934
Securitized Asset-Backed Receivables LLC Trust, Ser. 2004-NC1, Class M1(a)	B1		0.973%	02/25/34		3,841		3,517,884
Specialty Underwriting & Residential Finance, Ser. 2004-BC1, Class M1(a)	A3		0.958%	02/25/35		76		71,025
Structured Asset Investment Loan Trust Ser. 2004-2, Class A4(a)	BB+(b)		0.898%	03/25/34		2,297		2,106,915
Ser. 2004-7, Class A8(a)	AAA(b)		1.393%	08/25/34		1,400		1,237,250
Structured Asset Securities Corp., Ser. 2002-HF2, Class M3(a)	CC(b)		3.193%	07/25/32		1,091		995,855
								65,135,086
TOTAL ASSET-BACKED SECURITIES (cost $130,986,097)								139,647,713
BANK LOANS(a) — 3.0%
Automotive — 0.4%
Chrysler Group LLC	Ba1		4.250%	05/24/17		1,366		1,380,954
RAC PLC (United Kindom) (original cost $2,404,536; purchased 10/24/12)(c)(d)	B2		5.629%	10/29/19	GBP	1,500		2,291,419
Schaeffller AG (Germany)	Ba3		4.250%	01/27/17		1,500		1,499,532
								5,171,905
Cable — 0.2%
Cequel Communications LLC	Ba2		3.500%	02/14/19		297		298,106
Kabel Deutschland Vertrieb und Service GmbH & co. (Germany)	Ba2		3.250%	02/01/19		254		252,737
Virgin Media Investment Holdings Ltd. (United Kingdom)	Ba3		3.500%	06/08/20		1,500		1,483,359
								2,034,202
Chemicals — 0.1%
Rockwood Holdings, Inc.	Baa3		3.750%	02/09/18		958		960,491
Electric — 0.1%
Calpine Corp.	B1		4.000%	04/01/18		413		411,467
Calpine Corp.	B1		4.000%	04/01/18		412		411,236
								822,703
Foods — 0.1%
Del Monte Foods Co.	B1		4.000%	03/08/18		1,743		1,734,651
Gaming — 0.2%
CCM Merger, Inc.	B2		5.000%	03/01/17		2,581		2,571,601
Healthcare & Pharmaceutical — 0.9%
Alere, Inc.	Ba3		3.274%	06/30/16		487		487,404
Alere, Inc.	Ba3		3.526%	06/30/17		476		477,566
Davita, Inc.	Ba2		4.000%	11/01/19		1,041		1,041,506
HCA, Inc.	Ba3		3.026%	03/31/17		1,108		1,108,273
HCA, Inc.	Ba3		3.026%	05/01/18		462		461,883
Hologic, Inc.	Ba2		2.276%	08/01/17		2,235		2,229,574
Quintiles Transnational Corp.	B1		4.500%	06/08/18		1,473		1,472,616

SEE NOTES TO FINANCIAL STATEMENTS.

A34

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

BANK LOANS(a) (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
RPI Finance Trust	Baa2		3.500%	05/09/18	$	3,880	$	3,877,671
								11,156,493
Media & Entertainment — 0.3%
ProSiebenSat. 1 Media AG (Germany)	Ba2		2.922%	07/03/18	EUR	2,805		3,618,597
Non-Captive Finance — 0.1%
RBS WorldPay, Inc.	Ba3		4.500%	11/30/19		900		1,370,003
Retailers — 0.2%
Alliance Boots Ltd. (United Kingdom)	B1		3.986%	07/09/17	GBP	2,000		2,984,882
Technology — 0.4%
First Data Corp.	B1		4.193%	03/24/17		183		178,916
First Data Corp.	B1		4.193%	03/26/18		2,411		2,347,102
Flextronics International Ltd. (Singapore)	Ba1		2.445%	10/01/14		157		156,855
Flextronics International Ltd. (Singapore)	Ba1		2.445%	10/01/14		17		16,943
Freescale Semiconductor, Inc.	B1		5.000%	02/28/20		1,746		1,728,169
Sensata Technologies, Inc. (Netherlands)	Baa3		3.750%	05/12/18		442		447,309
								4,875,294
TOTAL BANK LOANS (cost $37,206,691)								37,300,822
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3%
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		684		698,791
Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		147		151,027
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a)	Baa3		2.578%	02/25/34		1,728		1,706,697
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(b)		5.000%	03/25/20		580		592,045
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $3,161,063)								3,148,560
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.5%
Banc of America Commercial Mortgage, Inc. Ser. 2006-3, Class A4	BBB+(b)		5.889%	07/10/44		1,600		1,774,568
Ser. 2006-5, Class A2	Aaa		5.317%	09/10/47		2,443		2,470,269
Ser. 2006-6, Class A2	Aaa		5.309%	10/10/45		3,060		3,080,381
Ser. 2006-6, Class A4	Aaa		5.356%	10/10/45		800		871,811
Ser. 2007-1, Class A3	Aaa		5.449%	01/15/49		1,688		1,709,248
Ser. 2007-4, Class A3(a)	AAA(b)		6.002%	02/10/51		3,960		4,109,343
Ser. 2007-5, Class A3	AAA(b)		5.620%	02/10/51		2,445		2,485,531
Bear Stearns Commercial Mortgage Securities, Ser. 2005-PWR9, Class A2	Aaa		4.735%	09/11/42		142		143,830
Citigroup Commercial Mortgage Trust Ser. 2007-C6, Class A4(a)(e)	Aaa		5.885%	12/10/49		1,590		1,800,084
Ser. 2013-GC11, Class A3	Aaa		2.815%	04/10/46		2,800		2,583,881
Citigroup/Deutsche Bank Commercial Mortgage Trust Ser. 2006-CD2, Class AAB(a)	Aaa		5.514%	01/15/46		1,538		1,565,160
Ser. 2007-CD4, Class A3	Aaa		5.293%	12/11/49		2,515		2,576,431
Commercial Mortgage Pass-Through Certificates Ser. 2006-C7, Class A4(a)	AAA(b)		5.940%	06/10/46		4,000		4,396,680
Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		1,513		1,516,582
Ser. 2012-CR5, Class A3	Aaa		2.540%	12/10/45		2,000		1,831,926
Ser. 2013-CR7, Class A3	Aaa		2.929%	03/10/46		3,900		3,641,028
Credit Suisse Mortgage Capital Certificates Ser. 2006-C1, Class A4(a)	AAA(b)		5.569%	02/15/39		4,400		4,806,595
Ser. 2006-C1, Class AM(a)	AAA(b)		5.569%	02/15/39		970		1,041,030
Ser. 2007-C1, Class A2	Aaa		5.268%	02/15/40		158		158,228

SEE NOTES TO FINANCIAL STATEMENTS.

A35

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Ser. 2007-C4, Class A2(a)	Aaa		5.954%	09/15/39	$	271	$	271,991
Ser. 2007-C4, Class A3(a)	Aaa		5.954%	09/15/39		10,550		10,883,264
FHLMC Multifamily Structured Pass-Through Certificates, I/O Ser. K020, Class X1(a)	AA+(b)		1.612%	05/25/22		29,313		2,924,808
Ser. K021, Class X1(a)	AA+(b)		1.646%	06/25/22		16,650		1,730,859
Ser. K501, Class X1A(a)	AA+(b)		1.876%	08/25/16		12,289		495,901
Ser. K710, Class X1(a)	AA+(b)		1.914%	05/25/19		23,414		2,039,784
Ser. K711, Class X1(a)	AA+(b)		1.833%	07/25/19		27,947		2,375,610
GE Capital Commercial Mortgage Corp., Ser. 2007-C1, Class A2	Aaa		5.417%	12/10/49		5,043		5,028,019
GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, Class A4	AAA(b)		5.238%	11/10/45		1,280		1,368,319
Greenwich Capital Commercial Funding Corp. Ser. 2005-GG3, Class AJ(a)	Baa1		4.859%	08/10/42		1,700		1,763,380
Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		3,055		3,146,011
GS Mortgage Securities Corp. II Ser. 2006-GG6, Class A4	AAA(b)		5.553%	04/10/38		6,700		7,297,781
Ser. 2006-GG8, Class A2	Aaa		5.479%	11/10/39		144		144,816
Ser. 2007-GG10, Class A2	Aaa		5.778%	08/10/45		2,960		2,994,464
GS Mortgage Securities Trust, Ser. 2013-GC12, Class A3	AAA(b)		2.860%	06/10/46		4,600		4,217,331
JPMorgan Chase Commercial Mortgage Securities Corp. Ser. 2005-LDP4, Class AM(a)	Aa2		4.999%	10/15/42		1,820		1,927,047
Ser. 2007-LD11, Class A2(a)	Aaa		5.988%	06/15/49		5,396		5,531,386
Ser. 2007-LD12, Class A3(a)	Aaa		6.125%	02/15/51		9,200		9,561,238
Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		2,000		1,823,440
Ser. 2013-C10, Class A4	AAA(b)		2.875%	12/15/47		4,600		4,232,193
Ser. 2013-LC11, Class A4	Aaa		2.694%	04/15/46		4,600		4,258,321
LB-UBS Commercial Mortgage Trust Ser. 2005-C7, Class AM(a)	AA(b)		5.263%	11/15/40		2,100		2,241,078
Ser. 2006-C7, Class A2	AAA(b)		5.300%	11/15/38		880		920,558
Ser. 2007-C6, Class A2	Aaa		5.845%	07/15/40		1,662		1,657,416
Merrill Lynch Mortgage Trust Ser. 2006-C1, Class A4(a)	AAA(b)		5.872%	05/12/39		7,920		8,743,529
Ser. 2007-C1, Class A3(a)	AAA(b)		6.038%	06/12/50		690		719,065
Merrill Lynch/Countrywide Commercial Mortgage Trust Ser. 2006-2, Class A4(a)	Aaa		6.086%	06/12/46		2,625		2,915,669
Ser. 2006-4, Class A2	Aaa		5.112%	12/12/49		498		498,380
Ser. 2006-4, Class A3	Aaa		5.172%	12/12/49		1,400		1,529,704
Ser. 2007-9, Class A2	AAA(b)		5.590%	09/12/49		1,031		1,032,911
Morgan Stanley Bank of America Merrill Lynch Trust Ser. 2013-C8, Class A3	Aaa		2.863%	12/15/48		1,700		1,603,450
Ser. 2013-C9, Class A3	Aaa		2.834%	05/15/46		2,300		2,148,002
Ser. 2013-C10, Class A3	Aaa		3.734%	07/15/46		4,800		4,845,024
Morgan Stanley Capital I Trust Ser. 2006-T23, Class A3(a)	AAA(b)		5.984%	08/12/41		1,318		1,320,361
Ser. 2007-IQ14, Class AAB(a)	Aaa		5.654%	04/15/49		4,783		4,896,267
UBS-Barclays Commercial Mortgage Trust Ser. 2012-C4, Class A4	Aaa		2.792%	12/10/45		2,300		2,151,903
Ser. 2013-C5, Class A3	Aaa		2.920%	03/10/46		4,600		4,325,596
Ser. 2013-C6, Class A3	Aaa		2.971%	04/10/46		3,800		3,562,287
Wachovia Bank Commercial Mortgage Trust Ser. 2005-C20, Class AMFX(a)	Aa1		5.179%	07/15/42		3,145		3,349,510
Ser. 2006-C28, Class A2	Aaa		5.500%	10/15/48		241		242,270
Ser. 2007-C31, Class A4(e)	Aa2		5.509%	04/15/47		5,150		5,661,416
Ser. 2007-C33, Class A3(a)	Aaa		6.122%	02/15/51		3,859		3,950,539
Ser. 2007-C34, Class A2	Aaa		5.569%	05/15/46		1,980		1,973,061
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $175,117,693)								176,866,565

SEE NOTES TO FINANCIAL STATEMENTS.

A36

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS — 46.7%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Aerospace & Defense — 0.2%
Textron, Inc., Sr. Unsec’d. Notes	Baa3		7.250%	10/01/19	$	2,350	$	2,790,606
Airlines — 0.5%
Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs. Ser. 2001-1, Class A-1(c)	Baa2		6.703%	06/15/21		2		2,545
Ser. 2001-1, Class B	Ba1		7.373%	12/15/15		394		413,596
Ser. 2007-1, Class A	Baa2		5.983%	04/19/22		1,623		1,801,425
Ser. 2010-1, Class A(e)	Baa2		4.750%	01/12/21		517		553,176
Delta Air Lines Pass-Through Trust, Pass-thru Certs. Ser. 2007-1, Class A	Baa1		6.821%	08/10/22		1,276		1,442,941
Ser. 2010-2, Class A(e)	Baa1		4.950%	05/23/19		661		702,482
Ser. 2011-1, Class A	Baa1		5.300%	04/15/19		683		734,433
United Airline Pass-Through Trust, Pass-thru Certs., Ser. 071A, Class A	Baa3		6.636%	07/02/22		959		1,025,934
								6,676,532
Automotive — 0.9%
BorgWarner, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	09/15/20		825		866,512
Delphi Corp., Gtd. Notes(e)	Ba1		5.875%	05/15/19		1,400		1,487,500
Ford Motor Co., Sr. Unsec’d. Notes	Baa3		4.750%	01/15/43		750		659,693
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		2.375%	01/16/18		2,225		2,142,335
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		3.984%	06/15/16		375		392,861
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16		4,630		4,836,720
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		660		704,695
								11,090,316
Banking — 10.4%
American Express Co., Sr. Unsec’d. Notes	A3		2.650%	12/02/22		3,202		2,956,461
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		750		697,289
Bangkok Bank PCL (Thailand), Sr. Unsec’d. Notes, 144A	A3		3.875%	09/27/22		1,730		1,658,016
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)	B1		8.000%	12/29/49		3,500		3,898,125
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		5.700%	01/24/22		1,775		1,970,330
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		4,590		5,145,174
Bank of America Corp., Sr. Unsec’d. Notes, MTN(e)	Baa2		3.300%	01/11/23		4,275		4,040,504
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		1,340		1,404,699
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		790		856,821
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(e)	A2		6.750%	05/22/19		1,610		1,917,908
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes(e)	A2		7.250%	02/01/18		1,575		1,875,417
Capital One Financial Corp., Sr. Unsec’d. Notes	Baa1		5.250%	02/21/17		2,460		2,715,781
Capital One Financial Corp., Sub. Notes	Baa2		6.150%	09/01/16		700		781,138
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	11/21/17		2,050		2,329,925
Citigroup, Inc., Sr. Unsec’d. Notes(e)	Baa2		6.125%	05/15/18		2,500		2,861,845
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39		4,120		5,441,445
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,375		1,732,537
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		2,005		2,339,891
Fifth Third Bank, Sr. Unsec’d. Notes	A3		1.450%	02/28/18		3,275		3,163,706
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.750%	01/24/22		4,200		4,632,654
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		2,420		2,719,168
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.150%	04/01/18		1,355		1,526,868

SEE NOTES TO FINANCIAL STATEMENTS.

A37

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)(f)	A3		6.250%	09/01/17	$	3,195	$	3,620,587
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e)	A3		6.250%	02/01/41		2,195		2,482,510
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		440		450,720
HSBC Holdings PLC (United Kingdom), Sub. Notes	A3		6.500%	09/15/37		1,625		1,806,495
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		260		310,219
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a)	Ba3		7.250%	08/29/49		2,380		2,290,750
ING Bank NV (Netherlands), Unsec’d. Notes, 144A	A2		2.000%	09/25/15		770		776,530
Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes	Baa2		3.125%	01/15/16		1,625		1,597,794
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)(e)	Ba1		7.900%	04/29/49		6,130		6,926,900
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		2,245		2,331,657
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.250%	09/23/22		500		474,701
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.250%	10/15/20		600		623,662
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		4.400%	07/22/20		5,100		5,333,208
KeyCorp, Sr. Unsec’d. Notes, MTN(e)	Baa1		5.100%	03/24/21		1,155		1,285,011
Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a)	B2		7.378%	10/29/49		1,590		1,617,882
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN(e)	A2		5.800%	01/13/20		2,650		2,981,815
Mizuho Corporate Bank Ltd. (Japan), Gtd. Notes, 144A	A1		1.850%	03/21/18		1,125		1,092,021
Morgan Stanley, Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		4,035		4,360,818
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.750%	01/25/21		1,920		2,084,068
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		2,635		2,832,180
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		1,650		1,761,916
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,675		1,572,932
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes	Baa1		2.550%	09/18/15		625		635,475
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,525		1,694,415
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	09/24/15		950		974,065
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	04/19/16		525		553,832
State Street Corp., Jr. Sub. Debs.	Baa1		4.956%	03/15/18		3,025		3,332,776
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes.	Aa3		3.000%	01/18/23		2,250		2,119,428
US Bancorp, Jr. Sub. Notes	A3		3.442%	02/01/16		4,120		4,318,942
Wells Fargo & Co., Sr. Unsec’d. Notes(g)	A2		3.676%	06/15/16		7,240		7,735,346
								126,644,357
Brokerage — 0.2%
Jefferies Group LLC, Sr. Unsec’d. Notes	Baa3		6.500%	01/20/43		650		622,323
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(j)	NR		6.875%	05/02/18		2,740		674,725
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN	Baa3		2.000%	09/13/16		950		939,399
								2,236,447
Building Materials & Construction — 1.1%
Building Materials Corp. of America, Gtd. Notes, 144A	Ba3		7.500%	03/15/20		1,615		1,728,050
Masco Corp., Sr. Unsec’d. Notes	Ba3		7.125%	08/15/13		2,600		2,614,705
Mohawk Industries, Inc., Sr. Unsec’d. Notes	Ba1		3.850%	02/01/23		594		570,055
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		2,500		2,450,000
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		7.125%	06/26/42		1,540		1,493,800
Toll Brothers Finance Corp., Gtd. Notes	Ba1		5.150%	05/15/15		4,695		4,882,800
								13,739,410

SEE NOTES TO FINANCIAL STATEMENTS.

A38

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 2.0%
Columbus International, Inc. (Barbados), Sr. Sec’d. Notes, 144A (original cost $410,238; purchased 09/13/12)(c)(d)	B2		11.500%	11/20/14	$	370	$	398,675
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		6.750%	11/15/21		2,225		2,397,437
CSC Holdings LLC, Sr. Unsec’d. Notes(e)	Ba3		8.625%	02/15/19		1,610		1,859,550
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		2,825		2,967,702
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		275		285,498
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,375		1,226,602
Echostar DBS Corp., Gtd. Notes	Ba3		6.625%	10/01/14		1,400		1,459,500
Echostar DBS Corp., Gtd. Notes(e)	Ba3		7.000%	10/01/13		2,000		2,022,000
Lynx I Corp. (United Kingdom), Sr. Sec’d. Notes, 144A	Ba3		6.000%	04/15/21	GBP	1,050		1,583,496
Nara Cable Funding Ltd., Reg.-S (Ireland), Sr. Sec’d. Notes	B1		8.875%	12/01/18	EUR	800		1,085,570
TCI Communications, Inc., Sr. Unsec’d. Notes	A3		7.875%	02/15/26		750		992,614
Time Warner Cable, Inc., Gtd. Notes	Baa2		6.750%	07/01/18		5,520		6,318,496
Videotron Ltee (Canada), Gtd. Notes	Ba2		9.125%	04/15/18		1,996		2,093,305
								24,690,445
Capital Goods — 1.6%
Ashtead Capital, Inc., Sec’d. Notes, 144A	B2		6.500%	07/15/22		1,375		1,433,437
Case New Holland, Inc., Gtd. Notes	Ba2		7.750%	09/01/13		1,000		1,006,250
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $1,098,609; purchased 05/30/13)(c)(d)	Baa1		6.700%	06/01/34		920		1,037,947
ERAC USA Finance LLC, Gtd. Notes, 144A (original cost $996,365; purchased 05/14/13)(c)(d)	Baa1		7.000%	10/15/37		770		906,676
FedEx Corp., Gtd. Notes(e)	Baa1		4.100%	04/15/43		625		551,767
General Electric Co., Sr. Unsec’d. Notes	Aa3		4.125%	10/09/42		1,275		1,186,381
Hertz Corp. (The), Gtd. Notes	B2		6.750%	04/15/19		1,500		1,586,250
Hutchison Whampoa International (11) Ltd. (Cayman Islands), Gtd. Notes, 144A	A3		4.625%	01/13/22		1,140		1,163,898
Ingersoll-Rand Global Holding Co. Ltd. (Bermuda), Gtd. Notes, 144A	Baa2		5.750%	06/15/43		425		431,899
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $474,815; purchased 07/10/12)(c)(d)	Baa3		2.500%	07/11/14		475		481,769
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $2,022,003; purchased 09/24/12)(c)(d)	Baa3		2.500%	03/15/16		2,025		2,059,790
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $674,345; purchased 05/08/12)(c)(d)	Baa3		3.125%	05/11/15		675		697,478
Pentair Finance SA (Luxembourg), Gtd. Notes	Baa2		1.875%	09/15/17		625		612,137
Rockwell Automation, Inc., Sr. Unsec’d. Notes	A3		5.200%	01/15/98		1,100		994,420
United Rentals North America, Inc., Gtd. Notes	B3		7.625%	04/15/22		1,700		1,840,250
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		1,675		1,651,723
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,960		2,080,985
								19,723,057

SEE NOTES TO FINANCIAL STATEMENTS.

A39

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Chemicals — 1.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes(e)	Baa2		4.900%	06/01/43	$	1,300	$	1,228,480
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		6.125%	01/15/41		450		488,496
Ashland, Inc., Gtd. Notes, 144A(e)	Ba1		4.750%	08/15/22		875		866,250
CF Industries, Inc., Gtd. Notes	Baa2		4.950%	06/01/43		675		640,958
CF Industries, Inc., Gtd. Notes	Baa2		6.875%	05/01/18		380		446,773
CF Industries, Inc., Gtd. Notes	Baa2		7.125%	05/01/20		300		358,910
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		1,252		1,832,371
E.I. du Pont de Nemours & Co., Sr. Unsec’d. Notes	A2		4.150%	02/15/43		345		331,502
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes	Baa2		6.000%	11/15/21		3,550		3,989,156
Sibur Securities Ltd. (Russia), Gtd. Notes, 144A	Ba1		3.914%	01/31/18		1,050		971,250
Union Carbide Corp., Sr. Unsec’d. Notes(e)	Baa2		7.875%	04/01/23		3,058		3,772,413
								14,926,559
Commercial Services & Supplies
ADT Corp. (The), Sr. Unsec’d. Notes	Baa2		4.125%	06/15/23		500		470,956
Consumer — 0.2%
Service Corp. International, Sr. Unsec’d. Notes	B1		7.625%	10/01/18		2,000		2,280,000
Electric — 2.9%
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		8.000%	10/15/17		4,000		4,500,000
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		9.750%	04/15/16		775		893,187
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		3.350%	07/01/23		550		535,002
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.500%	02/15/21		1,250		1,334,375
Duke Energy Corp., Sr. Unsec’d. Notes(e)	Baa2		2.100%	06/15/18		3,775		3,751,633
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		2,325		2,538,189
ENEL Finance International NV (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		1,450		1,339,078
Enersis SA (Chile), Sr. Unsec’d. Notes	Baa2		7.375%	01/15/14		1,700		1,747,826
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		500		535,124
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(e)	Baa2		6.200%	10/01/17		1,930		2,206,359
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(e)	Baa2		6.250%	10/01/39		1,900		2,066,630
FirstEnergy Corp., Sr. Unsec’d. Notes, Ser. A	Baa3		2.750%	03/15/18		1,800		1,752,367
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		1,150		1,170,617
NRG Energy, Inc., Gtd. Notes, 144A	B1		6.625%	03/15/23		2,750		2,750,000
Pacific Gas & Electric Co., Sr. Unsec’d. Notes(e)	A3		4.600%	06/15/43		1,950		1,919,693
South Carolina Electric & Gas Co., First Mtge. Bonds	A3		4.600%	06/15/43		2,025		1,965,013
TransAlta Corp. (Canada), Sr. Unsec’d. Notes	Baa3		6.650%	05/15/18		1,953		2,210,804
Westar Energy, Inc., First Mtge. Bonds	A3		4.100%	04/01/43		475		448,672
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		1,947		2,187,310
								35,851,879
Energy – Integrated — 0.7%
Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes(e)	Baa2		4.450%	09/15/42		1,825		1,636,301
Chevron Corp., Sr. Unsec’d. Notes	Aa1		2.427%	06/24/20		350		348,005
Chevron Corp., Sr. Unsec’d. Notes	Aa1		3.191%	06/24/23		700		696,606
LUKOIL International Finance B.V. (Netherlands), Gtd. Notes, 144A	Baa2		7.250%	11/05/19		1,300		1,457,950
Pacific Rubiales Energy Corp. (Canada), Gtd. Notes, 144A(e)	Ba2		7.250%	12/12/21		1,340		1,417,050
Pacific Rubiales Energy Corp., Reg.-S (Canada), Gtd. Notes	Ba2		7.250%	12/12/21		340		359,550
Sasol Financing International PLC (Isle of Man), Gtd. Notes	Baa1		4.500%	11/14/22		2,725		2,520,625
TNK-BP Finance SA (Luxembourg), Gtd. Notes, 144A, MTN	Baa2		6.625%	03/20/17		585		634,725
								9,070,812

SEE NOTES TO FINANCIAL STATEMENTS.

A40

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other — 1.7%
Afren PLC (United Kingdom), Sr. Sec’d. Notes, Reg.-S	B+(b)		11.500%	02/01/16	$	600	$	666,000
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		3,265		3,754,685
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		1,450		1,680,177
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		300,381
Cameron International Corp., Sr. Unsec’d. Notes	Baa1		7.000%	07/15/38		450		543,464
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		1,650		1,621,927
Noble Energy, Inc., Sr. Unsec’d. Notes	Baa2		6.000%	03/01/41		1,950		2,196,882
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,750		2,066,146
Precision Drilling Corp. (Canada), Gtd. Notes	Ba1		6.625%	11/15/20		1,000		1,015,000
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		1,860		1,889,554
Rosneft Oil Co. Via Rosneft International Finance Ltd. (Ireland), Sr. Unsec’d. Notes, 144A	Baa1		3.149%	03/06/17		1,165		1,147,525
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		1,075		1,062,359
Weatherford International Ltd. (Bermuda), Gtd. Notes(e)	Baa2		5.125%	09/15/20		1,165		1,221,088
Weatherford International Ltd. (Bermuda), Gtd. Notes	Baa2		5.950%	04/15/42		1,550		1,465,013
								20,630,201
Foods — 1.3%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes(f)	A3		6.875%	11/15/19		2,200		2,740,784
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes(f)	A3		7.750%	01/15/19		1,640		2,074,326
ARAMARK Corp., Gtd. Notes, 144A	B3		5.750%	03/15/20		1,350		1,380,375
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A(e)	Baa3		3.950%	05/22/23		275		242,000
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A	B2		9.000%	02/10/17		1,000		1,050,000
Cott Beverages, Inc., Gtd. Notes	B3		8.125%	09/01/18		1,756		1,892,090
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $1,226,925; purchased 12/08/11)(c)(d)(e)	Ba3		7.250%	06/01/21		1,330		1,330,000
Kraft Foods Group, Inc., Sr. Unsec’d. Notes(e)	Baa2		5.000%	06/04/42		900		911,423
Minerva Luxembourg SA (Luxembourg), Gtd. Notes, 144A	B1		12.250%	02/10/22		725		866,375
Stater Bros. Holdings, Inc., Gtd. Notes	B2		7.750%	04/15/15		2,200		2,205,522
Tyson Foods, Inc., Gtd. Notes	Baa3		6.600%	04/01/16		1,000		1,129,536
								15,822,431
Gaming — 0.6%
Ameristar Casinos, Inc., Gtd. Notes(e)	B3		7.500%	04/15/21		1,550		1,612,000
Marina District Finance Co., Inc., Sr. Sec’d. Notes(e)	B2		9.500%	10/15/15		1,710		1,778,400
Pinnacle Entertainment, Inc., Gtd. Notes(e)	B1		8.625%	08/01/17		2,500		2,606,250
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $1,404,000; purchased 06/22/11-06/28/12)(c)(d)	B1		11.375%	07/15/16		1,300		1,373,125
								7,369,775
Healthcare & Pharmaceutical — 2.4%
AbbVie, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.400%	11/06/42		850		789,534
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		2,515		2,504,789
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		405		418,878
Baxter International, Inc., Sr. Unsec’d. Notes	A3		3.200%	06/15/23		3,615		3,545,874
CHS/Community Health Systems, Inc., Gtd. Notes(e)	B3		8.000%	11/15/19		2,500		2,659,375
Covidien International Finance SA (Luxembourg), Gtd. Notes	Baa1		2.950%	06/15/23		725		685,366

SEE NOTES TO FINANCIAL STATEMENTS.

A41

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
Express Scripts Holding Co., Gtd. Notes	Baa3		2.750%	11/21/14	$	3,750	$	3,832,493
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		825		917,589
HCA, Inc., Gtd. Notes	B3		8.000%	10/01/18		2,250		2,584,687
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		1,000		1,047,500
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		320		347,200
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		3.750%	08/23/22		225		214,929
Merck & Co., Inc., Sr. Unsec’d. Notes	A2		4.150%	05/18/43		2,075		1,976,867
Mylan, Inc., Gtd. Notes, 144A(e)	Baa3		7.625%	07/15/17		2,030		2,247,638
Pfizer, Inc., Sr. Unsec’d. Notes(e)	A1		4.300%	06/15/43		1,550		1,504,906
Valeant Pharmaceuticals International, Gtd. Notes, 144A	B1		6.875%	12/01/18		1,500		1,537,500
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		700		624,676
Zoetis, Inc., Sr. Unsec’d. Notes, 144A	Baa2		3.250%	02/01/23		200		190,023
Zoetis, Inc., Sr. Unsec’d. Notes, 144A	Baa2		4.700%	02/01/43		1,525		1,424,141
								29,053,965
Healthcare Insurance — 1.2%
Aetna, Inc., Sr. Unsec’d. Notes	Baa2		6.750%	12/15/37		1,900		2,323,890
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		4.375%	12/15/20		745		792,529
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.375%	03/15/17		2,125		2,344,085
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		750		837,214
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	01/15/15		4,025		4,320,004
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		4.250%	03/15/43		1,200		1,094,772
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		760		910,065
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		195		237,228
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		525		486,975
WellPoint, Inc., Sr. Unsec’d. Notes(e)	Baa2		4.650%	01/15/43		1,225		1,141,806
								14,488,568
Insurance — 3.2%
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		5.500%	11/15/20		430		465,697
Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes	Baa1		7.500%	08/01/16		2,475		2,852,505
Allstate Corp. (The), Sr. Unsec’d. Notes	A3		4.500%	06/15/43		375		369,698
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		5.050%	10/01/15		315		341,462
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		950		1,101,702
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		2,005		2,486,487
American International Group, Inc., Sr. Unsec’d. Notes, MTN	Baa1		5.850%	01/16/18		3,700		4,160,317
Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		5.750%	12/01/14		3,350		3,550,816
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes	Aa2		3.000%	02/11/23		1,850		1,781,174
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(e)	Aa2		4.500%	02/11/43		1,350		1,282,800
Chubb Corp. (The), Jr. Sub. Notes(a)(e)	A3		6.375%	03/29/67		1,775		1,899,250
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes	Baa1		7.000%	07/15/34		1,350		1,507,117
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(e)	Baa3		5.125%	04/15/22		500		544,058
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		6.500%	03/15/35		1,030		1,100,111
Lincoln National Corp., Jr. Sub. Notes(a)	Baa3		6.050%	04/20/67		350		342,888
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		7.000%	06/15/40		1,265		1,572,247
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		8.750%	07/01/19		1,265		1,621,898
Markel Corp., Sr. Unsec’d. Notes	Baa2		5.000%	03/30/43		350		330,322

SEE NOTES TO FINANCIAL STATEMENTS.

A42

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Insurance (continued)
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A	A1		8.875%	06/01/39	$	1,200	$	1,758,597
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a)	A2		5.000%	10/18/42		850		831,407
Northwestern Mutual Life Insurance, Sub. Notes, 144A	Aa2		6.063%	03/30/40		500		562,921
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		850		970,663
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		150		143,911
Progressive Corp. (The), Jr. Sub. Notes(a)(e)	A2		6.700%	06/15/37		1,015		1,096,200
Sompo Japan Insurance, Inc. (Japan), Jr. Sub. Notes, 144A(a)	A3		5.325%	03/28/73		300		278,404
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A(e)	Aa2		6.850%	12/16/39		2,310		2,821,071
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		500		551,078
Willis Group Holdings PLC (Ireland), Gtd. Notes	Baa3		4.125%	03/15/16		1,280		1,339,946
XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)(e)	Ba1		6.500%	12/31/49		1,880		1,833,000
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		140		146,901
								39,644,648
Lodging — 0.5%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		1,921		2,074,680
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		1,325		1,233,726
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		2.950%	03/01/17		2,420		2,449,347
								5,757,753
Media & Entertainment — 2.7%
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A	Baa1		6.100%	02/15/18		210		240,665
CBS Corp., Gtd. Notes (original cost $2,559,883; purchased 09/21/12)(c)(d)	Baa2		4.850%	07/01/42		2,450		2,264,792
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes	B1		9.125%	08/01/18		2,300		2,507,000
Globo Comunicacao e Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(g)	Baa2		5.307%	05/11/22		900		924,750
Historic TW, Inc., Gtd. Notes	Baa2		6.625%	05/15/29		665		776,187
Liberty Interactive LLC, Sr. Unsec’d. Notes(e)	B2		8.250%	02/01/30		2,250		2,407,500
NBCUniversal Media LLC, Gtd. Notes	A3		4.375%	04/01/21		1,350		1,456,237
NBCUniversal Media LLC, Gtd. Notes	A3		4.450%	01/15/43		2,675		2,497,174
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		460		498,813
News America, Inc., Gtd. Notes	Baa1		6.150%	02/15/41		1,430		1,587,978
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		65		76,447
News America, Inc., Gtd. Notes	Baa1		7.625%	11/30/28		1,415		1,724,930
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba3		4.950%	04/01/14		7,000		7,105,000
RR Donnelley & Sons Co., Sr. Unsec’d. Notes	Ba3		8.600%	08/15/16		4,750		5,415,000
Time Warner Cos., Inc., Gtd. Notes	Baa2		6.950%	01/15/28		1,702		2,046,187
Time Warner Cos., Inc., Gtd. Notes(e)	Baa2		7.250%	10/15/17		1,440		1,725,028
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43		388		329,100
								33,582,788
Metals — 1.2%
Adaro Indonesia PT (Indonesia), Gtd. Notes, Reg.-S	Ba1		7.625%	10/22/19		745		782,250
Barrick Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A(e)	Baa2		4.100%	05/01/23		650		543,046
Berau Capital Resources Pte Ltd. (Singapore), Sr. Sec’d. Notes, Reg.-S	B1		12.500%	07/08/15		1,600		1,716,000

SEE NOTES TO FINANCIAL STATEMENTS.

A43

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Metals (continued)
Indo Integrated Energy II BV (Netherlands), Sr. Sec’d. Notes, Reg.-S	B1		9.750%	11/05/16	$	2,025	$	2,136,375
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		415		397,590
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		4,075		4,085,187
Raspadskaya OJSC Via Raspadskaya Securities Ltd. (Ireland), Sr. Unsec’d. Notes, 144A	B1		7.750%	04/27/17		800		800,000
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		6.750%	04/16/40		990		973,376
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		550		587,925
Vedanta Resources PLC (United Kingdom), Sr. Notes, 144A	Ba3		6.000%	01/31/19		1,050		997,500
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,825		1,857,887
								14,877,136
Non-Captive Finance — 2.7%
CIT Group, Inc., Sr. Unsec’d. Notes	Ba3		5.000%	08/15/22		1,350		1,339,875
CIT Group, Inc., Sr. Unsec’d. Notes, 144A	Ba3		5.500%	02/15/19		4,000		4,130,000
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		675		743,010
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(f)	A1		6.000%	08/07/19		6,315		7,331,298
General Electric Capital Corp., Sub. Notes(e)	A2		5.300%	02/11/21		1,185		1,299,911
HSBC Finance Corp., Sub. Notes	Baa2		6.676%	01/15/21		295		326,137
International Lease Finance Corp., Sr. Sec’d. Notes, 144A(e)	Ba2		6.500%	09/01/14		2,875		2,990,000
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		1,125		1,156,088
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		6.250%	05/15/19		1,400		1,438,500
Nelnet, Inc., Jr. Sub. Notes(a)	Ba2		3.659%	09/29/36		3,775		2,755,750
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(a)(c)	Aa2		1.004%	07/03/33		1,443		1,221,039
Schahin II Finance Co. SPV Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(e)	Baa3		5.875%	09/25/22		1,865		1,845,888
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		5.050%	11/14/14		4,150		4,243,375
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		6.000%	01/25/17		1,075		1,123,375
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN	Caa1		6.900%	12/15/17		1,000		981,250
								32,925,496
Packaging — 0.4%
Ball Corp., Gtd. Notes	Ba1		6.750%	09/15/20		345		371,737
Greif Luxembourg Finance SCA (Luxembourg), Gtd. Notes, 144A	Ba2		7.375%	07/15/21	EUR	1,470		2,143,025
Greif, Inc., Sr. Unsec’d. Notes, 144A	Ba2		7.750%	08/01/19		1,815		2,078,175
								4,592,937
Paper — 0.9%
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		675		718,068
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.300%	11/15/39		1,000		1,200,161
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		2,205		2,699,846
MeadWestvaco Corp., Sr. Unsec’d. Notes(e)	Baa3		7.375%	09/01/19		4,400		5,205,424
Rock-Tenn Co., Gtd. Notes(e)	Ba1		4.450%	03/01/19		1,165		1,233,458
								11,056,957
Pipelines & Other — 1.0%
AGL Capital Corp., Gtd. Notes	Baa1		4.400%	06/01/43		1,050		973,077
Buckeye Partners LP, Sr. Unsec’d. Notes(e)	Baa3		4.150%	07/01/23		1,760		1,712,383
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		5.150%	02/01/43		775		704,415

SEE NOTES TO FINANCIAL STATEMENTS.

A44

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Pipelines & Other (continued)
Enterprise Products Operating LLC, Gtd. Notes	Baa1		5.700%	02/15/42	$	900	$	953,070
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		5.000%	08/15/42		550		518,858
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes	Baa2		7.300%	08/15/33		1,550		1,855,569
NiSource Finance Corp., Gtd. Notes	Baa3		4.800%	02/15/44		300		271,650
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		1,345		1,499,863
ONEOK Partners LP, Gtd. Notes	Baa2		2.000%	10/01/17		750		737,574
Sempra Energy, Sr. Unsec’d. Notes	Baa1		6.500%	06/01/16		2,275		2,608,722
								11,835,181
Real Estate Investment Trusts — 0.5%
Hospitality Properties Trust, Sr. Unsec’d. Notes	Baa2		7.875%	08/15/14		2,900		3,015,339
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		8		9,282
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		45		46,325
Simon Property Group LP, Sr. Unsec’d. Notes	A3		3.375%	03/15/22		325		318,895
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		40		46,996
Simon Property Group LP, Sr. Unsec’d. Notes(e)	A3		10.350%	04/01/19		1,685		2,333,610
								5,770,447
Retailers — 0.6%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		2,000		2,337,150
Home Depot, Inc. (The), Sr. Unsec’d. Notes(e)	A3		4.200%	04/01/43		1,025		973,666
Ltd. Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		2,200		2,233,000
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		1,190		1,376,610
								6,920,426
Technology — 1.8%
Apple, Inc., Sr. Unsec’d. Notes	Aa1		2.400%	05/03/23		2,725		2,527,339
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		600		620,991
Avaya, Inc., Sec’d. Notes, 144A	Caa1		10.500%	03/01/21		2,200		1,666,500
CDW LLC/CDW Finance Corp., Gtd. Notes	Caa1		12.535%	10/12/17		5,279		5,569,345
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	10/01/15		195		203,409
NXP B.V./NXP Funding LLC (Netherlands), Gtd. Notes, 144A(e)	B3		3.750%	06/01/18		1,925		1,886,500
Seagate HDD Cayman (Cayman Islands), Gtd. Notes	Ba1		6.875%	05/01/20		2,875		3,047,500
SunGard Data Systems, Inc., Gtd. Notes(e)	Caa1		7.625%	11/15/20		1,700		1,802,000
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes	B2		11.375%	06/15/18		1,850		2,048,875
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,000		2,089,392
								21,461,851
Telecommunications — 1.4%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		655		708,341
AT&T Corp., Gtd. Notes	A3		8.000%	11/15/31		103		143,440
AT&T, Inc., Sr. Unsec’d. Notes	A3		5.350%	09/01/40		483		488,718
AT&T, Inc., Sr. Unsec’d. Notes(f)	A3		6.550%	02/15/39		1,990		2,285,038
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A	BB+(b)		5.125%	03/11/23		1,050		954,240
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		328		493,786
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes	A2		8.500%	11/15/18		2,255		2,928,787
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, Reg.-S	B3		11.750%	01/31/20	EUR	1,400		2,068,310
Embarq Corp., Sr. Unsec’d. Notes (original cost $1,303,800; purchased 04/22/10)(c)(d)	Baa3		7.995%	06/01/36		1,250		1,318,933
MetroPCS Wireless, Inc., Gtd. Notes(e)	Ba3		7.875%	09/01/18		775		825,375

SEE NOTES TO FINANCIAL STATEMENTS.

A45

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Telecommunications (continued)
SK Telecom Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A, MTN	A3		2.125%	05/01/18	$	675	$	642,397
Sprint Capital Corp., Gtd. Notes	B3		6.900%	05/01/19		1,300		1,352,000
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		4.750%	11/01/41		780		741,846
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Sr. Unsec’d. Notes, 144A	Ba3		7.748%	02/02/21		1,300		1,386,125
Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Sr. Unsec’d. Notes, 144A(c)	Ba3		9.125%	04/30/18		200		227,500
Wind Acquisition Finance SA (Luxembourg), Sec’d. Notes, 144A (original cost $492,804; purchased 11/30/11)(c)(d)	B3		11.750%	07/15/17	EUR	450		609,169
								17,174,005
Tobacco — 0.7%
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		2,715		4,018,232
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A	Baa3		2.050%	02/11/18		2,375		2,334,587
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		515		538,407
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.750%	05/20/23		825		761,230
Lorillard Tobacco Co., Gtd. Notes(e)	Baa2		8.125%	06/23/19		895		1,096,715
								8,749,171
TOTAL CORPORATE BONDS (cost $547,633,615)								571,905,112
COVERED BOND — 0.1%
Depfa ACS Bank (Ireland), Covered Notes, 144A (cost $1,490,593)	A3		5.125%	03/16/37		1,515		1,304,392
FOREIGN AGENCIES — 3.3%
CNOOC Finance 2013 Ltd. (British Virgin Islands), Gtd. Notes	Aa3		3.000%	05/09/23		1,050		948,525
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A	A1		5.888%	06/15/19		2,344		2,554,670
Dubai Electricity & Water Authority (United Arab Emirates), Sr. Unsec’d. Notes, 144A	Baa3		8.500%	04/22/15		1,275		1,383,375
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A	Baa3		5.375%	11/04/16		265		275,269
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A(e)	Baa1		4.950%	05/23/16		1,950		2,024,744
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		6.510%	03/07/22		975		1,031,062
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		9.250%	04/23/19		2,845		3,428,225
GAZ Capital SA For Gazprom (Luxembourg), Sr. Unsec’d. Notes, Reg.-S	Baa1		9.250%	04/23/19		1,080		1,301,400
Kazmunaygas National Co. (Netherland), Sr. Unsec’d. Notes, 144A, MTN	Baa3		5.750%	04/30/43		1,075		951,375
KazMunayGas National Co. (Netherland), Gtd. Notes, 144A, MTN	Baa3		9.125%	07/02/18		935		1,119,662
KazMunayGas National Co. (Netherland), Sr. Unsec’d. Notes, 144A, MTN	Baa3		11.750%	01/23/15		1,475		1,670,438
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes	Aa3		4.625%	11/16/21		600		609,833
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, Reg.-S (e)	A1		4.250%	11/02/20		1,750		1,774,341
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		3.000%	09/19/22		1,450		1,294,685

SEE NOTES TO FINANCIAL STATEMENTS.

A46

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

FOREIGN AGENCIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		4.750%	07/13/21	$	1,650	$	1,691,124
Majapahit Holding BV (Indonesia), Gtd. Notes, Reg.-S	Baa3		7.750%	10/17/16		2,500		2,768,750
Pertamina Persero PT (Indonesia), Sr. Unsec’d. Notes, 144A, MTN	Baa3		4.300%	05/20/23		650		601,250
Petrobras Global Finance BV (Netherlands), Gtd. Notes(e)	A3		4.375%	05/20/23		770		706,353
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(e)	A3		5.375%	01/27/21		2,925		2,938,730
Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, Ser. 2014	NR		4.900%	10/28/14		3,435		3,220,312
Petroleos Mexicanos (Mexico), Gtd. Notes(e)	Baa1		4.875%	01/24/22		2,100		2,142,000
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		5.500%	06/27/44		1,200		1,080,000
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A(e)	Baa1		3.500%	01/30/23		1,125		1,037,812
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A(e)	Baa1		5.500%	06/27/44		980		882,000
Power Sector Assets & Liabilities Management Corp. (Philippines), Gtd. Notes, Reg.-S	Ba1		7.390%	12/02/24		1,750		2,117,500
State Bank of India (India), Sr. Unsec’d. Notes, 144A	Baa2		4.125%	08/01/17		1,250		1,238,515
TOTAL FOREIGN AGENCIES (cost $41,321,861)								40,791,950
MORTGAGE-BACKED SECURITIES — 2.7%
Federal Home Loan Mortgage Corp.			3.500%	TBA 30 YR		500		506,406
Federal Home Loan Mortgage Corp.			5.000%	07/01/19		217		231,676
Federal Home Loan Mortgage Corp.			5.500%	10/01/33-06/01/34		1,896		2,089,920
Federal Home Loan Mortgage Corp.			6.000%	11/01/33-06/01/34		1,437		1,600,009
Federal Home Loan Mortgage Corp.			6.500%	07/01/32-09/01/32		1,173		1,323,287
Federal Home Loan Mortgage Corp.			7.000%	10/01/32		163		188,344
Federal National Mortgage Association			4.000%	05/01/19		151		161,277
Federal National Mortgage Association			4.000%	TBA 30 YR		2,500		2,604,394
Federal National Mortgage Association			4.500%	12/01/18-02/01/35		1,297		1,386,110
Federal National Mortgage Association			5.500%	03/01/17-06/01/34		4,303		4,641,846
Federal National Mortgage Association			6.000%	09/01/17-11/01/36		3,264		3,589,150
Federal National Mortgage Association			6.500%	12/01/14-11/01/33		2,310		2,575,797
Federal National Mortgage Association			7.000%	05/01/32-06/01/32		191		223,394
Government National Mortgage Association			3.500%	TBA 30 YR		2,000		2,051,562
Government National Mortgage Association			5.500%	01/15/33-07/15/35		2,921		3,215,544
Government National Mortgage Association			6.000%	12/15/32-11/15/34		2,966		3,358,094
Government National Mortgage Association			6.500%	09/15/32-11/15/33		2,359		2,646,045
Government National Mortgage Association			7.500%	10/15/25-02/15/26		67		76,211
TOTAL MORTGAGE-BACKED SECURITIES (cost $30,488,340)								32,469,066
MUNICIPAL BONDS — 2.0%
Bay Area Toll Authority, Revenue Bonds, BABs	A1		6.907%	10/01/50		1,125		1,424,014
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		1,380		1,631,422
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,375		1,598,465
New Jersey State Turnpike Authority, Revenue Bonds, Ser. 2010A, BABs	A3		7.102%	01/01/41		1,175		1,517,924
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		2,050		2,738,595
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		695		688,175

SEE NOTES TO FINANCIAL STATEMENTS.

A47

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

MUNICIPAL BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34	$	450	$	466,353
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		615		729,704
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	A1		5.511%	12/01/45		800		865,240
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		1,000		1,192,340
State of California, General Obligation Unlimited, BABs(e)	A1		7.300%	10/01/39		2,280		2,961,310
State of California, GO, BABs	A1		7.625%	03/01/40		725		973,160
State of Illinois, General Obligation Bonds	A3		4.421%	01/01/15		5,030		5,249,861
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		425		472,349
University of California, Revenue Bonds, BABs	Aa1		5.770%	05/15/43		1,400		1,540,686
TOTAL MUNICIPAL BONDS (cost $20,719,110)								24,049,598
SOVEREIGNS — 5.6%
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(e)	Baa2		5.625%	01/07/41		1,000		995,000
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes	Baa2		7.125%	01/20/37		900		1,071,000
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes	Baa2		7.375%	02/03/15	EUR	900		1,276,150
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes	Baa2		8.250%	01/20/34		510		675,750
Brazilian Government International Bond (Brazil), Unsec’d. Notes	Baa2		11.000%	06/26/17	EUR	1,600		2,727,514
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes	Baa3		7.375%	09/18/37		900		1,149,750
Greece Government Bond (Greece)	B-(b)		5.800%	07/14/15		107,100		971,869
Hellenic Republic Government Bond (Greece), Bonds, Ser. PSI(g)	C		2.000%	02/24/23	EUR	2,245		1,566,293
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, Ser. 9BR	C		5.800%	07/14/15	JPY	76,200		691,470
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes	Ba1		4.125%	02/19/18		1,370		1,332,325
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes(e)	Ba1		5.375%	02/21/23		1,360		1,309,000
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes	Ba1		6.000%	01/11/19	EUR	715		961,015
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN	Baa3		4.625%	04/15/43		1,450		1,268,750
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S	Baa3		4.875%	05/05/21		1,600		1,640,000
Ireland Government Bond (Ireland), Bonds	Ba1		4.500%	04/18/20	EUR	2,600		3,533,233
Ireland Government Bond (Ireland), Sr. Unsec’d. Notes	Ba1		4.400%	06/18/19	EUR	2,880		3,930,469
Italy Buoni Poliennali del Tesoro (Italy), Bonds	Baa2		4.750%	05/01/17	EUR	1,970		2,707,602
Italy Buoni Poliennali del Tesoro (Italy), Bonds	Baa2		6.500%	11/01/27	EUR	3,545		5,387,684
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Reg.-S	Baa2		3.450%	03/24/17	JPY	170,000		1,751,291
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Reg.-S	Baa2		4.500%	06/08/15	JPY	130,000		1,369,500
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes	Baa1		2.750%	04/22/23	EUR	2,350		2,928,859
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(e)	Baa1		4.750%	03/08/44		2,500		2,225,000

SEE NOTES TO FINANCIAL STATEMENTS.

A48

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

SOVEREIGNS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#			Value (Note 2)
Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), Pass-thru Certs., 144A(h)	Baa2		2.340%	05/31/18	$		988	$	885,017
Peruvian Government International Bond (Peru), Sr. Unsec’d. Notes, Reg.-S	Baa2		7.500%	10/14/14	EUR		1,700		2,356,469
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes	Ba1		6.250%	03/15/16	EUR		850		1,205,972
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, Reg.-S MTN	BB		3.500%	03/25/15			2,130		2,117,220
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		3.850%	04/15/21	EUR		500		555,593
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		4.100%	04/15/37	EUR		540		489,607
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		4.450%	06/15/18	EUR		950		1,178,062
Portugal Obrigacoes do Tesouro OT (Portugal), Sr. Unsec’d. Notes	Ba3		4.750%	06/14/19	EUR		4,025		4,919,840
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A	Aa2		5.750%	01/20/42			900		967,500
Russian Foreign Bond – Eurobond (Russia), Sr. Unsec’d. Notes, 144A	Baa1		7.500%	03/31/30			909		1,064,549
Spain Government Bond (Spain), Bonds	Baa3		4.250%	10/31/16	EUR		2,850		3,836,850
Spain Government Bond (Spain), Bonds	Baa3		4.700%	07/30/41	EUR		465		555,227
Spain Government Bond (Spain), Bonds	Baa3		5.850%	01/31/22	EUR		1,845		2,611,184
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, 144A, MTN	Baa3		4.000%	03/06/18			1,500		1,476,450
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	Baa3		7.000%	06/05/20			1,510		1,744,050
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes	Baa3		8.000%	02/14/34			845		1,052,025
TOTAL SOVEREIGNS (cost $67,774,220)									68,485,139
U.S. GOVERNMENT TREASURY OBLIGATIONS — 0.4%
U.S. Treasury Bonds(f)			2.750%	11/15/42			50		43,109
U.S. Treasury Bonds			3.125%	02/15/43			1,045		975,443
U.S. Treasury Notes(i)			7.250%	08/15/22			2,990		4,219,871
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $5,301,678)									5,238,423
						Shares
PREFERRED STOCK — 0.1%
Banking
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a) (cost $1,125,000)							45,000		1,253,250
TOTAL LONG-TERM INVESTMENTS (cost $1,062,325,961)									1,102,460,590
SHORT-TERM INVESTMENTS — 18.1%
AFFILIATED MUTUAL FUNDS — 18.1%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(k) (cost $118,949,043)							12,119,436		112,589,565
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(k)(l) (cost $109,653,981; includes $103,169,696 of cash collateral received for securities on loan)							109,653,981		109,653,981
TOTAL AFFILIATED MUTUAL FUNDS (cost $228,603,024)									222,243,546

SEE NOTES TO FINANCIAL STATEMENTS.

A49

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

OPTION PURCHASED*	Counterparty	Notional Amount (000)#		Value (Note 2)
Call Option
Interest Rate Swap Options, Receive a fixed rate of 2.000% and pay floating rate based on 3-month LIBOR, expiring 08/19/13 (cost $423,235)	Citibank NA	$	56,810	$	9,616
TOTAL SHORT-TERM INVESTMENTS (cost $229,026,259)					222,253,162
TOTAL INVESTMENTS — 108.2% (cost $1,291,352,220)					1,324,713,752
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (8.2)%					(100,895,422	)
NET ASSETS — 100.0%				$	1,223,818,330

The following abbreviations are used in portfolio descriptions:

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

SEE NOTES TO FINANCIAL STATEMENTS.

A50

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

EURIBOR	Euro Interbank Offer Rate
JIBAR	Johannesburg Interbank Agreed Rate
LIBOR	London Interbank Offered Rate
MIBOR	Mumbai Interbank Offered Rate
MOSPRIME	Moscow Prime Offered Rate
WIBOR	Warsaw Interbank Offered Rate

† The ratings reflected are as of June 30, 2013. Ratings of certain bonds may have changed subsequent to that date.

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

* Non-income producing security.

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2013.

(b) Standard & Poor’s Rating.

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

(d) Indicates a restricted security; the aggregate original cost of such securities is $15,068,323. The aggregate value of $14,769,773 is approximately 1.2% of net assets.

(e) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $100,891,630; cash collateral of $103,169,696 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(g) Represents a step bond. Rate shown reflects the rate in effect at June 30, 2013.

(h) Represents zero coupon bond. Rate shown reflects the effective yield on June 30, 2013.

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

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

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

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

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

Open futures contracts outstanding at June 30, 2013:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Long Positions:
2,346	5 Year U.S. Treasury Notes		Sept. 2013	$	285,755,426	$	283,975,969	$	(1,779,457	)
1,298	10 Year U.S. Treasury Notes		Sept. 2013		165,248,050		164,278,125		(969,925	)
293	U.S. Long Bond		Sept. 2013		41,139,099		39,802,219		(1,336,880	)
									(4,086,262	)
Short Positions:
153	2 Year Euro-Schatz		Sept. 2013		22,065,394		21,977,345		88,049
179	2 Year U.S. Treasury Notes		Sept. 2013		39,365,768		39,380,000		(14,232	)
73	5 Year Euro-BOBL		Sept. 2013		12,071,666		11,896,493		175,173
31	U.S. Ultra Bond		Sept. 2013		4,559,239		4,566,688		(7,449	)
									241,541
								$	(3,844,721	)

Forward foreign currency exchange contracts outstanding at June 30, 2013:

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 07/23/13	Credit Suisse First Boston	AUD	2,670	$	2,465,100	$	2,438,037	$	(27,063	)
Australian Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	AUD	1,322		1,224,600		1,207,120		(17,480	)
Australian Dollar expiring 07/23/13	Goldman Sachs & Co.	AUD	10,110		10,339,583		9,229,986		(1,109,597	)
Australian Dollar expiring 07/23/13	Goldman Sachs & Co.	AUD	3,211		3,261,300		2,931,520		(329,780	)
Australian Dollar expiring 07/23/13	Goldman Sachs & Co.	AUD	2,544		2,613,300		2,322,931		(290,369	)
Australian Dollar expiring 07/23/13	JPMorgan Chase & Co.	AUD	4,500		4,565,800		4,108,654		(457,146	)

SEE NOTES TO FINANCIAL STATEMENTS.

A51

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 07/23/13	JPMorgan Chase & Co.	AUD	1,307	$	1,217,500	$	1,193,653	$	(23,847	)
Australian Dollar expiring 07/23/13	Morgan Stanley	AUD	1,307		1,254,100		1,192,892		(61,208	)
Australian Dollar expiring 07/23/13	UBS AG	AUD	3,937		3,819,300		3,594,044		(225,256	)
Australian Dollar expiring 07/23/13	UBS AG	AUD	2,614		2,513,000		2,386,749		(126,251	)
Brazilian Real expiring 07/08/13	Citibank NA	BRL	2,695		1,216,900		1,205,678		(11,222	)
Brazilian Real expiring 07/08/13	Citibank NA	BRL	1,370		612,300		612,761		461
Brazilian Real expiring 07/08/13	Citibank NA	BRL	272		127,000		121,545		(5,455	)
Brazilian Real expiring 09/30/13	Citibank NA	BRL	2,719		1,215,000		1,195,597		(19,403	)
British Pound expiring 07/25/13	Credit Suisse First Boston	GBP	902		1,410,334		1,371,084		(39,250	)
British Pound expiring 07/25/13	Goldman Sachs & Co.	GBP	1,688		2,612,200		2,566,525		(45,675	)
British Pound expiring 07/25/13	JPMorgan Chase & Co.	GBP	1,660		2,546,200		2,524,070		(22,130	)
British Pound expiring 07/25/13	JPMorgan Chase & Co.	GBP	1,490		2,286,900		2,265,371		(21,529	)
British Pound expiring 07/25/13	Morgan Stanley	GBP	841		1,309,000		1,278,951		(30,049	)
British Pound expiring 07/25/13	UBS AG	GBP	2,517		3,830,000		3,826,879		(3,121	)
Canadian Dollar expiring 07/22/13	Citibank NA	CAD	9,900		9,630,497		9,408,259		(222,238	)
Canadian Dollar expiring 07/22/13	Citibank NA	CAD	2,606		2,538,800		2,476,358		(62,442	)
Canadian Dollar expiring 07/22/13	Citibank NA	CAD	1,936		1,895,700		1,839,981		(55,719	)
Canadian Dollar expiring 07/22/13	Citibank NA	CAD	127		121,500		120,935		(565	)
Canadian Dollar expiring 07/22/13	Goldman Sachs & Co.	CAD	2,684		2,611,100		2,550,592		(60,508	)
Canadian Dollar expiring 07/22/13	JPMorgan Chase & Co.	CAD	2,622		2,546,200		2,491,813		(54,387	)
Canadian Dollar expiring 07/22/13	JPMorgan Chase & Co.	CAD	1,908		1,822,500		1,812,842		(9,658	)
Canadian Dollar expiring 07/22/13	Morgan Stanley	CAD	1,942		1,904,000		1,845,484		(58,516	)
Chilean Peso expiring 09/11/13	Citibank NA	CLP	2,148,586		4,240,351		4,178,900		(61,451	)
Chilean Peso expiring 09/11/13	Citibank NA	CLP	1,249,464		2,513,000		2,430,149		(82,851	)
Chilean Peso expiring 09/11/13	Citibank NA	CLP	928,473		1,822,500		1,805,837		(16,663	)
Chilean Peso expiring 09/11/13	Citibank NA	CLP	624,452		1,216,900		1,214,531		(2,369	)
Chinese Yuan Renminbi expiring 07/12/13	Citibank NA	CNY	41,457		6,612,658		6,746,913		134,255
Chinese Yuan Renminbi expiring 09/05/13	JPMorgan Chase & Co.	CNY	19,597		3,182,700		3,175,204		(7,496	)
Chinese Yuan Renminbi expiring 10/29/13	Citibank NA	CNY	8,148		1,288,400		1,315,969		27,569
Chinese Yuan Renminbi expiring 10/29/13	UBS AG	CNY	13,894		2,189,700		2,243,981		54,281
Colombian Peso expiring 10/23/13	Citibank NA	COP	3,526,446		1,822,500		1,813,898		(8,602	)
Czech Koruna expiring 07/24/13	Citibank NA	CZK	37,285		1,875,533		1,865,769		(9,764	)
Czech Koruna expiring 07/24/13	Deutsche Bank Securities Corp.	CZK	25,628		1,311,000		1,282,463		(28,537	)
Czech Koruna expiring 07/24/13	JPMorgan Chase & Co.	CZK	38,146		1,963,500		1,908,864		(54,636	)
Czech Koruna expiring 07/24/13	Morgan Stanley	CZK	25,838		1,306,700		1,292,966		(13,734	)
Czech Koruna expiring 07/24/13	UBS AG	CZK	38,609		1,959,200		1,932,034		(27,166	)
Czech Koruna expiring 07/24/13	UBS AG	CZK	35,281		1,788,900		1,765,485		(23,415	)
Czech Koruna expiring 07/24/13	UBS AG	CZK	15,461		771,700		773,707		2,007
Euro expiring 07/25/13	Barclays Bank PLC	EUR	470		611,300		611,261		(39	)
Euro expiring 07/25/13	Citibank NA	EUR	1,422		1,891,000		1,851,623		(39,377	)
Euro expiring 07/25/13	Credit Suisse First Boston	EUR	995		1,287,600		1,294,822		7,222
Euro expiring 07/25/13	Deutsche Bank Securities Corp.	EUR	1,429		1,895,700		1,860,507		(35,193	)
Euro expiring 07/25/13	Goldman Sachs & Co.	EUR	3,344		4,374,990		4,353,506		(21,484	)
Euro expiring 07/25/13	Goldman Sachs & Co.	EUR	2,511		3,300,400		3,268,331		(32,069	)
Euro expiring 07/25/13	Goldman Sachs & Co.	EUR	1,961		2,557,800		2,552,154		(5,646	)
Hungarian Forint expiring 07/24/13	Citibank NA	HUF	447,779		1,966,600		1,971,130		4,530
Hungarian Forint expiring 07/24/13	Deutsche Bank Securities Corp.	HUF	732,093		3,258,100		3,222,682		(35,418	)
Hungarian Forint expiring 07/24/13	Deutsche Bank Securities Corp.	HUF	446,818		1,963,500		1,966,897		3,397
Hungarian Forint expiring 07/24/13	Deutsche Bank Securities Corp.	HUF	443,172		1,938,800		1,950,848		12,048
Hungarian Forint expiring 07/24/13	Goldman Sachs & Co.	HUF	1,447,934		6,261,636		6,373,826		112,190
Indian Rupee expiring 07/15/13	Citibank NA	INR	247,920		4,455,353		4,160,467		(294,886	)
Indian Rupee expiring 07/15/13	UBS AG	INR	141,742		2,594,100		2,378,632		(215,468	)
Indian Rupee expiring 11/05/13	Citibank NA	INR	74,052		1,256,500		1,219,931		(36,569	)
Indian Rupee expiring 11/05/13	Citibank NA	INR	7,457		122,300		122,841		541
Indian Rupee expiring 11/05/13	UBS AG	INR	108,450		1,962,900		1,786,611		(176,289	)

SEE NOTES TO FINANCIAL STATEMENTS.

A52

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Israeli New Shekel expiring 07/24/13	JPMorgan Chase & Co.	ILS	4,392	$	1,216,900	$	1,206,790	$	(10,110	)
Japanese Yen expiring 07/25/13	Barclays Bank PLC	JPY	118,392		1,256,500		1,193,825		(62,675	)
Japanese Yen expiring 07/25/13	Credit Suisse First Boston	JPY	12,495		126,900		125,992		(908	)
Japanese Yen expiring 07/25/13	Goldman Sachs & Co.	JPY	441,952		4,455,800		4,456,488		688
Japanese Yen expiring 07/25/13	Goldman Sachs & Co.	JPY	122,781		1,269,400		1,238,081		(31,319	)
Japanese Yen expiring 07/25/13	Goldman Sachs & Co.	JPY	38,096		381,900		384,142		2,242
Japanese Yen expiring 07/25/13	Goldman Sachs & Co.	JPY	12,066		125,700		121,672		(4,028	)
Japanese Yen expiring 07/25/13	Morgan Stanley	JPY	317,300		3,182,700		3,199,539		16,839
Malaysian Ringgit expiring 10/17/13	UBS AG	MYR	5,820		1,954,900		1,829,471		(125,429	)
Mexican Peso expiring 07/22/13	Barclays Bank PLC	MXN	32,137		2,433,800		2,475,154		41,354
Mexican Peso expiring 07/22/13	Barclays Bank PLC	MXN	24,161		1,825,300		1,860,853		35,553
Mexican Peso expiring 07/22/13	Barclays Bank PLC	MXN	23,831		1,826,200		1,835,428		9,228
Mexican Peso expiring 07/22/13	Citibank NA	MXN	129,481		10,446,038		9,972,631		(473,407	)
Mexican Peso expiring 07/22/13	Citibank NA	MXN	15,967		1,254,100		1,229,793		(24,307	)
Mexican Peso expiring 07/22/13	Deutsche Bank Securities Corp.	MXN	40,399		3,139,600		3,111,562		(28,038	)
Mexican Peso expiring 07/22/13	Deutsche Bank Securities Corp.	MXN	4,895		381,900		376,975		(4,925	)
Mexican Peso expiring 07/22/13	JPMorgan Chase & Co.	MXN	25,697		2,097,700		1,979,217		(118,483	)
Mexican Peso expiring 07/22/13	Morgan Stanley	MXN	24,422		1,909,400		1,880,975		(28,425	)
Mexican Peso expiring 07/22/13	Morgan Stanley	MXN	15,798		1,304,900		1,216,759		(88,141	)
Mexican Peso expiring 07/22/13	Morgan Stanley	MXN	3,273		254,900		252,082		(2,818	)
New Zealand Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	NZD	2,331		1,826,200		1,803,246		(22,954	)
New Zealand Dollar expiring 07/23/13	Goldman Sachs & Co.	NZD	7,268		6,092,083		5,623,106		(468,977	)
New Zealand Dollar expiring 07/23/13	Goldman Sachs & Co.	NZD	3,159		2,559,600		2,444,169		(115,431	)
New Zealand Dollar expiring 07/23/13	Goldman Sachs & Co.	NZD	3,110		2,513,000		2,406,392		(106,608	)
New Zealand Dollar expiring 07/23/13	Goldman Sachs & Co.	NZD	3,105		2,611,100		2,402,266		(208,834	)
New Zealand Dollar expiring 07/23/13	Goldman Sachs & Co.	NZD	3,078		2,613,300		2,381,209		(232,091	)
New Zealand Dollar expiring 07/23/13	Goldman Sachs & Co.	NZD	1,555		1,254,100		1,203,097		(51,003	)
New Zealand Dollar expiring 07/23/13	JPMorgan Chase & Co.	NZD	2,335		1,822,500		1,806,669		(15,831	)
New Zealand Dollar expiring 07/23/13	JPMorgan Chase & Co.	NZD	317		244,900		244,953		53
New Zealand Dollar expiring 07/23/13	UBS AG	NZD	1,579		1,224,600		1,221,252		(3,348	)
Norwegian Krone expiring 07/24/13	Barclays Bank PLC	NOK	14,846		2,433,800		2,441,982		8,182
Norwegian Krone expiring 07/24/13	Barclays Bank PLC	NOK	14,677		2,434,900		2,414,159		(20,741	)
Norwegian Krone expiring 07/24/13	Citibank NA	NOK	3,009		521,800		495,020		(26,780	)
Norwegian Krone expiring 07/24/13	Credit Suisse First Boston	NOK	7,494		1,303,200		1,232,590		(70,610	)
Norwegian Krone expiring 07/24/13	Credit Suisse First Boston	NOK	3,762		652,300		618,767		(33,533	)
Norwegian Krone expiring 07/24/13	Deutsche Bank Securities Corp.	NOK	18,273		3,159,500		3,005,643		(153,857	)
Norwegian Krone expiring 07/24/13	Deutsche Bank Securities Corp.	NOK	15,064		2,583,100		2,477,809		(105,291	)
Norwegian Krone expiring 07/24/13	Deutsche Bank Securities Corp.	NOK	11,436		1,962,500		1,881,030		(81,470	)
Norwegian Krone expiring 07/24/13	Deutsche Bank Securities Corp.	NOK	11,289		1,956,800		1,856,961		(99,839	)
Norwegian Krone expiring 07/24/13	Goldman Sachs & Co.	NOK	37,512		6,381,875		6,170,241		(211,634	)
Norwegian Krone expiring 07/24/13	Goldman Sachs & Co.	NOK	15,340		2,612,200		2,523,302		(88,898	)
Norwegian Krone expiring 07/24/13	Goldman Sachs & Co.	NOK	15,335		2,613,300		2,522,421		(90,879	)
Norwegian Krone expiring 07/24/13	Goldman Sachs & Co.	NOK	15,122		2,606,500		2,487,443		(119,057	)
Norwegian Krone expiring 07/24/13	JPMorgan Chase & Co.	NOK	14,794		2,429,900		2,433,450		3,550
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	18,489		3,182,700		3,041,158		(141,542	)
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	11,347		1,962,900		1,866,519		(96,381	)
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	7,547		1,309,000		1,241,361		(67,639	)
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	7,462		1,292,100		1,227,343		(64,757	)
Peruvian Nuevo Sol expiring 08/02/13	Citibank NA	PEN	35,277		13,087,410		12,640,237		(447,173	)
Peruvian Nuevo Sol expiring 08/02/13	Citibank NA	PEN	5,135		1,884,800		1,839,985		(44,815	)
Philippine Peso expiring 07/08/13	Citibank NA	PHP	293,353		6,889,451		6,789,798		(99,653	)
Philippine Peso expiring 07/08/13	UBS AG	PHP	106,635		2,546,200		2,468,118		(78,082	)
Philippine Peso expiring 11/29/13	Citibank NA	PHP	53,923		1,256,500		1,243,526		(12,974	)
Philippine Peso expiring 11/29/13	UBS AG	PHP	26,359		611,300		607,878		(3,422	)
Polish Zloty expiring 07/24/13	Citibank NA	PLN	6,231		1,966,600		1,872,342		(94,258	)
Polish Zloty expiring 07/24/13	Citibank NA	PLN	6,199		1,909,400		1,862,641		(46,759	)
Polish Zloty expiring 07/24/13	Deutsche Bank Securities Corp.	PLN	8,305		2,616,700		2,495,623		(121,077	)
Polish Zloty expiring 07/24/13	Deutsche Bank Securities Corp.	PLN	4,451		1,339,200		1,337,605		(1,595	)
Polish Zloty expiring 07/24/13	Goldman Sachs & Co.	PLN	25,256		7,973,745		7,589,192		(384,553	)

SEE NOTES TO FINANCIAL STATEMENTS.

A53

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Romanian Leu expiring 07/24/13	Goldman Sachs & Co.	RON	6,513	$	1,962,500	$	1,893,363	$	(69,137	)
Romanian Leu expiring 07/24/13	Goldman Sachs & Co.	RON	6,302		1,884,800		1,832,197		(52,603	)
Romanian Leu expiring 07/24/13	JPMorgan Chase & Co.	RON	6,225		1,822,500		1,809,854		(12,646	)
Romanian Leu expiring 07/24/13	UBS AG	RON	30,667		9,113,899		8,915,473		(198,426	)
Russian Ruble expiring 07/17/13	Barclays Bank PLC	RUB	172,777		5,321,548		5,242,236		(79,312	)
Russian Ruble expiring 07/18/13	Citibank NA	RUB	100,035		3,141,300		3,034,595		(106,705	)
Russian Ruble expiring 07/18/13	Citibank NA	RUB	3,997		121,700		121,246		(454	)
Russian Ruble expiring 10/09/13	Citibank NA	RUB	62,761		1,947,200		1,876,167		(71,033	)
Russian Ruble expiring 10/09/13	Citibank NA	RUB	62,157		1,938,600		1,858,116		(80,484	)
Russian Ruble expiring 10/09/13	Citibank NA	RUB	61,835		1,945,100		1,848,472		(96,628	)
Russian Ruble expiring 10/09/13	Citibank NA	RUB	41,546		1,296,900		1,241,952		(54,948	)
Singapore Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	SGD	4,785		3,819,300		3,775,224		(44,076	)
Singapore Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	SGD	3,083		2,433,800		2,432,537		(1,263	)
Singapore Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	SGD	1,565		1,254,100		1,234,938		(19,162	)
Singapore Dollar expiring 07/23/13	Goldman Sachs & Co.	SGD	3,224		2,617,200		2,543,343		(73,857	)
Singapore Dollar expiring 07/23/13	JPMorgan Chase & Co.	SGD	22,438		18,135,115		17,703,447		(431,668	)
Singapore Dollar expiring 07/23/13	JPMorgan Chase & Co.	SGD	5,596		4,561,300		4,415,170		(146,130	)
Singapore Dollar expiring 07/23/13	JPMorgan Chase & Co.	SGD	3,078		2,434,900		2,428,766		(6,134	)
Singapore Dollar expiring 07/23/13	UBS AG	SGD	3,185		2,546,200		2,512,587		(33,613	)
South Korean Won expiring 07/15/13	UBS AG	KRW	3,554,167		3,262,200		3,109,576		(152,624	)
South Korean Won expiring 07/15/13	UBS AG	KRW	2,883,435		2,621,900		2,522,746		(99,154	)
South Korean Won expiring 10/04/13	Citibank NA	KRW	1,404,958		1,222,500		1,224,989		2,489
Swedish Krona expiring 07/24/13	Barclays Bank PLC	SEK	12,248		1,825,300		1,825,275		(25	)
Swedish Krona expiring 07/24/13	Deutsche Bank Securities Corp.	SEK	16,332		2,434,900		2,433,942		(958	)
Swedish Krona expiring 07/24/13	Deutsche Bank Securities Corp.	SEK	12,230		1,822,500		1,822,657		157
Swedish Krona expiring 07/24/13	Deutsche Bank Securities Corp.	SEK	12,159		1,884,800		1,812,058		(72,742	)
Swedish Krona expiring 07/24/13	Deutsche Bank Securities Corp.	SEK	8,245		1,222,500		1,228,815		6,315
Swedish Krona expiring 07/24/13	Goldman Sachs & Co.	SEK	47,103		7,187,260		7,019,824		(167,436	)
Swedish Krona expiring 07/24/13	Goldman Sachs & Co.	SEK	8,550		1,291,500		1,274,290		(17,210	)
Swedish Krona expiring 07/24/13	Goldman Sachs & Co.	SEK	8,529		1,308,600		1,271,066		(37,534	)
Swedish Krona expiring 07/24/13	Goldman Sachs & Co.	SEK	8,152		1,254,100		1,214,849		(39,251	)
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	27,609		4,181,400		4,114,616		(66,784	)
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	21,492		3,265,300		3,203,021		(62,279	)
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	12,762		1,956,800		1,901,964		(54,836	)
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	12,262		1,884,900		1,827,497		(57,403	)
Swedish Krona expiring 07/24/13	UBS AG	SEK	8,105		1,257,900		1,207,861		(50,039	)
Taiwan Dollar expiring 08/19/13	Barclays Bank PLC	TWD	191,280		6,409,331		6,385,084		(24,247	)
Taiwan Dollar expiring 11/13/13	Citibank NA	TWD	36,809		1,288,600		1,230,439		(58,161	)
Taiwan Dollar expiring 11/13/13	UBS AG	TWD	73,609		2,576,900		2,460,592		(116,308	)
Turkish Lira expiring 07/30/13	Barclays Bank PLC	TRY	2,341		1,256,500		1,207,922		(48,578	)
Turkish Lira expiring 07/30/13	Citibank NA	TRY	9,377		5,166,791		4,838,936		(327,855	)
Turkish Lira expiring 07/30/13	Goldman Sachs & Co.	TRY	3,560		1,884,900		1,837,256		(47,644	)
Turkish Lira expiring 07/30/13	JPMorgan Chase & Co.	TRY	2,366		1,216,900		1,220,659		3,759
Turkish Lira expiring 07/30/13	JPMorgan Chase & Co.	TRY	2,357		1,254,100		1,216,379		(37,721	)
Turkish Lira expiring 07/30/13	JPMorgan Chase & Co.	TRY	2,357		1,254,100		1,216,379		(37,721	)
Turkish Lira expiring 07/30/13	JPMorgan Chase & Co.	TRY	2,349		1,217,500		1,212,225		(5,275	)
				$	429,867,081	$	417,541,582	$	(12,325,499	)
Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 07/23/13	Barclays Bank PLC	AUD	2,675	$	2,445,000	$	2,442,113	$	2,887
Australian Dollar expiring 07/23/13	Citibank NA	AUD	4,013		3,811,400		3,663,662		147,738
Australian Dollar expiring 07/23/13	Citibank NA	AUD	3,860		3,933,100		3,524,153		408,947
Australian Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	AUD	2,549		2,594,400		2,327,460		266,940
Australian Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	AUD	2,365		2,331,800		2,158,996		172,804
Australian Dollar expiring 07/23/13	Goldman Sachs & Co.	AUD	4,503		4,565,800		4,110,586		455,214
Australian Dollar expiring 07/23/13	Goldman Sachs & Co.	AUD	2,622		2,594,900		2,393,863		201,037

SEE NOTES TO FINANCIAL STATEMENTS.

A54

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Australian Dollar expiring 07/23/13	Goldman Sachs & Co.	AUD	1,936	$	1,957,300	$	1,767,475	$	189,825
Australian Dollar expiring 07/23/13	JPMorgan Chase & Co.	AUD	2,558		2,618,000		2,335,641		282,359
Australian Dollar expiring 07/23/13	JPMorgan Chase & Co.	AUD	3,860		3,647,800		3,523,845		123,955
Australian Dollar expiring 07/23/13	JPMorgan Chase & Co.	AUD	1,339		1,222,500		1,222,509		(9	)
British Pound expiring 07/25/13	Citibank NA	GBP	4,510		6,877,702		6,858,214		19,488
British Pound expiring 07/25/13	Citibank NA	GBP	865		1,316,233		1,314,894		1,339
British Pound expiring 07/25/13	Credit Suisse First Boston	GBP	2,558		3,944,200		3,889,851		54,349
British Pound expiring 07/25/13	Credit Suisse First Boston	GBP	2,419		3,773,600		3,679,083		94,517
British Pound expiring 07/25/13	Goldman Sachs & Co.	GBP	2,522		3,914,600		3,835,429		79,171
British Pound expiring 07/25/13	Goldman Sachs & Co.	GBP	839		1,276,700		1,275,890		810
Canadian Dollar expiring 07/22/13	Barclays Bank PLC	CAD	2,583		2,465,100		2,455,119		9,981
Canadian Dollar expiring 07/22/13	Goldman Sachs & Co.	CAD	4,537		4,408,200		4,311,459		96,741
Canadian Dollar expiring 07/22/13	JPMorgan Chase & Co.	CAD	6,582		6,286,000		6,255,285		30,715
Canadian Dollar expiring 07/22/13	JPMorgan Chase & Co.	CAD	4,088		4,015,900		3,885,254		130,646
Canadian Dollar expiring 07/22/13	JPMorgan Chase & Co.	CAD	4,006		3,889,600		3,807,190		82,410
Chilean Peso expiring 08/16/13	Citibank NA	CLP	1,295,549		2,496,000		2,529,506		(33,506	)
Chilean Peso expiring 08/16/13	Citibank NA	CLP	1,258,211		2,618,000		2,456,605		161,395
Chilean Peso expiring 08/16/13	Citibank NA	CLP	630,374		1,297,200		1,230,780		66,420
Chilean Peso expiring 08/16/13	Citibank NA	CLP	251,888		518,800		491,801		26,999
Chinese Yuan Renminbi expiring 07/12/13	Citibank NA	CNY	11,617		1,881,100		1,890,594		(9,494	)
Chinese Yuan Renminbi expiring 07/12/13	Citibank NA	CNY	7,593		1,224,600		1,235,643		(11,043	)
Chinese Yuan Renminbi expiring 07/12/13	UBS AG	CNY	24,304		3,918,800		3,955,415		(36,615	)
Chinese Yuan Renminbi expiring 10/29/13	Barclays Bank PLC	CNY	24,157		3,890,605		3,901,591		(10,986	)
Czech Koruna expiring 07/24/13	Barclays Bank PLC	CZK	77,404		3,914,600		3,873,392		41,208
Czech Koruna expiring 07/24/13	Deutsche Bank Securities Corp.	CZK	51,424		2,609,700		2,573,298		36,402
Czech Koruna expiring 07/24/13	Deutsche Bank Securities Corp.	CZK	50,329		2,545,900		2,518,540		27,360
Czech Koruna expiring 07/24/13	Deutsche Bank Securities Corp.	CZK	36,549		1,809,600		1,828,949		(19,349	)
Euro expiring 07/25/13	Citibank NA	EUR	1,455		1,905,700		1,894,048		11,652
Euro expiring 07/25/13	Credit Suisse First Boston	EUR	283		374,400		368,413		5,987
Euro expiring 07/25/13	Credit Suisse First Boston	EUR	127		165,894		165,651		243
Euro expiring 07/25/13	Goldman Sachs & Co.	EUR	3,278		4,265,156		4,267,634		(2,478	)
Euro expiring 07/25/13	Goldman Sachs & Co.	EUR	3,016		3,919,200		3,925,532		(6,332	)
Euro expiring 07/25/13	Goldman Sachs & Co.	EUR	2,947		3,830,000		3,836,144		(6,144	)
Euro expiring 07/25/13	Goldman Sachs & Co.	EUR	993		1,297,200		1,293,277		3,923
Euro expiring 07/25/13	JPMorgan Chase & Co.	EUR	3,207		4,272,100		4,175,320		96,780
Euro expiring 07/25/13	JPMorgan Chase & Co.	EUR	301		393,300		391,778		1,522
Euro expiring 07/25/13	JPMorgan Chase & Co.	EUR	201		258,500		261,483		(2,983	)
Hungarian Forint expiring 07/24/13	Deutsche Bank Securities Corp.	HUF	1,013,413		4,472,200		4,461,057		11,143
Hungarian Forint expiring 07/24/13	Deutsche Bank Securities Corp.	HUF	602,041		2,594,400		2,650,193		(55,793	)
Hungarian Forint expiring 07/24/13	Deutsche Bank Securities Corp.	HUF	449,362		1,945,500		1,978,097		(32,597	)
Hungarian Forint expiring 07/24/13	Morgan Stanley	HUF	1,043,256		4,600,000		4,592,427		7,573
Hungarian Forint expiring 07/24/13	UBS AG	HUF	418,405		1,816,800		1,841,824		(25,024	)
Indian Rupee expiring 03/04/14	Citibank NA	INR	70,391		1,123,200		1,139,196		(15,996	)
Indian Rupee expiring 03/04/14	UBS AG	INR	151,938		2,591,700		2,458,947		132,753
Indian Rupee expiring 03/04/14	UBS AG	INR	133,937		2,325,300		2,167,619		157,681
Indian Rupee expiring 03/04/14	UBS AG	INR	112,966		1,944,500		1,828,219		116,281
Indian Rupee expiring 03/04/14	UBS AG	INR	112,373		1,937,300		1,818,628		118,672
Japanese Yen expiring 07/25/13	Barclays Bank PLC	JPY	132,198		1,383,700		1,333,035		50,665
Japanese Yen expiring 07/25/13	Citibank NA	JPY	67,686		683,848		682,526		1,322
Japanese Yen expiring 07/25/13	Goldman Sachs & Co.	JPY	125,369		1,263,800		1,264,175		(375	)
Japanese Yen expiring 07/25/13	Morgan Stanley	JPY	778,526		7,765,100		7,850,377		(85,277	)
Malaysian Ringgit expiring 10/17/13	Citibank NA	MYR	5,890		1,862,404		1,851,688		10,716
Mexican Peso expiring 07/22/13	Barclays Bank PLC	MXN	32,856		2,449,200		2,530,539		(81,339	)
Mexican Peso expiring 07/22/13	Citibank NA	MXN	73,156		5,945,000		5,634,485		310,515
Mexican Peso expiring 07/22/13	Citibank NA	MXN	72,244		5,834,400		5,564,259		270,141

SEE NOTES TO FINANCIAL STATEMENTS.

A55

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Mexican Peso expiring 07/22/13	Credit Suisse First Boston	MXN	26,072	$	2,032,800	$	2,008,061	$	24,739
Mexican Peso expiring 07/22/13	Deutsche Bank Securities Corp.	MXN	27,990		2,081,800		2,155,759		(73,959	)
Mexican Peso expiring 07/22/13	JPMorgan Chase & Co.	MXN	32,185		2,594,100		2,478,909		115,191
New Zealand Dollar expiring 07/23/13	Barclays Bank PLC	NZD	4,834		3,744,100		3,739,668		4,432
New Zealand Dollar expiring 07/23/13	Citibank NA	NZD	3,019		2,461,300		2,335,932		125,368
New Zealand Dollar expiring 07/23/13	Citibank NA	NZD	161		129,700		124,805		4,895
New Zealand Dollar expiring 07/23/13	Goldman Sachs & Co.	NZD	3,016		2,427,800		2,333,054		94,746
New Zealand Dollar expiring 07/23/13	Morgan Stanley	NZD	7,123		5,838,600		5,510,744		327,856
New Zealand Dollar expiring 07/23/13	UBS AG	NZD	3,797		3,109,100		2,937,334		171,766
Norwegian Krone expiring 07/24/13	Goldman Sachs & Co.	NOK	50,309		8,361,800		8,275,225		86,575
Norwegian Krone expiring 07/24/13	Goldman Sachs & Co.	NOK	14,887		2,508,830		2,448,655		60,175
Norwegian Krone expiring 07/24/13	JPMorgan Chase & Co.	NOK	15,306		2,621,900		2,517,603		104,297
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	22,647		3,862,900		3,725,102		137,798
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	18,277		3,111,700		3,006,293		105,407
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	14,478		2,464,700		2,381,411		83,289
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	11,352		1,919,700		1,867,205		52,495
Norwegian Krone expiring 07/24/13	Morgan Stanley	NOK	7,741		1,306,400		1,273,288		33,112
Norwegian Krone expiring 07/24/13	UBS AG	NOK	45,845		7,835,700		7,540,861		294,839
Peruvian Nuevo Sol expiring 07/10/13	Citibank NA	PEN	10,204		3,877,600		3,664,237		213,363
Peruvian Nuevo Sol expiring 07/10/13	Citibank NA	PEN	4,910		1,747,200		1,763,056		(15,856	)
Peruvian Nuevo Sol expiring 07/10/13	Citibank NA	PEN	3,107		1,166,900		1,115,808		51,092
Peruvian Nuevo Sol expiring 07/10/13	Citibank NA	PEN	345		128,600		124,004		4,596
Peruvian Nuevo Sol expiring 08/02/13	Citibank NA	PEN	11,631		4,441,800		4,167,482		274,318
Peruvian Nuevo Sol expiring 08/02/13	Citibank NA	PEN	6,865		2,611,100		2,459,667		151,433
Peruvian Nuevo Sol expiring 08/02/13	UBS AG	PEN	3,431		1,292,400		1,229,486		62,914
Philippine Peso expiring 09/05/13	Barclays Bank PLC	PHP	292,110		6,782,203		6,755,565		26,638
Philippine Peso expiring 09/05/13	UBS AG	PHP	109,387		2,521,300		2,529,765		(8,465	)
Philippine Peso expiring 09/05/13	UBS AG	PHP	55,274		1,248,000		1,278,310		(30,310	)
Polish Zloty expiring 07/24/13	Citibank NA	PLN	12,659		3,877,600		3,803,908		73,692
Polish Zloty expiring 07/24/13	Citibank NA	PLN	8,404		2,611,100		2,525,171		85,929
Polish Zloty expiring 07/24/13	Citibank NA	PLN	8,361		2,612,800		2,512,504		100,296
Polish Zloty expiring 07/24/13	Citibank NA	PLN	6,262		1,904,100		1,881,797		22,303
Polish Zloty expiring 07/24/13	JPMorgan Chase & Co.	PLN	6,318		1,938,600		1,898,617		39,983
Polish Zloty expiring 07/24/13	Morgan Stanley	PLN	4,194		1,306,700		1,260,312		46,388
Romanian Leu expiring 07/24/13	Citibank NA	RON	6,444		1,872,000		1,873,511		(1,511	)
Romanian Leu expiring 07/24/13	Citibank NA	RON	2,146		628,400		624,030		4,370
Romanian Leu expiring 07/24/13	Goldman Sachs & Co.	RON	8,738		2,546,200		2,540,377		5,823
Romanian Leu expiring 07/24/13	JPMorgan Chase & Co.	RON	15,465		4,537,800		4,496,041		41,759
Romanian Leu expiring 07/24/13	JPMorgan Chase & Co.	RON	10,862		3,182,700		3,157,782		24,918
Russian Ruble expiring 07/17/13	Citibank NA	RUB	103,193		3,120,100		3,130,985		(10,885	)
Russian Ruble expiring 07/17/13	Citibank NA	RUB	62,087		1,963,500		1,883,771		79,729
Russian Ruble expiring 07/17/13	Citibank NA	RUB	61,245		1,919,700		1,858,238		61,462
Russian Ruble expiring 07/17/13	Citibank NA	RUB	57,273		1,788,900		1,737,722		51,178
Russian Ruble expiring 07/17/13	Citibank NA	RUB	41,543		1,309,000		1,260,446		48,554
Russian Ruble expiring 07/18/13	Citibank NA	RUB	170,332		5,437,830		5,167,089		270,741
Singapore Dollar expiring 07/23/13	Barclays Bank PLC	SGD	6,445		5,189,900		5,085,386		104,514
Singapore Dollar expiring 07/23/13	Deutsche Bank Securities Corp.	SGD	4,766		3,773,600		3,760,024		13,576
Singapore Dollar expiring 07/23/13	Goldman Sachs & Co.	SGD	2,425		1,938,600		1,913,666		24,934
Singapore Dollar expiring 07/23/13	Goldman Sachs & Co.	SGD	2,351		1,836,900		1,854,960		(18,060	)
Singapore Dollar expiring 07/23/13	JPMorgan Chase & Co.	SGD	7,954		6,397,200		6,275,717		121,483
Singapore Dollar expiring 07/23/13	UBS AG	SGD	8,062		6,462,700		6,360,813		101,887
Singapore Dollar expiring 07/23/13	UBS AG	SGD	6,444		5,195,240		5,084,162		111,078
South Korean Won expiring 10/04/13	Citibank NA	KRW	1,462,751		1,286,500		1,275,378		11,122
South Korean Won expiring 10/04/13	UBS AG	KRW	2,908,234		2,594,900		2,535,701		59,199
South Korean Won expiring 10/04/13	UBS AG	KRW	2,034,895		1,809,600		1,774,233		35,367
Swedish Krona expiring 07/24/13	Barclays Bank PLC	SEK	14,711		2,218,600		2,192,469		26,131
Swedish Krona expiring 07/24/13	Deutsche Bank Securities Corp.	SEK	31,999		4,867,300		4,768,821		98,479
Swedish Krona expiring 07/24/13	Deutsche Bank Securities Corp.	SEK	16,515		2,463,400		2,461,297		2,103
Swedish Krona expiring 07/24/13	JPMorgan Chase & Co.	SEK	16,498		2,465,100		2,458,793		6,307

SEE NOTES TO FINANCIAL STATEMENTS.

A56

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	31,055	$	4,663,600	$	4,628,178	$	35,422
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	21,689		3,266,000		3,232,344		33,656
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	20,894		3,159,500		3,113,894		45,606
Swedish Krona expiring 07/24/13	Morgan Stanley	SEK	13,811		2,090,700		2,058,276		32,424
Taiwan Dollar expiring 08/19/13	Citibank NA	TWD	94,499		3,122,401		3,154,469		(32,068	)
Taiwan Dollar expiring 08/19/13	Citibank NA	TWD	38,609		1,287,600		1,288,789		(1,189	)
Taiwan Dollar expiring 08/19/13	UBS AG	TWD	58,172		1,946,200		1,941,826		4,374
Taiwan Dollar expiring 11/13/13	HSBC	TWD	110,418		3,802,273		3,691,032		111,241
Turkish Lira expiring 07/30/13	Barclays Bank PLC	TRY	5,845		2,995,300		3,016,149		(20,849	)
Turkish Lira expiring 07/30/13	JPMorgan Chase & Co.	TRY	7,116		3,877,600		3,671,760		205,840
Turkish Lira expiring 07/30/13	JPMorgan Chase & Co.	TRY	2,389		1,257,900		1,232,619		25,281
Turkish Lira expiring 07/30/13	JPMorgan Chase & Co.	TRY	2,384		1,292,400		1,230,032		62,368
				$	383,882,619	$	375,171,034		8,711,585
								$	(3,613,914	)

Interest rate swap agreements outstanding at June 30, 2013:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
$	15,385		12/14/14		0.351%	3 month LIBOR(2)	$	(13,536	)	$	—	$	(13,536	)	Citibank NA
	19,220		01/25/16		0.503%	3 month LIBOR(1)		46,431			—		46,431		Citibank NA
	41,980		06/07/16		0.654%	3 month LIBOR(2)		(150,459	)		—		(150,459	)	JPMorgan Chase Bank NA
	59,295		08/31/16		0.934%	3 month LIBOR(2)		291,790			—		291,790		Credit Suisse International
	20,710		08/31/16		0.975%	3 month LIBOR(1)		(131,307	)		—		(131,307	)	JPMorgan Chase Bank NA
	20,710		08/31/16		0.978%	3 month LIBOR(1)		(133,827	)		—		(133,827	)	JPMorgan Chase Bank NA
	17,550		08/31/17		0.751%	3 month LIBOR(1)		354,776			—		354,776		Bank of Nova Scotia
	24,680		11/30/17		1.155%	3 month LIBOR(1)		252,607			—		252,607		Morgan Stanley Capital Services, Inc.
	30,000		11/30/17		1.107%	3 month LIBOR(1)		366,033			—		366,033		Barclays Bank PLC
	870		04/18/18		0.986%	3 month LIBOR(1)		23,898			—		23,898		Citibank NA
	38,980		11/15/19		1.334%	3 month LIBOR(1)		1,449,782			—		1,449,782		Citibank NA
	13,290		11/15/19		1.499%	3 month LIBOR(2)		(353,560	)		—		(353,560	)	Citibank NA
	12,180		11/15/19		1.443%	3 month LIBOR(2)		(370,173	)		—		(370,173	)	Morgan Stanley Capital Services, Inc.
	12,180		02/15/20		1.505%	3 month LIBOR(1)		405,555			—		405,555		Morgan Stanley Capital Services, Inc.
	19,405		02/15/20		1.355%	3 month LIBOR(2)		(830,344	)		—		(830,344	)	Morgan Stanley Capital Services, Inc.
	2,225		04/19/20		1.441%	3 month LIBOR(1)		104,188			—		104,188		Citibank NA
	3,130		04/19/20		1.438%	3 month LIBOR(1)		147,295			—		147,295		Goldman Sachs International, Inc.
	2,090		12/13/27		2.200%	3 month LIBOR(2)		(228,771	)		—		(228,771	)	Barclays Bank PLC
AUD	1,270		12/19/32		4.423%	6 month Australian Bank Bill Rate(2)		(25,758	)		—		(25,758	)	Barclays Bank PLC
AUD	1,620		12/20/32		4.420%	6 month Australian Bank Bill Rate(2)		(32,501	)		—		(32,501	)	Citibank NA
BRL	13,135		01/01/17		0.000%	1 day Brazil Interbank Rate(2)		(249,875	)		—		(249,875	)	Barclays Bank PLC
BRL	7,942		01/01/17		0.000%	1 day Brazil Interbank Rate(2)		(269,330	)		—		(269,330	)	Citibank NA
EUR	13,985		12/14/14		0.349%	6 month EURIBOR(1)		12,675			—		12,675		Citibank NA
EUR	16,020		01/25/16		0.695%	6 month EURIBOR(2)		21,270			—		21,270		Citibank NA
EUR	1,640		12/13/27		2.065%	6 month EURIBOR(1)		65,134			—		65,134		Barclays Bank PLC
INR	200,000		05/20/23		6.800%	1 Day MIBOR(2)		(182,964	)		—		(182,964	)	Credit Suisse International
JPY	210,000		04/18/18		0.418%	6 Month JPY LIBOR(2)		(7,122	)		—		(7,122	)	HSBC Bank USA NA
JPY	600,000		04/19/20		0.563%	6 Month JPY LIBOR(2)		(61,119	)		—		(61,119	)	Citibank NA
JPY	790,000		04/19/20		0.520%	6 Month JPY LIBOR(2)		(104,655	)		—		(104,655	)	Goldman Sachs International, Inc.
JPY	400,000		05/20/20		0.698%	6 Month JPY LIBOR(2)		(5,739	)		—		(5,739	)	Credit Suisse International
JPY	1,700,000		05/21/20		0.689%	6 Month JPY LIBOR(2)		(35,377	)		—		(35,377	)	Credit Suisse International
JPY	285,000		04/16/23		0.785%	6 Month JPY LIBOR(2)		(65,736	)		—		(65,736	)	Citibank NA

SEE NOTES TO FINANCIAL STATEMENTS.

A57

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
MXN	199,700		07/05/13		5.480%	28 day Mexican Interbank Rate(2)	$	16,645		$	—	$	16,645		Barclays Bank PLC
MXN	65,000		12/02/15		5.080%	28 day Mexican Interbank Rate(2)		27,553			—		27,553		Morgan Stanley Capital Services, Inc.
MXN	76,000		06/20/18		6.020%	28 day Mexican Interbank Rate(2)		81,810			—		81,810		Credit Suisse International
MXN	48,200		05/25/22		6.370%	28 day Mexican Interbank Rate(2)		(29,472	)		—		(29,472	)	Morgan Stanley Capital Services, Inc.
MXN	20,100		04/28/23		5.100%	28 day Mexican Interbank Rate(2)		(189,358	)		—		(189,358	)	Barclays Bank PLC
NZD	13,400		08/18/16		4.173%	3 month BBR(2)		335,372			—		335,372		Citibank NA
NZD	4,320		03/26/17		3.810%	3 month BBR(2)		53,121			—		53,121		HSBC Bank USA NA
NZD	1,960		09/25/22		3.790%	3 month BBR(2)		(60,121	)		—		(60,121	)	Citibank NA
PLN	31,900		06/28/18		3.736%	6 Month WIBOR(2)		(25,225	)		—		(25,225	)	Citibank NA
RUB	95,000		05/17/23		7.250%	3 Month MOSPRIME(2)		(88,807	)		—		(88,807	)	Credit Suisse International
RUB	95,000		05/20/23		7.250%	3 Month MOSPRIME(2)		(89,089	)		—		(89,089	)	Credit Suisse International
ZAR	63,400		06/25/18		7.420%	3 Month JIBAR(2)		76,919			—		76,919		Barclays Bank PLC
							$	398,629		$	—	$	398,629

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

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

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

Exchange-traded swap agreements outstanding at June 30, 2013:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2013			Unrealized Depreciation
	Exchange-traded swap agreements:
	29,835		11/30/17		1.417%	3 month LIBOR(1)	$	—	$	(3,684	)	$	(3,684	)
	29,600		11/30/17		1.418%	3 month LIBOR(1)		—		(4,904	)		(4,904	)
	29,910		11/30/17		1.457%	3 month LIBOR(1)		—		(52,218	)		(52,218	)
	250		05/09/23		1.955%	3 month LIBOR(2)		—		(15,545	)		(15,545	)
							$	—	$	(76,351	)	$	(76,351	)

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

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

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

Credit default swap agreements outstanding at June 30, 2013:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy Protection(1):
American International Group, Inc.		03/20/18		3.700%	$	3,700	$	(435,323	)	$	—		$	(435,323	)	Deutsche Bank AG
Centex Corp.		06/20/14		1.000%		2,500		(21,861	)		(3,379	)		(18,482	)	Credit Suisse International
Duke Energy Corp.		03/20/14		0.700%		3,400		(17,651	)		—			(17,651	)	Goldman Sachs International, Inc.
Masco Corp.		09/20/13		1.000%		2,600		(4,810	)		5,455			(10,265	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		06/20/14		1.000%		7,000		(40,201	)		109,407			(149,608	)	Deutsche Bank AG
R.R. Donnelley & Sons Co.		09/20/16		1.000%		4,750		209,709			272,217			(62,508	)	JPMorgan Chase Bank NA
SLM Corp.		06/20/14		5.000%		4,150		(177,690	)		157,075			(334,765	)	JPMorgan Chase Bank NA
Toll Brothers Financial Corp.		03/20/15		1.000%		4,695		(37,306	)		12,597			(49,903	)	Credit Suisse International
Westvaco Corp.		09/20/19		1.000%		4,400		128,890			53,880			75,010		JPMorgan Chase Bank NA
							$	(396,243	)	$	607,252		$	(1,003,495	)
Over-the-counter credit default swap on credit indices—Buy Protection(1):
CDX.NA.IG.19.V1		12/20/17		1.000%		49,000		(515,469	)		(208,651	)		(306,818	)	Citibank NA
CDX.NA.IG.19.V1		12/20/17		1.000%		34,250		(360,302	)		(155,101	)		(205,201	)	Deutsche Bank AG
CDX.NA.IG.19.V1		12/20/17		1.000%		34,000		(357,672	)		(177,834	)		(179,838	)	Deutsche Bank AG
CDX.NA.IG.19.V1		12/20/17		1.000%		17,500		(184,096	)		(78,302	)		(105,794	)	Citibank NA
ITRAXX.EUR.18		12/20/17		1.000%		EUR 23,000		116,681			240,805			(124,124	)	Bank of America, NA

SEE NOTES TO FINANCIAL STATEMENTS.

A58

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Credit default swap agreements outstanding at June 30, 2013 (continued):

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(4)		Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swap on credit indices—Buy Protection(1) (continued):
ITRAXX.EUR.18		12/20/17		1.000%	EUR	23,000	$	116,681		$	397,817	$	(281,136	)	Deutsche Bank AG
							$	(1,184,177	)	$	18,734	$	(1,202,911	)

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%	$	18,720	$	1,176,140	$	808,600	$	367,540	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		12,960		814,250		592,200		222,050	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		12,000		753,935		525,833		228,102	Deutsche Bank AG
CDX.NA.HY.17.V5		12/20/16		5.000%		6,720		422,204		281,867		140,337	Credit Suisse International
							$	3,166,529	$	2,208,500	$	958,029

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

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

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

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

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

Currency swap agreements outstanding at June 30, 2013:

Notional Amount#		Fund Receives		Notional Amount#		Fund Pays	Counterparty	Termination Date		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
	Over-the-counter swap agreements:
	$  3,494,340		3 month LIBOR	EUR	2,700,000	3 month EURIBOR minus 28.25 bps	Barclays Bank PLC		10/17/14	$	(13,431	)	$	—		$	(13,431	)
	2,142,690		3 month LIBOR	EUR	1,650,000	3 month EURIBOR minus 30.50 bps	Barclays Bank PLC		12/04/14		(1,120	)		—			(1,120	)
	22,205,610		3 month LIBOR	EUR	16,740,000	3 month EURIBOR minus 26.25 bps	Barclays Bank PLC		01/25/15		447,894			—			447,894
	501,907		3 month LIBOR	JPY	50,000,000	3 month EURIBOR minus 54.00 bps	Barclays Bank PLC		10/12/16		(1,453	)		—			(1,453	)
	18,547,170		3 month LIBOR	EUR	13,940,000	3 month EURIBOR minus 26.00 bps	Citibank NA		01/25/15		427,960			—			427,960
	956,453		3 month LIBOR	JPY	93,235,000	3 month EURIBOR minus 32.75 bps	Citibank NA		05/02/15		16,344			—			16,344
	1,284,027		3 month LIBOR	JPY	100,000,000	4.500%	Citibank NA		06/08/15		262,316			(56,202	)		318,518
	383,926		3 month LIBOR	JPY	30,000,000	4.500%	Citibank NA		06/08/15		78,886			(15,095	)		93,981

SEE NOTES TO FINANCIAL STATEMENTS.

A59

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Notional Amount#		Fund Receives		Notional Amount#		Fund Pays	Counterparty	Termination Date		Fair Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
	$1,541,030		3 month LIBOR	JPY	120,000,000	3.450%	Citibank NA		03/24/17	$	398,063		$	7,475		$	390,588
	1,039,740		3 month LIBOR	EUR	780,000	3 month EURIBOR minus 25.75 bps	HSBC Bank USA NA		01/17/15		25,931			—			25,931
	8,983,790		3 month LIBOR	EUR	6,770,000	3 month EURIBOR minus 26.00 bps	HSBC Bank USA NA		01/25/15		184,131			—			184,131
	1,157,400		3 month LIBOR	EUR	900,000	0.362%	HSBC Bank USA NA		09/28/17		(10,778	)		—			(10,778	)
										$	1,814,743		$	(63,822	)	$	1,878,565

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1			Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Debt Obligations	$	—		$	7,862,319		$	—
Collateralized Loan Obligations		—			40,620,491			6,188,720
Non-Residential Mortgage-Backed Securities		—			19,841,097			—
Residential Mortgage-Backed Securities		—			65,135,086			—
Bank Loans		—			34,315,940			2,984,882
Collateralized Mortgage Obligations		—			3,148,560			—
Commercial Mortgage-Backed Securities		—			176,866,565			—
Corporate Bonds		—			564,007,541			7,897,571
Covered Bond		—			1,304,392			—
Foreign Agencies		—			40,791,950			—
Mortgage-Backed Securities		—			32,469,066			—
Municipal Bonds		—			24,049,598			—
Sovereigns		—			66,821,800			1,663,339
U.S. Government Treasury obligations		—			5,238,423			—
Preferred Stock		1,253,250			—			—
Affiliated Mutual Funds		222,243,546			—			—
Option Purchased		—			9,616			—
Other Financial Instruments*
Futures Contracts		(3,844,721	)		—			—
Forward Foreign Currency Exchange Contracts		—			(3,613,914	)		—
Interest Rate Swap Agreements		(76,351	)		398,629			—
Credit Default Swap Agreements		—			(1,230,726	)		(17,651	)
Currency Swap Agreements		—			1,878,565			—
Total	$	219,575,724		$	1,079,914,998		$	18,716,861

SEE NOTES TO FINANCIAL STATEMENTS.

A60

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

	Collateralized Loan Obligations			Non-Residential Mortgage-Backed Securities			Bank Loans			Corporate Bonds			Sovereigns			Credit Default Swaps
Balance as of 12/31/12	$	—		$	199,293		$	195,353		$	6,948,002		$	978,284		$	(27,303	)
Realized gain (loss)		—			130			482			—			—			—	**
Change in unrealized appreciation (depreciation)***		(7,494	)		(481	)		(65,051	)		63,912			39,404			9,652
Purchases		6,196,214			—			3,051,451			—			1,623,935			—
Sales		—			(198,972	)		(197,901	)		(352,792	)		—			—
Accrued discount/premium		—			30			548			(358	)		—			—
Transfers into Level 3		—			—			—			1,238,807			—			—
Transfers out of Level 3		—			—			—			—			(978,284	)		—
Balance as of 06/30/13	$	6,188,720		$	—		$	2,984,882		$	7,897,571		$	1,663,339		$	(17,651	)

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

** The realized loss incurred during the period for other financial instruments was $12,032.

*** Of which, $29,253 was included in Net Assets relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, 1 Sovereign transferred out of Level 3 as a result of being valued by an independent pricing source and 1 corporate bond transferred into Level 3 as a result of using single broker quote.

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Affiliated Mutual Funds (including 8.4% of collateral received for securities on loan)	18.1	%
Commercial Mortgage-Backed Securities	14.5
Banking	10.5
Sovereigns	5.6
Residential Mortgage-Backed Securities	5.3
Collateralized Loan Obligations	3.8
Foreign Agencies	3.3
Healthcare & Pharmaceutical	3.3
Insurance	3.2
Electric	3.0
Media & Entertainment	3.0
Non-Captive Finance	2.8
Mortgage-Backed Securities	2.7
Cable	2.2
Technology	2.2
Municipal Bonds	2.0
Energy – Other	1.7
Capital Goods	1.6
Non-Residential Mortgage-Backed Securities	1.6
Foods	1.4
Telecommunications	1.4
Automotive	1.3
Chemicals	1.3

Healthcare Insurance	1.2	%
Metals	1.2
Building Materials & Construction	1.1
Pipelines & Other	1.0
Paper	0.9
Gaming	0.8
Retailers	0.8
Collateralized Debt Obligations	0.7
Energy – Integrated	0.7
Tobacco	0.7
Airlines	0.5
Lodging	0.5
Real Estate Investment Trusts	0.5
Packaging	0.4
U.S. Government Treasury Obligations	0.4
Collateralized Mortgage Obligations	0.3
Aerospace & Defense	0.2
Brokerage	0.2
Consumer	0.2
Covered Bond	0.1
	108.2
Liabilities in excess of other assets	(8.2	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A61

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

Fair values of derivative instruments as of June 30, 2013 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	$	3,457,753		Premiums received for swap agreements	$	623,267
Credit contracts	Unrealized appreciation on swap agreements		1,033,039		Unrealized depreciation on swap agreements		2,281,416
Foreign exchange contracts	Unrealized appreciation on forward currency contracts		9,848,987		Unrealized depreciation on forward currency contracts		13,462,901
Interest rate contracts	Due to broker — variation margin		263,222	*	Due to broker — variation margin		4,184,294	*
Interest rate contracts	Premiums paid for swap agreements		7,475		Premiums received for swap agreements		71,297
Interest rate contracts	Unaffiliated investment		9,616		Unrealized depreciation on swap agreements		3,761,007
Interest rate contracts	Unrealized appreciation on swap agreements		6,038,201
Total		$	20,648,677			$	24,384,182

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 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	$	—	$	—		$	—		$	—		$	(3,267,903	)	$	(3,267,903	)
Foreign exchange contracts		—		—			—			(2,756,838	)		—			(2,756,838	)
Interest rate contracts		155,914		(38,686	)		(7,378,236	)		—			3,137,690			(4,123,318	)
Total	$	155,914	$	(38,686	)	$	(7,378,236	)	$	(2,756,838	)	$	(130,213	)	$	(10,148,059	)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Option Purchased			Futures			Forward Currency Contracts			Swaps		Total
Credit contracts	$	—		$	—		$	—		$	377,611	$	377,611
Foreign exchange contracts		—			—			(3,050,876	)		—		(3,050,876	)
Interest rate contracts		(413,619	)		(3,096,592	)		—			698,363		(2,811,848	)
Total	$	(413,619	)	$	(3,096,592	)	$	(3,050,876	)	$	1,075,974	$	(5,485,113	)

For the six months ended June 30, 2013, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased (Cost)	Options Written (Premium)	Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)	Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)
$278,336	$23,759	$425,250,021	$39,735,722	$344,539,890	$264,425,411

Exchange-traded Swaps (Notional Amount in USD  (000))	Interest Rate Swaps (Notional Amount in USD (000))	Credit Default Swaps as Buyer (Notional Amount in USD (000))	Credit Default Swaps as Writer (Notional Amount in USD (000))	Currency Swap (Notional Amount in USD (000))
$29,865	$411,065	$229,928	$41,850	$42,922

SEE NOTES TO FINANCIAL STATEMENTS.

A62

	DIVERSIFIED BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	100,891,630		$	—	$	—	$	100,891,630
Exchange-traded and cleared Derivatives		29,020			—		—		29,020
Over-the-counter Derivatives		16,929,843			—		—		16,929,843
									117,850,493
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Over-the-counter Derivatives	$	(19,505,324	)	$	—	$	—	$	(19,505,324	)
Exchange-traded and cleared Derivatives		—			—		—		—
									(19,505,324	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(100,891,630	)
Exchange-traded and cleared Derivatives									—
Over-the-counter Derivatives									437,114
Net Amount								$	(2,109,347	)

SEE NOTES TO FINANCIAL STATEMENTS.

A63

DIVERSIFIED BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $100,891,630:
Unaffiliated investments (cost $1,062,749,196)	$	1,102,470,206
Affiliated investments (cost $228,603,024)		222,243,546
Foreign currency, at value (cost $769,600)		765,520
Receivable for investments sold		23,444,641
Dividends and interest receivable		11,967,045
Unrealized appreciation on forward foreign currency exchange contracts		9,848,987
Unrealized appreciation on over-the-counter swap agreements		7,071,240
Premium paid for swap agreements		3,465,228
Due from broker—variation margin		29,020
Receivable for Series shares sold		23,174
Foreign tax reclaim receivable		3,823
Prepaid expenses		1,400
Total Assets		1,381,333,830
LIABILITIES
Collateral for securities on loan		103,169,696
Payable for investments purchased		33,114,739
Unrealized depreciation on forward foreign currency exchange contracts		13,462,901
Unrealized depreciation on over-the-counter swap agreements		6,042,423
Premium received for swap agreements		694,564
Management fee payable		409,270
Accrued expenses and other liabilities		228,979
Payable for Series shares repurchased		202,957
Payable to custodian		185,723
Deferred trustees’ fees		3,322
Affiliated transfer agent fee payable		926
Total Liabilities		157,515,500
NET ASSETS	$	1,223,818,330
Net assets were comprised of:
Paid-in capital	$	1,185,307,179
Retained earnings		38,511,151
Net assets, June 30, 2013	$	1,223,818,330
Net asset value and redemption price per share, $1,223,818,330 / 110,924,635 outstanding shares of beneficial interest	$	11.03

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2013

INVESTMENT INCOME
Interest income	$	28,445,404
Unaffiliated dividend income		858,489
Affiliated income from securities loaned, net		81,537
Affiliated dividend income		20,587
		29,406,017
EXPENSES
Management fee		2,554,995
Custodian’s fees and expenses		119,000
Shareholders’ reports		74,000
Audit fee		20,000
Trustees’ fees		12,000
Insurance expenses		8,000
Legal fees and expenses		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		8,550
Total expenses		2,811,545
NET INVESTMENT INCOME		26,594,472
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions (including affiliated: $(387,513))		1,832,111
Futures transactions		(7,378,236	)
Swap agreement transactions		(130,213	)
Foreign currency transactions		(2,668,479	)
Options written transactions		(38,686	)
		(8,383,503	)
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $1,140,031)		(45,603,308	)
Futures		(3,096,592	)
Swap agreements		1,075,974
Foreign currencies		(3,070,921	)
		(50,694,847	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(59,078,350	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(32,483,878	)

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	26,594,472		$	63,489,896
Net realized gain (loss) on investment and foreign currency transactions		(8,383,503	)		35,260,830
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(50,694,847	)		44,689,412
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(32,483,878	)		143,440,138
DISTRIBUTIONS		(59,986,377	)		(119,592,407	)
SERIES SHARE TRANSACTIONS:
Series shares sold [1,246,963 and 10,761,927 shares, respectively]		14,888,118			126,405,304
Series shares issued in reinvestment of distributions [5,270,069 and 10,330,307 shares, respectively]		59,986,377			119,592,407
Series shares repurchased [5,473,395 and 43,877,359 shares, respectively]		(64,486,963	)		(520,843,578	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		10,387,532			(274,845,867	)
TOTAL DECREASE IN NET ASSETS		(82,082,723	)		(250,998,136	)
NET ASSETS:
Beginning of period		1,305,901,053			1,556,899,189
End of period	$	1,223,818,330		$	1,305,901,053

SEE NOTES TO FINANCIAL STATEMENTS.

A64

	EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 98.2%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 4.3%
Boeing Co. (The)		503,771	$	51,606,301
Precision Castparts Corp.		221,702		50,106,869
TransDigm Group, Inc.		290,801		45,588,873
				147,302,043
Air Freight & Logistics — 0.9%
FedEx Corp.		314,181		30,971,963
Airlines — 1.2%
United Continental Holdings, Inc.*(a)		1,351,188		42,278,673
Auto Components — 1.1%
Lear Corp.		624,116		37,734,053
Automobiles — 0.2%
General Motors Co.*(a)		186,293		6,205,420
Biotechnology — 5.3%
Alexion Pharmaceuticals, Inc.*		313,181		28,887,816
Biogen Idec, Inc.*		243,582		52,418,847
BioMarin Pharmaceutical, Inc.*(a)		272,622		15,209,581
Gilead Sciences, Inc.*(a)		1,108,376		56,759,935
Vertex Pharmaceuticals, Inc.*		332,920		26,590,320
				179,866,499
Capital Markets — 3.8%
Goldman Sachs Group, Inc. (The)		311,617		47,132,071
Morgan Stanley		3,346,793		81,762,153
				128,894,224
Chemicals — 2.1%
Monsanto Co.		568,548		56,172,542
Mosaic Co. (The)		279,055		15,015,950
				71,188,492
Commercial Banks — 2.5%
PNC Financial Services Group, Inc.		515,210		37,569,113
Wells Fargo & Co.		1,202,108		49,610,997
				87,180,110
Communications Equipment — 1.1%
JDS Uniphase Corp.*		2,528,247		36,356,192
Computers & Peripherals — 1.7%
Apple, Inc.		149,624		59,263,074
Consumer Finance — 0.8%
Capital One Financial Corp.		465,073		29,211,235
Diversified Financial Services — 3.2%
Citigroup, Inc.		975,066		46,773,916
ING US, Inc.*		936,019		25,328,674
JPMorgan Chase & Co.		705,831		37,260,819
				109,363,409
Diversified Telecommunication Services — 0.9%
Vivendi SA (France)		1,628,411		30,860,858
Electric Utilities — 0.8%
EDP – Energias de Portugal SA (Portugal)		8,801,505		28,391,401
Electronic Equipment & Instruments — 1.5%
Flextronics International Ltd. (Singapore)*		6,579,992		50,929,138

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services — 2.8%
FMC Technologies, Inc.*		466,184	$	25,957,125
Halliburton Co.		887,495		37,026,292
National Oilwell Varco, Inc.		455,129		31,358,388
				94,341,805
Food & Staples Retailing — 2.9%
Costco Wholesale Corp.		354,702		39,219,400
Wal-Mart Stores, Inc.		251,216		18,713,080
Whole Foods Market, Inc.		808,808		41,637,436
				99,569,916
Food Products — 3.6%
Bunge Ltd. (Bermuda)		566,789		40,111,658
Mondelez International, Inc. (Class A Stock)		1,491,419		42,550,184
Tyson Foods, Inc. (Class A Stock)		1,554,159		39,910,803
				122,572,645
Healthcare Equipment & Supplies — 0.9%
Abbott Laboratories		841,997		29,368,855
Healthcare Providers & Services — 2.9%
Express Scripts Holding Co*		409,800		25,280,562
HCA Holdings, Inc.		935,613		33,738,205
UnitedHealth Group, Inc.		598,934		39,218,198
				98,236,965
Hotels, Restaurants & Leisure — 2.8%
Carnival Corp. (Panama)		928,133		31,825,681
Dunkin’ Brands Group, Inc.		741,577		31,754,327
Starbucks Corp.		472,209		30,924,967
				94,504,975
Independent Power Producers & Energy Traders — 1.0%
Calpine Corp.*		1,659,162		35,224,009
Insurance — 1.3%
MetLife, Inc.		973,474		44,546,170
Internet & Catalog Retail — 4.0%
Amazon.com, Inc.*		248,992		69,142,589
ASOS PLC (United Kingdom)*		263,776		16,188,182
priceline.com, Inc.*		62,961		52,076,932
				137,407,703
Internet Software & Services — 4.9%
Facebook, Inc.*		1,229,636		30,568,751
Google, Inc. (Class A Stock)*		101,553		89,404,215
LinkedIn Corp. (Class A Stock)*		266,075		47,441,172
				167,414,138
IT Services — 3.7%
International Business Machines Corp.(a)		177,291		33,882,083
MasterCard, Inc. (Class A Stock)		161,025		92,508,863
				126,390,946
Machinery — 0.7%
SPX Corp.		332,228		23,913,772
Media — 3.8%
Comcast Corp. (Class A Stock)		852,659		35,709,359
Liberty Global PLC (United Kingdom)*		667,438		45,312,366

SEE NOTES TO FINANCIAL STATEMENTS.

A65

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Walt Disney Co. (The)		761,051	$	48,060,370
				129,082,095
Metals & Mining — 1.4%
Goldcorp, Inc. (Canada)		1,000,089		24,732,201
Kinross Gold Corp. (Canada)		4,365,786		22,265,509
				46,997,710
Multi-Line Retail — 0.2%
J.C. Penney Co., Inc.*(a)		395,028		6,747,078
Oil, Gas & Consumable Fuels — 6.3%
Anadarko Petroleum Corp.		513,970		44,165,442
Denbury Resources, Inc.*		929,092		16,091,873
Marathon Oil Corp.		1,091,709		37,751,297
Noble Energy, Inc.		719,852		43,219,914
Occidental Petroleum Corp.		475,069		42,390,407
Suncor Energy, Inc. (Canada)		1,131,510		33,352,487
				216,971,420
Personal Products — 2.0%
Avon Products, Inc.		1,195,111		25,133,184
Estee Lauder Cos., Inc. (The) (Class A Stock)		656,453		43,174,914
				68,308,098
Pharmaceuticals — 4.7%
Actavis Inc*		298,357		37,658,621
Novo Nordisk A/S, ADR (Denmark)		245,159		37,992,290
Pfizer, Inc.		1,336,046		37,422,648
Sanofi, ADR (France)		660,780		34,036,778
Teva Pharmaceutical Industries Ltd., ADR (Israel)		356,831		13,987,775
				161,098,112
Road & Rail — 1.1%
Canadian Pacific Railway Ltd. (Canada)		302,408		36,706,283
Semiconductors & Semiconductor Equipment — 0.5%
Avago Technologies Ltd. (Singapore)		466,413		17,434,518
Software — 6.3%
CA, Inc.		1,287,148		36,851,047
Microsoft Corp.		1,776,300		61,335,639
Red Hat, Inc.*		598,976		28,643,032
salesforce.com, Inc.*(a)		871,514		33,274,405
Splunk, Inc.*		295,162		13,683,710
VMware, Inc. (Class A Stock)*(a)		360,444		24,146,144
Workday, Inc. (Class A Stock)*		272,046		17,435,428
				215,369,405
Specialty Retail — 2.6%
Inditex SA ADR (Spain)		1,455,184		35,986,700
TJX Cos., Inc. (The)		1,046,268		52,376,176
				88,362,876
Textiles, Apparel & Luxury Goods — 4.9%
Michael Kors Holdings Ltd. (British Virgin Islands)*		740,411		45,920,290
NIKE, Inc. (Class B Stock)		814,176		51,846,728

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods (continued)
Prada SpA (Italy)		3,828,153	$	34,521,375
Ralph Lauren Corp.		208,806		36,277,954
				168,566,347
Wireless Telecommunication Services — 1.5%
NII Holdings, Inc.*		2,377,019		15,854,717
SBA Communications Corp. (Class A Stock)*(a)		462,905		34,310,518
				50,165,235
TOTAL LONG-TERM INVESTMENTS (cost $2,473,882,628)				3,355,297,860
SHORT-TERM INVESTMENT — 6.5%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $223,171,834; includes $164,456,858 of cash collateral for securities on loan)(b)(w)(Note 4)		223,171,834		223,171,834
TOTAL INVESTMENTS — 104.7% (cost $2,697,054,462)				3,578,469,694
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.7)%				(161,453,685	)
NET ASSETS — 100.0%			$	3,417,016,009

The following abbreviation is used in the Portfolio description:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $159,230,787; cash collateral of $164,456,858 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A66

	EQUITY PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	3,245,336,044	$	109,961,816	$	—
Affiliated Money Market Mutual Fund		223,171,834		—		—
Total	$	3,468,507,878	$	109,961,816	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Affiliated Money Market Mutual Fund (4.8% represents investments purchased with collateral from securities on loan)	6.5	%
Oil, Gas & Consumable Fuels	6.3
Software	6.3
Biotechnology	5.3
Textiles, Apparel & Luxury Goods	4.9
Internet Software & Services	4.9
Pharmaceuticals	4.7
Aerospace & Defense	4.3
Internet & Catalog Retail	4.0
Media	3.8
Capital Markets	3.8
IT Services	3.7
Food Products	3.6
Diversified Financial Services	3.2
Food & Staples Retailing	2.9

Healthcare Providers & Services	2.9	%
Hotels, Restaurants & Leisure	2.8
Energy Equipment & Services	2.8
Specialty Retail	2.6
Commercial Banks	2.5
Chemicals	2.1
Personal Products	2.0
Computers & Peripherals	1.7
Electronic Equipment & Instruments	1.5
Wireless Telecommunication Services	1.5
Metals & Mining	1.4
Insurance	1.3
Airlines	1.2
Auto Components	1.1
Road & Rail	1.1
Communications Equipment	1.1
Independent Power Producers & Energy Traders	1.0
Air Freight & Logistics	0.9
Diversified Telecommunication Services	0.9
Healthcare Equipment & Supplies	0.9
Consumer Finance	0.8
Electric Utilities	0.8
Machinery	0.7
Semiconductors & Semiconductor Equipment	0.5
Multi-Line Retail	0.2
Automobiles	0.2
	104.7
Liabilities in excess of other assets	(4.7	)
	100.0	%

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

Offsetting of financial instrument assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on loan	$	159,230,787	$	—	$	—	$	159,230,787
Collateral Amounts Pledged/(Received):
Securities on loan								(159,230,787	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A67

EQUITY PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2013

ASSETS
Investments at value, including securities on loan of 159,230,787:
Unaffiliated investments (cost $2,473,882,628)	$	3,355,297,860
Affiliated investments (cost $223,171,834)		223,171,834
Foreign currency, at value (cost $53,779)		53,794
Receivable for investments sold		7,937,449
Tax reclaim receivable		1,745,570
Dividends and interest receivable		1,164,720
Receivable for Series shares sold		136,905
Prepaid expenses		3,085
Total Assets		3,589,511,217
LIABILITIES
Collateral for securities on loan		164,456,858
Payable for investments purchased		5,949,168
Management fee payable		1,274,925
Payable for Series shares repurchased		539,794
Accrued expenses and other liabilities		271,920
Affiliated transfer agent fees payable		926
Deferred trustees’ fees		891
Distribution fee payable		397
Administration fee payable		329
Total Liabilities		172,495,208
NET ASSETS	$	3,417,016,009
Net assets were comprised of:
Paid-in capital	$	2,511,724,150
Retained earnings		905,291,859
Net assets, June 30, 2013	$	3,417,016,009
Class I:
Net asset value and redemption price per share, $3,415,096,252 / 114,249,947 outstanding shares of beneficial interest	$	29.89
Class II:
Net asset value and redemption price per share, $1,919,757 / 63,669 outstanding shares of beneficial interest	$	30.15

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INVESTMENT INCOME
Unaffiliated dividend income (net of $817,564 foreign withholding tax)	$	22,789,311
Affiliated income from securities lending, net		273,697
Affiliated dividend income		61,084
Interest income		41
		23,124,133
EXPENSES
Management fee		7,519,870
Distribution fee—Class II		2,375
Administration fee—Class II		1,425
Shareholders’ reports		144,000
Custodian’s fees and expenses		121,000
Trustees’ fees		20,000
Insurance expenses		17,000
Audit fee		11,000
Legal fees and expenses		9,000
Transfer agent’s fees and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		13,521
Total expenses		7,867,191
NET INVESTMENT INCOME		15,256,942
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		169,818,503
Foreign currency transactions		(7,613	)
		169,810,890
Net change in unrealized appreciation (depreciation) on:
Investments		175,491,246
Foreign currencies		430
		175,491,676
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		345,302,566
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	360,559,508

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net investment income	$	15,256,942		$	32,977,472
Net realized gain on investment and foreign currency transactions		169,810,890			160,093,957
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		175,491,676			208,970,300
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		360,559,508			402,041,729
DISTRIBUTIONS
Class I		—			(18,817,932	)
Class II		—			(4,233	)
TOTAL DISTRIBUTIONS		—			(18,822,165	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		8,255,821			17,165,247
Series shares issued in reinvestment of distributions		—			18,822,165
Series shares repurchased		(120,627,820	)		(249,839,713	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(112,371,999	)		(213,852,301	)
TOTAL INCREASE IN NET ASSETS		248,187,509			169,367,263
NET ASSETS:
Beginning of period		3,168,828,500			2,999,461,237
End of period	$	3,417,016,009		$	3,168,828,500

SEE NOTES TO FINANCIAL STATEMENTS.

A68

	FLEXIBLE MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 97.8%
COMMON STOCKS — 67.2%	Shares		Value (Note 2)
Aerospace & Defense — 1.6%
Alliant Techsystems, Inc.		45,000	$	3,704,850
BAE Systems PLC (United Kingdom)		41,403		241,111
Boeing Co. (The)		34,800		3,564,912
European Aeronautic Defense and Space Co. NV (Netherlands)		8,412		450,046
Exelis, Inc.		135,800		1,872,682
General Dynamics Corp.		207,700		16,269,141
L-3 Communications Holdings, Inc.		28,700		2,460,738
Meggitt PLC (United Kingdom)		11,596		91,362
Northrop Grumman Corp.		202,900		16,800,120
Raytheon Co.		93,600		6,188,832
Safran SA (France)		1,103		57,583
Spirit Aerosystems Holdings, Inc. (Class A Stock)*		118,100		2,536,788
Thales SA (France)		4,430		206,720
United Technologies Corp.		6,200		576,228
				55,021,113
Air Freight & Logistics — 0.6%
Deutsche Post AG (Germany)		4,351		107,983
FedEx Corp.		162,600		16,029,108
United Parcel Service, Inc. (Class B Stock)		61,700		5,335,816
				21,472,907
Airlines — 0.1%
Allegiant Travel Co.(a)		5,700		604,143
Deutsche Lufthansa AG (Germany)*		1,057		21,412
EasyJet PLC (United Kingdom)		8,385		165,277
International Consolidated Airlines Group SA (United Kingdom)*		4,360		17,505
Ryanair Holdings PLC (Ireland), ADR		7,700		396,781
Spirit Airlines, Inc.*		51,100		1,623,447
				2,828,565
Auto Components
Aisin Seiki Co. Ltd. (Japan)		900		34,364
Bridgestone Corp. (Japan)		3,100		105,711
Cie Generale des Etablissements Michelin (France) (Class B Stock)		843		75,377
Denso Corp. (Japan)		2,400		112,832
Sumitomo Rubber Industries Ltd. (Japan)		800		13,059
Toyoda Gosei Co. Ltd. (Japan)		5,200		127,138
Toyota Boshoku Corp. (Japan)		20,400		293,325
Visteon Corp.*		6,300		397,656
				1,159,462
Automobiles — 0.1%
Bayerische Motoren Werke AG (Germany)		2,757		240,619
Daihatsu Motor Co. Ltd. (Japan)		1,000		18,941
Daimler AG (Germany)		242		14,609
Fiat SpA (Italy)*(a)		44,778		312,281
Fuji Heavy Industries Ltd. (Japan)		21,000		518,579
Honda Motor Co. Ltd. (Japan)		600		22,290
Isuzu Motors Ltd. (Japan)		5,000		34,180

COMMON STOCKS (continued)	Shares		Value (Note 2)
Automobiles (continued)
Mazda Motor Corp. (Japan)*		13,000	$	51,395
Peugeot SA (France)*(a)		1,028		8,479
Renault SA (France)		2,934		197,626
Suzuki Motor Corp. (Japan)		12,700		292,739
Thor Industries, Inc.		21,600		1,062,288
Toyota Motor Corp. (Japan)		12,800		772,068
Volkswagen AG (Germany)		29		5,638
				3,551,732
Beverages — 1.7%
Anheuser-Busch InBev NV (Belgium)		756		68,065
Carlsberg A/S (Denmark) (Class B Stock)		502		44,887
Coca-Cola Co. (The)		362,900		14,555,919
Coca-Cola Enterprises, Inc.		334,300		11,753,988
Diageo PLC (United Kingdom)		5,892		168,962
Dr Pepper Snapple Group, Inc.		77,800		3,573,354
Heineken Holding NV (Netherlands)		5,294		296,710
Heineken NV (Netherlands)		1,097		69,825
Kirin Holdings Co., Ltd. (Japan)		4,000		62,657
PepsiCo, Inc.		341,220		27,908,384
SABMiller PLC (United Kingdom)		2,112		101,257
				58,604,008
Biotechnology — 1.8%
Actelion Ltd. (Switzerland)		5,265		317,152
Alexion Pharmaceuticals, Inc.*		48,500		4,473,640
Amgen, Inc.		180,808		17,838,517
Biogen Idec, Inc.*		73,800		15,881,760
Celgene Corp.*		200,500		23,440,455
CSL Ltd. (Australia)		2,424		136,515
Myriad Genetics, Inc.*(a)		19,500		523,965
				62,612,004
Building Products — 0.2%
A.O. Smith Corp.		13,000		471,640
Geberit AG (Switzerland)		178		44,095
Lennox International, Inc.		79,700		5,143,838
TOTO Ltd. (Japan)		1,000		10,168
				5,669,741
Capital Markets — 1.9%
3i Group PLC (United Kingdom)		24,818		127,434
Aberdeen Asset Management PLC (United Kingdom)		52,453		305,260
BlackRock, Inc.		49,100		12,611,335
Daiwa Securities Group, Inc. (Japan)		8,000		66,999
Franklin Resources, Inc.		99,400		13,520,388
Goldman Sachs Group, Inc. (The)		167,600		25,349,500
Invesco Ltd.		16,700		531,060
Morgan Stanley		220,900		5,396,587
Nomura Holdings, Inc. (Japan)		17,900		131,758
Partners Group Holding AG (Switzerland)		83		22,466
Schroders PLC (United Kingdom)		5,686		188,759
State Street Corp.		43,500		2,836,635
T. Rowe Price Group, Inc.		36,500		2,669,975

SEE NOTES TO FINANCIAL STATEMENTS.

A69

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets (continued)
UBS AG (Switzerland)		7,362	$	124,961
				63,883,117
Chemicals — 1.6%
Air Water, Inc. (Japan)		1,000		14,058
Asahi Kasei Corp. (Japan)		6,000		39,589
BASF SE (Germany)		7,201		642,279
CF Industries Holdings, Inc.		71,500		12,262,250
Daicel Corp. (Japan)		34,000		297,159
Denki Kagaku Kogyo KK (Japan)		2,000		7,240
EMS-Chemie Holding AG (Switzerland)		40		11,847
International Flavors & Fragrances, Inc.		27,400		2,059,384
JSR Corp. (Japan)		900		18,210
K+S AG (Germany)		7,456		275,551
Kaneka Corp. (Japan)		1,000		6,594
Kansai Paint Co. Ltd. (Japan)		1,000		12,765
Kuraray Co. Ltd. (Japan)		20,600		288,713
LSB Industries, Inc.*		15,900		483,519
LyondellBasell Industries NV (Class A Stock)		253,400		16,790,284
Mitsubishi Chemical Holdings Corp. (Japan)		6,500		30,464
Mitsubishi Gas Chemical Co., Inc. (Japan)		2,000		14,663
Monsanto Co.		99,200		9,800,960
Mosaic Co. (The)		216,100		11,628,341
Nitto Denko Corp. (Japan)		800		51,308
Shin-Etsu Chemical Co. Ltd. (Japan)		2,000		132,371
Showa Denko KK (Japan)		7,000		9,232
Syngenta AG (Switzerland)		443		172,752
Yara International ASA (Norway)		7,223		288,046
				55,337,579
Commercial Banks — 1.9%
Aozora Bank Ltd. (Japan)		104,000		324,800
Australia & New Zealand Banking Group Ltd. (Australia)		23,877		619,834
Banco Santander SA (Spain)		10,303		65,931
Bank Hapoalim BM (Israel)*		62,656		282,766
Bank of East Asia Ltd. (Hong Kong)		6,000		21,476
Bank of Yokohama Ltd. (The) (Japan)		6,000		30,952
BB&T Corp.		178,600		6,050,968
BNP Paribas SA (France)		1,187		64,982
Chiba Bank Ltd. (The) (Japan)		3,000		20,469
Commonwealth Bank of Australia (Australia)		11,799		742,704
DBS Group Holdings Ltd. (Singapore)		6,000		73,007
DNB ASA (Norway)		4,829		70,053
Fukuoka Financial Group, Inc. (Japan)		4,000		17,013
HSBC Holdings PLC (United Kingdom)		62,134		643,224
Huntington Bancshares, Inc.		1,132,300		8,922,524
Iyo Bank Ltd. (The) (Japan)		1,000		9,558
Joyo Bank Ltd. (The) (Japan)		3,000		16,384

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
KeyCorp		60,500	$	667,920
Mitsubishi UFJ Financial Group, Inc. (Japan)		68,200		421,194
Mizuho Financial Group, Inc. (Japan)		221,700		460,403
National Australia Bank Ltd. (Australia)		11,378		307,776
Nordea Bank AB (Sweden)		12,402		138,496
Oversea-Chinese Banking Corp. Ltd. (Singapore)		12,000		94,334
Regions Financial Corp.		126,100		1,201,733
Resona Holdings, Inc. (Japan)		9,000		43,832
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		32,143		306,869
Standard Chartered PLC (United Kingdom)		3,460		75,118
Sumitomo Mitsui Financial Group, Inc. (Japan)		12,400		567,586
Suruga Bank Ltd. (Japan)		1,000		18,134
Svenska Handelsbanken AB (Sweden) (Class A Stock)		2,378		95,273
Swedbank AB (Sweden) (Class A Stock)		17,283		395,859
U.S. Bancorp		299,432		10,824,467
Wells Fargo & Co.		764,012		31,530,775
Westpac Banking Corp. (Australia)		25,424		667,507
Yamaguchi Financial Group, Inc. (Japan)		1,000		9,839
				65,803,760
Commercial Services & Supplies — 0.1%
Dai Nippon Printing Co. Ltd. (Japan)		16,000		145,996
Deluxe Corp.		9,600		332,640
Secom Co. Ltd. (Japan)		1,000		54,371
Toppan Printing Co. Ltd. (Japan)		3,000		20,811
Tyco International Ltd.		9,900		326,205
UniFirst Corp.		14,800		1,350,500
				2,230,523
Communications Equipment — 1.7%
AAC Technologies Holdings, Inc. (Hong Kong)		55,000		308,576
Cisco Systems, Inc.		1,333,600		32,419,816
QUALCOMM, Inc.		435,100		26,575,908
				59,304,300
Computers & Peripherals — 3.0%
Apple, Inc.		176,400		69,868,512
EMC Corp.		198,600		4,690,932
Hewlett-Packard Co.		979,900		24,301,520
NEC Corp. (Japan)		92,000		201,467
NetApp, Inc.*		58,700		2,217,686
Synaptics, Inc.*		13,600		524,416
				101,804,533
Construction & Engineering — 0.1%
AECOM Technology Corp.*		43,500		1,382,865
Bouygues SA (France)		3,275		83,453
Ferrovial SA (Spain)		19,524		311,700

SEE NOTES TO FINANCIAL STATEMENTS.

A70

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction & Engineering (continued)
Hochtief AG (Germany)		148	$	9,641
JGC Corp. (Japan)		1,000		36,012
Koninklijke Boskalis Westminster NV (Netherlands)		362		13,187
Quanta Services, Inc.*		103,900		2,749,194
Vinci SA (France)		8,474		425,058
				5,011,110
Construction Materials
HeidelBergCement AG (Germany)		658		44,086
Imerys SA (France)		157		9,640
				53,726
Consumer Finance — 0.9%
Capital One Financial Corp.		125,100		7,857,531
Discover Financial Services		349,200		16,635,888
SLM Corp.		212,200		4,850,892
				29,344,311
Containers & Packaging — 0.1%
Owens-Illinois, Inc.*		58,900		1,636,831
Diversified Financial Services — 2.2%
Bank of America Corp.		820,182		10,547,541
Citigroup, Inc.		400,950		19,233,571
Industrivarden AB (Sweden) (Class C Stock)		5,441		90,856
Investor AB (Sweden) (Class B Stock)		12,536		336,477
Japan Exchange Group, Inc. (Japan)		2,600		262,618
JPMorgan Chase & Co.		831,994		43,920,963
ORIX Corp. (Japan)		12,300		167,855
				74,559,881
Diversified Telecommunication Services — 2.2%
AT&T, Inc.		1,158,947		41,026,724
Bezeq The Israeli Telecommunication Corp. Ltd. (Israel)		9,188		12,216
BT Group PLC (United Kingdom)		94,409		443,229
CenturyLink, Inc.		297,800		10,527,230
Deutsche Telekom AG (Germany)		38,320		446,447
Nippon Telegraph & Telephone Corp. (Japan)		8,400		437,815
Orange SA (France)		8,888		84,164
TDC A/S (Denmark)		24,416		197,881
Telecom Italia SpA-RSP (Italy)		99,379		55,404
Telenor ASA (Norway)		3,265		64,853
Telstra Corp. Ltd. (Australia)		21,076		91,628
Verizon Communications, Inc.		465,588		23,437,700
Ziggo NV (Netherlands)		816		32,776
				76,858,067
Electric Utilities — 0.8%
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		1,000		6,663
Chubu Electric Power Co., Inc. (Japan)		3,100		43,912
Chugoku Electric Power Co., Inc. (The) (Japan)		1,400		21,952

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electric Utilities (continued)
Duke Energy Corp.		49,500	$	3,341,250
Edison International		183,800		8,851,808
El Paso Electric Co.		23,400		826,254
Electricite de France SA (France)		7,262		168,525
Energias de Portugal SA (Portugal)		97,227		313,629
Exelon Corp.		130,300		4,023,664
Fortum OYJ (Finland)		2,146		40,202
Hokkaido Electric Power Co., Inc. (Japan)*		900		12,282
Hokuriku Electric Power Co. (Japan)		800		12,553
Iberdrola SA (Spain)		36,984		195,445
Kansai Electric Power Co., Inc. (The) (Japan)*		3,300		45,172
Kyushu Electric Power Co., Inc. (Japan)*		2,000		30,142
Shikoku Electric Power Co., Inc. (Japan)*		800		14,447
Southern Co.		65,100		2,872,863
Tohoku Electric Power Co., Inc. (Japan)*		2,200		27,469
Tokyo Electric Power Co., Inc. (Japan)*		7,100		36,653
Xcel Energy, Inc.		193,600		5,486,624
				26,371,509
Electrical Equipment — 0.4%
Alstom SA (France)		425		13,942
Babcock & Wilcox Co. (The)		119,900		3,600,597
Emerson Electric Co.		162,500		8,862,750
Fuji Electric Co. Ltd. (Japan)		36,000		126,579
Schneider Electric SA (France)		376		27,307
				12,631,175
Electronic Equipment, Instruments & Components — 0.3%
Arrow Electronics, Inc.*		75,800		3,020,630
Avnet, Inc.*		169,500		5,695,200
FUJIFILM Holdings Corp. (Japan)		7,000		153,955
Hitachi High-Technologies Corp. (Japan)		300		7,235
Hoya Corp. (Japan)		2,100		43,193
Ingram Micro, Inc. (Class A Stock)*		136,100		2,584,539
Keyence Corp. (Japan)		200		63,722
Murata Manufacturing Co. Ltd. (Japan)		1,000		76,065
Omron Corp. (Japan)		1,000		29,813
Yaskawa Electric Corp. (Japan)		1,000		12,137
				11,686,489
Energy Equipment & Services — 0.9%
Atwood Oceanics, Inc.*		8,800		458,040
Diamond Offshore Drilling, Inc.		57,700		3,969,183
Ensco PLC (Class A Stock)		241,300		14,024,356
Schlumberger Ltd.		178,600		12,798,476
Superior Energy Services, Inc.*		32,700		848,238
Transocean Ltd.		1,722		82,685
				32,180,978
Food & Staples Retailing — 1.8%
Aeon Co. Ltd. (Japan)		2,800		36,795

SEE NOTES TO FINANCIAL STATEMENTS.

A71

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food & Staples Retailing (continued)
Carrefour SA (France)		2,912	$	79,983
Casino Guichard Perrachon SA (France)		3,190		298,921
Costco Wholesale Corp.		36,400		4,024,748
CVS Caremark Corp.		424,800		24,290,064
Delhaize Group SA (Belgium)		6,787		419,586
J Sainsbury PLC (United Kingdom)		58,745		317,510
Kesko OYJ (Finland) (Class B Stock)		192		5,334
Koninklijke Ahold NV (Netherlands)		6,208		92,331
Kroger Co. (The)		417,400		14,416,996
Wal-Mart Stores, Inc.		253,500		18,883,215
WM Morrison Supermarkets PLC (United Kingdom)		77,921		310,162
				63,175,645
Food Products — 1.2%
Archer-Daniels-Midland Co.		375,400		12,729,814
Associated British Foods PLC (United Kingdom)		12,538		330,755
Bunge Ltd.		54,100		3,828,657
Danone SA (France)		1,188		89,418
Darling International, Inc.*		36,100		673,626
General Mills, Inc.		82,800		4,018,284
Golden Agri-Resources Ltd. (Singapore)		36,000		15,848
Ingredion, Inc.		81,000		5,315,220
Lindt & Spruengli AG (Switzerland)		4		15,015
Mondelez International, Inc. (Class A Stock)		22,600		644,778
Nestle SA (Switzerland)		15,504		1,017,379
Nippon Meat Packers, Inc. (Japan)		1,000		15,296
Sanderson Farms, Inc.(a)		4,600		305,532
Suedzucker AG (Germany)		7,800		241,482
Tate & Lyle PLC (United Kingdom)		2,236		28,055
Tyson Foods, Inc. (Class A Stock)		500,700		12,857,976
Unilever NV (Netherlands), CVA		7,563		297,711
				42,424,846
Gas Utilities
Enagas (Spain)		9,882		244,243
Gas Natural SDG SA (Spain)		10,283		207,176
				451,419
Health Care Technology
MedAssets, Inc.*		16,100		285,614
Healthcare Equipment & Supplies — 1.9%
Abbott Laboratories		533,300		18,601,504
Baxter International, Inc.		22,100		1,530,867
Becton, Dickinson & Co.		38,400		3,795,072
C.R. Bard, Inc.(a)		43,900		4,771,052
CareFusion Corp.*		60,200		2,218,370
Covidien PLC		24,300		1,527,012
Edwards Lifesciences Corp.*		6,300		423,360
Intuitive Surgical, Inc.*		19,900		10,080,942
Medtronic, Inc.		180,800		9,305,776
Sirona Dental Systems, Inc.*		3,500		230,580
Smith & Nephew PLC (United Kingdom)		4,238		47,465

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Equipment & Supplies (continued)
St. Jude Medical, Inc.		41,300	$	1,884,519
STERIS Corp.		9,500		407,360
Stryker Corp.		138,900		8,984,052
Terumo Corp. (Japan)		700		34,795
Thoratec Corp.*		37,200		1,164,732
				65,007,458
Healthcare Providers & Services — 1.2%
Aetna, Inc.		165,100		10,490,454
Alfresa Holdings Corp. (Japan)		200		10,709
Cigna Corp.		99,500		7,212,755
Fresenius SE & Co. KGaA (Germany)		516		63,509
HCA Holdings, Inc.		137,600		4,961,856
Humana, Inc.		143,900		12,142,282
Medipal Holdings Corp. (Japan)		700		9,491
Miraca Holdings, Inc. (Japan)		300		13,786
Ramsay Health Care Ltd. (Australia)		1,196		39,092
Sonic Healthcare Ltd. (Australia)		566		7,689
WellPoint, Inc.		83,100		6,800,904
				41,752,527
Hotels, Restaurants & Leisure — 1.7%
Accor SA (France)		772		27,136
Chipotle Mexican Grill, Inc.*		900		327,915
Flight Centre Ltd. (Australia)		7,869		281,772
Galaxy Entertainment Group Ltd. (Hong Kong)*		23,000		111,721
International Game Technology		207,100		3,460,641
Jack In The Box, Inc.*		46,000		1,807,340
Marriott Vacations Worldwide Corp.*		7,100		307,004
McDonald’s Corp.		256,700		25,413,300
OPAP SA (Greece)		7,733		64,714
Oriental Land Co. Ltd. (Japan)		200		30,951
SJM Holdings Ltd. (Hong Kong)		9,000		21,841
Starbucks Corp.		316,200		20,707,938
TUI Travel PLC (United Kingdom)		61,213		331,885
Yum! Brands, Inc.		78,500		5,443,190
				58,337,348
Household Durables — 0.5%
Jarden Corp.*		23,800		1,041,250
Panasonic Corp. (Japan)*		8,700		70,053
Persimmon PLC (United Kingdom)		1,455		26,119
Sekisui House Ltd. (Japan)		3,000		43,345
Sony Corp. (Japan)		4,900		103,519
Tupperware Brands Corp.		40,300		3,130,907
Whirlpool Corp.		112,200		12,831,192
				17,246,385
Household Products — 1.1%
Colgate-Palmolive Co.		178,000		10,197,620
Henkel AG & Co. KGaA (Germany)		2,027		158,754
Procter & Gamble Co. (The)		347,705		26,769,808
Reckitt Benckiser Group PLC (United Kingdom)		7,066		499,827
				37,626,009
Independent Power Producers & Energy Traders — 0.4%
AES Corp.		1,000,400		11,994,796

SEE NOTES TO FINANCIAL STATEMENTS.

A72

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Independent Power Producers & Energy Traders (continued)
Electric Power Development Co. Ltd. (Japan)		500	$	15,632
				12,010,428
Industrial Conglomerates — 1.1%
Carlisle Cos., Inc.		34,600		2,155,926
General Electric Co.		1,554,600		36,051,174
Hopewell Holdings Ltd. (Hong Kong)		8,500		28,211
Hutchison Whampoa Ltd. (Hong Kong)		36,000		376,641
Siemens AG (Germany)		1,311		132,756
				38,744,708
Insurance — 2.6%
Aegon NV (Netherlands)		53,574		359,429
Ageas (Belgium)		8,865		311,057
Allianz SE (Germany)		2,144		312,939
American Financial Group, Inc.		44,400		2,171,604
American International Group, Inc.*		175,000		7,822,500
AXA SA (France)		8,269		163,004
Berkshire Hathaway, Inc. (Class B Stock)*		147,100		16,463,432
Chubb Corp. (The)		172,700		14,619,055
Hannover Rueckversicherung AG (Germany)		4,117		296,040
Legal & General Group PLC (United Kingdom)		53,910		140,509
MetLife, Inc.		467,200		21,379,072
Muenchener Rueckversicherungs AG (Germany)		2,318		425,844
PartnerRe Ltd.		58,700		5,315,872
ProAssurance Corp.		20,400		1,064,064
Prudential PLC (United Kingdom)		20,296		331,289
Reinsurance Group of America, Inc.		32,500		2,246,075
Sampo OYJ (Finland) (Class A Stock)		4,404		171,490
Standard Life PLC (United Kingdom)		11,058		58,195
Swiss Re AG (Switzerland)		5,499		409,131
Symetra Financial Corp.		30,800		492,492
Travelers Cos., Inc. (The)		167,700		13,402,584
Tryg A/S (Denmark)		2,225		183,309
				88,138,986
Internet & Catalog Retail — 0.3%
Amazon.com, Inc.*		22,100		6,136,949
Expedia, Inc.		37,600		2,261,640
HSN, Inc.		29,700		1,595,484
				9,994,073
Internet Software & Services — 1.3%
Akamai Technologies, Inc.*		39,600		1,684,980
Google, Inc. (Class A Stock)*		29,700		26,146,989
IAC/InterActiveCorp		36,200		1,721,672
Yahoo! Japan Corp. (Japan)		763		375,713
Yahoo!, Inc.*		624,500		15,681,195
				45,610,549
IT Services — 1.9%
Accenture PLC (Class A Stock)(a)		103,800		7,469,448
Broadridge Financial Solutions, Inc.		69,500		1,847,310

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
Cap Gemini SA (France)		6,795	$	329,976
Cardtronics, Inc.*		8,900		245,640
Cognizant Technology Solutions Corp. (Class A Stock)*		170,300		10,662,483
Computer Sciences Corp.		96,500		4,223,805
CoreLogic, Inc.*		216,200		5,009,354
DST Systems, Inc.		16,200		1,058,346
Fidelity National Information Services, Inc.		39,500		1,692,180
Fiserv, Inc.*		43,200		3,776,112
Global Payments, Inc.		14,100		653,112
International Business Machines Corp.		110,000		21,022,100
MasterCard, Inc. (Class A Stock)		3,900		2,240,550
Nomura Research Institute Ltd. (Japan)		500		16,238
Syntel, Inc.		22,900		1,439,723
Total System Services, Inc.		93,600		2,291,328
Visa, Inc. (Class A Stock)		12,400		2,266,100
				66,243,805
Leisure Equipment & Products — 0.3%
Namco Bandai Holdings, Inc. (Japan)		20,300		329,011
Polaris Industries, Inc.(a)		68,600		6,517,000
Smith & Wesson Holding Corp.*(a)		306,100		3,054,878
Yamaha Corp. (Japan)		2,300		26,353
				9,927,242
Life Sciences Tools & Services — 0.1%
Bruker Corp.*		120,800		1,950,920
Mettler-Toledo International, Inc.*(a)		9,500		1,911,400
				3,862,320
Machinery — 1.3%
AGCO Corp.		19,900		998,781
Atlas Copco AB (Sweden) (Class B Stock)		1,912		40,918
Deere & Co.		160,000		13,000,000
Hino Motors Ltd. (Japan)		29,000		425,544
Hitachi Construction Machinery Co. Ltd. (Japan)		500		10,085
IHI Corp. (Japan)		6,000		22,701
JTEKT Corp. (Japan)		1,100		12,330
Kone OYJ (Finland) (Class B Stock)		2,241		177,754
Kubota Corp. (Japan)		6,000		87,320
Lincoln Electric Holdings, Inc.		25,600		1,466,112
Lindsay Corp.(a)		6,700		502,366
Makita Corp. (Japan)		500		26,881
Mitsubishi Heavy Industries Ltd. (Japan)		56,000		311,335
Mueller Industries, Inc.		12,600		635,418
Oshkosh Corp.*		203,600		7,730,692
Parker Hannifin Corp.		151,000		14,405,400
Schindler Holding AG (Switzerland)		105		14,221
Valmont Industries, Inc.		39,900		5,709,291
				45,577,149

SEE NOTES TO FINANCIAL STATEMENTS.

A73

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Marine
A.P. Moller-Maersk A/S (Denmark) (Class A Stock)		29	$	195,255
A.P. Moller-Maersk A/S (Denmark) (Class B Stock)		6		42,922
Matson, Inc.		45,600		1,140,000
				1,378,177
Media — 2.0%
AMC Networks, Inc. (Class A Stock)*		8,700		569,067
CBS Corp. (Class B Stock)		203,800		9,959,706
Cinemark Holdings, Inc.		47,100		1,315,032
Comcast Corp. (Class A Stock)		702,173		29,407,005
DIRECTV*		198,600		12,237,732
Hakuhodo DY Holdings, Inc. (Japan)		120		8,405
ITV PLC (United Kingdom)		170,250		362,984
Publicis Groupe SA (France)		4,941		351,892
Time Warner Cable, Inc.		40,600		4,566,688
Viacom, Inc. (Class B Stock)		30,500		2,075,525
Walt Disney Co. (The)		112,800		7,123,320
				67,977,356
Metals & Mining — 0.5%
Anglo American PLC (United Kingdom)		2,829		54,517
BHP Billiton Ltd. (Australia)		15,886		457,246
BHP Billiton PLC (United Kingdom)		10,137		258,473
Boliden AB (Sweden)		2,371		29,389
Fortescue Metals Group Ltd. (Australia)(a)		102,820		283,048
Freeport-McMoRan Copper & Gold, Inc.		543,100		14,994,991
Glencore International PLC (United Kingdom)		18,650		77,202
Hitachi Metals Ltd. (Japan)		1,000		11,201
JFE Holdings, Inc. (Japan)		2,400		52,579
Mitsubishi Materials Corp. (Japan)		5,000		17,603
Newcrest Mining Ltd. (Australia)		3,815		35,217
Southern Copper Corp.		47,800		1,320,236
Sumitomo Metal Mining Co. Ltd. (Japan)		26,000		289,605
Vedanta Resources PLC (United Kingdom)		489		7,601
				17,888,908
Multiline Retail — 0.7%
Dillard’s, Inc. (Class A Stock)		94,600		7,754,362
Macy’s, Inc.		312,800		15,014,400
Next PLC (United Kingdom)		3,042		210,721
Takashimaya Co. Ltd. (Japan)		3,000		30,406
				23,009,889
Multi-Utilities — 0.6%
Ameren Corp.		261,300		8,999,172
Avista Corp.		21,300		575,526
Centrica PLC (United Kingdom)		9,616		52,597
DTE Energy Co.		56,000		3,752,560
E.ON SE (Germany)		26,031		426,611
National Grid PLC (United Kingdom)		27,634		313,251

COMMON STOCKS (continued)	Shares		Value (Note 2)
Multi-Utilities (continued)
SCANA Corp.		97,600	$	4,792,160
				18,911,877
Office Electronics
Brother Industries Ltd. (Japan)		1,200		13,465
Canon, Inc. (Japan)		4,000		131,093
Konica Minolta Holdings, Inc. (Japan)		2,000		15,054
Ricoh Co. Ltd. (Japan)		29,000		343,659
				503,271
Oil, Gas & Consumable Fuels — 6.4%
Anadarko Petroleum Corp.		152,700		13,121,511
Apache Corp.		134,000		11,233,220
BG Group PLC (United Kingdom)		426		7,240
BP PLC (United Kingdom)		131,722		914,149
Cabot Oil & Gas Corp.		79,400		5,638,988
Chevron Corp.		372,956		44,135,613
ConocoPhillips		362,034		21,903,057
Eni SpA (Italy)		24,337		499,489
EOG Resources, Inc.		8,300		1,092,944
Exxon Mobil Corp.		840,416		75,931,586
Hess Corp.		93,400		6,210,166
Idemitsu Kosan Co. Ltd. (Japan)		100		7,666
Inpex Corp. (Japan)		2		8,312
JX Holdings, Inc. (Japan)		11,200		54,078
Marathon Oil Corp.		38,800		1,341,704
Marathon Petroleum Corp.		115,900		8,235,854
Murphy Oil Corp.		41,300		2,514,757
Neste Oil OYJ (Finland)		599		8,741
Noble Energy, Inc.		22,000		1,320,880
OMV AG (Austria)		7,615		343,519
Phillips 66		243,800		14,362,258
Repsol SA (Spain)		3,894		82,182
Royal Dutch Shell PLC (United Kingdom) (Class A Stock)		18,928		604,640
Royal Dutch Shell PLC (United Kingdom) (Class B Stock)		17,540		580,910
Tesoro Corp.		31,900		1,669,008
Total SA (France)		15,665		765,124
Valero Energy Corp.		156,000		5,424,120
				218,011,716
Paper & Forest Products
Oji Holdings Corp. (Japan)		4,000		16,123
Stora Enso OYJ (Finland) (Class R Stock)		41,413		277,311
				293,434
Personal Products
Medifast, Inc.*		41,200		1,061,312
Pharmaceuticals — 3.7%
AbbVie, Inc.		193,600		8,003,424
Allergan, Inc.		163,500		13,773,240
AstraZeneca PLC (United Kingdom)		11,705		553,402
Bayer AG (Germany)		2,106		224,226
Eli Lilly & Co.		354,300		17,403,216
GlaxoSmithKline PLC (United Kingdom)		24,256		606,312

SEE NOTES TO FINANCIAL STATEMENTS.

A74

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Pharmaceuticals (continued)
Johnson & Johnson		345,198	$	29,638,700
Merck & Co., Inc.		321,500		14,933,675
Novartis AG (Switzerland)		11,139		788,982
Novo Nordisk A/S (Denmark) (Class B Stock)		1,932		300,353
Orion OYJ (Finland) (Class B Stock)		11,280		264,312
Otsuka Holdings Co. Ltd. (Japan)		1,800		59,434
Pfizer, Inc.(a)		1,368,897		38,342,805
Roche Holding AG (Switzerland)		4,539		1,126,568
Sanofi (France)		5,475		566,006
Shionogi & Co. Ltd. (Japan)		1,400		29,195
Teva Pharmaceutical Industries Ltd. (Israel)		11,999		469,614
Tsumura & Co. (Japan)		300		8,841
				127,092,305
Professional Services — 0.1%
Capita PLC (United Kingdom)		23,555		346,237
Manpowergroup, Inc.		14,900		816,520
Robert Half International, Inc.		14,200		471,866
				1,634,623
Real Estate Investment Trusts — 1.1%
American Capital Agency Corp.		239,200		5,499,208
American Capital Mortgage Investment Corp.		93,700		1,683,789
American Tower Corp.		47,900		3,504,843
Annaly Capital Management, Inc.(a)		343,100		4,312,767
Camden Property Trust		9,400		649,916
Franklin Street Properties Corp.		73,800		974,160
Gecina SA (France)		67		7,405
General Growth Properties, Inc.		157,800		3,135,486
Geo Group, Inc. (The)		34,600		1,174,670
GPT Group (Australia)		6,778		23,800
Hospitality Properties Trust		26,400		693,792
Host Hotels & Resorts, Inc.		258,600		4,362,582
Japan Retail Fund Investment Corp. (Japan)		10		20,891
Link REIT (The) (Hong Kong)		62,500		306,730
Mirvac Group (Australia)		15,792		23,120
Nippon ProLogis REIT, Inc. (Japan)		1		8,677
Resource Capital Corp.		54,100		332,715
Simon Property Group, Inc.		40,500		6,395,760
Vornado Realty Trust		25,100		2,079,535
Western Asset Mortgage Capital Corp.(a)		32,500		567,450
Westfield Retail Trust (Australia)		113,257		320,302
Winthrop Realty Trust		21,100		253,833
				36,331,431
Real Estate Management & Development — 0.3%
CBRE Group, Inc. (Class A Stock)*		190,200		4,443,072
Daito Trust Construction Co. Ltd. (Japan)		100		9,422
Hang Lung Properties Ltd. (Hong Kong)		11,000		38,102
Howard Hughes Corp. (The)*		10,000		1,120,900
Hysan Development Co. Ltd. (Hong Kong)		61,000		263,345

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Management & Development (continued)
Jones Lang LaSalle, Inc.		55,400	$	5,049,156
New World Development Co. Ltd. (Hong Kong)		63,000		86,536
Sino Land Co. Ltd. (Hong Kong)		14,000		19,574
UOL Group Ltd. (Singapore)		39,000		206,170
Wharf Holdings Ltd. (Hong Kong)		40,000		333,857
Wheelock & Co. Ltd. (Hong Kong)		60,000		299,362
				11,869,496
Road & Rail — 1.1%
Central Japan Railway Co. (Japan)		3,900		475,332
ComfortDelGro Corp. Ltd. (Singapore)		43,000		61,796
CSX Corp.		526,600		12,211,854
Nippon Express Co. Ltd. (Japan)		4,000		18,994
Norfolk Southern Corp.		141,000		10,243,650
Odakyu Electric Railway Co. Ltd. (Japan)		3,000		29,297
Tokyu Corp. (Japan)		5,000		32,739
Union Pacific Corp.		94,500		14,579,460
West Japan Railway Co. (Japan)		800		33,928
				37,687,050
Semiconductors & Semiconductor Equipment — 1.0%
ARM Holdings PLC (United Kingdom)		26,632		322,171
Intel Corp.		787,200		19,065,984
Kulicke & Soffa Industries, Inc.*		72,100		797,426
LSI Corp.*		1,060,700		7,573,398
Marvell Technology Group Ltd.		388,900		4,554,019
Mellanox Technologies Ltd.*		167		8,303
PMC – Sierra, Inc.*		181,300		1,151,255
ROHM Co. Ltd. (Japan)		200		8,122
Skyworks Solutions, Inc.*		49,400		1,081,366
				34,562,044
Software — 2.4%
CA, Inc.		124,200		3,555,846
CommVault Systems, Inc.*		11,600		880,324
Intuit, Inc.		189,000		11,534,670
Manhattan Associates, Inc.*		12,900		995,364
Microsoft Corp.		856,500		29,574,945
Oracle Corp.		1,046,900		32,160,768
SAP AG (Germany)		741		54,110
SolarWinds, Inc.*		16,700		648,127
Solera Holdings, Inc.		27,800		1,547,070
Symantec Corp.		45,400		1,020,138
				81,971,362
Specialty Retail — 2.0%
Chico’s FAS, Inc.		17,900		305,374
Fast Retailing Co. Ltd. (Japan)		300		101,251
Foot Locker, Inc.		33,500		1,176,855
Gap, Inc. (The)		358,700		14,968,551
Home Depot, Inc. (The)		241,850		18,736,120
L Brands, Inc.		92,800		4,570,400
PetSmart, Inc.		44,600		2,987,754
Ross Stores, Inc.		222,100		14,394,301
Shimamura Co., Ltd. (Japan)		100		12,139

SEE NOTES TO FINANCIAL STATEMENTS.

A75

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Specialty Retail (continued)
TJX Cos., Inc.		259,400	$	12,985,564
				70,238,309
Textiles, Apparel & Luxury Goods — 1.0%
Adidas AG (Germany)		976		105,504
Burberry Group PLC (United Kingdom)		2,095		43,100
Carter’s, Inc.		51,500		3,814,605
Cie Financiere Richemont SA (Switzerland)		3,314		292,256
Coach, Inc.		44,300		2,529,087
NIKE, Inc. (Class B Stock)		254,600		16,212,928
Ralph Lauren Corp.		43,600		7,575,064
VF Corp.		18,300		3,532,998
				34,105,542
Tobacco — 0.9%
Altria Group, Inc.		482,400		16,879,176
British American Tobacco PLC (United Kingdom)		12,751		653,997
Japan Tobacco, Inc. (Japan)		13,700		483,577
Philip Morris International, Inc.		133,600		11,572,432
Swedish Match AB (Sweden)		1,011		35,885
				29,625,067
Trading Companies & Distributors — 0.4%
Bunzl PLC (United Kingdom)		1,859		36,258
DXP Enterprises, Inc.*		3,600		239,760
ITOCHU Corp. (Japan)		31,500		364,263
Marubeni Corp. (Japan)		13,000		86,884
Mitsui & Co. Ltd. (Japan)		8,500		106,592
Sojitz Corp. (Japan)		6,100		10,121
Sumitomo Corp. (Japan)		5,100		63,564
W.W. Grainger, Inc.		51,400		12,962,052
				13,869,494
Transportation Infrastructure
Auckland International Airport Ltd. (New Zealand)		35,247		81,067

COMMON STOCKS (continued)	Shares		Value (Note 2)
Water Utilities — 0.1%
American Water Works Co., Inc.		78,400	$	3,232,432
Wireless Telecommunication Services
KDDI Corp. (Japan)		2,600		135,391
Millicom International Cellular SA (Luxembourg)		292		21,030
NTT DOCOMO, Inc. (Japan)		75		116,678
Softbank Corp. (Japan)		2,900		168,809
Vodafone Group PLC (United Kingdom)		130,143		372,950
				814,858
TOTAL COMMON STOCKS (cost $1,795,359,030)				2,308,184,952
EXCHANGE TRADED FUND
iShares MSCI EAFE Index Fund (cost $1,000,869)		18,900		1,084,482
PREFERRED STOCKS
Automobiles
Bayerische Motoren Werke AG (Germany)		254		17,347
Banking
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b)		22,000		612,700
TOTAL PREFERRED STOCKS (cost $567,089)				630,047
	Units
RIGHTS
Oil, Gas & Consumable Fuels
Repsol SA (Spain)*		3,894		2,169
Real Estate Management & Development
New World Development Co. Ltd. (Hong Kong)*		787		—
TOTAL RIGHTS (cost $2,290)				2,169

ASSET-BACKED SECURITIES — 1.9%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#
Collateralized Debt Obligations
Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, Class A1, 144A(b)	Aaa		0.536%	04/25/19		531	$	522,282
Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b)	Aaa		0.516%	10/19/20		459		455,580
								977,862
Collateralized Loan Obligations — 1.2%
ACAS CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A, 144A(b)	Aaa		1.668%	04/20/25		2,550		2,503,534
ACAS CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class B2, 144A	AA(c)		3.360%	04/20/25		500		472,131
AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b)	Aaa		0.526%	10/20/19		1,904		1,866,924
Anchorage Capital CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.750%	07/13/25		2,700		2,684,340
ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b)	Aaa		0.536%	01/26/20		1,200		1,182,724
Benefit Street Partners CLO Ltd. (Cayman Islands), Ser. 2013-IIA, Class A1, 144A(b)	Aaa		1.475%	07/15/24		1,200		1,195,800

SEE NOTES TO FINANCIAL STATEMENTS.

A76

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations (continued)
Brookside Mill CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.375%	04/17/25		2,100	$	2,060,375
Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b)	Aaa		0.523%	08/03/19		294		290,996
Fortress Credit BSL Ltd. (Cayman Islands), Ser. 2013-1A, Class A, 144A(b)	Aaa		1.536%	01/19/25		1,050		1,032,151
Fortress Credit BSL Ltd. (Cayman Islands), Ser. 2013-1A, Class B, 144A(b)	AA(c)		2.256%	01/19/25		300		297,173
Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b)	Aaa		0.526%	07/22/20		640		632,252
Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b)	Aaa		0.743%	03/15/20		1,000		971,683
ING Investment Management CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.450%	04/15/24		2,700		2,699,957
Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A, 144A(b)	AAA(c)		1.674%	09/06/22		698		696,113
LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b)	Aaa		0.535%	06/01/17		390		386,648
Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b)	Aaa		0.533%	09/15/17		598		587,308
Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A1A, 144A(b)	Aaa		1.744%	05/18/23		1,350		1,353,623
Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b)	Aaa		0.523%	03/15/18		157		155,480
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(b)	Aaa		1.676%	11/22/23		1,200		1,198,614
OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(b)	AA(c)		2.396%	11/22/23		1,200		1,172,990
OHA Intrepid Leveraged Loan Fund Ltd. (Cayman Islands), Ser. 2013-1AR, Class AR, 144A(b)	Aaa		1.196%	04/20/21		2,200		2,196,700
OZLM Funding Ltd. (Cayman Islands), Ser. 2013-4A, Class A1, 144A(b)	Aaa		1.470%	07/22/25		1,200		1,190,760
Sheridan Square CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.327%	04/15/25		3,200		3,208,010
Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.924%	08/17/22		500		502,209
Sound Point CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class B, 144A(b)	AA(c)		2.976%	10/20/23		1,100		1,105,720
Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b)	Aaa		0.533%	05/27/20		1,438		1,418,133
Stanfield Daytona CLO Ltd. (Cayman Islands), Ser. 2007-1A, Class A1L, 144A(b)	Aaa		0.526%	04/27/21		4,042		3,975,495
Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(b)	Aaa		0.524%	11/01/18		1,557		1,542,021
Tyron Park CLO Ltd. (Cayman Islands), Ser. 2013-1A, Class A1, 144A(b)	Aaa		1.393%	07/15/25		2,700		2,694,330
								41,274,194
Non-Residential Mortgage-Backed Securities — 0.5%
American Express Credit Account Master Trust, Ser. 2012-4, Class C, 144A(b)	AA-(c)		0.993%	05/15/20		3,900		3,904,996
BA Credit Card Trust, Ser. 2006-C5, Class C5(b)	A3		0.593%	01/15/16		3,209		3,207,505
Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(b)	Baa2		0.663%	03/24/17		2,200		2,175,956
GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b)	A2		1.043%	06/15/18		5,500		5,463,067
SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A	A+(c)		2.000%	09/20/29		1,827		1,813,909
								16,565,433
Residential Mortgage-Backed Securities — 0.2%
CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b)	B2		1.843%	03/25/33		316		269,177
Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3	B3		4.640%	07/25/35		302		269,149
Equity One ABS, Inc., Ser. 2004-3, Class M1(d)	B1		5.238%	07/25/34		418		358,894
GSAMP Trust, Ser. 2004-HE2, Class A3C(b)	Aaa		0.773%	09/25/34		674		652,389
HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b)	Aa1		0.682%	01/20/35		239		226,733
Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b)	B1		0.723%	06/25/34		848		779,713
Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b)	Ba2		1.393%	05/25/33		523		499,519
Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(b)	B3		1.138%	06/25/34		1,046		978,327
Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b)	Baa2		1.243%	12/27/33		955		913,299
Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b)	Caa3		1.093%	07/25/32		523		470,039

SEE NOTES TO FINANCIAL STATEMENTS.

A77

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

ASSET-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Residential Mortgage-Backed Securities (continued)
Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b)	B2		1.468%	09/25/32		577	$	524,332
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(b)	Ba3		0.958%	02/25/34		938		846,228
								6,787,799
TOTAL ASSET-BACKED SECURITIES (cost $65,257,401)								65,605,288
BANK LOANS(b) — 0.3%
Automotive
Schaeffller AG (Germany)	Ba3		4.250%	01/27/17		750		749,766
Cable
Virgin Media Investment Holdings Ltd. (United Kingdom)	Ba3		3.500%	06/08/20		1,000		988,906
Foods — 0.1%
ARAMARK Corp	B1		4.000%	08/22/19		1,100		1,101,650
Del Monte Foods Co.	B1		4.000%	03/08/18		1,065		1,059,293
								2,160,943
Gaming
Scientific Games Corp	Ba1		3.450%	06/30/15		641		637,755
Healthcare & Pharmaceutical — 0.1%
Community Health Systems, Inc.	Ba2		2.776%	10/25/16		478		478,329
HCA, Inc.	Ba3		3.026%	03/31/17		886		886,619
HCA, Inc.,	Ba3		3.026%	05/01/18		370		369,506
RPI Finance Trust	Baa2		4.000%	11/09/18		1,063		1,061,534
								2,795,988
Technology — 0.1%
First Data Corp.	B1		4.193%	03/24/17		162		158,385
First Data Corp.	B1		4.193%	03/26/18		2,134		2,077,762
Flextronics International Ltd. (Singapore)	Ba1		2.445%	10/01/14		78		77,508
Flextronics International Ltd. (Singapore)	Ba1		2.445%	10/01/14		22		22,272
Sensata Technologies, Inc. (Netherlands)	Baa3		3.750%	05/12/18		151		152,603
								2,488,530
TOTAL BANK LOANS (cost $9,822,442)								9,821,888
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2%
Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1	Caa2		6.000%	01/25/36		2,410		1,866,461
Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b)	B2		2.945%	02/25/35		518		503,497
Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b)	Caa1		2.853%	03/25/35		415		387,774
Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b)	B2		2.914%	02/25/37		1,117		1,098,628
Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1	Ba3		5.250%	09/25/19		437		446,037
JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b)	B1		2.882%	07/25/35		678		666,535
MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1	Baa1		5.000%	04/25/19		147		151,027
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b)	Baa3		2.578%	02/25/34		494		487,628
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A	CCC(c)		5.000%	03/25/20		193		197,348
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $6,196,047)								5,804,935
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.0%
Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4	Aaa		4.153%	11/10/38		1,438		1,443,218
Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A	Aaa		5.600%	07/10/46		3,700		3,702,161
Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b)	Aaa		5.857%	06/10/49		417		417,152
Banc of America Commercial Mortgage, Inc., Ser. 2007-5, Class A3	AAA(c)		5.620%	02/10/51		1,920		1,951,828
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, Class A3	Aaa		5.369%	10/10/45		3,900		3,992,122

SEE NOTES TO FINANCIAL STATEMENTS.

A78

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2007-2, Class A3(b)	AAA(c)		5.766%	04/10/49		1,500	$	1,554,765
Barclays, Ser. 2013-C6, Class A3	Aaa		2.971%	04/10/46		1,800		1,687,399
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, Class A4	AAA(c)		5.405%	12/11/40		2,000		2,142,428
Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a)(b)	Aaa		5.885%	12/10/49		1,000		1,132,128
Citigroup Commercial Mortgage Trust, Ser. 2013-GC11, Class A3	Aaa		2.815%	04/10/46		1,100		1,015,096
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b)	Aaa		5.484%	01/15/46		1,200		1,297,006
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5	Aaa		5.617%	10/15/48		580		640,257
Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A	AA-(c)		5.440%	09/15/30		26		26,403
Commercial Mortgage Pass-Through Certificates, Ser. 2006-C7, Class A4(b)	AAA(c)		5.940%	06/10/46		5,450		5,990,476
Commercial Mortgage Pass- Through Certificates, Ser. 2006-C8, Class A2B	Aaa		5.248%	12/10/46		202		202,643
Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, Class A2	Aaa		1.765%	10/15/45		3,100		3,073,346
Commercial Mortgage Pass- Through Certificates, Ser. 2012-CR5, Class A3	Aaa		2.540%	12/10/45		1,000		915,963
Commercial Mortgage Pass- Through Certificates, Ser. 2013-CR7, Class A3	Aaa		2.929%	03/10/46		1,700		1,587,115
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4	Aaa		4.835%	07/15/36		225		227,341
Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4	A1		4.832%	04/15/37		1,900		1,995,534
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b)	AAA(c)		5.569%	02/15/39		2,700		2,949,502
Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b)	AAA(c)		5.569%	02/15/39		640		686,865
CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4	AA+(c)		5.223%	08/15/48		1,230		1,333,000
CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b)	AAA(c)		5.985%	05/15/46		35		36,774
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b)	AA+(c)		1.612%	05/25/22		25,835		2,577,797
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b)	AA+(c)		1.646%	06/25/22		7,278		756,603
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b)	AA+(c)		1.876%	08/25/16		7,767		313,410
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b)	AA+(c)		1.914%	05/25/19		19,927		1,735,986
FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1,(b)	AA+(c)		1.833%	07/25/19		20,960		1,781,708
GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(b)	Aaa		5.471%	11/10/45		2,585		2,795,742
GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(b)	AAA(c)		5.470%	03/10/44		2,060		2,238,520
GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5	AAA(c)		4.697%	05/10/43		2,720		2,851,999
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A3	Aaa		4.569%	08/10/42		224		224,162
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(b)	Aa2		5.224%	04/10/37		8,050		8,624,826
Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2	Aaa		5.381%	03/10/39		2,439		2,511,785
GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB	AAA(c)		5.587%	04/10/38		4,077		4,254,514
GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(b)	Aaa		5.778%	08/10/45		941		951,997
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB	Aaa		4.853%	03/15/46		983		1,002,207
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3	Aaa		4.697%	07/15/42		189		188,640
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM	Aa2		4.780%	07/15/42		1,000		1,051,294
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB	Aaa		4.659%	07/15/42		1,825		1,869,942
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b)	Aa2		4.999%	10/15/42		1,270		1,344,698

SEE NOTES TO FINANCIAL STATEMENTS.

A79

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB	Aaa		5.523%	05/12/45		2,410	$	2,531,772
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP7, Class A3A(b)	Aaa		6.056%	04/15/45		48		48,342
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD12, Class A2	Aaa		5.827%	02/15/51		794		812,333
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3	Aaa		3.139%	06/15/45		2,100		2,104,504
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-LC9, Class A4	Aaa		2.611%	12/15/47		1,700		1,549,924
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2013-C10, Class A4	AAA(c)		2.875%	12/15/47		3,900		3,588,164
JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2013-LC11, Class A4	Aaa		2.694%	04/15/46		1,400		1,296,011
LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(b)	AAA(c)		4.826%	08/15/29		1,072		1,086,777
LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b)	AA(c)		5.263%	11/15/40		1,510		1,611,442
LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2	AAA(c)		5.084%	02/15/31		61		61,327
LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(b)	Aaa		5.661%	03/15/39		2,676		2,932,141
Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3	Aaa		4.615%	08/12/39		285		285,524
Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b)	AA(c)		5.872%	05/12/39		930		1,010,945
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, Class AM(b)	AA-(c)		5.714%	02/12/39		530		570,403
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, Class A4(b)	Aaa		6.086%	06/12/46		1,795		1,993,762
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, Class A2	Aaa		5.331%	03/12/51		2,324		2,328,573
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2013-C8, Class A3	Aaa		2.863%	12/15/48		1,500		1,414,809
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2013-C10, Class A3(b)	Aaa		3.734%	07/15/46		1,700		1,715,946
Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b)	Aaa		5.597%	03/12/44		1,500		1,613,548
Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b)	AAA(c)		5.851%	10/15/42		2,363		2,575,096
Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4	AAA(c)		5.332%	12/15/43		3,900		4,291,985
Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31	Aaa		5.439%	02/12/44		1,144		1,170,377
Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB	Aaa		5.444%	02/12/44		3,355		3,470,930
Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b)	AAA(c)		5.816%	06/11/42		691		704,043
UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4	Aaa		2.792%	12/10/45		1,700		1,590,537
UBS-Barclays Commercial Mortgage Trust, Ser. 2013-C5, Class A3	Aaa		2.920%	03/10/46		3,900		3,667,353
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(b)	Aaa		5.418%	01/15/45		4,594		4,942,015
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b)	Aaa		5.919%	05/15/43		700		767,959
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4(a)	Aa2		5.509%	04/15/47		4,500		4,946,868
Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b)	Aaa		6.122%	02/15/51		3,470		3,860,136
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $135,229,038)								137,619,898
CORPORATE BONDS — 8.8%
Aerospace & Defense
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		6.300%	05/01/14		1,075		1,107,250
Airlines — 0.1%
Continental Airlines Pass Through Trust, Pass-thru Certs., Ser. 1998-1, Class A	Baa2		6.648%	09/15/17		160		168,897
Continental Airlines Pass Through Trust, Pass-thru Certs., Ser. 2009-2, Class A	Baa2		7.250%	11/10/19		673		786,910
Continental Airlines Pass Through Trust, Pass-thru Certs., Ser. 2010-1, Class A(a)	Baa2		4.750%	01/12/21		789		844,581
Continental Airlines Pass Through Trust, Pass-thru Certs., Ser. 2012-2, Class A	Baa2		4.000%	10/29/24		705		703,238
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2007-1, Class A	Baa1		6.821%	08/10/22		358		404,490

SEE NOTES TO FINANCIAL STATEMENTS.

A80

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Airlines (continued)
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-2, Class 2A	Baa1		4.950%	05/23/19		628	$	667,576
Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2011-1, Class A	Baa1		5.300%	04/15/19		1,194		1,283,098
								4,858,790
Automotive — 0.1%
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes	Baa3		4.207%	04/15/16		2,090		2,183,314
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN	Baa1		2.700%	03/15/17		450		455,979
Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN	Baa1		5.750%	12/15/14		500		533,860
Johnson Controls, Inc., Sr. Unsec’d. Notes	Baa1		5.500%	01/15/16		245		269,178
								3,442,331
Banking — 2.4%
American Express Co., Sr. Unsec’d. Notes	A3		2.650%	12/02/22		2,213		2,043,301
American Express Credit Corp., Sr. Unsec’d. Notes, MTN(e)	A2		2.800%	09/19/16		2,030		2,107,589
Banco Bradesco SA (Brazil), Sub. Notes	Baa2		8.750%	10/24/13		1,760		1,790,976
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A	Aa3		3.875%	09/20/22		645		599,669
Bangkok Bank PCL/Hong Kong (Thailand), Sr. Unsec’d. Notes, 144A	A3		2.750%	03/27/18		1,350		1,325,651
Bank of America Corp., Jr. Sub. Notes, Ser. K(b)	B1		8.000%	12/29/49		2,200		2,450,250
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		4.500%	04/01/15		595		624,111
Bank of America Corp., Sr. Unsec’d. Notes(a)	Baa2		5.700%	01/24/22		1,770		1,964,780
Bank of America Corp., Sr. Unsec’d. Notes	Baa2		6.000%	09/01/17		1,075		1,205,024
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a)	Baa2		3.300%	01/11/23		1,780		1,682,362
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a)	Baa2		5.000%	05/13/21		630		671,746
Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1	Baa2		3.750%	07/12/16		870		912,006
Bank of America Corp., Sub. Notes	Baa3		5.750%	08/15/16		1,775		1,928,832
Bank of America NA, Sub. Notes	Baa1		5.300%	03/15/17		930		1,008,663
Bank of America NA, Sub. Notes(a)	Baa1		6.000%	10/15/36		410		455,905
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		5.300%	10/30/15		515		562,240
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes	A2		6.400%	10/02/17		330		380,637
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes(a)	A2		7.250%	02/01/18		1,175		1,399,121
Capital One Bank USA NA, Sub. Notes	Baa1		3.375%	02/15/23		1,560		1,474,596
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		3.953%	06/15/16		1,010		1,064,611
Citigroup, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.500%	01/14/22		2,450		2,552,481
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		4.750%	05/19/15		2,265		2,395,466
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	05/15/18		1,155		1,322,172
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		6.875%	03/05/38		215		260,716
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.125%	07/15/39		710		937,725
Citigroup, Inc., Sr. Unsec’d. Notes	Baa2		8.500%	05/22/19		1,895		2,387,751
Citigroup, Inc., Sub. Notes	Baa3		5.000%	09/15/14		454		471,809
Citigroup, Inc., Sub. Notes	Baa3		6.125%	08/25/36		570		558,081
Discover Bank, Sub. Notes	Ba1		7.000%	04/15/20		570		665,206
Discover Financial Services, Sr. Unsec’d. Notes	Ba1		3.850%	11/21/22		900		845,178
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	A3		3.625%	02/07/16		2,000		2,087,722
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.250%	07/27/21		2,055		2,198,642
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		5.750%	01/24/22		3,620		3,992,907
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes	A3		6.000%	06/15/20		1,000		1,123,623
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a)	A3		6.250%	02/01/41		270		305,366
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		5.625%	01/15/17		1,190		1,289,704
Goldman Sachs Group, Inc. (The), Sub. Notes	Baa1		6.750%	10/01/37		104		106,534
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a)	Aa3		4.875%	01/14/22		1,910		2,061,528
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes	Aa3		5.100%	04/05/21		1,025		1,126,127
Huntington BancShares, Inc., Sub. Notes	Baa2		7.000%	12/15/20		170		202,836
Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes	Baa2		3.125%	01/15/16		1,395		1,371,645
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a)(b)	Ba1		7.900%	04/29/49		2,000		2,260,000
JPMorgan Chase & Co., Sr. Unsec’d. Notes	A2		3.150%	07/05/16		3,210		3,333,906
JPMorgan Chase & Co., Sr. Unsec’d. Notes(e)	A2		4.250%	10/15/20		2,930		3,045,550
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes.(a)	A2		6.375%	01/21/21		1,400		1,615,961
Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN	A2		5.800%	01/13/20		1,870		2,104,148
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, Ser. G, MTN	Baa2		6.400%	08/28/17		20		22,583

SEE NOTES TO FINANCIAL STATEMENTS.

A81

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Banking (continued)
Morgan Stanley, Notes, Ser. G, MTN	Baa1		5.450%	01/09/17		2,345	$	2,534,354
Morgan Stanley, Notes, Ser. G, MTN	Baa1		6.625%	04/01/18		105		119,013
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		5.750%	01/25/21		1,400		1,519,633
Morgan Stanley, Sr. Unsec’d. Notes	Baa1		6.375%	07/24/42		780		870,213
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.625%	09/23/19		1,415		1,520,886
Morgan Stanley, Sr. Unsec’d. Notes, MTN	Baa1		5.950%	12/28/17		510		565,866
Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN	Baa1		5.500%	07/28/21		760		811,549
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b)	Ba1		6.346%	07/29/49		800		870,000
People’s United Financial, Inc., Sr. Unsec’d. Notes	A3		3.650%	12/06/22		1,455		1,366,338
PNC Funding Corp., Gtd. Notes.	A3		2.700%	09/19/16		1,110		1,155,241
PNC Funding Corp., Gtd. Notes.(a)	A3		6.700%	06/10/19		440		527,576
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes	Baa1		2.550%	09/18/15		455		462,625
Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN	Baa1		6.400%	10/21/19		1,775		1,972,188
Santander Holdings USA, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	09/24/15		955		979,192
US Bancorp, Sub. Notes, MTN	A2		2.950%	07/15/22		1,120		1,038,966
Wells Fargo Bank NA, Sub. Notes, Ser. AI(e)	A1		4.750%	02/09/15		585		617,403
								83,228,480
Brokerage — 0.1%
Jefferies Group LLC, Sr. Unsec’d. Notes	Baa3		6.500%	01/20/43		560		536,155
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)	NR		6.875%	02/06/12		1,715		418,031
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f)	NR		6.875%	05/02/18		700		172,375
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN	Baa3		2.000%	09/13/16		820		810,850
								1,937,411
Building Materials & Construction — 0.1%
DR Horton, Inc., Gtd. Notes	Ba2		3.625%	02/15/18		1,150		1,129,875
Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A	Baa3		5.125%	06/26/22		700		686,000
Owens Corning, Gtd. Notes	Ba1		4.200%	12/15/22		775		750,965
								2,566,840
Cable — 0.2%
AT&T Broadband LLC, Gtd. Notes	A3		9.455%	11/15/22		255		360,835
Cablevision Systems Corp., Sr. Unsec’d. Notes	B1		8.625%	09/15/17		1,000		1,135,000
Comcast Corp., Gtd. Notes	A3		6.400%	05/15/38		570		680,338
Comcast Corp., Gtd. Notes	A3		6.450%	03/15/37		155		185,333
Comcast Corp., Gtd. Notes	A3		6.500%	11/15/35		450		544,569
Comcast Corp., Gtd. Notes	A3		6.950%	08/15/37		605		761,530
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.500%	03/01/16		920		966,473
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		3.550%	03/15/15		165		171,299
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes	Baa2		5.150%	03/15/42		1,560		1,391,635
NBCUniversal Media LLC, Gtd. Notes	A3		5.950%	04/01/41		635		725,249
Time Warner Cable, Inc., Gtd. Notes	Baa2		7.500%	04/01/14		345		361,841
								7,284,102
Capital Goods — 0.3%
Actuant Corp., Gtd. Notes	Ba2		5.625%	06/15/22		1,205		1,220,062
Case New Holland, Inc., Gtd. Notes	Ba2		7.875%	12/01/17		1,255		1,421,288
Deere & Co., Sr. Unsec’d. Notes	A2		3.900%	06/09/42		745		676,754
ERAC USA Finance LLC, Gtd. Notes, 144A (cost $1,299,722; purchased 10/10/07)(g)(h)	Baa1		6.375%	10/15/17		1,302		1,511,839
ERAC USA Finance LLC, Gtd. Notes, 144A (cost $501,539; purchased 05/30/13)(g)(h)	Baa1		6.700%	06/01/34		420		473,846
ERAC USA Finance LLC, Gtd. Notes, 144A (cost $376,709; purchased 10/10/07)(g)(h)	Baa1		7.000%	10/15/37		380		447,450
General Electric Co., Sr. Unsec’d. Notes(a)	Aa3		4.125%	10/09/42		485		451,290
General Electric Co., Sr. Unsec’d. Notes	Aa3		5.250%	12/06/17		200		225,829
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (cost $384,850; purchased 07/10/12)(g)(h)	Baa3		2.500%	07/11/14		385		390,487

SEE NOTES TO FINANCIAL STATEMENTS.

A82

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (cost $1,887,203; purchased 09/24/12)(g)(h)	Baa3		2.500%	03/15/16		1,890	$	1,922,470
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (cost $499,515; purchased 05/08/12)(g)(h)	Baa3		3.125%	05/11/15		500		516,651
United Technologies Corp., Sr. Unsec’d. Notes	A2		4.500%	06/01/42		1,445		1,424,919
Xylem, Inc., Sr. Unsec’d. Notes	Baa2		4.875%	10/01/21		1,260		1,337,776
								12,020,661
Chemicals — 0.2%
Agrium, Inc. (Canada), Sr. Unsec’d. Notes	Baa2		3.150%	10/01/22		780		733,293
Dow Chemical Co. (The), Sr. Unsec’d. Notes	Baa2		9.400%	05/15/39		432		632,256
E.I. du Pont de Nemours & Co., Sr. Unsec’d. Notes	A2		4.150%	02/15/43		215		206,588
ICI Wilmington, Inc., Gtd. Notes	Baa1		5.625%	12/01/13		720		733,221
LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes	Baa2		5.000%	04/15/19		1,000		1,088,096
Rhodia SA (France), Sr. Unsec’d. Notes, 144A	Baa2		6.875%	09/15/20		1,175		1,318,145
Union Carbide Corp., Sr. Unsec’d. Notes	Baa2		7.500%	06/01/25		460		538,344
								5,249,943
Consumer — 0.1%
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes	Baa3		6.250%	04/15/18		1,700		1,967,152
Electric — 0.5%
Arizona Public Service Co., Sr. Unsec’d. Notes	Baa1		6.250%	08/01/16		175		200,796
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes	Baa1		6.350%	10/01/36		550		656,693
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.250%	10/15/17		350		364,875
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.500%	02/15/21		975		1,040,813
CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2	A3		6.950%	03/15/33		590		778,687
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C	A3		5.500%	12/01/39		220		245,134
Duke Energy Carolinas LLC, First Ref. Mtge. Bonds	A1		4.000%	09/30/42		570		516,388
Duke Energy Carolinas LLC, First Mtge. Bonds	A1		6.050%	04/15/38		550		647,457
Duke Energy Progress, Inc., First Mtge. Bonds	A1		5.250%	12/15/15		525		582,351
El Paso Electric Co., Sr. Unsec’d. Notes	Baa2		6.000%	05/15/35		670		731,435
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes(a)	Baa2		8.625%	08/01/15		1,295		1,451,998
ENEL Finance International NV (Netherlands), Gtd. Notes, 144A	Baa2		6.000%	10/07/39		1,040		960,442
Exelon Corp., Sr. Unsec’d. Notes	Baa2		4.900%	06/15/15		155		165,889
Exelon Generation Co. LLC, Sr. Unsec’d. Notes	Baa2		6.250%	10/01/39		1,425		1,549,973
Florida Power & Light Co., First Mtge. Bonds	Aa3		5.950%	10/01/33		295		358,661
Georgia Power Co., Sr. Unsec’d. Notes, Ser. B	A3		5.700%	06/01/17		495		567,328
Iberdrola International BV (Netherlands), Gtd. Notes	Baa1		6.750%	09/15/33		145		147,600
Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF	Baa2		5.050%	11/15/14		460		484,624
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes	Baa1		5.950%	05/15/37		300		333,305
Nevada Power Co., Genl. Ref. Mtge., Ser. O	A3		6.500%	05/15/18		1,260		1,503,404
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A	A3		4.881%	08/15/19		610		678,978
NSTAR, Sr. Unsec’d. Notes	A3		4.500%	11/15/19		615		684,565
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes	Baa3		6.375%	01/15/15		345		372,416
Public Service Co. of New Mexico, Sr. Unsec’d. Notes	Baa3		7.950%	05/15/18		140		168,254
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN	A1		5.800%	05/01/37		535		646,005
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		4.800%	09/15/41		480		477,247
Xcel Energy, Inc., Sr. Unsec’d. Notes	Baa1		5.613%	04/01/17		199		223,562
								16,538,880
Energy – Integrated — 0.1%
BP Capital Markets PLC (United Kingdom), Gtd. Notes	A2		4.500%	10/01/20		535		580,415
BP Capital Markets PLC (United Kingdom), Gtd. Notes(a)	A2		5.250%	11/07/13		1,040		1,057,299
Chevron Corp., Sr. Unsec’d. Notes	Aa1		2.427%	06/24/20		320		318,176
Chevron Corp., Sr. Unsec’d. Notes	Aa1		3.191%	06/24/23		635		631,921
Reliance Holdings USA, Inc., Gtd. Notes, 144A	Baa2		5.400%	02/14/22		1,050		1,066,684
								3,654,495

SEE NOTES TO FINANCIAL STATEMENTS.

A83

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other — 0.3%
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.375%	09/15/17		1,195	$	1,374,226
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.450%	09/15/36		325		376,591
Anadarko Petroleum Corp., Sr. Unsec’d. Notes	Baa3		6.950%	06/15/19		250		300,381
Cameron International Corp., Sr. Unsec’d. Notes	Baa1		4.500%	06/01/21		2,200		2,327,703
Devon Energy Corp., Sr. Unsec’d. Notes(a)	Baa1		4.750%	05/15/42		1,065		994,160
Nabors Industries, Inc., Gtd. Notes	Baa2		4.625%	09/15/21		1,070		1,051,795
Phillips 66, Gtd. Notes, Ser. WI	Baa1		2.950%	05/01/17		490		505,003
Pioneer Natural Resources Co., Sr. Unsec’d. Notes	Baa3		6.875%	05/01/18		1,500		1,770,983
Transocean, Inc. (Cayman Islands), Gtd. Notes	Baa3		2.500%	10/15/17		920		909,182
Weatherford International Ltd. (Bermuda), Gtd. Notes(a)	Baa2		5.125%	09/15/20		810		848,997
Woodside Finance Ltd. (Australia), Gtd. Notes, 144A	Baa1		5.000%	11/15/13		1,315		1,334,199
								11,793,220
Foods — 0.4%
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		2.500%	07/15/22		1,630		1,521,765
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.000%	11/15/39		1,285		1,849,387
Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes	A3		8.200%	01/15/39		250		366,699
Beam, Inc., Sr. Unsec’d. Notes	Baa2		6.375%	06/15/14		727		764,691
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		5.350%	04/15/14		1,040		1,072,097
Bunge Ltd. Finance Corp., Gtd. Notes	Baa2		8.500%	06/15/19		985		1,215,689
Cargill, Inc., Sr. Unsec’d. Notes, 144A (cost $666,818; purchased 11/19/07)(g)(h)	A2		6.000%	11/27/17		670		779,789
Constellation Brands, Inc., Gtd. Notes	Ba1		4.250%	05/01/23		1,400		1,321,250
Darling International, Inc., Gtd. Notes	Ba2		8.500%	12/15/18		1,200		1,327,500
Delhaize Group SA (Belgium), Gtd. Notes	Baa3		6.500%	06/15/17		480		539,225
Kraft Foods Group, Inc., Sr. Unsec’d. Notes(a)	Baa2		5.000%	06/04/42		680		688,631
TreeHouse Foods, Inc., Gtd. Notes	Ba2		7.750%	03/01/18		1,271		1,345,671
Tyson Foods, Inc., Gtd. Notes	Baa3		6.600%	04/01/16		735		830,209
								13,622,603
Healthcare & Pharmaceutical — 0.4%
AbbVie, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.400%	11/06/42		740		687,359
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.150%	11/15/41		1,640		1,633,342
Amgen, Inc., Sr. Unsec’d. Notes	Baa1		5.375%	05/15/43		1,110		1,148,036
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a)	Ba2		5.125%	08/15/18		1,100		1,116,500
Express Scripts Holding Co., Gtd. Notes	Baa3		2.750%	11/21/14		2,460		2,514,115
Genentech, Inc., Sr. Unsec’d. Notes	AA(c)		4.750%	07/15/15		280		302,072
Gilead Sciences, Inc., Sr. Unsec’d. Notes	Baa1		5.650%	12/01/41		565		628,409
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		3.750%	08/23/22		180		171,943
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes	Baa2		5.625%	12/15/15		580		635,392
Merck & Co., Inc., Gtd. Notes	A1		5.950%	12/01/28		165		196,716
Mylan, Inc., Gtd. Notes, 144A(a)	Baa3		7.625%	07/15/17		1,000		1,107,211
Mylan, Inc., Sr. Unsec’d. Notes, 144A	Baa3		1.800%	06/24/16		425		423,845
Valeant Pharmaceuticals International, Gtd. Notes, 144A(a)	B1		6.500%	07/15/16		1,000		1,030,000
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes	Baa3		4.625%	10/01/42		560		499,741
Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a)	Baa3		6.125%	08/15/19		445		512,696
Wyeth, Gtd. Notes	A1		6.450%	02/01/24		60		74,284
Zoetis, Inc., Sr. Unsec’d. Notes, 144A(a)	Baa2		3.250%	02/01/23		165		156,769
Zoetis, Inc., Sr. Unsec’d. Notes, 144A	Baa2		4.700%	02/01/43		190		177,434
								13,015,864
Healthcare Insurance — 0.3%
Aetna, Inc., Sr. Unsec’d. Notes	Baa2		6.500%	09/15/18		1,570		1,859,841
Aetna, Inc., Sr. Unsec’d. Notes	Baa2		6.625%	06/15/36		515		618,365
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		5.875%	03/15/41		650		725,585
CIGNA Corp., Sr. Unsec’d. Notes	Baa2		6.150%	11/15/36		670		762,673
Coventry Health Care, Inc., Sr. Unsec’d. Notes	Baa2		6.125%	01/15/15		1,290		1,384,548
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		3.950%	10/15/42		260		223,704
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		5.950%	02/15/41		730		826,400

SEE NOTES TO FINANCIAL STATEMENTS.

A84

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare Insurance (continued)
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.000%	06/15/17		195	$	224,780
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.500%	06/15/37		420		502,931
UnitedHealth Group, Inc., Sr. Unsec’d. Notes	A3		6.625%	11/15/37		420		510,951
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		4.625%	05/15/42		390		361,753
WellPoint, Inc., Sr. Unsec’d. Notes(a)	Baa2		4.650%	01/15/43		995		927,427
WellPoint, Inc., Sr. Unsec’d. Notes	Baa2		5.000%	12/15/14		860		909,365
								9,838,323
Insurance — 0.7%
Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes	Baa1		5.500%	11/15/20		525		568,584
Allstate Corp. (The), Sr. Unsec’d. Notes	A3		4.500%	06/15/43		150		147,879
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		6.400%	12/15/20		2,425		2,812,239
American International Group, Inc., Sr. Unsec’d. Notes	Baa1		8.250%	08/15/18		990		1,227,742
AON Corp., Gtd. Notes	Baa2		3.125%	05/27/16		2,655		2,769,701
Axis Specialty Finance LLC, Gtd. Notes	Baa1		5.875%	06/01/20		1,030		1,142,404
Chubb Corp. (The), Jr. Sub. Notes(b)	A3		6.375%	03/29/67		1,300		1,391,000
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a)	Baa3		5.125%	04/15/22		755		821,528
Liberty Mutual Group, Inc., Gtd. Notes, 144A	Baa2		6.500%	05/01/42		365		390,524
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A	Baa2		7.000%	03/15/34		850		967,780
Lincoln National Corp., Jr. Sub. Notes(b)	Baa3		6.050%	04/20/67		260		254,717
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		6.300%	10/09/37		492		565,558
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		7.000%	06/15/40		705		876,233
Lincoln National Corp., Sr. Unsec’d. Notes	Baa1		8.750%	07/01/19		605		775,690
Markel Corp., Sr. Unsec’d. Notes	Baa2		5.000%	03/30/43		200		188,755
MetLife, Inc., Sr. Unsec’d. Notes	A3		5.700%	06/15/35		835		925,745
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.375%	06/15/34		400		483,424
MetLife, Inc., Sr. Unsec’d. Notes	A3		6.750%	06/01/16		430		492,149
New York Life Insurance Co., Sub. Notes, 144A(a)	Aa2		6.750%	11/15/39		660		818,325
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b)	A2		5.000%	10/18/42		745		728,704
Northwestern Mutual Life Insurance, Sub. Notes, 144A	Aa2		6.063%	03/30/40		370		416,562
Ohio National Financial Services, Inc., Sr. Notes, 144A	Baa1		6.375%	04/30/20		680		776,530
Pacific Life Insurance Co., Sub. Notes, 144A	A3		9.250%	06/15/39		995		1,322,351
Principal Financial Group, Inc., Gtd. Notes	A3		4.625%	09/15/42		130		124,723
Progressive Corp. (The), Jr. Sub. Notes(a)(b)	A2		6.700%	06/15/37		735		793,800
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A	Aa2		6.850%	12/16/39		1,450		1,770,802
Unum Group, Sr. Unsec’d. Notes	Baa2		5.625%	09/15/20		350		385,755
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		5.600%	05/15/15		555		590,970
W.R. Berkley Corp., Sr. Unsec’d. Notes	Baa2		6.150%	08/15/19		460		514,156
XL Group PLC (Ireland), Sr. Unsec’d. Notes	Baa2		5.250%	09/15/14		85		89,190
								25,133,520
Lodging — 0.2%
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.000%	03/01/19		580		585,128
Marriott International, Inc., Sr. Unsec’d. Notes	Baa2		3.250%	09/15/22		980		912,492
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a)	Baa2		6.750%	05/15/18		2,800		3,310,622
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		2.500%	03/01/18		490		481,235
Wyndham Worldwide Corp., Sr. Unsec’d. Notes	Baa3		4.250%	03/01/22		1,055		1,027,469
								6,316,946
Media & Entertainment — 0.3%
Belo Corp., Gtd. Notes	Ba1		8.000%	11/15/16		1,200		1,272,000
CBS Corp., Gtd. Notes (cost $417,944; purchased 07/16/12)(g)(h)	Baa2		4.850%	07/01/42		400		369,762
Globo Comunicacao E Participacoes SA (Brazil), Sr. Unsec’d. Notes, 144A(d)	Baa2		5.307%	05/11/22		600		616,500
Historic TW, Inc., Gtd. Notes	Baa2		9.150%	02/01/23		505		685,669
News America, Inc., Gtd. Notes	Baa1		6.150%	03/01/37		620		672,313
News America, Inc., Gtd. Notes	Baa1		6.150%	02/15/41		1,315		1,460,273
News America, Inc., Gtd. Notes	Baa1		6.900%	08/15/39		90		105,850

SEE NOTES TO FINANCIAL STATEMENTS.

A85

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		1,300	$	1,378,000
Time Warner Cos., Inc., Gtd. Notes	Baa2		7.250%	10/15/17		790		946,370
Time Warner, Inc., Gtd. Notes	Baa2		6.200%	03/15/40		210		231,149
Time Warner, Inc., Gtd. Notes	Baa2		6.250%	03/29/41		1,465		1,616,466
Time Warner, Inc., Gtd. Notes	Baa2		7.625%	04/15/31		180		226,900
Viacom, Inc., Sr. Unsec’d. Notes, 144A	Baa1		4.375%	03/15/43		332		281,601
								9,862,853
Metals — 0.2%
Barrick Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A	Baa2		4.100%	05/01/23		570		476,210
Newmont Mining Corp., Gtd. Notes	Baa1		6.250%	10/01/39		210		201,190
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		725		726,812
Southern Copper Corp., Sr. Unsec’d. Notes	Baa2		7.500%	07/27/35		425		454,305
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.050%	10/23/15		1,110		1,110,351
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.700%	10/25/17		1,220		1,183,133
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A	Baa2		2.850%	11/10/14		1,185		1,206,354
								5,358,355
Non-Captive Finance — 0.2%
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN	A1		5.875%	01/14/38		1,750		1,926,321
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.000%	08/07/19		920		1,068,059
General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN	A1		6.875%	01/10/39		1,625		2,002,652
International Lease Finance Corp., Sr. Unsec’d. Notes	Ba3		5.750%	05/15/16		375		385,363
SLM Corp., Sr. Notes, MTN	Ba1		6.250%	01/25/16		570		604,200
SLM Corp., Sr. Unsec’d. Notes, MTN	Ba1		8.450%	06/15/18		240		266,400
								6,252,995
Packaging — 0.1%
Ball Corp., Gtd. Notes	Ba1		4.000%	11/15/23		2,015		1,863,875
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes, 144A	Ba2		4.500%	01/15/23		1,100		1,036,750
								2,900,625
Paper — 0.1%
Georgia-Pacific LLC, Gtd. Notes, 144A (cost $288,298; purchased 10/27/10)(g)(h)	Baa2		5.400%	11/01/20		290		323,379
International Paper Co., Sr. Unsec’d. Notes	Baa3		6.000%	11/15/41		1,595		1,696,767
International Paper Co., Sr. Unsec’d. Notes	Baa3		7.950%	06/15/18		685		838,728
Rock Tenn Co., Gtd. Notes	Ba1		4.000%	03/01/23		440		423,957
Rock Tenn Co., Gtd. Notes	Ba1		4.900%	03/01/22		800		824,536
								4,107,367
Pipelines & Other — 0.1%
Energy Transfer Partners LP, Sr. Unsec’d. Notes	Baa3		4.650%	06/01/21		675		698,542
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes(a)	Baa2		5.950%	02/15/18		510		591,013
NiSource Finance Corp., Gtd. Notes	Baa3		5.250%	09/15/17		245		272,598
NiSource Finance Corp., Gtd. Notes	Baa3		5.450%	09/15/20		350		390,299
ONEOK Partners LP, Gtd. Notes	Baa2		6.650%	10/01/36		145		161,063
Spectra Energy Capital LLC, Gtd. Notes(a)	Baa2		6.200%	04/15/18		2,200		2,563,372
								4,676,887
Railroads — 0.1%
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes	A3		6.700%	08/01/28		670		807,213
CSX Corp., Sr. Unsec’d. Notes	Baa2		6.150%	05/01/37		715		822,458
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		2.903%	02/15/23		489		461,176
Norfolk Southern Corp., Sr. Unsec’d. Notes	Baa1		5.590%	05/17/25		100		112,803
								2,203,650
Real Estate Investment Trusts — 0.2%
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		385		415,800
HCP, Inc., Sr. Unsec’d. Notes	Baa1		2.700%	02/01/14		750		757,489
Mack-Cali Realty LP, Sr. Unsec’d. Notes	Baa2		7.750%	08/15/19		765		937,265

SEE NOTES TO FINANCIAL STATEMENTS.

A86

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Real Estate Investment Trusts (continued)
ProLogis LP, Gtd. Notes	Baa2		6.875%	03/15/20		72	$	83,544
Simon Property Group LP, Sr. Unsec’d. Notes	A3		2.800%	01/30/17		295		303,685
Simon Property Group LP, Sr. Unsec’d. Notes	A3		3.375%	03/15/22		230		225,680
Simon Property Group LP, Sr. Unsec’d. Notes	A3		6.125%	05/30/18		3,080		3,618,670
								6,342,133
Retailers — 0.2%
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		5.750%	05/15/41		1,020		1,149,771
CVS Caremark Corp., Sr. Unsec’d. Notes	Baa2		6.125%	09/15/39		515		601,816
Home Depot, Inc. (The), Sr. Unsec’d. Notes	A3		4.200%	04/01/43		880		835,928
Lowe’s Cos., Inc., Sr. Unsec’d. Notes	A3		6.500%	03/15/29		385		458,597
Ltd. Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		1,450		1,471,750
Macy’s Retail Holdings, Inc., Gtd. Notes(a)	Baa3		3.875%	01/15/22		360		360,940
Nordstrom, Inc., Sr. Unsec’d. Notes(a)	Baa1		4.000%	10/15/21		260		275,231
Walgreen Co., Sr. Unsec’d. Notes	Baa1		1.800%	09/15/17		1,500		1,481,229
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes	Aa2		5.625%	04/15/41		720		832,907
								7,468,169
Technology — 0.2%
Apple, Inc., Sr. Unsec’d. Notes(a)	Aa1		2.400%	05/03/23		2,330		2,160,991
Arrow Electronics, Inc., Sr. Unsec’d. Notes	Baa3		3.375%	11/01/15		400		413,994
Fiserv, Inc., Gtd. Notes	Baa2		3.125%	06/15/16		2,410		2,513,045
Xerox Corp., Sr. Unsec’d. Notes	Baa2		4.250%	02/15/15		2,720		2,841,573
								7,929,603
Telecommunications — 0.4%
America Movil SAB de CV (Mexico), Gtd. Notes	A2		6.125%	03/30/40		480		519,090
AT&T Corp., Gtd. Notes	A3		8.000%	11/15/31		7		9,748
AT&T, Inc., Sr. Unsec’d. Notes	A3		4.300%	12/15/42		1,363		1,187,022
AT&T, Inc., Sr. Unsec’d. Notes	A3		5.350%	09/01/40		815		824,649
AT&T, Inc., Sr. Unsec’d. Notes	A3		6.550%	02/15/39		1,720		1,975,007
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes	Baa2		9.625%	12/15/30		400		602,177
Embarq Corp., Sr. Unsec’d. Notes (cost $367,380; purchased 05/12/06)(g)(h)	Baa3		7.082%	06/01/16		325		364,174
Embarq Corp., Sr. Unsec’d. Notes (cost $1,626,279; purchased 05/04/11-05/11/11)(g)(h)	Baa3		7.995%	06/01/36		1,600		1,688,234
Qwest Corp., Sr. Unsec’d. Notes	Baa3		7.500%	10/01/14		1,440		1,549,960
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa3		5.250%	11/15/13		320		324,010
Telecom Italia Capital SA (Luxembourg), Gtd. Notes	Baa3		7.200%	07/18/36		430		423,474
Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A	BBB(c)		3.875%	10/12/22		430		392,676
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.000%	04/01/41		570		639,520
Verizon Communications, Inc., Sr. Unsec’d. Notes	A3		6.350%	04/01/19		3,165		3,754,874
Windstream Corp., Gtd. Notes	B1		8.125%	08/01/13		1,000		1,003,934
								15,258,549
Tobacco — 0.2%
Altria Group, Inc., Gtd. Notes	Baa1		4.750%	05/05/21		1,000		1,070,960
Altria Group, Inc., Gtd. Notes	Baa1		9.700%	11/10/18		1,215		1,615,230
Altria Group, Inc., Gtd. Notes	Baa1		9.950%	11/10/38		140		207,202
Altria Group, Inc., Gtd. Notes	Baa1		10.200%	02/06/39		790		1,189,007
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A	Baa3		2.050%	02/11/18		2,050		2,015,117
Lorillard Tobacco Co., Gtd. Notes	Baa2		3.500%	08/04/16		465		486,134
Lorillard Tobacco Co., Gtd. Notes	Baa2		8.125%	06/23/19		325		398,248
Reynolds American, Inc., Gtd. Notes	Baa2		7.250%	06/15/37		320		380,718
								7,362,616
TOTAL CORPORATE BONDS (cost $289,552,182)								303,300,613

SEE NOTES TO FINANCIAL STATEMENTS.

A87

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COVERED BONDS — 0.1%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Depfa ACS Bank (Ireland), 144A	A3		5.125%	03/16/37		665	$	572,555
DNB Boligkreditt AS (Norway), 144A	Aaa		1.450%	03/21/18		375		364,087
Stadshypotek AB (Sweden), 144A(a)	Aaa		1.250%	05/23/18		2,535		2,435,375
TOTAL COVERED BONDS (cost $3,550,257)								3,372,017
MORTGAGE-BACKED SECURITIES — 8.6%
Federal Home Loan Mortgage Corp.(b)			2.478%	06/01/36		559		590,592
Federal Home Loan Mortgage Corp.(b)			2.621%	12/01/35		483		513,084
Federal Home Loan Mortgage Corp.			3.000%	TBA 30 YR		1,000		974,688
Federal Home Loan Mortgage Corp.			3.500%	TBA 15 YR		2,000		2,076,250
Federal Home Loan Mortgage Corp.			3.500%	TBA 30 YR		5,500		5,570,469
Federal Home Loan Mortgage Corp.			4.000%	06/01/26-12/01/40		7,297		7,664,640
Federal Home Loan Mortgage Corp.			4.500%	02/01/19-10/01/41		19,615		20,729,962
Federal Home Loan Mortgage Corp.			5.000%	07/01/18-06/01/39		8,226		8,773,852
Federal Home Loan Mortgage Corp.			5.500%	12/01/33-07/01/38		8,861		9,552,757
Federal Home Loan Mortgage Corp.			6.000%	03/01/32-08/01/39		3,736		4,077,700
Federal Home Loan Mortgage Corp.			6.500%	12/01/14		21		21,166
Federal Home Loan Mortgage Corp.			7.000%	01/01/31-10/01/32		497		571,426
Federal National Mortgage Association(b)			2.014%	07/01/33		402		424,322
Federal National Mortgage Association(b)			2.058%	06/01/37		139		146,966
Federal National Mortgage Association			2.500%	TBA 15 YR		12,000		12,043,124
Federal National Mortgage Association			2.500%	TBA 15 YR		9,500		9,554,921
Federal National Mortgage Association			3.000%	TBA 15 YR		12,000		12,316,876
Federal National Mortgage Association			3.000%	TBA 30 YR		1,500		1,465,547
Federal National Mortgage Association			3.500%	06/01/39-03/01/43		15,521		15,786,515
Federal National Mortgage Association			3.500%	TBA 15 YR		500		520,781
Federal National Mortgage Association			3.500%	TBA 30 YR		19,000		19,287,968
Federal National Mortgage Association			3.500%	TBA 30 YR		21,500		21,768,749
Federal National Mortgage Association			4.500%	11/01/18-03/01/41		15,777		16,920,959
Federal National Mortgage Association			4.500%	TBA 30 YR		7,000		7,393,750
Federal National Mortgage Association			5.000%	10/01/18-02/01/36		7,621		8,224,121
Federal National Mortgage Association			5.000%	TBA 30 YR		5,500		5,918,945
Federal National Mortgage Association			5.500%	03/01/16-08/01/37		11,043		12,096,646
Federal National Mortgage Association			6.000%	05/01/14-05/01/38		9,546		10,507,438
Federal National Mortgage Association			6.500%	07/01/17-09/01/37		3,478		3,891,327
Federal National Mortgage Association			7.000%	02/01/32-07/01/32		328		376,410
Federal National Mortgage Association			7.500%	05/01/32		61		70,651
Government National Mortgage Association			3.000%	TBA 30 YR		3,500		3,461,172
Government National Mortgage Association			3.000%	TBA 30 YR		6,500		6,425,860
Government National Mortgage Association			3.000%	TBA 30 YR		3,000		2,958,750
Government National Mortgage Association			3.500%	TBA 30 YR		14,000		14,360,937
Government National Mortgage Association			4.000%	06/15/40-05/20/41		3,313		3,498,129
Government National Mortgage Association			4.000%	TBA 30 YR		22,000		23,089,686
Government National Mortgage Association			4.500%	01/20/41-02/20/41		6,199		6,642,999
Government National Mortgage Association			4.500%	TBA 30 YR		2,500		2,663,184
Government National Mortgage Association			4.500%	TBA 30 YR		3,000		3,183,164
Government National Mortgage Association			5.500%	11/15/32-02/15/36		3,863		4,245,277
Government National Mortgage Association			6.000%	02/15/33-10/15/34		1,800		2,019,695
Government National Mortgage Association			6.500%	10/15/23-07/15/35		2,124		2,403,661
Government National Mortgage Association			8.000%	01/15/24-04/15/25		65		72,889
TOTAL MORTGAGE-BACKED SECURITIES (cost $291,691,686)								294,858,005
MUNICIPAL BONDS — 0.4%
Bay Area Toll Authority, Revenue Bonds, BABs	Aa3		6.263%	04/01/49		1,325		1,558,226
Chicago O’Hare International Airport, Revenue Bonds, BABs	A2		6.395%	01/01/40		1,030		1,217,656
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs	Aa2		6.731%	07/01/43		1,000		1,162,520

SEE NOTES TO FINANCIAL STATEMENTS.

A88

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

MUNICIPAL BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs	A3		7.414%	01/01/40		1,070	$	1,429,413
New York City Transitional Finance Authority, Revenue Bonds, BABs	Aa1		5.767%	08/01/36		1,130		1,311,139
Ohio State University (The), Revenue Bonds, BABs	Aa1		4.910%	06/01/40		455		450,532
Ohio State Water Development Authority, Revenue Bonds, BABs	Aaa		4.879%	12/01/34		300		310,902
Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs	Aa2		5.834%	11/15/34		445		527,997
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs	A1		5.511%	12/01/45		550		594,853
Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs	Aa2		5.844%	11/01/50		680		810,791
State of California, GO, BABs(a)	A1		7.300%	10/01/39		1,270		1,649,501
State of California, GO, BABs	A1		7.500%	04/01/34		475		619,163
State of California, GO, BABs	A1		7.550%	04/01/39		245		327,901
State of California, GO, BABs	A1		7.625%	03/01/40		215		288,592
State of Illinois, GO	A3		4.421%	01/01/15		740		772,345
Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs	Aaa		5.028%	04/01/26		335		372,322
TOTAL MUNICIPAL BONDS (cost $11,444,818)								13,403,853
NON-CORPORATE FOREIGN AGENCIES — 0.7%
CNOOC Finance 2013 Ltd. (Virgin Islands (BR)), Gtd. Notes	Aa3		3.000%	05/09/23		435		392,960
Commonwealth Bank of Australia (Australia), 144A(a)	Aaa		2.700%	11/25/14		7,435		7,666,674
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		4.000%	01/29/21		515		510,730
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes	Aa3		5.125%	06/29/20		400		423,493
Kommunalbanken As (Norway), Sr. Unsec’d. Notes, 144A	Aaa		1.125%	05/23/18		3,158		3,047,470
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A	A1		6.250%	06/17/14		1,000		1,043,402
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes(a)	Aaa		2.375%	08/25/21		880		866,272
Pemex Project Funding Master Trust, Gtd. Notes	Baa1		8.625%	12/01/23		350		416,500
Petrobras Global Finance BV (Netherlands), Gtd. Notes	A3		2.000%	05/20/16		1,665		1,630,428
Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a)	A3		5.375%	01/27/21		1,500		1,507,041
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A(a)	Baa1		3.500%	01/30/23		970		894,825
Petroleos Mexicanos (Mexico), Gtd. Notes	Baa1		5.500%	01/21/21		2,730		2,907,450
RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Unsec’d. Notes, 144A	Baa1		6.299%	05/15/17		2,190		2,324,028
TOTAL NON-CORPORATE FOREIGN AGENCIES (cost $23,759,681)								23,631,273
NON-CORPORATE SOVEREIGNS — 0.2%
Italy Government International Bond (Italy), Sr. Unsec’d. Notes	BBB+(c)		3.125%	01/26/15		300		307,560
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN	Baa1		3.625%	03/15/22		700		686,000
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a)	Baa1		4.750%	03/08/44		1,006		895,340
Poland Government International Bond (Poland), Sr. Unsec’d. Notes	A2		3.000%	03/17/23		1,410		1,272,525
Russian Foreign Bond – Eurobond, Unsec’d. Notes (Russia), 144A	Baa1		3.250%	04/04/17		2,400		2,468,712
TOTAL NON-CORPORATE SOVEREIGNS (cost $5,820,328)								5,630,137
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.4%
Federal Home Loan Banks(a)			0.250%	02/20/15		2,825		2,821,008
Federal Home Loan Banks			5.500%	07/15/36		1,080		1,327,849
Federal Home Loan Mortgage Corp.(a)			0.750%	01/12/18		685		663,223
Federal Home Loan Mortgage Corp.(a)			0.875%	03/07/18		945		914,456
Federal Home Loan Mortgage Corp.(a)			1.375%	05/01/20		2,700		2,558,401
Federal Home Loan Mortgage Corp.(a)			2.375%	01/13/22		3,720		3,615,010
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $12,080,774)								11,899,947

SEE NOTES TO FINANCIAL STATEMENTS.

A89

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

U.S. GOVERNMENT TREASURY OBLIGATIONS — 5.0%	Interest Rate		Maturity Date		Principal Amount (000)#		Value (Note 2)
U.S. Treasury Bonds		2.750%		11/15/42		1,230	$	1,060,491
U.S. Treasury Bonds		2.875%		05/15/43		2,655		2,349,675
U.S. Treasury Bonds		3.125%		02/15/43		11,115		10,375,163
U.S. Treasury Inflation Indexed Bonds		1.375%		01/15/20		5,979		6,514,671
U.S. Treasury Inflation Indexed Notes		0.125%		04/15/18		10,674		10,949,273
U.S. Treasury Inflation Indexed Notes		0.125%		01/15/23		1,768		1,714,443
U.S. Treasury Notes(a)		0.250%		05/31/15		6,740		6,728,151
U.S. Treasury Notes(a)		0.500%		06/15/16		2,185		2,175,782
U.S. Treasury Notes		0.750%		12/31/17		8,810		8,619,343
U.S. Treasury Notes		0.875%		01/31/18		9,170		9,006,664
U.S. Treasury Notes		1.000%		10/31/16		4,300		4,325,533
U.S. Treasury Notes(i)		1.000%		03/31/17		1,460		1,461,370
U.S. Treasury Notes		1.375%		06/30/18		21,515		21,503,231
U.S. Treasury Notes		2.375%		07/31/17		5,655		5,944,819
U.S. Treasury Notes(a)		3.000%		09/30/16		6,525		6,993,476
U.S. Treasury Notes(a)		3.125%		04/30/17		7,045		7,606,952
U.S. Treasury Notes		3.125%		05/15/21		7,565		8,123,509
U.S. Treasury Notes(a)		4.250%		11/15/17		7,015		7,935,719
U.S. Treasury Notes		4.500%		11/15/15		16,415		17,970,584
U.S. Treasury Strips Coupon(j)		3.690%		02/15/26		6,625		4,499,057
U.S. Treasury Strips Coupon(j)		3.880%		11/15/26		4,475		2,932,409
U.S. Treasury Strips Coupon(a)(j)		4.050%		08/15/27		7,455		4,717,315
U.S. Treasury Strips Coupon(j)		4.160%		02/15/28		22,165		13,705,994
U.S. Treasury Strips Coupon(j)		5.090%		08/15/33		10,730		5,258,934
U.S. Treasury Strips Principal(k)		0.500%		11/15/15		790		780,567
TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS (cost $175,506,557)								173,253,125
TOTAL LONG-TERM INVESTMENTS (cost $2,826,840,489)								3,358,102,629
SHORT-TERM INVESTMENTS — 11.6%
U.S. GOVERNMENT TREASURY OBLIGATION
U.S. Treasury Bill(i)(l) (cost $749,925)		0.045%		09/19/13		750		749,942
					Shares
AFFILIATED MUTUAL FUNDS — 11.6%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $147,034,343)(m)						14,909,341		138,507,779
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $260,044,682 includes $155,113,816 of cash collateral received for securities on loan) (Note 4)(m)(n)						260,044,682		260,044,682
TOTAL AFFILIATED MUTUAL FUNDS (cost $407,079,025)								398,552,461
			Counterparty		Notional Amount (000)#
OPTION PURCHASED*
Call Option
Interest Rate Swap Options, Receive a fixed rate of 2.000% and pay a floating rate based on 3-month LIBOR, expiring 08/16/13 (cost $171,233)				Deutsche Bank AG	$	20,145		2,691
TOTAL SHORT-TERM INVESTMENTS (cost $408,000,183)								399,305,094
TOTAL INVESTMENTS — 109.4% (cost $3,234,840,672)								3,757,407,723
LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (9.4)%								(323,617,024	)
NET ASSETS — 100.0%							$	3,433,790,699

SEE NOTES TO FINANCIAL STATEMENTS.

A90

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The following abbreviations are used in the portfolio descriptions:

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

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

† The ratings reflected are as of June 30, 2013. Ratings of certain bonds may have changed subsequent to that date. The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings.

* 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 $150,264,622; cash collateral of $155,113,816 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2013.

(c) Standard & Poor’s Rating.

(d) Represents step coupon bond. Rate shown reflects the rate in effect at June 30, 2013.

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

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

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

(h) Indicates a restricted security; the aggregate original cost of such securities is $8,316,257. The aggregate value of $8,788,081 is approximately 0.3% of net assets.

(i) All or a portion of this security is held by the broker as collateral for open futures contracts.

(j) Rate shown reflects the effective yield at June 30, 2013.

(k) Represents zero coupon bond. Rate shown reflects the effective yield on June 30, 2013.

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

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

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

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

Open futures contracts outstanding at June 30, 2013:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Long Positions:
1,283	5 Year U.S. Treasury Notes		Sept. 2013	$	155,893,926	$	155,303,141	$	(590,785	)
103	10 Year U.S Treasury Notes		Sept. 2013		13,010,752		13,035,938		25,186
201	S&P 500 E-mini		Sept. 2013		16,391,490		16,072,965		(318,525	)
32	U.S. Ultra Bond		Sept. 2013		4,709,857		4,714,000		4,143
									(879,981	)

SEE NOTES TO FINANCIAL STATEMENTS.

A91

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Open futures contracts outstanding at June 30, 2013 (continued):

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Short Positions:
142	2 Year U.S. Treasury Notes		Sept. 2013	$	31,235,788	$	31,240,000	$	(4,212	)
176	U.S. Long Bond		Sept. 2013		24,676,414		23,908,500		767,914
									763,702
								$	(116,279	)

Interest rate swap agreements outstanding at June 30, 2013:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
	15,010		06/07/16		0.654%	3 month LIBOR(1)	$	(53,797	)	$	—	$	(53,797	)	JPMorgan Chase Bank
	23,800		08/31/16		0.934%	3 month LIBOR(1)		117,128			—		117,128		Credit Suisse International
	7,405		08/31/16		0.975%	3 month LIBOR(2)		(46,950	)		—		(46,950	)	JPMorgan Chase Bank
	7,405		08/31/16		0.978%	3 month LIBOR(2)		(47,851	)		—		(47,851	)	JPMorgan Chase Bank
	2,195		09/14/16		1.206%	3 month LIBOR(2)		(30,072	)		—		(30,072	)	Deutsche Bank AG
	21,255		11/30/16		0.945%	3 month LIBOR(2)		870			—		870		Citibank, NA
	13,615		02/28/17		0.680%	3 month LIBOR(1)		(158,315	)		—		(158,315	)	Citibank, NA
	7,580		08/31/17		0.751%	3 month LIBOR(2)		153,231			—		153,231		Bank of Nova Scotia
	12,975		11/30/17		1.107%	3 month LIBOR(2)		158,309			—		158,309		Barclays Bank PLC
	10,665		11/30/17		1.155%	3 month LIBOR(2)		109,159			—		109,159		Morgan Stanley Capital Services, Inc.
	3,590		03/15/18		0.885%	3 month LIBOR(2)		83,164			—		83,164		Bank of Nova Scotia
	3,590		03/18/18		1.049%	3 month LIBOR(1)		(55,515	)		—		(55,515	)	Bank of Nova Scotia
	3,158		05/17/18		0.989%	3 month LIBOR(2)		74,781			—		74,781		Credit Suisse International
	5,220		11/15/19		1.443%	3 month LIBOR(1)		(158,645	)		—		(158,645	)	Morgan Stanley Capital Services, Inc.
	5,220		02/15/20		1.505%	3 month LIBOR(2)		173,810			—		173,810		Morgan Stanley Capital Services, Inc.
	8,370		02/15/20		1.355%	3 month LIBOR(1)		(358,154	)		—		(358,154	)	Morgan Stanley Capital Services, Inc.
							$	(38,847	)	$	—	$	(38,847	)

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2013			Unrealized Depreciation
	Exchange-traded swap agreements:
	13,125		11/30/17		1.417%	3 month LIBOR(2)	$	—	$	(1,621	)	$	(1,621	)
	13,060		11/30/17		1.418%	3 month LIBOR(2)		—		(2,164	)		(2,164	)
	13,160		11/30/17		1.457%	3 month LIBOR(2)		—		(22,975	)		(22,975	)
							$	—	$	(26,760	)	$	(26,760	)

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

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

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

Credit default swap agreements outstanding at June 30, 2013:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Depreciation			Counterparty
Over-the-counter credit default swaps on corporate issues—Buy protection(1):
Bunge Ltd. Finance Corp.		06/20/14		0.650%		1,150	$	(5,470	)	$	—	$	(5,470	)	JPMorgan Chase Bank
Newell Rubbermaid, Inc.		06/20/18		1.000%		1,700		(16,858	)		—		(16,858	)	Morgan Stanley Capital Services, Inc.
Simon property Group L.P.		06/20/18		0.970%		2,800		(25,789	)		—		(25,789	)	Morgan Stanley Capital Services, Inc.
Spectra Energy Capital LLC		06/20/18		1.150%		2,200		(275	)		—		(275	)	Deutsche Bank AG
							$	(48,392	)	$	—	$	(48,392	)

SEE NOTES TO FINANCIAL STATEMENTS.

A92

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Credit default swap agreements outstanding at June 30, 2013 (continued):

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)			Upfront Premiums Paid/ (Received)			Unrealized Depreciation			Counterparty
Over-the-counter credit default swaps on credit indices—Buy Protection(1):
CDX.NAJG.19.V1		12/20/17		1.000%		23,000	$	(241,954	)	$	(214,502	)	$	(27,452	)	Citibank, NA
CDX.NAJG.19.V1		12/20/17		1.000%		14,000		(147,277	)		(63,399	)		(83,878	)	Deutsche Bank AG
CDX.NAJG.19.V1		12/20/17		1.000%		10,000		(105,198	)		(42,582	)		(62,616	)	Citibank, NA
CDX.NAJG.19.V1		12/20/17		1.000%		4,000		(42,079	)		(17,898	)		(24,181	)	Citibank, NA
							$	(536,508	)	$	(338,381	)	$	(198,127	)
Reference Entity Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value(4)			Upfront Premiums Paid/ (Received)			Unrealized Depreciation			Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(2):
CDX.NAHY.17.V5		12/20/16		5.000%		5,280	$	331,731		$	231,366		$	100,365		Deutsche Bank AG
CDX.NAHY.17.V5		12/20/16		5.000%		3,840		241,260			165,867			75,393		Deutsche Bank AG
CDX.NAHY.17.V5		12/20/16		5.000%		1,440		90,472			60,400			30,072		Credit Suisse International
							$	663,463		$	457,633		$	205,830

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

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

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

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

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,254,837,667	$	53,347,285	$	—
Exchange Traded Fund		1,084,482		—		—
Preferred Stocks		612,700		17,347		—
Rights		—		2,169		—
Asset-Backed Securities
Collateralized Debt Obligations		—		977,862		—
Collateralized Loan Obligations		—		31,312,264		9,961,930
Non-Residential Mortgage-Backed Securities		—		16,565,433		—
Residential Mortgage-Backed Securities		—		6,787,799		—

SEE NOTES TO FINANCIAL STATEMENTS.

A93

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

	Level 1			Level 2			Level 3
Bank Loans	$	—		$	9,821,888		$	—
Collateralized Mortgage Obligations		—			5,804,935			—
Commercial Mortgage-Backed Securities		—			137,619,898			—
Corporate Bonds		—			298,441,823			4,858,790
Covered Bonds		—			3,372,017			—
Mortgage-Backed Securities		—			294,858,005			—
Municipal Bonds		—			13,403,853			—
Non-Corporate Foreign Agencies		—			23,631,273			—
Non-Corporate Sovereigns		—			5,630,137			—
U.S. Government Agency Obligations		—			11,899,947			—
U.S. Government Treasury Obligations		—			174,003,067			—
Affiliated Mutual Funds		398,552,461			—			—
Options Purchased		—			2,691			—
Other Financial Instruments*
Futures Contracts		(116,279	)		—			—
Interest Rate Swap Agreements		(26,760	)		(38,847	)		—
Credit Default Swap Agreements		—			(40,689	)		—
Total	$	2,654,944,271		$	1,087,420,157		$	14,820,720

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 was as follows:

Affiliated Mutual Funds (including 4.5% of collateral received for securities on loan)	11.6	%
Mortgage-Backed Securities	8.6
Oil, Gas & Consumable Fuels	6.4
U.S. Government Treasury Obligations	5.0
Commercial Mortgage-Backed Securities	4.0
Pharmaceuticals	3.7
Insurance	3.3
Computers & Peripherals	3.0
Banking	2.4
Software	2.4
Diversified Financial Services	2.2
Diversified Telecommunication Services	2.2
Media	2.0
Specialty Retail	2.0
Capital Markets	1.9
Commercial Banks	1.9
IT Services	1.9
Healthcare Equipment & Supplies	1.9
Biotechnology	1.8
Chemicals	1.8
Food & Staples Retailing	1.8
Beverages	1.7
Communications Equipment	1.7
Hotels, Restaurants & Leisure	1.7
Aerospace & Defense	1.6
Internet Software & Services	1.3
Machinery	1.3
Real Estate Investment Trusts	1.3
Collateralized Loan Obligations	1.2
Food Products	1.2
Healthcare Providers & Services	1.2
Household Products	1.1
Industrial Conglomerates	1.1
Road & Rail	1.1

Tobacco	1.1	%
Semiconductors & Semiconductor Equipment	1.0
Textiles, Apparel & Luxury Goods	1.0
Consumer Finance	0.9
Energy Equipment & Services	0.9
Electric Utilities	0.8
Multiline Retail	0.7
Non-Corporate Foreign Agencies	0.7
Air Freight & Logistics	0.6
Multi-Utilities	0.6
Electric	0.5
Foods	0.5
Healthcare & Pharmaceutical	0.5
Household Durables	0.5
Metals & Mining	0.5
Non-Residential Mortgage-Backed Securities	0.5
Electrical Equipment	0.4
Independent Power Producers & Energy Traders	0.4
Municipal Bonds	0.4
Telecommunications	0.4
Trading Companies & Distributors	0.4
U.S. Government Agency Obligations	0.4
Capital Goods	0.3
Electronic Equipment, Instruments & Components	0.3
Energy – Other	0.3
Healthcare Insurance	0.3
Internet & Catalog Retail	0.3
Leisure Equipment & Products	0.3
Media & Entertainment	0.3
Real Estate Management & Development	0.3
Technology	0.3
Airlines	0.2
Building Products	0.2
Cable	0.2
Collateralized Mortgage Obligations	0.2

SEE NOTES TO FINANCIAL STATEMENTS.

A94

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Industry table (cont.)
Lodging	0.2	%
Metals	0.2
Non-Captive Finance	0.2
Non-Corporate Sovereigns	0.2
Residential Mortgage-Backed Securities	0.2
Retailers	0.2
Automobiles	0.1
Automotive	0.1
Brokerage	0.1
Building Materials & Construction	0.1
Commercial Services & Supplies	0.1
Construction & Engineering	0.1
Consumer	0.1

Containers & Packaging	0.1	%
Covered Bonds	0.1
Energy – Integrated	0.1
Life Sciences Tools & Services	0.1
Packaging	0.1
Paper	0.1
Pipelines & Other	0.1
Professional Services	0.1
Railroads	0.1
Water Utilities	0.1
	109.4
Liabilities in excess of other assets	(9.4	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2013 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	Premium paid for swap agreements	$	457,633		Premiums received for swap agreements	$	338,381
Credit contracts	Unrealized appreciation on over-the-counter swap agreements		205,830		Unrealized depreciation on over-the-counter swap agreements		246,519
Equity contracts	Unaffiliated investments		2,169		Due from broker — variation margin		318,525	*
Interest rate contracts	Unaffiliated investments		2,691
Interest rate contracts	Unrealized appreciation on over-the-counter swap agreements		870,452		Unrealized depreciation on over-the-counter swap agreements		909,299
Interest rate contracts	Due from broker — variation margin		797,243	*	Due from broker — variation margin		621,757	*
Total		$	2,336,018			$	2,434,481

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

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Options Purchased			Options Written			Futures			Swaps			Total
Credit contracts	$	—	$	—		$	—		$	—		$	230,474		$	230,474
Equity contracts		4,096		—			—			1,536,866			—			1,540,962
Interest rate contracts		—		90,171			(10,044	)		(2,137,315	)		646,077			(1,411,111	)
Total	$	4,096	$	90,171		$	(10,044	)	$	(600,449	)	$	876,551		$	360,325
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value			Rights			Options Purchased			Futures			Swaps			Total
Credit contracts			$	—		$	—		$	—		$	(36,302	)	$	(36,302	)
Equity contracts				(1,530	)		—			(318,525	)		—			(320,055	)
Interest rate contracts				—			(168,542	)		(80,333	)		589,014			340,139
Total			$	(1,530	)	$	(168,542	)	$	(398,858	)	$	552,712		$	(16,218	)

SEE NOTES TO FINANCIAL STATEMENTS.

A95

	FLEXIBLE MANAGED PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased (Cost)	Options Written (Premiums Received)	Futures Long Position (Value at Trade Date)	Futures Short Position (Value at Trade Date)
$176,377	$20,652	$152,110,897	$36,539,518

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))
$147,313	$41,850	$7,040

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of  Financial Position
Securities on Loan	$	150,264,622		$	—	$	—	$	150,264,622
Exchange-traded and cleared Derivatives		15,803			—		—		15,803
Over-the-counter Derivatives		1,078,973			—		—		1,078,973
									151,359,398
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial  Position
Over-the-counter Derivatives		(1,155,818	)		—		—		(1,155,818	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(150,264,622	)
Exchange-traded and cleared Derivatives									—
Over-the-counter Derivatives									76,845
Net Amount								$	15,803

SEE NOTES TO FINANCIAL STATEMENTS.

A96

FLEXIBLE MANAGED PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $150,264,622:
Unaffiliated investments (cost $2,827,761,647)	$	3,358,855,262
Affiliated investments (cost $407,079,025)		398,552,461
Cash		89,500
Foreign currency, at value (cost $293,631)		290,925
Receivable for investments sold		94,751,597
Dividends and interest receivable		10,101,327
Unrealized appreciation on over-the-counter swap agreements		1,076,282
Premiums paid for swap agreements		457,633
Foreign tax reclaim receivable		136,025
Due from broker—variation margin		15,803
Prepaid expenses		3,213
Receivable for Series shares sold		1,223
Total Assets		3,864,331,251
LIABILITIES
Payable for investments purchased		271,425,446
Collateral for securities on loan		155,113,816
Management fee payable		1,714,968
Unrealized depreciation on over-the-counter swap agreements		1,155,818
Accrued expenses and other liabilities		408,317
Payable for Series shares repurchased		382,880
Premiums received for swap agreements		338,381
Affiliated transfer agent fee payable		926
Total Liabilities		430,540,552
NET ASSETS	$	3,433,790,699
Net assets were comprised of:
Paid-in capital	$	2,728,862,589
Retained earnings		704,928,110
Net assets, June 30, 2013	$	3,433,790,699
Net asset value and redemption price per share, $3,433,790,699 / 179,160,377 outstanding shares of beneficial interest	$	19.17

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $135,234)	$	26,180,149
Interest income		16,945,991
Affiliated dividend income		1,022,810
Affiliated income from securities loaned, net		107,397
		44,256,347
EXPENSES
Management fee		10,211,179
Custodian’s fees and expenses		238,000
Shareholders’ reports		146,000
Trustees’ fees		21,000
Insurance expenses		19,000
Audit fee		18,000
Legal fees and expenses		8,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		3,000
Miscellaneous		21,947
Total expenses		10,692,126
NET INVESTMENT INCOME		33,564,221
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		158,211,108
Futures transactions		(600,449	)
Swap agreement transactions		876,551
Foreign currency transactions		(12,684	)
Options Written transactions		(10,044	)
		158,464,482
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $886,384)		63,811,640
Futures		(398,858	)
Swap agreements		552,712
Foreign currencies		(10,921	)
		63,954,573
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		222,419,055
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	255,983,276

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE IN NET ASSETS OPERATIONS:
Net investment income	$	33,564,221		$	65,899,714
Net realized gain on investment and foreign currency transactions		158,464,482			140,795,570
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		63,954,573			192,663,911
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		255,983,276			399,359,195
DISTRIBUTIONS		—			(61,900,998	)
SERIES SHARE TRANSACTIONS:
Series shares sold [321,905 and 819,611 shares, respectively]		6,089,984			14,077,527
Series shares issued in reinvestment of distributions [0 and 3,735,727 shares, respectively]		—			61,900,998
Series shares repurchased [4,978,081 and 10,708,816 shares, respectively]		(94,048,541	)		(184,472,132	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(87,958,557	)		(108,493,607	)
TOTAL INCREASE IN NET ASSETS		168,024,719			228,964,590
NET ASSETS:
Beginning of period		3,265,765,980			3,036,801,390
End of period	$	3,433,790,699		$	3,265,765,980

SEE NOTES TO FINANCIAL STATEMENTS.

A97

	GLOBAL PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 97.3%
COMMON STOCKS — 97.3%	Shares		Value (Note 2)
Australia — 1.1%
Arrium Ltd.		447,200	$	316,488
Ausdrill Ltd.		123,200		95,923
Bendigo and Adelaide Bank Ltd.		103,400		948,160
Bradken Ltd.		98,900		388,381
Challenger Ltd.		204,200		744,623
Downer EDI Ltd.		182,200		594,063
Leighton Holdings Ltd.		37,200		521,320
Lend Lease Group		114,600		873,743
Metcash Ltd.		206,000		660,851
National Australia Bank Ltd.		37,600		1,017,082
Pacific Brands Ltd.		460,600		295,059
Qantas Airways Ltd.*		419,500		515,268
				6,970,961
Austria — 0.3%
OMV AG		32,300		1,457,082
Voestalpine AG		14,500		512,766
				1,969,848
Belgium — 0.2%
AGFA-Gevaert NV*		86,100		152,417
Delhaize Group SA		21,500		1,329,174
				1,481,591
Bermuda — 0.6%
Genpact Ltd.		193,077		3,714,801
Canada — 0.9%
Brookfield Asset Management, Inc. (Class A Stock)		73,837		2,659,609
Canadian Pacific Railway Ltd.		23,350		2,834,223
				5,493,832
Denmark — 0.6%
Coloplast A/S (Class B Stock)		37,168		2,081,187
Novo Nordisk A/S (Class B Stock)		10,587		1,645,881
				3,727,068
Finland — 0.1%
Tieto OYJ		41,300		785,193
France — 3.8%
Arkema SA		8,100		742,485
AXA SA		56,700		1,117,705
BNP Paribas SA		87,683		4,800,185
Bouygues SA		21,900		558,050
Cie Generale des Etablissements Michelin		12,000		1,072,986
Credit Agricole SA*		62,500		537,924
Dassault Systemes SA		21,078		2,576,290
Publicis Groupe SA		32,914		2,344,094
Renault SA		12,300		828,493
Sanofi		19,800		2,046,925
SCOR SE		22,000		675,230
Societe Generale SA		10,800		371,685
Technip SA		20,940		2,128,168
Thales SA		20,600		961,271
Total SA		38,500		1,880,453
Valeo SA		13,300		834,558
Vivendi SA		72,400		1,372,090
				24,848,592

COMMON STOCKS (continued)	Shares		Value (Note 2)
Germany — 3.4%
Allianz SE		8,600	$	1,255,261
Aurubis AG		6,200		332,372
BASF SE		12,600		1,123,833
Bayer AG		6,900		734,644
Bayerische Motoren Werke AG		32,799		2,862,558
Brenntag AG		11,233		1,707,324
Continental AG		6,100		813,181
Daimler AG		20,700		1,249,629
Deutsche Bank AG		13,700		574,477
Deutsche Post AG		28,100		697,383
E.ON AG		26,300		431,019
Freenet AG*		37,500		817,661
Fresenius SE & Co. KGaA		24,301		2,990,969
Hannover Rueckversicherung AG		8,600		618,399
Lanxess AG		8,100		487,797
Metro AG		21,300		673,033
Muenchener Rueckversicherungs AG		6,300		1,157,384
Rheinmetall AG		13,300		618,628
RWE AG		18,800		599,304
SAP AG		14,628		1,068,175
Volkswagen AG		7,400		1,438,738
				22,251,769
Hong Kong — 1.1%
AIA Group Ltd.		912,000		3,842,257
Cheung Kong Holdings Ltd.		46,000		620,284
First Pacific Co. Ltd.		528,000		564,428
Huabao International Holdings Ltd.		848,000		373,393
Kingboard Chemical Holdings Ltd.		216,000		443,560
Shougang Fushan Resources Group Ltd.		1,160,000		447,944
Singamas Container Holdings Ltd.		2,676,000		547,976
Yue Yuen Industrial Holdings Ltd.		154,000		397,978
				7,237,820
India — 0.3%
Tata Motors Ltd., ADR(a)		74,829		1,753,992
Indonesia — 0.2%
PT Bank Rakyat Indonesia (Persero) Tbk		1,733,500		1,345,889
Ireland — 1.4%
Accenture PLC (Class A Stock)		60,832		4,377,471
Irish Life & Permanent Group Holdings PLC*		51,300		1,756
Ryanair Holdings PLC, ADR		42,252		2,177,245
Smurfit Kappa Group PLC		43,000		717,161
XL Group PLC		67,500		2,046,600
				9,320,233
Israel — 0.6%
Bank Hapoalim BM*		128,000		577,663
Check Point Software Technologies Ltd.*(a)		38,092		1,892,411
Elbit Systems Ltd.		11,400		478,854
Teva Pharmaceutical Industries Ltd.		20,500		802,325
				3,751,253

SEE NOTES TO FINANCIAL STATEMENTS.

A98

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Italy — 0.6%
Banco Popolare SC*		38,200	$	44,897
Enel SpA		323,000		1,013,559
ENI SpA		70,800		1,453,090
Finmeccanica SpA*		43,100		215,627
Parmalat SpA		159,800		499,401
Telecom Italia SpA		626,400		436,600
				3,663,174
Japan — 8.2%
Alpine Electronics, Inc.		22,700		228,525
Aoyama Trading Co. Ltd.		39,100		1,040,330
Aozora Bank Ltd.		278,000		868,215
Astellas Pharma, Inc.		49,000		2,661,881
Autobacs Seven Co. Ltd.		42,000		638,922
Bank of Yokohama Ltd. (The)		96,000		495,231
Coca-Cola West Co. Ltd.		43,100		764,317
Fuji Heavy Industries Ltd.		109,774		2,710,785
Fukuoka Financial Group, Inc.		129,000		548,658
ITOCHU Corp.		76,300		882,325
JX Holdings, Inc.		101,400		489,601
KDDI Corp.		45,400		2,364,135
Keihin Corp.		24,500		373,227
K’s Holdings Corp.		19,700		624,178
Kurabo Industries Ltd.		173,100		278,929
Kyowa Exeo Corp.		81,900		919,978
Lawson, Inc.		18,200		1,388,830
Makita Corp.		45,600		2,451,560
Marubeni Corp.		146,000		975,770
Mitsubishi Corp.		34,500		589,388
Mitsubishi UFJ Financial Group, Inc.		243,500		1,503,824
Mitsui & Co. Ltd.		99,700		1,250,259
Mizuho Financial Group, Inc.		703,200		1,460,331
Nichii Gakkan Co.		40,300		347,796
Nichirei Corp.		118,000		611,183
Nippon Electric Glass Co. Ltd.		54,000		262,865
Nippon Shokubai Co. Ltd.		68,000		695,561
Nippon Telegraph & Telephone Corp.		37,000		1,928,473
NTT DoCoMo, Inc.		900		1,400,135
ORIX Corp.		241,600		3,297,048
Otsuka Holdings Co. Ltd.		46,200		1,525,475
Sankyu, Inc.		210,000		791,277
Secom Co. Ltd.		45,700		2,484,737
Seino Holdings Co. Ltd.		65,000		570,460
Shimachu Co. Ltd.		30,700		754,890
Shin-Etsu Chemical Co. Ltd.		32,500		2,151,022
Sumitomo Corp.		88,900		1,108,013
Sumitomo Mitsui Financial Group, Inc.		115,386		5,281,569
Toagosei Co. Ltd.		147,000		591,335
Toho Holdings Co. Ltd.		22,700		375,733
Yahoo! Japan Corp.		5,604		2,759,493
Yokohama Rubber Co. Ltd. (The)		100,000		1,004,124
				53,450,388
Liechtenstein
Verwaltungs- und Privat-Bank AG		2,100		158,520
Mexico — 0.3%
Fomento Economico Mexicano SAB de CV, ADR		19,434		2,005,394

COMMON STOCKS (continued)	Shares		Value (Note 2)
Netherlands — 1.6%
Aegon NV		104,300	$	699,751
Core Laboratories NV		36,504		5,536,197
ING Groep NV CVA*		83,900		766,765
Koninklijke Ahold NV		85,000		1,264,195
Unilever NV CVA		59,154		2,328,544
				10,595,452
New Zealand — 0.1%
Air New Zealand Ltd.		737,900		845,874
Norway — 1.3%
DNB ASA		54,100		784,810
Fred Olsen Energy ASA		17,100		677,156
Statoil ASA		135,069		2,790,265
Telenor ASA		102,587		2,037,687
TGS Nopec Geophysical Co. ASA		41,213		1,197,635
Yara International ASA		18,900		753,714
				8,241,267
Singapore — 0.1%
Golden Agri-Resources Ltd.		1,314,200		578,557
South Africa — 0.8%
Aspen Pharmacare Holdings Ltd.*		54,195		1,245,824
Bidvest Group Ltd.		71,857		1,780,323
Discovery Ltd.		255,433		2,171,652
				5,197,799
South Korea — 0.4%
Samsung Electronics Co. Ltd.		2,312		2,702,322
Spain — 0.8%
Banco Bilbao Vizcaya Argentaria SA		60,800		510,952
Banco Santander SA		148,213		948,446
Gas Natural SDG SA		42,400		854,252
Inditex SA		11,873		1,464,471
Repsol SA		57,200		1,207,198
Telefonica SA		25,100		322,920
				5,308,239
Sweden — 0.9%
Atlas Copco AB (Class A Stock)		113,766		2,741,969
Boliden AB		45,100		559,028
NCC AB (Class B Stock)		15,700		357,347
Nordea Bank AB		56,800		634,301
Oriflame Cosmetics SA, SDR		13,600		430,612
Swedbank AB (Class A Stock)		50,400		1,154,390
				5,877,647
Switzerland — 4.1%
Baloise Holding AG		11,400		1,107,227
Cie Financiere Richemont SA		28,948		2,552,875
Credit Suisse Group AG*		50,297		1,331,567
Geberit AG*		8,373		2,074,190
Georg Fischer AG*		2,000		880,697
Glencore Xstrata PLC*		445,738		1,845,135
Lonza Group AG*		7,200		540,990
Novartis AG		18,000		1,274,950
OC Oerlikon Corp. AG*		48,200		571,045
Partners Group Holding AG		9,197		2,489,433
Roche Holding AG		19,834		4,922,746
Swiss Life Holding AG*		8,200		1,331,042

SEE NOTES TO FINANCIAL STATEMENTS.

A99

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland (continued)
Swiss Re AG*		19,300	$	1,435,937
Syngenta AG		6,419		2,503,146
Zurich Insurance Group AG*		5,800		1,503,413
				26,364,393
Turkey — 0.2%
Turkiye Halk Bankasi AS		109,559		928,292
United Kingdom — 9.9%
Alent PLC		81,100		402,353
ARM Holdings PLC		139,764		1,690,746
AstraZeneca PLC		51,200		2,420,691
Aviva PLC		144,400		744,263
Babcock International Group PLC		103,047		1,730,263
BAE Systems PLC		256,400		1,493,151
Balfour Beatty PLC		140,900		509,390
Barclays PLC		287,100		1,222,693
Beazley PLC		175,100		613,726
Berkeley Group Holdings PLC		61,153		1,980,841
Bodycote PLC		71,300		567,907
BP PLC		351,100		2,436,630
BT Group PLC		348,600		1,636,600
Cable & Wireless Communications PLC		917,400		571,079
Carillion PLC		145,900		613,029
Compass Group PLC		218,670		2,794,090
Debenhams PLC		301,400		437,128
Diageo PLC		68,831		1,973,831
Experian PLC		127,840		2,221,842
GlaxoSmithKline PLC		23,400		584,915
Halfords Group PLC		135,434		651,386
Home Retail Group PLC		107,200		218,362
HSBC Holdings PLC		278,400		2,885,691
InterContinental Hotels Group PLC		77,783		2,137,662
Intermediate Capital Group PLC		108,800		719,619
J Sainsbury PLC		259,000		1,399,864
John Wood Group PLC		120,441		1,485,428
Johnson Matthey PLC		54,462		2,176,039
Legal & General Group PLC		366,900		956,276
Marks & Spencer Group PLC		140,600		919,984
Marston’s PLC		339,130		724,029
Meggitt PLC		271,656		2,140,305
Mondi PLC		65,900		820,499
Old Mutual PLC		214,100		587,731
Premier Foods PLC*		152,560		138,299
Rolls-Royce Holdings PLC*		92,044		1,584,859
Royal Bank of Scotland Group PLC*		26,352		109,356
Royal Dutch Shell PLC, ADR		28,750		1,834,250
Royal Dutch Shell PLC (Class B Stock)		106,900		3,540,437
RSA Insurance Group PLC		300,200		544,625
St James’s Place PLC		200,778		1,646,961
TESCO PLC		233,500		1,175,870
Tullow Oil PLC		102,120		1,554,563
Vesuvius PLC		81,100		454,407
Vodafone Group PLC		547,900		1,570,114
Weir Group PLC (The)		60,496		1,978,161
WM Morrison Supermarkets PLC		320,700		1,276,538
Wolseley PLC		54,359		2,508,115
				64,384,598

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States — 53.4%
3M Co.		34,025	$	3,720,634
AES Corp.		184,550		2,212,755
Allstate Corp. (The)		54,800		2,636,976
American Express Co.		36,600		2,736,216
Ameriprise Financial, Inc.		19,250		1,556,940
Amgen, Inc.		21,550		2,126,123
Amphenol Corp. (Class A Stock)		59,314		4,622,933
ANSYS, Inc.*		45,000		3,289,500
Apache Corp.		37,300		3,126,859
Apple, Inc.		17,457		6,914,369
AT&T, Inc.		133,200		4,715,280
Avon Products, Inc.		76,850		1,616,155
Baker Hughes, Inc.		34,650		1,598,404
Bank of America Corp.		291,050		3,742,903
Boeing Co. (The)		17,000		1,741,480
Carnival Corp.		54,650		1,873,948
Celanese Corp., Ser. A		81,300		3,642,240
Charles Schwab Corp. (The)(a)		367,112		7,793,788
Chevron Corp.		45,250		5,354,885
Cisco Systems, Inc.		174,450		4,240,879
Citrix Systems, Inc.*		54,744		3,302,705
Cognizant Technology Solutions Corp. (Class A Stock)*		37,894		2,372,543
Comcast Corp. (Class A Stock)		29,800		1,248,024
Comcast Corp. (Special Class A Stock)		18,300		725,961
CONSOL Energy, Inc.		39,900		1,081,290
Costco Wholesale Corp.		40,484		4,476,316
Covance, Inc.*		54,425		4,143,920
Covidien PLC		37,950		2,384,778
Danaher Corp.		91,706		5,804,990
DaVita HealthCare Partners, Inc.*		37,660		4,549,328
Dell, Inc.		145,550		1,943,092
Ecolab, Inc.		55,998		4,770,470
Emerson Electric Co.		21,400		1,167,156
Entergy Corp.		33,750		2,351,700
EQT Corp.		24,250		1,924,722
Estee Lauder Cos., Inc. (The) (Class A Stock)		77,892		5,122,957
Exelon Corp.		67,100		2,072,048
Express Scripts Holding Co.*		121,579		7,500,208
Exxon Mobil Corp.		53,800		4,860,830
Fifth Third Bancorp		98,200		1,772,510
Fluor Corp.		101,537		6,022,159
FMC Technologies, Inc.*		103,076		5,739,272
Fossil Group, Inc.*		41,201		4,256,475
General Electric Co.		168,000		3,895,920
General Motors Co.*(a)		100,850		3,359,314
Goldman Sachs Group, Inc. (The)		5,575		843,219
Google, Inc. (Class A Stock)*		8,683		7,644,253
Hess Corp.		30,550		2,031,269
Honeywell International, Inc.		27,400		2,173,916
IDEXX Laboratories, Inc.*		40,202		3,609,335
Illinois Tool Works, Inc.		23,950		1,656,621
Ingersoll-Rand PLC		23,200		1,288,064
International Paper Co.		72,100		3,194,751
Intuitive Surgical, Inc.*		12,360		6,261,329
Invesco Ltd.		55,900		1,777,620

SEE NOTES TO FINANCIAL STATEMENTS.

A100

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States (continued)
Johnson & Johnson		46,550	$	3,996,783
JPMorgan Chase & Co.		130,950		6,912,851
Kellogg Co.		24,900		1,599,327
Kohl’s Corp.		56,950		2,876,544
Liberty Media Corp. (Class A Stock)*		4,600		583,096
Lockheed Martin Corp.		8,150		883,949
Lowe’s Cos., Inc.		80,800		3,304,720
Marsh & McLennan Cos., Inc.		89,100		3,556,872
MasterCard, Inc. (Class A Stock)		11,170		6,417,165
Mead Johnson Nutrition Co.		72,233		5,723,020
Merck & Co., Inc.		101,200		4,700,740
MetLife, Inc.		46,150		2,111,824
Microsoft Corp.		134,600		4,647,738
Morgan Stanley		139,150		3,399,434
Murphy Oil Corp.		9,600		584,544
National Instruments Corp.		108,819		3,040,403
NetApp, Inc.*		128,924		4,870,749
Newfield Exploration Co.*		45,850		1,095,356
NRG Energy, Inc.		119,950		3,202,665
Nucor Corp.		11,400		493,848
PepsiCo, Inc.		30,400		2,486,416
Pfizer, Inc.		214,500		6,008,145
PG&E Corp.		34,300		1,568,539
PNC Financial Services Group, Inc.		24,100		1,757,372
Procter & Gamble Co. (The)		45,600		3,510,744
QUALCOMM, Inc.		107,596		6,571,964
Raytheon Co.		28,350		1,874,502
Roper Industries, Inc.		41,570		5,163,825
Salesforce.com, Inc.*		95,805		3,657,835
Schlumberger Ltd.		79,673		5,709,367
SLM Corp.		70,250		1,605,915
Southwest Airlines Co.		284,900		3,672,361
Spectra Energy Corp.		47,400		1,633,404
St Joe Co. (The)*(a)		45,850		965,142
Starbucks Corp.		107,828		7,061,656
Stericycle, Inc.*		50,121		5,534,862
TE Connectivity Ltd.		33,000		1,502,820
Texas Instruments, Inc.		43,800		1,527,306
Thermo Fisher Scientific, Inc.		34,800		2,945,124
Time Warner Cable, Inc.		36,850		4,144,888
Time Warner, Inc.		58,900		3,405,598
U.S. Bancorp		78,200		2,826,930
Union Pacific Corp.		26,300		4,057,564
United Technologies Corp.		34,650		3,220,371
Vulcan Materials Co.		23,150		1,120,692
Wal-Mart Stores, Inc.		20,750		1,545,668
Wells Fargo & Co.		54,300		2,240,961
Western Union Co. (The)		85,550		1,463,761
Weyerhaeuser Co.		85,700		2,441,593
Whole Foods Market, Inc.		88,408		4,551,243
				346,370,528
TOTAL COMMON STOCKS (cost $562,902,005)				631,325,286

PREFERRED STOCK	Shares		Value (Note 2)
United Kingdom
Rolls-Royce Holdings PLC (Class C Stock)* (cost $42,455)		24,873,023	$	37,831
TOTAL LONG-TERM INVESTMENTS (cost $562,944,460)				631,363,117
SHORT-TERM INVESTMENT — 2.2%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $14,436,459; includes $6,057,041 of cash collateral received for securities on loan) (Note 4)(b)(c)		14,436,459		14,436,459
TOTAL INVESTMENTS — 99.5% (cost $577,380,919)				645,799,576
OTHER ASSETS IN EXCESS OF LIABILITIES(d) — 0.5%				3,418,776
NET ASSETS — 100.0%			$	649,218,352

The following abbreviations are used in portfolio descriptions:

ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
EUR	Euro
GBP	British Pound
JPY	Japanese Yen
SDR	Swedish Depository Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $5,888,525; cash collateral of $6,057,041 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A101

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Forward foreign currency exchange contracts outstanding at June 30, 2013:

Purchase Contracts	Counterparty	Notional Amount (000)		Payable at Settlement Date		Value at June 30, 2013		Unrealized Depreciation
British Pound expiring 08/14/13	State Street Bank	GBP	6,556	$	10,234,775	$	9,968,222	$	(266,553	)
Euro expiring 08/12/13	Morgan Stanley	EUR	3,001		3,987,562		3,906,981		(80,581	)
Japanese Yen expiring 08/13/13	Bank of New York Mellon	JPY	314,454		3,258,310		3,171,123		(87,187	)
				$	17,480,647	$	17,046,326	$	(434,321	)
Sale Contracts	Counterparty	Notional Amount (000)		Receivable at Settlement Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
British Pound expiring 08/14/13	State Street Bank	GBP	6,556	$	10,015,339	$	9,968,222	$	47,117
Euro expiring 08/12/13	Morgan Stanley	EUR	3,001		3,894,983		3,906,981		(11,998	)
Japanese Yen expiring 08/13/13	Bank of New York Mellon	JPY	142,644		1,404,920		1,438,499		(33,579	)
Japanese Yen expiring 08/13/13	Bank of New York Mellon	JPY	171,810		1,686,190		1,732,624		(46,434	)
				$	17,001,432	$	17,046,326	$	(44,894	)
								$	(479,215	)

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	6,970,961	$	—
Austria		—		1,969,848		—
Belgium		152,417		1,329,174		—
Bermuda		3,714,801		—		—
Canada		5,493,832		—		—
Denmark		—		3,727,068		—
Finland		—		785,193		—
France		—		24,848,592		—
Germany		—		22,251,769		—
Hong Kong		—		7,237,820		—
India		1,753,992		—		—
Indonesia		—		1,345,889		—
Ireland		8,601,316		718,917		—

	Level 1		Level 2			Level 3
Israel	$	1,892,411	$	1,858,842		$	—
Italy		—		3,663,174			—
Japan		—		53,450,388			—
Liechtenstein		158,520		—			—
Mexico		2,005,394		—			—
Netherlands		5,536,197		5,059,255			—
New Zealand		—		845,874			—
Norway		—		8,241,267			—
Singapore		—		578,557			—
South Africa		—		5,197,799			—
South Korea		—		2,702,322			—
Spain		—		5,308,239			—
Sweden		—		5,877,647			—
Switzerland		—		26,364,393			—
Turkey		—		928,292			—
United Kingdom		1,834,250		62,550,348			—
United States		346,370,528		—			—
Preferred Stock
United Kingdom		—		37,831			—
Affiliated Money Market Mutual Fund		14,436,459		—			—
Other Financial Instruments*
Forward Foreign Currency Exchange Contracts		—		(479,215	)		—
Total	$	391,950,117	$	253,370,244		$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A102

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of portfolio holdings other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2013 were as follows:

Oil, Gas & Consumable Fuels	6.2	%
Commercial Banks	5.8
Pharmaceuticals	5.3
Insurance	5.0
Energy Equipment & Services	3.7
Capital Markets	3.2
Software	3.2
Chemicals	3.1
Food & Staples Retailing	3.0
IT Services	3.0
Aerospace & Defense	2.6
Diversified Financial Services	2.5
Healthcare Providers & Services	2.4
Industrial Conglomerates	2.4
Hotels, Restaurants & Leisure	2.3
Affiliated Money Market Mutual Fund (including 0.9% of collateral received for securities on loan)	2.2
Automobiles	2.2
Healthcare Equipment & Supplies	2.2
Computers & Peripherals	2.1
Machinery	2.1
Diversified Telecommunication	2.0
Media	1.9
Food Products	1.8
Communications Equipment	1.7
Commercial Services & Supplies	1.6
Internet Software & Services	1.6
Construction & Engineering	1.5
Electronic Equipment, Instruments & Components	1.5
Trading Companies & Distributors	1.4
Road & Rail	1.3
Specialty Retail	1.3

Life Sciences Tools & Services	1.2	%
Textiles, Apparel & Luxury Goods	1.2
Airlines	1.1
Beverages	1.1
Personal Products	1.1
Electrical Equipment	1.0
Wireless Telecommunication Services	1.0
Semiconductors & Semiconductor Equipment	0.9
Electric Utilities	0.8
Independent Power Producers & Energy Traders	0.8
Real Estate Management & Development	0.8
Consumer Finance	0.7
Metals & Mining	0.7
Multiline Retail	0.7
Auto Components	0.6
Paper & Forest Products	0.6
Household Products	0.5
Multi-Utilities	0.4
Real Estate Investment Trusts	0.4
Biotechnology	0.3
Building Products	0.3
Household Durables	0.3
Professional Services	0.3
Construction Materials	0.2
Air Freight & Logistics	0.1
Containers & Packaging	0.1
Gas Utilities	0.1
Distributors	0.1
	99.5
Other assets in excess of liabilities	0.5
	100.0	%

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

Fair values of derivative instruments as of June 30, 2013 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
Foreign exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	47,117	Unrealized depreciation on forward foreign currency exchange contracts	$	526,332

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights		Forward Currency Contracts		Total
Equity contracts	$	43,673	$	—	$	43,673
Foreign exchange contracts		—		574,063		574,063
Total	$	43,673	$	574,063	$	617,736

SEE NOTES TO FINANCIAL STATEMENTS.

A103

	GLOBAL PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Rights			Forward Currency Contracts			Total
Equity contracts	$	(34,882	)	$	—		$	(34,882	)
Foreign exchange contracts		—			(479,215	)		(479,215	)
	$	(34,882	)	$	(479,215	)	$	(514,097	)

For the six months ended June 30, 2013, the Portfolio’s average volume of derivative activities is as follows:

Forward Currency Contracts—Purchased (Value at Settlement Date Payable)	Forward Currency Contracts—Sold (Value at Settlement Date Receivable)
$13,820,478	$13,775,614

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of  Financial Position
Securities on Loan	$	5,888,525		$	—	$	—	$	5,888,525
Over-the-counter Derivatives		47,117			—		—		47,117
									5,935,642
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Over-the-counter Derivatives		(526,332	)		—		—		(526,332	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(5,888,525	)
Over-the-counter Derivatives									—
Net Amount								$	(479,215	)

SEE NOTES TO FINANCIAL STATEMENTS.

A104

GLOBAL PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $5,888,525:
Unaffiliated investments (cost $562,944,460)	$	631,363,117
Affiliated investments (cost $14,436,459)		14,436,459
Foreign currency, at value (cost $4,271,790)		4,245,683
Cash		699
Receivable for investments sold		5,536,404
Dividends and interest receivable		1,018,763
Foreign tax reclaim receivable		988,481
Unrealized appreciation on forward foreign currency exchange contracts		47,117
Receivable for Series shares sold		4,622
Prepaid expenses		584
Total Assets		657,641,929
LIABILITIES
Collateral for securities on loan		6,057,041
Payable for investments purchased		980,028
Unrealized depreciation on forward foreign currency exchange contracts		526,332
Management fee payable		405,492
Accrued expenses and other liabilities		348,247
Payable for Series shares repurchased		105,511
Affiliated transfer agent fee payable		926
Total Liabilities		8,423,577
NET ASSETS	$	649,218,352
Net assets were comprised of:
Paid-in capital	$	600,541,664
Retained earnings		48,676,688
Net assets, June 30, 2013	$	649,218,352
Net asset value and redemption price per share, $649,218,352 / 30,446,513 outstanding shares of beneficial interest	$	21.32

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $554,051)	$	8,937,805
Affiliated income from securities loaned, net		20,474
Affiliated dividend income		16,586
Interest		363
		8,975,228
EXPENSES
Management fee		2,414,640
Custodian’s fees and expenses		168,000
Shareholders’ reports		76,000
Audit fee		13,000
Trustees’ fees		8,000
Legal fees and expenses		6,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Insurance expenses		3,000
Commitment fee on syndicated credit agreement		1,000
Miscellaneous		19,564
Total expenses		2,715,204
NET INVESTMENT INCOME		6,260,024
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		55,350,615
Foreign currency transactions		191,230
		55,541,845
Net change in unrealized appreciation (depreciation) on:
Investments		(6,593,299	)
Foreign currencies		(528,164	)
		(7,121,463	)
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		48,420,382
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	54,680,406

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	6,260,024		$	10,856,377
Net realized gain on investment and foreign currency transactions		55,541,845			16,017,924
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(7,121,463	)		68,607,745
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		54,680,406			95,482,046
DISTRIBUTIONS		—			(9,580,386	)
SERIES SHARE TRANSACTIONS:
Series shares sold [305,448 and 392,325 shares, respectively]		6,395,163			7,205,788
Series shares issued in reinvestment of distributions [0 and 555,063 shares, respectively]		—			9,580,386
Series shares repurchased [1,095,217 and 3,015,270 shares, respectively]		(23,047,002	)		(55,676,472	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(16,651,839	)		(38,890,298	)
TOTAL INCREASE IN NET ASSETS		38,028,567			47,011,362
NET ASSETS:
Beginning of period		611,189,785			564,178,423
End of period	$	649,218,352		$	611,189,785

SEE NOTES TO FINANCIAL STATEMENTS.

A105

	GOVERNMENT INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 96.2%	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Asset-Backed Securities — 1.9%
Collateralized Mortgage Obligations — 0.9%
Federal Home Loan Mortgage Corp.,
Ser. 2002-2496, Class PM		5.500%	09/15/17		708	$	756,287
Ser. 2002-2501, Class MC		5.500%	09/15/17		240		254,496
Ser. 2002-2513, Class HC		5.000%	10/15/17		1,311		1,393,479
Federal National Mortgage Association,
Ser. 2002-18, Class PC		5.500%	04/25/17		141		142,037
Ser. 2002-57, Class ND		5.500%	09/25/17		282		298,418
Merrill Lynch Mortgage Investors, Inc.,
Ser. 2003-E, Class A1(a)		0.813%	10/25/28		79		75,707
Structured Adjustable Rate Mortgage Loan Trust,
Ser. 2004-1, Class 4A3(a)		2.578%	02/25/34		284		280,386
							3,200,810
Non-Residential Mortgage-Backed Securities — 1.0%
Citibank Credit Card Issuance Trust,
Ser. 2007-A8, Class A8		5.650%	09/20/19		1,500		1,742,427
Small Business Administration Participation Certificates,
Ser. 1996-20J, Class 1		7.200%	10/01/16		558		588,087
Ser. 1997-20A, Class 1		7.150%	01/01/17		429		454,403
Ser. 1997-20G, Class 1		6.850%	07/01/17		216		228,990
Ser. 1998-20I, Class 1		6.000%	09/01/18		562		606,036
							3,619,943
Total Asset-Backed Securities							6,820,753
Commercial Mortgage-Backed Securities — 15.8%
Citigroup Commercial Mortgage Trust,
Ser. 2007-C6, Class A4(a)		5.696%	12/10/49		2,000		2,264,256
Citigroup/Deutsche Bank Commercial Mortgage Trust,
Ser. 2007-CD4, Class A3		5.293%	12/11/49		1,800		1,843,967
Commercial Mortgage Pass-Through Certificates,
Ser. 2012-CR5, Class A3		2.540%	12/10/45		1,000		915,963
Credit Suisse Mortgage Capital Certificates,
Ser. 2006-C1, Class AM(a)		5.392%	02/15/39		200		214,645
CW Capital Cobalt Ltd.,
Ser. 2006-C1, Class A4		5.223%	08/15/48		2,000		2,167,480
Ser. 2007-C3, Class A3(a)		5.772%	05/15/46		21		21,718
Federal Home Loan Mortgage Corp.,
Ser. K026, Class A2		2.510%	11/25/22		3,600		3,400,200
Federal National Mortgage Association,
Ser. 2012-M2, Class A2		2.717%	02/25/22		200		194,983
Ser. 2012-M13, Class A2		2.377%	05/25/22		1,850		1,753,138
FHLMC Multifamily Structured Pass-Through Certificates,
Ser. K003, Class A5		5.085%	03/25/19		250		286,735
Ser. K004, Class A2		4.186%	08/25/19		3,725		4,083,751
Ser. K010, Class A2		4.333%	10/25/20		3,600		3,914,057
Ser. K011, Class A2		4.084%	11/25/20		3,600		3,858,523
Ser. K013, Class A2		3.974%	01/25/21		3,525		3,754,220
Ser. K016, Class A2		2.968%	10/25/21		2,800		2,785,762
Ser. K020, Class X1, I/O(a)		1.612%	05/25/22		9,440		941,887
Ser. K021, Class A2		2.396%	06/25/22		3,600		3,393,162
Ser. K021, Class X1, I/O(a)		1.646%	06/25/22		9,970		1,036,442
Ser. K501, Class X1A, I/O(a)		1.876%	08/25/16		4,227		170,590
Ser. K710, Class X1, I/O(a)		1.914%	05/25/19		8,469		737,794
Ser. K711, Class X1, I/O(a)		1.833%	07/25/19		7,985		678,746
Greenwich Capital Commercial Funding Corp.,
Ser. 2007-GG9, Class A2		5.381%	03/10/39		1,472		1,516,491

SEE NOTES TO FINANCIAL STATEMENTS.

A106

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Commercial Mortgage-Backed Securities (continued)
GS Mortgage Securities Corp. II,
Ser. 2007-GG10, Class A2		5.778%	08/10/45		856	$	865,452
JPMorgan Chase Commercial Mortgage Securities Corp.,
Ser. 2007-LD11, Class A3(a)		5.814%	06/15/49		1,000		1,049,058
Merrill Lynch/Countrywide Commercial Mortgage Trust,
Ser. 2006-4, Class A3		5.172%	12/12/49		2,000		2,185,292
Ser. 2007-9, Class A2		5.590%	09/12/49		571		572,250
Morgan Stanley Capital I Trust,
Ser. 2005-IQ10, Class A4B(a)		5.284%	09/15/42		800		849,668
NCUA Gtd. Notes,
Ser. 2010-C1, Class A2		2.900%	10/29/20		2,600		2,713,758
UBS-Barclays Commercial Mortgage Trust,
Ser. 2012-C4, Class A4		2.792%	12/10/45		1,300		1,216,293
Wachovia Bank Commercial Mortgage Trust,
Ser. 2006-C23, Class A5(a)		5.416%	01/15/45		1,500		1,644,671
Ser. 2006-C25, Class A5(a)		5.731%	05/15/43		2,000		2,224,172
Ser. 2006-C27, Class A3		5.765%	07/15/45		2,971		3,209,116
							56,464,240
Corporate Bonds — 1.0%
DEPFA ACS Bank (Ireland), Covered Notes, 144A		5.125%	03/16/37		745		641,434
DNB Boligkreditt AS (Norway), Covered Notes, 144A		1.450%	03/21/18		740		718,466
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A		1.125%	05/23/18		1,048		1,011,320
Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes(b)		2.375%	08/25/21		660		649,704
Stadshypotek AB (Sweden), Covered Notes, 144A(b)		1.250%	05/23/18		470		451,529
							3,472,453
Mortgage-Backed Securities — 41.3%
Federal Home Loan Mortgage Corp.(a)		2.354%	05/01/34		550		586,684
Federal Home Loan Mortgage Corp.(c)		3.500%	TBA 15 Year		1,000		1,038,125
Federal Home Loan Mortgage Corp.(c)		3.500%	TBA 30 Year		1,500		1,519,219
Federal Home Loan Mortgage Corp.		4.000%	06/01/26-12/01/40		2,469		2,586,069
Federal Home Loan Mortgage Corp.		4.500%	09/01/39		4,972		5,234,798
Federal Home Loan Mortgage Corp.		5.000%	06/01/33-05/01/34		2,665		2,885,855
Federal Home Loan Mortgage Corp.		5.500%	05/01/37-05/01/38		2,075		2,229,866
Federal Home Loan Mortgage Corp.		6.000%	09/01/34-08/01/39		1,368		1,490,037
Federal Home Loan Mortgage Corp.		6.500%	09/01/32		146		164,219
Federal National Mortgage Association(a)		2.155%	07/01/33		1,634		1,735,818
Federal National Mortgage Association(a)		2.232%	06/01/34		503		534,942
Federal National Mortgage Association(a)		2.255%	04/01/34		201		212,107
Federal National Mortgage Association(a)		2.393%	08/01/33		1,129		1,185,181
Federal National Mortgage Association(c)		2.500%	TBA 15 Year		10,000		10,035,937
Federal National Mortgage Association		2.500%	TBA 15 Year		500		502,891
Federal National Mortgage Association(a)		2.575%	04/01/34		391		414,873
Federal National Mortgage Association		3.000%	TBA 15 Year		6,000		6,158,438
Federal National Mortgage Association(c)		3.000%	TBA 30 Year		10,500		10,258,828
Federal National Mortgage Association		3.500%	06/01/39		691		702,787
Federal National Mortgage Association		3.500%	TBA 30 Year		14,000		14,212,187
Federal National Mortgage Association		3.500%	TBA 30 Year		14,000		14,174,999
Federal National Mortgage Association(c)		4.000%	TBA 30 Year		2,500		2,604,394
Federal National Mortgage Association		4.500%	05/01/40		6,494		7,009,789
Federal National Mortgage Association		4.500%	TBA 30 Year		5,000		5,281,250
Federal National Mortgage Association(c)		5.000%	TBA 30 Year		2,000		2,152,344
Federal National Mortgage Association		5.000%	07/01/18-05/01/36		4,787		5,147,116
Federal National Mortgage Association		5.500%	01/01/17-11/01/35		10,422		11,506,053
Federal National Mortgage Association		6.000%	11/01/14-05/01/38		2,867		3,172,380
Federal National Mortgage Association		6.500%	01/01/15-10/01/37		2,219		2,489,692
Federal National Mortgage Association		7.000%	12/01/31-01/01/36		425		496,058
Federal National Mortgage Association		8.000%	03/01/22-02/01/26		18		19,126

SEE NOTES TO FINANCIAL STATEMENTS.

A107

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS (continued)	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Mortgage-Backed Securities (continued)
Federal National Mortgage Association		9.000%	02/01/25-04/01/25		67	$	76,504
Government National Mortgage Association		3.000%	TBA 30 Year		6,000		5,931,563
Government National Mortgage Association(c)		3.000%	TBA 30 Year		2,000		1,972,500
Government National Mortgage Association(c)		3.500%	TBA 30 Year		4,500		4,616,015
Government National Mortgage Association		4.000%	06/15/40		817		863,390
Government National Mortgage Association(c)		4.000%	TBA 30 Year		5,000		5,247,656
Government National Mortgage Association		4.500%	02/20/41		2,143		2,286,993
Government National Mortgage Association(c)		4.500%	TBA 30 Year		3,000		3,183,164
Government National Mortgage Association(c)		4.500%	TBA 30 Year		1,500		1,597,910
Government National Mortgage Association		5.000%	07/15/33-04/15/34		1,269		1,381,206
Government National Mortgage Association		5.500%	03/15/34-03/15/36		1,018		1,115,699
Government National Mortgage Association		6.500%	07/15/32-08/15/32		320		368,579
Government National Mortgage Association		7.000%	03/15/23-08/15/28		752		861,402
Government National Mortgage Association		7.500%	12/15/25-02/15/26		140		159,753
Government National Mortgage Association		8.500%	09/15/24-04/15/25		201		232,083
							147,636,479
Municipal Bond — 0.2%
State of Utah, BABs, Ser. D		4.554%	07/01/24		630		691,324
U.S. Government Agency Obligations — 1.9%
Federal Home Loan Mortgage Corp.		0.875%	03/07/18		3,970		3,841,682
Federal Home Loan Mortgage Corp., Ser. 1		0.750%	01/12/18		1,380		1,336,127
Federal National Mortgage Association		0.875%	05/21/18		1,865		1,802,452
							6,980,261
U.S. Treasury Securities — 34.1%
U.S. Treasury Bonds(e)		2.875%	05/15/43		1,355		1,199,175
U.S. Treasury Bonds		3.125%	02/15/43		2,350		2,193,579
U.S. Treasury Bonds		5.000%	05/15/37		1,675		2,137,980
U.S. Treasury Inflation Indexed Notes		0.125%	04/15/18		7,088		7,270,276
U.S. Treasury Inflation Indexed Notes		0.125%	01/15/23		1,174		1,138,078
U.S. Treasury Notes		0.500%	07/31/17		4,470		4,362,792
U.S. Treasury Notes		0.750%	12/31/17		5,525		5,405,433
U.S. Treasury Notes		1.000%	08/31/16		1,785		1,798,805
U.S. Treasury Notes		1.000%	10/31/16		315		316,870
U.S. Treasury Notes		1.000%	03/31/17		9,135		9,143,569
U.S. Treasury Notes		1.375%	06/30/18		18,350		18,339,963
U.S. Treasury Notes		1.375%	05/31/20		3,600		3,474,281
U.S. Treasury Notes(b)		1.750%	05/15/23		16,114		15,091,760
U.S. Treasury Notes(d)		4.250%	11/15/17		9,500		10,746,875
U.S. Treasury Notes(e)		4.625%	11/15/16		1,840		2,073,307
U.S. Treasury Strips Coupon(f)		2.400%	02/15/22		5,450		4,434,447
U.S. Treasury Strips Coupon(f)		2.450%	05/15/22		8,820		7,104,995
U.S. Treasury Strips Coupon(f)		3.150%	08/15/26		4,045		2,682,041
U.S. Treasury Strips Coupon(f)		3.350%	08/15/28		8,800		5,323,498
U.S. Treasury Strips Coupon(f)		3.690%	08/15/40		5,025		1,862,034
U.S. Treasury Strips Principal(b)(g)		0.580%	02/15/16		15,870		15,630,601
							121,730,359
TOTAL LONG-TERM INVESTMENTS (cost $345,654,972)							343,795,869

SEE NOTES TO FINANCIAL STATEMENTS.

A108

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

SHORT-TERM INVESTMENTS — 42.8%			Shares		Value (Note 2)
AFFILIATED MUTUAL FUNDS — 42.8%
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $54,222,671)(h)				5,503,918	$	51,131,401
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $101,933,330; includes $30,694,926 of cash collateral received for securities on loan) (Note 4)(h)(i)				101,933,330		101,933,330
TOTAL AFFILIATED MUTUAL FUNDS (cost $156,156,001)						153,064,731
	Counterparty		Notional Amount (000)#
OPTION PURCHASED*(j)
Call Option
Interest Rate Swap Option, Receive a fixed rate of 2.000% and pay a floating rate based on 3-month LIBOR, expiring 08/16/13 (cost $113,815)		Deutsche Bank AG		13,390		1,789
TOTAL SHORT-TERM INVESTMENTS (cost $156,269,816)						153,066,520
TOTAL INVESTMENTS — 139.0% (cost $501,924,788)						496,862,389
LIABILITIES IN EXCESS OF OTHER ASSETS(k) (39.0)%						(139,528,027	)
NET ASSETS — 100.0%					$	357,334,362

The following abbreviations are used in portfolio descriptions:

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

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

* Non-income producing security.

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2013.

(b) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $30,012,852; cash collateral of $30,694,926 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(c) All or partial principal amount totaling $42,500,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement.

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

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

(f) Rate shown reflects the effective yield at June 30, 2013.

(g) Represents zero coupon bond. Rate shown reflects the effective yield on June 30, 2013.

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

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

(j) The amount represents the fair value of derivative instruments subject to interest rate contracts risk exposure as of June 30, 2013.

SEE NOTES TO FINANCIAL STATEMENTS.

A109

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

Futures contracts outstanding at June 30, 2013:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2013		Unrealized Appreciation/ (Depreciation)
Long Positions:
589	5 Year U.S. Treasury Notes		Sept. 2013	$	71,328,293	$	71,296,610	$	(31,683	)
14	U.S. Ultra Bond		Sept. 2013		2,063,707		2,062,375		(1,332	)
									(33,015	)
Short Positions:
81	2 Year U.S. Treasury Notes		Sept. 2013		17,816,591		17,820,000		(3,409	)
161	10 Year U.S. Treasury Notes		Sept. 2013		20,711,731		20,376,563		335,168
11	U.S. Long Bond		Sept. 2013		1,484,329		1,494,281		(9,952	)
									321,807
								$	288,792

Interest rate swap agreements outstanding at June 30, 2013:

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation/ (Depreciation)			Counterparty
	Over-the-counter swap agreements:
	11,340		06/07/16		0.654%	3 month LIBOR(1)	$	(40,643	)	$	—	$	(40,643	)	JPMorgan Chase Bank, NA
	16,570		08/31/16		0.934%	3 month LIBOR(1)		81,542			—		81,542		Credit Suisse International
	5,595		08/31/16		0.975%	3 month LIBOR(2)		(35,474	)		—		(35,474	)	JPMorgan Chase Bank, NA
	5,595		08/31/16		0.978%	3 month LIBOR(2)		(36,155	)		—		(36,155	)	JPMorgan Chase Bank, NA
	880		09/14/16		1.206%	3 month LIBOR(2)		(12,056	)		—		(12,056	)	Deutsche Bank AG
	16,725		11/30/16		0.945%	3 month LIBOR(2)		685			—		685		Citibank, NA
	9,525		02/28/17		0.680%	3 month LIBOR(1)		(110,756	)		—		(110,756	)	Citibank, NA
	5,055		08/31/17		0.751%	3 month LIBOR(2)		102,188			—		102,188		Bank of Nova Scotia
	8,600		11/30/17		1.107%	3 month LIBOR(2)		104,929			—		104,929		Barclays Bank, PLC
	7,070		11/30/17		1.155%	3 month LIBOR(2)		72,364			—		72,364		Morgan Stanley Capital Services
	1,210		03/15/18		0.885%	3 month LIBOR(2)		28,030			—		28,030		Bank of Nova Scotia
	1,210		03/18/18		1.049%	3 month LIBOR(1)		(18,711	)		—		(18,711	)	Bank of Nova Scotia
	1,048		05/17/18		0.989%	3 month LIBOR(2)		24,816			—		24,816		Credit Suisse International
	4,700		02/15/19		1.656%	3 month LIBOR(2)		(2,887	)		—		(2,887	)	Citibank, NA
	4,700		02/15/19		1.794%	3 month LIBOR(1)		40,476			—		40,476		JPMorgan Chase Bank, NA
	3,605		11/15/19		1.443%	3 month LIBOR(1)		(109,563	)		—		(109,563	)	Morgan Stanley Capital Services
	5,580		02/15/20		1.355%	3 month LIBOR(1)		(238,769	)		—		(238,769	)	Morgan Stanley Capital Services
	3,605		02/15/20		1.505%	3 month LIBOR(2)		120,035			—		120,035		Morgan Stanley Capital Services
	20,975		01/28/23		1.895%	3 month LIBOR(2)		1,151,381			—		1,151,381		Morgan Stanley Capital Services
							$	1,121,432		$	—	$	1,121,432

Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at June 30, 2013			Unrealized Depreciation
	Exchange-traded swap agreements:
	8,715		11/30/17		1.417%	3 month LIBOR(2)	$	—	$	(1,076	)	$	(1,076	)
	8,630		11/30/17		1.418%	3 month LIBOR(2)		—		(1,430	)		(1,430	)
	8,735		11/30/17		1.457%	3 month LIBOR(2)		—		(15,250	)		(15,250	)
							$	—	$	(17,756	)	$	(17,756	)

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

LIBOR London Interbank Offered Rate

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A110

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Collateralized Mortgage Obligations	$	—		$	3,200,810	$	—
Non-Residential Mortgage-Backed Securities		—			3,619,943		—
Commercial Mortgage-Backed Securities		—			56,464,240		—
Corporate Bonds		—			3,472,453		—
Mortgage-Backed Securities		—			147,636,479		—
Municipal Bond		—			691,324		—
U.S. Government Agency Obligations		—			6,980,261		—
U.S. Treasury Securities		—			121,730,359		—
Affiliated Mutual Funds		153,064,731			—		—
Options Purchased		—			1,789		—
Other Financial Instruments*
Futures Contracts		288,792			—		—
Interest Rate Swap Agreements		(17,756	)		1,121,432		—
Total	$	153,335,767		$	344,919,090	$	—

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 was as follows:

Affiliated Mutual Funds (including 8.6% of collateral received for securities on loan)	42.8	%
Mortgage-Backed Securities	41.3
U.S. Treasury Securities	34.1
Commercial Mortgage-Backed Securities	15.8
U.S. Government Agency Obligations	1.9
Corporate Bonds	1.0
Non-Residential Mortgage-Backed Securities	1.0

Collateralized Mortgage Obligations	0.9	%
Municipal Bond	0.2
	139.0
Liabilities in excess of other assets	(39.0	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2013 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	$	335,168	*	Due from broker — variation margin	$	64,132	*
Interest rate contracts	Unrealized appreciation on swap agreements		1,726,446		Unrealized depreciation on swap agreements		605,014
Total		$	2,061,614			$	669,146

* 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A111

	GOVERNMENT INCOME PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased		Options Written			Futures			Swaps		Total
Interest rate contracts	$	67,163	$	(7,544	)	$	(208,704	)	$	463,262	$	314,177

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Options Purchased			Futures			Swaps		Total
Interest rate contracts	$	(112,026	)	$	(56,619	)	$	1,527,203	$	1,358,558

For the six months ended June 30, 2013, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased (Cost)	Options Written (Premium Received)	Futures Long Position (Value at Trade Date)
$116,764	$13,776	$43,933,330

Futures Short Position (Value at Trade Date)	Interest Rate Swaps (Notional Amount in USD (000))
$24,035,522	$127,811

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	30,012,852		$	—	$	—	$	30,012,852
Exchange-traded and cleared Derivatives		77,680			—		—		77,680
Over-the-counter Derivatives		1,728,235			—		—		1,728,235
									31,818,767
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Exchange-traded and cleared Derivatives		—			—		—		—
Over-the-counter Derivatives		(605,014	)		—		—		(605,014	)
									(605,014	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(30,012,852	)
Exchange-traded and cleared Derivatives									—
Over-the-counter Derivatives									(1,123,221	)
Net Amount								$	77,680

SEE NOTES TO FINANCIAL STATEMENTS.

A112

GOVERNMENT INCOME PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $30,012,852:
Unaffiliated investments (cost $345,768,787)	$	343,797,658
Affiliated investments (cost $156,156,001)		153,064,731
Cash		17,841
Receivable for investments sold		66,243,400
Unrealized appreciation on over-the-counter swap agreements		1,726,446
Dividends and interest receivable		977,616
Due from broker—variation margin		77,680
Prepaid expenses		393
Receivable for Series shares sold		36
Total Assets		565,905,801
LIABILITIES
Payable for investments purchased		176,931,381
Collateral for securities on loan		30,694,926
Unrealized depreciation on over-the-counter swap agreements		605,014
Accrued expenses and other liabilities		144,770
Management fee payable		118,292
Payable for Series shares repurchased		75,929
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		201
Total Liabilities		208,571,439
NET ASSETS	$	357,334,362
Net assets were comprised of:
Paid-in capital	$	359,483,004
Retained earnings		(2,148,642	)
Net assets, June 30, 2013	$	357,334,362
Net asset value and redemption price per share, $357,334,362 / 31,330,848 outstanding shares of beneficial interest	$	11.41

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Interest Income	$	3,854,262
Affiliated dividend income		388,746
Affiliated income from securities loaned, net		39,883
		4,282,891
EXPENSES
Management fee		738,753
Shareholders’ reports		72,000
Custodian’s fees and expenses		41,000
Audit fee		15,000
Trustees’ fees		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Legal fees and expenses		5,000
Insurance expenses		2,000
Commitment fee on syndicated credit agreement		1,000
Miscellaneous		6,672
Total expenses		894,425
NET INVESTMENT INCOME		3,388,466
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions		963,467
Futures transactions		(208,704	)
Swap agreement transactions		463,262
Options written transactions		(7,544	)
		1,210,481
Net change in unrealized appreciation (depreciation) on: Investments (including affiliated: $327,217)		(14,294,085	)
Futures		(56,619	)
Swap agreements		1,527,203
		(12,823,501	)
NET LOSS ON INVESTMENTS		(11,613,020	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(8,224,554	)

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	3,388,466		$	7,739,864
Net realized gain on investment transactions		1,210,481			11,047,414
Net change in unrealized appreciation (depreciation) on investments		(12,823,501	)		(4,769,310	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(8,224,554	)		14,017,968
DISTRIBUTIONS		(14,500,825	)		(20,654,654	)
SERIES SHARE TRANSACTIONS:
Series shares sold [174,899 and 775,380 shares, respectively]		2,109,570			9,542,642
Series shares issued in reinvestment of distributions [1,246,643 and 1,707,009 shares, respectively]		14,500,825			20,654,654
Series shares repurchased [1,612,548 and 4,651,275 shares, respectively]		(19,455,990	)		(57,309,200	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(2,845,595	)		(27,111,904	)
TOTAL DECREASE IN NET ASSETS		(25,570,974	)		(33,748,590	)
NET ASSETS:
Beginning of period		382,905,336			416,653,926
End of period	$	357,334,362		$	382,905,336

SEE NOTES TO FINANCIAL STATEMENTS.

A113

	HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 95.2% ASSET-BACKED SECURITIES — 0.5%	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Collateralized Loan Obligations — 0.5%
Primus CLO Ltd. (Cayman Islands), Ser. 2007-2A, Class A, 144A(a)	Aa1		0.510%	07/15/21	$	478	$	459,838
Slater Mill Loan Fund LP CLO (Cayman Islands), Ser. 2012-1A, Class D, 144A(a)	BBB(b)		4.524%	08/17/22		13,000		12,947,298
								13,407,136
Residential Mortgage-Backed Securities
Argent Securities, Inc., Ser. 2003-W8, Class M1(a)	Ba1		1.243%	12/25/33		112		106,416
Credit-Based Asset Servicing and Securitization LLC, Ser. 2007-CB1, Class AF2(a)	Ca		4.635%	01/25/37		560		297,615
Morgan Stanley ABS Capital I, Ser. 2007-HE6, Class A2(a)	Ca		0.333%	05/25/37		99		52,023
Morgan Stanley Mortgage Loan Trust, Ser. 2006-12XS, Class A6A	Caa3		5.726%	10/25/36		387		237,473
Structured Asset Securities Corp., Ser. 2005-9XS, Class 2A1(a)	B3		0.493%	06/25/35		321		273,911
								967,438
TOTAL ASSET-BACKED SECURITIES (cost $12,644,676)								14,374,574
BANK LOANS — 2.3%
Automotive — 0.2%
Chrysler Group LLC(a)	Ba1		4.250%	05/24/17		4,605		4,654,756
Cable — 0.1%
WideOpenWest Holdings LLC(a)	B1		4.750%	04/01/19		3,337		3,360,347
Capital Goods — 0.3%
Arysta LifeScience SPC LLC(a)	Caa1		8.250%	11/30/20		1,400		1,391,250
CPM Acquisition Corp.(a)	Caa1		10.250%	03/01/18		7,750		7,750,000
								9,141,250
Consumer — 0.1%
West Corp.(a)	Ba3		3.750%	06/30/18		2,481		2,477,315
Energy – Other — 0.2%
Shelf Drilling Holdings Ltd. (original cost $4,875,500; purchased 10/10/12)(a)(c)(d)	Ba1		6.250%	05/31/18		4,975		4,975,000
Gaming — 0.3%
Caesars Entertainment Operating Co., Inc.(a)	B3		9.500%	10/31/16		5,187		5,143,344
CCM Merger, Inc.(a)	B2		5.000%	03/01/17		4,652		4,634,671
								9,778,015
Lodging — 0.1%
Four Seasons Holdings, Inc. (Canada)(a)	Caa1		6.250%	12/31/20		1,750		1,763,125
Media & Entertainment — 0.2%
Clear Channel Communications, Inc.(a)	Caa1		3.845%	01/29/16		4,000		3,668,216
TWCC Holding Corp.(a)	B3		7.000%	12/31/20		2,000		2,015,000
								5,683,216
Metals — 0.3%
FMG Resources (August 2006) Pty Ltd.(a)	Ba1		5.250%	10/18/17		7,388		7,338,248
Technology — 0.5%
Freescale Semiconductor, Inc.(a)	B1		5.000%	02/28/20		935		925,743
First Data Corp.(a)	B1		4.193%	03/26/18		8,132		7,916,788
kronos, Inc.(a)	Ba3		9.750%	04/30/20		2,700		2,781,000
RP Crown Parent LLC(a)	Caa1		11.250%	12/23/19		2,500		2,546,875
								14,170,406
TOTAL BANK LOANS (cost $62,397,587)								63,341,678
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1%
Adjustable Rate Mortgage Trust, Ser. 2005-7, Class 1A1(a)	Ca		2.611%	10/25/35		102		78,835
American Home Mortgage Assets LLC, Ser. 2006-4, Class 1A12(a)	Ca		0.403%	10/25/46		46		30,503

SEE NOTES TO FINANCIAL STATEMENTS.

A114

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COLLATERALIZED MORTGAGE OBLIGATIONS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
American Home Mortgage Assets LLC, Ser. 2006-5, Class A1(a)	Caa3		1.089%	11/25/46	$	389	$	213,801
American Home Mortgage Investment Trust, Ser. 2005-2, Class 4A1(a)	Ba3		1.914%	09/25/45		25		24,605
Banc of America Alternative Loan Trust, Ser. 2005-4, Class CB6(a)	Caa1		0.593%	05/25/35		59		41,644
Banc of America Funding Corp., Ser. 2006-B, Class 2A1(a)	Caa2		2.869%	03/20/36		153		126,226
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2005-10, Class A2(a)	BB+(b)		2.674%	10/25/35		216		216,367
Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2007-3, Class 1A1(a)	D(b)		2.878%	05/25/47		47		37,763
Citigroup Mortgage Loan Trust, Inc., Ser. 2007-10, Class 22AA(a)	D(b)		3.027%	09/25/37		89		70,310
Countrywide Alternative Loan Trust, Ser. 2005-43, Class 4A3(a)	D(b)		5.090%	10/25/35		38		28,305
Countrywide Alternative Loan Trust, Ser. 2005-62, Class 2A1(a)	Caa3		1.169%	12/25/35		88		62,539
Countrywide Alternative Loan Trust, Ser. 2006-HY13, Class 4A1(a)	D(b)		2.905%	02/25/37		42		34,834
Countrywide Alternative Loan Trust, Ser. 2006-OA9, Class 2A1A(a)	Ca		0.402%	07/20/46		40		22,244
Countrywide Alternative Loan Trust, Ser. 2006-OA11, Class A1B(a)	Ca		0.383%	09/25/46		54		37,318
Countrywide Home Loan Mortgage Pass-Through Trust, Ser. 2005-2, Class 2A1(a)	Caa2		0.513%	03/25/35		116		94,053
First Horizon Alternative Mortgage Securities, Ser. 2006-FA2, Class 1A5	Caa3		6.000%	05/25/36		79		67,943
Harborview Mortgage Loan Trust, Ser. 2006-1, Class 2A1A(a)	Caa3		0.432%	03/19/36		351		237,414
Harborview Mortgage Loan Trust, Ser. 2006-5, Class 2A1A(a)	Caa3		0.372%	07/19/46		51		34,641
Harborview Mortgage Loan Trust, Ser. 2006-7, Class 2A1B(a)	C		0.442%	09/19/46		136		20,581
IndyMac Index Mortgage Loan Trust, Ser. 2006-AR12, Class A1(a)	Caa2		0.383%	09/25/46		40		32,111
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A96	D(b)		6.000%	08/25/37		42		36,716
JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A97	D(b)		6.000%	08/25/37		84		73,325
MASTR Adjustable Rate Mortgages Trust, Ser. 2006-OA1, Class 1A1(a)	Caa2		0.403%	04/25/46		29		20,804
Residential Accredit Loans, Inc., Ser. 2006-QA2, Class 3A1	Ca		5.500%	02/25/36		288		224,797
Residential Accredit Loans, Inc., Ser. 2007-QS4, Class 2A1(a)	Ca		0.523%	03/25/37		181		64,906
Residential Asset Securitization Trust, Ser. 2007-A5, Class 2A3	Caa2		6.000%	05/25/37		78		71,400
Structured Asset Mortgage Investments, Inc., Ser. 2006-AR6, Class 2A1(a)	Caa3		0.383%	07/25/46		52		39,381
SunTrust Alternative Loan Trust, Ser. 2006-1F, Class 3A(a)	Ca		0.543%	04/25/36		124		41,827
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 2A3(a)	D(b)		4.853%	02/25/37		42		34,319
WaMu Mortgage Pass-Through Certificates, Ser. 2007-HY1, Class 4A1(a)	D(b)		2.553%	02/25/37		48		39,429
WaMu Mortgage Pass-Through Certificates, Ser. 2007-OA3, Class 2A1A(a)	Caa2		0.929%	04/25/47		51		43,592
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (cost $2,003,928)								2,202,533
CORPORATE BONDS — 92.2%
Aerospace & Defense — 1.6%
Alliant Techsystems, Inc., Gtd. Notes(e)	Ba3		6.875%	09/15/20		2,375		2,517,500
Bombardier, Inc. (Canada), Sr. Notes, 144A	Ba2		6.125%	01/15/23		5,300		5,260,250
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(e)	Ba2		5.750%	03/15/22		3,275		3,250,437
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A	Ba2		7.750%	03/15/20		1,576		1,749,360
Esterline Technologies Corp., Gtd. Notes	Ba2		7.000%	08/01/20		5,400		5,791,500
Moog, Inc., Sr. Sub. Notes	Ba3		7.250%	06/15/18		4,525		4,683,375
Sequa Corp., Gtd. Notes, 144A (original cost $7,042,719; purchased 12/10/12-03/13/13)(c)(d)	Caa1		7.000%	12/15/17		7,000		6,930,000
TransDigm, Inc., Gtd. Notes(e)	Caa1		7.750%	12/15/18		7,300		7,683,250
TransDigm, Inc., Sr. Sub. Notes, 144A	Caa1		7.500%	07/15/21		7,475		7,643,188
								45,508,860
Automotive — 3.6%
American Axle & Manufacturing, Inc., Gtd. Notes(e)	B2		6.250%	03/15/21		2,750		2,794,687
American Axle & Manufacturing, Inc., Gtd. Notes(e)	B2		6.625%	10/15/22		5,250		5,328,750
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes(e)	B1		8.000%	06/15/19		6,300		6,874,875
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes	B1		8.250%	06/15/21		9,200		10,154,500
Continental Rubber of America Corp., Sr. Sec’d. Notes, 144A	Ba2		4.500%	09/15/19		10,025		10,322,492
Dana Holding Corp., Sr. Unsec’d. Notes	B2		6.500%	02/15/19		3,635		3,866,731
Dana Holding Corp., Sr. Unsec’d. Notes(e)	B2		6.750%	02/15/21		10,059		10,687,687
Delphi Corp., Gtd. Notes	Ba1		5.000%	02/15/23		4,625		4,752,187
Delphi Corp., Gtd. Notes(e)	Ba1		5.875%	05/15/19		1,200		1,275,000

SEE NOTES TO FINANCIAL STATEMENTS.

A115

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Automotive (continued)
Delphi Corp., Gtd. Notes	Ba1		6.125%	05/15/21	$	7,748	$	8,445,320
General Motors Financial Co., Inc., Sr. Unsec’d. Notes, 144A(e)	Ba3		2.750%	05/15/16		1,085		1,067,369
General Motors Financial Co., Inc., Sr. Unsec’d. Notes, 144A(e)	Ba3		3.250%	05/15/18		1,150		1,118,375
General Motors Financial Co., Inc., Sr. Unsec’d. Notes, 144A(e)	Ba3		4.250%	05/15/23		1,200		1,117,500
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A(e)	Ba3		5.625%	02/01/23		650		630,500
Lear Corp., Gtd. Notes	Ba2		7.875%	03/15/18		6,275		6,698,563
Lear Corp., Gtd. Notes	Ba2		8.125%	03/15/20		6,953		7,613,535
LKQ Corp., Gtd. Notes, 144A	Ba3		4.750%	05/15/23		1,140		1,088,700
Meritor, Inc., Gtd. Notes	B3		6.750%	06/15/21		2,725		2,602,375
Schaeffler Finance BV (Netherlands), Sr. Sec’d. Notes, 144A(e)	Ba3		4.750%	05/15/21		4,125		3,918,750
TRW Automotive, Inc., Gtd. Notes, 144A(e)	Ba2		4.500%	03/01/21		5,300		5,286,750
TRW Automotive, Inc., Gtd. Notes, 144A	Ba2		7.250%	03/15/17		2,655		3,006,788
TRW Automotive, Inc., Gtd. Notes, 144A(e)	Ba2		8.875%	12/01/17		2,025		2,151,563
								100,802,997
Banking — 0.4%
Ally Financial, Inc., Gtd. Notes	B1		5.500%	02/15/17		1,350		1,410,493
Ally Financial, Inc., Gtd. Notes(e)	B1		8.000%	03/15/20		4,750		5,515,937
Ally Financial, Inc., Gtd. Notes	B1		8.300%	02/12/15		450		484,875
Ally Financial, Inc., Gtd. Notes, Ser. 8(e)	B1		6.750%	12/01/14		3,125		3,285,156
Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(e)	B1		8.000%	12/29/49		730		813,037
HBOS PLC (United Kingdom), Sub. Notes, Ser. G, 144A, MTN	Ba1		6.750%	05/21/18		400		423,535
								11,933,033
Brokerage — 0.3%
Blackstone Holdings Finance Co. LLC, Gtd. Notes, 144A	A(b)		4.750%	02/15/23		3,250		3,438,022
Jefferies LoanCore LLC/JLC Finance Corp., Sr. Unsec’d. Notes, 144A	B2		6.875%	06/01/20		2,525		2,449,250
KKR Group Finance Co., Gtd. Notes, 144A	A-(b)		6.375%	09/29/20		1,000		1,136,599
								7,023,871
Building Materials & Construction — 2.7%
Beazer Homes USA, Inc., Gtd. Notes, 144A(e)	Caa2		7.250%	02/01/23		1,425		1,439,250
Beazer Homes USA, Inc., Gtd. Notes	Caa2		9.125%	06/15/18		4,000		4,160,000
Beazer Homes USA, Inc., Gtd. Notes(e)	Caa2		9.125%	05/15/19		5,000		5,237,500
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A	B2		6.125%	07/01/22		3,375		3,311,719
Building Materials Corp. of America, Sr. Notes, 144A (original cost $2,215,000; purchased 04/19/13)(c)(d)	Ba3		6.750%	05/01/21		2,000		2,125,000
Building Materials Corp. of America, Sr. Notes, 144A (original cost $1,488,750; purchased 09/27/10)(c)(d)(e)	Ba3		6.875%	08/15/18		1,500		1,582,500
Building Materials Corp. of America, Sr. Sec’d. Notes, 144A (original cost $5,975,750; purchased 02/02/10-04/27/11)(c)(d)	Baa3		7.000%	02/15/20		5,825		6,203,625
Cemex Finance LLC, Sr. Sec’d. Notes, 144A(e)	B(b)		9.375%	10/12/22		5,975		6,512,750
D.R. Horton, Inc., Gtd. Notes(e)	Ba2		4.750%	02/15/23		8,825		8,494,062
D.R. Horton, Inc., Gtd. Notes	Ba2		6.500%	04/15/16		900		972,000
HD Supply, Inc., Sr. Unsec’d. Notes, 144A(e)	Caa1		7.500%	07/15/20		6,025		6,100,312
K. Hovnanian Enterprises, Inc., Sr. Sec’d. Notes, 144A(e)	B3		7.250%	10/15/20		9,125		9,832,188
KB Home, Gtd. Notes(e)	B2		7.500%	09/15/22		4,100		4,397,250
Masco Corp., Sr. Unsec’d. Notes(e)	Ba3		5.950%	03/15/22		1,675		1,758,750
Standard Pacific Corp., Gtd. Notes(e)	B3		8.375%	05/15/18		925		1,054,500
Standard Pacific Corp., Gtd. Notes(e)	B3		8.375%	01/15/21		525		598,500
Standard Pacific Corp., Gtd. Notes(e)	B3		10.750%	09/15/16		3,875		4,601,563
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A	B2		7.750%	04/15/20		1,762		1,898,555
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A(e)	B2		7.750%	04/15/20		5,892		6,348,630
								76,628,654

SEE NOTES TO FINANCIAL STATEMENTS.

A116

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Cable — 4.0%
Bresnan Broadband Holdings LLC, Gtd. Notes, 144A	B3		8.000%	12/15/18	$	3,625	$	3,951,250
Cablevision Systems Corp., Sr. Unsec’d. Notes(e)	B1		7.750%	04/15/18		1,375		1,478,125
Cablevision Systems Corp., Sr. Unsec’d. Notes	B1		8.625%	09/15/17		11,725		13,307,875
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e)	B1		5.125%	02/15/23		3,125		2,929,687
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A(e)	B1		5.750%	09/01/23		7,625		7,377,187
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes	B1		5.750%	01/15/24		12,100		11,676,500
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e)	B1		8.125%	04/30/20		1,600		1,748,000
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(e)	B3		5.125%	12/15/21		8,425		7,919,500
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(e)	B3		6.375%	09/15/20		5,375		5,469,062
CSC Holdings LLC, Sr. Unsec’d. Notes	Ba3		6.750%	11/15/21		7,400		7,973,500
CSC Holdings LLC, Sr. Unsec’d. Notes(e)	Ba3		7.875%	02/15/18		850		964,750
DISH DBS Corp., Gtd. Notes(e)	Ba3		5.000%	03/15/23		2,100		2,021,250
DISH DBS Corp., Gtd. Notes(e)	Ba3		5.875%	07/15/22		3,275		3,324,125
DISH DBS Corp., Gtd. Notes	Ba3		6.750%	06/01/21		825		876,563
Lynx I Corp., Sr. Sec’d. Notes, 144A	Ba3		5.375%	04/15/21		4,000		4,020,000
Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, 144A(e)	B1		8.875%	12/01/18		5,175		5,382,000
ONO Finance II PLC (Ireland), Gtd. Notes, 144A	Caa1		10.875%	07/15/19		1,625		1,690,000
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes	B2		7.750%	03/15/16		850		863,813
UPC Holding BV (Netherlands), Sec’d. Notes, 144A	B2		9.875%	04/15/18		12,100		13,128,500
UPCB Finance V Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(e)	Ba3		7.250%	11/15/21		3,600		3,807,000
UPCB Finance VI Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(e)	Ba3		6.875%	01/15/22		5,325		5,511,375
Videotron Ltee (Canada), Gtd. Notes	Ba2		5.000%	07/15/22		4,625		4,509,375
WaveDivision Escrow LLC/WaveDivision Escrow Corp., Sr. Unsec’d. Notes, 144A	Caa1		8.125%	09/01/20		2,150		2,225,250
								112,154,687
Capital Goods — 6.9%
ADS Waste Holdings, Inc., Sr. Unsec’d. Notes, 144A	Caa1		8.250%	10/01/20		3,675		3,748,500
Aguila 3 SA (Luxembourg), Sr. Sec’d. Notes, 144A	B2		7.875%	01/31/18		1,250		1,287,500
Amsted Industries, Inc., Sr. Notes, 144A (original cost $4,417,960; purchased 03/12/10)(c)(d)	Ba3		8.125%	03/15/18		4,450		4,694,750
Ashtead Capital, Inc., Sec’d. Notes, 144A	B2		6.500%	07/15/22		6,525		6,802,312
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes(e)	B2		8.250%	01/15/19		5,749		6,252,037
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes	B2		9.750%	03/15/20		3,850		4,427,500
Belden, Inc., Gtd. Notes, 144A	Ba2		5.500%	09/01/22		4,025		3,954,562
Case New Holland, Inc., Gtd. Notes(e)	Ba2		7.875%	12/01/17		4,150		4,699,875
Clean Harbors, Inc., Gtd. Notes(e)	Ba2		5.250%	08/01/20		6,850		6,952,750
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A (original cost $5,385,438; purchased 04/08/13)(c)(d)	B2		8.750%	12/15/19		4,975		5,223,750
Dycom Investments, Inc., Gtd. Notes	Ba3		7.125%	01/15/21		5,225		5,538,500
General Cable Corp., Gtd. Notes, 144A(e)	B1		5.750%	10/01/22		3,825		3,786,750
Griffon Corp., Gtd. Notes(e)	B1		7.125%	04/01/18		7,265		7,610,087
H&E Equipment Services, Inc., Gtd. Notes	B3		7.000%	09/01/22		3,875		4,039,687
Hertz Corp. (The), Gtd. Notes	B2		5.875%	10/15/20		1,375		1,416,250
Hertz Corp. (The), Gtd. Notes	B2		6.250%	10/15/22		2,050		2,139,688
Hertz Corp. (The), Gtd. Notes	B2		6.750%	04/15/19		4,200		4,441,500
Hertz Corp. (The), Gtd. Notes	B2		7.500%	10/15/18		4,288		4,598,880
Interline Brands, Inc., Gtd. Notes	B2		7.500%	11/15/18		5,420		5,691,000
International Wire Group Holdings, Inc., Sr. Sec’d. Notes, 144A	B3		8.500%	10/15/17		6,250		6,343,750
Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A	B3		8.375%	12/15/18		5,275		5,486,000
Laureate Education, Inc., Gtd. Notes, 144A	Caa1		9.250%	09/01/19		6,625		7,088,750
LBC Tank Terminals Holding Netherlands BV (Netherlands), Gtd. Notes, 144A	B3		6.875%	05/15/23		1,875		1,879,688
Manitowoc Co., Inc. (The), Gtd. Notes(e)	B3		5.875%	10/15/22		3,025		3,040,125
MModal, Inc., Sr. Notes, 144A (original cost $4,268,516; purchased 08/14/12)(c)(d)(e)	Caa2		10.750%	08/15/20		4,325		3,481,625

SEE NOTES TO FINANCIAL STATEMENTS.

A117

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Capital Goods (continued)
NES Rentals Holdings, Inc., Sec’d. Notes, 144A (original cost $1,650,000; purchased 04/12/13)(c)(d)(e)	Caa2		7.875%	05/01/18	$	1,650	$	1,629,375
RBS Global, Inc./Rexnord LLC, Gtd. Notes(e)	B3		8.500%	05/01/18		8,800		9,350,000
Rexel SA (France), Gtd. Notes, 144A	Ba3		6.125%	12/15/19		3,600		3,672,000
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes	B3		8.250%	02/01/21		8,350		9,143,250
RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes	B3		10.250%	11/15/19		2,425		2,716,000
SPX Corp., Gtd. Notes(e)	Ba2		6.875%	09/01/17		4,925		5,319,000
SPX Corp., Gtd. Notes(e)	Ba2		7.625%	12/15/14		2,180		2,310,800
Terex Corp., Gtd. Notes(e)	B2		6.000%	05/15/21		8,889		8,866,778
Terex Corp., Gtd. Notes(e)	B2		6.500%	04/01/20		2,175		2,218,500
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. (Luxembourg), Sr. Sec’d. Notes, 144A(e)	B1		8.750%	02/01/19		1,075		1,026,625
United Rentals North America, Inc., Gtd. Notes(e)	B3		7.375%	05/15/20		2,625		2,802,188
United Rentals North America, Inc., Gtd. Notes	B3		7.625%	04/15/22		12,640		13,682,800
United Rentals North America, Inc., Gtd. Notes(e)	Caa1		8.375%	09/15/20		1,000		1,082,500
United Rentals North America, Inc., Gtd. Notes	B3		9.250%	12/15/19		2,725		3,004,313
WireCo WorldGroup, Inc., Gtd. Notes	B3		9.500%	05/15/17		12,975		13,429,125
								194,879,070
Chemicals — 4.0%
Ashland, Inc., Gtd. Notes, 144A(e)	Ba1		4.750%	08/15/22		2,275		2,252,250
Ashland, Inc., Gtd. Notes, 144A	Ba1		4.750%	08/15/22		2,775		2,747,250
Ashland, Inc., Sr. Unsec’d. Notes, 144A	Ba1		3.875%	04/15/18		2,825		2,796,750
Axiall Corp., Gtd. Notes, 144A	Ba3		4.875%	05/15/23		2,175		2,066,250
Celanese US Holdings LLC, Gtd. Notes	Ba2		4.625%	11/15/22		3,225		3,164,531
Eagle Spinco, Inc., Gtd. Notes, 144A(e)	Ba3		4.625%	02/15/21		2,625		2,520,000
Hexion US Finance Corp., Sr. Sec’d. Notes, 144A(e)	B1		6.625%	04/15/20		5,675		5,660,812
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes(e)	Caa1		9.000%	11/15/20		12,050		11,507,750
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Sec’d. Notes(e)	B3		8.875%	02/01/18		400		408,000
Huntsman International LLC, Gtd. Notes	B2		8.625%	03/15/20		1,650		1,794,375
INEOS Group Holdings SA (Luxembourg), Gtd. Notes, 144A (original cost $2,400,000; purchased 05/02/13)(c)(d)(e)	Caa1		6.125%	08/15/18		2,400		2,292,000
Kinove German Bondco GmbH (Germany), Sr. Sec’d. Notes, 144A	B2		9.625%	06/15/18		4,550		4,925,375
Koppers, Inc., Gtd. Notes	B1		7.875%	12/01/19		6,142		6,571,940
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes	Ba2		8.375%	11/01/16		6,481		6,853,658
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes	Ba2		8.625%	11/01/19		1,600		1,754,000
Nufarm Australia Ltd. (Australia), Gtd. Notes, 144A(e)	Ba3		6.375%	10/15/19		3,000		2,992,500
Orion Engineered Carbons Finance & Co. (Luxembourg), Gtd. Notes, PIK, 144A	Caa1		9.250%	08/01/19		5,125		5,125,000
Petrologistics LP/Petrologistics Finance Corp., Gtd. Notes, 144A	B2		6.250%	04/01/20		5,600		5,488,000
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., Sec’d. Notes, 144A	B1		6.500%	04/15/21		6,325		6,261,750
Rhodia SA (France), Sr. Unsec’d. Notes, 144A	Baa2		6.875%	09/15/20		5,045		5,659,612
Rockwood Specialties Group, Inc., Gtd. Notes	Ba2		4.625%	10/15/20		2,500		2,512,500
Sawgrass Merger Sub, Inc., Sr. Sec’d. Notes, 144A(e)	B3		8.750%	12/15/20		6,450		6,595,125
Taminco Global Chemical Corp., Sec’d. Notes, 144A	Caa1		9.750%	03/31/20		10,305		11,477,194
Tronox Finance LLC, Gtd. Notes, 144A	B2		6.375%	08/15/20		5,731		5,401,468
US Coatings Acquisition, Inc./Flash Dutch 2 BV, Gtd. Notes, 144A(e)	Caa1		7.375%	05/01/21		2,225		2,269,500
								111,097,590
Consumer — 1.8%
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A	B1		6.875%	06/15/19		4,800		4,848,000
First Quality Finance Co., Inc., Sr. Unsec’d. Notes, 144A	B2		4.625%	05/15/21		3,050		2,897,500
Live Nation Entertainment, Inc., Gtd. Notes, 144A	B3		7.000%	09/01/20		2,400		2,523,000
Phillips-Van Heusen Corp., Sr. Unsec’d. Notes	Ba3		7.375%	05/15/20		4,061		4,406,185
PVH Corp., Sr. Unsec’d. Notes	Ba3		4.500%	12/15/22		2,950		2,832,000
Scotts Miracle-Gro Co. (The), Gtd. Notes	B1		7.250%	01/15/18		2,600		2,730,000

SEE NOTES TO FINANCIAL STATEMENTS.

A118

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Consumer (continued)
Service Corp. International, Sr. Unsec’d. Notes	B1		4.500%	11/15/20	$	2,325	$	2,232,000
Service Corp. International, Sr. Unsec’d. Notes, 144A	B1		5.375%	01/15/22		925		922,688
Service Corp. International, Sr. Unsec’d. Notes(e)	B1		7.000%	06/15/17		4,143		4,567,657
Service Corp. International, Sr. Unsec’d. Notes	B1		7.000%	05/15/19		6,855		7,249,162
Spectrum Brands Escrow Corp., Gtd. Notes, 144A	B3		6.375%	11/15/20		3,000		3,142,500
Spectrum Brands Holdings, Inc., Sr. Sec’d. Notes	Ba3		9.500%	06/15/18		1,500		1,642,500
Stewart Enterprises, Inc., Gtd. Notes(e)	B1		6.500%	04/15/19		6,190		6,561,400
Visant Corp., Gtd. Notes	Caa2		10.000%	10/01/17		4,689		4,325,603
								50,880,195
Electric — 5.8%
AES Corp. (The), Sr. Unsec’d. Notes(e)	Ba3		4.875%	05/15/23		7,175		6,690,687
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		7.375%	07/01/21		9,275		10,179,312
AES Corp. (The), Sr. Unsec’d. Notes	Ba3		8.000%	10/15/17		4,100		4,612,500
AES Corp. (The), Sr. Unsec’d. Notes(e)	Ba3		8.000%	06/01/20		1,800		2,052,000
Calpine Corp., Sr. Sec’d. Notes, 144A(e)	B1		7.250%	10/15/17		2,706		2,821,005
Calpine Corp., Sr. Sec’d. Notes, 144A	B1		7.500%	02/15/21		15,329		16,363,708
Calpine Corp., Sr. Sec’d. Notes, 144A(e)	B1		7.875%	01/15/23		4,096		4,403,200
Covanta Holding Corp., Sr. Unsec’d. Notes	Ba3		6.375%	10/01/22		2,450		2,475,968
Covanta Holding Corp., Sr. Unsec’d. Notes	Ba3		7.250%	12/01/20		3,055		3,203,430
DPL, Inc., Sr. Unsec’d. Notes	Ba1		6.500%	10/15/16		2,075		2,168,375
DPL, Inc., Sr. Unsec’d. Notes	Ba1		7.250%	10/15/21		5,000		5,175,000
Dynegy, Inc., Gtd. Notes, 144A	B3		5.875%	06/01/23		10,200		9,282,000
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., Sec’d. Notes	CCC-(b)		11.000%	10/01/21		5,000		5,362,500
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., Sec’d. Notes, 144A(e)	B3		11.750%	03/01/22		27,475		30,359,875
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., Sr. Sec’d. Notes, 144A(e)	B-(b)		10.000%	12/01/20		412		450,110
GenOn Energy, Inc., Sr. Unsec’d. Notes(e)	B2		9.500%	10/15/18		2,500		2,775,000
InterGen NV (Netherlands), Sr. Sec’d. Notes, 144A (original cost $4,837,877; purchased 06/07/13)(c)(d)	B1		7.000%	06/30/23		4,925		4,801,875
Mirant Americas Generation, Inc., Sr. Unsec’d. Notes(e)	B3		8.500%	10/01/21		1,000		1,075,000
Mirant Corp., 144A(c)	NR		7.400%	07/15/49		1,825		1,825
Mirant Mid Atlantic Pass-Through Trust B, Pass-thru Certs., Ser. B	Ba2		9.125%	06/30/17		8,909		9,799,759
NRG Energy, Inc., Gtd. Notes, 144A	B1		6.625%	03/15/23		1,300		1,300,000
NRG Energy, Inc., Gtd. Notes(e)	B1		7.625%	01/15/18		11,645		12,460,150
NRG Energy, Inc., Gtd. Notes(e)	B1		7.625%	05/15/19		3,450		3,605,250
NRG Energy, Inc., Gtd. Notes	B1		7.875%	05/15/21		4,240		4,526,200
NRG Energy, Inc., Gtd. Notes	B1		8.250%	09/01/20		7,175		7,731,063
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. B(c)	B2		9.237%	07/02/17		2,848		2,912,264
Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., Ser. C	B2		9.681%	07/02/26		6,335		6,588,400
								163,176,456
Energy – Other — 7.9%
Athlon Holdings LP/Athlon Finance Corp., Gtd. Notes, 144A	Caa1		7.375%	04/15/21		5,925		5,850,937
Bonanza Creek Energy, Inc., Gtd. Notes, 144A	B3		6.750%	04/15/21		2,000		2,015,000
Bristow Group, Inc., Gtd. Notes(e)	Ba3		6.250%	10/15/22		2,950		3,023,750
Cie Generale de Geophysique-Veritas (France), Gtd. Notes(e)	Ba3		7.750%	05/15/17		2,150		2,182,250
Cie Generale de Geophysique-Veritas (France), Gtd. Notes	Ba3		9.500%	05/15/16		4,300		4,488,125
CITIC Resources Finance 2007 Ltd. (Virgin Islands (BR)), Gtd. Notes, 144A	Ba3		6.750%	05/15/14		25		25,575
Continental Resources, Inc., Gtd. Notes, 144A	Ba2		4.500%	04/15/23		6,500		6,321,250
Continental Resources, Inc., Gtd. Notes	Ba2		5.000%	09/15/22		9,350		9,513,625
Denbury Resources, Inc., Gtd. Notes	B1		4.625%	07/15/23		6,450		5,950,125
Denbury Resources, Inc., Gtd. Notes(e)	B1		6.375%	08/15/21		2,565		2,693,250
Denbury Resources, Inc., Gtd. Notes	B1		8.250%	02/15/20		2,968		3,205,440
EP Energy LLC/EP Energy Finance, Inc., Sr. Unsec’d. Notes(e)	B2		9.375%	05/01/20		4,176		4,718,880

SEE NOTES TO FINANCIAL STATEMENTS.

A119

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Energy – Other (continued)
EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Sec’d. Notes(e)	Ba3		6.875%	05/01/19	$	1,800	$	1,926,000
Harvest Operations Corp. (Canada), Gtd. Notes	Ba3		6.875%	10/01/17		11,100		12,376,500
Hercules Offshore, Inc., Gtd. Notes, 144A	B3		8.750%	07/15/21		3,225		3,225,000
Hercules Offshore, Inc., Gtd. Notes, 144A	B3		10.250%	04/01/19		3,500		3,815,000
Hercules Offshore, Inc., Sr. Sec’d. Notes, 144A	Ba3		7.125%	04/01/17		1,975		2,098,437
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Notes, 144A (original cost $2,707,250; purchased 03/19/13)(c)(d)	Ba3		7.625%	04/15/21		2,450		2,597,000
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Notes, 144A (original cost $1,653,750; purchased 03/15/13)(c)(d)	Ba3		8.000%	02/15/20		1,500		1,612,500
Hornbeck Offshore Services, Inc., Gtd. Notes	Ba3		5.875%	04/01/20		6,225		6,256,125
Linn Energy LLC/Linn Energy Finance Corp., Gtd. Notes, 144A(e)	B2		6.250%	11/01/19		1,125		1,071,562
Linn Energy LLC/Linn Energy Finance Corp., Gtd. Notes(e)	B2		6.500%	05/15/19		3,675		3,592,312
MEG Energy Corp. (Canada), Gtd. Notes, 144A(e)	B1		6.500%	03/15/21		6,325		6,269,656
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, Sr. Unsec’d. Notes, 144A	Caa1		9.250%	06/01/21		5,900		5,546,000
Newfield Exploration Co., Sr. Sub. Notes	Ba2		7.125%	05/15/18		3,325		3,449,687
Newfield Exploration Co., Sr. Unsec’d. Notes	Ba1		5.625%	07/01/24		6,200		6,014,000
Newfield Exploration Co., Sr. Unsec’d. Notes(e)	Ba1		5.750%	01/30/22		1,875		1,856,250
Offshore Group Investment Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A	B3		7.125%	04/01/23		9,275		9,112,688
Parker Drilling Co., Gtd. Notes(e)	B1		9.125%	04/01/18		8,369		8,850,218
Petrohawk Energy Corp., Gtd. Notes	Baa3		7.250%	08/15/18		800		872,800
Petrohawk Energy Corp., Gtd. Notes	Baa3		7.875%	06/01/15		3,775		3,856,163
Petroplus Finance Ltd. (Bermuda), Sr. Sec’d. Notes, 144A(c)(f)	NR		6.750%	05/01/14		2,935		741,088
Plains Exploration & Production Co., Gtd. Notes	Baa3		6.125%	06/15/19		1,750		1,855,565
Plains Exploration & Production Co., Gtd. Notes	Baa3		6.500%	11/15/20		1,250		1,325,256
Plains Exploration & Production Co., Gtd. Notes	Baa3		6.625%	05/01/21		1,000		1,058,658
Plains Exploration & Production Co., Gtd. Notes(e)	Baa3		6.750%	02/01/22		9,650		10,226,838
Plains Exploration & Production Co., Gtd. Notes	Baa3		6.875%	02/15/23		2,900		3,102,716
Plains Exploration & Production Co., Gtd. Notes	Baa3		8.625%	10/15/19		1,250		1,375,689
Plains Exploration & Production Co., Sr. Unsec’d. Notes(e)	Baa3		7.625%	04/01/20		5,000		5,526,210
Precision Drilling Corp. (Canada), Gtd. Notes(e)	Ba1		6.500%	12/15/21		2,075		2,100,938
Precision Drilling Corp. (Canada), Gtd. Notes	Ba1		6.625%	11/15/20		2,500		2,537,500
QEP Resources, Inc., Sr. Unsec’d. Notes(e)	Ba1		5.250%	05/01/23		7,475		7,288,125
QEP Resources, Inc., Sr. Unsec’d. Notes	Ba1		5.375%	10/01/22		1,300		1,287,000
Range Resources Corp., Gtd. Notes	Ba3		5.000%	08/15/22		2,250		2,199,375
Range Resources Corp., Gtd. Notes	Ba3		5.000%	03/15/23		1,592		1,556,180
Range Resources Corp., Gtd. Notes(e)	Ba3		5.750%	06/01/21		2,925		3,012,750
Range Resources Corp., Gtd. Notes(e)	Ba3		6.750%	08/01/20		700		750,750
Range Resources Corp., Gtd. Notes	Ba3		8.000%	05/15/19		1,623		1,728,495
Samson Investment Co., Sr. Unsec’d. Notes, 144A	B3		9.750%	02/15/20		8,275		8,719,781
Sanchez Energy Corp., Gtd. Notes, 144A	Caa1		7.750%	06/15/21		3,075		2,998,125
Seitel, Inc., Gtd. Notes, 144A(e)	B3		9.500%	04/15/19		4,125		4,135,313
SESI LLC, Gtd. Notes	Ba2		6.375%	05/01/19		3,050		3,149,125
Western Refining, Inc., Gtd. Notes, 144A	B2		6.250%	04/01/21		4,825		4,716,438
WPX Energy, Inc., Sr. Unsec’d. Notes	Ba1		5.250%	01/15/17		3,325		3,408,125
WPX Energy, Inc., Sr. Unsec’d. Notes(e)	Ba1		6.000%	01/15/22		12,950		13,079,500
								222,265,645
Foods — 3.5%
ARAMARK Corp., Gtd. Notes, 144A	B3		5.750%	03/15/20		2,785		2,847,662
B&G Foods, Inc., Gtd. Notes(e)	B1		4.625%	06/01/21		4,025		3,843,875
Bumble Bee Acquisition Corp., Sr. Sec’d. Notes, 144A(e)	B3		9.000%	12/15/17		528		561,000
Constellation Brands, Inc., Gtd. Notes	Ba1		4.250%	05/01/23		2,600		2,453,750
Cott Beverages, Inc., Gtd. Notes	B3		8.125%	09/01/18		2,605		2,806,887
Darling International, Inc., Gtd. Notes	Ba2		8.500%	12/15/18		1,325		1,465,781
Dave & Buster’s, Inc., Gtd. Notes	B3		11.000%	06/01/18		2,450		2,713,375
Del Monte Corp., Gtd. Notes(e)	Caa1		7.625%	02/15/19		3,450		3,544,875
Fiesta Restaurant Group, Inc., Sec’d. Notes	B2		8.875%	08/15/16		4,725		5,032,125

SEE NOTES TO FINANCIAL STATEMENTS.

A120

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Foods (continued)
Hawk Acquisition Sub, Inc., Sec’d. Notes, 144A(e)	B1		4.250%	10/15/20	$	5,450	$	5,211,562
Ingles Markets, Inc., Sr. Unsec’d. Notes, 144A(e)	B1		5.750%	06/15/23		5,450		5,381,875
JBS USA LLC/JBS USA Finance, Inc., Gtd. Notes (original cost $5,219,419; purchased 09/07/11)(c)(d)	Ba3		11.625%	05/01/14		4,655		4,911,025
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $4,122,896; purchased 05/20/11-06/15/11)(c)(d)	Ba3		7.250%	06/01/21		4,210		4,210,000
JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A (original cost $3,394,820; purchased 01/25/12-03/13/12)(c)(d)(e)	Ba3		8.250%	02/01/20		3,425		3,587,688
Landry’s, Inc., Sr. Notes, 144A (original cost $16,430,438; purchased 04/19/12-06/25/13)(c)(d)	B3		9.375%	05/01/20		15,750		16,616,250
Michael Foods, Inc., Gtd. Notes	B3		9.750%	07/15/18		12,360		13,534,200
Smithfield Foods, Inc., Sr. Unsec’d. Notes	B1		6.625%	08/15/22		6,900		7,417,500
Stater Brothers Holdings, Inc., Gtd. Notes	B2		7.375%	11/15/18		1,025		1,083,938
Stater Brothers Holdings, Inc., Gtd. Notes(e)	B2		7.750%	04/15/15		1,750		1,754,393
Tops Holding Corp./Tops Markets LLC, Sr. Sec’d. Notes, 144A (original cost $3,050,000; purchased 12/07/12)(c)(d)(e)	B3		8.875%	12/15/17		3,050		3,301,625
Wok Acquisition Corp., Gtd. Notes, 144A(e)	Caa1		10.250%	06/30/20		5,050		5,555,000
								97,834,386
Gaming — 5.6%
Affinity Gaming LLC/Affinity Gaming Finance Corp., Gtd. Notes	B3		9.000%	05/15/18		9,700		10,015,250
Boyd Gaming Corp., Gtd. Notes	B3		9.000%	07/01/20		9,134		9,259,592
Boyd Gaming Corp., Gtd. Notes(e)	B3		9.125%	12/01/18		8,960		9,340,800
Caesars Entertainment Operating Co., Inc., Sec’d. Notes	Caa3		12.750%	04/15/18		12,101		8,228,680
Caesars Operating Escrow LLC/Caesars Escrow Corp., Sr. Sec’d. Notes, 144A	B2		9.000%	02/15/20		2,700		2,571,750
CCM Merger, Inc., Gtd. Notes, 144A (original cost $9,406,000; purchased 03/14/12-01/04/13)(c)(d)(e)	Caa2		9.125%	05/01/19		9,450		9,875,250
Harrah’s Operating Co., Inc., Sec’d. Notes(e)	CCC-(b)		10.000%	12/15/18		3,213		1,895,670
Harrah’s Operating Co., Inc., Sr. Sec’d. Notes	B3		11.250%	06/01/17		5,095		5,305,169
Isle of Capri Casinos, Inc., Gtd. Notes(e)	B2		5.875%	03/15/21		750		716,250
Isle of Capri Casinos, Inc., Gtd. Notes(e)	B2		7.750%	03/15/19		10,478		11,028,095
Isle of Capri Casinos, Inc., Gtd. Notes(e)	Caa1		8.875%	06/15/20		2,900		3,030,500
Marina District Finance Co., Inc., Sr. Sec’d. Notes(e)	B2		9.500%	10/15/15		4,505		4,685,200
MCE Finance Ltd. (Cayman Islands), Gtd. Notes, 144A(e)	B1		5.000%	02/15/21		2,025		1,898,437
MGM Resorts International, Gtd. Notes(e)	B3		6.625%	12/15/21		17,000		17,531,250
MGM Resorts International, Gtd. Notes(e)	B3		6.750%	10/01/20		3,900		4,036,500
MGM Resorts International, Gtd. Notes(e)	B3		7.625%	01/15/17		4,575		4,998,188
MGM Resorts International, Gtd. Notes(e)	B3		8.625%	02/01/19		4,000		4,520,000
MGM Resorts International, Gtd. Notes(e)	B3		10.000%	11/01/16		1,750		2,051,875
MTR Gaming Group, Inc., Sec’d. Notes, PIK(e)	Caa1		11.500%	08/01/19		12,468		13,028,930
Pinnacle Entertainment, Inc., Gtd. Notes(e)	B3		7.750%	04/01/22		5,575		5,825,875
Pinnacle Entertainment, Inc., Gtd. Notes(e)	B1		8.625%	08/01/17		4,300		4,482,750
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Gtd. Notes, 144A	B2		5.875%	05/15/21		4,100		3,977,000
Seminole Indian Tribe of Florida, Sec’d. Notes, 144A	Baa3		7.750%	10/01/17		1,225		1,301,563
Station Casinos LLC, Gtd. Notes, 144A	Caa1		7.500%	03/01/21		5,155		5,206,550
Sugarhouse Hsp Gaming Prop Mezz LP/Sugarhouse Hsp Gaming Finance Corp., Sr. Sec’d. Notes, 144A(e)	B3		6.375%	06/01/21		6,700		6,482,250
Yonkers Racing Corp., Sec’d. Notes, 144A (original cost $7,791,787; purchased 07/13/09-05/21/12)(c)(d)	B1		11.375%	07/15/16		7,224		7,630,350
								158,923,724
Healthcare & Pharmaceutical — 8.9%
Acadia Healthcare Co., Inc., Gtd. Notes, 144A	B3		6.125%	03/15/21		3,500		3,500,000
Acadia Healthcare Co., Inc., Gtd. Notes	B3		12.875%	11/01/18		4,220		5,064,000
Accellent, Inc., Gtd. Notes	Caa2		10.000%	11/01/17		6,500		5,980,000
Accellent, Inc., Sr. Sec’d. Notes	B1		8.375%	02/01/17		7,405		7,664,175
Alliance Healthcare Services, Inc., Sr. Unsec’d. Notes	B3		8.000%	12/01/16		2,170		2,186,275

SEE NOTES TO FINANCIAL STATEMENTS.

A121

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Healthcare & Pharmaceutical (continued)
Apria Healthcare Group, Inc., Sec’d. Notes(e)	Caa1		12.375%	11/01/14	$	3,086	$	3,128,432
Biomet, Inc., Gtd. Notes	B3		6.500%	08/01/20		8,925		9,198,328
Capella Healthcare, Inc., Gtd. Notes(c)	B3		9.250%	07/01/17		14,930		15,825,800
CHS/Community Health Systems, Inc., Gtd. Notes(e)	B3		7.125%	07/15/20		6,225		6,411,750
CHS/Community Health Systems, Inc., Gtd. Notes	B3		8.000%	11/15/19		16,005		17,025,319
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A	Caa1		10.500%	12/15/18		11,883		12,982,177
DaVita, Inc., Gtd. Notes	B2		5.750%	08/15/22		3,150		3,142,125
Fresenius Medical Care US Finance II, Inc., Gtd. Notes, 144A(e)	Ba2		5.625%	07/31/19		1,450		1,508,000
HCA Holdings, Inc., Sr. Unsec’d. Notes(e)	B3		6.250%	02/15/21		2,450		2,499,000
HCA, Inc., Gtd. Notes(e)	B3		5.875%	05/01/23		4,350		4,360,875
HCA, Inc., Gtd. Notes(e)	B3		7.500%	02/15/22		3,850		4,263,875
HCA, Inc., Gtd. Notes	B3		8.000%	10/01/18		17,250		19,815,938
HCA, Inc., Sr. Sec’d. Notes(e)	Ba3		4.750%	05/01/23		1,600		1,532,000
HCA, Inc., Sr. Sec’d. Notes	Ba3		5.875%	03/15/22		1,000		1,026,250
HCA, Inc., Sr. Sec’d. Notes(e)	Ba3		7.875%	02/15/20		2,050		2,207,594
HCA, Inc., Sr. Sec’d. Notes	Ba3		8.500%	04/15/19		3,155		3,385,709
HCA, Inc., Sr. Unsec’d. Notes	B3		6.375%	01/15/15		7,725		8,091,937
HCA, Inc., Sr. Unsec’d. Notes(e)	B3		6.500%	02/15/16		3,310		3,566,525
HCA, Inc., Sr. Unsec’d. Notes	B3		7.190%	11/15/15		2,116		2,285,280
HCA, Inc., Sr. Unsec’d. Notes, MTN	B3		9.000%	12/15/14		10,765		11,680,025
HealthSouth Corp., Gtd. Notes	B1		7.250%	10/01/18		6,508		6,947,290
HealthSouth Corp., Gtd. Notes	B1		7.750%	09/15/22		1,974		2,102,310
Kindred Healthcare, Inc., Gtd. Notes(e)	B3		8.250%	06/01/19		7,905		8,102,625
Mallinckrodt International Finance SA (Luxembourg), Gtd. Notes, 144A	Ba2		4.750%	04/15/23		5,175		4,929,731
MedAssets, Inc., Gtd. Notes	B3		8.000%	11/15/18		5,800		6,148,000
Res-Care, Inc., Gtd. Notes	B-(b)		10.750%	01/15/19		4,950		5,544,000
Select Medical Corp., Gtd. Notes, 144A	B3		6.375%	06/01/21		4,225		4,013,750
STHI Holding Corp., Sec’d. Notes, 144A (original cost $1,225,000; purchased 03/11/11)(c)(d)	B2		8.000%	03/15/18		1,225		1,323,000
Surgical Care Affiliates, Inc., Sr. Sub. Notes, 144A (original cost $6,934,250; purchased 06/21/07-01/18/11)(c)(d)	Caa1		10.000%	07/15/17		8,200		8,446,000
Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A(e)	Ba3		4.375%	10/01/21		4,545		4,170,038
Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A(e)	Ba3		4.500%	04/01/21		5,025		4,685,813
Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A	Ba3		4.750%	06/01/20		5,175		4,987,406
Tenet Healthcare Corp., Sr. Sec’d. Notes	Ba3		6.250%	11/01/18		5,225		5,499,313
Valeant Pharmaceuticals International, Gtd. Notes, 144A	B1		6.875%	12/01/18		12,950		13,273,750
Valeant Pharmaceuticals International, Gtd. Notes, 144A	B1		7.000%	10/01/20		1,975		2,014,500
VPI Escrow Corp., Gtd. Notes, 144A(e)	B1		6.375%	10/15/20		575		568,531
VPII Escrow Corp. (Canada), Sr. Unsec’d. Notes, 144A	B1		7.500%	07/15/21		2,375		2,458,125
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, Gtd. Notes(e)	B3		7.750%	09/15/18		6,025		6,507,000
								250,052,571
Lodging — 0.1%
Royal Caribbean Cruises Ltd., (Liberia), Sr. Unsec’d. Notes	Ba1		7.250%	03/15/18		3,700		4,162,500
Media & Entertainment — 5.4%
AMC Entertainment, Inc., Gtd. Notes	Caa1		9.750%	12/01/20		15,150		17,157,375
AMC Networks, Inc., Gtd. Notes(e)	B1		4.750%	12/15/22		2,150		2,074,750
AMC Networks, Inc., Gtd. Notes(e)	B1		7.750%	07/15/21		1,775		1,939,187
Belo Corp., Sr. Unsec’d. Notes	Ba3		7.750%	06/01/27		4,000		4,280,000
Carmike Cinemas, Inc., Sec’d. Notes	B2		7.375%	05/15/19		4,000		4,300,000
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes, 144A(e)	B1		5.250%	03/15/21		2,350		2,256,000
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes	B1		9.125%	08/01/18		2,125		2,316,250
Cinemark USA, Inc., Gtd. Notes	B2		5.125%	12/15/22		2,550		2,460,750
Clear Channel Communications, Inc., Gtd. Notes	Ca		10.750%	08/01/16		4,625		4,012,187
Clear Channel Communications, Inc., Sr. Unsec’d. Notes(e)	Ca		6.875%	06/15/18		625		462,500
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, 144A	B1		6.500%	11/15/22		2,970		3,044,250

SEE NOTES TO FINANCIAL STATEMENTS.

A122

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Media & Entertainment (continued)
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, 144A	B1		6.500%	11/15/22	$	2,577	$	2,654,310
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, Ser. A(e)	B3		7.625%	03/15/20		4,000		4,120,000
Entercom Radio LLC, Gtd. Notes	Caa1		10.500%	12/01/19		4,075		4,574,188
Griffey Intermediate, Inc./Griffey Finance Sub LLC, Sr. Notes, 144A(e)	Caa1		7.000%	10/15/20		8,344		8,051,960
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A(e)	B3		5.500%	08/01/23		15,000		14,100,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(e)	B3		7.250%	10/15/20		5,700		5,985,000
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(e)	B3		7.500%	04/01/21		1,875		1,968,750
LIN Television Corp., Gtd. Notes	B3		6.375%	01/15/21		2,375		2,401,719
LIN Television Corp., Gtd. Notes	B3		8.375%	04/15/18		2,875		3,058,281
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Sr. Sec’d. Notes, 144A(e)	B2		9.750%	04/01/21		7,200		7,362,000
Mood Media Corp. (Canada), Gtd. Notes, 144A	B3		9.250%	10/15/20		4,475		4,094,625
NAI Entertainment Holdings LLC, Sr. Sec’d. Notes, 144A (original cost $2,238,750; purchased 10/16/12)(c)(d)	B1		8.250%	12/15/17		2,000		2,140,000
National CineMedia LLC, Sr. Sec’d. Notes	Ba2		6.000%	04/15/22		4,350		4,464,188
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes	B2		7.750%	10/15/18		2,675		2,875,625
Regal Cinemas Corp., Gtd. Notes	B2		8.625%	07/15/19		2,000		2,135,000
Sinclair Television Group, Inc., Gtd. Notes	B1		5.375%	04/01/21		4,850		4,656,000
Sinclair Television Group, Inc., Sec’d. Notes, 144A	Ba3		9.250%	11/01/17		2,090		2,215,400
Sinclair Television Group, Inc., Sr. Unsec’d. Notes	B1		6.125%	10/01/22		3,900		3,900,000
SSI Investments II/SSI Co.-Issuer LLC, Gtd. Notes	Caa1		11.125%	06/01/18		11,375		12,469,844
Telesat Canada/Telesat LLC (Canada), Sr. Unsec’d. Notes, 144A	B3		6.000%	05/15/17		6,225		6,349,500
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(e)	B2		5.125%	05/15/23		2,000		1,890,000
Vail Resorts, Inc., Gtd. Notes	Ba3		6.500%	05/01/19		2,000		2,095,000
WMG Acquisition Corp., Gtd. Notes	B3		11.500%	10/01/18		4,450		5,095,250
								152,959,889
Metals — 3.2%
AK Steel Corp., Gtd. Notes(e)	B3		8.375%	04/01/22		1,500		1,290,000
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e)	Ba1		6.000%	03/01/21		3,000		2,985,000
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e)	Ba1		6.125%	06/01/18		11,800		12,154,000
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e)	Ba1		6.750%	02/25/22		3,000		3,075,000
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes	Ba1		9.500%	02/15/15		4,350		4,752,375
Arch Coal, Inc., Gtd. Notes(e)	B3		7.250%	10/01/20		1,425		1,168,500
Arch Coal, Inc., Gtd. Notes, 144A(e)	B3		9.875%	06/15/19		2,525		2,398,750
BlueScope Steel Ltd./BlueScope Steel Finance (Australia), Gtd. Notes, 144A	Ba3		7.125%	05/01/18		2,775		2,816,625
CONSOL Energy, Inc., Gtd. Notes(e)	B1		8.000%	04/01/17		6,875		7,235,937
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A(e)	Ba3		6.125%	12/15/20		350		337,750
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		6.375%	02/01/16		2,200		2,197,250
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		6.875%	02/01/18		2,275		2,246,562
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		7.000%	11/01/15		2,750		2,777,500
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e)	B1		8.250%	11/01/19		1,450		1,493,500
GrafTech International Ltd., Gtd. Notes, 144A(e)	Ba2		6.375%	11/15/20		2,650		2,669,875
Hecla Mining Co., Gtd. Notes, 144A(e)	B2		6.875%	05/01/21		1,275		1,182,562
Iamgold Corp. (Canada), Gtd. Notes, 144A(e)	B1		6.750%	10/01/20		1,925		1,626,625
Inmet Mining Corp. (Canada), Gtd. Notes, 144A	B1		7.500%	06/01/21		1,200		1,149,000
Inmet Mining Corp. (Canada), Gtd. Notes, 144A	B1		8.750%	06/01/20		7,675		7,847,688
JMC Steel Group, Sr. Notes, 144A (original cost $3,400,000; purchased 03/04/11)(c)(d)(e)	B3		8.250%	03/15/18		3,400		3,323,500
Kaiser Aluminum Corp., Gtd. Notes	Ba3		8.250%	06/01/20		1,000		1,107,500
Murray Energy Corp., Sr. Sec’d. Notes, 144A (original cost $1,200,000; purchased 05/17/13)(c)(d)	Caa1		8.625%	06/15/21		1,200		1,200,000
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A	B2		6.250%	11/15/22		6,775		6,487,063
Novelis, Inc. (Canada), Gtd. Notes(e)	B2		8.750%	12/15/20		3,925		4,209,563
Peabody Energy Corp., Gtd. Notes	Ba1		6.000%	11/15/18		6,250		6,265,625
Peabody Energy Corp., Gtd. Notes(e)	Ba1		6.250%	11/15/21		2,550		2,460,750
Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes	Caa1		10.750%	02/01/18		3,275		3,406,000
								89,864,500

SEE NOTES TO FINANCIAL STATEMENTS.

A123

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Non-Captive Finance — 3.9%
ACE Cash Express, Inc., Sr. Sec’d. Notes, 144A	B3		11.000%	02/01/19	$	3,325	$	3,192,000
CIT Group, Inc., Sr. Unsec’d. Notes(e)	Ba3		4.250%	08/15/17		1,025		1,030,125
CIT Group, Inc., Sr. Unsec’d. Notes, 144A	Ba3		4.750%	02/15/15		3,150		3,201,188
CIT Group, Inc., Sr. Unsec’d. Notes	Ba3		5.000%	05/15/17		4,800		4,902,000
CIT Group, Inc., Sr. Unsec’d. Notes(e)	Ba3		5.000%	08/15/22		28,250		28,038,125
CIT Group, Inc., Sr. Unsec’d. Notes	Ba3		5.250%	03/15/18		11,925		12,252,938
CIT Group, Inc., Sr. Unsec’d. Notes(e)	Ba3		5.375%	05/15/20		750		767,813
CNG Holdings, Inc., Sr. Sec’d. Notes, 144A	B3		9.375%	05/15/20		675		648,000
Community Choice Financial, Inc., Sr. Sec’d. Notes	B3		10.750%	05/01/19		1,110		1,062,825
HSBC Finance Capital Trust IX, Gtd. Notes(a)	Baa2		5.911%	11/30/35		100		100,550
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		6.750%	09/01/16		175		189,000
International Lease Finance Corp., Sr. Sec’d. Notes, 144A	Ba2		7.125%	09/01/18		525		580,125
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		3.875%	04/15/18		3,525		3,313,500
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		5.875%	08/15/22		2,500		2,478,125
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		6.250%	05/15/19		2,120		2,178,300
International Lease Finance Corp., Sr. Unsec’d. Notes(e)	Ba3		8.750%	03/15/17		2,000		2,227,500
Jet Equipment Trust, Ser. 94-A, 144A(a)(c)(f)	NR		10.000%	12/15/13		72		57,947
Jet Equipment Trust, Sr. Unsec’d. Notes, Ser. 95-B, 144A(a)(c)(f)	NR		7.630%	08/15/12		11		8
Nationstar Mortgage LLC/Nationstar Capital Corp., Gtd. Notes, 144A	B2		6.500%	07/01/21		2,850		2,736,000
Patriot Merger Corp., Sr. Unsec’d. Notes, 144A	Caa2		9.000%	07/15/21		2,375		2,321,563
SLM Corp., Sr. Unsec’d. Notes, MTN(e)	Ba1		8.000%	03/25/20		1,900		2,056,750
Springleaf Finance Corp., Sr. Unsec’d. Notes, 144A(e)	Caa1		6.000%	06/01/20		8,275		7,406,125
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN	Caa1		6.900%	12/15/17		14,725		14,448,906
Springleaf Finance Corp., Sr. Unsec’d. Notes, Ser. I, MTN(e)	Caa1		5.400%	12/01/15		14,665		14,628,337
								109,817,750
Packaging — 2.6%
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A (original cost $5,537,188; purchased 09/30/10-10/01/10)(c)(d)(e)	B3		9.125%	10/15/20		5,450		5,811,062
Ardagh Packaging Finance PLC (Ireland), Sr. Sec’d. Notes, 144A (original cost $3,814,150; purchased 06/11/12-06/13/12)(c)(d)(e)	Ba3		7.375%	10/15/17		3,620		3,864,350
Ardagh Packaging Finance PLC (Ireland), Sr. Unsec’d. Notes, 144A (original cost $5,600,000; purchased 01/16/13)(c)(d)(e)	B3		7.000%	11/15/20		5,600		5,397,000
Berry Plastics Corp., Sec’d. Notes	Caa1		9.750%	01/15/21		4,875		5,508,750
BOE Intermediate Holding Corp., Sr. Unsec’d. Notes, PIK, 144A	Caa2		9.000%	11/01/17		2,075		1,992,000
BOE Merger Corp., Sr. Unsec’d. Notes, PIK, 144A (original cost $6,877,500; purchased 10/24/12-04/30/13)(c)(d)	Caa2		9.500%	11/01/17		6,625		6,757,500
BWAY Holding Co., Gtd. Notes (original cost $1,002,500; purchased 10/05/11)(c)(d)	Caa1		10.000%	06/15/18		1,000		1,095,000
Greif, Inc., Sr. Unsec’d. Notes	Ba2		6.750%	02/01/17		4,970		5,467,000
Plastipak Holdings, Inc., Sr. Notes, 144A (original cost $5,231,801; purchased 07/23/09-11/01/12)(c)(d)	Caa1		10.625%	08/15/19		4,875		5,362,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes(e)	Caa1		8.250%	02/15/21		2,300		2,277,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes(e)	Caa2		9.875%	08/15/19		6,175		6,607,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes(e)	B1		5.750%	10/15/20		10,450		10,528,375
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes(e)	B1		6.875%	02/15/21		1,575		1,653,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes	B1		7.875%	08/15/19		3,200		3,488,000
Sealed Air Corp., Gtd. Notes, 144A(e)	B1		6.500%	12/01/20		725		764,875
Sealed Air Corp., Gtd. Notes, 144A	B1		8.375%	09/15/21		4,000		4,520,000
Sealed Air Corp., Sr. Notes, 144A	B1		5.250%	04/01/23		1,725		1,677,563
								72,771,975

SEE NOTES TO FINANCIAL STATEMENTS.

A124

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Paper — 0.4%
Domtar Corp., Gtd. Notes(e)	Baa3		10.750%	06/01/17	$	1,125	$	1,415,821
Graphic Packaging International, Inc., Gtd. Notes	Ba3		7.875%	10/01/18		1,375		1,485,000
Longview Fibre Paper & Packaging, Inc., Sr. Sec’d. Notes, 144A (original cost $2,736,155; purchased 05/17/11-09/22/11)(c)(d)	B2		8.000%	06/01/16		2,760		2,877,300
Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A	Ba2		4.875%	09/15/18		5,750		5,577,500
								11,355,621
Pipelines & Other — 1.9%
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes	Ba2		7.000%	05/20/22		5,635		5,761,787
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes	Ba3		6.500%	05/20/21		1,240		1,252,400
Energy Transfer Equity LP, Sr. Sec’d. Notes(e)	Ba2		7.500%	10/15/20		4,300		4,697,750
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes	B3		8.625%	06/15/20		3,659		3,723,032
Inergy Midstream LP/NRGM Finance Corp., Gtd. Notes, 144A(e)	B1		6.000%	12/15/20		2,900		2,798,500
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes	B1		5.500%	04/15/23		3,275		3,225,875
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $8,664,483; purchased 01/10/13-06/13/13)(c)(d)(e)	Ba2		6.000%	01/15/19		8,722		7,806,190
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A(e)	Ba3		4.250%	11/15/23		9,900		8,835,750
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes(e)	Ba3		6.375%	08/01/22		1,673		1,752,468
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes	Ba3		6.875%	02/01/21		8,050		8,553,125
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes	Ba3		7.875%	10/15/18		4,350		4,632,750
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Sr. Unsec’d. Notes, 144A	B1		5.875%	10/01/20		1,575		1,551,375
								54,591,002
Real Estate Investment Trusts — 1.5%
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., Gtd. Notes	Ba3		7.750%	02/15/19		16,150		17,240,125
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes, 144A	B2		6.375%	11/15/22		2,850		2,921,250
DuPont Fabros Technology LP, Gtd. Notes	Ba1		8.500%	12/15/17		1,725		1,819,875
Felcor Lodging LP, Sr. Sec’d. Notes(e)	B2		5.625%	03/01/23		5,275		5,129,937
Felcor Lodging LP, Sr. Sec’d. Notes	B2		10.000%	10/01/14		1,076		1,162,080
Omega Healthcare Investors, Inc., Gtd. Notes	Ba1		6.750%	10/15/22		475		505,875
Omega Healthcare Investors, Inc., Gtd. Notes	Ba1		7.500%	02/15/20		825		878,625
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes	B1		5.375%	06/01/23		2,800		2,744,000
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		6.750%	04/15/20		1,875		2,062,787
Senior Housing Properties Trust, Sr. Unsec’d. Notes	Baa3		6.750%	12/15/21		7,250		8,009,525
								42,474,079
Retailers — 2.5%
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A(e)	B3		9.250%	08/01/19		4,525		5,011,437
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(e)	B2		6.125%	03/15/20		1,300		1,277,250
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(e)	B2		9.000%	03/15/19		2,900		3,190,000
Claire’s Stores, Inc., Sr. Unsec’d. Notes, 144A(e)	Caa2		7.750%	06/01/20		2,350		2,273,625
CST Brands, Inc., Gtd. Notes, 144A	Ba3		5.000%	05/01/23		1,900		1,852,500
Dufry Finance SCA (Luxembourg), Gtd. Notes, 144A	Ba3		5.500%	10/15/20		9,550		9,575,231
Hot Topic, Inc., Sr. Sec’d. Notes, 144A (original cost $3,081,813; purchased 06/06/13)(c)(d)	B2		9.250%	06/15/21		3,125		3,164,063
Limited Brands, Inc., Gtd. Notes	Ba1		5.625%	02/15/22		3,885		3,943,275
New Academy Finance Co. LLC/New Academy Finance Corp., Sr. Unsec’d. Notes, PIK, 144A(e)	Caa1		8.000%	06/15/18		3,550		3,638,750
Pantry, Inc. (The), Gtd. Notes	Caa1		8.375%	08/01/20		14,700		15,784,125
Penske Automotive Group, Inc., Gtd. Notes, 144A	B2		5.750%	10/01/22		5,375		5,482,500
Petco Holdings, Inc., Sr. Notes, PIK, 144A (original cost $4,965,063; purchased 10/04/12-12/19/12)(c)(d)	Caa1		8.500%	10/15/17		4,925		5,023,500
Sonic Automotive, Inc., Gtd. Notes, 144A	B3		5.000%	05/15/23		1,150		1,115,500

SEE NOTES TO FINANCIAL STATEMENTS.

A125

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Retailers (continued)
Toys “R” Us, Inc., Sr. Unsec’d. Notes(e)	Caa1		10.375%	08/15/17	$	4,800	$	4,800,000
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes	Ba2		8.500%	12/01/17		3,381		3,512,014
								69,643,770
Technology — 7.8%
Audatex North America, Inc., Gtd. Notes, 144A	Ba2		6.000%	06/15/21		5,825		5,810,437
Audatex North America, Inc., Gtd. Notes	Ba2		6.750%	06/15/18		4,400		4,620,000
Avaya, Inc., Sec’d. Notes, 144A(e)	Caa1		10.500%	03/01/21		12,500		9,468,750
CDW LLC/CDW Finance Corp., Gtd. Notes	B3		8.500%	04/01/19		16,800		18,060,000
CDW LLC/CDW Finance Corp., Gtd. Notes	Caa1		12.535%	10/12/17		13,142		13,864,810
Ceridian Corp., Gtd. Notes	Caa2		11.250%	11/15/15		19,375		19,641,406
Ceridian Corp., Gtd. Notes, PIK	Caa2		12.250%	11/15/15		524		530,550
Ceridian Corp., Sr. Unsec’d. Notes, 144A	Caa3		11.000%	03/15/21		1,950		2,154,750
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A	Caa1		6.625%	06/01/20		5,400		5,157,000
CommScope, Inc., Gtd. Notes, 144A (original cost $13,418,713; purchased 01/11/11-06/25/13)(c)(d)(e)	B3		8.250%	01/15/19		13,360		14,261,800
Compiler Finance Sub, Inc., Sr. Unsec’d. Notes, 144A	Caa1		7.000%	05/01/21		5,750		5,577,500
CoreLogic, Inc., Gtd. Notes	Ba3		7.250%	06/01/21		2,825		3,008,625
First Data Corp., Gtd. Notes, 144A	Caa1		10.625%	06/15/21		5,725		5,653,437
First Data Corp., Gtd. Notes, 144A(e)	Caa1		11.250%	01/15/21		5,450		5,436,375
First Data Corp., Gtd. Notes(e)	Caa1		12.625%	01/15/21		7,507		7,938,652
Freescale Semiconductor, Inc., Gtd. Notes	Caa1		8.050%	02/01/20		720		729,000
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A	B1		9.250%	04/15/18		5,875		6,330,312
Global Generations Merger Sub, Inc., Sr. Unsec’d. Notes, 144A	Caa1		11.000%	12/15/20		5,150		5,690,750
Igloo Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A	Caa1		8.250%	12/15/17		6,100		6,145,750
Interactive Data Corp., Gtd. Notes	B3		10.250%	08/01/18		8,725		9,641,125
Lender Processing Services, Inc., Gtd. Notes	Ba2		5.750%	04/15/23		5,800		6,162,500
Nortel Networks Ltd. (Canada), Gtd. Notes(c)(f)	NR		10.125%	07/15/13		3,050		3,381,688
Nuance Communications, Inc., Gtd. Notes, 144A	Ba3		5.375%	08/15/20		2,275		2,223,813
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A	B3		5.750%	02/15/21		5,010		5,072,625
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A(e)	B1		9.750%	08/01/18		2,494		2,790,163
Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes	Ba1		6.800%	10/01/16		264		292,380
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A	B1		4.875%	10/15/23		6,775		6,520,938
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(e)	B1		6.500%	05/15/19		3,531		3,795,825
Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A	Caa1		9.750%	01/15/19		8,915		9,539,050
SunGard Data Systems, Inc., Gtd. Notes, 144A	Caa1		6.625%	11/01/19		2,675		2,688,375
Syniverse Holdings, Inc., Gtd. Notes (original cost $4,931,038; purchased 12/22/10-01/07/11)(c)(d)	Caa1		9.125%	01/15/19		4,830		5,156,025
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A	Caa1		8.125%	06/15/18		750		794,063
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes	Caa1		9.625%	06/15/18		13,050		13,930,875
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes	B2		11.375%	06/15/18		6,946		7,692,695
								219,762,044
Telecommunications — 5.5%
Brightstar Corp., Gtd. Notes, 144A (original cost $6,940,850; purchased 11/23/10-06/13/12)(c)(d)	B1		9.500%	12/01/16		6,845		7,050,350
CenturyLink, Inc., Sr. Unsec’d. Notes, Ser. Q	Ba2		6.150%	09/15/19		1,551		1,613,040
Crown Castle International Corp., Sr. Unsec’d. Notes	B1		5.250%	01/15/23		3,350		3,216,000
Digicel Group Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(e)	Caa1		8.250%	09/30/20		6,100		6,313,500
Digicel Group Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A	Caa1		10.500%	04/15/18		2,500		2,650,000
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, 144A(e)	B3		11.625%	01/31/20		6,315		7,135,950
Frontier Communications Corp., Sr. Unsec’d. Notes(e)	Ba2		7.125%	01/15/23		1,950		1,940,250
Frontier Communications Corp., Sr. Unsec’d. Notes(e)	Ba2		7.625%	04/15/24		1,075		1,077,687
Frontier Communications Corp., Sr. Unsec’d. Notes	Ba2		8.250%	05/01/14		8		8,360
Frontier Communications Corp., Sr. Unsec’d. Notes	Ba2		8.750%	04/15/22		4,400		4,796,000
Frontier Communications Corp., Sr. Unsec’d. Notes(e)	Ba2		9.250%	07/01/21		1,850		2,113,625
Level 3 Financing, Inc., Gtd. Notes(e)	B3		7.000%	06/01/20		3,625		3,615,937
Level 3 Financing, Inc., Gtd. Notes	B3		8.125%	07/01/19		1,275		1,338,750
Level 3 Financing, Inc., Gtd. Notes	B3		8.625%	07/15/20		2,250		2,396,250

SEE NOTES TO FINANCIAL STATEMENTS.

A126

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

CORPORATE BONDS (continued)	Moody’s Ratings†	Interest Rate		Maturity Date	Principal Amount (000)#		Value (Note 2)
Telecommunications (continued)
Level 3 Financing, Inc., Gtd. Notes(e)	B3		9.375%	04/01/19	$	500	$	540,000
MetroPCS Wireless, Inc., Gtd. Notes	Ba3		6.625%	11/15/20		350		363,125
MetroPCS Wireless, Inc., Gtd. Notes, 144A	Ba3		6.625%	04/01/23		1,975		2,009,562
NII Capital Corp., Gtd. Notes	Caa2		7.625%	04/01/21		4,233		3,291,158
Northwestern Bell Telephone, Sr. Unsec’d. Notes	Baa3		7.750%	05/01/30		750		796,788
Qwest Communications International, Inc., Gtd. Notes	Ba1		7.125%	04/01/18		1,450		1,504,375
Softbank Corp. (Japan), Gtd. Notes, 144A	Baa3		4.500%	04/15/20		14,325		13,805,719
Sprint Capital Corp., Gtd. Notes(e)	B3		6.875%	11/15/28		14,045		13,483,200
Sprint Capital Corp., Gtd. Notes	B3		6.900%	05/01/19		15,025		15,626,000
Sprint Nextel Corp., Gtd. Notes, 144A	Ba3		7.000%	03/01/20		4,225		4,563,000
Sprint Nextel Corp., Gtd. Notes, 144A	Ba3		9.000%	11/15/18		1,575		1,842,750
Sprint Nextel Corp., Sr. Unsec’d. Notes(e)	B3		6.000%	12/01/16		1,645		1,735,475
Sprint Nextel Corp., Sr. Unsec’d. Notes(e)	B3		6.000%	11/15/22		1,325		1,298,500
Sprint Nextel Corp., Sr. Unsec’d. Notes(e)	B3		7.000%	08/15/20		2,075		2,178,750
Sprint Nextel Corp., Sr. Unsec’d. Notes(e)	B3		9.125%	03/01/17		3,400		3,910,000
Wind Acquisition Finance SA (Luxembourg), Sec’d. Notes, 144A(e)	B3		11.750%	07/15/17		12,510		13,010,400
Wind Acquisition Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A(e)	Ba3		7.250%	02/15/18		4,400		4,433,000
Wind Acquisition Holdings Finance SA (Luxembourg), Sr. Sec’d. Notes, PIK, 144A(e)	Caa1		12.250%	07/15/17		8,978		9,045,822
Windstream Corp., Gtd. Notes(e)	B1		6.375%	08/01/23		6,675		6,241,125
Windstream Corp., Gtd. Notes	B1		7.000%	03/15/19		850		852,125
Windstream Corp., Gtd. Notes(e)	B1		7.500%	06/01/22		925		943,500
Windstream Corp., Gtd. Notes	B1		7.500%	04/01/23		5,085		5,161,275
Windstream Corp., Gtd. Notes(e)	B1		7.750%	10/15/20		2,525		2,613,375
								154,514,723
Tobacco — 0.4%
Vector Group Ltd., Sr. Sec’d. Notes	Ba3		7.750%	02/15/21		11,905		12,291,913
TOTAL CORPORATE BONDS (cost $2,552,676,590)								2,597,371,505
					Shares
COMMON STOCKS — 0.1%
Cable
Adelphia Recovery Trust*(c)						500,000		500
Electric
NRG Energy, Inc.						772		20,612
Media
Dex Media, Inc.*(e)						36,485		641,042
Liberty Global PLC (United Kingdom), Ser. A*						2,200		162,976
Liberty Global PLC (United Kingdom), Ser. C*						1,642		111,475
								915,493
Pipelines & Other
SemGroup Corp. (Class A Stock)*						3,493		188,133
Technology — 0.1%
Xerox Corp.						137,561		1,247,678
Telecommunications
Netia SA (Poland)*						227,114		284,444
TOTAL COMMON STOCKS (cost $27,552,724)								2,656,860
PREFERRED STOCKS
Building Materials & Construction
New Millenium Homes LLC (cost $0; purchased 09/25/00)*(c)(d)						3,000		231,000

SEE NOTES TO FINANCIAL STATEMENTS.

A127

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

PREFERRED STOCKS (continued)		Shares		Value (Note 2)
Cable
Adelphia Communications Corp., PIK, 13.000%*(c)			5,000	$	5
TOTAL PREFERRED STOCKS (cost $4,765)					231,005
	Expiration Date	Units
WARRANTS
Media & Entertainment
MediaNews Group, Inc., (cost $0; purchased 06/30/11)*(c)(d)	3/19/17		5,557		56
Pipelines & Other
SemGroup Corp.*	11/30/14		3,676		106,117
Telecommunications
Hawaiian Telcom Holdco, Inc.*	10/28/15		19,187		215,854
TOTAL WARRANTS (cost $320,316)					322,027
TOTAL LONG-TERM INVESTMENTS (cost $2,657,600,586)					2,680,500,182
		Shares
SHORT-TERM INVESTMENTS — 21.9%
AFFILIATED MUTUAL FUNDS
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(g)			524,443		4,872,071
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost$ 611,759,528; includes $501,224,161 of cash collateral received for securities on loan) (Note 4)(g)(h)			611,759,528		611,759,528
TOTAL SHORT-TERM INVESTMENTS (cost $616,739,469)					616,631,599
TOTAL INVESTMENTS — 117.1% (cost $3,274,340,055)					3,297,131,781
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (17.1)%					(481,002,923	)
NET ASSETS — 100.0%				$	2,816,128,858

The following abbreviations are used in the portfolio descriptions:

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

† The ratings reflected are as of June 30, 2013. Ratings of certain bonds may have changed subsequent to that date. The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard and Poor’s ratings.

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

* Non-income producing security.

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2013.

(b) Standard & Poor’s Rating.

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

(d) Indicates a restricted security; the aggregate original cost of such securities is $186,133,124. The aggregate value of $188,571,384 is approximately 6.7% of net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

A128

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

(e) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $494,532,964; cash collateral of $501,224,161 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on June 30, 2013. Collateral was subsequently received on the following business day and the portfolio remained in compliance.

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

(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.

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

Credit default swap agreements outstanding at June 30, 2013:

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Implied Credit Spread at June 30, 2013(4)			Fair Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation	Counterparty
Over-the-counter credit default swaps on corporate issues—Sell Protection(1):
NRG Energy, Inc.		03/20/16		4.100%	$	3,150		1.790	%	$	198,745	$	—	$198,745	Goldman Sachs International

Reference Entity/Obligation	Termination Date		Fixed Rate		Notional Amount (000)(3)		Fair Value(2)		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)			Counterparty
Over-the-counter credit default swaps on credit indices—Sell Protection(1):
CDX.NA.HY.18.V1		06/20/17		5.000%	$	4,950	$	262,971	$	(149,531	)	$	412,502		Barclays Bank PLC
CDX.NA.HY.18.V1		06/20/17		5.000%		12,870		683,725		(1,020,663	)		1,704,388		Morgan Stanley Capital Services
CDX.NA.HY.18.V1		06/20/17		5.000%		9,900		525,943		(679,937	)		1,205,880		Goldman Sachs International
CDX.NA.HY.19.V1		12/20/17		5.000%		6,000		277,835		10,833			267,002		Barclays Bank PLC
CDX.NA.HY.19.V1		12/20/17		5.000%		6,500		300,988		297,917			3,071		Bank of America NA
CDX.NA.HY.20.V1		06/20/18		5.000%		20,000		635,945		1,397,222			(761,277	)	Barclays Bank PLC
							$	2,687,407	$	(144,159	)	$	2,831,566

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

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

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

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

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A129

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Non-Residential Mortgage-Backed Securities	$	—	$	13,407,136	$	—
Residential Mortgage-Backed Securities		—		967,438		—
Bank Loans		—		48,601,678		14,740,000
Collateralized Mortgage Obligations		—		2,202,533		—
Corporate Bonds		—		2,590,723,325		6,648,180
Common Stocks		2,371,916		284,444		500
Preferred Stocks		—		—		231,005
Warrants		215,854		106,117		56
Affiliated Mutual Funds		616,631,599		—		—
Other Financial Instruments*
Credit Default Swap Agreements		—		3,030,311		—
Total	$	619,219,369	$	2,659,322,982	$	21,619,741

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

	Bank Loans			Corporate Bonds			Common Stocks		Preferred Stocks		Warrants
Balance as of 12/31/12	$	17,933,125		$	17,604,246		$	500	$	222,005	$	56
Realized gain (loss)		—			—			—		—		—
Change in unrealized appreciation (depreciation)**		28,377			(261,517	)		—		9,000		—
Purchases		1,980,000			2,172,500			—		—		—
Sales		(24,539	)		(8,346	)		—		—		—
Accrued discount/premium		23,037			(7,914	)		—		—		—
Transfers into Level 3		—			—			—		—		—
Transfers out of Level 3		(5,200,000	)		(12,850,789	)		—		—		—
Balance as of 06/30/13	$	14,740,000		$	6,648,180		$	500	$	231,005	$	56

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

** Of which, $(224,140) was included in Net Assets relating to securities held at the reporting period end.

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there was one bank loan and two corporate bonds transferred out of Level 3 as a result of no longer using a single broker quote.

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Affiliated Mutual Funds (including 17.8% of collateral received for securities on loan)	21.9	%
Healthcare & Pharmaceutical	8.9
Technology	8.4
Energy – Other	8.1
Capital Goods	7.2
Gaming	5.9
Electric	5.8
Media & Entertainment	5.6
Telecommunications	5.5
Cable	4.1
Chemicals	4.0
Non-Captive Finance	3.9
Automotive	3.8
Foods	3.5
Metals	3.5
Building Materials & Construction	2.7

Packaging	2.6	%
Retailers	2.5
Consumer	1.9
Pipelines & Other	1.9
Aerospace & Defense	1.6
Real Estate Investment Trusts	1.5
Collateralized Loan Obligations	0.5
Paper	0.4
Tobacco	0.4
Banking	0.4
Brokerage	0.3
Lodging	0.2
Collateralized Mortgage Obligations	0.1
	117.1
Liabilities in excess of other assets	(17.1	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A130

	HIGH YIELD BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

Fair values of derivative instruments as of June 30, 2013 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	$	1,705,972	Premiums received for swap agreements	$	1,850,131
Credit contracts	Unrealized appreciation on swap agreements		3,791,588	Unrealized depreciation on swap agreements		761,277
Equity contracts	Unaffiliated investments		322,027	—		—
Total		$	5,819,587		$	2,611,408

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Swaps
Credit contracts	$	2,402,444

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Swaps			Warrants		Total
Credit contracts	$	(332,345	)	$	—	$	(332,345	)
Equity contracts		—			156,348		156,348
Total	$	(332,345	)	$	156,348	$	(175,997	)

For the six months ended June 30, 2013, the Portfolio’s average notional amount for credit default swaps as writer was $49,003,000.

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	494,532,964		$	—	$	—	$	494,532,964
Over-the-counter Derivatives		3,791,588			—		—		3,791,588
									498,324,552
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Over-the-counter Derivatives		(761,277	)		—		—		(761,277	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(494,532,964	)
Over-the-counter Derivatives									(2,339,544	)
Net Amount								$	690,767

SEE NOTES TO FINANCIAL STATEMENTS.

A131

HIGH YIELD BOND PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $494,532,964:
Unaffiliated investments (cost $2,657,600,586)	$	2,680,500,182
Affiliated investments (cost $616,739,469)		616,631,599
Foreign currency, at value (cost $27,296)		26,615
Dividends and interest receivable		47,349,915
Receivable for investments sold		26,623,085
Unrealized appreciation on swap agreements		3,791,588
Premiums paid for swap agreements		1,705,972
Prepaid expenses		4,315
Receivable for Series shares sold		193
Total Assets		3,376,633,464
LIABILITIES
Collateral for securities on loan		501,224,161
Payable for investments purchased		50,181,886
Payable to custodian		4,803,061
Premiums received for swap agreements		1,850,131
Management fee payable		1,285,854
Unrealized depreciation on swap agreements		761,277
Accrued expenses and other liabilities		243,033
Payable for Series shares repurchased		151,201
Deferred trustees’ fees		3,076
Affiliated transfer agent fee payable		926
Total Liabilities		560,504,606
NET ASSETS	$	2,816,128,858
Net assets were comprised of:
Paid-in capital	$	3,021,825,002
Retained earnings		(205,696,144	)
Net assets, June 30, 2013	$	2,816,128,858
Net asset value and redemption price per share, $2,816,128,858 / 545,322,579 outstanding shares of beneficial interest	$	5.16

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2013

INCOME
Interest income	$	98,919,922
Affiliated income from securities loaned, net		526,632
Affiliated dividend income		109,712
Unaffiliated dividend income		17,336
		99,573,602
EXPENSES
Management fee		7,874,264
Custodian’s fees and expenses		168,000
Shareholders’ reports		74,000
Audit fee		20,000
Trustees’ fees		17,000
Insurance expenses		15,000
Legal fees and expenses		8,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		9,001
Total expenses		8,193,265
NET INVESTMENT INCOME		91,380,337
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		31,349,577
Swap agreement transactions		2,402,444
		33,752,021
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated: $31,179)		(84,795,287	)
Swap agreements		(332,345	)
Foreign currencies		(682	)
		(85,128,314	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(51,376,293	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	40,004,044

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	91,380,337		$	176,188,047
Net realized gain on investment transactions		33,752,021			38,714,992
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(85,128,314	)		123,873,570
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		40,004,044			338,776,609
DISTRIBUTIONS		(92,785,706	)		(179,249,371	)
SERIES SHARE TRANSACTIONS:
Series shares sold [1,291,511 and 85,281,012 shares, respectively]		6,911,503			436,199,039
Series shares issued in reinvestment of distributions [17,632,218 and 34,933,095 shares, respectively]		92,785,706			179,249,371
Series shares repurchased [13,549,560 and 17,785,446 shares, respectively]		(72,626,120	)		(91,535,916	)
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		27,071,089			523,912,494
TOTAL INCREASE (DECREASE) IN NET ASSETS		(25,710,573	)		683,439,732
NET ASSETS:
Beginning of period		2,841,839,431			2,158,399,699
End of period	$	2,816,128,858		$	2,841,839,431

SEE NOTES TO FINANCIAL STATEMENTS.

A132

	JENNISON PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 100.1%
COMMON STOCKS — 100.1%	Shares		Value (Note 2)
Aerospace & Defense — 6.5%
Boeing Co. (The)		285,124	$	29,208,102
Precision Castparts Corp.		123,433		27,897,092
Rolls-Royce Holdings PLC (United Kingdom)		388,900		6,696,271
United Technologies Corp.		228,632		21,249,058
				85,050,523
Beverages — 1.6%
Diageo PLC (United Kingdom)		507,251		14,546,175
Monster Beverage Corp.*(a)		117,173		7,120,603
				21,666,778
Biotechnology — 8.8%
Alexion Pharmaceuticals, Inc.*		212,482		19,599,340
Biogen Idec, Inc.*		138,552		29,816,390
Celgene Corp.*		110,331		12,898,797
Gilead Sciences, Inc.*(a)		491,046		25,146,466
Vertex Pharmaceuticals, Inc.*		353,032		28,196,666
				115,657,659
Capital Markets — 2.6%
Goldman Sachs Group, Inc. (The)		127,936		19,350,320
Morgan Stanley		613,897		14,997,504
				34,347,824
Chemicals — 2.6%
Monsanto Co.		341,071		33,697,815
Computers & Peripherals — 4.2%
Apple, Inc.		106,245		42,081,519
EMC Corp.		562,214		13,279,495
				55,361,014
Energy Equipment & Services — 1.1%
FMC Technologies, Inc.*		186,118		10,363,050
Schlumberger Ltd.		54,974		3,939,437
				14,302,487
Food & Staples Retailing — 3.8%
Costco Wholesale Corp.		245,008		27,090,535
Whole Foods Market, Inc.		438,719		22,585,254
				49,675,789
Food Products — 1.5%
Mondelez International, Inc. (Class A Stock)		681,385		19,439,914
Healthcare Equipment & Supplies — 2.4%
Abbott Laboratories		512,607		17,879,732
Intuitive Surgical, Inc.*		25,921		13,131,060
				31,010,792
Healthcare Providers & Services — 2.1%
Express Scripts Holding Co.*		208,421		12,857,492
UnitedHealth Group, Inc.		222,092		14,542,584
				27,400,076
Hotels, Restaurants & Leisure — 3.8%
Chipotle Mexican Grill, Inc.*(a)		45,212		16,472,992
Dunkin’ Brands Group, Inc.		405,478		17,362,568
Starbucks Corp.		255,434		16,728,373
				50,563,933

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet & Catalog Retail — 6.7%
Amazon.com, Inc.*		168,817	$	46,878,793
Netflix, Inc.*(a)		29,448		6,216,178
priceline.com, Inc.*		42,618		35,250,626
				88,345,597
Internet Software & Services — 9.5%
eBay, Inc.*		349,904		18,097,035
Facebook, Inc. (Class A Stock)*		607,271		15,096,757
Google, Inc. (Class A Stock)*		65,933		58,045,435
LinkedIn Corp. (Class A Stock)*		154,213		27,496,178
Rackspace Hosting, Inc.*(a)		148,035		5,609,046
				124,344,451
IT Services — 7.4%
International Business Machines Corp.(a)		78,308		14,965,442
Mastercard, Inc. (Class A Stock)		90,134		51,781,983
Visa, Inc. (Class A Stock)		167,636		30,635,479
				97,382,904
Life Sciences Tools & Services — 1.3%
Illumina, Inc.*(a)		226,042		16,916,983
Media — 3.0%
Discovery Communications, Inc. (Class A Stock)*(a)		174,881		13,502,562
Walt Disney Co. (The)		414,795		26,194,304
				39,696,866
Oil, Gas & Consumable Fuels — 2.2%
Concho Resources, Inc.*		184,913		15,480,916
EOG Resources, Inc.		103,284		13,600,437
				29,081,353
Personal Products — 1.9%
Estee Lauder Cos., Inc. (The) (Class A Stock)		381,173		25,069,748
Pharmaceuticals — 4.7%
Allergan, Inc.		177,235		14,930,276
Bristol-Myers Squibb Co.		300,017		13,407,760
Novo Nordisk A/S (Denmark), ADR		144,792		22,438,416
Perrigo Co.		93,888		11,360,448
				62,136,900
Real Estate Investment Trusts — 0.9%
American Tower Corp.		165,341		12,098,001
Road & Rail — 3.0%
Canadian Pacific Railway Ltd.		49,878		6,054,192
Kansas City Southern		87,614		9,283,579
Union Pacific Corp.		152,311		23,498,541
				38,836,312
Semiconductors & Semiconductor Equipment — 2.2%
ARM Holdings PLC (United Kingdom), ADR(a)		326,537		11,814,109
Avago Technologies Ltd.		226,868		8,480,326
Broadcom Corp. (Class A Stock)		276,349		9,329,542
				29,623,977

SEE NOTES TO FINANCIAL STATEMENTS.

A133

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software — 5.3%
Red Hat, Inc.*		393,752	$	18,829,221
Salesforce.com, Inc.*		477,088		18,215,220
Splunk, Inc.*		156,887		7,273,281
Tableau Software, Inc. (Class A Stock)*		4,239		234,926
VMware, Inc. (Class A Stock)*(a)		224,376		15,030,948
Workday, Inc. (Class A Stock)*		150,424		9,640,674
				69,224,270
Specialty Retail — 4.2%
Inditex SA (Spain)		192,557		23,750,874
TJX Cos., Inc.		626,058		31,340,463
				55,091,337
Textiles, Apparel & Luxury Goods — 6.2%
Lululemon Athletica, Inc.*(a)		104,823		6,868,003
Luxottica Group SpA (Italy)		304,328		15,397,510
NIKE, Inc. (Class B Stock)		480,879		30,622,375
Ralph Lauren Corp.		127,645		22,177,042
Swatch Group AG (The) (Bearer Shares) (Switzerland)		11,354		6,201,998
				81,266,928
Wireless Telecommunication Services — 0.6%
Crown Castle International Corp.*		113,751		8,234,435
TOTAL COMMON STOCKS (cost $860,115,027)				1,315,524,666
PREFERRED STOCK
Aerospace & Defense
Rolls-Royce Holdings PLC (United Kingdom) (Class C Stock)(b) (cost $70,200)		46,594,450		70,869
TOTAL LONG-TERM INVESTMENTS (cost $860,185,227)				1,315,595,535
SHORT-TERM INVESTMENT — 6.7%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $88,584,006; includes $88,583,339 of cash collateral received for securities on loan)(Note 4)(c)(d)		88,584,006		88,584,006
TOTAL INVESTMENTS — 106.8% (cost $948,769,233)				1,404,179,541
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.8)%				(89,880,089	)
NET ASSETS — 100.0%			$	1,314,299,452

The following abbreviation is used in portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $86,046,833; cash collateral of $88,583,339 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,248,931,838	$	66,592,828	$	—
Preferred Stock		—		70,869		—
Affiliated Money Market Mutual Fund		88,584,006		—		—
Total	$	1,337,515,844	$	66,663,697	$	—

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 was as follows:

Internet Software & Services	9.5	%
Biotechnology	8.8
IT Services	7.4
Affiliated Money Market Mutual Fund (including 6.7% of collateral received for securities on loan)	6.7
Internet & Catalog Retail	6.7
Aerospace & Defense	6.5
Textiles, Apparel & Luxury Goods	6.2
Software	5.3
Pharmaceuticals	4.7
Computers & Peripherals	4.2
Specialty Retail	4.2
Food & Staples Retailing	3.8
Hotels, Restaurants & Leisure	3.8
Media	3.0
Road & Rail	3.0
Capital Markets	2.6
Chemicals	2.6
Healthcare Equipment & Supplies	2.4
Oil, Gas & Consumable Fuels	2.2
Semiconductors & Semiconductor Equipment	2.2
Healthcare Providers & Services	2.1
Personal Products	1.9
Beverages	1.6
Food Products	1.5
Life Sciences Tools & Services	1.3
Energy Equipment & Services	1.1
Real Estate Investment Trusts	0.9
Wireless Telecommunication Services	0.6
	106.8
Liabilities in excess of other assets	(6.8	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A134

	JENNISON PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

Offsetting of financial instrument assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	86,046,833	$	—	$	—	$	86,046,833
Collateral Amounts Pledged/(Received):
Securities on Loan								(86,046,833	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A135

JENNISON PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $86,046,833:
Unaffiliated investments (cost $860,185,227)	$	1,315,595,535
Affiliated investments (cost $88,584,006)		88,584,006
Dividends and interest receivable		549,853
Foreign tax reclaim receivable		139,739
Receivable for Series shares sold		82,136
Prepaid expenses		1,254
Total Assets		1,404,952,523
LIABILITIES
Collateral for securities on loan		88,583,339
Payable for investments purchased		817,202
Management fee payable		655,176
Payable for Series shares repurchased		247,235
Accrued expenses and other liabilities		199,449
Loan payable		105,000
Payable to custodian		32,492
Distribution fee payable		7,040
Administration fee payable		4,313
Affiliated transfer agent fee payable		926
Deferred trustees’ fees		899
Total Liabilities		90,653,071
NET ASSETS	$	1,314,299,452
Net assets were comprised of:
Paid-in capital	$	1,372,192,721
Retained earnings		(57,893,269	)
Net assets, June 30, 2013	$	1,314,299,452
Class I:
Net asset value and redemption price per share, $1,280,770,505 / 43,333,970 outstanding shares of beneficial interest	$	29.56
Class II:
Net asset value and redemption price per share, $33,528,947 / 1,157,566 outstanding shares of beneficial interest	$	28.97

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2013

INCOME
Dividend income (net of foreign withholding taxes of $138,933)	$	5,656,185
Affiliated income from securities loaned, net		53,814
Affiliated dividend income		3,745
		5,713,744
EXPENSES
Management fee		3,898,996
Distribution fee—Class II		42,763
Administration fee—Class II		25,658
Shareholders’ reports		92,000
Custodian’s fees and expenses		82,000
Trustees’ fees		11,000
Audit fee		10,000
Insurance expenses		7,000
Legal fees and expenses		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		2,000
Loan interest expense (Note 8)		1,487
Miscellaneous		8,981
Total expenses		4,194,885
NET INVESTMENT INCOME		1,518,859
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		65,626,548
Foreign currency transactions		(14,591	)
		65,611,957
Net change in unrealized appreciation (depreciation) on:
Investments		50,746,061
Foreign currencies		(1,242	)
		50,744,819
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		116,356,776
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	117,875,635

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	1,518,859		$	5,174,366
Net realized gain on investment and foreign currency transactions		65,611,957			102,722,741
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		50,744,819			76,847,446
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		117,875,635			184,744,553
DISTRIBUTIONS:
Class I		—			(1,936,533	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		12,409,904			39,290,312
Series shares issued in reinvestment of distributions		—			1,936,533
Series shares repurchased		(62,846,076	)		(135,434,311	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(50,436,172	)		(94,207,466	)
TOTAL INCREASE IN NET ASSETS		67,439,463			88,600,554
NET ASSETS:
Beginning of period		1,246,859,989			1,158,259,435
End of period	$	1,314,299,452		$	1,246,859,989

SEE NOTES TO FINANCIAL STATEMENTS.

A136

	MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

	Interest Rate		Maturity Date	Principal Amount (000)		Value (Note 2)
Certificates of Deposit — 16.1%
Bank of Montreal(a)		0.273%	06/18/14	$	7,000	$	7,000,000
Bank of Montreal (Chicago Branch)(a)		0.763%	09/23/13		2,000		2,002,454
Bank of Nova Scotia(a)		0.273%	06/19/14		5,000		5,000,000
Bank of Nova Scotia(a)		0.474%	09/12/13		8,000		8,003,648
Bank of Nova Scotia Houston(a)		0.273%	08/02/13		1,000		1,000,007
Bank of Nova Scotia Houston(a)		0.826%	01/27/14		4,000		4,011,776
Bank of Tokyo-Mitsubishi UFJ Ltd.		0.200%	09/10/13		7,000		7,000,000
Branch Banking & Trust Co.		0.180%	08/05/13		8,000		8,000,000
Canadian Imperial Bank of Commerce (NY Branch)(a)		0.392%	07/19/13		5,000		5,000,525
Credit Suisse (NY Branch)(a)		0.776%	07/25/13		2,000		2,000,000
Deutsche Bank AG		0.250%	07/15/13		4,200		4,200,000
JPMorgan Chase & Co.		0.250%	10/02/13		4,000		4,000,000
JPMorgan Chase Bank NA		0.200%	11/18/13		4,000		4,000,000
JPMorgan Chase Bank NA		0.330%	02/18/14		3,000		3,000,000
National Australia Bank Ltd.(a)		0.943%	08/06/13		1,000		1,000,699
Norinchukin Bank (NY Branch)		0.170%	07/18/13		5,000		5,000,000
Rabobank Nederland (NY Branch)		0.260%	09/12/13		2,000		2,000,243
Royal Bank of Canada(a)		0.320%	01/25/14		1,000		1,000,000
Royal Bank of Canada (NY Branch)(a)		0.310%	03/26/14		4,000		4,000,000
Royal Bank of Canada (NY Branch)(a)		0.328%	07/11/13		8,000		8,000,000
Societe Generale SA		0.200%	07/31/13		6,000		6,000,000
Sumitomo Mitsui Banking Corp.		0.230%	09/12/13		3,000		3,000,000
Sumitomo Mitsui Banking Corp.		0.230%	09/12/13		4,000		4,000,000
Svenska Handelsbanken AB		0.215%	08/26/13		7,000		7,000,054
Svenska Handelsbanken AB		0.285%	07/09/13		7,000		7,000,163
Svenska Handelsbanken AB(a)		0.823%	09/25/13		7,000		7,010,179
Toronto Dominion Bank(a)		0.275%	07/24/13		2,500		2,500,152
Toronto Dominion Bank(a)		0.276%	07/26/13		7,000		7,000,000
Wells Fargo Bank NA		0.150%	08/20/13		5,000		5,000,000
Wells Fargo Bank NA(a)		0.183%	10/09/13		4,000		4,000,000
Wells Fargo Bank NA(a)		0.193%	12/06/13		5,000		5,000,000
							142,729,900
Commercial Paper — 16.8%
ABN AMRO Funding USA LLC, 144A(b)		0.270%	08/14/13		3,000		2,999,010
ABN AMRO Funding USA LLC, 144A(b)		0.270%	09/04/13		4,000		3,998,050
Australia & New Zealand Banking Group Ltd., 144A(b)		0.195%	08/09/13		3,000		2,999,366
Australia & New Zealand Banking Group Ltd., 144A(a)		0.334%	08/16/13		2,000		2,000,350
Credit Agricole North America, Inc.(b)		0.200%	08/01/13		7,000		6,998,794
DNB Bank ASA, 144A(b)		0.210%	07/08/13		3,000		2,999,877
DNB Bank ASA, 144A(b)		0.255%	08/06/13		4,000		3,998,980
DNB Bank ASA(a)		0.272%	06/11/14		3,000		3,000,000
DNB Bank ASA, 144A(a)		0.356%	01/22/14		2,000		2,000,000
DNB Bank ASA, 144A(b)		0.422%	09/20/13		8,000		8,000,000
Electricite de France, 144A(b)		0.220%	07/18/13		4,750		4,749,507
Electricite de France, 144A(b)		0.240%	07/05/13		2,000		1,999,947
HSBC Bank PLC, 144A(a)		0.313%	08/05/13		1,000		1,000,100
HSBC USA, Inc., 144A(a)		0.344%	01/31/14		6,000		6,000,000
HSBC USA, Inc., 144A(a)		0.403%	09/23/13		1,300		1,300,304
ING (U.S.) Funding LLC(b)		0.260%	07/30/13		4,000		3,999,162
International Bank for Reconstruction & Development(b)		0.100%	07/09/13		5,000		4,999,889
International Bank for Reconstruction & Development(b)		0.120%	08/05/13		5,000		4,999,417
JPMorgan Chase & Co.(a)		0.294%	09/03/13		4,500		4,500,000
National Australia Funding Delaware, 144A(b)		0.180%	09/16/13		3,000		2,998,845
Nestle Capital Corp., 144A(b)		0.200%	09/06/13		4,000		3,998,511
Nordea Bank AB, 144A(b)		0.190%	09/06/13		5,000		4,998,232
Nordea Bank AB, 144A(b)		0.230%	11/21/13		2,000		1,998,173
PSP Capital, Inc., 144A(b)		0.150%	08/19/13		2,000		1,999,592

SEE NOTES TO FINANCIAL STATEMENTS.

A137

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

	Interest Rate		Maturity Date	Principal Amount (000)		Value (Note 2)
Commercial Paper (continued)
PSP Capital, Inc., 144A(b)		0.170%	07/02/13	$	2,000	$	1,999,991
PSP Capital, Inc., 144A(b)		0.170%	07/03/13		2,000		1,999,981
PSP Capital, Inc., 144A(b)		0.200%	12/11/13		3,000		2,997,283
Sanofi Aventis, 144A(b)		0.070%	07/15/13		14,000		13,999,619
Schlumberger Investment SA, 144A(b)		0.150%	09/19/13		10,000		9,996,667
Skandinaviska Enskilda Banken AB, 144A(b)		0.240%	09/04/13		6,000		5,997,400
Skandinaviska Enskilda Banken AB, 144A(b)		0.240%	09/10/13		1,000		999,527
State Street Corp.(b)		0.160%	09/05/13		6,000		5,998,240
Swedbank AB(b)		0.240%	09/03/13		7,000		6,997,013
Toyota Motor Credit Corp.(b)		0.140%	07/02/13		2,000		1,999,992
U.S. Bank National Association(a)		0.150%	07/01/13		8,000		8,000,000
							149,521,819
Other Corporate Obligations — 8.3%
Australia & New Zealand Banking Group Ltd., Sr. Unsec’d. Notes, 144A(a)		0.943%	09/24/13		2,000		2,003,321
Bank of New York Mellon Corp., Sr. Unsec’d. Notes, MTN		5.125%	08/27/13		770		775,797
Canadian Imperial Bank of Commerce, Sr. Unsec’d. Notes		1.450%	09/13/13		1,915		1,919,723
General Electric Capital Corp., Sr. Unsec’d. Notes(a)		0.392%	12/20/13		2,000		2,001,256
General Electric Capital Corp., Sr. Unsec’d. Notes(a)		1.130%	01/07/14		5,000		5,022,406
HSBC Bank PLC, Sr. Unsec’d. Notes, 144A(a)		1.078%	01/17/14		6,300		6,324,572
HSBC Bank PLC, Sr. Unsec’d. Notes, 144A		2.000%	01/19/14		1,000		1,008,726
ING Bank NV, Sr. Unsec’d. Notes, 144A(a)		1.597%	10/18/13		6,000		6,023,494
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes		0.500%	11/26/13		5,452		5,459,921
John Deere Capital Corp., Sr. Unsec’d. Notes, MTN(a)		0.427%	07/15/13		1,000		1,000,066
MetLife Institutional Funding II, Sec’d. Notes, 144A(a)		0.349%	01/10/14		2,000		2,000,000
Metropolitan Life Global Funding I, Sec’d. Notes, 144A(a)		1.029%	01/10/14		5,931		5,952,202
New York Life Global Funding, Sec’d. Notes, 144A		1.850%	12/13/13		6,600		6,644,808
Rabobank Nederland, Sr. Unsec’d. Notes(a)		0.476%	07/25/13		5,000		5,000,918
Royal Bank of Canada, Sr. Unsec’d. Notes, MTN(a)		0.578%	04/17/14		2,000		2,004,787
Total Capital Canada Ltd., Sr. Unsec’d. Notes(a)		0.658%	01/17/14		3,000		3,006,857
Toyota Motor Credit Corp., Unsec’d. Notes, MTN(a)		0.278%	04/07/14		8,000		8,000,000
Toyota Motor Credit Corp., Unsec’d. Notes, MTN(a)		0.274%	12/09/13		4,000		4,000,000
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(a)		5.403%	06/01/14		4,000		4,189,341
Westpac Banking Corp., Sr. Unsec’d. Notes(a)		1.004%	12/09/13		1,500		1,504,983
							73,843,178
Time Deposits — 2.4%
Australia & New Zealand Banking Group Ltd.(d)		0.170%	07/11/13		9,000		9,000,000
U.S. Bank National Association		0.150%	07/01/13		12,000		12,000,000
							21,000,000
U.S. Government Agencies — 41.2%
Federal Farm Credit Bank(b)		0.090%	07/01/13		4,000		4,000,000
Federal Farm Credit Bank(a)		0.132%	09/19/13		4,000		3,999,911
Federal Home Loan Bank(a)		0.055%	12/11/13		6,000		5,996,662
Federal Home Loan Bank(a)		0.065%	08/13/13		1,000		999,947
Federal Home Loan Bank(b)		0.070%	08/07/13		4,000		3,999,712
Federal Home Loan Bank(b)		0.070%	08/09/13		2,000		1,999,848
Federal Home Loan Bank(b)		0.080%	08/02/13		13,000		12,999,070
Federal Home Loan Bank(b)		0.080%	10/17/13		4,000		3,999,040
Federal Home Loan Bank(b)		0.084%	07/05/13		7,000		6,999,935
Federal Home Loan Bank(b)		0.084%	07/31/13		15,000		14,998,945
Federal Home Loan Bank(b)		0.088%	08/16/13		6,000		5,999,325
Federal Home Loan Bank(b)		0.089%	09/18/13		12,000		11,997,656
Federal Home Loan Bank(b)		0.090%	08/08/13		4,000		3,999,620
Federal Home Loan Bank		0.090%	11/26/13		2,000		1,999,819
Federal Home Loan Bank(a)		0.093%	09/19/13		9,000		8,999,476
Federal Home Loan Bank(a)		0.096%	01/27/14		3,000		2,998,974
Federal Home Loan Bank(b)		0.100%	07/24/13		4,000		3,999,745

SEE NOTES TO FINANCIAL STATEMENTS.

A138

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

	Interest Rate		Maturity Date	Principal Amount (000)		Value (Note 2)
U.S. Government Agencies (continued)
Federal Home Loan Bank		0.100%	11/01/13	$	6,000	$	5,999,683
Federal Home Loan Bank		0.100%	11/20/13		6,000		5,999,653
Federal Home Loan Bank		0.100%	12/20/13		7,000		6,999,266
Federal Home Loan Bank(b)		0.102%	09/27/13		17,000		16,995,761
Federal Home Loan Bank(b)		0.107%	09/25/13		13,000		12,996,680
Federal Home Loan Bank(b)		0.115%	07/01/13		2,000		2,000,000
Federal Home Loan Bank		0.125%	07/24/13		2,000		2,000,004
Federal Home Loan Bank(a)		0.133%	05/09/14		7,000		6,999,877
Federal Home Loan Bank(a)		0.143%	02/28/14		7,000		6,998,710
Federal Home Loan Bank(a)		0.144%	04/04/14		5,000		4,999,808
Federal Home Loan Bank(a)		0.145%	11/26/13		5,000		4,999,591
Federal Home Loan Bank		0.150%	09/11/13		4,000		3,999,894
Federal Home Loan Bank		0.150%	09/27/13		5,000		4,999,979
Federal Home Loan Bank(a)		0.160%	11/13/13		4,000		4,000,000
Federal Home Loan Bank(a)		0.165%	11/26/13		5,000		5,000,000
Federal Home Loan Bank		0.280%	11/04/13		4,000		4,002,299
Federal Home Loan Mortgage Corp.(b)		0.083%	07/15/13		2,000		1,999,936
Federal Home Loan Mortgage Corp.(b)		0.090%	11/06/13		2,000		1,999,360
Federal Home Loan Mortgage Corp.(b)		0.100%	07/01/13		6,000		6,000,000
Federal Home Loan Mortgage Corp.(b)		0.100%	07/09/13		4,000		3,999,911
Federal Home Loan Mortgage Corp.(b)		0.100%	07/12/13		4,000		3,999,878
Federal Home Loan Mortgage Corp.(b)		0.110%	01/21/14		15,000		14,990,650
Federal Home Loan Mortgage Corp.(b)		0.120%	08/12/13		2,000		1,999,720
Federal Home Loan Mortgage Corp.(b)		0.120%	08/27/13		4,000		3,999,240
Federal Home Loan Mortgage Corp.(a)		0.133%	09/13/13		25,000		24,998,750
Federal Home Loan Mortgage Corp.(b)		0.160%	10/22/13		2,000		1,998,996
Federal Home Loan Mortgage Corp.(b)		0.160%	10/29/13		9,000		8,995,200
Federal Home Loan Mortgage Corp.		0.375%	11/27/13		8,000		8,007,361
Federal Home Loan Mortgage Corp.		4.875%	11/15/13		11,292		11,492,575
Federal National Mortgage Association(b)		0.070%	08/22/13		3,000		2,999,697
Federal National Mortgage Association(b)		0.100%	07/01/13		9,000		9,000,000
Federal National Mortgage Association(b)		0.103%	08/19/13		13,000		12,998,176
Federal National Mortgage Association(b)		0.110%	07/02/13		11,000		10,999,966
Federal National Mortgage Association(b)		0.110%	07/03/13		6,000		5,999,963
Federal National Mortgage Association(b)		0.112%	07/23/13		6,000		5,999,591
Federal National Mortgage Association(b)		0.114%	07/22/13		7,000		6,999,533
Federal National Mortgage Association(b)		0.120%	08/15/13		5,000		4,999,250
Federal National Mortgage Association(b)		0.140%	07/19/13		5,000		4,999,650
Federal National Mortgage Association(b)		0.143%	12/26/13		2,000		1,998,586
Federal National Mortgage Association		1.000%	09/23/13		4,000		4,007,817
Federal National Mortgage Association		1.050%	09/03/13		1,641		1,643,620
							366,106,316
U.S. Treasury Securities — 4.2%
U.S. Treasury Note		0.125%	09/30/13		6,000		5,999,819
U.S. Treasury Note		0.250%	10/31/13		10,000		10,004,010
U.S. Treasury Note		0.250%	01/31/14		11,000		11,008,850
U.S. Treasury Note		0.500%	11/15/13		10,000		10,015,308
							37,027,987
Repurchase Agreements(c) — 10.9%
Deutsche Bank Securities, Inc., 0.250%, dated 06/28/13, due 07/01/13 in the amount of $20,000,417 (cost $20,000,000)		0.250%	07/01/13		20,000		20,000,000
Goldman Sachs & Co., 0.070%, dated 06/25/13, due 07/02/13 in the amount of $6,000,082 (cost $6,000,000)		0.070%	07/02/13		6,000		6,000,000
Goldman Sachs & Co., 0.070%, dated 06/27/13, due 07/11/13 in the amount of $20,000,544(d) (cost $20,000,000)		0.070%	07/11/13		20,000		20,000,000

SEE NOTES TO FINANCIAL STATEMENTS.

A139

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

	Interest Rate		Maturity Date	Principal Amount (000)		Value (Note 2)
Repurchase Agreements(c) (continued)
HSBC Securities (USA), Inc., 0.150%, dated 06/28/13, due 07/01/13 in the amount of $17,885,224 (cost $17,885,000)		0.150%	07/01/13	$	17,885	$	17,885,000
Merrill Lynch & Co., Inc., 0.050%, dated 06/26/13, due 07/03/13 in the amount of $9,000,088 (cost $9,000,000)		0.050%	07/03/13		9,000		9,000,000
Merrill Lynch & Co., Inc., 0.150%, dated 04/30/13, due 07/01/13 in the amount of $15,003,875 (cost $15,000,000)		0.150%	07/01/13		15,000		15,000,000
Morgan Stanley & Co., Inc., 0.050%, dated 06/26/13, due 07/03/13 in the amount of $9,000,088 (cost $9,000,000)		0.050%	07/03/13		9,000		9,000,000
							96,885,000
TOTAL INVESTMENTS — 99.9% (amortized cost $887,114,200)							887,114,200
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%							1,298,418
NET ASSETS — 100.0%						$	888,412,618

The following abbreviations are used in portfolio descriptions:

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

(a) Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2013.

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

(c) Repurchase Agreements are collateralized by FHLMC (coupon 4.000%-8.500%, maturity dates 05/01/14-11/01/41), FNMA (coupon rates 2.500%-9.500%, maturity dates 03/01/15-01/01/49), GNMA (coupon 2.650%-3.610%, maturity dates 06/15/48-06/15/53) and U.S. Treasury Securities (coupon rates 0.000%-3.125%, maturity dates 07/05/13-11/15/41), with the aggregate value, including accrued interest, of $98,930,157.

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Certificates of Deposit	$	—	$	142,729,900	$	—
Commercial Paper		—		149,521,819		—
Other Corporate Obligations		—		73,843,178		—
Time Deposits		—		21,000,000		—
U.S. Government Agencies		—		366,106,316		—
U.S. Treasury Securities		—		37,027,987		—
Repurchase Agreements		—		96,885,000		—
Total	$	—	$	887,114,200	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A140

	MONEY MARKET PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2013 was as follows:

U.S. Government Agencies	41.2	%
Commercial Paper	16.8
Certificates of Deposit	16.1
Repurchase Agreements	10.9
Other Corporate Obligations	8.3
U.S. Treasury Securities	4.2
Time Deposits	2.4
	99.9
Other assets in excess of liabilities	0.1
	100.0	%

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

Offsetting of financial instrument assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Repurchase Agreements	$	96,885,000	$	—	$	—	$	96,885,000
Collateral Amounts Pledged/(Received):
Repurchase Agreements								(96,885,000	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A141

MONEY MARKET PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at amortized cost which approximates fair value	$	887,114,200
Cash		1,250,136
Interest receivable		333,345
Prepaid expenses		996
Total Assets		888,698,677
LIABILITIES
Accrued expenses and other liabilities		198,429
Management fee payable		86,704
Affiliated transfer agent fee payable		926
Total Liabilities		286,059
NET ASSETS	$	888,412,618
Net assets were comprised of:
Paid-in capital	$	888,412,618
Net assets, June 30, 2013	$	888,412,618
Net asset value and redemption price per share, $888,412,618 / 88,838,279 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2013

INCOME
Interest	$	809,150
EXPENSES
Management fee		1,756,470
Shareholders’ reports		78,000
Custodian’s fees and expenses		71,000
Audit fee		10,000
Trustees’ fees		9,000
Insurance expenses		6,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Legal fees and expenses		5,000
Miscellaneous		6,450
Total expenses		1,947,920
Less: Management fee waiver (Note 3)		(1,138,770	)
Net expenses		809,150
NET INVESTMENT INCOME		—
NET REALIZED GAIN ON INVESTMENT TRANSACTIONS		8,917
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,917

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	—		$	99,241
Net realized gain on investments transactions		8,917			22,568
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		8,917			121,809
DISTRIBUTIONS		(8,917	)		(121,809	)
SERIES SHARE TRANSACTIONS:
Series shares sold [7,582,878 and 17,733,417 shares, respectively]		75,828,780			177,334,172
Series shares issued in reinvestment of distributions [892 and 12,187 shares, respectively]		8,917			121,809
Series shares repurchased [9,090,210 and 28,997,164 shares, respectively]		(90,902,095	)		(289,971,640	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(15,064,398	)		(112,515,659	)
TOTAL DECREASE IN NET ASSETS		(15,064,398	)		(112,515,659	)
NET ASSETS:
Beginning of period		903,477,016			1,015,992,675
End of period	$	888,412,618		$	903,477,016

SEE NOTES TO FINANCIAL STATEMENTS.

A142

	NATURAL RESOURCES PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 95.9%
COMMON STOCKS — 95.4%	Shares		Value (Note 2)
Chemicals — 0.6%
Mosaic Co. (The)		85,715	$	4,612,324
Construction Materials — 1.4%
Holcim Ltd. (Switzerland)		1,255		87,356
PT Indocement Tunggal Prakarsa Tbk (Indonesia)		2,100,994		5,158,983
PT Semen Indonesia Persero Tbk (Indonesia)		3,109,188		5,340,017
Taiheiyo Cement Corp. (Japan)		27,307		87,142
Vulcan Materials Co.(a)		918		44,440
				10,717,938
Energy Equipment & Services — 25.8%
Baker Hughes, Inc.		2,105		97,104
Cameron International Corp.*		481,061		29,421,691
Core Laboratories NV		69,473		10,536,275
Dresser-Rand Group, Inc.*(a)		231,092		13,860,898
Dril-Quip, Inc.*		281,499		25,416,545
Ensco PLC (Class A Stock)		210,184		12,215,894
FMC Technologies, Inc.*		243,001		13,530,296
Halliburton Co.		586,197		24,456,139
Helmerich & Payne, Inc.		154,160		9,627,292
National Oilwell Varco, Inc.		278,459		19,185,825
Noble Corp.		1,626		61,105
Rowan Cos. PLC (Class A Stock)*		338,437		11,530,549
Schlumberger Ltd.		340,909		24,429,539
Superior Energy Services, Inc.*		234,931		6,094,110
Technip SA (France)		873		88,724
Tenaris SA (Luxembourg), ADR		2,387		96,124
Weatherford International Ltd. (Switzerland)*		6,948		95,188
				200,743,298
Food Products — 0.2%
Adecoagro SA*		256,842		1,605,263
Metals & Mining — 12.6%
African Rainbow Minerals Ltd. (South Africa)		302,040		4,567,811
Agnico-Eagle Mines Ltd.		1,674		46,102
Alamos Gold, Inc. (Canada)		498,644		6,040,434
Alcoa, Inc.(a)		9,250		72,335
ArcelorMittal (Luxembourg), ADR		7,954		89,085
AXMIN, Inc. (Canada)*		155,620		13,317
B2Gold Corp. (Canada)(a)*		1,640,486		3,494,046
BHP Billiton Ltd. (Australia), ADR(a)		197,427		11,383,641
Constellium NV (Class A Stock)*		295,316		4,769,353
Eldorado Gold Corp. (Canada)		848,053		5,249,430
First Quantum Minerals Ltd. (Canada)		523,483		7,764,890
First Uranium Corp. (South Africa), 144A(b)		400,000		5,705
Freeport-McMoRan Copper & Gold, Inc.		190,909		5,270,997
Glencore Xstrata PLC (Switzerland)*		1,681,047		6,958,706
Goldcorp, Inc.		1,479		36,576
Guyana Goldfields, Inc. (Canada), 144A*(b)		726,972		933,167
Ivanplats Ltd. (Canada), 144A*(b)		433,900		651,861
Kinross Gold Corp.		644,435		3,286,619
Newcrest Mining Ltd. (Australia)		6,583		60,769

COMMON STOCKS (continued)	Shares		Value (Note 2)
Metals & Mining (continued)
Newmont Mining Corp.		1,523	$	45,614
Northern Dynasty Minerals Ltd.*(a)		399,636		835,239
Nucor Corp.		2,173		94,134
Platinum Group Metals Ltd.*		1,234,422		1,110,980
Platmin Ltd., Private Placement (South Africa) (original cost $1,102,975; purchased 11/27/07)*(b)(c)		129,100		9,351
Randgold Resources Ltd. (Jersey Islands), ADR(a)		115,539		7,400,273
Reliance Steel & Aluminum Co.		145,654		9,549,076
Rio Tinto PLC (United Kingdom), ADR(a)		185,828		7,633,814
Silver Wheaton Corp.		247,128		4,861,008
Southern Copper Corp.		119,995		3,314,262
Tahoe Resources, Inc.*		98,868		1,401,656
Tahoe Resources, Inc., 144A*		116,000		1,644,538
				98,594,789
Oil, Gas & Consumable Fuels — 54.8%
Africa Oil Corp. (Canada)*(a)		399,249		2,676,339
Africa Oil Corp., Private Placement — Reg D (Canada)*(b)		42,762		286,652
Anadarko Petroleum Corp.		266,102		22,866,145
Apache Corp.		1,116		93,554
Bankers Petroleum Ltd. (Canada)*		1,279,303		3,174,841
Bonanza Creek Energy, Inc.*		246,494		8,740,677
Cabot Oil & Gas Corp.		1,371		97,368
Cameco Corp. (Canada)		563		11,622
Canadian Oil Sands Ltd. (Canada)		3,236		59,908
Cheniere Energy, Inc.*		333,184		9,249,188
Cimarex Energy Co.		160,513		10,431,740
Cobalt International Energy, Inc.*		535,247		14,221,513
Concho Resources, Inc.*		250,215		20,948,000
CONSOL Energy, Inc.		391,855		10,619,270
Continental Resources, Inc.*(a)		1,112		95,699
Crescent Point Energy Corp. (Canada)		2,548		86,419
Denbury Resources, Inc.*		912,128		15,798,057
Devon Energy Corp.		1,699		88,144
Energy XXI Bermuda Ltd.(a)		270,014		5,988,911
EOG Resources, Inc.		182,707		24,058,858
EQT Corp.		1,197		95,006
FX Energy, Inc.*(a)		108,252		347,489
Gulfport Energy Corp.*		154,785		7,285,730
Hess Corp.		1,408		93,618
HollyFrontier Corp.		3,990		170,692
Kodiak Oil & Gas Corp.*		943,712		8,389,600
Kosmos Energy Ltd.*		377,522		3,835,624
Laredo Petroleum Holdings, Inc.*(a)		381,742		7,848,615
Marathon Oil Corp.		571,343		19,757,041
Marathon Petroleum Corp.		157,121		11,165,018
MEG Energy Corp. (Canada)*		101,995		2,795,964
MEG Energy Corp. (Canada), 144A*		131,600		3,607,519
Murphy Oil Corp.(a)		1,536		93,527
Newfield Exploration Co.*		344,604		8,232,590
Noble Energy, Inc.		508,264		30,516,171
Occidental Petroleum Corp.		139,533		12,450,530

SEE NOTES TO FINANCIAL STATEMENTS.

A143

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Oil Search Ltd. (Australia)		745,094	$	5,247,772
Pacific Rubiales Energy Corp. (Colombia)		324,096		5,691,788
PDC Energy, Inc.*		213,553		10,993,708
Peabody Energy Corp.		1,243		18,197
Petroleo Brasileiro SA (Brazil), ADR(a)		325,917		4,373,806
Phillips 66		188,988		11,133,283
Pioneer Natural Resources Co.		52,591		7,612,547
QGEP Participacoes SA (Brazil)		569,826		2,834,638
Range Resources Corp.		196,969		15,229,643
Rosetta Resources, Inc.*		256,460		10,904,679
Royal Dutch Shell PLC (Netherlands), ADR		175,844		11,218,847
Sanchez Energy Corp.*(a)		346,456		7,954,630
Southwestern Energy Co.*(a)		424,645		15,512,282
Suncor Energy, Inc.		527,685		15,561,431
Talisman Energy, Inc.		589,177		6,734,293
Tullow Oil PLC (United Kingdom)		536,749		8,170,880
Ultra Petroleum Corp.*(a)		4,152		82,293
Whiting Petroleum Corp.*		296,801		13,679,558
Williams Cos., Inc. (The)		224,930		7,303,477
Woodside Petroleum Ltd. (Australia)		2,472		78,728
Zodiac Exploration, Inc. (Canada)*		4,820,909		252,116
Zodiac Exploration, Inc. — Reg D (Canada)*(b)		11,600,000		606,637
				427,472,872
TOTAL COMMON STOCKS (cost $570,313,483)				743,746,484
CONVERTIBLE PREFERRED STOCKS — 0.5%
Metals & Mining — 0.5%
Manabi SA, Private Placement (Brazil) (Class A Preferred), 144A (original cost $4,587,721; purchased 05/25/11)*(b)(c)		3,660		2,833,546
Manabi SA, Private Placement (Brazil) (Class B Preferred), 144A (original cost $1,848,551; purchased 08/21/12)*(b)(c)		1,464		1,302,866
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $6,436,272)				4,136,412
	Units
RIGHT
Oil, Gas & Consumable Fuels
Trident Resources Corp. CVR, Private Placement (original cost $0; purchased 06/30/10)*(b)(c)		9,007		—	(f)
WARRANT
Metals & Mining
Crystallex International Corp., Private Placement (Canada), expiring 11/04/14 (original cost $0; purchased 11/04/09)*(b)(c)		221,350		—	(f)
TOTAL LONG-TERM INVESTMENTS (cost $576,749,755)				747,882,896

SHORT-TERM INVESTMENT — 10.9%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $84,591,999; includes $52,035,878 of cash collateral received for securities on loan)(Note 4)(d)(e)		84,591,999	$	84,591,999
TOTAL INVESTMENTS — 106.8% (cost $661,341,754)				832,474,895
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.8)%				(52,718,055	)
NET ASSETS — 100.0%			$	779,756,840

The following abbreviations are used in portfolio descriptions:

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

* 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 $49,650,822; cash collateral of $52,035,878 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

(c) Indicates a restricted security; the aggregate original cost of such securities is $7,539,247. The aggregate value of $4,145,763 is approximately 0.5% of net assets.

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

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

(f) Less than $0.005.

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A144

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	696,682,808	$	47,054,325	$	9,351
Convertible Preferred Stocks		—		—		4,136,412
Right		—		—		—	**
Warrant		—		—		—	**
Affiliated Money Market Mutual Fund		84,591,999		—		—
Total	$	781,274,807	$	47,054,325	$	4,145,763

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

	Common Stocks			Convertible Preferred Stocks			Right			Warrant
Balance as of 12/31/12	$	9,259,181		$	6,305,472		$	—	**	$	—	**
Realized gain (loss)		(9,479,736	)		—			—			—
Change in unrealized appreciation (depreciation)*		809,156			(2,169,060	)		—			—
Purchases		—			—			—			—
Sales		(290,796	)		—			—			—
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		(288,454	)		—			—			—
Balance as of 6/30/13	$	9,351		$	4,136,412		$	—	**	$	—	**

* Of which $(2,170,526) was included in Net Assets relating to securities held at the reporting period end.

** Less than $0.005.

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

Fair value of Level 2 investments at December 31, 2012 was $58,739,885. An amount of $6,763,192 was transferred from Level 1 into Level 2 and an amount of $288,454 was transferred from Level 3 to Level 2 at June 30, 2013 as a result of using other significant observable inputs such as quoted prices of similar securities for non-registered securities. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

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

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Oil, Gas & Consumable Fuels	54.8	%
Energy Equipment & Services	25.8
Metals & Mining	13.1
Affiliated Money Market Mutual Fund (including 6.7% of collateral received for securities on loan)	10.9
Construction Materials	1.4

Chemicals	0.6	%
Food Products	0.2
	106.8
Liabilities in excess of other assets	(6.8	)
	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A145

	NATURAL RESOURCES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

At June 30, 2013, the Portfolio held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at June 30, 2013 of $0 and are presented in the Statement of Assets and Liabilities as such.

For the six months ended June 30, 2013, the Portfolio did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in income on the Statement of Operations.

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

Offsetting of financial instrument assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	49,650,822	$	—	$	—	$	49,650,822
Collateral Amounts Pledged/(Received):
Securities on Loan								(49,650,822	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A146

NATURAL RESOURCES PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $49,650,822:
Unaffiliated investments (cost $576,749,755)	$	747,882,896
Affiliated investments (cost $84,591,999)		84,591,999
Foreign currency, at value (cost $1,460)		1,460
Dividends and interest receivable		573,779
Foreign tax reclaim receivable		164,143
Receivable for investments sold		138,444
Receivable for Series shares sold		24,514
Prepaid expenses		846
Total Assets		833,378,081
LIABILITIES
Collateral for securities on loan		52,035,878
Payable for Series shares repurchased		927,391
Management fee payable		296,982
Accrued expenses and other liabilities		197,629
Payable to custodian		86,177
Payable for investments purchased		58,458
Distribution fee payable		11,121
Administration fee payable		6,679
Affiliated transfer agent fee payable		926
Total Liabilities		53,621,241
NET ASSETS	$	779,756,840
Net assets were comprised of:
Paid-in capital	$	608,487,192
Retained earnings		171,269,648
Net assets, June 30, 2013	$	779,756,840
Class I:
Net asset value and redemption price per share, $727,285,220 / 22,202,528 outstanding shares of beneficial interest	$	32.76
Class II:
Net asset value and redemption price per share, $52,471,620 / 1,620,587 outstanding shares of beneficial interest	$	32.38

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $198,732)	$	4,653,562
Affiliated income from securities loaned, net		67,285
Affiliated dividend income		25,609
		4,746,456
EXPENSES
Management fee		1,887,991
Distribution fee—Class II		72,007
Administration fee—Class II		43,204
Shareholders’ reports		86,000
Custodian’s fees and expenses		84,000
Trustees’ fees		10,000
Audit fee		10,000
Legal fees and expenses		8,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Insurance expenses		5,000
Commitment fee on syndicated credit agreement		1,000
Miscellaneous		8,208
Total expenses		2,221,410
NET INVESTMENT INCOME		2,525,046
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		1,571,119
Foreign currency transactions		(140,781	)
		1,430,338
Net change in unrealized appreciation (depreciation) on:
Investments		(27,973,890	)
Foreign currencies		(7,259	)
		(27,981,149	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(26,550,811	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(24,025,765	)

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	2,525,046		$	6,345,477
Net realized gain on investment and foreign currency transactions		1,430,338			12,094,195
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(27,981,149	)		(42,413,654	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		(24,025,765	)		(23,973,982	)
DISTRIBUTIONS:
Class I		—			(73,450,794	)
Class II		—			(5,441,151	)
TOTAL DISTRIBUTIONS		—			(78,891,945	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		10,380,965			41,195,889
Series shares issued in reinvestment of distributions		—			78,891,945
Series shares repurchased		(69,945,803	)		(148,360,752	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(59,564,838	)		(28,272,918	)
TOTAL DECREASE IN NET ASSETS		(83,590,603	)		(131,138,845	)
NET ASSETS:
Beginning of period		863,347,443			994,486,288
End of period	$	779,756,840		$	863,347,443

SEE NOTES TO FINANCIAL STATEMENTS.

A147

	SMALL CAPITALIZATION STOCK PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 98.4%
COMMON STOCKS — 98.0%	Shares		Value (Note 2)
Aerospace & Defense — 2.1%
AAR Corp.		43,671	$	959,889
Aerovironment, Inc.*		21,014		424,062
American Science & Engineering, Inc.		8,516		476,896
Cubic Corp.		21,873		1,052,091
Curtiss-Wright Corp.		51,402		1,904,958
Engility Holdings, Inc.*		19,200		545,664
GenCorp, Inc.*(a)		66,675		1,084,135
Moog, Inc. (Class A Stock)*		50,094		2,581,344
National Presto Industries, Inc.		5,399		388,890
Orbital Sciences Corp.*		65,740		1,141,904
Teledyne Technologies, Inc.*		41,196		3,186,511
				13,746,344
Air Freight & Logistics — 0.6%
Atlas Air Worldwide Holdings, Inc.*		28,400		1,242,784
Forward Air Corp.		33,356		1,276,868
Hub Group, Inc. (Class A Stock)*		39,070		1,422,929
				3,942,581
Airlines — 0.4%
Allegiant Travel Co.(a)		16,594		1,758,798
SkyWest, Inc.		56,660		767,176
				2,525,974
Auto Components — 0.5%
Dorman Products, Inc.(a)		29,700		1,355,211
Drew Industries, Inc.		21,489		844,947
Spartan Motors, Inc.		33,383		204,304
Standard Motor Products, Inc.		21,599		741,710
Superior Industries International, Inc.		25,418		437,444
				3,583,616
Automobiles — 0.1%
Winnebago Industries, Inc.*		31,031		651,341
Beverages — 0.2%
Boston Beer Co., Inc. (The) (Class A Stock)*(a)		9,325		1,591,218
Biotechnology — 1.0%
Acorda Therapeutics, Inc.*		44,400		1,464,756
ArQule, Inc.*		64,201		148,946
Cubist Pharmaceuticals, Inc.*(a)		71,569		3,456,783
Emergent Biosolutions, Inc.*		27,957		403,140
Momenta Pharmaceuticals, Inc.*		50,000		753,000
Spectrum Pharmaceuticals, Inc.(a)		57,200		426,712
				6,653,337
Building Products — 1.3%
A.O. Smith Corp.		85,768		3,111,663
AAON, Inc.		20,484		677,611
Apogee Enterprises, Inc.		31,338		752,112
Gibraltar Industries, Inc.*		31,868		463,998
Griffon Corp.		47,729		536,951
Quanex Building Products Corp.		40,588		683,502
Simpson Manufacturing Co., Inc.		44,383		1,305,748
Universal Forest Products, Inc.		21,764		868,819
				8,400,404

COMMON STOCKS (continued)	Shares		Value (Note 2)
Capital Markets — 1.6%
Calamos Asset Management, Inc. (Class A Stock)		22,400	$	235,200
Financial Engines, Inc.		47,000		2,142,730
HFF, Inc. (Class A Stock)		35,800		636,166
Investment Technology Group, Inc.*		39,966		558,725
Piper Jaffray Cos.*		17,865		564,712
Prospect Capital Corp.		231,800		2,503,440
Stifel Financial Corp.*(a)		64,630		2,305,352
SWS Group, Inc.*		30,926		168,547
Virtus Investment Partners, Inc.*		6,410		1,129,891
				10,244,763
Chemicals — 2.5%
A. Schulman, Inc.		32,466		870,738
American Vanguard Corp.		26,548		622,020
Balchem Corp.		32,683		1,462,564
Calgon Carbon Corp.*		59,254		988,357
Hawkins, Inc.		10,100		397,839
HB Fuller Co.		55,118		2,084,012
Innophos Holdings, Inc.		24,100		1,136,797
Koppers Holdings, Inc.		22,700		866,686
Kraton Performance Polymers, Inc.*		35,700		756,840
LSB Industries, Inc.*		20,800		632,528
OM Group, Inc.*		34,956		1,080,839
PolyOne Corp.		109,202		2,706,025
Quaker Chemical Corp.		14,498		899,021
Stepan Co.		19,370		1,077,166
Tredegar Corp.		26,535		681,949
Zep, Inc.		24,507		387,946
				16,651,327
Commercial Banks — 6.9%
Bank of the Ozarks, Inc.(a)		32,836		1,422,784
Banner Corp.		19,300		652,147
BBCN Bancorp, Inc.		86,582		1,231,196
Boston Private Financial Holdings, Inc.		86,602		921,445
City Holding Co.(a)		17,144		667,759
Columbia Banking System, Inc.		56,008		1,333,550
Community Bank System, Inc.		43,796		1,351,106
CVB Financial Corp.		94,600		1,112,496
First Bancorp (Puerto Rico)*		73,472		520,182
First Commonwealth Financial Corp.		107,410		791,612
First Financial Bancorp		63,303		943,215
First Financial Bankshares, Inc.(a)		33,139		1,844,517
First Midwest Bancorp, Inc.		82,340		1,129,705
FNB Corp.		158,900		1,919,512
Glacier Bancorp, Inc.		79,273		1,759,068
Hanmi Financial Corp.*		34,536		610,251
Home BancShares, Inc.		50,904		1,321,977
Independent Bank Corp.		25,106		866,157
MB Financial, Inc.		60,500		1,621,400
National Penn Bancshares, Inc.		127,176		1,292,108
NBT Bancorp, Inc.		48,110		1,018,489
Old National Bancorp		111,347		1,539,929
PacWest Bancorp(a)		43,200		1,324,080
Pinnacle Financial Partners, Inc.*		35,871		922,243

SEE NOTES TO FINANCIAL STATEMENTS.

A148

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Banks (continued)
PrivateBancorp, Inc.		68,949	$	1,462,408
S&T Bancorp, Inc.		32,873		644,311
Simmons First National Corp. (Class A Stock)		18,378		479,482
Sterling Bancorp		33,954		394,545
Susquehanna Bancshares, Inc.		203,309		2,612,521
Taylor Capital Group, Inc.*		15,200		256,728
Texas Capital Bancshares, Inc.*		45,000		1,996,200
Tompkins Financial Corp.		12,764		576,805
UMB Financial Corp.		35,872		1,996,994
Umpqua Holdings Corp.		121,370		1,821,764
United Bankshares, Inc.(a)		50,497		1,335,646
United Community Banks, Inc.*		48,587		603,450
ViewPoint Financial Group		39,400		819,914
Wilshire Bancorp, Inc.		68,013		450,246
Wintrust Financial Corp.(a)		40,713		1,558,494
				45,126,436
Commercial Services & Supplies — 1.9%
ABM Industries, Inc.		55,803		1,367,732
Consolidated Graphics, Inc.*		9,057		425,770
G&K Services, Inc. (Class A Stock)		21,319		1,014,784
Healthcare Services Group, Inc.(a)		75,176		1,843,316
Interface, Inc.		63,102		1,070,841
Mobile Mini, Inc.*		41,997		1,392,201
TETRA Tech, Inc.*		71,088		1,671,279
UniFirst Corp.		16,530		1,508,362
United Stationers, Inc.		44,542		1,494,384
Viad Corp.		22,347		547,948
				12,336,617
Communications Equipment — 1.7%
Arris Group, Inc.*		124,411		1,785,298
Bel Fuse, Inc. (Class B Stock)		9,722		130,761
Black Box Corp.		17,993		455,583
CalAmp Corp.*		35,300		515,380
Comtech Telecommunications Corp.		17,959		482,917
Digi International, Inc.*		26,064		244,220
Harmonic, Inc.*		122,624		778,662
Ixia*		58,600		1,078,240
NETGEAR, Inc.*		42,446		1,296,301
Oplink Communications, Inc.*		20,800		361,296
PC-Tel, Inc.		15,884		134,696
Procera Networks, Inc.*		22,300		306,179
Symmetricom, Inc.*		44,747		200,914
ViaSat, Inc.*		45,115		3,223,918
				10,994,365
Computers & Peripherals — 0.8%
Avid Technology, Inc.*		33,247		195,493
Electronics For Imaging, Inc.*		50,600		1,431,474
Intermec, Inc.*		61,476		604,309
Intevac, Inc.*		25,244		142,881
QLogic Corp.*		97,600		933,056
Super Micro Computer, Inc.*		28,900		307,496
Synaptics, Inc.*		36,079		1,391,206
				5,005,915

COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction & Engineering — 0.9%
Aegion Corp.*		42,637	$	959,759
Comfort Systems USA, Inc.		39,284		586,117
Dycom Industries, Inc.*		36,231		838,386
EMCOR Group, Inc.		73,825		3,000,986
Orion Marine Group, Inc.*		29,600		357,864
				5,743,112
Construction Materials — 0.3%
Headwaters, Inc.*		80,168		708,685
Texas Industries, Inc.*(a)		23,023		1,499,718
				2,208,403
Consumer Finance — 1.3%
Cash America International, Inc.(a)		31,744		1,443,082
Encore Capital Group, Inc.*(a)		25,400		840,994
Ezcorp, Inc. (Class A Stock)*		52,411		884,698
First Cash Financial Services, Inc.*		29,725		1,462,767
Portfolio Recovery Associates, Inc.*		18,689		2,871,191
World Acceptance Corp.*(a)		13,652		1,186,905
				8,689,637
Containers & Packaging — 0.1%
Myers Industries, Inc.		33,820		507,638
Distributors — 0.4%
Pool Corp.		51,155		2,681,034
VOXX International Corp.*		20,857		255,915
				2,936,949
Diversified Consumer Services — 0.9%
American Public Education, Inc.*(a)		19,733		733,278
Capella Education Co.*		12,386		515,877
Career Education Corp.*		55,900		162,110
Corinthian Colleges, Inc.*(a)		83,700		187,488
Hillenbrand, Inc.		69,248		1,641,870
ITT Educational Services, Inc.*(a)		17,000		414,800
Lincoln Educational Services Corp.		24,600		129,642
Outerwall, Inc.*(a)		30,831		1,808,855
Universal Technical Institute, Inc.		21,006		216,992
				5,810,912
Diversified Financial Services — 0.4%
Interactive Brokers Group, Inc. (Class A Stock)		44,800		715,456
MarketAxess Holdings, Inc.		41,300		1,930,775
				2,646,231
Diversified Telecommunication Services — 0.3%
Atlantic Tele-Network, Inc.		10,400		516,464
Cbeyond, Inc.*		32,637		255,874
Cincinnati Bell, Inc.*		220,700		675,342
General Communication, Inc. (Class A Stock)*		32,624		255,446
Lumos Networks Corp.		15,421		263,699
				1,966,825
Electric Utilities — 1.2%
ALLETE, Inc.		39,297		1,958,955
El Paso Electric Co.		44,308		1,564,516
UIL Holdings Corp.		56,111		2,146,246
UNS Energy Corp.		45,651		2,041,969
				7,711,686

SEE NOTES TO FINANCIAL STATEMENTS.

A149

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electrical Equipment — 1.7%
AZZ, Inc.		28,042	$	1,081,300
Belden, Inc.		48,312		2,412,218
Brady Corp. (Class A Stock)		50,822		1,561,760
Encore Wire Corp.		20,531		700,107
EnerSys		52,700		2,584,408
Franklin Electric Co., Inc.		42,600		1,433,490
II-VI, Inc.*		58,962		958,722
Powell Industries, Inc.*		10,072		520,219
Vicor Corp.*		15,031		102,962
				11,355,186
Electronic Equipment, Instruments & Components — 4.1%
Agilysys, Inc.*		15,532		175,356
Anixter International, Inc.*		29,564		2,241,247
Badger Meter, Inc.		15,807		704,202
Benchmark Electronics, Inc.*		59,410		1,194,141
Checkpoint Systems, Inc.*		44,539		632,008
Cognex Corp.		44,740		2,023,143
Coherent, Inc.		26,700		1,470,369
CTS Corp.		34,864		475,545
Daktronics, Inc.		40,608		416,638
DTS, Inc.*		19,385		398,943
Electro Scientific Industries, Inc.		25,241		271,593
FARO Technologies, Inc.*		18,684		631,893
FEI Co.		42,512		3,102,951
Insight Enterprises, Inc.*		47,735		846,819
Littelfuse, Inc.*		24,325		1,814,888
Measurement Specialties, Inc.		17,100		795,663
Mercury Computer Systems, Inc.		35,308		325,540
Methode Electronics, Inc.		38,566		656,008
MTS Systems Corp.		17,335		981,161
Newport Corp.*		42,208		587,958
OSI Systems, Inc.*		20,800		1,339,936
Park Electrochemical Corp.		21,344		512,469
Plexus Corp.*		37,420		1,118,484
Radisys Corp.*		24,935		119,937
Rofin-Sinar Technologies, Inc.*		31,100		775,634
Rogers Corp.*		18,731		886,351
ScanSource, Inc.*		30,633		980,256
SYNNEX Corp.*(a)		29,250		1,236,690
TTM Technologies, Inc.*		57,789		485,428
				27,201,251
Energy Equipment & Services — 2.7%
Basic Energy Services, Inc.*(a)		29,817		360,487
Bristow Group, Inc.		39,755		2,596,797
C&J Energy Services, Inc.*(a)		49,300		954,941
Era Group, Inc.*		20,871		545,777
Exterran Holdings, Inc.*		72,400		2,035,888
Geospace Technologies Corp.*		14,210		981,627
Gulf Island Fabrication, Inc.		15,877		304,045
Hornbeck Offshore Services, Inc.*(a)		35,315		1,889,352
ION Geophysical Corp.*		128,345		772,637
Lufkin Industries, Inc.		37,158		3,287,368
Matrix Service Co.*		28,673		446,725
Pioneer Energy Services Corp.*		67,717		448,286
SEACOR Holdings, Inc.		21,271		1,766,557

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
Tesco Corp.*		32,200	$	426,650
TETRA Technologies, Inc.*		83,741		859,183
				17,676,320
Food & Staples Retailing — 0.6%
Andersons, Inc. (The)		19,216		1,022,099
Casey’s General Stores, Inc.		42,265		2,542,663
Nash Finch Co.		13,632		300,040
Spartan Stores, Inc.		23,788		438,651
				4,303,453
Food Products — 2.5%
B&G Foods, Inc.		58,200		1,981,710
Calavo Growers, Inc.		13,990		380,388
Cal-Maine Foods, Inc.		15,495		720,672
Darling International, Inc.*		129,720		2,420,575
Diamond Foods, Inc.*		24,257		503,333
Hain Celestial Group, Inc. (The)*(a)		51,915		3,372,918
J&J Snack Foods Corp.		16,418		1,277,320
Sanderson Farms, Inc.(a)		22,135		1,470,207
Seneca Foods Corp. (Class A Stock)*		8,700		266,916
Snyders-Lance, Inc.		53,116		1,509,026
TreeHouse Foods, Inc.*		39,965		2,619,306
				16,522,371
Gas Utilities — 1.8%
Laclede Group, Inc. (The)		33,314		1,521,118
New Jersey Resources Corp.		46,104		1,914,699
Northwest Natural Gas Co.		29,765		1,264,417
Piedmont Natural Gas Co., Inc.(a)		82,903		2,797,147
South Jersey Industries, Inc.		35,522		2,039,318
Southwest Gas Corp.		51,011		2,386,805
				11,923,504
Healthcare Equipment & Supplies — 3.5%
Abaxis, Inc.		22,912		1,088,549
Abiomed, Inc.*(a)		38,500		830,060
Align Technology, Inc.*(a)		79,257		2,935,679
Analogic Corp.		13,533		985,608
Cantel Medical Corp.		23,775		805,259
CONMED Corp.		30,749		960,599
CryoLife, Inc.		27,353		171,230
Cyberonics, Inc.*		26,297		1,366,392
Cynosure, Inc. (Class A Stock)*		21,090		547,918
Greatbatch, Inc.*		26,144		857,262
Haemonetics Corp.*		56,094		2,319,487
ICU Medical, Inc.*		14,092		1,015,470
Integra LifeSciences Holdings Corp.*(a)		22,302		816,922
Invacare Corp.		32,002		459,549
Meridian Bioscience, Inc.(a)		45,775		984,163
Merit Medical Systems, Inc.*		43,648		486,675
Natus Medical, Inc.*		32,925		449,426
Neogen Corp.*		24,780		1,376,777
NuVasive, Inc.*		48,200		1,194,878
SurModics, Inc.*		13,352		267,174
Symmetry Medical, Inc.*		40,477		340,816
West Pharmaceutical Services, Inc.		37,917		2,664,048
				22,923,941

SEE NOTES TO FINANCIAL STATEMENTS.

A150

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 3.1%
Air Methods Corp.(a)		38,616	$	1,308,310
Almost Family, Inc.		9,152		173,888
Amedisys, Inc.*(a)		34,059		395,765
AMN Healthcare Services, Inc.*		50,199		718,850
Amsurg Corp.*		35,474		1,245,137
Bio-Reference Labs, Inc.*(a)		26,870		772,512
Centene Corp.*		59,708		3,132,282
Chemed Corp.(a)		20,711		1,500,098
Corvel Corp.*		13,490		394,852
Cross Country Healthcare, Inc.*		28,963		149,449
Ensign Group, Inc. (The)		19,400		683,268
Gentiva Health Services, Inc.*		31,092		309,676
Hanger, Inc.*		38,509		1,218,040
Healthways, Inc.*		37,286		648,031
IPC The Hospitalist Co., Inc.*		18,505		950,417
Kindred Healthcare, Inc.*		58,700		770,731
Landauer, Inc.		10,468		505,709
LHC Group, Inc.*		16,298		319,115
Magellan Health Services, Inc.*		29,841		1,673,483
Molina Healthcare, Inc.*(a)		31,922		1,186,860
MWI Veterinary Supply, Inc.*		13,296		1,638,599
PharMerica Corp.*		32,595		451,767
				20,146,839
Healthcare Technology — 0.7%
Computer Programs & Systems, Inc.		11,536		566,879
HealthStream, Inc.*		21,800		551,976
Medidata Solutions, Inc.*		25,100		1,943,995
Omnicell, Inc.*		38,022		781,352
Quality Systems, Inc.		43,834		820,134
				4,664,336
Hotels, Restaurants & Leisure — 3.3%
Biglari Holdings, Inc.*		1,336		548,294
BJ’s Restaurants, Inc.*(a)		27,372		1,015,501
Boyd Gaming Corp*.		61,700		697,210
Buffalo Wild Wings, Inc.*(a)		20,565		2,018,660
CEC Entertainment, Inc.		18,507		759,527
Cracker Barrel Old Country Store, Inc.		26,178		2,478,010
DineEquity, Inc.		17,805		1,226,230
Interval Leisure Group, Inc.		42,536		847,317
Jack In The Box, Inc.*		48,817		1,918,020
Marcus Corp.		18,458		234,786
Marriott Vacations Worldwide Corp.*		32,300		1,396,652
Monarch Casino & Resort, Inc.*		10,431		175,867
Multimedia Games Holding Co., Inc.*		31,299		815,965
Papa John’s International, Inc.*		17,915		1,171,104
Pinnacle Entertainment, Inc.*(a)		64,213		1,263,070
Red Robin Gourmet Burgers, Inc.*		14,163		781,514
Ruby Tuesday, Inc.*(a)		60,384		557,344
Ruth’s Hospitality Group, Inc.		38,848		468,895
SHFL Entertainment, Inc.*		61,959		1,097,294
Sonic Corp.*		57,314		834,492
Texas Roadhouse, Inc.		63,530		1,589,521
				21,895,273

COMMON STOCKS (continued)	Shares		Value (Note 2)
Household Durables — 1.7%
American Greetings Corp. (Class A Stock)		34,700	$	632,234
Blyth, Inc.(a)		11,566		161,462
Ethan Allen Interiors, Inc.(a)		28,599		823,651
Helen of Troy Ltd.*		35,010		1,343,334
iRobot Corp.*		29,600		1,177,192
La-Z-Boy, Inc.		57,801		1,171,626
M/I Homes, Inc.*		26,370		605,455
Meritage Homes Corp.*		34,397		1,491,454
Ryland Group, Inc. (The)(a)		50,900		2,041,090
Standard Pacific Corp.*(a)		155,722		1,297,164
Universal Electronics, Inc.*		16,554		465,664
				11,210,326
Household Products — 0.2%
Central Garden and Pet Co. (Class A Stock)*		45,088		311,107
WD-40 Co.		16,209		883,067
				1,194,174
Insurance — 2.1%
AMERISAFE, Inc.		20,014		648,253
eHealth, Inc.*		21,191		481,459
Employers Holdings, Inc.		33,815		826,777
Horace Mann Educators Corp.		43,600		1,062,968
Infinity Property & Casualty Corp.		12,789		764,271
Meadowbrook Insurance Group, Inc.		51,300		411,939
Navigators Group, Inc. (The)*		11,618		662,691
ProAssurance Corp.		68,066		3,550,323
RLI Corp.		18,805		1,436,890
Safety Insurance Group, Inc.		14,060		682,051
Selective Insurance Group, Inc.		61,007		1,404,381
Stewart Information Services Corp.(a)		22,702		594,565
Tower Group International Ltd. (Bermuda)(a)		43,236		886,770
United Fire Group, Inc.		23,861		592,469
				14,005,807
Internet & Catalog Retail — 0.2%
Blue Nile, Inc.*		13,780		520,608
Nutrisystem, Inc.		31,228		367,866
PetMed Express, Inc.(a)		21,981		276,961
				1,165,435
Internet Software & Services — 2.1%
Blucora, Inc.*		44,712		828,960
comScore, Inc.*		35,677		870,162
DealerTrack Holdings, Inc.*		48,083		1,703,581
Dice Holdings, Inc.*		53,100		489,051
Digital River, Inc.*		38,700		726,399
j2 Global, Inc.(a)		47,678		2,026,792
Liquidity Services, Inc.*(a)		27,100		939,557
LivePerson, Inc.*		52,200		467,451
LogMeIn, Inc.*		24,500		599,270
NIC, Inc.		64,800		1,071,144
OpenTable, Inc.*(a)		25,300		1,617,935
Perficient, Inc.*		36,314		484,429

SEE NOTES TO FINANCIAL STATEMENTS.

A151

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Internet Software & Services (continued)
Quinstreet, Inc.*		28,100	$	242,503
Stamps.com, Inc.*		15,620		615,272
United Online, Inc.		100,330		760,501
XO Group, Inc.*		26,895		301,224
				13,744,231
IT Services — 1.9%
CACI International, Inc. (Class A Stock)*(a)		25,344		1,609,090
Cardtronics, Inc.*		49,400		1,363,440
CIBER, Inc.*		73,323		244,899
CSG Systems International, Inc.*		37,024		803,421
ExlService Holdings, Inc.*		28,700		848,372
Forrester Research, Inc.		14,562		534,280
Heartland Payment Systems, Inc.		39,911		1,486,685
Higher One Holdings, Inc.*(a)		36,200		421,368
IGate Corp.*		33,600		551,712
MAXIMUS, Inc.		37,636		2,803,129
Sykes Enterprises, Inc.*		42,870		675,631
TeleTech Holdings, Inc.*		24,167		566,233
Virtusa Corp.*		22,400		496,384
				12,404,644
Leisure Equipment & Products — 0.9%
Arctic Cat, Inc.		14,557		654,774
Brunswick Corp.(a)		99,429		3,176,757
Callaway Golf Co.(a)		77,480		509,818
JAKKS Pacific, Inc.		22,730		255,712
Sturm Ruger & Co., Inc.		21,227		1,019,745
				5,616,806
Life Sciences Tools & Services — 0.7%
Affymetrix, Inc.*(a)		77,500		344,100
Cambrex Corp.*		32,732		457,266
Luminex Corp.*		41,900		863,559
PAREXEL International Corp.*(a)		62,357		2,864,681
				4,529,606
Machinery — 3.4%
Actuant Corp. (Class A Stock)		80,464		2,652,898
Albany International Corp. (Class A Stock)		31,904		1,052,194
Astec Industries, Inc.		23,110		792,442
Barnes Group, Inc.		51,216		1,535,968
Briggs & Stratton Corp.		53,246		1,054,271
CIRCOR International, Inc.		19,388		986,074
EnPro Industries, Inc.*		22,878		1,161,287
ESCO Technologies, Inc.		29,221		946,176
Federal Signal Corp.*		68,500		599,375
John Bean Technologies Corp.		31,747		667,004
Kaydon Corp.		35,467		977,116
Lindsay Corp.(a)		14,179		1,063,141
Lydall, Inc.*		18,556		270,918
Mueller Industries, Inc.		31,049		1,565,801
Standex International Corp.		14,070		742,193
Tennant Co.		20,400		984,708
Titan International, Inc.		59,100		997,017
Toro Co. (The)		63,166		2,868,368

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Watts Water Technologies, Inc. (Class A Stock)		31,221	$	1,415,560
				22,332,511
Media — 0.7%
Arbitron, Inc.		29,561		1,373,108
Digital Generation, Inc.*(a)		27,900		205,623
E.W. Scripps Co. (Class A Stock)*		31,301		487,670
Harte-Hanks, Inc.		47,400		407,640
Live Nation Entertainment, Inc.*		158,076		2,450,178
				4,924,219
Metals & Mining — 1.3%
A.M. Castle & Co.*		18,383		289,716
AK Steel Holding Corp.*(a)		148,700		452,048
AMCOL International Corp.		27,791		880,697
Century Aluminum Co.*(a)		56,263		522,120
Globe Specialty Metals, Inc.		68,000		739,160
Haynes International, Inc.		13,600		651,032
Kaiser Aluminum Corp.		18,100		1,121,114
Materion Corp.		22,478		608,929
Olympic Steel, Inc.		10,138		248,381
RTI International Metals, Inc.*(a)		33,611		931,361
Stillwater Mining Co.*(a)		129,300		1,388,682
SunCoke Energy, Inc.*		75,500		1,058,510
				8,891,750
Multiline Retail — 0.2%
Fred’s, Inc. (Class A Stock)		36,966		572,603
Tuesday Morning Corp.*		46,532		482,537
				1,055,140
Multi-Utilities — 0.5%
Avista Corp.		66,003		1,783,401
NorthWestern Corp.		41,800		1,667,820
				3,451,221
Oil, Gas & Consumable Fuels — 2.0%
Approach Resources, Inc.*(a)		36,800		904,176
Carrizo Oil & Gas, Inc.*		40,500		1,147,365
Cloud Peak Energy, Inc.*		67,000		1,104,160
Comstock Resources, Inc.		49,500		778,635
Contango Oil & Gas Co.		14,100		475,875
Forest Oil Corp.*		126,400		516,976
Gulfport Energy Corp.*		75,700		3,563,199
Northern Oil and Gas, Inc.*(a)		65,100		868,434
PDC Energy, Inc.*		33,526		1,725,918
Penn Virginia Corp.*(a)		59,998		281,991
Petroquest Energy, Inc.*		61,745		244,510
Stone Energy Corp.*		55,094		1,213,721
Swift Energy Co.*(a)		47,244		566,456
				13,391,416
Paper & Forest Products — 1.4%
Buckeye Technologies, Inc.		42,942		1,590,572
Clearwater Paper Corp.*		24,380		1,147,323
Deltic Timber Corp.		11,991		693,319
KapStone Paper and Packaging Corp.		43,000		1,727,740
Neenah Paper, Inc.		17,578		558,453

SEE NOTES TO FINANCIAL STATEMENTS.

A152

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Paper & Forest Products (continued)
P.H. Glatfelter Co.		47,200	$	1,184,720
Schweitzer-Mauduit International, Inc.(a)		34,676		1,729,639
Wausau Paper Corp.		50,767		578,744
				9,210,510
Personal Products — 0.4%
Inter Parfums, Inc.		17,800		507,656
Medifast, Inc.*		13,300		342,608
Prestige Brands Holdings, Inc.*		56,300		1,640,582
				2,490,846
Pharmaceuticals — 2.0%
Akorn, Inc.*(a)		73,000		986,960
Hi-Tech Pharmacal Co., Inc.		12,200		405,040
Impax Laboratories, Inc.*(a)		71,800		1,432,410
Medicines Co. (The)*(a)		61,500		1,891,740
Questcor Pharmaceuticals, Inc.		64,500		2,932,170
Salix Pharmaceuticals Ltd.*(a)		57,283		3,789,271
ViroPharma, Inc.*		71,837		2,058,130
				13,495,721
Professional Services — 1.2%
CDI Corp.		15,288		216,478
Exponent, Inc.		14,540		859,459
Heidrick & Struggles International, Inc.		17,814		297,850
Insperity, Inc.		24,279		735,654
Kelly Services, Inc. (Class A Stock)		29,939		523,034
Korn/Ferry International*		53,600		1,004,464
Navigant Consulting, Inc.*		54,000		648,000
On Assignment, Inc.*		48,186		1,287,530
Resources Connection, Inc.		42,800		496,480
TrueBlue, Inc.*		44,418		934,999
WageWorks, Inc.*		23,100		795,795
				7,799,743
Real Estate Investment Trusts — 7.7%
Acadia Realty Trust		60,405		1,491,399
Associated Estates Realty Corp.		55,200		887,616
Cedar Realty Trust, Inc.		59,366		307,516
Colonial Properties Trust		90,539		2,183,801
Coresite Realty Corp.		23,500		747,535
Cousins Properties, Inc.		112,900		1,140,290
DiamondRock Hospitality Co.		212,470		1,980,220
EastGroup Properties, Inc.		33,563		1,888,590
EPR Properties(a)		51,670		2,597,451
Franklin Street Properties Corp.		95,602		1,261,946
Geo Group, Inc. (The)		78,773		2,674,343
Getty Realty Corp.		29,300		605,045
Government Properties Income Trust		60,200		1,518,244
Healthcare Realty Trust, Inc.		99,200		2,529,600
Inland Real Estate Corp.		93,935		960,016
Kite Realty Group Trust		93,891		566,163
LaSalle Hotel Properties(a)		104,272		2,575,518
Lexington Realty Trust(a)		201,916		2,358,379
LTC Properties, Inc.		37,526		1,465,390
Medical Properties Trust, Inc.		164,666		2,358,017

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Mid-America Apartment Communities, Inc.(a)		47,216	$	3,199,828
Parkway Properties, Inc.		46,048		771,765
Pennsylvania Real Estate Investment Trust		68,522		1,293,695
Post Properties, Inc.		60,161		2,977,368
PS Business Parks, Inc.		19,902		1,436,327
Sabra Health Care REIT, Inc.		40,800		1,065,288
Saul Centers, Inc.		14,100		626,886
Sovran Self Storage, Inc.		34,497		2,235,061
Tanger Factory Outlet Centers		103,784		3,472,613
Universal Health Realty Income Trust		14,000		603,820
Urstadt Biddle Properties, Inc. (Class A Stock)		28,350		571,820
				50,351,550
Real Estate Management & Development — 0.1%
Forestar Group, Inc.*		38,456		771,427
Road & Rail — 0.9%
Arkansas Best Corp.		26,095		598,880
Heartland Express, Inc.		50,348		698,327
Knight Transportation, Inc.		64,988		1,093,098
Old Dominion Freight Line, Inc.*		77,349		3,219,266
				5,609,571
Semiconductors & Semiconductor Equipment — 3.7%
Advanced Energy Industries, Inc.*		40,397		703,312
ATMI, Inc.*		35,206		832,622
Brooks Automation, Inc.		70,405		685,041
Cabot Microelectronics Corp.*		25,711		848,720
Ceva, Inc.*		24,700		478,192
Cirrus Logic, Inc.*(a)		69,500		1,206,520
Cohu, Inc.		24,897		311,212
Diodes, Inc.*		39,470		1,025,036
DSP Group, Inc.*		23,828		198,011
Entropic Communications, Inc.*		97,100		414,617
Exar Corp.*		50,623		545,210
GT Advanced Technologies, Inc.*(a)		130,500		541,575
Hittite Microwave Corp.*		29,806		1,728,748
Kopin Corp.*		67,596		250,781
Kulicke & Soffa Industries, Inc.*		80,432		889,578
Micrel, Inc.		51,702		510,816
Microsemi Corp.*		101,919		2,318,657
MKS Instruments, Inc.		57,985		1,538,922
Monolithic Power Systems, Inc.		35,700		860,727
Nanometrics, Inc.*		23,100		338,877
Pericom Semiconductor Corp.		19,960		142,115
Power Integrations, Inc.*		31,800		1,289,808
Rubicon Technology, Inc.*(a)		18,100		144,981
Rudolph Technologies, Inc.*		35,394		396,413
Sigma Designs, Inc.*		35,858		181,083
STR Holdings, Inc.*		40,900		92,843
Supertex, Inc.		11,472		274,295
Tessera Technologies, Inc.		57,777		1,201,761
TriQuint Semiconductor, Inc.*		176,576		1,223,672
Ultratech, Inc.*		30,711		1,127,708
Veeco Instruments, Inc.*(a)		43,242		1,531,631

SEE NOTES TO FINANCIAL STATEMENTS.

A153

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Semiconductors & Semiconductor Equipment (continued)
Volterra Semiconductor Corp.*		27,600	$	389,712
				24,223,196
Software — 2.6%
Blackbaud, Inc.		50,283		1,637,717
Bottomline Technologies, Inc.*(a)		39,500		998,955
Ebix, Inc.		33,057		306,108
EPIQ Systems, Inc.		35,217		474,373
Interactive Intelligence Group, Inc.*		16,979		876,116
Manhattan Associates, Inc.*		21,293		1,642,968
MicroStrategy, Inc. (Class A Stock)*		9,860		857,426
Monotype Imaging Holdings, Inc.		42,000		1,067,220
Netscout Systems, Inc.*		39,495		921,813
Progress Software Corp.*		60,447		1,390,885
Sourcefire, Inc.*(a)		34,300		1,905,365
Synchronoss Technologies, Inc.*		30,800		950,796
Take-Two Interactive Software, Inc.*		100,512		1,504,665
Tangoe, Inc.*		34,100		526,163
Tyler Technologies, Inc.*		29,827		2,044,641
VASCO Data Security International, Inc.*		31,600		262,596
				17,367,807
Specialty Retail — 4.6%
Big 5 Sporting Goods Corp.		18,537		406,887
Brown Shoe Co., Inc.		44,834		965,276
Buckle, Inc. (The)		30,259		1,574,073
Cato Corp. (The) (Class A Stock)		29,603		738,891
Children’s Place Retail Stores, Inc. (The)*		24,665		1,351,642
Christopher & Banks Corp.*		36,278		244,514
Finish Line, Inc. (The) (Class A Stock)		53,346		1,166,144
Francesca’s Holdings Corp.*(a)		48,300		1,342,257
Genesco, Inc.*		26,622		1,783,408
Group 1 Automotive, Inc.(a)		23,764		1,528,738
Haverty Furniture Cos., Inc.		21,841		502,561
Hibbett Sports, Inc.*(a)		28,496		1,581,528
Jos A. Bank Clothiers, Inc.*(a)		30,831		1,273,937
Kirkland’s, Inc.*		16,400		282,900
Lithia Motors, Inc. (Class A Stock)		23,330		1,243,722
Lumber Liquidators Holdings, Inc.*(a)		30,422		2,368,961
MarineMax, Inc.*		26,142		296,189
Men’s Wearhouse, Inc. (The)		51,867		1,963,166
Monro Muffler Brake, Inc.		32,372		1,555,475
OfficeMax, Inc.(a)		93,199		953,426
Pep Boys-Manny Moe & Jack (The)(a)		56,326		652,255
rue21, Inc.*		17,300		719,853
Select Comfort Corp.*		61,600		1,543,696
Sonic Automotive, Inc. (Class A Stock)		37,847		800,086
Stage Stores, Inc.		35,279		829,056
Stein Mart, Inc.		30,083		410,633
Vitamin Shoppe, Inc.*		33,300		1,493,172
Zale Corp.*		28,662		260,824
Zumiez, Inc.*(a)		23,550		677,062
				30,510,332

COMMON STOCKS (continued)	Shares		Value (Note 2)
Textiles, Apparel & Luxury Goods — 2.5%
Crocs, Inc.*		96,943	$	1,599,560
Fifth & Pacific Cos., Inc.*		131,966		2,948,120
Iconix Brand Group, Inc.*(a)		62,531		1,839,037
Maidenform Brands, Inc.*		25,921		449,211
Movado Group, Inc.		19,517		660,260
Oxford Industries, Inc.		15,716		980,678
Perry Ellis International, Inc.		13,079		265,634
Quiksilver, Inc.*		137,293		884,167
Skechers U.S.A., Inc. (Class A Stock)*		42,376		1,017,448
Steven Madden Ltd.*		45,300		2,191,614
True Religion Apparel, Inc.		26,664		844,182
Wolverine World Wide, Inc.		55,177		3,013,216
				16,693,127
Thrifts & Mortgage Finance — 0.7%
Bank Mutual Corp.		46,535		262,457
Brookline Bancorp, Inc.		74,432		646,070
Dime Community Bancshares, Inc.		31,581		483,821
Northwest Bancshares, Inc.		101,000		1,364,510
Oritani Financial Corp.		42,900		672,672
Provident Financial Services, Inc.		58,000		915,240
TrustCo Bank Corp. NY		103,295		561,925
				4,906,695
Tobacco — 0.1%
Alliance One International, Inc.*		89,438		339,864
Trading Companies & Distributors — 0.5%
Applied Industrial Technologies, Inc.		46,428		2,243,865
Kaman Corp.		29,422		1,016,825
				3,260,690
Water Utilities — 0.2%
American States Water Co.		21,276		1,141,883
Wireless Telecommunication Services — 0.1%
NTELOS Holdings Corp.		16,821		276,874
USA Mobility, Inc.		21,880		296,911
				573,785
TOTAL COMMON STOCKS (cost $429,185,067)				644,952,138
EXCHANGE TRADED FUND — 0.4%
iShares Core S&P Small-Cap ETF (cost $1,510,130)		27,300		2,464,917
TOTAL LONG-TERM INVESTMENTS (cost $430,695,197)				647,417,055
SHORT-TERM INVESTMENTS — 15.8%
Affiliated Money Market Mutual Fund — 15.7%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $103,221,217; includes $93,594,367 of cash collateral received for securities on loan) (Note 4)(b)(c)		103,221,217		103,221,217

SEE NOTES TO FINANCIAL STATEMENTS.

A154

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

SHORT-TERM INVESTMENTS (continued)	Principal Amount (000)		Value (Note 2)
U.S. Government Treasury Obligation — 0.1%
U.S. Treasury Bill, 0.05%, 09/19/2013 (cost $599,940)(d)(e)	$	600	$	599,953
TOTAL SHORT-TERM INVESTMENTS (cost $103,821,157)				103,821,170
TOTAL INVESTMENTS — 114.2% (cost $534,516,354)				751,238,225
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (14.2)%				(93,182,793	)
NET ASSETS — 100.0%			$	658,055,432

The following abbreviations are used in portfolio descriptions:

ETF	Exchange Traded Fund
REIT	Real Estate Investment Trust

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $91,032,313; cash collateral of $93,594,367 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

Open futures contracts outstanding at June 30, 2013:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2013		Unrealized Depreciation
Long Position:
112	Russell 2000 Mini		Sep. 2013	$	10,978,540	$	10,916,640	$	(61,900	)

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	644,952,138		$	—	$	—
Exchange Traded Fund		2,464,917			—		—
Affiliated Money Market Mutual Fund		103,221,217			—		—
U.S. Government Treasury Obligation		—			599,953		—
Other Financial Instruments*
Futures contracts		(61,900	)		—		—
Total	$	750,576,372		$	599,953	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A155

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 was as follows:

Affiliated Money Market Mutual Fund (including 14.2% of collateral received for securities on loan)	15.7	%
Real Estate Investment Trusts	7.7
Commercial Banks	6.9
Specialty Retail	4.6
Electronic Equipment, Instruments & Components	4.1
Semiconductors & Semiconductor Equipment	3.7
Healthcare Equipment & Supplies	3.5
Machinery	3.4
Hotels, Restaurants & Leisure	3.3
Healthcare Providers & Services	3.1
Energy Equipment & Services	2.7
Software	2.6
Chemicals	2.5
Food Products	2.5
Textiles, Apparel & Luxury Goods	2.5
Aerospace & Defense	2.1
Insurance	2.1
Internet Software & Services	2.1
Oil, Gas & Consumable Fuels	2.0
Pharmaceuticals	2.0
Commercial Services & Supplies	1.9
IT Services	1.9
Gas Utilities	1.8
Communications Equipment	1.7
Electrical Equipment	1.7
Household Durables	1.7
Capital Markets	1.6
Paper & Forest Products	1.4
Building Products	1.3
Consumer Finance	1.3
Metals & Mining	1.3
Electric Utilities	1.2
Professional Services	1.2
Biotechnology	1.0
Construction & Engineering	0.9

Diversified Consumer Services	0.9	%
Leisure Equipment & Products	0.9
Road & Rail	0.9
Computers & Peripherals	0.8
Media	0.7
Healthcare Technology	0.7
Life Sciences Tools & Services	0.7
Thrifts & Mortgage Finance	0.7
Air Freight & Logistics	0.6
Food & Staples Retailing	0.6
Auto Components	0.5
Multi-Utilities	0.5
Trading Companies & Distributors	0.5
Airlines	0.4
Distributors	0.4
Diversified Financial Services	0.4
Exchange Traded Fund	0.4
Personal Products	0.4
Construction Materials	0.3
Diversified Telecommunication Services	0.3
Beverages	0.2
Household Products	0.2
Internet & Catalog Retail	0.2
Multiline Retail	0.2
Water Utilities	0.2
Automobiles	0.1
Containers & Packaging	0.1
Real Estate Management & Development	0.1
Tobacco	0.1
U.S. Government Treasury Obligation	0.1
Wireless Telecommunication Services	0.1
	114.2
Liabilities in excess of other assets	(14.2	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2013 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts		$	—	Due to broker — variation margin	$	61,900	*

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

The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2013 are as follows:

Amount of Realized Gain on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	1,304,468

SEE NOTES TO FINANCIAL STATEMENTS.

A156

	SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Change in Unrealized Depreciation on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	(130,407	)

For the six months ended June 30, 2013, the average value at trade date for futures long position was $8,235,820.

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	91,032,313	$	—	$	—	$	91,032,313

Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Exchange-traded and cleared Derivatives		(22,148	)		—		—		(22,148	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(91,032,313	)
Exchange-traded and cleared Derivatives									22,148
Net Amount								$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A157

SMALL CAPITALIZATION STOCK PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $91,032,313:
Unaffiliated investments (cost $431,295,137)	$	648,017,008
Affiliated investments (cost $103,221,217)		103,221,217
Cash		30,422
Receivable for investments sold		1,152,883
Dividends and interest receivable		764,354
Receivable for Series shares sold		21,114
Prepaid expenses		559
Total Assets		753,207,557
LIABILITIES
Collateral for securities on loan		93,594,367
Payable for investments purchased		1,112,952
Management fee payable		216,211
Accrued expenses and other liabilities		163,982
Payable for Series shares repurchased		41,539
Due to broker-variation margin		22,148
Affiliated transfer agent fee payable		926
Total Liabilities		95,152,125
NET ASSETS	$	658,055,432
Net assets were comprised of:
Paid-in capital	$	406,491,189
Retained earnings		251,564,243
Net assets, June 30, 2013	$	658,055,432
Net asset value and redemption price per share, $658,055,432 / 30,548,578 outstanding shares of beneficial interest	$	21.54

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income	$	4,079,489
Affiliated income from securities loaned, net		585,943
Affiliated dividend income		5,811
Interest		159
		4,671,402
EXPENSES
Management fee		1,251,786
Shareholders’ reports		66,000
Custodian’s fees and expenses		38,000
Audit fee		10,000
Trustees’ fees		8,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Legal fees and expenses		5,000
Insurance expenses		3,000
Commitment fee on syndicated credit agreement		1,000
Miscellaneous		35,885
Total expenses		1,424,671
NET INVESTMENT INCOME		3,246,731
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		17,367,247
Futures transactions		1,304,468
		18,671,715
Net change in unrealized appreciation (depreciation) on:
Investments		70,386,335
Futures		(130,407	)
		70,255,928
NET GAIN ON INVESTMENTS		88,927,643
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	92,174,374

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	3,246,731		$	8,119,306
Net realized gain on investment transactions		18,671,715			13,472,019
Net change in unrealized appreciation (depreciation) on investments		70,255,928			62,063,712
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		92,174,374			83,655,037
DISTRIBUTIONS		—			(32,045,611	)
SERIES SHARE TRANSACTIONS:
Series shares sold [546,471 and 489,166 shares, respectively]		11,183,484			8,809,368
Series shares issued in reinvestment of distributions [ 0 and 1,922,352 shares, respectively]		—			32,045,611
Series shares repurchased [1,164,131 and 3,160,413 shares, respectively]		(23,704,594	)		(56,707,510	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(12,521,110	)		(15,852,531	)
TOTAL INCREASE IN NET ASSETS		79,653,264			35,756,895
NET ASSETS:
Beginning of period		578,402,168			542,645,273
End of period	$	658,055,432		$	578,402,168

SEE NOTES TO FINANCIAL STATEMENTS.

A158

	STOCK INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.5%
Boeing Co. (The)		120,136	$	12,306,732
General Dynamics Corp.		59,200		4,637,136
Honeywell International, Inc.		137,350		10,897,349
L-3 Communications Holdings, Inc.		16,700		1,431,858
Lockheed Martin Corp.		47,598		5,162,479
Northrop Grumman Corp.		42,526		3,521,153
Precision Castparts Corp.		25,600		5,785,856
Raytheon Co.		56,918		3,763,418
Rockwell Collins, Inc.		25,100		1,591,591
Textron, Inc.		44,900		1,169,645
United Technologies Corp.		148,700		13,820,178
				64,087,395
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.		28,900		1,627,359
Expeditors International of Washington, Inc.		35,600		1,353,156
FedEx Corp.		51,540		5,080,813
United Parcel Service, Inc. (Class B Stock)		126,600		10,948,368
				19,009,696
Airlines — 0.1%
Southwest Airlines Co.		123,437		1,591,103
Auto Components — 0.4%
BorgWarner, Inc.*(a)		18,700		1,611,005
Delphi Automotive PLC		46,900		2,377,361
Goodyear Tire & Rubber Co. (The)*		38,600		590,194
Johnson Controls, Inc.		122,800		4,395,012
				8,973,572
Automobiles — 0.7%
Ford Motor Co.		686,559		10,621,068
General Motors Co.*(a)		127,300		4,240,363
Harley-Davidson, Inc.		41,300		2,264,066
				17,125,497
Beverages — 2.3%
Beam, Inc.		24,900		1,571,439
Brown-Forman Corp. (Class B Stock)		26,350		1,779,942
Coca-Cola Co. (The)		674,200		27,042,162
Coca-Cola Enterprises, Inc.		46,800		1,645,488
Constellation Brands, Inc. (Class A Stock)*		26,900		1,402,028
Dr Pepper Snapple Group, Inc.		36,800		1,690,224
Molson Coors Brewing Co. (Class B Stock)		27,500		1,316,150
Monster Beverage Corp.*(a)		23,600		1,434,172
PepsiCo, Inc.		270,939		22,160,101
				60,041,706
Biotechnology — 2.0%
Alexion Pharmaceuticals, Inc.*		33,900		3,126,936
Amgen, Inc.		133,194		13,140,920
Biogen Idec, Inc.*		41,925		9,022,260
Celgene Corp.*		75,100		8,779,941
Gilead Sciences, Inc.*(a)		268,800		13,765,248

COMMON STOCKS (continued)	Shares		Value (Note 2)
Biotechnology (continued)
Regeneron Pharmaceuticals, Inc.*(a)		12,600	$	2,833,488
				50,668,793
Building Products
Masco Corp.		54,800		1,068,052
Capital Markets — 2.1%
Ameriprise Financial, Inc.		36,000		2,911,680
Bank of New York Mellon Corp. (The)		205,789		5,772,381
BlackRock, Inc.		22,000		5,650,700
Charles Schwab Corp. (The)		192,300		4,082,529
E*Trade Financial Corp.*		38,710		490,069
Franklin Resources, Inc.		24,600		3,346,092
Goldman Sachs Group, Inc. (The)		77,400		11,706,750
Invesco Ltd.		79,300		2,521,740
Legg Mason, Inc.(a)		21,400		663,614
Morgan Stanley		243,810		5,956,278
Northern Trust Corp.		38,600		2,234,940
State Street Corp.		81,100		5,288,531
T. Rowe Price Group, Inc.		46,300		3,386,845
				54,012,149
Chemicals — 2.3%
Air Products & Chemicals, Inc.		36,300		3,323,991
Airgas, Inc.		10,300		983,238
CF Industries Holdings, Inc.		11,100		1,903,650
Dow Chemical Co. (The)		213,461		6,867,040
E.I. du Pont de Nemours & Co.		163,791		8,599,028
Eastman Chemical Co.		27,100		1,897,271
Ecolab, Inc.		44,600		3,799,474
FMC Corp.		24,500		1,495,970
International Flavors & Fragrances, Inc.		15,300		1,149,948
LyondellBasell Industries NV (Class A Stock)		65,000		4,306,900
Monsanto Co.		94,696		9,355,965
Mosaic Co. (The)		47,500		2,555,975
PPG Industries, Inc.		25,600		3,748,096
Praxair, Inc.		52,300		6,022,868
Sherwin-Williams Co. (The)		15,200		2,684,320
Sigma-Aldrich Corp.		20,700		1,663,452
				60,357,186
Commercial Banks — 2.9%
BB&T Corp.		124,000		4,201,120
Comerica, Inc.		33,950		1,352,229
Fifth Third Bancorp		153,949		2,778,779
Huntington Bancshares, Inc.		144,675		1,140,039
KeyCorp		167,700		1,851,408
M&T Bank Corp.(a)		21,600		2,413,800
PNC Financial Services Group, Inc.		92,593		6,751,882
Regions Financial Corp.		249,312		2,375,943
SunTrust Banks, Inc.		95,900		3,027,563
U.S. Bancorp		325,581		11,769,753
Wells Fargo & Co.		860,286		35,504,003
Zions Bancorporation(a)		30,000		866,400
				74,032,919

SEE NOTES TO FINANCIAL STATEMENTS.

A159

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Commercial Services & Supplies — 0.5%
ADT Corp. (The)*(a)		39,400	$	1,570,090
Avery Dennison Corp.		19,000		812,440
Cintas Corp.		19,700		897,138
Iron Mountain, Inc.		31,817		846,650
Pitney Bowes, Inc.(a)		34,700		509,396
Republic Services, Inc.		52,910		1,795,766
Stericycle, Inc.*		13,900		1,534,977
Tyco International Ltd.		81,800		2,695,310
Waste Management, Inc.		78,930		3,183,247
				13,845,014
Communications Equipment — 1.9%
Cisco Systems, Inc.		940,200		22,856,262
F5 Networks, Inc.*		14,500		997,600
Harris Corp.		20,700		1,019,475
JDS Uniphase Corp.*		39,587		569,261
Juniper Networks, Inc.*		93,100		1,797,761
Motorola Solutions, Inc.		46,427		2,680,231
QUALCOMM, Inc.		301,800		18,433,944
				48,354,534
Computers & Peripherals — 3.7%
Apple, Inc.		164,890		65,309,631
Dell, Inc.		259,200		3,460,320
EMC Corp.		370,374		8,748,234
Hewlett-Packard Co.		347,516		8,618,397
NetApp, Inc.*		64,600		2,440,588
SanDisk Corp.*		41,900		2,560,090
Seagate Technology PLC		54,800		2,456,684
Western Digital Corp.		39,000		2,421,510
				96,015,454
Construction & Engineering — 0.2%
Fluor Corp.		28,200		1,672,542
Jacobs Engineering Group, Inc.*		22,200		1,223,886
Quanta Services, Inc.*		33,000		873,180
				3,769,608
Construction Materials
Vulcan Materials Co.		22,300		1,079,543
Consumer Finance — 1.0%
American Express Co.		168,900		12,626,964
Capital One Financial Corp.		102,069		6,410,954
Discover Financial Services		87,605		4,173,502
SLM Corp.		77,000		1,760,220
				24,971,640
Containers & Packaging — 0.2%
Ball Corp.		27,300		1,134,042
Bemis Co., Inc.		17,900		700,606
MeadWestvaco Corp.		31,689		1,080,912
Owens-Illinois, Inc.*		30,400		844,816
Sealed Air Corp.		31,620		757,299
				4,517,675
Distributors — 0.1%
Genuine Parts Co.		27,625		2,156,684
Diversified Consumer Services — 0.1%
Apollo Group, Inc. (Class A Stock)*(a)		15,000		265,800

COMMON STOCKS (continued)	Shares		Value (Note 2)
Diversified Consumer Services (continued)
H&R Block, Inc.		47,600	$	1,320,900
				1,586,700
Diversified Financial Services — 3.9%
Bank of America Corp.		1,896,132		24,384,257
Citigroup, Inc.		533,997		25,615,836
CME Group, Inc.		54,800		4,163,704
IntercontinentalExchange, Inc.*(a)		11,900		2,115,344
JPMorgan Chase & Co.		668,945		35,313,607
Leucadia National Corp.		45,200		1,185,144
McGraw Hill Financial, Inc.		49,900		2,654,181
Moody’s Corp.		31,720		1,932,700
NASDAQ OMX Group, Inc. (The)		22,800		747,612
NYSE Euronext		43,800		1,813,320
				99,925,705
Diversified Telecommunication Services — 2.5%
AT&T, Inc.		951,211		33,672,869
CenturyLink, Inc.		113,585		4,015,230
Frontier Communications Corp.(a)		164,916		667,910
Verizon Communications, Inc.		503,938		25,368,239
Windstream Corp.		96,065		740,661
				64,464,909
Electric Utilities — 1.8%
American Electric Power Co., Inc.		86,640		3,879,739
Duke Energy Corp.		123,948		8,366,490
Edison International		58,500		2,817,360
Entergy Corp.		31,700		2,208,856
Exelon Corp.		153,073		4,726,894
FirstEnergy Corp.		74,180		2,769,881
NextEra Energy, Inc.		75,300		6,135,444
Northeast Utilities		56,600		2,378,332
Pepco Holdings, Inc.(a)		35,700		719,712
Pinnacle West Capital Corp.		18,500		1,026,195
PPL Corp.		102,700		3,107,702
Southern Co.		152,100		6,712,173
Xcel Energy, Inc.		86,495		2,451,269
				47,300,047
Electrical Equipment — 0.6%
Eaton Corp. PLC		79,761		5,249,071
Emerson Electric Co.		127,800		6,970,212
Rockwell Automation, Inc.		24,400		2,028,616
Roper Industries, Inc.		17,100		2,124,162
				16,372,061
Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		29,100		2,268,054
Corning, Inc.		259,100		3,686,993
FLIR Systems, Inc.		23,500		633,795
Jabil Circuit, Inc.		34,100		694,958
Molex, Inc.		26,600		780,444
TE Connectivity Ltd.		73,200		3,333,528
				11,397,772
Energy Equipment & Services — 1.7%
Baker Hughes, Inc.		77,948		3,595,741
Cameron International Corp.*		41,800		2,556,488
Diamond Offshore Drilling, Inc.		12,500		859,875
Ensco PLC (Class A Stock)		39,700		2,307,364

SEE NOTES TO FINANCIAL STATEMENTS.

A160

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Energy Equipment & Services (continued)
FMC Technologies, Inc.*		38,300	$	2,132,544
Halliburton Co.		164,700		6,871,284
Helmerich & Payne, Inc.		19,900		1,242,755
Nabors Industries Ltd.		52,100		797,651
National Oilwell Varco, Inc.		74,000		5,098,600
Noble Corp.		45,300		1,702,374
Rowan Cos. PLC (Class A Stock)*		20,500		698,435
Schlumberger Ltd.		233,922		16,762,851
				44,625,962
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		77,032		8,517,428
CVS Caremark Corp.		216,838		12,398,797
Kroger Co. (The)		95,500		3,298,570
Safeway, Inc.(a)		44,500		1,052,870
Sysco Corp.		101,500		3,467,240
Walgreen Co.		153,100		6,767,020
Wal-Mart Stores, Inc.		290,800		21,661,692
Whole Foods Market, Inc.		59,800		3,078,504
				60,242,121
Food Products — 1.6%
Archer-Daniels-Midland Co.		115,138		3,904,330
Campbell Soup Co.(a)		30,100		1,348,179
ConAgra Foods, Inc.		70,300		2,455,579
General Mills, Inc.		114,700		5,566,391
Hershey Co. (The)		27,100		2,419,488
Hormel Foods Corp.(a)		23,600		910,488
J.M. Smucker Co. (The)		19,200		1,980,480
Kellogg Co.		42,900		2,755,467
Kraft Foods Group, Inc.		105,137		5,874,004
McCormick & Co., Inc.(a)		23,100		1,625,316
Mead Johnson Nutrition Co.		34,993		2,772,495
Mondelez International, Inc. (Class A Stock)		313,111		8,933,057
Tyson Foods, Inc. (Class A Stock)		50,100		1,286,568
				41,831,842
Gas Utilities — 0.1%
AGL Resources, Inc.(a)		19,837		850,214
ONEOK, Inc.(a)		36,240		1,497,074
				2,347,288
Healthcare Equipment & Supplies — 2.1%
Abbott Laboratories		278,500		9,714,080
Baxter International, Inc.		96,200		6,663,774
Becton, Dickinson & Co.		33,800		3,340,454
Boston Scientific Corp.*		242,699		2,249,820
C.R. Bard, Inc.(a)		14,100		1,532,388
CareFusion Corp.*		39,537		1,456,938
Covidien PLC		82,900		5,209,436
DENTSPLY International, Inc.		22,500		921,600
Edwards Lifesciences Corp.*		20,200		1,357,440
Intuitive Surgical, Inc.*		7,200		3,647,376
Medtronic, Inc.		177,000		9,110,190
St. Jude Medical, Inc.		50,300		2,295,189
Stryker Corp.		51,400		3,324,552
Varian Medical Systems, Inc.*(a)		19,300		1,301,785
Zimmer Holdings, Inc.		29,486		2,209,681
				54,334,703

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 2.0%
Aetna, Inc.		67,857	$	4,311,634
AmerisourceBergen Corp.		41,400		2,311,362
Cardinal Health, Inc.		58,975		2,783,620
CIGNA Corp.		50,600		3,667,994
DaVita HealthCare Partners, Inc.*		15,300		1,848,240
Express Scripts Holding Co.*		143,151		8,830,985
Humana, Inc.		28,100		2,371,078
Laboratory Corp. of America Holdings*(a)		15,500		1,551,550
McKesson Corp.		39,907		4,569,351
Patterson Cos., Inc.		15,900		597,840
Quest Diagnostics, Inc.		28,100		1,703,703
Tenet Healthcare Corp.*(a)		17,800		820,580
UnitedHealth Group, Inc.		178,700		11,701,276
WellPoint, Inc.		53,000		4,337,520
				51,406,733
Healthcare Technology — 0.1%
Cerner Corp.*		24,900		2,392,641
Hotels, Restaurants & Leisure — 1.8%
Carnival Corp.		78,900		2,705,481
Chipotle Mexican Grill, Inc.*(a)		5,500		2,003,925
Darden Restaurants, Inc.		23,350		1,178,708
International Game Technology		50,300		840,513
Marriott International, Inc. (Class A Stock)		42,803		1,727,957
McDonald’s Corp.		178,500		17,671,500
Starbucks Corp.		132,700		8,690,523
Starwood Hotels & Resorts Worldwide, Inc.		32,800		2,072,632
Wyndham Worldwide Corp.		24,463		1,400,018
Wynn Resorts Ltd.		13,100		1,676,800
Yum! Brands, Inc.		80,400		5,574,936
				45,542,993
Household Durables — 0.3%
D.R. Horton, Inc.(a)		45,200		961,856
Garmin Ltd.(a)		14,600		527,936
Harman International Industries, Inc.		13,200		715,440
Leggett & Platt, Inc.(a)		26,200		814,558
Lennar Corp. (Class A Stock)(a)		24,300		875,772
Newell Rubbermaid, Inc.		53,749		1,410,911
Pulte Group, Inc.*		53,685		1,018,404
Whirlpool Corp.		13,907		1,590,405
				7,915,282
Household Products — 2.1%
Clorox Co. (The)		22,500		1,870,650
Colgate-Palmolive Co.		155,400		8,902,866
Kimberly-Clark Corp.		68,788		6,682,067
Procter & Gamble Co. (The)		480,981		37,030,727
				54,486,310
Independent Power Producers & Energy Traders — 0.1%
AES Corp.		117,900		1,413,621
NRG Energy, Inc.		48,700		1,300,290
				2,713,911

SEE NOTES TO FINANCIAL STATEMENTS.

A161

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Industrial Conglomerates — 2.4%
3M Co.		111,700	$	12,214,395
Danaher Corp.		102,200		6,469,260
General Electric Co.		1,825,900		42,342,621
				61,026,276
Insurance — 4.2%
ACE Ltd.		62,100		5,556,708
Aflac, Inc.		87,500		5,085,500
Allstate Corp. (The)		88,188		4,243,607
American International Group, Inc.*		258,429		11,551,776
Aon PLC		57,625		3,708,169
Assurant, Inc.		19,400		987,654
Berkshire Hathaway, Inc. (Class B Stock)*		321,300		35,959,896
Chubb Corp. (The)		48,800		4,130,920
Cincinnati Financial Corp.		30,128		1,382,875
Genworth Financial, Inc. (Class A Stock)*		103,200		1,177,512
Hartford Financial Services Group, Inc. (The)		80,100		2,476,692
Lincoln National Corp.		54,363		1,982,619
Loews Corp.		58,826		2,611,874
Marsh & McLennan Cos., Inc.		103,400		4,127,728
MetLife, Inc.		193,400		8,849,984
Principal Financial Group, Inc.		52,700		1,973,615
Progressive Corp. (The)		109,000		2,770,780
Torchmark Corp.		20,750		1,351,655
Travelers Cos., Inc. (The)		69,898		5,586,248
Unum Group		54,956		1,614,058
XL Group PLC		59,500		1,804,040
				108,933,910
Internet & Catalog Retail — 1.1%
Amazon.com, Inc.*		63,900		17,744,391
Expedia, Inc.		16,700		1,004,505
Netflix, Inc.*		8,700		1,836,483
priceline.com, Inc.*		8,900		7,361,457
Tripadvisor, Inc.*(a)		14,900		906,963
				28,853,799
Internet Software & Services — 2.3%
Akamai Technologies, Inc.*		30,400		1,293,520
eBay, Inc.*		205,900		10,649,148
Google, Inc. (Class A Stock)*		47,010		41,386,194
VeriSign, Inc.*(a)		25,400		1,134,364
Yahoo!, Inc.*(a)		171,800		4,313,898
				58,777,124
IT Services — 3.5%
Accenture PLC (Class A Stock)(a)		113,000		8,131,480
Automatic Data Processing, Inc.		85,000		5,853,100
Cognizant Technology Solutions Corp. (Class A Stock)*		53,800		3,368,418
Computer Sciences Corp.		26,300		1,151,151
Fidelity National Information Services, Inc.		47,100		2,017,764
Fiserv, Inc.*		23,100		2,019,171
International Business Machines Corp.		183,400		35,049,574

COMMON STOCKS (continued)	Shares		Value (Note 2)
IT Services (continued)
MasterCard, Inc. (Class A Stock)		18,500	$	10,628,250
Paychex, Inc.(a)		58,550		2,138,246
SAIC, Inc.(a)		54,400		757,792
Teradata Corp.*(a)		29,600		1,486,808
Total System Services, Inc.		29,993		734,229
Visa, Inc. (Class A Stock)		88,600		16,191,650
Western Union Co. (The)		99,104		1,695,669
				91,223,302
Leisure Equipment & Products — 0.1%
Hasbro, Inc.(a)		19,050		854,012
Mattel, Inc.		57,681		2,613,526
				3,467,538
Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.		60,382		2,581,935
Life Technologies Corp.*		30,630		2,266,926
PerkinElmer, Inc.		20,000		650,000
Thermo Fisher Scientific, Inc.		63,600		5,382,468
Waters Corp.*(a)		15,900		1,590,795
				12,472,124
Machinery — 1.7%
Caterpillar, Inc.(a)		114,900		9,478,101
Cummins, Inc.		31,100		3,373,106
Deere & Co.		68,500		5,565,625
Dover Corp.		30,500		2,368,630
Flowserve Corp.		25,200		1,361,052
Illinois Tool Works, Inc.		73,900		5,111,663
Ingersoll-Rand PLC		46,300		2,570,576
Joy Global, Inc.		16,600		805,598
PACCAR, Inc.		61,128		3,280,128
Pall Corp.		20,100		1,335,243
Parker Hannifin Corp.		26,987		2,574,560
Pentair Ltd.		34,107		1,967,633
Snap-on, Inc.		11,000		983,180
Stanley Black & Decker, Inc.		28,235		2,182,566
Xylem, Inc.		27,600		743,544
				43,701,205
Media — 3.6%
Cablevision Systems Corp. (Class A Stock)		33,800		568,516
CBS Corp. (Class B Stock)		102,568		5,012,498
Comcast Corp. (Class A Stock)		469,346		19,656,211
DIRECTV*		101,200		6,235,944
Discovery Communications, Inc. (Class A Stock)*(a)		42,300		3,265,983
Gannett Co., Inc.		39,200		958,832
Interpublic Group of Cos., Inc. (The)		76,362		1,111,067
Omnicom Group, Inc.		45,300		2,848,011
Scripps Networks Interactive, Inc. (Class A Stock)		15,600		1,041,456
Time Warner Cable, Inc.		52,026		5,851,885
Time Warner, Inc.		164,440		9,507,921
Twenty-First Century Fox Inc. (Class A Stock)		352,500		11,491,500
Viacom, Inc. (Class B Stock)		80,668		5,489,457

SEE NOTES TO FINANCIAL STATEMENTS.

A162

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Media (continued)
Walt Disney Co. (The)(a)		316,801	$	20,005,983
Washington Post Co. (The) (Class B Stock)		800		387,016
				93,432,280
Metals & Mining — 0.5%
Alcoa, Inc.(a)		195,776		1,530,968
Allegheny Technologies, Inc.		15,440		406,227
Cliffs Natural Resources, Inc.(a)		26,000		422,500
Freeport-McMoRan Copper & Gold, Inc.		175,112		4,834,842
Newmont Mining Corp.		89,403		2,677,620
Nucor Corp.		56,300		2,438,916
United States Steel Corp.(a)		19,740		346,042
				12,657,115
Multiline Retail — 0.8%
Dollar General Corp.*		48,700		2,455,941
Dollar Tree, Inc.*		40,700		2,069,188
Family Dollar Stores, Inc.(a)		16,400		1,021,884
J.C. Penney Co., Inc.*(a)		20,700		353,556
Kohl’s Corp.		37,500		1,894,125
Macy’s, Inc.		69,820		3,351,360
Nordstrom, Inc.		26,800		1,606,392
Target Corp.		115,268		7,937,354
				20,689,800
Multi-Utilities — 1.2%
Ameren Corp.		42,000		1,446,480
CenterPoint Energy, Inc.(a)		73,110		1,717,354
CMS Energy Corp.		45,800		1,244,386
Consolidated Edison, Inc.		52,400		3,055,444
Dominion Resources, Inc.		102,384		5,817,459
DTE Energy Co.		32,000		2,144,320
Integrys Energy Group, Inc.		12,050		705,286
NiSource, Inc.		49,600		1,420,544
PG&E Corp.		76,900		3,516,637
Public Service Enterprise Group, Inc.		89,200		2,913,272
SCANA Corp.		22,200		1,090,020
Sempra Energy		40,954		3,348,399
TECO Energy, Inc.(a)		34,200		587,898
Wisconsin Energy Corp.		39,600		1,623,204
				30,630,703
Office Electronics — 0.1%
Xerox Corp.		222,111		2,014,547
Oil, Gas & Consumable Fuels — 8.6%
Anadarko Petroleum Corp.		88,626		7,615,632
Apache Corp.		69,250		5,805,228
Cabot Oil & Gas Corp.		36,800		2,613,536
Chesapeake Energy Corp.(a)		92,700		1,889,226
Chevron Corp.		342,792		40,566,005
ConocoPhillips		214,979		13,006,230
CONSOL Energy, Inc.		42,500		1,151,750
Denbury Resources, Inc.*		66,900		1,158,708
Devon Energy Corp.		66,700		3,460,396
EOG Resources, Inc.		48,200		6,346,976
EQT Corp.		26,400		2,095,368

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels (continued)
Exxon Mobil Corp.		783,254	$	70,766,999
Hess Corp.		52,900		3,517,321
Kinder Morgan, Inc.		109,943		4,194,325
Marathon Oil Corp.		125,494		4,339,583
Marathon Petroleum Corp.		58,647		4,167,456
Murphy Oil Corp.		32,500		1,978,925
Newfield Exploration Co.*		23,700		566,193
Noble Energy, Inc.		64,800		3,890,592
Occidental Petroleum Corp.		140,400		12,527,892
Peabody Energy Corp.		47,100		689,544
Phillips 66		112,339		6,617,890
Pioneer Natural Resources Co.		22,000		3,184,500
QEP Resources, Inc.		28,200		783,396
Range Resources Corp.		29,500		2,280,940
Southwestern Energy Co.*(a)		62,500		2,283,125
Spectra Energy Corp.		119,042		4,102,187
Tesoro Corp.		24,100		1,260,912
Valero Energy Corp.		98,500		3,424,845
Williams Cos., Inc. (The)		116,500		3,782,755
WPX Energy, Inc.*(a)		36,133		684,365
				220,752,800
Paper & Forest Products — 0.1%
International Paper Co.		79,667		3,530,045
Personal Products — 0.2%
Avon Products, Inc.		78,700		1,655,061
Estee Lauder Cos., Inc. (The) (Class A Stock)		40,500		2,663,685
				4,318,746
Pharmaceuticals — 5.8%
AbbVie, Inc.		278,900		11,529,726
Actavis, Inc.*		22,700		2,865,194
Allergan, Inc.		54,900		4,624,776
Bristol-Myers Squibb Co.		288,340		12,885,914
Eli Lilly & Co.		179,300		8,807,216
Forest Laboratories, Inc.*		40,900		1,676,900
Hospira, Inc.*		28,920		1,107,925
Johnson & Johnson		492,071		42,249,216
Merck & Co., Inc.		529,904		24,614,033
Mylan, Inc.*		71,300		2,212,439
Perrigo Co.(a)		15,700		1,899,700
Pfizer, Inc.		1,179,273		33,031,437
Zoetis, Inc.		67,800		2,094,342
				149,598,818
Professional Services — 0.1%
Dun & Bradstreet Corp. (The)(a)		7,200		701,640
Equifax, Inc.		21,500		1,266,995
Robert Half International, Inc.		23,100		767,613
				2,736,248
Real Estate Investment Trusts — 2.0%
American Tower Corp.		71,500		5,231,655
Apartment Investment & Management Co. (Class A Stock)		24,074		723,183
AvalonBay Communities, Inc.		20,218		2,727,610
Boston Properties, Inc.		26,200		2,763,314

SEE NOTES TO FINANCIAL STATEMENTS.

A163

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Real Estate Investment Trusts (continued)
Equity Residential		55,600	$	3,228,136
HCP, Inc.		78,700		3,576,128
Health Care REIT, Inc.		46,300		3,103,489
Host Hotels & Resorts, Inc.		123,726		2,087,258
Kimco Realty Corp.		76,400		1,637,252
Macerich Co. (The)		21,200		1,292,564
Plum Creek Timber Co., Inc.(a)		25,900		1,208,753
ProLogis, Inc.		81,228		3,063,920
Public Storage		25,400		3,894,582
Simon Property Group, Inc.		55,001		8,685,758
Ventas, Inc.		51,204		3,556,630
Vornado Realty Trust		32,157		2,664,207
Weyerhaeuser Co.		99,310		2,829,342
				52,273,781
Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		53,500		1,249,760
Road & Rail — 0.9%
CSX Corp.		180,272		4,180,508
Kansas City Southern		16,800		1,780,128
Norfolk Southern Corp.		55,300		4,017,545
Ryder System, Inc.		9,100		553,189
Union Pacific Corp.		82,700		12,758,956
				23,290,326
Semiconductors & Semiconductor Equipment — 2.0%
Advanced Micro Devices, Inc.*(a)		70,000		285,600
Altera Corp.		52,500		1,731,975
Analog Devices, Inc.		52,900		2,383,674
Applied Materials, Inc.		220,300		3,284,673
Broadcom Corp. (Class A Stock)		86,950		2,935,432
First Solar, Inc.*		5,600		250,488
Intel Corp.(a)		872,800		21,139,216
KLA-Tencor Corp.		28,700		1,599,451
Lam Research Corp.*		31,350		1,390,059
Linear Technology Corp.		43,500		1,602,540
LSI Corp.*		108,400		773,976
Microchip Technology, Inc.(a)		31,900		1,188,275
Micron Technology, Inc.*(a)		160,300		2,297,099
NVIDIA Corp.(a)		108,250		1,518,747
Teradyne, Inc.*(a)		32,200		565,754
Texas Instruments, Inc.		195,100		6,803,137
Xilinx, Inc.		44,000		1,742,840
				51,492,936
Software — 3.4%
Adobe Systems, Inc.*		88,000		4,009,280
Autodesk, Inc.*		41,400		1,405,116
BMC Software, Inc.*		24,200		1,092,388
CA, Inc.		60,073		1,719,890
Citrix Systems, Inc.*		32,400		1,954,692
Electronic Arts, Inc.*		52,800		1,212,816
Intuit, Inc.		50,400		3,075,912
Microsoft Corp.		1,322,800		45,676,284
Oracle Corp.		655,320		20,131,431
Red Hat, Inc.*		33,300		1,592,406
Salesforce.com, Inc.*(a)		90,000		3,436,200

COMMON STOCKS (continued)	Shares		Value (Note 2)
Software (continued)
Symantec Corp.		124,211	$	2,791,021
				88,097,436
Specialty Retail — 2.3%
Abercrombie & Fitch Co. (Class A Stock)		15,000		678,750
AutoNation, Inc.*		4,289		186,100
AutoZone, Inc.*		6,400		2,711,616
Bed Bath & Beyond, Inc.*(a)		38,000		2,694,200
Best Buy Co., Inc.		48,025		1,312,523
CarMax, Inc.*		40,000		1,846,400
GameStop Corp. (Class A Stock)		21,800		916,254
Gap, Inc. (The)		53,587		2,236,185
Home Depot, Inc. (The)		257,619		19,957,744
L Brands, Inc.		43,496		2,142,178
Lowe’s Cos., Inc.		191,500		7,832,350
O’Reilly Automotive, Inc.*(a)		19,400		2,184,828
PetSmart, Inc.		19,100		1,279,509
Ross Stores, Inc.		40,300		2,611,843
Staples, Inc.		123,600		1,960,296
Tiffany & Co.		19,400		1,413,096
TJX Cos., Inc.		127,100		6,362,626
Urban Outfitters, Inc.*		19,000		764,180
				59,090,678
Textiles, Apparel & Luxury Goods — 0.7%
Coach, Inc.		51,700		2,951,553
Fossil Group, Inc.*		8,300		857,473
NIKE, Inc. (Class B Stock)		131,000		8,342,080
PVH Corp.		11,600		1,450,580
Ralph Lauren Corp.		11,000		1,911,140
VF Corp.		15,536		2,999,380
				18,512,206
Thrifts & Mortgage Finance — 0.1%
Hudson City Bancorp, Inc.		86,900		796,004
People’s United Financial, Inc.(a)		59,200		882,080
				1,678,084
Tobacco — 1.7%
Altria Group, Inc.		351,900		12,312,981
Lorillard, Inc.(a)		67,493		2,948,094
Philip Morris International, Inc.		287,900		24,937,898
Reynolds American, Inc.		56,700		2,742,579
				42,941,552
Trading Companies & Distributors — 0.2%
Fastenal Co.(a)		48,600		2,228,310
W.W. Grainger, Inc.		10,700		2,698,326
				4,926,636
Wireless Telecommunication Services — 0.3%
Crown Castle International Corp.*		49,700		3,597,783
Sprint Nextel Corp.*		543,622		3,816,226
				7,414,009
TOTAL LONG-TERM INVESTMENTS (cost $1,091,314,212)				2,514,348,984

SEE NOTES TO FINANCIAL STATEMENTS.

A164

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

SHORT-TERM INVESTMENTS — 6.7%	Shares		Value (Note 2)
Affiliated Money Market Mutual Fund — 6.6%
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $171,326,163; includes $114,954,672 of cash collateral received for securities on loan) (Note 4)(b)(c)		171,326,163	$	171,326,163
	Principal Amount (000)
U.S. Government Treasury Obligation — 0.1%
U.S. Treasury Bill, 0.05%, 09/19/2013(d)(e) (cost $2,999,700)	$	3,000		2,999,766
TOTAL SHORT-TERM INVESTMENTS (cost $174,325,863)				174,325,929
TOTAL INVESTMENTS — 104.3% (cost $1,265,640,075)				2,688,674,913
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (4.3)%				(111,703,654	)
NET ASSETS — 100.0%			$	2,576,971,259

The following abbreviations is used in portfolio descriptions:

REIT Real Estate Investment Trust

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $111,388,455; cash collateral of $114,954,672 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

Open futures contracts outstanding at June 30, 2013:

Number of Contracts	Type	Expiration Date		Value at Trade Date		Value at June 30, 2013		Unrealized Depreciation
Long Position:
157	S&P 500 Index		Sep. 2013	$	63,901,653	$	62,772,525	$	(1,129,128	)

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1			Level 2		Level 3
Investments in Securities
Common Stocks	$	2,514,348,984		$	—	$	—
Affiliated Money Market Mutual Fund		171,326,163			—		—
U.S. Government Treasury Obligation		—			2,999,766		—
Other Financial Instruments*
Futures		(1,129,128	)		—		—
Total	$	2,684,546,019		$	2,999,766	$	—

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

SEE NOTES TO FINANCIAL STATEMENTS.

A165

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 was as follows:

Oil, Gas & Consumable Fuels	8.6	%
Affiliated Money Market Mutual Fund (including 4.5% of collateral received for securities on loan)	6.6
Pharmaceuticals	5.8
Insurance	4.2
Diversified Financial Services	3.9
Computers & Peripherals	3.7
Media	3.6
IT Services	3.5
Software	3.4
Commercial Banks	2.9
Aerospace & Defense	2.5
Diversified Telecommunication Services	2.5
Industrial Conglomerates	2.4
Beverages	2.3
Chemicals	2.3
Food & Staples Retailing	2.3
Internet Software & Services	2.3
Specialty Retail	2.3
Capital Markets	2.1
Healthcare Equipment & Supplies	2.1
Household Products	2.1
Biotechnology	2.0
Healthcare Providers & Services	2.0
Real Estate Investment Trusts	2.0
Semiconductors & Semiconductor Equipment	2.0
Communications Equipment	1.9
Electric Utilities	1.8
Hotels, Restaurants & Leisure	1.8
Energy Equipment & Services	1.7
Machinery	1.7
Tobacco	1.7
Food Products	1.6
Multi-Utilities	1.2
Internet & Catalog Retail	1.1

Consumer Finance	1.0	%
Road & Rail	0.9
Multiline Retail	0.8
Air Freight & Logistics	0.7
Automobiles	0.7
Textiles, Apparel & Luxury Goods	0.7
Electrical Equipment	0.6
Commercial Services & Supplies	0.5
Life Sciences Tools & Services	0.5
Metals & Mining	0.5
Auto Components	0.4
Electronic Equipment, Instruments & Components	0.4
Household Durables	0.3
Wireless Telecommunication Services	0.3
Construction & Engineering	0.2
Containers & Packaging	0.2
Personal Products	0.2
Trading Companies & Distributors	0.2
Airlines	0.1
Distributors	0.1
Diversified Consumer Services	0.1
Gas Utilities	0.1
Healthcare Technology	0.1
Independent Power Producers & Energy Traders	0.1
Leisure Equipment & Products	0.1
Office Electronics	0.1
Paper & Forest Products	0.1
Professional Services	0.1
Real Estate Management & Development	0.1
Thrifts & Mortgage Finance	0.1
U.S. Government Treasury Obligation	0.1
	104.3
Liabilities in excess of other assets	(4.3	)
	100.0	%

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

Fair values of derivative instruments as of June 30, 2013 as presented in the Statement of Assets and Liabilities:

Derivatives not designated as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts		$	—	Due to broker — variation margin	$	1,129,128	*

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

The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2013 are as follows:

Amount of Realized Gain on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	8,166,262
Change in Unrealized Depreciation on Derivatives Recognized in Income
Derivatives not designated as hedging instruments, carried at fair value	Futures
Equity contracts	$	(737,237	)

SEE NOTES TO FINANCIAL STATEMENTS.

A166

	STOCK INDEX PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

For the six months ended June 30, 2013, the average value at trade date for futures long position was $59,995,254.

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	111,388,455		$	—	$	—	$	111,388,455
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Exchange-traded and cleared Derivatives		(286,525	)		—		—		(286,525	)
Collateral Amounts Pledged/(Received):
Securities on Loan									(111,388,455	)
Exchange-traded and cleared Derivatives									286,525
Net Amount								$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A167

STOCK INDEX PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $111,388,455:
Unaffiliated investments (cost $1,094,313,912)	$	2,517,348,750
Affiliated investments (cost $171,326,163)		171,326,163
Cash		21,638
Receivable for investments sold		3,149,762
Dividends and interest receivable		3,143,057
Receivable for Series shares sold		8,900
Prepaid expenses		2,273
Total Assets		2,695,000,543
LIABILITIES
Collateral for securities on loan		114,954,672
Payable for investments purchased		1,065,963
Payable for Series shares repurchased		873,178
Management fee payable		642,703
Due to broker-variation margin		286,525
Accrued expenses and other liabilities		205,317
Affiliated transfer agent fee payable		926
Total Liabilities		118,029,284
NET ASSETS	$	2,576,971,259
Net assets were comprised of:
Paid-in capital	$	1,049,178,873
Retained earnings		1,527,792,386
Net assets, June 30, 2013	$	2,576,971,259
Net asset value and redemption price per share, $2,576,971,259 / 63,619,232 outstanding shares of beneficial interest	$	40.51

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $28,084)	$	26,554,037
Affiliated income from securities loaned, net		110,663
Affiliated dividend income		46,100
Interest		85
		26,710,885
EXPENSES
Management fee		4,402,037
Custodian’s fees and expenses		118,000
Shareholders’ reports		77,000
Trustees’ fees		16,000
Insurance expenses		13,000
Audit fee		10,000
Legal fees and expenses		8,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		2,000
Miscellaneous		9,523
Total expenses		4,661,560
Less: Management fee waiver (Note 3)		(628,862	)
Net expenses		4,032,698
NET INVESTMENT INCOME		22,678,187
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investment transactions		24,041,531
Futures transactions		8,166,262
		32,207,793
Net change in unrealized appreciation (depreciation) on:
Investments		261,880,615
Futures		(737,237	)
		261,143,378
NET GAIN ON INVESTMENTS		293,351,171
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	316,029,358

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	22,678,187		$	45,446,287
Net realized gain on investment transactions		32,207,793			55,517,092
Net change in unrealized appreciation (depreciation) on investments		261,143,378			230,843,600
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		316,029,358			331,806,979
DISTRIBUTIONS		—			(45,812,464	)
SERIES SHARE TRANSACTIONS:
Series shares sold [372,103 and 1,497,834 shares, respectively]		14,583,441			52,031,635
Series shares issued in reinvestment of distributions [– and 1,398,000 shares, respectively]		—			45,812,464
Series shares repurchased [2,391,976 and 5,978,533 shares, respectively]		(93,905,955	)		(205,985,546	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(79,322,514	)		(108,141,447	)
TOTAL INCREASE IN NET ASSETS		236,706,844			177,853,068
NET ASSETS:
Beginning of period		2,340,264,415			2,162,411,347
End of period	$	2,576,971,259		$	2,340,264,415

SEE NOTES TO FINANCIAL STATEMENTS.

A168

	VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 97.2%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 2.2%
Boeing Co. (The)		308,684	$	31,621,589
Air Freight & Logistics — 1.0%
FedEx Corp.		147,320		14,522,806
Airlines — 2.6%
Delta Air Lines, Inc.*		708,772		13,261,124
United Continental Holdings, Inc.*(a)		742,400		23,229,696
				36,490,820
Auto Components — 1.7%
Lear Corp.(a)		407,828		24,657,281
Automobiles — 0.5%
General Motors Co.*		207,121		6,899,201
Capital Markets — 4.8%
Goldman Sachs Group, Inc. (The)		218,534		33,053,267
Morgan Stanley		1,446,885		35,347,401
				68,400,668
Chemicals — 0.4%
Mosaic Co. (The)		113,995		6,134,071
Commercial Banks — 4.6%
PNC Financial Services Group, Inc.		311,457		22,711,444
Wells Fargo & Co.		1,032,903		42,627,907
				65,339,351
Communications Equipment — 1.5%
JDS Uniphase Corp.*		1,445,316		20,783,644
Computers & Peripherals — 1.3%
Apple, Inc.		47,104		18,656,952
Consumer Finance — 2.7%
Capital One Financial Corp.		274,725		17,255,477
SLM Corp.		924,996		21,145,409
				38,400,886
Diversified Financial Services — 5.6%
Citigroup, Inc.		543,858		26,088,868
ING US, Inc.*(a)		792,996		21,458,472
JPMorgan Chase & Co.		593,179		31,313,920
				78,861,260
Diversified Telecommunication Services — 1.3%
Vivendi SA (France)		962,762		18,245,800
Electric Utilities — 1.2%
EDP – Energias de Portugal SA (Portugal), ADR		504,793		16,234,143
Electronic Equipment & Instruments — 2.8%
Flextronics International Ltd.*		5,102,611		39,494,209
Energy Equipment & Services — 1.4%
Halliburton Co.		468,188		19,532,803
Food & Staples Retailing — 1.8%
CVS Caremark Corp.		241,545		13,811,543
Wal-Mart Stores, Inc.		148,026		11,026,457
				24,838,000

COMMON STOCKS (continued)	Shares		Value (Note 2)
Food Products — 4.5%
Bunge Ltd.		337,018	$	23,850,764
Mondelez International, Inc. (Class A Stock)		710,400		20,267,712
Tyson Foods, Inc. (Class A Stock)(a)		748,037		19,209,590
				63,328,066
Healthcare Providers & Services — 6.8%
CIGNA Corp.		382,890		27,755,696
Express Scripts Holding Co.*		335,409		20,691,381
HCA Holdings, Inc.		648,097		23,370,378
UnitedHealth Group, Inc.		361,021		23,639,655
				95,457,110
Hotels, Restaurants & Leisure — 3.7%
Carnival Corp.		537,274		18,423,125
Hyatt Hotels Corp. (Class A Stock)*		354,307		14,299,831
International Game Technology		1,208,059		20,186,666
				52,909,622
Independent Power Producers & Energy Traders — 2.0%
Calpine Corp.*		1,314,448		27,905,731
Insurance — 5.0%
Axis Capital Holdings Ltd.		306,255		14,020,354
MetLife, Inc.(a)		624,490		28,576,662
Travelers Cos., Inc. (The)		175,043		13,989,437
XL Group PLC		454,387		13,777,014
				70,363,467
Internet Software & Services — 1.7%
Google, Inc. (Class A Stock)*		27,460		24,174,960
Machinery — 1.0%
SPX Corp.		192,693		13,870,042
Media — 5.2%
Comcast Corp. (Class A Stock)		517,700		21,681,276
Liberty Global PLC, Ser. C*		586,369		39,808,591
Viacom, Inc. (Class B Stock)		168,459		11,463,635
				72,953,502
Metals & Mining — 2.1%
Goldcorp, Inc.		694,362		17,171,572
Newmont Mining Corp.(a)		406,773		12,182,852
				29,354,424
Multiline Retail — 0.3%
J.C. Penney Co., Inc.*(a)		270,463		4,619,508
Oil, Gas & Consumable Fuels — 11.4%
Anadarko Petroleum Corp.		273,597		23,510,190
Denbury Resources, Inc.*		807,137		13,979,613
EOG Resources, Inc.		172,412		22,703,212
Marathon Oil Corp.		732,754		25,338,633
Newfield Exploration Co.*		294,077		7,025,500
Noble Energy, Inc.		529,737		31,805,409
Occidental Petroleum Corp.		235,422		21,006,705
Suncor Energy, Inc.(a)		521,130		15,368,124
				160,737,386

SEE NOTES TO FINANCIAL STATEMENTS.

A169

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Personal Products — 1.1%
Avon Products, Inc.		725,406	$	15,255,288
Pharmaceuticals — 7.7%
Actavis, Inc.*		190,806		24,083,533
Mylan, Inc.*		952,801		29,565,415
Pfizer, Inc.		891,842		24,980,495
Sanofi (France), ADR		355,826		18,328,597
Teva Pharmaceutical Industries Ltd. (Israel), ADR		290,910		11,403,672
				108,361,712
Road & Rail — 2.5%
Hertz Global Holdings, Inc.*(a)		580,647		14,400,046
Union Pacific Corp.		136,368		21,038,855
				35,438,901
Semiconductors & Semiconductor Equipment — 0.6%
Maxim Integrated Products, Inc.		313,480		8,708,474
Software — 3.5%
CA, Inc.		683,318		19,563,394
Microsoft Corp.		855,288		29,533,095
				49,096,489
Wireless Telecommunication Services — 0.7%
NII Holdings, Inc.*		1,393,456		9,294,352
TOTAL LONG-TERM INVESTMENTS (cost $1,040,551,139)				1,370,942,518
SHORT-TERM INVESTMENT — 5.0%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $70,793,456; includes $30,136,409 of cash collateral received for securities on loan) (Note 4)(b)(c)		70,793,456		70,793,456
TOTAL INVESTMENTS — 102.2% (cost $1,111,344,595)				1,441,735,974
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)%				(31,113,509	)
NET ASSETS — 100.0%			$	1,410,622,465

The following abbreviation is used in portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $29,737,256; cash collateral of $30,136,409 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on the last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance.

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

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	1,352,696,718	$	18,245,800	$	—
Affiliated Money Market Mutual Fund		70,793,456		—		—
Total	$	1,423,490,174	$	18,245,800	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A170

	VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 was as follows:

Oil, Gas & Consumable Fuels	11.4	%
Pharmaceuticals	7.7
Healthcare Providers & Services	6.8
Diversified Financial Services	5.6
Media	5.2
Affiliated Money Market Mutual Fund (including 2.1% of collateral received for securities on loan)	5.0
Insurance	5.0
Capital Markets	4.8
Commercial Banks	4.6
Food Products	4.5
Hotels, Restaurants & Leisure	3.7
Software	3.5
Electronic Equipment & Instruments	2.8
Consumer Finance	2.7
Airlines	2.6
Road & Rail	2.5
Aerospace & Defense	2.2
Metals & Mining	2.1
Independent Power Producers & Energy Traders	2.0

Food & Staples Retailing	1.8	%
Auto Components	1.7
Internet Software & Services	1.7
Communications Equipment	1.5
Energy Equipment & Services	1.4
Computers & Peripherals	1.3
Diversified Telecommunication Services	1.3
Electric Utilities	1.2
Personal Products	1.1
Air Freight & Logistics	1.0
Machinery	1.0
Wireless Telecommunication Services	0.7
Semiconductors & Semiconductor Equipment	0.6
Automobiles	0.5
Chemicals	0.4
Multiline Retail	0.3
	102.2
Liabilities in excess of other assets	(2.2	)
	100.0	%

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

Offsetting of financial instrument assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	29,737,256	$	—	$	—	$	29,737,256
Collateral Amounts Pledged/(Received):
Securities on Loan								(29,737,256	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A171

VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $29,737,256:
Unaffiliated investments (cost $1,040,551,139)	$	1,370,942,518
Affiliated investments (cost $70,793,456)		70,793,456
Dividends and interest receivable		760,386
Foreign tax reclaim receivable		603,285
Receivable for investments sold		194,537
Receivable for Series shares sold		7,560
Prepaid expenses		1,220
Total Assets		1,443,302,962
LIABILITIES
Collateral for securities on loan		30,136,409
Payable for investments purchased		1,391,676
Management fee payable		468,186
Payable for Series shares repurchased		339,247
Accrued expenses and other liabilities		234,980
Payable to custodian		106,010
Distribution fee payable		1,444
Deferred trustees’ fees		1,125
Affiliated transfer agent fee payable		926
Administration fee payable		494
Total Liabilities		32,680,497
NET ASSETS	$	1,410,622,465
Net assets were comprised of:
Paid-in capital	$	1,202,423,186
Retained earnings		208,199,279
Net assets, June 30, 2013	$	1,410,622,465
Class I:
Net asset value and redemption price per share, $1,403,683,623 / 67,198,167 outstanding shares of beneficial interest	$	20.89
Class II:
Net asset value and redemption price per share, $6,938,842 / 330,508 outstanding shares of beneficial interest	$	20.99

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $689,023)	$	11,448,701
Affiliated income from securities loaned, net		133,172
Affiliated dividend income		37,382
		11,619,255
EXPENSES
Management fee		2,726,581
Distribution fee—Class II		8,400
Administration fee—Class II		5,040
Shareholders’ reports		79,000
Custodian’s fees and expenses		64,000
Trustees’ fees		11,000
Audit fee		10,000
Insurance expenses		7,000
Legal fees and expenses		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Commitment fee on syndicated credit agreement		1,000
Miscellaneous		7,208
Total expenses		2,932,229
NET INVESTMENT INCOME		8,687,026
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		86,631,833
Foreign currency transactions		3,355
		86,635,188
Net change in unrealized appreciation (depreciation) on:
Investments		100,248,972
Foreign currencies		(5,851	)
		100,243,121
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		186,878,309
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	195,565,335

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	8,687,026		$	17,134,113
Net realized gain (loss) on investment and foreign currency transactions		86,635,188			(7,142,198	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		100,243,121			162,783,620
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		195,565,335			172,775,535
DISTRIBUTIONS:
Class I		—			(12,289,580	)
Class II		—			(34,396	)
TOTAL DISTRIBUTIONS		—			(12,323,976	)
SERIES SHARE TRANSACTIONS (Note 7):
Series shares sold		7,782,035			7,601,414
Series shares issued in reinvestment of distributions		—			12,323,976
Series shares repurchased		(62,233,681	)		(148,489,438	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(54,451,646	)		(128,564,048	)
TOTAL INCREASE IN NET ASSETS		141,113,689			31,887,511
NET ASSETS:
Beginning of period		1,269,508,776			1,237,621,265
End of period	$	1,410,622,465		$	1,269,508,776

SEE NOTES TO FINANCIAL STATEMENTS.

A172

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

Note 1: General

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

Conservative Balanced Portfolio:    Total investment return consistent with a conservatively managed diversified portfolio.

Diversified Bond Portfolio:    High level of income over a longer term while providing reasonable safety of capital.

Equity Portfolio:    Long-term growth of capital.

Flexible Managed Portfolio:    Total return consistent with an aggressively managed diversified portfolio.

Global Portfolio:    Long-term growth of capital.

Government Income Portfolio:    High level of income over the long-term consistent with the preservation of capital.

High Yield Bond Portfolio:    High total return.

Jennison Portfolio:    Long-term growth of capital.

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

Natural Resources Portfolio:    Long-term growth of capital.

Small Capitalization Stock Portfolio:    Long-term growth of capital.

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

Value Portfolio:    Capital appreciation.

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

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.

Securities Valuations:    Each Portfolio holds portfolio securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has delegated fair valuation responsibilities to the Prudential Investments LLC (“PI” or “Manager”) through the adoption of Valuation Procedures for valuation of the Portfolio’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Portfolio to utilize independent pricing vendor services, quotations

B1

from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Board at its next regularly scheduled quarterly meeting.

Various inputs are used in determining the value of the Portfolios’ investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following each Portfolio’s Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

Common stock, exchange-traded funds and financial derivative instruments (including futures contracts and certain options contracts on securities), that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 of the fair value hierarchy.

In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs to the valuation.

For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Portfolio’s normal pricing time. These securities are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs to the valuation.

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

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with input from deal terms, tranche level attributes, yield curves, prepayment speeds, and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

The Money Market Portfolio values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The other Portfolios value short-term debt securities of sufficient credit quality, which mature in sixty days or less, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swaps agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of the fair value hierarchy.

B2

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

Restricted and Illiquid Securities:    Each Portfolio may hold up to 15% of their net assets (the Money Market Portfolio may hold up to 10% of its net assets) in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.

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

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

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

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

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

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

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

B3

Short Sales:    Certain Portfolios of the Series Fund may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.

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

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

Certain Portfolios of the Series Fund entered into financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates and to manage yield curve duration. Certain Portfolios entered into equity index futures contracts to gain market exposure. The Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities.

Options:    Certain Portfolios of the Series Fund purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. Certain Portfolios also used purchased options to gain exposure to certain securities and foreign currencies. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. Over-the-counter options involve the risk of the potential inability of the counterparties to meet the terms of their contracts.

With exchange-traded futures and options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and options, and guarantees the futures and options contracts against default.

B4

Swap Agreements:    Certain Portfolios of the Series Fund may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with 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 are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.

Credit Default Swaps:    Credit default swaps involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (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 have entered into credit default swaps to provide a measure of protection against defaults of the issuers. Certain Portfolios in the Series Fund used credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Certain Portfolios took an active short position with respect to the likelihood of particular issuer’s default by selling credit default swaps. 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 based on a credit event.

As a seller of protection on credit default swap agreements, a Portfolio will generally receive from the buyer of protection an agreed upon payment throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively increase investment risk to its portfolio because, in addition to its total net assets, a Portfolio may be subject to investment exposure on the notional amount of the swap.

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

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

B5

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

As of June 30, 2013, 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 having master netting arrangements.

Warrants and Rights:    Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as

B6

long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Securities Lending:    Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities and any interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Dollar Rolls:    Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.

When-Issued/Delayed Delivery Securities:    Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are charged directly to a Portfolio or class level.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Money Market Portfolio declares and reinvests distributions daily. The Diversified Bond, Government Income and High Yield Bond Portfolios make distributions, if any, quarterly. 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.

B7

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, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

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

Portfolio	Management Fee	Effective Management Fee
Conservative Balanced Portfolio	0.55%		0.55	%
Diversified Bond Portfolio	0.40		0.40
Equity Portfolio	0.45		0.45
Flexible Managed Portfolio	0.60		0.60
Global Portfolio	0.75		0.75	***
Government Income Portfolio	0.40		0.40
High Yield Bond Portfolio	0.55		0.55
Jennison Portfolio	0.60		0.60
Money Market Portfolio	0.40		0.14	*
Natural Resources Portfolio	0.45		0.45	****
Small Capitalization Stock Portfolio	0.40		0.40	****
Stock Index Portfolio	0.35% up to $4 billion 0.30% over $4 billion		0.30	**
Value Portfolio	0.40		0.40	****

* In order to support the income yield, PI has voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) does not fall below 0.00%. Prior to July 1, 2012, PI had voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) did not fall below 0.02%. Prior to March 2, 2010, that threshold was 0.05%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the six months ended June 30, 2013, the total waiver as a result of this voluntary agreement was $1,138,770 or an annualized 0.26% of the Money Market Portfolio’s average daily net assets.

** Effective August 1, 2010, PI has voluntarily agreed to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio.

*** Effective July 1, 2013, PI has contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.01% of the average net assets of the Portfolio.

**** Effective July 1, 2013, PI has contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.05% of the average net assets of the Portfolio.

At June 30, 2013, 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
High Yield Bond Portfolio	PIM
Jennison Portfolio	Jennison

B8

Portfolio	Subadvisor(s)
Money Market Portfolio	PIM
Natural Resources Portfolio	Jennison
Small Capitalization Stock Portfolio	QMA
Stock Index Portfolio	QMA
Value Portfolio	Jennison

* Effective June 17, 2013, Brown replaced Marsico Capital Management, LLC.

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

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

The Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2013, brokerage commission recaptured under these agreements was as follows:

Portfolio	Commission Recaptured
Equity Portfolio	$	174,757
Global Portfolio		2,082
Jennison Portfolio		66,040
Natural Resources Portfolio		21,130
Value Portfolio		56,996

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 six months ended June 30, 2013, PIM was compensated as follows for these services by the Series Fund Portfolios:

Portfolio	PIM
Conservative Balanced Portfolio		$  32,548
Diversified Bond Portfolio		24,355
Equity Portfolio		80,691
Flexible Managed Portfolio		32,080
Global Portfolio		6,115
Government Income Portfolio		11,913
High Yield Bond Portfolio		157,306
Jennison Portfolio		16,074
Natural Resources Portfolio		20,098
Small Capitalization Stock Portfolio		175,022
Stock Index Portfolio		33,055
Value Portfolio		39,779

B9

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, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the six months ended June 30, 2013 were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	1,916,536,004	$	1,898,937,789
Diversified Bond Portfolio		531,976,196		503,094,200
Equity Portfolio		717,899,450		786,834,574
Flexible Managed Portfolio		3,080,115,222		3,143,626,695
Global Portfolio		344,159,111		349,928,308
Government Income Portfolio		2,631,602,291		2,643,443,141
High Yield Bond Portfolio		868,606,659		843,935,359
Jennison Portfolio		259,711,195		302,617,375
Natural Resources Portfolio		99,660,242		161,020,035
Small Capitalization Stock Portfolio		33,349,864		44,019,779
Stock Index Portfolio		16,835,761		72,654,079
Value Portfolio		258,117,417		304,673,953

Options written transactions, during the six months ended June 30, 2013, were as follows:

Conservative Balanced Portfolio	Number of Contracts/ Notional Amount			Premiums
Balance as of December 31, 2012		—		$	—
Options written		14,512,058			71,076
Options terminated in closing purchase transactions		(14,512,000	)		(51,248	)
Options expired		(58	)		(19,828	)
Balance as of June 30, 2013		—		$	—
Diversified Bond Portfolio	Contracts			Premiums
Balance as of December 31, 2012		—		$	—
Options written		20,185			71,278
Options terminated in closing purchase transactions		(20,185	)		(71,278	)
Options expired		—			—
Balance as of June 30, 2013		—		$	—
Flexible Managed Portfolio	Contracts			Premiums
Balance as of December 31, 2012		—		$	—
Options written		17,544,069			85,544
Options terminated in closing purchase transactions		(17,544,000	)		(61,955	)
Options expired		(69	)		(23,589	)
Balance as of June 30, 2013		—		$	—
Government Income Portfolio	Contracts			Premiums
Balance as of December 31, 2012		—		$	—
Options written		11,592,046			57,055
Options terminated in closing purchase transactions		(11,592,000	)		(41,329	)
Options expired		(46	)		(15,726	)
Balance as of June 30, 2013		—		$	—

B10

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Note 7: Capital

The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of June 30, 2013, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.

Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:

Equity Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		278,859		$	8,102,896
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(4,156,125	)		(120,374,339	)
Net increase (decrease) in shares outstanding		(3,877,266	)	$	(112,271,443	)
Year ended December 31, 2012:
Series shares sold		665,566		$	17,089,685
Series shares issued in reinvestment of distributions		764,646			18,817,932
Series shares repurchased		(9,596,928	)		(249,386,485	)
Net increase (decrease) in shares outstanding		(8,166,716	)	$	(213,478,868	)
Class II
Six months ended June 30, 2013:
Series shares sold		5,019		$	152,925
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(8,356	)		(253,481	)
Net increase (decrease) in shares outstanding		(3,337	)	$	(100,556	)
Year ended December 31, 2012:
Series shares sold		2,851		$	75,562
Series shares issued in reinvestment of distributions		170			4,233
Series shares repurchased		(18,112	)		(453,228	)
Net increase (decrease) in shares outstanding		(15,091	)	$	(373,433	)

B11

Jennison Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		348,716		$	10,079,303
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(1,988,829	)		(57,395,484	)
Net increase (decrease) in shares outstanding		(1,640,113	)	$	(47,316,181	)
Year ended December 31, 2012:
Series shares sold		1,025,506		$	27,133,671
Series shares issued in reinvestment of distributions		75,735			1,936,533
Series shares repurchased		(4,559,725	)		(120,020,319	)
Net increase (decrease) in shares outstanding		(3,458,484	)	$	(90,950,115	)
Class II
Six months ended June 30, 2013:
Series shares sold		82,528		$	2,330,601
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(193,026	)		(5,450,592	)
Net increase (decrease) in shares outstanding		(110,498	)	$	(3,119,991	)
Year ended December 31, 2012:
Series shares sold		466,072		$	12,156,641
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(592,524	)		(15,413,992	)
Net increase (decrease) in shares outstanding		(126,452	)	$	(3,257,351	)

Natural Resources Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		138,435		$	4,700,517
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(1,650,538	)		(57,037,027	)
Net increase (decrease) in shares outstanding		(1,512,103	)	$	(52,336,510	)
Year ended December 31, 2012:
Series shares sold		364,027		$	13,108,269
Series shares issued in reinvestment of distributions		2,374,743			73,450,794
Series shares repurchased		(3,246,104	)		(115,601,851	)
Net increase (decrease) in shares outstanding		(507,334	)	$	(29,042,788	)
Class II
Six months ended June 30, 2013:
Series shares sold		166,887		$	5,680,448
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(372,474	)		(12,908,776	)
Net increase (decrease) in shares outstanding		(205,587	)	$	(7,228,328	)
Year ended December 31, 2012:
Series shares sold		736,538		$	28,087,620
Series shares issued in reinvestment of distributions		177,121			5,441,151
Series shares repurchased		(879,763	)		(32,758,901	)
Net increase (decrease) in shares outstanding		33,896		$	769,870

B12

Value Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		375,620		$	7,484,385
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(3,094,494	)		(61,678,746	)
Net increase (decrease) in shares outstanding		(2,718,874	)	$	(54,194,361	)
Year ended December 31, 2012:
Series shares sold		430,235		$	7,336,846
Series shares issued in reinvestment of distributions		770,990			12,289,580
Series shares repurchased		(8,582,460	)		(147,590,033	)
Net increase (decrease) in shares outstanding		(7,381,235	)	$	(127,963,607	)
Class II
Six months ended June 30, 2013:
Series shares sold		14,579		$	297,650
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(27,378	)		(554,935	)
Net increase (decrease) in shares outstanding		(12,799	)	$	(257,285	)
Year ended December 31, 2012:
Series shares sold		15,559		$	264,568
Series shares issued in reinvestment of distributions		2,138			34,396
Series shares repurchased		(51,890	)		(899,405	)
Net increase (decrease) in shares outstanding		(34,193	)	$	(600,441	)

Note 8: Borrowings

The Portfolios (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to November 15, 2012, the Funds had another SCA with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the SCA during the period ended June 30, 2013. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rates			Amount Outstanding at June 30, 2013
Jennison Portfolio	$	839,000		44		1.45	%	$	105,000

Note 9: Ownership and Affiliates

As of June 30, 2013, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

B13

Financial Highlights

(Unaudited)

	Conservative Balanced Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	17.77		$	16.32		$	15.96		$	14.65		$	12.69		$	16.69
Income (Loss) From Investment Operations:
Net investment income		.20			.38			.36			.37			.39			.50
Net realized and unrealized gain (loss) on investments		.90			1.43			.37			1.31			2.08			(3.98	)
Total from investment operations		1.10			1.81			.73			1.68			2.47			(3.48	)
Less Distributions		—			(.36	)		(.37	)		(.37	)		(.51	)		(.52	)
Net Asset Value, end of period	$	18.87		$	17.77		$	16.32		$	15.96		$	14.65		$	12.69
Total Return(b)		6.19	%		11.23	%		4.60	%		11.74	%		20.01	%		(21.41	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,352.9		$	2,287.0		$	2,191.6		$	2,234.7		$	2,138.7		$	1,957.5
Ratios to average net assets(c):
Expenses		.58	%(e)		.58	%		.59	%		.59	%		.59	%		.59	%
Net investment income		2.01	%(e)		2.11	%		2.12	%		2.32	%		2.68	%		3.12	%
Portfolio turnover rate(d)		116	%(f)		188	%		215	%		185	%		250	%		336	%
	Diversified Bond Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012(a)			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	11.88		$	11.74		$	11.67		$	11.16		$	9.89		$	10.90
Income (Loss) From Investment Operations:
Net investment income		.24			.54			.56			.52			.50			.54
Net realized and unrealized gain (loss) on investments		(.53	)		.66			.30			.63			1.46			(.90	)
Total from investment operations		(.29	)		1.20			.86			1.15			1.96			(.36	)
Less Distributions		(.56	)		(1.06	)		(.79	)		(.64	)		(.69	)		(.65	)
Net Asset Value, end of period	$	11.03		$	11.88		$	11.74		$	11.67		$	11.16		$	9.89
Total Return(b)		(2.57	)%		10.68	%		7.51	%		10.57	%		20.51	%		(3.46	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,223.8		$	1,305.9		$	1,556.9		$	1,522.9		$	1,363.5		$	1,134.8
Ratios to average net assets(c):
Expenses		.44	%(e)		.44	%		.42	%		.46	%		.44	%		.44	%
Net investment income		4.16	%(e)		4.57	%		4.76	%		4.46	%		4.79	%		5.07	%
Portfolio turnover rate		87	%(f)		144	%		167	%		191	%		401	%		723	%

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

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

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

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

(e) Annualized.

(f) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(Unaudited)

	Equity Portfolio
	Class I
	Six Months Ended June 30, 2013(c)			Year Ended December 31,
				2012(c)			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	26.81		$	23.73		$	24.75		$	22.30		$	16.40		$	29.67
Income (Loss) From Investment Operations:
Net investment income		.13			.27			.13			.15			.16			.29
Net realized and unrealized gain (loss) on investments		2.95			2.96			(.98	)		2.48			6.04			(10.52	)
Total from investment operations		3.08			3.23			(.85	)		2.63			6.20			(10.23	)
Less Distributions:		—			(.15	)		(.17	)		(.18	)		(.30	)		(3.04	)
Net Asset Value, end of period	$	29.89		$	26.81		$	23.73		$	24.75		$	22.30		$	16.40
Total Return(a)		11.49	%		13.69	%		(3.47	)%		11.90	%		38.17	%		(38.16	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,415.1		$	3,167.0		$	2,997.5		$	3,324.3		$	3,195.1		$	2,521.0
Ratios to average net assets(b):
Expenses		.47	%(d)		.47	%		.48	%		.48	%		.48	%		.48	%
Net investment income		.91	%(d)		1.04	%		.58	%		.71	%		.90	%		1.21	%
Portfolio turnover rate		22	%(e)		48	%		49	%		68	%		98	%		67	%
	Equity Portfolio
	Class II
	Six Months Ended June 30, 2013(c)			Year Ended December 31,
				2012(c)			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	27.10		$	23.99		$	25.00		$	22.46		$	16.47		$	29.81
Income (Loss) From Investment Operations:
Net investment income		.08			.17			.06			.04			.09			.19
Net realized and unrealized gain (loss) on investments		2.97			3.00			(1.03	)		2.54			6.07			(10.61	)
Total from investment operations		3.05			3.17			(.97	)		2.58			6.16			(10.42	)
Less Distributions:		—			(.06	)		(.04	)		(.04	)		(.17	)		(2.92	)
Net Asset Value, end of period	$	30.15		$	27.10		$	23.99		$	25.00		$	22.46		$	16.47
Total Return(a)		11.25	%		13.23	%		(3.87	)%		11.50	%		37.58	%		(38.47	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1.9		$	1.8		$	2.0		$	1.9		$	.4		$	.4
Ratios to average net assets(b):
Expenses		.87	%(d)		.87	%		.88	%		.88	%		.88	%		.88	%
Net investment income		.53	%(d)		.63	%		.19	%		.34	%		.52	%		.78	%
Portfolio turnover rate		22	%(e)		48	%		49	%		68	%		98	%		67	%

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

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

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

(d) Annualized.

(e) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(Unaudited)

	Flexible Managed Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	17.77		$	15.99		$	15.63		$	14.28		$	12.34		$	18.30
Income (Loss) From Investment Operations:
Net investment income		.20			.37			.33			.31			.34			.45
Net realized and unrealized gain (loss) on investments		1.20			1.74			.34			1.37			2.05			(4.62	)
Total from investment operations		1.40			2.11			.67			1.68			2.39			(4.17	)
Less Distributions		—			(.33	)		(.31	)		(.33	)		(.45	)		(1.79	)
Net Asset Value, end of period	$	19.17		$	17.77		$	15.99		$	15.63		$	14.28		$	12.34
Total Return(a)		7.88	%		13.37	%		4.34	%		12.03	%		19.95	%		(24.82	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	3,433.8		$	3,265.8		$	3,036.8		$	3,077.3		$	2,906.0		$	2,621.6
Ratios to average net assets(b):
Expenses		.63	%(c)		.63	%		.63	%		.64	%		.63	%		.64	%
Net investment income		1.97	%(c)		2.05	%		2.01	%		2.06	%		2.50	%		2.85	%
Portfolio turnover rate(e)		113	%(d)		214	%		246	%		205	%		248	%		321	%
	Global Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	19.57		$	16.94		$	18.49		$	16.68		$	13.07		$	24.62
Income (Loss) From Investment Operations:
Net investment income		.21			.36			.29			.28			.28			.40
Net realized and unrealized gain (loss) on investments		1.54			2.57			(1.56	)		1.79			3.75			(10.38	)
Total from investment operations		1.75			2.93			(1.27	)		2.07			4.03			(9.98	)
Less Distributions		—			(.30	)		(.28	)		(.26	)		(.42	)		(1.57	)
Net Asset Value, end of period	$	21.32		$	19.57		$	16.94		$	18.49		$	16.68		$	13.07
Total Return(a)		8.94	%		17.52	%		(6.97	)%		12.74	%		31.39	%		(42.92	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	649.2		$	611.2		$	564.2		$	648.5		$	619.5		$	512.7
Ratios to average net assets(b):
Expenses		.84	%(c)		.84	%		.84	%		.87	%		.85	%		.84	%
Net investment income		1.94	%(c)		1.82	%		1.54	%		1.60	%		1.77	%		2.01	%
Portfolio turnover rate		56	%(d)		57	%		69	%		69	%		50	%		65	%

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

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

(c) Annualized.

(d) Not annualized.

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

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(Unaudited)

	Government Income Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	12.15		$	12.37		$	12.03		$	11.86		$	11.40		$	11.38
Income (Loss) From Investment Operations:
Net investment income		.11			.25			.30			.35			.37			.45
Net realized and unrealized gain (loss) on investments		(.37	)		.19			.60			.47			.49			.03
Total from investment operations		(.26	)		.44			.90			.82			.86			.48
Less Distributions		(.48	)		(.66	)		(.56	)		(.65	)		(.40	)		(.46	)
Net Asset Value, end of period	$	11.41		$	12.15		$	12.37		$	12.03		$	11.86		$	11.40
Total Return(a)		(2.22	)%		3.63	%		7.63	%		6.99	%		7.71	%		4.30	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	357.3		$	382.9		$	416.7		$	399.2		$	375.4		$	370.5
Ratios to average net assets(b):
Expenses		.48	%(c)		.48	%		.46	%		.50	%		.47	%		.52	%(f)
Net investment income		1.83	%(c)		1.96	%		2.48	%		2.87	%		3.11	%		3.98	%(f)
Portfolio turnover rate(e)		719	%(d)		1154	%		1554	%		1122	%		1179	%		2707	%
	High Yield Bond Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	5.26		$	4.93		$	5.06		$	4.83		$	3.61		$	5.09
Income (Loss) From Investment Operations:
Net investment income		.17			.35			.38			.42			.41			.41
Net realized and unrealized gain (loss) on investments		(.10	)		.34			(.13	)		.23			1.22			(1.48	)
Total from investment operations		.07			.69			.25			.65			1.63			(1.07	)
Less Distributions		(.17	)		(.36	)		(.38	)		(.42	)		(.41	)		(.41	)
Net Asset Value, end of period	$	5.16		$	5.26		$	4.93		$	5.06		$	4.83		$	3.61
Total Return(a)		1.35	%		14.43	%		5.10	%		14.05	%		47.16	%		(22.28	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,816.1		$	2,841.8		$	2,158.4		$	2,141.2		$	1,938.3		$	1,239.9
Ratios to average net assets(b):
Expenses		.57	%(c)		.57	%		.58	%		.58	%		.58	%		.58	%
Net investment income		6.38	%(c)		6.95	%		7.53	%		8.51	%		9.75	%		8.78	%
Portfolio turnover rate		31	%(d)		53	%		68	%		89	%		84	%		61	%

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

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

(c) Annualized.

(d) Not annualized.

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

(f) Includes interest expense of 0.03%.

SEE NOTES TO FINANCIAL STATEMENTS.

C4

Financial Highlights

(Unaudited)

	Jennison Portfolio
	Class I
	Six Months Ended June 30, 2013(a)			Year Ended December 31,
				2012(a)			2011			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	26.98		$	23.26		$	23.26		$	20.87		$	14.69		$	23.53
Income (Loss) From Investment Operations:
Net investment income		.04			.11			.03			.06			.08			.10
Net realized and unrealized gain (loss) on investments		2.54			3.65			.04			2.42			6.22			(8.84	)
Total from investment operations		2.58			3.76			.07			2.48			6.30			(8.74	)
Less Distributions		—			(.04	)		(.07	)		(.09	)		(.12	)		(.10	)
Net Asset Value, end of period	$	29.56		$	26.98		$	23.26		$	23.26		$	20.87		$	14.69
Total Return(b)		9.56	%		16.18	%		.30	%		11.95	%		43.03	%		(37.28	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,280.8		$	1,213.3		$	1,126.3		$	1,362.1		$	1,298.7		$	1,148.0
Ratios to average net assets(c):
Expenses		.64	%(e)		.63	%		.64	%		.64	%		.64	%		.63	%
Net investment income		.24	%(e)		.42	%		.16	%		.29	%		.44	%		.52	%
Portfolio turnover rate		20	%(f)		45	%		51	%		67	%		76	%		74	%
	Jennison Portfolio
	Class II
	Six Months Ended June 30, 2013(a)			Year Ended December 31,
				2012(a)			2011			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	26.49		$	22.89		$	22.91		$	20.55		$	14.46		$	23.17
Income (Loss) From Investment Operations:
Net investment income (loss)		(.02	)		—	(d)		(.07	)		(.02	)		.01			.02
Net realized and unrealized gain (loss) on investments		2.50			3.60			.05			2.38			6.13			(8.72	)
Total from investment operations		2.48			3.60			(.02	)		2.36			6.14			(8.70	)
Less Distributions		—			—			—			—	(d)		(.05	)		(.01	)
Net Asset Value, end of period	$	28.97		$	26.49		$	22.89		$	22.91		$	20.55		$	14.46
Total Return(b)		9.36	%		15.73	%		(.09	)%		11.50	%		42.52	%		(37.55	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	33.5		$	33.6		$	31.9		$	33.2		$	20.2		$	12.2
Ratios to average net assets(c):
Expenses		1.04	%(e)		1.03	%		1.04	%		1.04	%		1.04	%		1.03	%
Net investment income (loss)		(.16	)%(e)		.02	%		(.24	)%		(.10	)%		.03	%		.12	%
Portfolio turnover rate		20	%(f)		45	%		51	%		67	%		76	%		74	%

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

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

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

(d) Less than $0.005 per share.

(e) Annualized.

(f) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C5

Financial Highlights

(Unaudited)

	Money Market Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Income From Investment Operations:
Net investment income and realized gains		—	(a)		—	(a)		—	(a)		—	(a)		.04			.26
Distributions		—	(a)		—	(a)		—	(a)		—	(a)		(.04	)		(.26	)
Capital contributions(d)		—			—			—			—	(a)		—			—
Net Asset Value, end of period	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00		$	10.00
Total Return(b)		—	%(e)		.01	%		.02	%		.03	%		.40	%		2.65	%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	888.4		$	903.5		$	1,016.0		$	1,127.1		$	1,223.4		$	1,489.8
Ratios to average net assets:
Expenses		.18	%(c)(f)		.21	%(c)		.18	%(c)		.25	%(c)		.39	%(c)		.43	%
Net investment income		—	%(c)(f)		.01	%(c)		.02	%(c)		.03	%(c)		.41	%(c)		2.59	%

(a) Less than $.005 per share.

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

(c) Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income (loss) ratio would have been .44% and (.26)% for the six months ended June 30, 2013, .44% and (.22)% for the year ended December 31, 2012, .42% and (.22)% for the year ended December 31, 2011, .44% and (.16)% for the year ended December 31, 2010 and .43% and .37% for the year ended December 31, 2009, respectively.

(d) The Portfolio received payments related to an unaffiliated-third-party’s settlement of regulatory proceedings involving allegations of improper trading in Portfolio shares during the fiscal year ended December 31, 2010. The Portfolio was not involved in the proceedings or in the calculation of the amount of settlement.

(e) Less than .005%.

(f) Annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C6

Financial Highlights

(Unaudited)

	Natural Resources Portfolio
	Class I
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011(a)			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	33.83		$	38.25		$	47.33		$	37.15		$	23.70		$	56.28
Income (Loss) From Investment Operations:
Net investment income		.07			.25			.16			.08			.15			.22
Net realized and unrealized gain (loss) on investments		(1.14	)		(1.49	)		(9.16	)		10.26			17.34			(25.97	)
Total from investment operations		(1.07	)		(1.24	)		(9.00	)		10.34			17.49			(25.75	)
Less Distributions		—			(3.18	)		(.08	)		(.16	)		(4.04	)		(6.83	)
Net Asset Value, end of period	$	32.76		$	33.83		$	38.25		$	47.33		$	37.15		$	23.70
Total Return(b)		(3.16	)%		(2.47	)%		(19.03	)%		27.98	%		77.10	%		(53.00	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	727.3		$	802.2		$	926.6		$	1,259.5		$	1,079.6		$	677.4
Ratios to average net assets(c):
Expenses		.50	%(d)		.50	%		.50	%		.50	%		.53	%		.50	%
Net investment income		.63	%(d)		.71	%		.36	%		.22	%		.51	%		.47	%
Portfolio turnover rate		12	%(e)		26	%		34	%		28	%		27	%		40	%
	Natural Resources Portfolio
	Class II
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011(a)			2010(a)			2009(a)			2008(a)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	33.50		$	37.89		$	46.98		$	36.88		$	23.54		$	55.92
Income (Loss) From Investment Operations:
Net investment income (loss)		.02			.12			(.02	)		(.07	)		.03			.05
Net realized and unrealized gain (loss) on investments		(1.14	)		(1.51	)		(9.07	)		10.20			17.21			(25.86	)
Total from investment operations		(1.12	)		(1.39	)		(9.09	)		10.13			17.24			(25.81	)
Less Distributions		—			(3.00	)		—			(.03	)		(3.90	)		(6.57	)
Net Asset Value, end of period	$	32.38		$	33.50		$	37.89		$	46.98		$	36.88		$	23.54
Total Return(b)		(3.34	)%		(2.94	)%		(19.35	)%		27.48	%		76.41	%		(53.19	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	52.5		$	61.2		$	67.9		$	101.9		$	92.6		$	42.3
Ratios to average net assets(c):
Expenses		.90	%(d)		.90	%		.90	%		.90	%		.93	%		.90	%
Net investment income (loss)		.23	%(d)		.31	%		(.04	)%		(.18	)%		.10	%		.12	%
Portfolio turnover rate		12	%(e)		26	%		34	%		28	%		27	%		40	%

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

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

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

(d) Annualized.

(e) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C7

Financial Highlights

(Unaudited)

	Small Capitalization Stock Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	18.56		$	17.00		$	17.27		$	13.83		$	12.52		$	21.31
Income (Loss) From Investment Operations:
Net investment income		.11			.26			.10			.13			.14			.24
Net realized and unrealized gain (loss) on investments		2.87			2.35			—	(f)		3.43			2.70			(5.92	)
Total from investment operations		2.98			2.61			(.10	)		3.56			2.84			(5.68	)
Less Distributions		—			(1.05	)		(.37	)		(.12	)		(1.53	)		(3.11	)
Net Asset Value, end of period	$	21.54		$	18.56		$	17.00		$	17.27		$	13.83		$	12.52
Total Return(a)		16.06	%		16.03	%		.56	%		25.93	%		25.18	%		(31.04	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	658.1		$	578.4		$	542.6		$	589.9		$	492.2		$	432.5
Ratios to average net assets(b):
Expenses		.46	%(d)		.46	%		.48	%		.49	%		.49	%		.47	%
Net investment income		1.04	%(d)		1.43	%		.60	%		.88	%		1.03	%		1.33	%
Portfolio turnover rate		5	%(e)		10	%		17	%		15	%		14	%		25	%
	Stock Index Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	35.65		$	31.47		$	31.37		$	27.89		$	22.76		$	36.84
Income (Loss) From Investment Operations:
Net investment income		.35			.68			.54			.48			.49			.64
Net realized and unrealized gain (loss) on investments		4.51			4.19			.07			3.51			5.32			(14.02	)
Total from investment operations		4.86			4.87			.61			3.99			5.81			(13.38	)
Less Distributions		—			(.69	)		(.51	)		(.51	)		(.68	)		(.70	)
Net Asset Value, end of period	$	40.51		$	35.65		$	31.47		$	31.37		$	27.89		$	22.76
Total Return(a)		13.63	%		15.68	%		1.95	%		14.59	%		26.07	%		(36.94	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	2,577.0		$	2,340.3		$	2,162.4		$	2,277.6		$	2,098.1		$	1,815.8
Ratios to average net assets(b):
Expenses		.32	%(c)(d)		.32	%(c)		.33	%(c)		.36	%(c)		.37	%		.37	%
Net investment income		1.80	%(c)(d)		1.97	%(c)		1.74	%(c)		1.70	%(c)		2.06	%		2.04	%
Portfolio turnover rate		1	%(e)		2	%		2	%		4	%		5	%		4	%

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

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

(c) Net of management fee waiver (Note3). If the investment manager had not waived expenses, the ratio and the net investment income ratio would have been 0.37% and 1.75% for the six months ended June 30, 2013, 0.37% and 1.92% for the year ended December 31, 2012, 0.38% and 1.69% for the year ended December 31, 2011 and 0.38% and 1.68% for the year ended December 31, 2010, respectively.

(d) Annualized.

(e) Not annualized.

(f) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C8

Financial Highlights

(Unaudited)

	Value Portfolio
	Class I
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	18.07		$	15.93		$	17.04		$	15.10		$	10.86		$	23.44
Income (Loss) From Investment Operations:
Net investment income		.12			.22			.14			.17			.14			.30
Net realized and unrealized gain (loss) on investments		2.70			2.09			(1.08	)		1.90			4.36			(8.36	)
Total from investment operations		2.82			2.31			(.94	)		2.07			4.50			(8.06	)
Less Distributions		—			(.17	)		(.17	)		(.13	)		(.26	)		(4.52	)
Net Asset Value, end of period	$	20.89		$	18.07		$	15.93		$	17.04		$	15.10		$	10.86
Total Return(a)		15.61	%		14.62	%		(5.58	)%		13.86	%		41.93	%		(42.29	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	1,403.7		$	1,263.3		$	1,231.6		$	1,432.9		$	1,181.7		$	933.1
Ratios to average net assets(b):
Expenses		.43	%(c)		.43	%		.43	%		.44	%		.43	%		.43	%
Net investment income		1.28	%(c)		1.36	%		.90	%		1.08	%		1.15	%		1.46	%
Portfolio turnover rate		20	%(d)		28	%		43	%		63	%		51	%		71	%
	Value Portfolio
	Class II
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	18.20		$	16.04		$	17.13		$	15.16		$	10.91		$	23.51
Income (Loss) From Investment Operations:
Net investment income		.09			.17			.08			.12			.13			.21
Net realized and unrealized gain (loss) on investments		2.70			2.08			(1.08	)		1.90			4.33			(8.38	)
Total from investment operations		2.79			2.25			(1.00	)		2.02			4.46			(8.17	)
Less Distributions		—			(.09	)		(.09	)		(.05	)		(.21	)		(4.43	)
Net Asset Value, end of period	$	20.99		$	18.20		$	16.04		$	17.13		$	15.16		$	10.91
Total Return(a)		15.33	%		14.14	%		(5.89	)%		13.39	%		41.26	%		(42.56	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	6.9		$	6.2		$	6.0		$	7.1		$	3.7		$	1.7
Ratios to average net assets(b):
Expenses		.83	%(c)		.83	%		.83	%		.84	%		.83	%		.83	%
Net investment income		.87	%(c)		.95	%		.50	%		.69	%		.74	%		1.08	%
Portfolio turnover rate		20	%(d)		28	%		43	%		63	%		51	%		71	%

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

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

(c) Annualized.

(d) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C9

Approval of Advisory Agreements

Renewal of Existing Management and Subadvisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 11-12, 2013 (the Meeting) and approved the renewal of the agreements through July 31, 2014, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.¹

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

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

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

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

Nature, quality and extent of services

The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and

¹ The Board did not consider or renew the subadvisory agreement for Brown Advisory LLC at the Meeting with respect to the Global Portfolio, because it had initially approved this subadvisory agreement in April 2013 for an initial period of two years. The Board noted that it would consider the renewal of this subadvisory agreement as part of its annual review of the Trust’s advisory agreements in 2014.

operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

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

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

Costs of Services and Profits Realized by PI

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

Economies of Scale

The Board noted that, with the exception of the Stock Index Portfolio, the management fee schedule for the Portfolios generally does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on a particular Portfolio or how great they may be. In light of each Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolios other than the Stock Index Portfolio do not have breakpoints is acceptable at this time.

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

Other Benefits to PI and the Subadvisers

The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as the Portfolios’ securities lending agent, compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at

least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2012.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2012. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

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

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

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

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

• The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board noted that although gross performance in relation to its Peer Universe was in the fourth quartile over the one- and three-year periods, and in the third quartile over the five-year period, the Portfolio’s net performance (which reflects the impact of Portfolio fees, expenses and subsidies) in relation to the Peer Universe was in the third quartile for the one-year period and second quartile for the five-year period, though the Portfolio ranked in the fourth quartile over the three-year period.

• The Board noted PI’s assertion that the Portfolio’s overall performance record was significantly impacted by weak performance during 2011-2012, and that the Portfolio’s performance prior to 2011 had been stronger.

• The Board concluded that in light of the Portfolio’s competitive long-term performance, it was reasonable to continue to monitor the Portfolio’s performance and consider strategic alternatives, and it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board noted information furnished by PI indicating that the Portfolio’s underperformance against its Peer Universe over recent periods was primarily attributable to the segment of the Portfolio managed by Marsico Capital Management LLC, and that the Board had approved the replacement of Marsico with a new subadviser in April 2013 with such transition to take place in mid-June 2013.

• The Board accepted PI’s recommendation to implement a contractual management fee waiver of 0.01% through June 30, 2014.

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark index, and the upcoming appointment of a new subadviser, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

• The Board noted that the Portfolio outperformed its benchmark index over the three-year period, although it underperformed its benchmark index over the one-, five-, and ten-year periods by 0.42%, 0.20% and 0.07%, respectively.

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark index and against its Peer Universe over longer periods, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark and Peer Universe over longer periods, it would be in the best interest of the Portfolio and its shareholders to renew the agreements.

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

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

• The Board noted that although the Portfolio’s gross performance in relation to its Peer Universe was in the third quartile over the one- and three-year periods, the Portfolio’s net performance (which reflects the impact of Portfolio fees, expenses and subsidies) in relation to the Peer Universe was in the first quartile for the one-, five- and ten-year periods, and in the second quartile for the three-year period.

• The Board noted that PI presently voluntarily waived a portion of its management fee to ensure that the 1-day yield for the Portfolio does not fall below 0.00%. The Board accepted PI’s recommendation to continue its existing voluntary yield waiver support.

• The Board concluded that, in light of the Portfolio’s competitive net performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

Natural Resources Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	4th Quartile	3rd Quartile	2nd Quartile	1st Quartile
Actual Management Fee: 1st Quartile
Net Total Expenses: 1st Quartile

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

• The Board noted PI’s assertion that the Portfolio’s recent underperformance was attributable to issue selection in the exploration and production and energy equipment and services sectors.

• The Board noted that PI accepted its recommendation to implement a contractual management fee waiver of 0.05% through June 30, 2014.

• The Board concluded that, in light of the Portfolio’s competitive performance over longer periods, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board accepted PI’s recommendation to implement a contractual management fee waiver of 0.05% through June 30, 2014.

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark index and against its Peer Universe over longer periods, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

• The Board noted that the Portfolio’s performance over all periods was within 0.15% of its benchmark index, which was consistent with the Portfolio’s operation as an index fund.

• The Board accepted PI’s recommendation to retain the existing voluntary waiver of 0.05% of the management fee at the fee breakpoint level.

• The Board concluded that, in light of the Portfolio’s consistent performance compared to that of the benchmark index, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board noted PI’s explanation that the Portfolio’s underperformance was attributable to the fact that the market had been favoring higher quality, defensive company stocks, at a time when the Portfolio had invested primarily in riskier stocks.

• The Board noted that PI accepted its request to implement a contractual management fee waiver of 0.05% through June 30, 2014.

• The Board concluded that, in light of the Portfolio’s competitive performance over the longer-term periods, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, but noted that it would consider strategic alternatives if substandard performance persisted.

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

Approval of New Subadvisory Agreement: Global Portfolio

Approval of a New Subadvisory Agreement

As required by the Investment Company Act of 1940, as amended (the 1940 Act), the Board of Trustees (the Board) of the Prudential Series Fund (PSF) considered a proposed subadvisory agreement between Prudential Investments LLC (the Manager) and Brown Advisory, LLC (the Subadviser). The subadvisory agreement with the Subadviser (the Subadvisory Agreement) relates to the appointment of the Subadviser to replace Marsico Capital Management, LLC (Marsico) as the new subadviser for the large cap growth sleeve of the PSF Global Portfolio (the Portfolio). The Board, including all of the trustees who were not parties to the Subadvisory Agreement and were not interested persons of those parties, as defined in the 1940 Act (the Independent Trustees), met on April 23, 2013 and approved the Subadvisory Agreement for an initial two year period, after concluding that approval of the Subadvisory Agreement was in the best interests of the Portfolio and its beneficial shareholders.

In advance of the meeting, the Board requested and received materials relating to the Subadvisory Agreement, and had the opportunity to ask questions and request further information in connection with its consideration.

In approving the Subadvisory Agreement, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services to be provided to the Portfolio by the Subadviser; comparable performance information; the fees paid by the Manager to the Subadviser; the potential for economies of scale that may be shared with the Portfolio and its shareholders; and other benefits to the Subadviser. In connection with its deliberations, the Board considered information provided by the Manager and the Subadviser at or in advance of the meeting on April 23, 2013. In its deliberations, the Board did not identify any single factor which alone was responsible for the Board’s decision to approve the Subadvisory Agreement with respect to the Portfolio.

The Board determined that the overall arrangements among the Manager and the Subadviser are appropriate in light of the services to be performed and the fee arrangement under the Subadvisory Agreement and such other matters as the Board considered relevant in the exercise of its business judgment.

The material factors and conclusions that formed the basis for the Board’s reaching its determinations to approve the Subadvisory Agreement are separately discussed below.

Nature, Quality and Extent of Services

The Board received and considered information regarding the nature and extent of services provided to the Portfolio by Marsico under the current subadvisory agreement and those that would be provided by the Subadviser under the proposed Subadvisory Agreement, noting that the nature and extent of services under the existing and new agreements were generally similar in that Marsico and the Subadviser were each required to provide day-to-day portfolio management services and comply with all Portfolio policies and applicable rules and regulations.

With respect to the quality of services, the Board considered, among other things, the background and experience of the portfolio managers of the Subadviser. The Board was also provided with information pertaining to the organizational structure, senior management, investment operations, and other relevant information pertaining to Subadviser. The Board noted that it received favorable compliance reports from PSF’s Chief Compliance Officer as to the Subadviser.

The Board concluded that, based on the nature of the proposed services to be rendered and the background information that it reviewed about the Subadviser, it was reasonable to expect that it would be satisfied with the nature, extent and quality of investment subadvisory services to be provided to the Portfolio by the Subadviser.

Performance

The Board received and considered information regarding the Subadviser’s investment performance in funds and accounts that use investment strategies similar to the one to be used by the Subadviser for the Portfolio. The Board concluded that it was satisfied with the performance record of the Subadviser.

Fee Rates

The Board considered the proposed subadvisory fee rate payable from the Manager to the Subadviser under the Subadvisory Agreement. The Board considered that the subadvisory fee rate for the Subadviser was lower than that for Marsico. The Board noted that the lower subadvisory fee rate would result in an increase in the net investment management fee to be retained by the Manager, and therefore the Manager agreed to waive a portion of the management fee paid by the Portfolio to the Manager. The Board noted that it would review the management fee paid to the Manager by the Portfolio in connection with future annual reviews of advisory agreements. The Board concluded that the proposed subadvisory fee was reasonable.

Profitability

Because the engagement of the Subadviser is new, there is no historical profitability information with respect to the proposed subadvisory arrangement for the Portfolio. As a result, the Board did not consider this factor. The Board noted that it would consider profitability information as part of future annual reviews of advisory agreements.

Economies of Scale

The Board noted that the proposed subadvisory fee schedule for the Portfolio contained breakpoints that reduced the fee rate on assets above specified levels. The Board noted that it would consider economies of scale in connection with the annual reviews of advisory agreements.

Other Benefits to the Subadviser

The Board considered potential “fall out” or ancillary benefits anticipated to be received by the Subadviser and its affiliates in connection with the Portfolio. The Board concluded that any potential benefits to be derived by the Subadviser included potential access to additional research resources, larger assets under management and reputational benefits, which were consistent with those generally derived by subadvisers to mutual funds. The Board noted that it would review ancillary benefits in connection with future annual reviews of advisory agreements.

***

After full consideration of these factors, the Board concluded that approving the Subadvisory Agreement was in the best interests of the Portfolio and its beneficial shareholders.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

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

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

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.

0229045-00002-00    PSF-SAR-A

THE PRUDENTIAL SERIES FUND

SEMIANNUAL REPORT Ÿ JUNE 30, 2013

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

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

The accompanying financial statements as of June 30, 2013, were not audited and, accordingly, no auditor’s opinion is expressed on them.

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

For information regarding enrollment in the e-Delivery program, please see the inside front cover of this report.

SP International Growth Portfolio

SP International Value Portfolio

SP Prudential U.S. Emerging Growth Portfolio

SP Small Cap Value Portfolio

For information about enrolling in e-Delivery, please refer to the instructions below. Thank you.

Individual Annuity Contract Owners - To receive your reports online, go to www.annuities.prudential.com/investor/edelivery, or scan the code below.

Individual Life Insurance Contract Owners - To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.

Group Variable Universal Life Contract Owners - To receive your reports online, go to www.prudential.com/gulgvul, or scan the code below.

The Prudential Series Fund Table of Contents Semiannual Report June 30, 2013

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
	SP International Growth Portfolio	A1
	SP International Value Portfolio	A8
	SP Prudential U.S. Emerging Growth Portfolio	A15
	SP Small Cap Value Portfolio	A19
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

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

The Prudential Series Fund   Letter to Contract Owners Semiannual Report June 30, 2013

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund July 31, 2013

Prudential Series Fund Presentation of Portfolio Holdings — unaudited June 30, 2013

SP International Growth
Five Largest Holdings	(% of Net Assets	)
Roche Holding AG (Switzerland)	2.7%
SABMiller PLC (United Kingdom)	1.9%
Rolls-Royce Holdings PLC (United Kingdom)	1.7%
Novartis AG (Switzerland)	1.7%
Experian PLC (Ireland)	1.7%

SP International Value
Five Largest Holdings	(% of Net Assets	)
Novartis AG (Switzerland)	1.6%
Mitsubishi UFJ Financial Group, Inc. (Japan)	1.5%
Roche Holding AG (Switzerland)	1.5%
Royal Dutch Shell PLC (Class B Stock) (United Kingdom)	1.5%
Toyota Motor Corp. (Japan)	1.4%

SP Prudential U.S. Emerging Growth
Five Largest Holdings	(% of Net Assets	)
Crown Castle International Corp.	2.5%
SBA Communications Corp. (Class A Stock)	2.2%
PVH Corp.	2.1%
Henry Schein, Inc.	2.0%
Dollar Tree, Inc.	2.0%

SP Small Cap Value
Five Largest Holdings	(% of Net Assets	)
iShares Russell 2000 Value Index Fund	1.5%
Signature Bank	1.4%
SVB Financial Group	1.1%
Allied World Assurance Co. Holdings AG (Switzerland)	1.1%
Affiliated Managers Group, Inc.	0.9%

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

The Prudential Series Fund Fees and Expenses — unaudited June 30, 2013

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2013 through June 30, 2013.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2013		Ending Account Value June 30, 2013		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
SP International Growth (Class I)	Actual	$	1,000.00	$	1,000.00		1.21	%	$	6.00
	Hypothetical	$	1,000.00	$	1,018.79		1.21	%	$	6.06
SP International Growth (Class II)	Actual	$	1,000.00	$	998.10		1.61	%	$	7.98
	Hypothetical	$	1,000.00	$	1,016.81		1.61	%	$	8.05
SP International Value (Class I)	Actual	$	1,000.00	$	1,021.10		1.13	%	$	5.66
	Hypothetical	$	1,000.00	$	1,019.19		1.13	%	$	5.66
SP Prudential U.S. Emerging Growth (Class I)	Actual	$	1,000.00	$	1,096.10		0.67	%	$	3.48
	Hypothetical	$	1,000.00	$	1,021.47		0.67	%	$	3.36
SP Prudential U.S. Emerging Growth (Class II)	Actual	$	1,000.00	$	1,093.60		1.07	%	$	5.55
	Hypothetical	$	1,000.00	$	1,019.49		1.07	%	$	5.36
SP Small Cap Value (Class I)	Actual	$	1,000.00	$	1,149.60		1.04	%	$	5.54
	Hypothetical	$	1,000.00	$	1,019.64		1.04	%	$	5.21

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2013, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2013 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	SP INTERNATIONAL GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 95.0%
COMMON STOCKS — 93.9%	Shares		Value (Note 2)
Australia — 0.6%
Brambles Ltd.		38,000	$	323,690
Iluka Resources Ltd.		17,100		154,107
				477,797
Austria — 0.2%
Andritz AG		3,500		179,575
Belgium — 0.2%
Colruyt SA		3,705		194,952
Bermuda — 0.4%
Jardine Matheson Holdings Ltd.		4,900		295,470
Brazil — 1.4%
Abril Educacao-Unit, 144A		14,672		256,374
Arezzo Industria e Comercio SA		22,860		350,376
Grupo BTG Pactual		45,032		549,139
				1,155,889
Canada — 1.6%
Bank of Nova Scotia		3,300		176,406
Brookfield Asset Management, Inc. (Class A Stock)		9,817		353,608
Cenovus Energy, Inc.		5,100		145,479
Dollarama, Inc.		4,600		321,961
New Gold, Inc.		30,300		196,199
Silver Wheaton Corp		9,600		188,130
				1,381,783
China — 2.7%
Great Wall Motor Co. Ltd. (Class H Stock)		133,568		571,630
Industrial & Commercial Bank of China Ltd. (Class H Stock)		270,700		169,656
Tencent Holdings Ltd.		33,033		1,289,848
Tong Ren Tang Technologies Co. Ltd.		92,135		280,889
				2,312,023
Denmark — 2.2%
Coloplast A/S (Class B Stock)		4,942		276,723
Jyske Bank A/S*		4,227		158,994
Novo Nordisk A/S (Class B Stock)		8,673		1,348,326
Tryg A/S		1,239		102,076
				1,886,119
France — 7.1%
Arkema SA		3,300		302,494
BNP Paribas SA		24,261		1,328,163
Dassault Systemes SA		2,803		342,601
Eutelsat Communications SA		7,400		209,945
Pernod-Ricard SA		7,853		871,631
Publicis Groupe SA		9,076		646,381
Remy Cointreau SA		2,705		287,028
Rexel SA		20,900		470,891
Sanofi		4,300		444,534
Schneider Electric SA		5,400		392,182
Sodexo		5,200		433,187
Technip SA		2,785		283,044
				6,012,081

COMMON STOCKS (continued)	Shares		Value (Note 2)
Germany — 7.4%
Adidas AG		7,871	$	850,841
Bayer AG		12,220		1,301,064
Bayerische Motoren Werke AG		4,361		380,610
Brenntag AG		7,763		1,179,912
Continental AG		2,600		346,602
Deutsche Boerse AG		6,600		434,002
Fresenius SE & Co. KGaA		3,231		397,672
Linde AG		2,100		391,328
SAP AG		9,331		681,374
SAP AG, ADR		4,200		305,886
				6,269,291
Hong Kong — 1.8%
AIA Group Ltd.		121,200		510,616
China Mobile Ltd., ADR		8,800		455,576
Sands China Ltd.		115,962		541,898
				1,508,090
India — 0.3%
Tata Motors Ltd., ADR(a)		9,949		233,205
Indonesia — 0.6%
Bank Mandiri Tbk PT		127,600		115,087
Bank Rakyat Indonesia Persero Tbk PT		230,500		178,960
Tower Bersama Infrastructure Tbk PT*		481,646		251,519
				545,566
Ireland — 2.0%
Experian PLC		82,152		1,427,791
Ryanair Holdings PLC, ADR		5,618		289,495
				1,717,286
Israel — 1.2%
Bezeq Israeli Telecommunication Corp. Ltd. (The)		236,579		314,539
Check Point Software Technologies Ltd.*(a)		13,765		683,845
				998,384
Italy — 5.6%
Azimut Holding SpA		45,094		821,005
Brunello Cucinelli SpA*		20,345		502,246
Luxottica Group SpA		21,271		1,076,209
Prada SpA		119,514		1,077,749
Tod’s SpA		4,291		605,410
Yoox SpA*		29,807		639,817
				4,722,436
Japan — 12.2%
Astellas Pharma, Inc.		6,500		353,107
FANUC Corp.		7,047		1,019,891
Fuji Heavy Industries Ltd.		15,000		370,413
Hino Motors Ltd.		58,341		856,091
Kansai Paint Co. Ltd.		23,600		301,258
Keyence Corp.		1,500		477,916
Lawson, Inc.		5,100		389,178
Makita Corp.		6,100		327,950
Miraca Holdings, Inc.		3,400		156,240
Mitsui Fudosan Co. Ltd.		21,228		624,104

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Japan (continued)
Murata Manufacturing Co. Ltd.		9,164	$	697,059
ORIX Corp.*		32,100		438,060
Rakuten, Inc.		36,337		429,684
Sanrio Co. Ltd.		4,400		204,106
Santen Pharmaceutical Co. Ltd.		3,000		129,824
Secom Co. Ltd.		6,100		331,661
Shin-Etsu Chemical Co. Ltd.		4,300		284,597
SMC Corp.		2,400		481,141
Softbank Corp.		3,800		221,198
Sugi Holdings Co. Ltd.		2,900		110,301
Sumitomo Mitsui Financial Group, Inc.		10,000		457,730
Toyota Motor Corp.		9,000		542,861
Unicharm Corp.		14,008		792,271
Yahoo! Japan Corp.		745		366,849
				10,363,490
Mexico — 0.8%
Corp. Inmobiliaria Vesta SAB de CV, 144A(a)		218,419		433,215
Fomento Economico Mexicano SAB de CV, ADR		2,584		266,643
				699,858
Netherlands — 2.1%
Akzo Nobel NV		6,100		344,197
ASML Holding NV		3,000		236,821
Koninklijke Ahold NV		26,000		386,695
Unilever NV, CVA		21,265		837,078
				1,804,791
Norway — 1.2%
DnB ASA		24,000		348,160
Statoil ASA		11,962		247,112
Telenor ASA		13,653		271,189
TGS Nopec Geophysical Co. ASA		5,482		159,305
				1,025,766
Russia — 0.3%
Sberbank of Russia		19,000		218,120
Singapore — 0.2%
United Overseas Bank Ltd.		12,400		193,640
South Africa — 2.0%
Aspen Pharmacare Holdings Ltd.*		31,722		729,219
Bidvest Group Ltd.		9,555		236,734
Discovery Ltd.		33,962		288,740
Naspers Ltd. (Class N Stock)		6,002		443,018
				1,697,711
South Korea — 1.4%
Samsung Electronics Co. Ltd.		1,045		1,221,421
Spain — 1.7%
Inditex SA		11,468		1,414,516
Sweden — 1.3%
Atlas Copco AB (Class A Stock)		15,140		364,902
Elekta AB (Class B Stock)		12,400		188,462
Nordea Bank AB		19,000		212,178
Telefonaktiebolaget LM Ericsson (Class B Stock)		29,900		339,061
				1,104,603

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland — 11.0%
Compagnie Financiere Richemont SA (Class A Stock)		3,849	$	339,437
Credit Suisse Group AG		6,300		166,787
Geberit AG		1,113		275,717
Givaudan SA		338		435,538
Glencore International PLC		59,264		245,324
Nestle SA		5,800		380,598
Novartis AG		20,461		1,449,264
Partners Group Holding AG		1,767		478,290
Roche Holding AG		9,237		2,292,599
SGS SA		200		429,384
Sika AG		100		258,574
Sonova Holding AG		1,800		190,432
Sulzer AG*		2,196		350,664
Swatch Group AG (The)		1,545		843,939
Syngenta AG		3,028		1,180,795
				9,317,342
Turkey — 1.5%
BIM Birlesik Magazalar A/S		26,940		584,320
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S, REIT		429,184		604,534
Turkiye Halk Bankasi A/S		14,567		123,426
				1,312,280
United Arab Emirates — 0.1%
Dragon Oil PLC		7,221		62,832
United Kingdom — 19.6%
Acergy SA		14,500		254,225
Afren PLC*		67,346		132,760
Amlin PLC		46,164		276,167
Aon PLC		4,300		276,705
ARM Holdings PLC		103,104		1,247,265
Ashtead Group PLC		77,770		765,450
ASOS PLC*		14,615		896,936
Babcock International Group PLC		13,701		230,054
Barclays PLC		267,983		1,141,278
Berkeley Group Holdings PLC		8,131		263,376
BG Group PLC		13,000		220,924
Bunzl PLC		11,417		222,680
Compass Group PLC		88,791		1,134,541
Diageo PLC		40,407		1,158,731
HSBC Holdings PLC		37,200		385,588
ICAP PLC		20,635		113,934
InterContinental Hotels Group PLC		10,342		284,223
Intertek Group PLC		12,741		566,361
John Wood Group PLC		16,013		197,492
Johnson Matthey PLC		7,243		289,395
Meggitt PLC		36,118		284,564
Petrofac Ltd.		17,700		322,201
Reed Elsevier PLC		36,600		416,224
Rolls-Royce Holdings PLC		84,417		1,453,533
Rotork PLC		12,356		501,576
SABMiller PLC		34,274		1,643,221
St. James’s Place PLC		26,635		218,484
Telecity Group PLC		43,463		669,772
Tullow Oil PLC		28,278		430,473

SEE NOTES TO FINANCIAL STATEMENTS.

A2

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
United Kingdom (continued)
Weir Group PLC (The)		8,043	$	262,998
Wolseley PLC		7,227		333,453
				16,594,584
United States — 3.2%
Agrium, Inc.		2,200		191,312
Canadian Pacific Railway Ltd.		6,918		839,707
Core Laboratories NV		5,139		779,381
Michael Kors Holdings Ltd.*		14,263		884,591
				2,694,991
TOTAL COMMON STOCKS (cost $74,413,372)				79,615,892
PREFERRED STOCKS — 1.1%
Germany — 1.1%
Volkswagen AG (PRFC) (Germany)		4,421		892,965
United Kingdom
Rolls-Royce Holdings PLC (PRFC C) (United Kingdom)*		15,032,199		22,863
TOTAL PREFERRED STOCKS (cost $893,549)				915,828
TOTAL LONG-TERM INVESTMENTS (cost $75,306,921)				80,531,720
SHORT-TERM INVESTMENT — 5.7%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $4,856,954; includes $930,847 of cash collateral for securities on loan)(b)(w) (Note 4)		4,856,954		4,856,954
TOTAL INVESTMENTS — 100.7% (cost $80,163,875)				85,388,674
LIABILITIES IN EXCESS OF OTHER ASSETS(x) — (0.7)%				(623,796	)
NET ASSETS — 100.0%			$	84,764,878

The following abbreviations are used in the Portfolio descriptions:

144A	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
PRFC	Preference Shares
REIT	Real Estate Investment Trust
EUR	Euro
GBP	British Pound
JPY	Japanese Yen

* 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 $903,472; cash collateral of $930,847 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

Forward foreign currency exchange contracts outstanding at June 30, 2013:

Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Payable		Current Value		Unrealized Depreciation
British Pound,
Expiring 08/14/13	State Street Bank	GBP	892	$	1,392,529	$	1,356,249	$	(36,280	)
Euro,
Expiring 08/12/13	Morgan Stanley	EUR	408		542,128		531,177		(10,951	)
Japanese Yen,
Expiring 08/13/13	Bank Of New York Mellon	JPY	42,624		441,662		429,848		(11,814	)
				$	2,376,319	$	2,317,274	$	(59,045	)

SEE NOTES TO FINANCIAL STATEMENTS.

A3

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date Receivable		Current Value		Unrealized Appreciation (Depreciation)
British Pound,
Expiring 08/14/13	State Street Bank	GBP	892	$	1,362,673	$	1,356,249	$	6,424
Euro,
Expiring 08/12/13	State Street Bank	EUR	408		529,541		531,177		(1,636	)
Japanese Yen,
Expiring 08/13/13	Bank Of New York Mellon	JPY	19,334		190,423		194,976		(4,553	)
Expiring 08/13/13	Bank Of New York Mellon	JPY	23,290		228,574		234,871		(6,297	)
				$	2,311,211	$	2,317,273	$	(6,062	)

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks:
Australia	$	—	$	477,797	$	—
Austria		—		179,575		—
Belgium		—		194,952		—
Bermuda		—		295,470		—
Brazil		1,155,889		—		—
Canada		1,381,783		—		—
China		—		2,312,023		—
Denmark		—		1,886,119		—
France		433,187		5,578,894		—
Germany		305,886		5,963,405		—
Hong Kong		455,576		1,052,514		—
India		233,205		—		—
Indonesia		—		545,566		—
Ireland		289,495		1,427,791		—
Israel		683,845		314,539		—
Italy		—		4,722,436		—
Japan		—		10,363,490		—
Mexico		699,858		—		—
Netherlands		—		1,804,791		—

	Level 1		Level 2			Level 3
Norway	$	—	$	1,025,766		$	—
Russia		218,120		—			—
Singapore		—		193,640			—
South Africa		—		1,697,711			—
South Korea		—		1,221,421			—
Spain		—		1,414,516			—
Sweden		—		1,104,603			—
Switzerland		—		9,317,342			—
Turkey		—		1,312,280			—
United Arab Emirates		—		62,832			—
United Kingdom		530,930		16,063,654			—
United States		2,694,991		—			—
Preferred Stocks:
Germany		—		892,965			—
United Kingdom		—		22,863			—
Affiliated Money Market Mutual Fund		4,856,954		—			—
Other Financial Instruments*
Foreign Forward Currency Contracts		—		(65,107	)		—
Total	$	13,939,719	$	71,383,848		$	—

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

Fair Value of Level 2 investments at December 31, 2012 was $68,279,343, which was a result of valuing investments using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets. An amount of $875,777 was transferred from Level 1 into Level 2 at June 30, 2013 as a result of fair valuing such foreign securities using third-party vendor modeling tools.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A4

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Pharmaceuticals	8.9	%
Commercial Banks	6.1
Affiliated Money Market Mutual Fund (1.1% represents investments purchased with collateral from securities on loan)	5.7
Commercial Services	5.2
Textiles, Apparel & Luxury Goods	5.1
Beverages	4.9
Chemicals	4.4
Internet Software & Services	3.2
Automobiles	3.2
Semiconductors & Semiconductor Equipment	2.9
Diversified Financial Services	2.9
Food Products	2.6
Healthcare Products	2.6
Machinery	2.5
Electronic Components	2.5
Oil & Gas	2.5
Software	2.4
Hotels, Restaurants & Leisure	2.3
Telecommunications	2.1
Aerospace & Defense	2.0
Insurance	1.9
Internet & Catalog Retail	1.8
Specialty Retail	1.7
Trading Companies & Distributors	1.4
Automobile Manufacturers	1.3
Media	1.0
Retail & Merchandising	1.0
Road & Rail	1.0
Cosmetics/Personal Care	0.9
Real Estate Management & Development	0.9
Energy Equipment & Services	0.9

Retail	0.9	%
Advertising	0.8
Metals & Mining	0.7
Diversified Real Estate Activities	0.7
Real Estate Investment Trusts	0.7
Semiconductors	0.7
Holding Companies – Diversified	0.7
Hand/Machine Tools	0.6
Electronic Components & Equipment	0.6
Financial Services	0.5
Oil, Gas & Consumable Fuels	0.5
Healthcare Providers & Services	0.5
Food & Staples Retailing	0.5
Miscellaneous Manufacturers	0.4
Auto Parts And Equipment	0.4
Distribution/Wholesale	0.4
Diversified Operations	0.4
Airlines	0.3
Healthcare Equipment & Supplies	0.3
Building Products	0.3
Household Durables	0.3
Building Materials	0.3
Wireless Telecommunication Services	0.3
Toys	0.3
Foods	0.2
Banks	0.2
Healthcare Services	0.2
Diversified Metals	0.2
	100.7
Liabilities in excess of other assets	(0.7	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk.

The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2013 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Foreign exchange contracts	Unrealized appreciation on foreign currency forward contracts	$	6,424	Unrealized depreciation on foreign currency forward contracts	$	71,531

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights		Forward Currency Contracts		Total
Foreign exchange contracts	$	—	$	50,393	$	50,393
Equity contracts		11		—		11
Total	$	11	$	50,393	$	50,404

SEE NOTES TO FINANCIAL STATEMENTS.

A5

	SP INTERNATIONAL GROWTH PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Forward Currency Contracts
Foreign exchange contracts	$	(65,107	)

For the six months ended June 30, 2013, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $1,811,465 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $1,798,992.

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on loan	$	903,472		$	—	$	—	$	903,472
Over-the-counter derivatives		6,424			—		—		6,424
									909,896
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Over-the-counter derivatives		(71,531	)		—		—		(71,531	)
Collateral Amounts Pledged/(Received):
Securities on loan									(903,472	)
Over-the-counter derivatives									—
Net Amount								$	(65,107	)

SEE NOTES TO FINANCIAL STATEMENTS.

A6

SP INTERNATIONAL GROWTH PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2013

ASSETS
Investments at value, including securities on loan of $903,472:
Unaffiliated investments (cost $75,306,921)	$	80,531,720
Affiliated investments (cost $4,856,954)		4,856,954
Foreign currency, at value (cost $5,509)		5,520
Tax reclaim receivable		389,307
Receivable for investments sold		240,116
Dividends and interest receivable		96,962
Unrealized appreciation on foreign currency forward contracts		6,424
Receivable for Series shares sold		1,377
Prepaid expenses		111
Total Assets		86,128,491
LIABILITIES
Collateral for securities on loan		930,847
Accrued expenses and other liabilities		131,215
Payable for Series shares repurchased		94,534
Unrealized depreciation on foreign currency forward contracts		71,531
Payable for investments purchased		70,840
Management fee payable		60,595
Distribution fee payable		1,722
Administration fee payable		1,403
Affiliated transfer agent fees payable		926
Total Liabilities		1,363,613
NET ASSETS	$	84,764,878
Net assets were comprised of:
Paid-in capital	$	118,140,846
Retained earnings		(33,375,968	)
Net assets, June 30, 2013	$	84,764,878
Class I:
Net asset value and redemption price per share, $76,825,749 / 14,491,355 outstanding shares of beneficial interest	$	5.30
Class II:
Net asset value and redemption price per share, $7,939,129 / 1,517,031 outstanding shares of beneficial interest	$	5.23

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of $96,870 foreign withholding tax)	$	1,053,857
Affiliated income from securities lending, net		8,487
Affiliated dividend income		1,794
Interest income		5
		1,064,143
EXPENSES
Management fee		382,728
Distribution fee—Class II		10,804
Administration fee—Class II		6,483
Custodian’s fees and expenses		93,000
Shareholders’ reports		27,000
Audit fee		12,000
Legal fees and expenses		6,000
Transfer agent’s fees and expenses (including affiliated expense of $3,000) (Note 4)		6,000
Trustees’ fees		6,000
Commitment fee on syndicated credit agreement		1,000
Insurance expenses		1,000
Loan interest expense (Note 8)		11
Miscellaneous		12,261
Total expenses		564,287
Less: advisory fee waiver and/or expense reimbursement		(376	)
Net expenses		563,911
NET INVESTMENT INCOME		500,232
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain on:
Investment transactions		8,759,411
Foreign currency transactions		16,801
		8,776,212
Net change in unrealized appreciation (depreciation) on:
Investments		(9,082,522	)
Foreign currencies		(73,228	)
		(9,155,750	)
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES		(379,538	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	120,694

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	500,232		$	1,357,374
Net realized gain on investment and foreign currency transactions		8,776,212			5,430,918
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(9,155,750	)		10,877,146
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		120,694			17,665,438
DISTRIBUTIONS
Class I		—			(507,441	)
Class II		—			—
TOTAL DISTRIBUTIONS		—			(507,441	)
SERIES SHARE TRANSACTIONS (NOTE 7):
Series shares sold		3,889,919			5,765,927
Series shares issued in reinvestment of distributions		—			507,441
Series shares repurchased		(8,754,363	)		(16,609,487	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(4,864,444	)		(10,336,119	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		(4,743,750	)		6,821,878
NET ASSETS:
Beginning of period		89,508,628			82,686,750
End of period	$	84,764,878		$	89,508,628

SEE NOTES TO FINANCIAL STATEMENTS.

A7

	SP INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 95.8%
COMMON STOCKS — 95.2%	Shares		Value (Note 2)
Argentina — 0.3%
MercadoLibre, Inc.		3,600	$	387,936
Australia — 2.6%
Arrium Ltd.		269,600		190,799
Ausdrill Ltd.		62,500		48,662
Bendigo and Adelaide Bank Ltd.		32,600		298,936
Challenger Ltd.		123,500		450,347
Downer EDI Ltd.		101,900		332,245
Emeco Holdings Ltd.		372,800		93,814
Leighton Holdings Ltd.		17,300		242,442
Lend Lease Group		51,500		392,651
National Australia Bank Ltd.		17,500		473,376
Pacific Brands Ltd.		502,100		321,643
Toll Holdings Ltd.		82,500		399,292
				3,244,207
Austria — 0.7%
OMV AG		15,300		690,196
Voestalpine AG		6,500		229,861
				920,057
Belgium — 0.5%
AGFA-Gevaert NV*		84,400		149,408
Delhaize Group SA		7,300		451,301
				600,709
Brazil — 1.0%
Embraer SA, ADR		18,940		698,697
Natura Cosmeticos SA		24,513		536,103
				1,234,800
Canada — 2.8%
Canadian National Railway Co.		7,031		684,582
Cenovus Energy, Inc.		19,183		547,200
Lululemon Athletica, Inc.*		13,833		906,338
Potash Corp. of Saskatchewan, Inc.		21,980		838,097
Teck Resources Ltd. (Class B Stock)		28,300		604,641
				3,580,858
Cayman Islands — 0.2%
SINA Corp.*		5,400		300,942
China — 2.8%
Baidu, Inc., ADR*		9,267		876,010
China Merchants Bank Co. Ltd. (Class H Stock)		49,146		81,598
CNOOC Ltd.		504,190		844,477
Industrial & Commercial Bank of China Ltd. (Class H Stock)		1,745,226		1,093,789
Sinopharm Group Co. Ltd. (Class H Stock)		224,182		560,269
				3,456,143
Denmark — 1.3%
H. Lundbeck A/S		7,000		124,850
Novo Nordisk A/S (Class B Stock)		9,580		1,489,330
				1,614,180
Finland — 0.3%
Tieto Oyj		21,500		408,757
France — 9.0%
Air Liquide SA		9,442		1,166,080

COMMON STOCKS (continued)	Shares		Value (Note 2)
France (continued)
Alstom SA		10,400	$	341,157
AXA SA		19,800		390,310
BNP Paribas SA		8,300		454,382
Cie Generale des Etablissements Michelin (Class B Stock)		12,460		1,114,117
Ciments Francais SA		4,200		236,279
Credit Agricole SA*		53,627		461,556
LVMH Moet Hennessy Louis Vuitton SA		8,905		1,445,758
Publicis Groupe SA		16,555		1,179,027
Renault SA		5,700		383,936
Sanofi		9,600		992,448
SCOR SE		13,800		423,553
Societe Generale SA		9,318		320,682
Thales SA		9,700		452,637
Total SA		21,200		1,035,470
Valeo SA		6,500		407,867
Vivendi SA		28,520		540,497
				11,345,756
Germany — 9.8%
Adidas AG		11,816		1,277,289
Allianz SE		10,459		1,526,601
BASF SE		7,800		695,706
Bayer AG		4,300		457,821
Continental AG		2,900		386,594
Daimler AG		9,900		597,649
Deutsche Bank AG		40,101		1,681,540
E.ON SE		12,200		199,941
Freenet AG*		13,900		303,080
Fresenius Medical Care AG & Co. KGaA		18,204		1,290,315
Hannover Rueckversicherung AG		6,900		496,157
Merck KGaA		1,300		197,703
Muenchener Rueckversicherungs-Gesellschaft AG		2,400		440,908
Rheinmetall AG		7,400		344,199
RWE AG		6,300		200,830
SAP AG		15,493		1,131,340
Siemens AG		3,009		304,700
Volkswagen AG		3,900		758,254
				12,290,627
Hong Kong — 2.5%
AIA Group Ltd.		266,476		1,122,664
Cheung Kong Holdings Ltd.		15,000		202,266
First Pacific Co. Ltd.		246,000		262,972
Hong Kong Exchanges and Clearing Ltd.		66,533		999,284
Huabao International Holdings Ltd.		391,000		172,166
Kingboard Chemical Holdings Ltd.		144,000		295,707
Solomon Systech International Ltd.*		525,000		22,776
				3,077,835
Ireland — 1.2%
Accenture PLC (Class A Stock)		10,697		769,756
Beazley PLC		111,100		389,406
Permanent TSB Group Holdings PLC*		45,500		1,557
Smurfit Kappa Group PLC		23,000		383,598
				1,544,317

SEE NOTES TO FINANCIAL STATEMENTS.

A8

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Israel — 0.8%
Bank Hapoalim BM*		73,200	$	330,350
Elbit Systems Ltd.		6,900		289,833
Teva Pharmaceutical Industries Ltd.		11,300		442,257
				1,062,440
Italy — 1.5%
Banco Popolare Scarl*		23,700		27,855
Enel SpA		132,800		416,720
Eni SpA		38,600		792,221
Finmeccanica SpA*		30,000		150,088
Saipem SpA		21,861		354,826
Telecom Italia SpA		277,700		193,556
				1,935,266
Japan — 18.7%
Aoyama Trading Co. Ltd.		18,500		492,228
Aozora Bank Ltd.		104,000		324,800
Bridgestone Corp.		25,665		875,182
FANUC Corp.		4,423		640,127
Fukuoka Financial Group, Inc.		77,000		327,494
Fuyo General Lease Co. Ltd.		9,200		343,516
Japan Exchange Group, Inc.		1,928		194,741
JX Holdings, Inc.		60,600		292,602
K’s Holdings Corp.		13,400		424,568
KDDI Corp.		32,318		1,682,910
Keihin Corp.		11,700		178,235
Keiyo Bank Ltd. (The)		55,000		277,192
Komatsu Ltd.		47,131		1,085,518
Kubota Corp.		45,422		661,043
Kurabo Industries Ltd.		108,000		174,028
KYORIN Holdings, Inc.		19,900		457,586
Kyowa Exeo Corp.		41,600		467,290
Marubeni Corp.		79,000		527,985
Miraca Holdings, Inc.		4,900		225,169
Mitsubishi Corp.		8,900		152,045
Mitsubishi UFJ Financial Group, Inc.		314,320		1,941,199
Mitsui & Co. Ltd.		30,900		387,493
Mizuho Financial Group, Inc.		287,900		597,880
Nichii Gakkan Co.		18,300		157,932
Nippon Electric Glass Co. Ltd.		23,000		111,961
Nippon Shokubai Co. Ltd.		31,000		317,094
Nippon Telegraph & Telephone Corp.		15,500		807,874
NTT DoCoMo, Inc.		400		622,282
Otsuka Holdings Co. Ltd.		18,000		594,341
Sankyu, Inc.		91,000		342,887
Seino Holdings Co. Ltd.		43,000		377,381
Shimachu Co. Ltd.		17,400		427,853
Shizuoka Gas Co. Ltd.		38,100		270,965
Softbank Corp.		13,750		800,387
Sumitomo Corp.		38,400		478,602
Sumitomo Mitsui Financial Group, Inc.		18,800		860,533
Sumitomo Mitsui Trust Holdings, Inc.		174,399		813,721
Toagosei Co. Ltd.		82,000		329,860
Toppan Forms Co. Ltd.		50,100		434,332
Toyota Motor Corp.		29,581		1,784,262
Tsuruha Holdings, Inc.		4,200		396,990
West Japan Railway Co.		8,300		352,005
Yokohama Rubber Co. Ltd. (The)		46,700		468,926
				23,481,019

COMMON STOCKS (continued)	Shares		Value (Note 2)
Liechtenstein — 0.1%
Verwaltungs-und Privat-Bank AG		2,300	$	173,617
Luxembourg — 0.2%
Oriflame Cosmetics SA, SDR		6,300		199,475
Mexico — 0.6%
Wal-Mart de Mexico SAB de CV (Class V Stock)		282,060		790,620
Netherlands — 4.4%
ASML Holding NV		13,969		1,102,718
ING Groep NV, CVA*		62,595		571,764
Koninklijke Ahold NV		47,900		712,411
Koninklijke KPN NV		17,600		36,516
Koninklijke Philips Electronics NV		13,500		368,023
Nutreco NV		7,200		304,891
Royal Dutch Shell PLC (Class B Stock)		56,300		1,864,608
Yandex NV (Class A Stock)*		21,050		581,611
				5,542,542
New Zealand — 0.4%
Air New Zealand Ltd.		434,700		498,308
Norway — 0.8%
DNB ASA		29,200		423,594
Statoil ASA		17,200		355,319
Yara International ASA		5,600		223,323
				1,002,236
Singapore — 0.2%
Golden Agri-Resources Ltd.		580,900		255,732
South Korea — 0.8%
Samsung Electronics Co. Ltd.		849		992,332
Spain — 1.6%
Amadeus IT Holding SA (Class A Stock)		11,264		360,505
Banco Bilbao Vizcaya Argentaria SA		32,400		272,284
Banco Santander SA		78,705		503,650
Gas Natural SDG SA		14,400		290,123
Repsol SA		27,200		574,052
				2,000,614
Sweden — 1.5%
Boliden AB		29,900		370,619
Hennes & Mauritz AB (Class B Stock)		27,258		896,826
NCC AB (Class B Stock)		11,400		259,475
Nordea Bank AB		28,700		320,501
				1,847,421
Switzerland — 7.5%
Baloise Holding AG		6,800		660,451
Credit Suisse Group AG*		17,517		463,747
Georg Fischer AG*		500		220,174
Julius Baer Group Ltd.*		16,530		645,139
Lonza Group AG*		3,300		247,954
Nestle SA		9,462		620,900
Novartis AG		27,632		1,957,190
Roche Holding AG		7,768		1,927,997
Swatch Group AG (The)		574		313,541
Swiss Life Holding AG*		2,100		340,877
Swiss Re AG*		8,100		602,647

SEE NOTES TO FINANCIAL STATEMENTS.

A9

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Switzerland (continued)
Syngenta AG		2,220	$	865,709
Zurich Insurance Group AG*		2,400		622,102
				9,488,428
United Kingdom — 18.8%
Alent PLC		51,200		254,013
ARM Holdings PLC		25,572		309,348
AstraZeneca PLC		24,200		1,144,155
Aviva PLC		77,400		398,933
BAE Systems PLC		157,100		914,875
Barclays PLC		87,400		372,217
Berendsen PLC		16,700		188,904
Bodycote PLC		43,200		344,090
BP PLC		168,600		1,170,082
British American Tobacco PLC		18,541		950,966
BT Group PLC		241,900		1,135,667
Burberry Group PLC		30,191		621,108
Cable & Wireless Communications PLC		369,000		229,702
Carillion PLC		65,500		275,212
Carnival PLC		22,871		794,997
Dairy Crest Group PLC		40,400		279,116
GlaxoSmithKline PLC		7,700		192,472
Home Retail Group PLC		49,500		100,829
HSBC Holdings PLC		113,002		1,171,296
J Sainsbury PLC		135,800		733,983
Kingfisher PLC		237,387		1,237,700
Legal & General Group PLC		291,300		759,235
Marks & Spencer Group PLC		60,500		395,868
Marston’s PLC		104,410		222,911
Old Mutual PLC		178,500		490,005
Pearson PLC		34,651		616,247
Reckitt Benckiser Group PLC		20,416		1,444,165
Rolls-Royce Holdings PLC*		51,280		882,964
Royal Bank of Scotland Group PLC*		74,606		309,600
RSA Insurance Group PLC		195,300		354,314
SABMiller PLC		16,366		784,646
Standard Chartered PLC		52,205		1,133,398
Tesco PLC		136,000		684,875
Tullett Prebon PLC		57,600		279,544
Tullow Oil PLC		26,208		398,962
Vesuvius PLC		51,200		286,876
Vodafone Group PLC		203,100		582,023
WM Morrison Supermarkets PLC		146,400		582,741
WPP PLC		39,302		671,786
				23,699,825

COMMON STOCKS (continued)	Shares		Value (Note 2)
United States — 2.3%
Liberty Global PLC*		8,600	$	637,088
Schlumberger Ltd.		17,402		1,247,027
Yum! Brands, Inc.		13,960		967,987
				2,852,102
TOTAL COMMON STOCKS (cost $106,424,319)				119,829,101
PREFERRED STOCKS — 0.6%
Brazil — 0.6%
Itau Unibanco Holding SA (PRFC), ADR		56,532		730,394
United Kingdom
Rolls-Royce Holdings PLC (PRFC C)*(g)		6,102,320		9,281
TOTAL PREFERRED STOCKS (cost $991,603)				739,675
TOTAL LONG-TERM INVESTMENTS (cost $107,415,922)				120,568,776
SHORT-TERM INVESTMENT — 2.2%
AFFILIATED MONEY MARKET MUTUAL FUND
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $2,751,991)(w) (Note 4)		2,751,991		2,751,991
TOTAL INVESTMENTS — 98.0% (cost $110,167,913)				123,320,767
OTHER ASSETS IN EXCESS OF LIABILITIES(x) — 2.0%				2,556,754
NET ASSETS — 100.0%			$	125,877,521

The following abbreviations are used in the Portfolio descriptions:

ADR	American Depositary Receipt
CVA	Certificate Van Aandelen (Bearer)
PRFC	Preference Shares
SDR	Special Drawing Rights
EUR	Euro
JPY	Japanese Yen.

* Non-income producing security.

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

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

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

Forward foreign currency exchange contracts outstanding at June 30, 2013:

Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date Payable		Current Value		Unrealized Appreciation (Depreciation)
Euro, Expiring 10/29/2013		State Street Bank	EUR	1,161	$	1,532,877	$	1,512,360	$	(20,517	)
Japanese Yen,
Expiring 07/08/2013		State Street Bank	JPY	758,253		7,637,443		7,645,514		8,071
Expiring 07/08/2013		State Street Bank	JPY	109,893		1,107,844		1,108,058		214
					$	10,278,164	$	10,265,932	$	(12,232	)

SEE NOTES TO FINANCIAL STATEMENTS.

A10

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date Receivable		Current Value		Unrealized Appreciation (Depreciation)
Euro, Expiring 10/29/2013		State Street Bank	EUR	4,033	$	5,250,715	$	5,252,496	$	(1,781	)
Japanese Yen,
Expiring 01/06/2014		State Street Bank	JPY	633,042		6,383,854		6,392,262		(8,408	)
Expiring 07/08/2013		State Street Bank	JPY	64,696		636,297		652,336		(16,039	)
Expiring 07/08/2013		State Street Bank	JPY	68,820		691,381		693,916		(2,535	)
Expiring 07/08/2013		State Street Bank	JPY	71,679		747,164		722,746		24,418
Expiring 07/08/2013		State Street Bank	JPY	138,876		1,358,840		1,400,300		(41,460	)
Expiring 07/08/2013		State Street Bank	JPY	142,940		1,467,894		1,441,270		26,624
Expiring 07/08/2013		State Street Bank	JPY	180,974		1,832,293		1,824,770		7,523
Expiring 07/08/2013		State Street Bank	JPY	200,161		2,284,538		2,018,233		266,305
					$	20,652,976	$	20,398,329	$	254,647

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks:
Argentina	$	387,936	$	—	$	—
Australia		—		3,244,207		—
Austria		—		920,057		—
Belgium		149,408		451,301		—
Brazil		1,234,800		—		—
Canada		3,580,858		—		—
Cayman Islands		300,942		—		—
China		876,010		2,580,133		—
Denmark		124,850		1,489,330		—
Finland		—		408,757		—
France		236,279		11,109,477		—
Germany		—		12,290,627		—
Hong Kong		—		3,077,835		—
Ireland		771,314		773,003		—
Israel		—		1,062,441		—
Italy		—		1,935,266		—
Japan		—		23,481,019		—
Liechtenstein		173,617		—		—
Luxemburg		—		199,475		—
Mexico		790,620		—		—

	Level 1		Level 2		Level 3
Netherlands	$	679,058	$	4,863,484	$	—
New Zealand		—		498,308		—
Norway		—		1,002,236		—
Singapore		—		255,732		—
South Korea		—		992,332		—
Spain		—		2,000,614		—
Sweden		—		1,847,421		—
Switzerland		—		9,488,428		—
United Kingdom		—		23,699,824		—
United States		2,852,102		—		—
Preferred Stocks:
Brazil		730,394		—		—
United Kingdom		—		9,281		—
Rights:
Spain		—		—		—
Affiliated Money Market Mutual Fund		2,751,991		—		—
Other Financial Instruments*
Foreign Forward Currency Contracts		—		242,415		—
Total	$	15,640,179	$	107,923,003	$	—

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

Fair value of Level 2 investments at December 31, 2012 was $105,748,078. An amount of $719,032 was transferred from Level 1 into Level 2 at June 30, 2013 as a result fair valuing such foreign securities using third-party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A11

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2013 were as follows:

Banks	13.4	%
Oil & Gas	8.4
Pharmaceuticals	8.2
Insurance	7.5
Retail	5.7
Telecommunications	5.4
Chemicals	4.7
Food	3.5
Auto Parts & Equipment	2.9
Auto Manufacturers	2.8
Aerospace & Defense	2.3
Affiliated Money Market Mutual Fund	2.2
Computer Services & Software	2.1
Diversified Financial Services	2.1
Semiconductors	1.9
Apparel	1.8
Transportation	1.7
Internet	1.7
Advertising	1.4
Distribution/Wholesale	1.2
Household Products/ Wares	1.2
Apparel & Textile	1.1
Diversified Machinery	1.1
Building Materials	1.1
Healthcare — Services	1.0

Media	1.0	%
Agriculture	1.0
Engineering & Construction	0.9
Mining	0.8
Beverages	0.8
Miscellaneous Manufacturing	0.7
Electric	0.7
Hotels, Restaurants & Leisure	0.6
Commercial Services	0.6
Iron/Steel	0.6
Cosmetics/Personal Care	0.6
Machinery & Equipment	0.5
Real Estate	0.5
Construction & Engineering	0.4
Airlines	0.4
Electronics	0.4
Aerospace/Defense	0.4
Paper & Forest Products	0.3
Holding Companies – Diversified	0.2
Textiles	0.1
Trading Companies & Distributors	0.1
	98.0
Other assets in excess of liabilities	2.0
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity risk and foreign exchange risk.

The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2013 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Foreign exchange contracts	Unrealized appreciation on foreign currency forward contracts	$	333,155	Unrealized depreciation on foreign currency forward contracts	$	90,740

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights			Forward Currency Contracts			Total
Foreign exchange contracts	$	—		$	(11,212	)	$	(11,212	)
Equity contracts		(67,167	)		—			(67,167	)
Total	$	(67,167	)	$	(11,212	)	$	(78,379	)
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights			Forward Currency Contracts			Total
Foreign exchange contracts	$	—		$	278,689		$	278,689
Equity contracts		676			—			676
Total	$	676		$	278,689		$	279,365

For the six months ended June 30, 2013, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $3,879,177 and the average value at settlement date receivable for foreign currency exchange sale contracts was $10,631,774.

SEE NOTES TO FINANCIAL STATEMENTS.

A12

	SP INTERNATIONAL VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

Offsetting of financial instrument and derivative assets and liabilities

Description	Gross Amounts of Recognized Assets			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Over-the-counter derivatives	$	333,155		$	—	$	—	$	333,155
Description	Gross Amounts of Recognized Liabilities			Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position
Over-the-counter derivatives		(90,740	)		—		—		(90,740	)
Collateral Amounts Pledged/(Received):
Over-the-counter derivatives									—
Net Amount								$	242,415

SEE NOTES TO FINANCIAL STATEMENTS.

A13

SP INTERNATIONAL VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2013

ASSETS
Investments at value:
Unaffiliated investments (cost $107,415,922)	$	120,568,776
Affiliated investments (cost $2,751,991)		2,751,991
Foreign currency, at value (cost $1,335,755)		1,321,655
Tax reclaim receivable		725,660
Dividends and interest receivable		369,347
Unrealized appreciation on foreign currency forward contracts		333,155
Receivable for investments sold		224,494
Receivable for Series shares sold		40,037
Prepaid expenses		141
Total Assets		126,335,256
LIABILITIES
Payable for investments purchased		136,547
Accrued expenses and other liabilities		118,867
Unrealized depreciation on foreign currency forward contracts		90,740
Management fee payable		95,089
Payable for Series shares repurchased		15,566
Affiliated transfer agent fees payable		926
Total Liabilities		457,735
NET ASSETS	$	125,877,521
Net assets were comprised of:
Paid-in capital	$	141,654,344
Retained earnings		(15,776,823	)
Net assets, June 30, 2013	$	125,877,521
Net asset value and redemption price per share, $125,877,521 / 18,610,041 outstanding shares of beneficial interest	$	6.76

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INVESTMENT INCOME
Unaffiliated dividend income (net of $197,301 foreign withholding tax)	$	2,650,108
Affiliated dividend income		2,079
		2,652,187
EXPENSES
Management fee		580,746
Custodian’s fees and expenses		81,000
Shareholders’ reports		19,000
Audit fee		12,000
Transfer agent’s fees and expenses (including affiliated expense of $3,000) (Note 4)		6,000
Trustees’ fees		6,000
Legal fees and expenses		5,000
Commitment fee on syndicated credit agreement		1,000
Insurance expenses		1,000
Miscellaneous		16,099
Total expenses		727,845
NET INVESTMENT INCOME		1,924,342
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		3,514,030
Foreign currency transactions		(97,400	)
		3,416,630
Net change in unrealized appreciation (depreciation) on:
Investments		(2,834,948	)
Foreign currencies		246,919
		(2,588,029	)
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		828,601
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	2,752,943

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	1,924,342		$	2,957,671
Net realized gain on investment and foreign currency transactions		3,416,630			1,025,895
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(2,588,029	)		15,578,866
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		2,752,943			19,562,432
DISTRIBUTIONS		—			(3,268,463	)
SERIES SHARE TRANSACTIONS:
Series shares sold [614,483 and 482,817 shares, respectively]		4,219,115			2,965,787
Series shares issued in reinvestment of distributions [0 and 585,746 shares, respectively]		—			3,268,463
Series shares repurchased [847,463 and 3,277,534 shares, respectively]		(5,849,146	)		(20,546,558	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(1,630,031	)		(14,312,308	)
TOTAL INCREASE IN NET ASSETS		1,122,912			1,981,661
NET ASSETS:
Beginning of period		124,754,609			122,772,948
End of period	$	125,877,521		$	124,754,609

SEE NOTES TO FINANCIAL STATEMENTS.

A14

	SP PRUDENTIAL U.S. EMERGING GROWTH  PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 97.9%
COMMON STOCKS	Shares		Value (Note 2)
Air Freight & Logistics — 0.7%
C.H. Robinson Worldwide, Inc.(a)		29,040	$	1,635,242
Airlines — 0.7%
United Continental Holdings, Inc.*		51,172		1,601,172
Biotechnology — 3.4%
BioMarin Pharmaceutical, Inc.*		50,300		2,806,237
Onyx Pharmaceuticals, Inc.*		15,064		1,307,856
Quintiles Transnational Holdings, Inc.*		10,060		428,154
Vertex Pharmaceuticals, Inc.*		41,288		3,297,673
				7,839,920
Capital Markets — 1.4%
Eaton Vance Corp.		56,532		2,125,038
T. Rowe Price Group, Inc.		14,232		1,041,071
				3,166,109
Chemicals — 5.1%
Airgas, Inc.		27,280		2,604,149
Albemarle Corp.(a)		40,110		2,498,452
Ecolab, Inc.		41,356		3,523,117
FMC Corp.		49,400		3,016,364
				11,642,082
Commercial Banks — 1.3%
First Republic Bank		79,303		3,051,579
Commercial Services & Supplies — 2.1%
Iron Mountain, Inc.		71,943		1,914,403
Stericycle, Inc.*		27,035		2,985,475
				4,899,878
Communications Equipment — 0.9%
F5 Networks, Inc.*		31,459		2,164,379
Computers & Peripherals — 0.9%
SanDisk Corp.*		31,873		1,947,440
Diversified Telecommunication Services — 0.4%
tw telecom, Inc.*		32,835		923,977
Electrical Equipment — 3.6%
AMETEK, Inc.		96,605		4,086,391
Roper Industries, Inc.		33,571		4,170,190
				8,256,581
Electronic Equipment & Instruments — 1.7%
Amphenol Corp. (Class A Stock)		49,233		3,837,220
Energy Equipment & Services — 2.2%
Cameron International Corp.*		56,581		3,460,494
Core Laboratories NV (Netherlands)		10,372		1,573,018
				5,033,512
Food & Staples Retailing — 1.0%
Whole Foods Market, Inc.		42,158		2,170,294
Food Products — 2.3%
Hain Celestial Group, Inc. (The)*(a)		44,587		2,896,818
Mead Johnson Nutrition Co.		30,519		2,418,020
				5,314,838
Healthcare Equipment & Supplies — 0.8%
Hologic, Inc.*		93,032		1,795,518

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Providers & Services — 6.6%
Catamaran Corp.*		46,351	$	2,258,221
DaVita HealthCare Partners, Inc.*		31,357		3,787,925
Henry Schein, Inc.*		48,637		4,656,993
Universal Health Services, Inc. (Class B Stock)		65,850		4,409,316
				15,112,455
Healthcare Technology — 0.5%
Cerner Corp.*		12,396		1,191,132
Hotels, Restaurants & Leisure — 4.1%
Chipotle Mexican Grill, Inc.*		3,053		1,112,361
Panera Bread Co. (Class A Stock)*(a)		16,961		3,153,728
Starwood Hotels & Resorts Worldwide, Inc.		36,577		2,311,301
Tim Hortons, Inc. (Canada)		50,510		2,734,106
				9,311,496
Household Products — 1.5%
Church & Dwight Co., Inc.		55,317		3,413,612
Insurance — 1.0%
W.R. Berkley Corp.		54,847		2,241,048
Internet Software & Services — 2.8%
Rackspace Hosting, Inc.*(a)		49,038		1,858,050
VeriSign, Inc.*(a)		102,182		4,563,448
				6,421,498
IT Services — 3.1%
Alliance Data Systems Corp.*(a)		11,248		2,036,226
Gartner, Inc.*(a)		42,787		2,438,431
Teradata Corp.*(a)		29,932		1,503,484
Vantiv, Inc. (Class A Stock)*(a)		42,094		1,161,794
				7,139,935
Life Sciences Tools & Services — 3.0%
Agilent Technologies, Inc.		64,708		2,766,914
Illumina, Inc.*(a)		28,224		2,112,284
Waters Corp.*(a)		18,913		1,892,246
				6,771,444
Machinery — 2.6%
IDEX Corp.		65,844		3,543,066
Pall Corp.		34,777		2,310,236
				5,853,302
Metals & Mining — 1.3%
Eldorado Gold Corp. (Canada)		120,665		745,710
Reliance Steel & Aluminum Co.		35,107		2,301,615
				3,047,325
Multiline Retail — 2.3%
Dollar Tree, Inc.*		90,893		4,621,000
Nordstrom, Inc.(a)		11,834		709,330
				5,330,330
Oil, Gas & Consumable Fuels — 5.2%
Cobalt International Energy, Inc.*		40,181		1,067,609
Concho Resources, Inc.*		34,272		2,869,252
Denbury Resources, Inc.*		184,878		3,202,087
Noble Energy, Inc.		54,070		3,246,363
Whiting Petroleum Corp.*		29,798		1,373,390
				11,758,701

SEE NOTES TO FINANCIAL STATEMENTS.

A15

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Personal Products — 1.0%
Herbalife Ltd.(a)		50,766	$	2,291,577
Pharmaceuticals — 2.2%
Perrigo Co.		18,014		2,179,694
Valeant Pharmaceuticals International, Inc.*		32,225		2,773,928
				4,953,622
Professional Services — 1.3%
IHS, Inc. (Class A Stock)*		28,494		2,974,204
Real Estate Investment Trusts — 1.7%
Annaly Capital Management, Inc.(a)		204,727		2,573,418
Starwood Property Trust, Inc.		53,876		1,333,431
				3,906,849
Road & Rail — 1.0%
Kansas City Southern		21,790		2,308,868
Semiconductors & Semiconductor Equipment — 2.5%
Broadcom Corp. (Class A Stock)		78,722		2,657,655
Xilinx, Inc.(a)		76,318		3,022,956
				5,680,611
Software — 7.2%
Activision Blizzard, Inc.		148,197		2,113,289
Adobe Systems, Inc.*		87,205		3,973,060
Check Point Software Technologies Ltd.*(a)		54,909		2,727,879
Intuit, Inc.		42,820		2,613,305
Red Hat, Inc.*		62,080		2,968,666
SolarWinds, Inc.*		21,076		817,959
Tableau Software, Inc. (Class A Stock)*		733		40,623
Ultimate Software Group, Inc.*		9,241		1,083,877
				16,338,658
Specialty Retail — 9.7%
Bed Bath & Beyond, Inc.*(a)		31,411		2,227,040
Dick’s Sporting Goods, Inc.(a)		37,873		1,895,922
GNC Holdings, Inc. (Class A Stock)		29,217		1,291,683
L Brands, Inc.		59,492		2,929,981
O’Reilly Automotive, Inc.*(a)		26,772		3,015,063
PetSmart, Inc.		24,723		1,656,194
Ross Stores, Inc.		61,555		3,989,379
Tractor Supply Co.		10,972		1,290,417
Ulta Salon Cosmetics & Fragrance, Inc.*		19,030		1,906,045
Urban Outfitters, Inc.*		45,036		1,811,348
				22,013,072
Textiles, Apparel & Luxury Goods — 2.7%
Michael Kors Holdings Ltd.*		23,402		1,451,392
PVH Corp.		37,752		4,720,888
				6,172,280
Trading Companies & Distributors — 0.8%
WESCO International, Inc.*(a)		26,741		1,817,318
Wireless Telecommunication Services — 5.3%
Crown Castle International Corp.*		79,492		5,754,426
NII Holdings, Inc.*		173,975		1,160,413

COMMON STOCKS (continued)	Shares		Value (Note 2)
Wireless Telecommunication Services (continued)
SBA Communications Corp. (Class A Stock)*(a)		68,525	$	5,079,073
				11,993,912
TOTAL LONG-TERM INVESTMENTS (cost $156,040,455)				223,322,990
SHORT-TERM INVESTMENT — 21.0%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $47,922,827; includes $43,173,765 of cash collateral received for securities on loan (Note 4)(b)(c)		47,922,827		47,922,827
TOTAL INVESTMENTS — 118.9% (cost $203,963,282)				271,245,817
LIABILITIES IN EXCESS OF OTHER ASSETS — (18.9)%				(43,105,898	)
NET ASSETS — 100.0%			$	228,139,919

* 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 $41,960,655; cash collateral of $43,173,765 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	223,322,990	$	—	$	—
Affiliated Money Market Mutual Fund		47,922,827		—		—
Total	$	271,245,817	$	—	$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A16

	SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Affiliated Money Market Mutual Fund (including 18.9% of collateral received for securities on loan)	21.0	%
Specialty Retail	9.7
Software	7.2
Healthcare Providers & Services	6.6
Wireless Telecommunication Services	5.3
Oil, Gas & Consumable Fuels	5.2
Chemicals	5.1
Hotels, Restaurants & Leisure	4.1
Electrical Equipment	3.6
Biotechnology	3.4
IT Services	3.1
Life Sciences Tools & Services	3.0
Internet Software & Services	2.8
Textiles, Apparel & Luxury Goods	2.7
Machinery	2.6
Semiconductors & Semiconductor Equipment	2.5
Food Products	2.3
Multiline Retail	2.3
Energy Equipment & Services	2.2
Pharmaceuticals	2.2
Commercial Services & Supplies	2.1

Electronic Equipment & Instruments	1.7	%
Real Estate Investment Trusts	1.7
Household Products	1.5
Capital Markets	1.4
Commercial Banks	1.3
Metals & Mining	1.3
Professional Services	1.3
Food & Staples Retailing	1.0
Insurance	1.0
Personal Products	1.0
Road & Rail	1.0
Communications Equipment	0.9
Computers & Peripherals	0.9
Healthcare Equipment & Supplies	0.8
Trading Companies & Distributors	0.8
Air Freight & Logistics	0.7
Airlines	0.7
Healthcare Technology	0.5
Diversified Telecommunication Services	0.4
	118.9
Liabilities in excess of other assets	(18.9	)
	100.0	%

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

Offsetting of financial instrument assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position
Securities on Loan	$	41,960,655	$	—	$	—	$	41,960,655
Collateral Amounts Pledged/(Received):
Securities on Loan								(41,960,655	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A17

SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO  (continued)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited) June 30, 2013
ASSETS
Investments, at value including securities on loan of $41,960,655:
Unaffiliated investments (cost $156,040,455)	$	223,322,990
Affiliated investments (cost $47,922,827)		47,922,827
Receivable for investments sold		759,549
Dividends receivable		197,798
Receivable for Series shares sold		16,525
Prepaid expenses		537
Total Assets		272,220,226
LIABILITIES
Collateral for securities on loan		43,173,765
Payable for investments purchased		646,996
Management fee payable		113,281
Accrued expenses and other liabilities		71,484
Payable for Series shares repurchased		71,003
Deferred trustees’ fees		2,682
Affiliated transfer agent fee payable		926
Distribution fee payable		94
Administration fee payable		56
Payable to custodian		20
Total Liabilities		44,080,307
NET ASSETS	$	228,139,919
Net assets were comprised of:
Paid-in capital	$	142,862,805
Retained earnings		85,277,114
Net assets, June 30, 2013	$	228,139,919
Class I:
Net asset value and redemption price per share, $227,684,278 / 24,642,938 outstanding shares of beneficial interest	$	9.24
Class II:
Net asset value and redemption price per share, $455,641 / 51,318 outstanding shares of beneficial interest	$	8.88

STATEMENT OF OPERATIONS (Unaudited) Six Months Ended June 30, 2013
INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $6,201)	$	911,580
Affiliated income from securities loaned, net		50,207
Affiliated dividend income		4,554
		966,341
EXPENSES
Management fee		690,499
Distribution fee—Class II		507
Administration fee—Class II		305
Custodian’s fees and expenses		28,000
Shareholders’ reports		21,000
Audit fee		10,000
Legal fees and expenses		6,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Trustees’ fees		5,000
Insurance expenses		1,000
Commitment fee on syndicated credit agreement		1,000
Miscellaneous		5,646
Total expenses		774,957
NET INVESTMENT INCOME		191,384
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investment transactions		8,777,310
Net change in unrealized appreciation (depreciation) on Investments		11,968,748
NET GAIN ON INVESTMENTS		20,746,058
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	20,937,442

STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	191,384		$	1,623,087
Net realized gain on investments		8,777,310			28,274,398
Net change in unrealized appreciation (depreciation) on investments		11,968,748			4,622,612
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		20,937,442			34,520,097
DISTRIBUTIONS:
Class I		—			(16,531,764	)
Class II		—			(21,691	)
TOTAL DISTRIBUTIONS		—			(16,553,455	)
SERIES SHARE TRANSACTIONS (NOTE 7):
Series shares sold		2,798,526			9,426,304
Series shares issued in reinvestment of distributions		—			16,553,455
Series shares repurchased		(16,933,075	)		(33,710,025	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(14,134,549	)		(7,730,266	)
TOTAL INCREASE IN NET ASSETS		6,802,893			10,236,376
NET ASSETS:
Beginning of period		221,337,026			211,100,650
End of period	$	228,139,919		$	221,337,026

SEE NOTES TO FINANCIAL STATEMENTS.

A18

	SP SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 98.8%
COMMON STOCKS — 96.8%	Shares		Value (Note 2)
Aerospace & Defense — 2.1%
Cubic Corp.		11,508	$	553,535
Huntington Ingalls Industries, Inc.		18,640		1,052,787
Kaman Corp.		21,216		733,225
Moog, Inc. (Class A Stock)*		16,231		836,384
Teledyne Technologies, Inc.*		7,901		611,142
Triumph Group, Inc.		4,408		348,893
				4,135,966
Auto Components — 1.0%
American Axle & Manufacturing Holdings, Inc.*		44,839		835,350
Dana Holding Corp.		25,320		487,663
Superior Industries International, Inc.		38,080		655,357
				1,978,370
Automotive Parts — 0.5%
Asbury Automotive Group, Inc.*		11,283		452,448
Tenneco, Inc.*		13,192		597,334
				1,049,782
Banks — 2.0%
Banner Corp.		11,591		391,660
Bridge Capital Holdings*		7,831		124,200
Dime Community Bancshares, Inc.		14,323		219,428
Hancock Holding Co.		5,126		154,139
Independent Bank Corp.		11,308		390,126
Independent Bank Group, Inc.*		4,884		148,474
Lakeland Financial Corp.		7,125		197,719
Pinnacle Financial Partners, Inc.*		18,305		470,621
Sierra Bancorp		4,322		63,966
Trico Bancshares		9,523		203,125
UMB Financial Corp.		18,013		1,002,784
Viewpoint Financial Group, Inc.		24,647		512,904
				3,879,146
Biotechnology — 0.8%
Acorda Therapeutics, Inc.*		10,195		336,333
Exact Sciences Corp.*		31,621		439,848
Myriad Genetics, Inc.*(a)		26,616		715,172
				1,491,353
Building Materials — 0.3%
Comfort Systems USA, Inc.		42,549		634,831
Building Products — 0.2%
Gibraltar Industries, Inc.*		32,450		472,472
Capital Markets — 3.3%
Affiliated Managers Group, Inc.*		11,220		1,839,407
Cohen & Steers, Inc.(a)		18,395		625,062
Greenhill & Co., Inc.		3,696		169,055
HFF, Inc. (Class A Stock)		22,833		405,742
Raymond James Financial, Inc.		23,630		1,015,617
Stifel Financial Corp.*(a)		23,083		823,371
Waddell & Reed Financial, Inc. (Class A Stock)		34,140		1,485,090
				6,363,344
Chemicals — 2.7%
Fuller (H.B.) Co.		17,919		677,517
Grace, (W.R.) & Co.*		6,157		517,434
Koppers Holdings, Inc.		27,483		1,049,301

COMMON STOCKS (continued)	Shares		Value (Note 2)
Chemicals (continued)
Kraton Performance Polymers, Inc.*		9,910	$	210,092
Methanex Corp. (Canada)		22,465		961,277
PolyOne Corp.		52,939		1,311,829
Quaker Chemical Corp.		4,461		276,627
Westlake Chemical Corp.		3,580		345,148
				5,349,225
Commercial Banks — 8.2%
Bancorp, Inc. (The)*		29,979		449,385
BancorpSouth, Inc.		30,301		536,328
BankUnited, Inc.		15,640		406,796
CoBiz Financial, Inc.		20,626		171,196
Community Bank System, Inc.		17,054		526,116
First Midwest Bancorp, Inc.		27,693		379,948
First Republic Bank		17,670		679,942
FirstMerit Corp.		70,750		1,417,122
Heritage Financial Corp.		9,146		133,989
Home Loan Servicing Solutions Ltd.		20,820		499,055
IBERIABANK Corp.		29,270		1,569,165
PrivateBancorp, Inc.		35,881		761,036
Sandy Spring Bancorp, Inc.		9,427		203,812
Signature Bank*(a)		33,969		2,820,106
Sterling Financial Corp.		22,227		528,558
SVB Financial Group*		26,040		2,169,653
Tompkins Financial Corp.		10,659		481,680
Webster Financial Corp.		27,489		705,918
Wintrust Financial Corp.(a)		41,660		1,594,745
				16,034,550
Commercial Services — 0.9%
Blackstone Mortgage Trust, Inc.		34,020		840,294
Convergys Corp.		36,114		629,467
Monro Muffler Brake, Inc.(a)		6,555		314,968
				1,784,729
Commercial Services & Supplies — 1.4%
ACCO Brands Corp.*(a)		163,420		1,039,351
Herman Miller, Inc.		20,420		552,769
TMS International Corp. (Class A Stock)		59,950		889,059
United Stationers, Inc.		5,090		170,770
				2,651,949
Communication Equipment — 1.6%
Bel Fuse, Inc. (Class B Stock)		12,120		163,014
Black Box Corp.		9,490		240,287
Digi International, Inc.*		78,307		733,736
InterDigital, Inc.(a)		15,740		702,791
Plantronics, Inc.		30,303		1,330,908
				3,170,736
Computer Hardware — 0.3%
Electronics for Imaging, Inc.*		23,219		656,865
Computer Services & Software — 1.1%
Allscripts Healthcare Solutions, Inc.*		56,006		724,718
Mentor Graphics Corp.		28,548		558,113
Monotype Imaging Holdings, Inc.		17,199		437,027
NetScout Systems, Inc.*		15,392		359,249
Progress Software Corp.*		5,093		117,190
				2,196,297

SEE NOTES TO FINANCIAL STATEMENTS.

A19

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Construction & Engineering — 1.5%
EMCOR Group, Inc.		26,093	$	1,060,681
Meritage Homes Corp.*		15,729		682,009
Michael Baker Corp.		4,860		131,755
Primoris Services Corp.		11,075		218,399
Tutor Perini Corp.*		44,990		813,869
				2,906,713
Consumer Finance — 0.2%
First Cash Financial Services, Inc.*		6,108		300,575
Consumer Products & Services — 0.9%
Elizabeth Arden, Inc.*		8,588		387,061
Prestige Brands Holdings, Inc.*		17,865		520,586
Spectrum Brands Holdings, Inc.		15,529		883,134
				1,790,781
Distribution/Wholesale — 0.2%
Watsco, Inc.		3,482		292,349
Diversified Consumer Services — 0.4%
Sotheby’s(a)		13,270		503,066
Steiner Leisure Ltd. (Bahamas)*		6,838		361,456
				864,522
Diversified Financial Services — 1.1%
Boston Private Financial Holdings, Inc.		39,708		422,493
E*Trade Financial Corp.*		42,070		532,606
Manning & Napier, Inc.		6,262		111,213
MarketAxess Holdings, Inc.		10,787		504,292
Walter Investment Management Corp.*		12,576		425,195
WisdomTree Investments, Inc.*		9,917		114,740
				2,110,539
Electric Utilities — 3.3%
Allete, Inc.		9,007		448,999
Black Hills Corp.		5,145		250,819
Cleco Corp.		38,595		1,791,966
IDACORP, Inc.		23,573		1,125,846
MGE Energy, Inc.		4,430		242,587
MYR Group, Inc.*		16,880		328,316
NorthWestern Corp.		7,483		298,572
Portland General Electric Co.		19,765		604,611
UNS Energy Corp.		32,223		1,441,335
				6,533,051
Electrical Equipment — 0.5%
Acuity Brands, Inc.(a)		4,968		375,183
Advanced Energy Industries, Inc.*		22,178		386,119
Powell Industries, Inc.*		3,532		182,428
				943,730
Electronic Components & Equipment — 1.5%
AVX Corp.		70,160		824,380
Coherent, Inc.		6,793		374,091
Littelfuse, Inc.		5,079		378,944
Park Electrochemical Corp.		53,496		1,284,439
				2,861,854
Electronics — 1.2%
Belden, Inc.		13,659		681,994
Newport Corp.*		41,947		584,322

COMMON STOCKS (continued)	Shares		Value (Note 2)
Electronics (continued)
PerkinElmer, Inc.		31,329	$	1,018,192
				2,284,508
Energy Equipment & Services — 1.5%
Gulf Island Fabrication, Inc.		19,220		368,063
Matrix Service Co.*		27,030		421,127
Natural Gas Services Group, Inc.*		18,150		426,344
TETRA Technologies, Inc.*		98,478		1,010,384
Tidewater, Inc.		14,050		800,429
				3,026,347
Entertainment & Leisure — 1.0%
Brunswick Corp.		8,760		279,882
Marriott Vacations Worldwide Corp.*		14,380		621,791
Polaris Industries, Inc.(a)		4,459		423,605
Six Flags Entertainment Corp.		8,358		293,867
Vail Resorts, Inc.		6,832		420,305
				2,039,450
Environmental Services — 0.2%
Waste Connections, Inc.(a)		9,641		396,631
Financial - Bank & Trust — 2.8%
Bank of the Ozarks, Inc.(a)		22,583		978,522
First Financial Bankshares, Inc.(a)		11,526		641,537
Glacier Bancorp, Inc.		27,074		600,772
Prosperity Bancshares, Inc.(a)		20,489		1,061,125
Provident Financial Services, Inc.		24,872		392,480
SCBT Financial Corp.		9,561		481,779
Southcoast Financial Corp.*		5,724		30,051
Summit State Bank		4,605		42,735
Texas Capital Bancshares, Inc.*		23,812		1,056,300
WSFS Financial Corp.		3,693		193,476
				5,478,777
Financial Services — 1.2%
Brookline Bancorp, Inc.		24,043		208,693
First of Long Island Corp. (The)		4,750		157,653
Home BancShares, Inc.		21,368		554,927
MB Financial, Inc.		25,480		682,864
Ocwen Financial Corp.*		13,683		564,013
Piper Jaffray Cos.*		3,147		99,477
				2,267,627
Food & Staples Retailing — 0.9%
Pantry, Inc. (The)*		78,439		955,387
Weis Markets, Inc.		17,950		809,006
				1,764,393
Food — 0.3%
Hain Celestial Group, Inc. (The)*(a)		10,433		677,832
Gas Utilities — 0.6%
Laclede Group, Inc. (The)		4,400		200,904
New Jersey Resources Corp.		9,590		398,273
Northwest Natural Gas Co.		9,770		415,029
WGL Holdings, Inc.		4,680		202,270
				1,216,476
Hand/Machine Tools — 0.2%
Regal-Beloit Corp.		6,123		397,015

SEE NOTES TO FINANCIAL STATEMENTS.

A20

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Healthcare Products — 0.1%
Teleflex, Inc.		3,137	$	243,086
Healthcare Providers & Services — 0.9%
Cross Country Healthcare, Inc.*		46,130		238,031
HealthSouth Corp.*		20,588		592,934
LifePoint Hospitals, Inc.*		19,590		956,776
				1,787,741
Healthcare Services — 0.3%
ICON PLC, ADR (Ireland)*		13,772		487,942
Home Builders — 0.5%
Standard Pacific Corp.*(a)		62,502		520,642
William Lyon Homes*		20,988		529,107
				1,049,749
Household Durables — 0.4%
Ryland Group, Inc. (The)(a)		17,080		684,908
Household Products — 0.3%
Central Garden & Pet Co. (Class A Stock)*		41,210		284,349
Harman International Industries, Inc.		5,149		279,076
				563,425
Insurance — 5.5%
Allied World Assurance Co. Holdings AG (Switzerland)		22,730		2,080,022
American Equity Investment Life Holding Co.(a)		83,921		1,317,560
Arch Capital Group Ltd. (Bermuda)*(a)		30,340		1,559,779
Aspen Insurance Holdings Ltd. (Bermuda)		16,086		596,630
AXIS Capital Holdings Ltd. (Bermuda)		35,180		1,610,540
Enstar Group Ltd. (Bermuda)*		3,310		440,164
Maiden Holdings Ltd. (Bermuda)		36,683		411,583
Markel Corp.*		642		338,302
Meadowbrook Insurance Group, Inc.		70,813		568,628
ProAssurance Corp.		18,522		966,108
Radian Group, Inc.		49,233		572,088
RLI Corp.		3,297		251,924
				10,713,328
Investment Companies — 0.3%
New Mountain Finance Corp.		14,313		202,672
Solar Capital Ltd.		10,012		231,177
THL Credit, Inc.		11,769		178,771
				612,620
IT Services — 0.1%
Unisys Corp.*(a)		10,010		220,921
Leisure Equipment & Products — 0.2%
Arctic Cat, Inc.		9,278		417,324
Machinery — 2.3%
Altra Holdings, Inc.		11,940		326,917
CIRCOR International, Inc.		9,220		468,929
Edwards Group Ltd., ADR (United Kingdom)*		46,389		394,306
Oshkosh Corp.*		14,500		550,565
RBC Bearings, Inc.*		33,027		1,715,753
Snap-on, Inc.		9,350		835,703

COMMON STOCKS (continued)	Shares		Value (Note 2)
Machinery (continued)
Twin Disc, Inc.		10,988	$	260,416
				4,552,589
Machinery & Equipment — 0.7%
Applied Industrial Technologies, Inc.		16,239		784,831
Graco, Inc.		8,408		531,469
				1,316,300
Manufacturing — 1.6%
A.O. Smith Corp.		9,581		347,599
Actuant Corp. (Class A Stock)		19,603		646,311
Barnes Group, Inc.		19,990		599,500
Carlisle Cos., Inc.		16,243		1,012,101
Crane Co.		7,022		420,758
Raven Industries, Inc.		4,306		129,094
				3,155,363
Marine — 0.7%
Diana Shipping, Inc. (Marshall Islands)*(a)		38,940		390,958
Kirby Corp.*(a)		11,950		950,503
				1,341,461
Media — 0.2%
Sinclair Broadcast Group, Inc. (Class A Stock)		16,520		485,358
Metals & Mining — 2.4%
Carpenter Technology Corp.		18,347		826,899
Commercial Metals Co.		25,169		371,746
Haynes International, Inc.		12,544		600,481
Horsehead Holding Corp.*		64,720		829,063
Kaiser Aluminum Corp.		16,274		1,008,012
Olympic Steel, Inc.		17,416		426,692
RTI International Metals, Inc.*(a)		20,840		577,477
				4,640,370
Oil & Gas Exploration/Production — 0.2%
Diamondback Energy, Inc.*(a)		13,844		461,282
Oil Field Equipment & Services — 1.3%
Dril-Quip, Inc.*		12,001		1,083,570
Forum Energy Technologies, Inc.*(a)		31,730		965,544
Thermon Group Holdings, Inc.*		19,481		397,413
				2,446,527
Oil, Gas & Consumable Fuels — 4.6%
Approach Resources, Inc.*(a)		40,012		983,095
Bill Barrett Corp.*(a)		36,970		747,534
C&J Energy Services, Inc.*(a)		11,490		222,561
Carrizo Oil & Gas, Inc.*(a)		38,610		1,093,821
Cloud Peak Energy, Inc.*(a)		23,580		388,598
Laredo Petroleum Holdings, Inc.*		51,222		1,053,124
Newpark Resources, Inc.*		78,487		862,572
Rex Energy Corp.*		98,927		1,739,137
Southwest Gas Corp.		35,720		1,671,339
Tesco Corp. (Canada)*		16,170		214,253
				8,976,034
Packaging — 0.3%
Graphic Packaging Holding Co*		81,577		631,406

SEE NOTES TO FINANCIAL STATEMENTS.

A21

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Paper & Forest Products — 0.4%
KapStone Paper and Packaging Corp.		20,435	$	821,078
Pharmaceuticals — 0.2%
Infinity Pharmaceuticals, Inc.*		21,368		347,230
Professional Services — 0.8%
Hudson Global, Inc.*		41,920		103,961
Korn/Ferry International*		14,650		274,541
TrueBlue, Inc.*		52,534		1,105,841
				1,484,343
Real Estate Investment Trusts — 10.1%
Acadia Realty Trust		21,733		536,588
American Campus Communities, Inc.		10,382		422,132
Apollo Commercial Real Estate Finance, Inc.		46,173		733,227
BioMed Realty Trust, Inc.		47,720		965,376
Campus Crest Communities, Inc.		64,215		741,041
CBL & Associates Properties, Inc.		26,268		562,661
Coresite Realty Corp.		15,336		487,838
Corporate Office Properties Trust		12,490		318,495
Cousins Properties, Inc.		76,893		776,619
CubeSmart		51,013		815,188
CYS Investments, Inc.(a)		73,064		672,919
DuPont Fabros Technology, Inc.(a)		36,752		887,561
EastGroup Properties, Inc.		12,990		730,947
EPR Properties(a)		19,129		961,615
Healthcare Trust of America, Inc.		27,701		311,082
Hersha Hospitality Trust		34,200		192,888
Highwoods Properties, Inc.		14,702		523,538
Hudson Pacific Properties, Inc.		32,741		696,728
LaSalle Hotel Properties		35,477		876,282
LTC Properties, Inc.		18,304		714,771
MFA Financial, Inc.		103,910		878,040
Mid-America Apartment Communities, Inc.		23,146		1,568,604
National Retail Properties, Inc.(a)		16,528		568,563
Pebblebrook Hotel Trust		63,482		1,641,010
PS Business Parks, Inc.		13,176		950,912
Strategic Hotels & Resorts, Inc.*		64,958		575,528
Two Harbors Investment Corp.		56,160		575,640
Washington Real Estate Investment Trust		6,560		176,530
				19,862,323
Real Estate Management & Development — 0.7%
CBRE Group, Inc.*		17,690		413,238
Jones Lang LaSalle, Inc.		4,540		413,776
Kennedy-Wilson Holdings, Inc.		35,703		594,098
				1,421,112
Retail & Merchandising — 1.3%
Cabela’s, Inc.*(a)		6,087		394,194
Chico’s FAS, Inc.		12,720		217,003
GNC Holdings, Inc. (Class A Stock)		11,578		511,864
Shoe Carnival, Inc.		16,494		396,021
Susser Holdings Corp.*(a)		14,047		672,570
Vitamin Shoppe, Inc.*		5,824		261,148
				2,452,800

COMMON STOCKS (continued)	Shares		Value (Note 2)
Road & Rail — 0.8%
Genesee & Wyoming, Inc. (Class A Stock)*		7,490	$	635,451
Old Dominion Freight Line, Inc.*		23,187		965,043
				1,600,494
Semiconductors & Semiconductor Equipment — 5.1%
Cabot Microelectronics Corp.*		18,582		613,392
Exar Corp.*		114,490		1,233,057
Fairchild Semiconductor International, Inc.*		54,670		754,446
Intersil Corp. (Class A Stock)		70,407		550,583
Micrel, Inc.		24,658		243,621
MKS Instruments, Inc.		23,838		632,660
ON Semiconductor Corp.*		109,560		885,245
Rudolph Technologies, Inc.*		79,000		884,800
Semtech Corp.*		26,716		935,861
Silicon Laboratories, Inc.*		7,816		323,661
Teradyne, Inc.*(a)		98,726		1,734,616
Veeco Instruments, Inc.*(a)		30,860		1,093,061
				9,885,003
Software — 1.2%
PTC, Inc.*		38,447		943,105
SS&C Technologies Holdings, Inc.*(a)		25,391		835,364
Verint Systems, Inc.*		15,741		558,333
				2,336,802
Specialty Retail — 1.9%
Aaron’s, Inc.		21,734		608,769
Aeropostale, Inc.*		27,190		375,222
ANN, Inc.*		28,400		942,880
Cato Corp. (The) (Class A Stock)		7,820		195,187
Francesca’s Holdings Corp.*		7,565		210,231
MarineMax, Inc.*		73,420		831,849
OfficeMax, Inc.		51,163		523,398
				3,687,536
Telecommunications — 1.6%
ADTRAN, Inc.(a)		18,784		462,274
Anixter International, Inc.*		11,239		852,029
Premiere Global Services, Inc.*		51,936		626,867
SYNNEX Corp.*(a)		12,327		521,186
West Corp.		31,666		701,085
				3,163,441
Textiles, Apparel & Luxury Goods — 1.6%
Carter’s, Inc.		6,850		507,379
G & K Services, Inc. (Class A Stock)		14,958		712,001
Hanesbrands, Inc.		11,730		603,157
Movado Group, Inc.		16,992		574,839
Steven Madden Ltd.*		14,955		723,523
				3,120,899
Thrifts & Mortgage Finance — 0.9%
Flushing Financial Corp.		20,272		333,474
Oritani Financial Corp.		18,182		285,094
People’s United Financial, Inc.(a)		51,510		767,499
Westfield Financial, Inc.		55,010		385,070
				1,771,137

SEE NOTES TO FINANCIAL STATEMENTS.

A22

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

COMMON STOCKS (continued)	Shares		Value (Note 2)
Transportation — 0.7%
Celadon Group, Inc.		10,754	$	196,261
Forward Air Corp.		16,623		636,328
Gulfmark Offshore, Inc. (Class A Stock)		13,704		617,913
				1,450,502
Utilities — 0.7%
El Paso Electric Co.		36,864		1,301,668
TOTAL COMMON STOCKS (cost $137,443,351)				189,496,887
EXCHANGE TRADED FUNDS — 1.7%
iShares Nasdaq Biotechnology Index Fund		2,780		483,387
iShares Russell 2000 Value Index Fund		34,148		2,933,313
TOTAL EXCHANGE TRADED FUNDS (cost $3,116,955)				3,416,700
UNAFFILIATED MUTUAL FUNDS — 0.3%
Golub Capital BDC, Inc.(a)		11,132		194,810
PennantPark Investment Corp.		21,567		238,315
Solar Senior Capital Ltd.		6,487		119,426
TOTAL UNAFFILIATED MUTUAL FUNDS (cost $584,014)				552,551
WARRANTS*
	Units
Oil, Gas & Consumable Fuels
Magnum Hunter Resources Corp., expiring 10/14/13 (cost $0)		4,411		617
TOTAL LONG-TERM INVESTMENTS (cost $141,144,320)				193,466,755
	Shares
SHORT-TERM INVESTMENT — 16.1%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $31,470,044; includes $29,167,944 of cash collateral for securities on loan)(b)(w)(Note 4)		31,470,044		31,470,044
TOTAL INVESTMENTS — 114.9% (cost $172,614,364)				224,936,799
LIABILITIES IN EXCESS OF OTHER ASSETS — (14.9)%				(29,118,648	)
NET ASSETS — 100.0%			$	195,818,151

The following abbreviation is used in the Portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $28,225,181; cash collateral of $29,167,944 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	189,496,887	$	—	$	—
Exchange Traded Funds		3,416,700		—		—
Unaffiliated Mutual Funds		552,551		—		—
Affiliated Money Market Mutual Fund		31,470,044		—		—
Warrants		617		—		—
Total	$	224,936,799	$	—	$	—

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Affiliated Money Market Mutual Fund (14.9% represents investments purchased with collateral from securities on loan)	16.1	%
Real Estate Investment Trusts	10.1
Commercial Banks	8.2
Insurance	5.5
Semiconductors & Semiconductor Equipment	5.1
Oil, Gas & Consumable Fuels	4.6
Electric Utilities	3.3
Capital Markets	3.3
Financial – Bank & Trust	2.8
Chemicals	2.7
Metals & Mining	2.4
Machinery	2.3
Aerospace & Defense	2.1
Banks	2.0
Specialty Retail	1.9
Exchange Traded Funds	1.7
Communication Equipment	1.6
Telecommunications	1.6
Manufacturing	1.6
Textiles, Apparel & Luxury Goods	1.6
Energy Equipment & Services	1.5
Construction & Engineering	1.5
Electronic Components & Equipment	1.5
Commercial Services & Supplies	1.4
Retail & Merchandising	1.3
Oil Field Equipment & Services	1.3
Software	1.2

SEE NOTES TO FINANCIAL STATEMENTS.

A23

	SP SMALL CAP VALUE PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

Industry ( cont’d)
Electronics	1.2	%
Financial Services	1.2
Computer Services & Software	1.1
Diversified Financial Services	1.1
Entertainment & Leisure	1.0
Auto Components	1.0
Consumer Products & Services	0.9
Healthcare Providers & Services	0.9
Commercial Services	0.9
Thrifts & Mortgage Finance	0.9
Food & Staples Retailing	0.9
Road & Rail	0.8
Biotechnology	0.8
Professional Services	0.8
Transportation	0.7
Real Estate Management & Development	0.7
Marine	0.7
Machinery & Equipment	0.7
Utilities	0.7
Gas Utilities	0.6
Automotive Parts	0.5
Home Builders	0.5
Electrical Equipment	0.5
Diversified Consumer Services	0.4

Paper & Forest Products	0.4	%
Household Durables	0.4
Food	0.3
Computer Hardware	0.3
Building Materials	0.3
Packaging	0.3
Investment Companies	0.3
Household Products	0.3
Unaffiliated Mutual Funds	0.3
Healthcare Services	0.3
Media	0.2
Building Products	0.2
Oil & Gas Exploration/Production	0.2
Leisure Equipment & Products	0.2
Hand/Machine Tools	0.2
Environmental Services	0.2
Pharmaceuticals	0.2
Consumer Finance	0.2
Distribution/Wholesale	0.2
Healthcare Products	0.1
IT Services	0.1
	114.9
Liabilities in excess of other assets	(14.9	)
	100.0	%

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments is equity risk.

The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of June 30, 2013 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Equity contracts	Unaffiliated investments	$	617	—	$	—

The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2013 are as follows:

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Warrants
Equity contracts	$	(1,633	)

For the six months ended June 30, 2013, the Portfolio did not have any realized gain or (loss) on derivatives recognized in income.

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

Offsetting of financial instrument assets and liabilities

Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial  Position
Securities on loan	$	28,225,181	$	—	$	—	$	28,225,181
Collateral Amounts Pledged/(Received):
Securities on loan								(28,225,181	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A24

SP SMALL CAP VALUE PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2013

ASSETS
Investments at value, including securities on loan of $28,225,181:
Unaffiliated investments (cost $141,144,320)	$	193,466,755
Affiliated investments (cost $31,470,044)		31,470,044
Receivable for investments sold		1,393,893
Dividends and interest receivable		361,617
Receivable for Series shares sold		43,013
Prepaid expenses		192
Total Assets		226,735,514
LIABILITIES
Collateral for securities on loan		29,167,944
Payable for investments purchased		1,491,874
Management fee payable		145,557
Accrued expenses and other liabilities		78,061
Payable for Series shares repurchased		42,827
Deferred trustees’ fees		984
Affiliated transfer agent fees payable		926
Total Liabilities		30,928,173
NET ASSETS	$	195,807,341
Net assets were comprised of:
Paid-in capital	$	131,458,033
Retained earnings		64,349,308
Net assets, June 30, 2013	$	195,807,341
Net asset value and redemption price per share, $195,807,341 / 12,430,473 outstanding shares of beneficial interest	$	15.75

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INVESTMENT INCOME
Unaffiliated dividend income (net of $1,000 foreign withholding tax)	$	1,290,538
Affiliated income from securities lending, net		31,508
Affiliated dividend income		2,006
Interest income		21
		1,324,073
EXPENSES
Management fee		865,241
Custodian’s fees and expenses		45,000
Shareholders’ reports		20,000
Audit fee		11,000
Transfer agent’s fees and expenses (including affiliated expense of $3,000) (Note 4)		6,000
Trustees’ fees		6,000
Legal fees and expenses		5,000
Commitment fee on syndicated credit agreement		1,000
Insurance expenses		1,000
Loan interest expense (Note 8)		6
Miscellaneous		6,604
Total expenses		966,851
NET INVESTMENT INCOME		357,222
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investment transactions		13,391,778
Net change in unrealized appreciation (depreciation) on investments		12,844,663
NET GAIN ON INVESTMENTS		26,236,441
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	26,593,663

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income	$	357,222		$	2,078,684
Net realized gain on investment transactions		13,391,778			16,651,841
Net change in unrealized appreciation (depreciation) on investments		12,844,663			8,467,610
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		26,593,663			27,198,135
DISTRIBUTIONS		—			(822,771	)
SERIES SHARE TRANSACTIONS:
Series shares sold [172,090 and 438,835 shares, respectively]		2,593,183			5,693,146
Series shares issued in reinvestment of distributions [0 and 67,220 shares, respectively]		—			822,771
Series shares repurchased [857,538 and 2,364,511 shares, respectively]		(13,020,665	)		(30,783,627	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(10,427,482	)		(24,267,710	)
TOTAL INCREASE IN NET ASSETS		16,166,181			2,107,654
NET ASSETS:
Beginning of period		179,641,160			177,533,506
End of period	$	195,807,341		$	179,641,160

SEE NOTES TO FINANCIAL STATEMENTS.

A25

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

Note 1: General

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

SP International Growth Portfolio:    Long-term growth of capital.

SP International Value Portfolio:    Long-term capital appreciation.

SP Prudential U.S. Emerging Growth Portfolio:    Long-term capital appreciation.

SP Small Cap Value Portfolio:    Long-term growth of capital.

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

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.

Securities Valuations:    Each Portfolio holds portfolio securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has delegated fair valuation responsibilities to Prudential Investments LLC (“PI” or “Manager”) through the adoption of Valuation Procedures for valuation of the Portfolio’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Portfolio to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Board at its next regularly scheduled quarterly meeting.

Various inputs are used in determining the value of the Portfolio’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following the Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

Common stocks, exchange-traded funds and financial derivative instruments (including futures contracts and certain options and swap contracts on securities), that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 of the fair value hierarchy.

In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs to the valuation.

B1

For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Portfolio’s normal pricing time. These securities are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs to the valuation.

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

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swaps agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of the fair value hierarchy.

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

Restricted and Illiquid Securities:    Each Portfolio may hold up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.

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

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

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

Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a

B2

result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.

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

Forward Currency Contracts:    A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.

Master Netting Arrangements:    Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. 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.

Warrants and Rights:    Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Securities Lending:    Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

B3

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 an accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management, that may differ from actual.

For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

When-Issued/Delayed Delivery Securities:    Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions are recorded on the ex-date.

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

Note 3: Agreements

The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Jennison Associates LLC (“Jennison”), Goldman Sachs Asset Management, L.P. (“GSAM”), LSV Asset Management (“LSV”), Neuberger Berman Management, LLC (“Neuberger Berman”), William Blair & Company LLC (“William Blair”), Thornburg Investment Management (“Thornburg”), and ClearBridge Advisors LLC (“ClearBridge”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.

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

Portfolio	Management Fee			Effective Management Fee
SP International Growth Portfolio		0.85	%		0.85	%*
SP International Value Portfolio		0.90			0.90
SP Prudential U.S. Emerging Growth Portfolio		0.60			0.60
SP Small Cap Value Portfolio		0.90			0.90

*  Effective June 17, 2013, PI has contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.01% of the average net assets of the Portfolio.

B4

At June 30, 2013 the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:

Portfolio	Subadvisor(s)
SP International Growth Portfolio	William Blair, Neuberger Berman*, Jennison
SP International Value Portfolio	LSV, Thornburg
SP Prudential U.S. Emerging Growth Portfolio	Jennison
SP Small Cap Value Portfolio	GSAM, ClearBridge

*  Effective June 17, 2013, Neuberger Berman replaced Marsico Capital Management, LLC.

The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.

The Series Fund has an administration agreement with PI which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

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

The Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2013, broker commission recaptured under these agreements was as follows:

Portfolio	Commission Recaptured
SP International Growth Portfolio	$	1,138
SP International Value Portfolio		1,231
SP Prudential U.S. Emerging Growth Portfolio		7,244
SP Small Cap Value Portfolio		4,919

Note 4: Other Transactions with Affiliates

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

Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, is the Series Fund’s security lending agent. For the six months ended June 30, 2013, PIM was compensated as follows for these services by the Series Fund Portfolios:

	PIM
SP International Growth Portfolio	$	2,509
SP Prudential U.S. Emerging Growth Portfolio		14,997
SP Small Cap Value Portfolio		9,493

Certain Portfolios invest in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2. The Core Fund is a money market mutual fund registered under the 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

B5

Note 5: Portfolio Securities

Purchases and sales of portfolio securities, other than short-term investments and U.S. Government securities, for the six months ended June 30, 2013, were as follows:

Portfolio	Cost of Purchases		Proceeds from Sales
SP International Growth Portfolio	$	66,606,654	$	73,631,217
SP International Value Portfolio		17,485,607		19,134,789
SP Prudential U.S. Emerging Growth Portfolio		40,860,976		52,715,234
SP Small Cap Value Portfolio		55,028,385		64,206,756

Note 6: Tax Information

All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions paid by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolio’s tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax would be required in the Portfolio’s financial statements. The Portfolios’ federal and state income tax returns for tax years for which the applicable 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 Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of June 30, 2013, the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios have Class II shares outstanding.

Transactions in shares of beneficial interest of the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios were as follows:

SP International Growth Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		617,095		$	3,354,922
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(1,389,944	)		(7,579,469	)
Net increase (decrease) in shares outstanding		(772,849	)	$	(4,224,547	)
Year ended December 31, 2012:
Series shares sold		856,840		$	4,180,512
Series shares issued in reinvestment of distributions		112,515			507,441
Series shares repurchased		(3,042,664	)		(14,903,764	)
Net increase (decrease) in shares outstanding		(2,073,309	)	$	(10,215,811	)

B6

SP International Growth Portfolio (cont’d):

Class II	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		98,552		$	534,997
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(219,761	)		(1,174,894	)
Net increase (decrease) in shares outstanding		(121,209	)	$	(639,897	)
Year ended December 31, 2012:
Series shares sold		330,289		$	1,585,415
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(358,741	)		(1,705,723	)
Net increase (decrease) in shares outstanding		(28,452	)	$	(120,308	)

SP Prudential U.S. Emerging Growth Portfolio:

Class I	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		299,650		$	2,708,867
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(1,861,362	)		(16,912,823	)
Net increase (decrease) in shares outstanding		(1,561,712	)	$	(14,203,956	)
Year ended December 31, 2012:
Series shares sold		1,104,011		$	9,377,618
Series shares issued in reinvestment of distributions		2,092,628			16,531,764
Series shares repurchased		(4,021,161	)		(33,669,186	)
Net increase (decrease) in shares outstanding		(824,522	)	$	(7,759,804	)
Class II
Six months ended June 30, 2013:
Series shares sold		10,187		$	89,659
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(2,291	)		(20,252	)
Net increase (decrease) in shares outstanding		7,896		$	69,407
Year ended December 31, 2012:
Series shares sold		6,155		$	48,686
Series shares issued in reinvestment of distributions		2,846			21,691
Series shares repurchased		(4,930	)		(40,839	)
Net increase (decrease) in shares outstanding		4,071		$	29,538

B7

Note 8: Borrowings

The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of 0.08% on the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The following Portfolios utilized the line of credit during the six months ended June 30, 2013. The average balance is for the number of days the Portfolios had utilized the credit facility.

Portfolio	Approximate Average Balance Outstanding		Number of Days Outstanding		Weighted Average Interest Rate			Outstanding Borrowings at June 30, 2013
SP International Growth	$	52,250		4		1.45	%	$	—
SP Small Cap Value		154,000		1		1.44			—

Note 9: Ownership and Affiliates

As of June 30, 2013, all of Class I shares of record of each Portfolio were owned by The Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

B8

Financial Highlights

(Unaudited)

	SP International Growth Portfolio
	Class I
	Six Months Ended June 30, 2013(c)			Year Ended December 31,
				2012(c)			2011(c)			2010(c)			2009(c)			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	5.30		$	4.36		$	5.19		$	4.63		$	3.45		$	8.52
Income (Loss) From Investment Operations:
Net investment income		.03			.08			.02			.04			.05			.10
Net realized and unrealized gain (loss) on investments		(.03	)		.89			(.79	)		.59			1.22			(3.74	)
Total from investment operations		—			.97			(.77	)		.63			1.27			(3.64	)
Less Distributions:		—			(.03	)		(.06	)		(.07	)		(.09	)		(1.43	)
Net Asset Value, end of period	$	5.30		$	5.30		$	4.36		$	5.19		$	4.63		$	3.45
Total Return(a)		0.00	%		22.40	%		(14.91	)%		14.01	%		37.15	%		(50.30	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	76.8		$	80.9		$	75.5		$	162.1		$	162.5		$	207.5
Ratios to average net assets(b):
Expenses		1.21	%(e)		1.19	%		1.21	%		1.10	%		.99	%		.99	%
Net investment income		1.15	%(e)		1.59	%		.47	%		.77	%		1.18	%		1.36	%
Portfolio turnover rate		76	%(f)		111	%		118	%		141	%		89	%		101	%
	SP International Growth Portfolio
	Class II
	Six Months Ended June 30, 2013(c)			Year Ended December 31,
				2012(c)			2011(c)			2010(c)			2009(c)			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	5.24		$	4.30		$	5.10		$	4.54		$	3.37		$	8.36
Income (Loss) From Investment Operations:
Net investment income (loss)		.02			.06			—	(d)		.02			.03			.07
Net realized and unrealized gain (loss) on investments		(.03	)		.88			(.78	)		.59			1.19			(3.65	)
Total from investment operations		(.01	)		.94			(.78	)		.61			1.22			(3.58	)
Less Distributions:		—			—			(.02	)		(.05	)		(.05	)		(1.41	)
Net Asset Value, end of period	$	5.23		$	5.24		$	4.30		$	5.10		$	4.54		$	3.37
Total Return(a)		(.19	)%		21.86	%		(15.32	)%		13.81	%		36.44	%		(50.49	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	7.9		$	8.6		$	7.2		$	10.1		$	11.1		$	9.4
Ratios to average net assets(b):
Expenses		1.61	%(e)		1.59	%		1.61	%		1.50	%		1.39	%		1.39	%
Net investment income (loss)		.75	%(e)		1.16	%		(.09	)%		.39	%		.70	%		1.10	%
Portfolio turnover rate		76	%(f)		111	%		118	%		141	%		89	%		101	%

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

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

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

(d) Less than $.005.

(e) Annualized.

(f) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Financial Highlights

(Unaudited)

	SP International Value Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008(c)
Per Share Operating Performance:
Net Asset Value, beginning of period	$	6.62		$	5.83		$	6.87		$	6.35		$	4.95		$	10.63
Income (Loss) From Investment Operations:
Net investment income		.10			.16			.20			.12			.14			.18
Net realized and unrealized gain (loss) on investments		.04			.80			(1.07	)		.54			1.43			(4.27	)
Total from investment operations		.14			.96			(.87	)		.66			1.57			(4.09	)
Less Distributions:		—			(.17	)		(.17	)		(.14	)		(.17	)		(1.59	)
Net Asset Value, end of period	$	6.76		$	6.62		$	5.83		$	6.87		$	6.35		$	4.95
Total Return(a)		2.11	%		16.92	%		(13.10	)%		10.81	%		32.35	%		(44.06	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	125.9		$	124.8		$	122.8		$	211.5		$	203.3		$	238.5
Ratios to average net assets(b):
Expenses		1.13	%(d)		1.13	%		1.10	%		1.05	%		1.03	%		1.02	%
Net investment income		2.98	%(d)		2.40	%		2.02	%		1.76	%		1.82	%		2.32	%
Portfolio turnover rate		14	%(e)		17	%		19	%		25	%		67	%		34	%

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

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

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

(d) Annualized.

(e) Not annualized.

SEE NOTES TO FINANCIAL STATEMENTS.

C2

Financial Highlights

(Unaudited)

	SP Prudential U.S. Emerging Growth Portfolio
	Class I
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	8.43		$	7.80		$	7.74		$	6.45		$	4.58		$	8.41
Income (Loss) From Investment Operations:
Net investment income		.01			.06			.04			.03			.04			.04
Net realized and unrealized gain (loss) on investments		.80			1.21			.13			1.28			1.87			(2.64	)
Total from investment operations		.81			1.27			.17			1.31			1.91			(2.60	)
Less Distributions		—			(.64	)		(.11	)		(.02	)		(.04	)		(1.23	)
Net Asset Value, end of period	$	9.24		$	8.43		$	7.80		$	7.74		$	6.45		$	4.58
Total Return(a)		9.61	%		16.88	%		2.22	%		20.43	%		41.89	%		(36.23	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	227.7		$	221.0		$	210.8		$	242.4		$	142.3		$	112.3
Ratios to average net assets(b):
Expenses		.67	%(c)		.67	%		.64	%		.70	%		.71	%		.68	%
Net investment income		.17	%(c)		.73	%		.39	%		.69	%		.66	%		.55	%
Portfolio turnover rate		18	%(d)		44	%		40	%		73	%		50	%		59	%
	SP Prudential U.S. Emerging Growth Portfolio
	Class II
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	8.12		$	7.53		$	7.48		$	6.25		$	4.44		$	8.17
Income (Loss) From Investment Operations:
Net investment income (loss)		—	(e)		.04			—	(e)		.01			.01			.01
Net realized and unrealized gain (loss) on investments		.76			1.16			.13			1.24			1.81			(2.53	)
Total from investment operations		.76			1.20			.13			1.25			1.82			(2.52	)
Less Distributions		—			(.61	)		(.08	)		(.02	)		(.01	)		(1.21	)
Net Asset Value, end of period	$	8.88		$	8.12		$	7.53		$	7.48		$	6.25		$	4.44
Total Return(a)		9.36	%		16.44	%		1.77	%		19.96	%		41.14	%		(36.24	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	.5		$	.4		$	.3		$	.3		$	.3		$	.2
Ratios to average net assets(b):
Expenses		1.07	%(c)		1.07	%		1.04	%		1.10	%		1.11	%		1.08	%
Net investment income (loss)		(.22	)%(c)		.38	%		(.01	)%		.24	%		.25	%		.15	%
Portfolio turnover rate		18	%(d)		44	%		40	%		73	%		50	%		59	%

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

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

(c) Annualized.

(d) Not annualized.

(e) Less than $0.005 per share.

SEE NOTES TO FINANCIAL STATEMENTS.

C3

Financial Highlights

(Unaudited)

	SP Small Cap Value Portfolio
	Six Months Ended June 30, 2013			Year Ended December 31,
				2012			2011			2010			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	13.70		$	11.86		$	12.28		$	9.79		$	7.60		$	12.22
Income (Loss) From Investment Operations:
Net investment income		.04			.16			.07			.07			.07			.12
Net realized and unrealized gain (loss) on investments		2.01			1.74			(.41	)		2.49			2.24			(3.47	)
Total from investment operations		2.05			1.90			(.34	)		2.56			2.31			(3.35	)
Less Distributions:		—			(.06	)		(.08	)		(.07	)		(.12	)		(1.27	)
Net Asset Value, end of period	$	15.75		$	13.70		$	11.86		$	12.28		$	9.79		$	7.60
Total Return(a)		14.96	%		16.06	%		(2.77	)%		26.27	%		30.80	%		(30.50	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	195.8		$	179.6		$	177.5		$	232.7		$	208.0		$	202.2
Ratios to average net assets(b):
Expenses		1.01	%(c)		1.01	%		.99	%		1.00	%		1.00	%		.98	%
Net investment income		.37	%(c)		1.14	%		.41	%		.62	%		.70	%		1.17	%
Portfolio turnover rate		29	%(d)		39	%		36	%		39	%		52	%		56	%

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

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

(c) Annualized.

(d) Not annualized.

C4

SEE NOTES TO FINANCIAL STATEMENTS.

Approval of Advisory Agreements

Renewal of Existing Management and Subadvisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 11-12, 2013 (the Meeting) and approved the renewal of the agreements through July 31, 2014, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.¹

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

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

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

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

Nature, quality and extent of services

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

¹ The Board did not consider or renew the subadvisory agreement for Neuberger Berman Management LLC at the Meeting with respect to the SP International Growth Portfolio because it had initially approved the subadvisory agreement in April 2013 for an initial period of two years. The Board noted that it would consider the renewal of this subadvisory agreement as part of its annual review of the Trust’s advisory agreements in 2014.

of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.

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

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

Costs of Services and Profits Realized by PI

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

Economies of Scale

The Board noted that the management fee schedule for the Portfolios generally does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on a particular Portfolio or how great they may be. In light of each Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolios do not have breakpoints is acceptable at this time.

Other Benefits to PI and the Subadvisers

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

Performance of the Portfolios / Fees and Expenses / Other Factors

With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2012.

The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2012. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

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

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

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

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

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark index and improved performance against its Peer Universe, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

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

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

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark index and against its Peer Universe over longer periods, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

SP Prudential U.S. Emerging Growth Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	1st Quartile	2nd Quartile	1st Quartile	1st Quartile
Actual Management Fees: 1st Quartile
Net Total Expenses: 1st Quartile

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

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark and Peer Universe, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

SP Small Cap Value Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	3rd Quartile	1st Quartile	1st Quartile	4th Quartile
Actual Management Fees: 4th Quartile
Net Total Expenses: 4th Quartile

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

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark index over longer periods, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.

Approval of New Subadvisory Agreement: SP International Growth Portfolio

Approval of New Subadvisory Agreement

As required by the Investment Company Act of 1940, as amended (the 1940 Act), the Board of Trustees (the Board) of the Prudential Series Fund (the Trust) considered a proposed subadvisory agreement among Prudential Investments LLC (the Manager) and Neuberger Berman Management LLC (the Subadviser) for the SP International Growth Portfolio (the Portfolio). The subadvisory agreement for the Portfolio (the Subadvisory Agreement) relates to the appointment of the Subadviser to replace Marsico Capital Management, LLC (Marsico) as the new subadvisers for the sleeve of the Portfolio previously subadvised by Marsico. The Board, including all of the trustees who were not parties to the Subadvisory Agreement and were not interested persons of those parties, as defined in the 1940 Act (the Independent Trustees), met on April 23, 2013 and approved the Subadvisory Agreement for an initial two year period, after concluding that approval of the Subadvisory Agreement was in the best interests of the Portfolios and their beneficial shareholders.

In advance of the meeting, the Boards requested and received materials relating to the Subadvisory Agreement, and had the opportunity to ask questions and request further information in connection with its consideration.

In approving the Subadvisory Agreement, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services to be provided to the Portfolio by the Subadviser; comparable performance information; the fees paid to the Subadviser by the Manager with respect to the Portfolio; the potential for economies of scale that may be shared with the Portfolio and its shareholders; and other benefits to the Subadviser. In connection with its deliberations, the Board considered information provided by the Manager with respect to the Portfolio, and by the Subadviser at or in advance of the meeting on April 23, 2013. In its deliberations, the Board did not identify any single factor which alone was responsible for the Board’s decision to approve the Subadvisory Agreement with respect to the Portfolio.

The Board determined that the overall arrangements among the Manager and the Subadviser with respect to the Portfolio are appropriate in light of the services to be performed and the fee arrangements under the Subadvisory Agreement and such other matters as the Board considered relevant in the exercise of its business judgment.

The material factors and conclusions that formed the basis for the Board’s reaching its determinations to approve the Subadvisory Agreement are separately discussed below.

Nature, Quality and Extent of Services

The Board received and considered information regarding the nature and extent of services provided to the Portfolio by Marsico under the current subadvisory agreement and those that would be provided by the Subadviser under the proposed Subadvisory Agreement, noting that the nature and extent of services under the existing and new agreement were generally similar in that Marsico and the Subadviser were each required to provide day-to-day portfolio management services and comply with all policies of the Portfolio and applicable rules and regulations.

With respect to the quality of services, the Board considered, among other things, the background and experience of the portfolio managers of the Subadviser. The Board was also provided with information pertaining to the organizational structure, senior management, investment operations, and other relevant information pertaining to Subadviser. The Board noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer as to the Subadviser.

The Board concluded that, based on the nature of the proposed services to be rendered and the background information that it reviewed about the Subadviser, it was reasonable to expect that the Board would be satisfied with the nature, extent and quality of investment subadvisory services to be provided to the Portfolio by the Subadviser.

Performance

The Board received and considered information regarding the Subadviser’s investment performance in funds and accounts that use investment strategies similar to the one to be used by the Subadviser for the Portfolio. The Board concluded that it was satisfied with the performance record of the Subadviser.

Fee Rates

The Board considered the proposed subadvisory fee rates payable from the Manager to the Subadviser with respect to the Portfolio. The Board considered that the subadvisory fee rate for the Subadviser were lower than that for Marsico with respect to the Portfolio. The Board noted that the lower subadvisory fee rates would result in increases in the net investment management fees with respect to the Portfolio, and therefore the Manager agreed to waive a portion of the management fee paid by the Portfolio to PI. The Board noted that it would review the management fees paid with respect to the Portfolio in connection with future annual reviews of advisory agreements. The Board concluded that the proposed subadvisory fee rate was reasonable.

Profitability

Because the engagement of the Subadviser is new, there is no historical profitability information with respect to the proposed subadvisory arrangement for the Portfolio. As a result, the Board did not consider this factor. The Board noted that it would consider profitability information as part of future annual reviews of advisory agreements.

Economies of Scale

The Board noted that the proposed subadvisory fee schedule for the Portfolio contained breakpoints that reduce the fee rates on assets above specified levels. The Board noted that it would consider economies of scale in connection with the annual reviews of advisory agreements.

Other Benefits to the Subadviser

The Board considered potential “fall out” or ancillary benefits anticipated to be received by the Subadviser and its affiliates in connection with the Portfolio. The Boards concluded that any potential benefits to be derived by the Subadviser included potential access to additional research resources, larger assets under management and reputational benefits, which were consistent with those generally derived by subadvisers to mutual funds. The Board noted that it would review ancillary benefits in connection with future annual reviews of advisory agreements.

***

After full consideration of these factors, the Board concluded that approving the Subadvisory Agreement was in the best interests of the Portfolio and its beneficial shareholders

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

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

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

Prudential Investments, Prudential, the Prudential logo, and the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0229046-00002-00    PSF-SAR-B    

THE PRUDENTIAL SERIES FUND

SEMIANNUAL REPORT Ÿ JUNE 30, 2013

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

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

The accompanying financial statements as of June 30, 2013, were not audited, and, accordingly, no auditor’s opinion is expressed on them.

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

For information regarding enrollment in the e-Delivery program, please see the inside front cover of this report.

Jennison 20/20 Focus Portfolio

For information about enrolling in e-Delivery, please refer to the instructions below. Thank you.

Individual Annuity Contract Owners - To receive your reports online, go to www.annuities.prudential.com/investor/edelivery, or scan the code below.

Individual Life Insurance Contract Owners - To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.

Group Variable Universal Life Contract Owners - To receive your reports online, go to www.prudential.com/gulgvul, or scan the code below.

The Prudential Series Fund   Table of Contents Semiannual Report June 30, 2013

n LETTER TO CONTRACT OWNERS

n PRESENTATION OF PORTFOLIO HOLDINGS

n FEES AND EXPENSES TABLE

n FINANCIAL REPORTS

Section A	Schedule of Investments and Financial Statements
Section B	Notes to Financial Statements
Section C	Financial Highlights

n APPROVAL OF ADVISORY AGREEMENTS

The Prudential Series Fund   Letter to Contract Owners Semiannual Report June 30, 2013

n DEAR CONTRACT OWNER

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

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

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

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

Sincerely,

Robert F. O’Donnell

President,

The Prudential Series Fund July 31, 2013

The Prudential Series Fund Presentation of Portfolio Holdings — unaudited June 30, 2013

Jennison 20/20 Focus
Five Largest Holdings	(% of Net Assets	)
Google, Inc. (Class A Stock)	3.5%
MasterCard, Inc. (Class A Stock)	3.4%
LinkedIn Corp. (Class A Stock)	3.4%
Amazon.com, Inc.	3.2%
Microsoft Corp.	3.0%

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

The Prudential Series Fund   Fees and Expenses — unaudited June 30, 2013

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2013 through June 30, 2013.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

The Prudential Series Fund Portfolios		Beginning Account Value January 1, 2013		Ending Account Value June 30, 2013		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During  the Six-Month period*
Jennison 20/20 Focus (Class I)	Actual	$	1,000.00	$	1,106.70		0.83	%	$	4.34
	Hypothetical	$	1,000.00	$	1,020.68		0.83	%	$	4.16
Jennison 20/20 Focus (Class II)	Actual	$	1,000.00	$	1,104.70		1.23	%	$	6.42
	Hypothetical	$	1,000.00	$	1,018.70		1.23	%	$	6.16

* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2013, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2013 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

	JENNISON 20/20 FOCUS PORTFOLIO
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

LONG-TERM INVESTMENTS — 98.3%
COMMON STOCKS	Shares		Value (Note 2)
Aerospace & Defense — 7.4%
Boeing Co. (The)		62,234	$	6,375,251
Rolls-Royce Holdings PLC (United Kingdom)		227,661		3,919,978
TransDigm Group, Inc.		38,814		6,084,871
				16,380,100
Biotechnology — 5.6%
Biogen Idec, Inc.*		29,990		6,453,848
Gilead Sciences, Inc.*(a)		117,174		6,000,481
				12,454,329
Capital Markets — 1.0%
Morgan Stanley		93,846		2,292,658
Chemicals — 4.0%
Monsanto Co.		59,235		5,852,418
Mosaic Co. (The)		54,287		2,921,183
				8,773,601
Electronic Equipment & Instruments — 2.9%
Flextronics International Ltd.*		821,456		6,358,069
Energy Equipment & Services — 2.6%
Halliburton Co.		138,011		5,757,819
Food & Staples Retailing — 2.4%
Costco Wholesale Corp.		48,814		5,397,364
Food Products — 8.1%
Bunge Ltd.		82,282		5,823,097
Mondelez International, Inc. (Class A Stock)		210,758		6,012,926
Tyson Foods, Inc. (Class A Stock)		240,653		6,179,969
				18,015,992
Healthcare Providers & Services — 2.8%
UnitedHealth Group, Inc.		95,213		6,234,547
Hotels, Restaurants & Leisure — 5.1%
Carnival Corp.		150,931		5,175,424
International Game Technology		363,841		6,079,783
				11,255,207
Insurance — 2.9%
MetLife, Inc.		140,585		6,433,170
Internet & Catalog Retail — 5.7%
Amazon.com, Inc.*		25,569		7,100,255
priceline.com, Inc.*		6,690		5,533,500
				12,633,755
Internet Software & Services — 6.8%
Google, Inc. (Class A Stock)*		8,770		7,720,845
LinkedIn Corp. (Class A Stock)*		41,752		7,444,382
				15,165,227
IT Services — 3.4%
MasterCard, Inc. (Class A Stock)		13,087		7,518,482
Life Sciences Tools & Services — 1.3%
Illumina, Inc.*		36,974		2,767,134
Media — 3.9%
Liberty Global, Inc., Series C*		56,843		3,859,071
Walt Disney Co. (The)		74,686		4,716,421
				8,575,492
Metals & Mining — 1.6%
Kinross Gold Corp.		690,205		3,520,046

COMMON STOCKS (continued)	Shares		Value (Note 2)
Oil, Gas & Consumable Fuels — 8.3%
Anadarko Petroleum Corp.		74,201	$	6,376,092
Cobalt International Energy, Inc.*		221,178		5,876,699
Marathon Oil Corp.		176,032		6,087,187
				18,339,978
Personal Products — 1.5%
Avon Products, Inc.		159,354		3,351,215
Pharmaceuticals — 6.9%
Actavis, Inc.*		44,108		5,567,312
Bristol-Myers Squibb Co.		102,137		4,564,502
Novo Nordisk A/S (Denmark), ADR		33,975		5,265,106
				15,396,920
Software — 5.0%
Microsoft Corp.		191,609		6,616,259
Salesforce.com, Inc.*(a)		117,412		4,482,790
				11,099,049
Specialty Retail — 5.4%
Inditex SA (Spain), ADR		218,937		5,414,312
TJX Cos., Inc.		131,156		6,565,669
				11,979,981
Textiles, Apparel & Luxury Goods — 2.6%
Ralph Lauren Corp.		33,277		5,781,546
Wireless Telecommunication Services — 1.1%
NII Holdings, Inc.*		361,496		2,411,178
TOTAL LONG-TERM INVESTMENTS (cost $173,884,023)				217,892,859
SHORT-TERM INVESTMENT — 5.2%
Affiliated Money Market Mutual Fund
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $11,580,244; includes $6,695,204 of cash collateral received for securities on loan (Note 4)(b)(c)		11,580,244		11,580,244
TOTAL INVESTMENTS — 103.5% (cost $185,464,267)				229,473,103
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)%				(7,825,392	)
NET ASSETS — 100.0%			$	221,647,711

The following abbreviation is used in Portfolio descriptions:

ADR American Depositary Receipt

* Non-income producing security.

(a) All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $6,488,726; cash collateral of $6,695,204 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

A1

	JENNISON 20/20 FOCUS PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS		June 30, 2013 (Unaudited)

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

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

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

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

The following is a summary of the inputs used as of June 30, 2013 in valuing such portfolio securities:

	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	213,972,881	$	3,919,978	$	—
Affiliated Money Market Mutual Fund		11,580,244		—		—
Total	$	225,553,125	$	3,919,978	$	—

The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2013 were as follows:

Oil, Gas & Consumable Fuels	8.3	%
Food Products	8.1
Aerospace & Defense	7.4
Pharmaceuticals	6.9
Internet Software & Services	6.8
Internet & Catalog Retail	5.7
Biotechnology	5.6
Specialty Retail	5.4
Affiliated Money Market Mutual Fund (including 3.0% of collateral received for securities on loan)	5.2
Hotels, Restaurants & Leisure	5.1
Software	5.0
Chemicals	4.0
Media	3.9
IT Services	3.4
Electronic Equipment & Instruments	2.9

Insurance	2.9	%
Healthcare Providers & Services	2.8
Energy Equipment & Services	2.6
Textiles, Apparel & Luxury Goods	2.6
Food & Staples Retailing	2.4
Metals & Mining	1.6
Personal Products	1.5
Life Sciences Tools & Services	1.3
Wireless Telecommunication Services	1.1
Capital Markets	1.0
	103.5
Liabilities in excess of other assets	(3.5	)
	100.0	%

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

Offsetting of financial instrument assets and liabilities
Description	Gross Amounts of Recognized Assets		Gross Amounts not subject to netting		Gross Amounts Offset in the Statement  of Financial Position		Net Amounts of Assets Presented in the Statement  of Financial Position
Securities on Loan	$	6,488,726	$	—	$	—	$	6,488,726
Collateral Amounts Pledged/(Received):
Securities on Loan								(6,488,726	)
Net Amount							$	—

SEE NOTES TO FINANCIAL STATEMENTS.

A2

JENNISON 20/20 FOCUS PORTFOLIO (continued)

STATEMENT OF ASSETS AND LIABILITIES

(Unaudited)

June 30, 2013

ASSETS
Investments, at value including securities on loan of $6,488,726:
Unaffiliated investments (cost $173,884,023)	$	217,892,859
Affiliated investments (cost $11,580,244)		11,580,244
Receivable for investments sold		407,728
Dividends and interest receivable		77,322
Foreign tax reclaim receivable		43,985
Receivable for Series shares sold		31,786
Prepaid expenses		437
Total Assets		230,034,361
LIABILITIES
Collateral for securities on loan		6,695,204
Payable for investments purchased		1,221,720
Payable for Series shares repurchased		145,499
Management fee payable		138,028
Payable to custodian		73,674
Accrued expenses and other liabilities		58,241
Distribution fee payable		33,268
Administration fee payable		20,090
Affiliated transfer agent fee payable		926
Total Liabilities		8,386,650
NET ASSETS	$	221,647,711
Net assets were comprised of:
Paid-in capital	$	116,998,391
Retained earnings		104,649,320
Net assets, June 30, 2013	$	221,647,711
Class I:
Net asset value and redemption price per share, $61,501,496/3,487,901 outstanding shares of beneficial interest	$	17.63
Class II:
Net asset value and redemption price per share, $160,146,215/9,311,466 outstanding shares of beneficial interest	$	17.20

STATEMENT OF OPERATIONS

(Unaudited)

Six Months Ended June 30, 2013

INCOME
Unaffiliated dividend income (net of foreign withholding taxes of $33,479)	$	1,070,992
Affiliated income from securities loaned, net		34,040
Affiliated dividend income		3,058
		1,108,090
EXPENSES
Management fee		830,222
Distribution fee—Class II		200,293
Administration fee—Class II		120,176
Custodian’s fees and expenses		25,000
Shareholders’ reports		23,000
Audit fee		10,000
Trustees’ fees		7,000
Transfer agent’s fee and expenses (including affiliated expense of $2,800) (Note 4)		6,000
Legal fees and expenses		5,000
Insurance expenses		3,000
Commitment fee on syndicated credit agreement		1,000
Loan interest expense (Note 8)		22
Miscellaneous		4,652
Total expenses		1,235,365
NET INVESTMENT LOSS		(127,275	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES
Net realized gain (loss) on:
Investment transactions		19,366,052
Foreign currency transactions		(2,270	)
		19,363,782
Net change in unrealized appreciation (depreciation) on investments		2,866,330
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES		22,230,112
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	22,102,837

STATEMENT OF CHANGES IN NET ASSETS

(Unaudited)

	Six Months Ended June 30, 2013			Year Ended December 31, 2012
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment loss	$	(127,275	)	$	(324,410	)
Net realized gain on investments and foreign currency transactions		19,363,782			42,405,615
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		2,866,330			(14,083,567	)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		22,102,837			27,997,638
DISTRIBUTIONS:
Class I		—			(2,125,804	)
Class II		—			(14,068,043	)
TOTAL DISTRIBUTIONS		—			(16,193,847	)
SERIES SHARE TRANSACTIONS (NOTE 7):
Series shares sold		8,992,100			41,176,954
Series shares issued in reinvestment of distributions		—			16,193,847
Series shares repurchased		(23,319,182	)		(297,038,252	)
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS		(14,327,082	)		(239,667,451	)
TOTAL INCREASE (DECREASE) IN NET ASSETS		7,775,755			(227,863,660	)
NET ASSETS:
Beginning of period		213,871,956			441,735,616
End of period	$	221,647,711		$	213,871,956

SEE NOTES TO FINANCIAL STATEMENTS.

A3

NOTES TO THE FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

(Unaudited)

Note 1: General

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio.

The Portfolio’s investment objective is long-term growth of capital.

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

Note 2: Accounting Policies

The following is a summary of significant accounting policies followed by the Series Fund and the Portfolio in the preparation of its financial statements.

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

Various inputs are used in determining the value of the Portfolio’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following each Portfolio’s Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

Common stocks, exchange-traded funds and financial derivative instruments (including futures contracts and certain options and swap contracts on securities), that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 of the fair value hierarchy.

In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs to the valuation.

For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Portfolio’s normal pricing time. These securities are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs to the valuation.

B1

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

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swaps agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of the fair value hierarchy.

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

Foreign Currency Translation:    The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.

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

B2

Master Netting Arrangements:    The Portfolio may be subject to various Master Agreements, or netting arrangements, with select counterparties. 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.

Securities Lending:    The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.

Securities Transactions and Net Investment Income:    Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including amortization of premium and accretions of discount on debt securities, is recorded on the accrual basis. Expenses are recorded on the accrual basis which may require the use of certain estimates by management. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are charged directly to a Portfolio or class level.

Net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.

Taxes:    For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. Federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of their partners. The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.

Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.

Distributions:    Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions are recorded on the ex-date.

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

Note 3: Agreements

The Portfolio has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

B3

The management fee paid to PI is computed daily and payable monthly at an annual rate of .75% of the Portfolio’s average daily net assets.

The Portfolio has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’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 Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of .25% of the average daily net assets of the Class II shares.

The Portfolio has an administration agreement with PI, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of .15% of the average daily net assets of the Class II shares.

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

The Portfolio has entered into a brokerage commission recapture agreement with certain registered broker-dealer. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2013, brokerage commission recaptured under these agreements was $17,465.

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 Portfolio’s transfer agent. Transfer agent fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable. Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, serves as the Portfolio’s security lending agent. For the six months ended June 30, 2013, PIM was compensated $10,168 for these services by the Jennison 20/20 Focus Portfolio.

The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.

Note 5: Portfolio Securities

The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the six months ended June 30, 2013 were $72,193,893 and $87,875,777, respectively.

Note 6: Tax Information

The Portfolio is 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 Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.

Management has analyzed the Portfolio’s tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current period. The Portfolio’s federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

B4

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.

Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:

Class I	Shares			Amount
Six months ended June 30, 2013:
Series shares sold		80,791		$	1,392,709
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(302,726	)		(5,198,834	)
Net increase (decrease) in shares outstanding		(221,935	)	$	(3,806,125	)
Year ended December 31, 2012:
Series shares sold		237,364		$	3,707,325
Series shares issued in reinvestment of distributions		144,416			2,125,804
Series shares repurchased		(615,968	)		(9,659,767	)
Net increase (decrease) in shares outstanding		(234,188	)	$	(3,826,638	)
Class II
Six months ended June 30, 2013:
Series shares sold		454,229		$	7,599,391
Series shares issued in reinvestment of distributions		—			—
Series shares repurchased		(1,080,689	)		(18,120,348	)
Net increase (decrease) in shares outstanding		(626,460	)	$	(10,520,957	)
Year ended December 31, 2012:
Series shares sold		2,411,811		$	37,469,629
Series shares issued in reinvestment of distributions		975,593			14,068,043
Series shares repurchased		(19,641,828	)		(287,378,485	)
Net increase (decrease) in shares outstanding		(16,254,424	)	$	(235,840,813	)

Note 8: Borrowings

The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of .08% of the unused portion of the SCA. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.

The Portfolio utilized the SCA during the period ended June 30, 2013. The average daily balance for the 4 days that the Portfolio had loans outstanding during the period was $134,000, borrowed at a weighted average interest rate of 1.47%. At June 30, 2013, the Portfolio did not have an outstanding loan amount.

Note 9: Ownership and Affiliates

As of June 30, 2013, all of Class I shares of the Portfolio were owned of record by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.

B5

Financial Highlights

(Unaudited)

	Class I
	Six Months Ended June 30, 2013(c)			Year Ended December 31,
				2012(c)			2011(c)			2010(c)			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	15.93		$	14.89		$	15.55		$	14.42		$	9.18		$	15.99
Income (Loss) From Investment Operations:
Net investment income		.02			.05			.04			.05			.03			.06
Net realized and unrealized gain (loss) on investments		1.68			1.55			(.69	)		1.08			5.26			(5.94	)
Total from investment operations		1.70			1.60			(.65	)		1.13			5.29			(5.88	)
Less Distributions		—			(.56	)		(.01	)		—			(.05	)		(.93	)
Net Asset Value, end of period	$	17.63		$	15.93		$	14.89		$	15.55		$	14.42		$	9.18
Total Return(a)		10.67	%		11.04	%		(4.17	)%		7.84	%		57.83	%		(39.15	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	61.5		$	59.1		$	58.7		$	66.8		$	70.5		$	46.7
Ratios to average net assets(b):
Expenses		.83	%(d)		.80	%		.80	%		.80	%		.81	%		.82	%
Net investment income		.17	%(d)		.32	%		.24	%		.36	%		.27	%		.41	%
Portfolio turnover rate		33	%(e)		75	%		83	%		112	%		106	%		125	%
	Class II
	Six Months Ended June 30, 2013(c)			Year Ended December 31,
				2012(c)			2011(c)			2010(c)			2009			2008
Per Share Operating Performance:
Net Asset Value, beginning of period	$	15.57		$	14.62		$	15.31		$	14.25		$	9.06		$	15.78
Income (Loss) From Investment Operations:
Net investment loss		(.02	)		(.03	)		(.03	)		(.01	)		(.01	)		—	(f)
Net realized and unrealized gain (loss) on investments		1.65			1.54			(.66	)		1.07			5.20			(5.87	)
Total from investment operations		1.63			1.51			(.69	)		1.06			5.19			(5.87	)
Less Distributions		—			(.56	)		—			—			—	(f)		(.85	)
Net Asset Value, end of period	$	17.20		$	15.57		$	14.62		$	15.31		$	14.25		$	9.06
Total Return(a)		10.47	%		10.62	%		(4.51	)%		7.44	%		57.29	%		(39.40	)%
Ratios/Supplemental Data:
Net assets, end of period (in millions)	$	160.1		$	154.8		$	383.0		$	476.2		$	284.9		$	156.3
Ratios to average net assets(b):
Expenses		1.23	%(d)		1.20	%		1.20	%		1.20	%		1.21	%		1.22	%
Net investment loss		(.23	)%(d)		(.18	)%		(.16	)%		(.05	)%		(.13	)%		—	%(g)
Portfolio turnover rate		33	%(e)		75	%		83	%		112	%		106	%		125	%

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

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

(c) Calculated based upon average shares outstanding.

(d) Annualized.

(e) Not annualized.

(f) Less than $0.005 per share.

(g) Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

C1

Approval of Advisory Agreements

The Trust’s Board of Trustees

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

Annual Approval of the Trust’s Advisory Agreements

As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the Jennison 20/20 Focus Portfolio’s (the Portfolio) subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 11-12, 2013 (the Meeting) and approved the renewal of the agreements through July 31, 2014, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

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

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

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

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

Nature, quality and extent of services

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

The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and Jennison, and also reviewed the qualifications, backgrounds and responsibilities of the Jennison portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information

pertaining to PI’s and Jennison’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and Jennison. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and Jennison. The Board noted that Jennison is affiliated with PI.

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

Costs of Services and Profits Realized by PI

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

Economies of Scale

The Board noted that the management fee schedule for the Portfolio generally does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolio’s assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on the Portfolio or how great they may be. In light of the Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolio does not have breakpoints is acceptable at this time.

Other Benefits to PI and Jennison

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

Performance of the Portfolio / Fees and Expenses / Other Factors

With respect to the Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolio for the one-, three-, five- and ten-year periods ended December 31, 2012.

The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2012. The Board considered the management fee for the Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.

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

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

Jennison 20/20 Focus Portfolio
Performance	1 Year	3 Years	5 Years	10 Years
	4th Quartile	4th Quartile	1st Quartile	1st Quartile
Actual Management Fees: 3rd Quartile
Net Total Expenses: 2nd Quartile

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

• The Board concluded that, in light of the Portfolio’s competitive performance against its benchmark and Peer Universe over longer periods, it would be in the best interests of the Portfolio and its shareholders to renew the agreements.

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

**********

After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.

This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.

A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.

The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

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

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.

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

Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.

  The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 Presorted Standard U.S. Postage PAID Prudential

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.

To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.

Prudential Investments, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

0229048-00002-00    PSF-SAR-20/20 Focus

Item 2	–	Code of Ethics – Not required, as this is not an annual filing.
Item 3	–	Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4	–	Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5	–	Audit Committee of Listed Registrants – Not applicable.
Item 6	–	Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7	–	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8	–	Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9	–	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10	–	Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11	–	Controls and Procedures
	(a)     It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
	(b)     There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting.
Item 12	–	Exhibits
	(a)	(1) Code of Ethics – Not required, as this is not an annual filing.
		(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
		(3) Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
	(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:	The Prudential Series Fund
By:	/s/ Deborah A. Docs
	Deborah A. Docs
	Secretary
Date:	August 15, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Robert F. O’Donnell
	Robert F. O’Donnell
	President and Principal Executive Officer
Date:	August 15, 2013
By:	/s/ Grace C. Torres
	Grace C. Torres
	Treasurer and Principal Financial Officer
Date:	August 15, 2013